<PAGE>
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL
INDEX PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities................................. 1
Statement of Operations............................................. 2
Statements of Changes in Net Assets................................. 3
Financial Highlights................................................ 4
Notes to Financial Statements....................................... 5-6
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE COMPANY SERIES
Schedule of Investments............................................. 7-11
Statement of Assets and Liabilities................................. 12
Statement of Operations............................................. 13
Statements of Changes in Net Assets................................. 14
Financial Highlights................................................ 15
Notes to Financial Statements....................................... 16-17
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company
(Cost $160,005)++ at Value................................ $ 166,697
Receivables:
Receivable From Advisor................................... 8
Fund Shares Sold.......................................... 88
Prepaid Expenses and Other Assets........................... 10
-----------
Total Assets............................................ 166,803
-----------
LIABILITIES:
Payable for Investment Securities Purchased................. 88
Accrued Expenses and Other Liabilities...................... 27
-----------
Total Liabilities....................................... 115
-----------
NET ASSETS.................................................. $ 166,688
===========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 14,967,031
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 11.14
===========
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. $ 160,745
Undistributed Net Investment Income......................... 448
Accumulated Net Realized Loss............................... (1,197)
Unrealized Appreciation of Investment Securities............ 6,692
-----------
Total Net Assets........................................ $ 166,688
===========
</TABLE>
--------------
++ The cost for federal income tax purposes is $160,486.
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Net Investment Income Received From The DFA Investment
Trust Company.......................................... $ 850
-------
EXPENSES
Administrative Services................................. 37
Accounting & Transfer Agent Fees........................ 25
Legal Fees.............................................. 2
Filing Fees............................................. 3
Shareholders' Reports................................... 9
Other................................................... 1
-------
Total Expenses...................................... 77
Less: Expenses Waived............................... (45)
-------
Net Expenses........................................ 32
-------
NET INVESTMENT INCOME............................... 818
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities Sold......... (1,132)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities.................................. 1,788
-------
NET GAIN ON INVESTMENT SECURITIES....................... 656
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 1,474
=======
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS SEPT. 23
ENDED TO
MAY 31, NOV. 30,
2000 1999
---------- ---------
<S> <C> <C>
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 818 $ 97
Net Realized Loss on Investment Securities Sold......... (1,132) (65)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................. 1,788 4,904
-------- -------
Net Increase in Net Assets Resulting from
Operations........................................ 1,474 4,936
-------- -------
Distributions From:
Net Investment Income................................... (467) --
Net Realized Gains...................................... -- --
-------- -------
Total Distributions................................. (467) --
-------- -------
Capital Share Transactions (1):
Shares Issued........................................... 115,400 51,116
Shares Issued in Lieu of Cash Distributions............. 467 --
Shares Redeemed......................................... (6,073) (165)
-------- -------
Net Increase From Capital Share Transactions........ 109,794 50,951
-------- -------
Total Increase...................................... 110,801 55,887
NET ASSETS
Beginning of Period..................................... 55,887 --
-------- -------
End of Period........................................... $166,688 $55,887
======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 10,332 5,158
Shares Issued in Lieu of Cash Distributions............. 43 --
Shares Redeemed......................................... (550) (16)
-------- -------
9,825 5,142
======== =======
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS SEPT. 23
ENDED TO
MAY 31, NOV. 30,
2000 1999
---------- ---------
<S> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of
Period........................... $ 10.87 $ 10.00
-------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.05 0.02
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 0.26 0.85
-------- --------
Total from Investment
Operations..................... 0.31 0.87
-------- --------
LESS DISTRIBUTIONS
Net Investment Income............ (0.04) --
Net Realized Gains............... -- --
-------- --------
Total Distributions.............. (0.04) --
-------- --------
Net Asset Value, End of Period..... $ 11.14 $ 10.87
======== ========
Total Return....................... 2.89%# 8.70%#
Net Assets, End of Period
(thousands)...................... $166,688 $ 55,887
Ratio of Expenses to Average Net
Assets (1)....................... 0.10%* 0.10%*(a)
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses) (1)...... 0.16%* 0.35%*(a)
Ratio of Net Investment Income to
Average Net Assets............... 1.11%* 1.20%*(a)
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers and Assumption of
Expenses)........................ 1.05%* 0.95%*(a)
Portfolio Turnover Rate............ N/A N/A
Portfolio Turnover Rate of Master
Fund Series...................... 5%* 4%(b)
</TABLE>
--------------
* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of the Master Fund Series.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
(b) For the year ended November 30, 1999.
N/A Refer to the Master Fund Series.
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios, of
which U.S. Large Company Institutional Index Portfolio (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The U.S. Large Company
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2000, the Portfolio owned 5% of the outstanding shares of
the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value. The Portfolio's investment
reflects its proportionate interest in the net assets of the series.
2. FEDERAL INCOME TAXES: It is the intention of the Portfolio to qualify
as a regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
3. OTHER: The Portfolio accrues its share of income, net of expenses daily
on its investment in the Master Fund, which is treated as a partnership for
federal income tax purposes. All of the net investment income and realized and
unrealized gains or losses from the security transactions of the Master Fund are
allocated pro rata among its investors at the time of such determination.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of net short-term capital gain distributions from The DFA
Investment Trust Company. Expenses directly attributable to the Portfolio or to
the Series are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2000, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor at an effective annual rate of 0.05 of 1% of average daily net assets.
The advisor has agreed to waive its fees and reimburse the Portfolio to the
extent necessary to keep the annual combined expenses of the Portfolio and its
respective Master Fund to not more than 0.10% of average daily net assets.
Annualized expenses are those expenses incurred in any period consisting of 36
consecutive months. At May 31, 2000, approximately $65,000 of previously waived
fees are subject to future reimbursement to the Advisor over various periods not
exceeding May 31, 2003.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
5
<PAGE>
D. INVESTMENTS:
At May 31, 2000, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................... $6,211
Gross Unrealized Depreciation............................... --
------
Net......................................................... $6,211
======
</TABLE>
At May 31, 2000, the Portfolio had a capital loss carryforward for federal
income tax purposes of approximately $61,000, which will expire on November 30,
2007.
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
during the six months ending May 31, 2000.
6
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (100.0%)
*3COM Corp............................................ 90,300 $ 3,778,491
Abbott Laboratories................................... 404,400 16,454,025
*Adaptec, Inc......................................... 27,400 540,294
*ADC Telecommunications, Inc.......................... 79,200 5,316,300
Adobe Systems, Inc.................................... 31,200 3,510,975
*Advanced Micro Devices, Inc.......................... 38,800 3,159,775
*AES Corp............................................. 57,000 4,973,250
Aetna, Inc............................................ 37,500 2,503,125
AFLAC, Inc............................................ 70,000 3,618,125
Air Products & Chemicals, Inc......................... 60,500 2,094,812
Alberto-Culver Co. Class B............................ 14,700 386,794
Albertson's Inc....................................... 111,400 4,080,025
Alcan Aluminum, Ltd................................... 57,800 1,896,562
Alcoa, Inc............................................ 114,596 6,696,704
Allegheny Teledyne, Inc............................... 21,950 495,247
Allergan, Inc......................................... 34,700 2,383,456
*Allied Waste Industries, Inc......................... 49,700 506,319
Allstate Corp......................................... 211,900 5,615,350
Alltel Corp........................................... 82,700 5,411,681
*Altera Corp.......................................... 52,700 4,527,259
*Alza Corp............................................ 27,000 1,371,937
Amerada Hess Corp..................................... 23,900 1,586,362
Ameren Corp........................................... 36,200 1,328,087
*America Online, Inc.................................. 600,600 31,831,800
American Electric Power Co., Inc...................... 51,100 1,817,244
American Express Co................................... 353,500 19,022,719
American General Corp................................. 64,900 4,157,656
American Greetings Corp. Class A...................... 17,000 316,625
American Home Products Corp........................... 343,700 18,516,837
American International Group, Inc..................... 407,300 45,846,706
*American Power Conversion Corp....................... 50,800 1,798,637
*Amgen, Inc........................................... 268,700 17,104,434
*AMR Corp............................................. 39,100 1,114,350
AmSouth Bancorporation................................ 102,900 1,858,631
Anadarko Petroleum Corp............................... 33,500 1,777,594
*Analog Devices, Inc.................................. 92,100 7,091,700
*Andrew Corp.......................................... 21,200 745,312
Anheuser-Busch Companies, Inc......................... 122,600 9,501,500
AON Corp.............................................. 67,500 2,370,937
Apache Corp........................................... 30,000 1,826,250
*Apple Computer, Inc.................................. 42,700 3,588,134
*Applied Materials, Inc............................... 201,600 16,839,900
Archer-Daniels Midland Co............................. 159,800 1,907,612
Armstrong Holdings, Inc............................... 10,600 182,187
Ashland, Inc.......................................... 18,700 653,331
Associates First Capital Corp. Class A................ 191,800 5,262,512
AT & T Corp........................................... 840,800 29,165,250
Autodesk, Inc......................................... 16,200 599,906
Automatic Data Processing, Inc........................ 166,000 9,119,625
*Autozone, Inc........................................ 36,300 1,016,400
Avery Dennison Corp................................... 29,800 1,825,250
Avon Products, Inc.................................... 63,700 2,631,606
B B & T Corp.......................................... 91,500 2,682,094
Baker Hughes, Inc..................................... 86,700 3,142,875
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ball Corp............................................. 8,000 $ 237,500
Bank of America Corp.................................. 449,100 24,953,119
Bank of New York Co., Inc............................. 193,600 9,087,100
Bank One Corp......................................... 301,900 9,981,569
Bard (C.R.), Inc...................................... 13,500 615,937
Barrick Gold Corp..................................... 103,900 1,876,694
Bausch & Lomb, Inc.................................... 13,900 966,050
Baxter International, Inc............................. 76,700 5,100,550
Bear Stearns Companies, Inc........................... 29,900 1,177,312
Becton Dickinson & Co................................. 66,200 1,932,212
*Bed, Bath and Beyond, Inc............................ 37,000 1,362,062
Bell Atlantic Corp.................................... 408,500 21,599,437
Bellsouth Corp........................................ 495,200 23,119,650
Bemis Co., Inc........................................ 13,800 474,375
*Best Buy Co., Inc.................................... 54,000 3,456,000
Bestfoods, Inc........................................ 73,400 4,734,300
*Bethlehem Steel Corp................................. 34,500 133,687
*Biogen, Inc.......................................... 39,600 2,156,962
Biomet, Inc........................................... 29,800 1,073,731
Black & Decker Corp................................... 22,900 835,850
Block (H.&R.), Inc.................................... 25,900 799,662
*BMC Software, Inc.................................... 64,300 2,827,191
Boeing Co............................................. 228,500 8,925,781
Boise Cascade Corp.................................... 15,100 439,787
*Boston Scientific Corp............................... 109,200 2,798,250
Briggs & Stratton Corp................................ 6,100 244,000
Bristol Myers Squibb Co............................... 522,000 28,742,625
Brown-Forman Corp. Class B............................ 18,100 1,050,931
Brunswick Corp........................................ 24,200 465,850
Burlington Northern Santa Fe Corp..................... 120,200 2,839,725
Burlington Resources, Inc............................. 57,100 2,612,325
*Cabletron Systems, Inc............................... 47,900 1,098,706
Campbell Soup Co...................................... 112,100 3,475,100
Capital One Financial Corp............................ 51,800 2,447,550
Cardinal Health, Inc.................................. 74,000 4,800,750
Carnival Corp......................................... 162,500 4,407,812
Carolina Power & Light Co............................. 42,100 1,447,187
Caterpillar, Inc...................................... 93,700 3,584,025
*Cendant Corp......................................... 185,700 2,460,525
Centex Corp........................................... 15,600 323,700
Central & South West Corp............................. 55,900 1,163,419
CenturyTel, Inc....................................... 36,800 993,600
*Ceridian Corp........................................ 38,106 919,307
Champion International Corp........................... 25,300 1,846,900
Chase Manhattan Corp.................................. 217,100 16,214,656
Chevron Corp.......................................... 172,700 15,963,956
Chubb Corp............................................ 46,200 3,234,000
CIGNA Corp............................................ 44,300 3,934,394
Cincinnati Financial Corp............................. 43,100 1,733,428
Cinergy Corp.......................................... 41,793 1,112,739
Circuit City Stores, Inc. (Carmax Group).............. 53,400 2,659,987
*Cisco Sytems, Inc.................................... 1,801,200 102,499,537
Citigroup, Inc........................................ 887,200 55,172,750
*Citrix Systems, Inc.................................. 47,200 2,485,375
</TABLE>
7
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Clear Channel Communications, Inc.................... 89,100 $ 6,671,362
Clorox Co............................................. 62,300 2,468,637
CMS Energy Corp....................................... 30,500 693,875
Coastal Corp.......................................... 56,100 3,443,137
Coca-Cola Co.......................................... 650,100 34,699,087
Coca-Cola Enterprises, Inc............................ 111,900 1,916,287
Colgate-Palmolive Co.................................. 153,100 8,056,887
Columbia Gas System, Inc.............................. 21,400 1,384,312
*Comcast Corp. Class A Special........................ 244,000 9,249,125
Comerica, Inc......................................... 41,350 2,093,344
Compaq Computer Corp.................................. 445,700 11,699,625
Computer Associates International, Inc................ 155,000 7,982,500
*Computer Sciences Corp............................... 44,100 4,230,844
*Compuware Corp....................................... 95,000 964,844
*Comverse Tecnology, Inc.............................. 40,200 3,674,531
Conagra, Inc.......................................... 129,800 2,993,512
*Conexant Systems, Inc................................ 56,600 2,131,344
Conoco, Inc........................................... 164,900 4,699,650
Conseco, Inc.......................................... 86,100 538,125
Consolidated Edison, Inc.............................. 58,200 1,898,775
*Consolidated Stores Corp............................. 29,200 379,600
Constellation Energy Group............................ 39,450 1,353,628
Cooper Industries, Inc................................ 24,900 834,150
Cooper Tire & Rubber Co............................... 20,000 241,250
Coors (Adolph) Co. Class B............................ 9,700 545,625
Corning, Inc.......................................... 72,400 14,004,875
*Costco Wholesale Corp................................ 117,000 3,740,344
Countrywide Credit Industries, Inc.................... 29,900 919,425
Crane Co.............................................. 17,400 458,925
Crown Cork & Seal Co., Inc............................ 34,100 583,962
CSX Corp.............................................. 57,500 1,250,625
Cummins Engine Co., Inc............................... 10,900 354,931
CVS Corp.............................................. 103,300 4,493,550
Dana Corp............................................. 43,242 1,116,184
Danaher Corp.......................................... 37,600 1,811,850
Darden Restaurants, Inc............................... 33,700 579,219
Deere & Co............................................ 61,800 2,568,562
*Dell Computer Corp................................... 675,300 29,143,416
Delphi Automotive Systems Corp........................ 148,600 2,684,087
Delta Air Lines, Inc.................................. 33,900 1,743,731
Deluxe Corp........................................... 19,300 476,469
Dillards, Inc. Class A................................ 27,600 412,275
Disney (Walt) Co...................................... 545,000 22,992,187
Dollar General Corp................................... 86,950 1,521,625
Dominion Resources, Inc............................... 62,500 2,859,375
Donnelley (R.R.) & Sons Co............................ 33,400 824,562
Dover Corp............................................ 53,500 2,487,750
Dow Chemical Co....................................... 57,900 6,198,919
Dow Jones & Co., Inc.................................. 23,500 1,598,000
DTE Energy Co......................................... 38,300 1,323,744
Duke Power Co......................................... 96,300 5,609,475
Dun & Bradstreet...................................... 42,300 1,300,725
DuPont (E.I.) de Nemours & Co., Inc................... 274,700 13,460,300
Eastern Enterprises................................... 7,100 437,981
Eastman Chemical Co................................... 20,650 940,866
Eastman Kodak Co...................................... 83,100 4,965,225
Eaton Corp............................................ 19,300 1,400,456
Ecolab, Inc........................................... 34,100 1,304,325
Edison International.................................. 91,300 1,951,537
El Paso Energy Corp................................... 60,000 3,090,000
Electronic Data Systems Corp.......................... 124,000 7,974,750
*EMC Corp. MA......................................... 267,700 31,136,856
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Emerson Electric Co................................... 113,700 $ 6,708,300
Engelhard Corp........................................ 33,174 578,472
Enron Corp............................................ 188,400 13,729,650
Entergy Corp.......................................... 65,100 1,887,900
Equifax, Inc.......................................... 37,200 1,029,975
Exxon Mobil Corp...................................... 909,100 75,739,394
Fannie Mae............................................ 269,600 16,209,700
Federal Home Loan Mortgage Corp....................... 183,000 8,143,500
*Federated Department Stores, Inc..................... 55,400 2,132,900
*FedEx Corp........................................... 76,200 2,695,575
Fifth Third Bancorp................................... 81,500 5,544,547
First Data Corp....................................... 110,300 6,183,694
First Union Corp...................................... 260,000 9,148,750
Firstar Corp.......................................... 257,900 6,592,569
FirstEnergy Corp...................................... 61,200 1,537,650
FleetBoston Financial Corp............................ 241,200 9,120,375
Florida Progress Corp................................. 25,900 1,285,287
Fluor Corp............................................ 20,000 650,000
*FMC Corp............................................. 8,100 492,075
Ford Motor Co......................................... 317,700 15,428,306
Fort James Corp....................................... 57,000 1,289,625
Fortune Brands, Inc................................... 43,300 1,152,862
FPL Group, Inc........................................ 47,200 2,336,400
Franklin Resources, Inc............................... 65,300 1,959,000
*Freeport McMoran Copper & Gold, Inc. Class B......... 43,000 395,062
Gannett Co., Inc...................................... 73,400 4,752,650
Gap, Inc.............................................. 223,900 7,850,494
*Gateway, Inc......................................... 83,300 4,123,350
General Dynamics Corp................................. 52,900 3,124,406
General Electric Co................................... 2,590,800 136,340,850
General Mills, Inc.................................... 79,500 3,155,156
General Motors Corp................................... 168,500 11,900,312
Genuine Parts Co...................................... 46,775 1,116,753
Georgia-Pacific Corp.................................. 45,100 1,477,025
Gillette Co........................................... 282,500 9,428,437
*Global Crossing, Ltd................................. 205,100 5,146,728
Golden West Financial Corp............................ 42,400 1,770,200
Goodrich (B.F.) Co.................................... 29,100 1,033,050
Goodyear Tire & Rubber Co............................. 41,200 1,024,850
GPU, Inc.............................................. 32,600 920,950
Grainger (W.W.), Inc.................................. 24,700 986,456
Great Atlantic & Pacific Tea Co., Inc................. 10,100 185,587
Great Lakes Chemical Corp............................. 14,300 396,825
GTE Corp.............................................. 255,800 16,179,350
*Guidant Corp......................................... 80,800 4,090,500
Halliburton Co........................................ 116,200 5,926,200
Harcourt General, Inc................................. 18,723 739,558
Harley-Davidson, Inc.................................. 79,600 2,965,100
*Harrahs Entertainment, Inc........................... 33,900 669,525
Hartford Financial Services Group, Inc................ 58,500 3,458,812
Hasbro, Inc........................................... 46,198 756,492
HCA - The Heathcare Company........................... 148,500 4,009,500
*Healthsouth Corp..................................... 101,700 654,694
Heinz (H.J.) Co....................................... 93,500 3,664,031
Hercules, Inc......................................... 28,000 463,750
Hershey Foods Corp.................................... 36,500 1,893,437
Hewlett-Packard Co.................................... 264,400 31,761,050
Hilton Hotels Corp.................................... 97,100 825,350
Home Depot, Inc....................................... 605,900 29,575,494
Homestake Mining Co................................... 68,500 462,375
Honeywell International, Inc.......................... 208,400 11,396,875
</TABLE>
8
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Household International, Inc.......................... 123,900 $ 5,823,300
*Humana, Inc.......................................... 44,100 248,062
Huntington Bancshares, Inc............................ 60,300 1,172,081
Ikon Office Solutions, Inc............................ 39,500 197,500
Illinois Tool Works, Inc.............................. 79,000 4,586,937
IMS Health, Inc....................................... 81,000 1,336,500
*Inco, Ltd............................................ 50,500 820,625
Ingersoll-Rand Co..................................... 43,100 1,963,744
Intel Corp............................................ 879,200 109,652,725
International Business Machines Corp.................. 474,400 50,909,050
International Flavors & Fragrances, Inc............... 27,700 941,800
International Paper Co................................ 109,000 3,794,562
Interpublic Group of Companies, Inc................... 73,800 3,168,787
ITT Industries, Inc................................... 23,200 801,850
Jefferson-Pilot Corp.................................. 27,575 1,892,334
Johnson & Johnson..................................... 366,000 32,757,000
Johnson Controls, Inc................................. 22,500 1,281,094
*K Mart Corp.......................................... 128,100 1,088,850
Kansas City Southern Industries, Inc.................. 29,000 1,950,250
Kaufman & Broad Home Corp............................. 12,600 218,137
Kellogg Co............................................ 106,800 3,244,050
Kerr-McGee Corp....................................... 25,100 1,498,156
Keycorp............................................... 117,600 2,469,600
Kimberly Clark Corp................................... 146,000 8,833,000
*KLA-Tencor Corp...................................... 48,200 2,387,406
Knight Ridder, Inc.................................... 20,400 1,081,200
*Kohls Corp........................................... 86,000 4,450,500
*Kroger Co............................................ 219,800 4,368,525
Leggett and Platt, Inc................................ 51,700 1,037,231
Lehman Brothers Holdings, Inc......................... 31,700 2,446,844
*Lexmark International Group, Inc..................... 33,700 2,350,575
Lilly (Eli) & Co...................................... 287,200 21,863,100
Limited, Inc.......................................... 112,800 2,721,300
Lincoln National Corp................................. 51,400 1,991,750
Linear Technology Corp................................ 82,000 4,840,562
Liz Claiborne, Inc.................................... 15,600 613,275
Lockheed Martin Corp.................................. 104,314 2,555,693
Loews Corp............................................ 27,900 1,837,912
Longs Drug Stores Corp................................ 10,400 209,950
Louisiana-Pacific Corp................................ 28,000 315,000
Lowe's Companies, Inc................................. 100,500 4,679,531
*LSI Logic Corp....................................... 78,400 4,130,700
Lucent Technologies, Inc.............................. 838,900 48,131,888
Mallinckrodt, Inc..................................... 18,100 523,769
*Manor Care, Inc...................................... 27,100 191,394
Marriott International, Inc. Class A.................. 65,600 2,378,000
Marsh & McLennan Companies, Inc....................... 70,300 7,737,394
Masco Corp............................................ 117,700 2,317,219
Mattel, Inc........................................... 110,700 1,501,369
*Maxim Integrated Products, Inc....................... 73,200 4,641,338
May Department Stores Co.............................. 87,400 2,627,463
Maytag Corp........................................... 22,200 727,050
MBIA, Inc............................................. 26,200 1,514,688
MBNA Corp............................................. 211,000 5,881,625
McDermott International, Inc.......................... 15,700 157,000
McDonalds Corp........................................ 356,200 12,756,413
McGraw-Hill Companies, Inc............................ 51,600 2,654,175
McKesson HBOC, Inc.................................... 74,100 1,218,019
Mead Corp............................................. 27,100 835,019
*Mediaone Group....................................... 161,200 10,770,175
Medtronic, Inc........................................ 314,200 16,220,575
Mellon Financial Corp................................. 133,900 5,163,519
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Merck & Co., Inc...................................... 615,100 $ 45,901,838
Meredith Corp......................................... 13,500 410,906
Merrill Lynch & Co., Inc.............................. 97,600 9,625,800
MGIC Investment Corp.................................. 27,800 1,377,838
*Micron Technology, Inc............................... 142,300 9,952,106
*Microsoft Corp....................................... 1,370,000 85,667,813
Milacron, Inc......................................... 9,800 154,963
Millipore Corp........................................ 11,900 861,263
Minnesota Mining & Manufacturing Co................... 104,800 8,986,600
*Mirage Resorts, Inc.................................. 50,800 1,063,625
Molex, Inc............................................ 51,600 2,518,725
Morgan (J.P.) & Co., Inc.............................. 45,800 5,896,750
Morgan Stanley Dean Witter
Discover & Co....................................... 300,000 21,581,250
Motorola, Inc......................................... 186,500 17,484,375
Nabisco Group Holdings Corp........................... 85,900 1,873,694
Nacco Industries, Inc. Class A........................ 2,200 83,050
National City Corp.................................... 162,200 3,244,000
*National Semiconductor Corp.......................... 45,200 2,429,500
National Service Industries, Inc...................... 10,700 232,725
*Navistar International Corp.......................... 16,600 533,275
*NCR Corp............................................. 25,500 1,075,781
*Network Appliance Corp............................... 80,100 5,168,953
New Century Energies, Inc............................. 30,500 1,025,563
New York Times Class A................................ 45,200 1,734,550
Newell Rubbermaid, Inc................................ 74,333 1,951,241
Newmont Mining Corp................................... 44,058 1,016,088
*Nextel Communications Corp. Class A.................. 95,800 8,870,481
*Niagara Mohawk Holdings, Inc......................... 46,700 685,906
Nicor, Inc............................................ 12,400 454,925
Nike, Inc. Class B.................................... 72,600 3,112,725
Nordstrom, Inc........................................ 35,400 889,425
Norfolk Southern Corp................................. 100,600 1,791,938
Nortel Network Corp................................... 760,200 41,288,363
Northern States Power Co. MN.......................... 40,800 902,700
Northern Trust Corp................................... 58,500 3,848,203
Northrop Grumman Corp................................. 18,300 1,402,238
*Novell, Inc.......................................... 86,000 713,531
Nucor Corp............................................ 23,000 894,125
Occidental Petroleum Corp............................. 96,800 2,292,950
*Office Depot, Inc.................................... 86,600 611,613
Old Kent Financial Corp............................... 35,000 1,163,750
Omnicom Group, Inc.................................... 46,600 3,911,488
Oneok, Inc............................................ 8,100 235,913
*Oracle Systems Corp.................................. 742,500 53,320,781
Owens Corning......................................... 14,400 222,300
*Owens-Illinois, Inc.................................. 39,500 444,375
Paccar, Inc........................................... 20,620 864,751
*Pactiv Corporation................................... 45,100 403,081
Paine Webber Group, Inc............................... 37,700 1,694,144
Pall Corp............................................. 32,700 686,700
*Parametric Technology Corp........................... 72,400 771,513
Parker-Hannifin Corp.................................. 29,525 1,230,823
Paychex, Inc.......................................... 97,650 3,420,802
PE Corp. - PE Biosystems Group........................ 54,200 3,008,100
PECO Energy Co........................................ 48,800 2,144,150
Penney (J.C.) Co., Inc................................ 68,600 1,243,375
Peoples Energy Corp................................... 9,400 319,013
*Peoplesoft, Inc...................................... 70,600 977,369
Pepsico, Inc.......................................... 383,200 15,591,450
PerkinElmer, Inc...................................... 12,600 661,500
Pfizer, Inc........................................... 1,018,700 45,395,819
</TABLE>
9
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
PG&E Corp. (Holding Co.).............................. 101,100 $ 2,622,281
Pharmacia Corp........................................ 329,226 17,099,175
Phelps Dodge Corp..................................... 21,241 953,190
Philip Morris Companies, Inc.......................... 623,000 16,275,875
Phillips Petroleum Co................................. 66,700 3,818,575
Pinnacle West Capital Corp............................ 22,300 797,225
Pitney Bowes, Inc..................................... 69,900 3,040,650
Placer Dome, Inc...................................... 85,700 707,025
PNC Bank Corp......................................... 77,500 3,904,063
Polaroid Corp......................................... 11,700 224,494
Potlatch Corp......................................... 7,600 287,850
PPG Industries, Inc................................... 45,800 2,269,963
PPL Corp.............................................. 37,900 895,388
Praxair, Inc.......................................... 41,900 1,759,800
Price (T. Rowe) Associates, Inc....................... 31,500 1,203,891
Procter & Gamble Co................................... 346,400 23,035,600
Progressive Corp...................................... 19,200 1,802,400
Providian Financial Corp.............................. 37,300 3,317,369
Public Service Enterprise Group, Inc.................. 57,600 2,145,600
Pulte Corp............................................ 11,400 252,938
Quaker Oats Co........................................ 35,200 2,589,400
*QUALCOMM, Inc........................................ 194,000 12,870,688
*Quintiles Transnational Corp......................... 30,300 447,872
Radioshack Corp....................................... 50,960 2,162,615
Ralston Purina Group.................................. 79,500 1,475,719
Raytheon Co. Class B.................................. 89,200 2,090,625
*Reebok International, Ltd............................ 14,800 205,350
Regions Financial Corp................................ 57,500 1,299,141
Reliant Energy, Inc................................... 77,900 2,220,150
*Rite Aid Corp........................................ 68,200 473,138
Rockwell International Corp........................... 49,800 2,041,800
Rohm & Haas Co........................................ 57,700 1,969,013
*Rowan Companies, Inc................................. 24,300 754,819
Royal Dutch Petroleum Co. Den Haag (N.Y. Registry).... 564,300 35,233,481
Russell Corp.......................................... 8,700 193,575
Ryder System, Inc..................................... 15,600 299,325
*Sabre Holdings Corp.................................. 34,122 981,008
Safeco Corp........................................... 34,200 838,969
*Safeway, Inc......................................... 134,100 6,185,363
*Saint Jude Medical, Inc.............................. 22,150 796,016
Saint Paul Companies, Inc............................. 59,742 2,240,325
*Sapient Corp......................................... 15,300 1,528,566
Sara Lee Corp......................................... 239,200 4,305,600
SBC Communications, Inc............................... 897,800 39,222,638
Schering-Plough Corp.................................. 386,700 18,706,613
Schlumberger, Ltd..................................... 144,600 10,637,138
Schwab (Charles) Corp................................. 323,700 9,306,375
Scientific-Atlanta, Inc............................... 41,600 2,345,200
*Seagate Technology, Inc.............................. 56,800 3,294,400
Seagram Co., Ltd...................................... 114,100 5,441,144
*Sealed Air Corp...................................... 22,092 1,237,152
Sears, Roebuck & Co................................... 99,500 3,675,281
Sempra Energy......................................... 53,845 1,012,959
Shared Medical Systems Corp........................... 7,100 515,638
Sherwin-Williams Co................................... 43,600 1,013,700
*Siebel Systems, Inc.................................. 50,600 5,918,619
Sigma-Aldrich Corp.................................... 26,500 883,609
*Silicon Graphics, Inc................................ 48,500 321,313
SLM Holdings Corp..................................... 41,800 1,408,138
Snap-On, Inc.......................................... 15,400 395,588
*Solectron Corp....................................... 156,000 5,157,750
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Southern Co........................................... 177,100 $ 4,593,531
SouthTrust Corp....................................... 44,100 1,194,834
Southwest Airlines Co................................. 132,700 2,546,181
Springs Industries, Inc. Class A...................... 4,750 225,625
Sprint Corp........................................... 229,200 13,866,600
*Sprint Corp. (PCS Group)............................. 226,700 12,581,850
Stanley Works......................................... 23,500 631,563
*Staples, Inc......................................... 123,800 1,814,444
State Street Corp..................................... 42,100 4,694,150
Summit Bancorp........................................ 46,100 1,322,494
*Sun Microsystems..................................... 415,600 31,832,363
Sunoco, Inc........................................... 23,800 769,038
Suntrust Banks, Inc................................... 84,200 5,030,950
Supervalu, Inc........................................ 36,800 765,900
Synovus Financial Corp................................ 73,700 1,474,000
Sysco Corp............................................ 86,900 3,644,369
Target Corp........................................... 115,500 7,240,406
Tektronix, Inc........................................ 12,450 666,075
*Tellabs, Inc......................................... 106,000 6,880,063
Temple-Inland, Inc.................................... 14,700 730,406
Tenet Healthcare Corp................................. 82,000 2,101,250
*Teradyne, Inc........................................ 44,900 3,861,400
Texaco, Inc........................................... 145,400 8,351,413
Texas Corp............................................ 72,800 2,602,600
Texas Instruments, Inc................................ 428,000 30,923,000
Textron, Inc.......................................... 39,200 2,459,800
*Thermo-Electron Corp................................. 41,700 774,056
Thomas & Betts Corp................................... 15,200 431,300
Time Warner, Inc...................................... 338,700 26,736,131
Times Mirror Co. Class A.............................. 15,900 1,534,350
Timken Co............................................. 16,300 307,663
TJX Companies, Inc.................................... 81,700 1,766,763
Torchmark Corp........................................ 34,700 943,406
Tosco Corp............................................ 38,000 1,163,750
*Toys R Us, Inc....................................... 63,200 995,400
Transocean Sedco Forex, Inc........................... 55,100 2,710,231
Tribune Co............................................ 62,400 2,402,400
*Tricon Global Restaurants, Inc....................... 39,700 1,163,706
TRW, Inc.............................................. 32,000 1,552,000
Tupperware Corp....................................... 15,200 335,350
Tyco International, Ltd............................... 494,900 23,291,231
U.S. Bancorp.......................................... 198,400 5,158,400
U.S. West, Inc........................................ 133,000 9,576,000
Unicom Corp., Inc..................................... 57,400 2,392,863
Unilever NV........................................... 150,500 7,647,281
Union Carbide Corp.................................... 35,200 1,925,000
Union Pacific Corp.................................... 65,500 2,771,469
Union Pacific Resources Group, Inc.................... 66,376 1,572,282
Union Planters Corp................................... 37,100 1,159,375
*Unisys Corp.......................................... 81,700 2,216,113
United Technologies Corp.............................. 125,100 7,560,731
Unitedhealth Group, Inc............................... 44,900 3,347,856
Unocal Corp........................................... 63,700 2,448,469
UnumProvident Corp.................................... 63,300 1,436,119
*USAir Group, Inc..................................... 18,800 799,000
UST, Inc.............................................. 45,000 748,125
USX-Marathon Group, Inc............................... 81,800 2,223,938
USX-US Steel Group.................................... 23,320 526,158
*Veritas Software Co.................................. 152,500 17,761,484
VF Corp............................................... 31,100 892,181
*Viacom, Inc. Class B................................. 401,083 24,867,146
Vulcan Materials Co................................... 26,300 1,229,525
</TABLE>
10
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wachovia Corp......................................... 53,300 $ 3,684,363
Walgreen Co........................................... 264,700 7,510,863
Wal-Mart Stores, Inc.................................. 1,172,100 67,542,263
Warner-Lambert Co..................................... 225,900 27,588,038
Washington Mutual, Inc................................ 151,800 4,364,250
Waste Management, Inc................................. 163,200 3,325,200
*Watson Pharmaceuticals, Inc.......................... 25,300 1,116,363
*Wellpoint Health Networks, Inc....................... 16,700 1,212,838
Wells Fargo Company................................... 434,500 19,661,125
Wendy's International, Inc............................ 31,500 616,219
Westvaco Corp......................................... 26,350 793,794
Weyerhaeuser Co....................................... 61,900 3,071,788
Whirlpool Corp........................................ 19,700 1,116,744
Willamette Industries, Inc............................ 29,400 955,500
Williams Companies, Inc............................... 114,497 4,758,782
Winn-Dixie Stores, Inc................................ 38,500 608,781
*Worldcom, Inc........................................ 746,900 28,078,772
Worthington Industries, Inc........................... 23,500 284,938
*WR Grace & Co........................................ 18,900 237,431
Wrigley (Wm.) Jr. Co.................................. 30,500 2,441,906
Xerox Corp............................................ 174,800 4,741,450
*Xilinx, Inc.......................................... 84,800 6,452,750
*Yahoo! Inc........................................... 138,500 15,654,828
Young & Rubicam, Inc.................................. 18,300 873,825
--------------
TOTAL INVESTMENTS - (100.0%) (Cost $2,217,384,060)++... $3,202,688,345
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $2,242,097,583.
</TABLE>
See accompanying Notes to Financial Statements.
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments at Value........................................ $3,202,688
Collateral for Securities Loaned............................ 10,472
Receivables:
Dividends and Interest.................................... 4,169
Fund Shares Sold.......................................... 4,790
Investment Securities Sold................................ 23
Prepaid Expenses and Other Assets........................... 66
----------
Total Assets............................................ 3,222,208
----------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 10,472
Payable for Investment Securities Purchased................. 1,797
Loan Payable................................................ 910
Accrued Expenses and Other Liabilities...................... 224
----------
Total Liabilities....................................... 13,403
----------
NET ASSETS.................................................. $3,208,805
==========
Investments at Cost......................................... $2,217,384
==========
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends................................................. $18,585
Interest.................................................. 184
Income From Securities Lending............................ 28
-------
Total Investment Income................................. 18,797
-------
EXPENSES
Investment Advisory Services.............................. 387
Accounting & Transfer Agent Fees.......................... 232
Custodian's Fee........................................... 98
Legal Fees................................................ 17
Audit Fees................................................ 15
Shareholders' Reports..................................... 28
Trustees' Fees and Expenses............................... 6
Other..................................................... 94
-------
Total Expenses.......................................... 877
-------
NET INVESTMENT INCOME..................................... 17,920
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities Sold........... (14,186)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... 73,822
-------
NET GAIN ON INVESTMENT SECURITIES......................... 59,636
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $77,556
=======
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED NOV. 30,
MAY 31, 2000 1999
------------- -----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 17,920 $ 28,330
Net Realized Gain (Loss) on Investment Securities Sold.... (14,186) 8,219
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... 73,822 351,120
---------- ----------
Net Increase in Net Assets Resulting from Operations.... 77,556 387,669
---------- ----------
Transactions in Interest:
Contributions............................................. 513,192 1,037,766
Withdrawals............................................... (157,005) (207,547)
---------- ----------
Net Increase from Transactions in Interest.............. 356,187 830,219
---------- ----------
Total Increase.......................................... 433,743 1,217,888
NET ASSETS
Beginning of Period....................................... 2,775,062 1,557,174
---------- ----------
End of Period............................................. $3,208,805 $2,775,062
========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
MAY 31, 2000 1999 1998 1997 1996 1995
------------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period (1)............ N/A N/A N/A N/A $ 13.48 $ 10.11
INCOME FROM INVESTMENT
OPERATIONS (1)
Net Investment Income.... -- -- -- -- 0.15 0.30
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ -- -- -- -- 1.41 3.36
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations........... -- -- -- -- 1.56 3.66
LESS DISTRIBUTIONS (1)
Net Investment Income.... -- -- -- -- (0.16) (0.29)
Net Realized Gains....... -- -- -- -- (0.08) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.... -- -- -- -- (0.24) (0.29)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period (1)............... N/A N/A N/A N/A $ 14.80 $ 13.48
========== ========== ========== ========== ========== ==========
Total Return (1)........... N/A N/A N/A N/A 11.60%# 36.77%
Net Assets, End of Period
(thousands).............. $3,208,805 $2,775,062 $1,557,174 $ 822,493 $ 466,441 $ 97,118
Ratio of Expenses to
Average Net Assets....... 0.06%* 0.06% 0.06% 0.07% 0.12% 0.02%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumption of Expenses).. 0.06%* 0.06% 0.06% 0.07% 0.12% 0.18%
Ratio of Net Investment
Income to Average Net
Assets................... 1.16%* 1.27% 1.47% 1.75% 2.12% 2.61%
Ratio of Net Investment
Income to Average Net
Assets (Excluding Waivers
and Assumption of
Expenses)................ 1.16%* 1.27% 1.47% 1.75% 2.12% 2.45%
Portfolio Turnover Rate of
Master Fund Series....... 5%* 4% 9% 4% 14% 2%
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
* Annualized
# Non-annualized
(1) These items are calculated for the period December 1, 1995 through
May 31, 1996. Effective June 1, 1996, the series reorganized as a
partnership, and these items are no longer applicable.
</TABLE>
See accompanying Notes to Financial Statements.
15
<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 U.S. Large Company Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Trustees.
2. FEDERAL INCOME TAXES: The U.S. Large Company Series is treated as a
partnership for federal income tax purposes. Any interest, dividends and gains
and losses will be deemed to have been "passed through" to the Feeder Fund.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2000.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board of Trustees.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Series. For the six months ended May 31, 2000, the
Series' advisory fees were accrued daily and paid monthly to the Advisor based
on an effective annual rate of 0.025 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
16
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2000, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases.................................................. $452,363
Sales...................................................... 82,302
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 2000, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation.............................. $1,065,786
Gross Unrealized Depreciation.............................. (105,195)
----------
Net...................................................... $ 960,591
==========
</TABLE>
F. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
series is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each series is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. Borrowings under the line of credit by the
Series for the six months ended May 31, 2000 were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
<S> <C> <C> <C> <C>
6.35% $6,573,258 31 $35,937 $22,594,000
</TABLE>
The U.S. Large Company Series had an outstanding borrowing of $910,000 plus
accrued interest under the line of credit at May 31, 2000.
G. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Series or, at the option of the
lending agent, replace the loaned securities. Such cash collateral for May 31,
2000 was reinvested into overnight repurchase agreements with Salomon Brothers
which was in turn collateralized by U.S. Government Treasury Securities. At
May 31, 2000, the market value of securities on loan to brokers was $10,172,735,
the related collateral cash received was $10,471,700 and the value of collateral
on overnight repurchase agreements was $10,742,078.
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