<PAGE>
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
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 CAP VALUE SERIES
Schedule of Investments............................................. 7-9
Statement of Assets and Liabilities................................. 10
Statement of Operations............................................. 11
Statements of Changes in Net Assets................................. 12
Financial Highlights................................................ 13
Notes to Financial Statements....................................... 14-15
</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 CAP VALUE PORTFOLIO III
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 Cap Value Series of The DFA
Investment Trust Company (22,415,691 Shares, Cost
$277,945)++ at Value...................................... $ 328,838
Receivables:
Fund Shares Sold.......................................... 86
Investment Securities Sold................................ 378
Prepaid Expenses and Other Assets........................... 17
-----------
Total Assets............................................ 329,319
-----------
LIABILITIES:
Payable for Fund Shares Redeemed............................ 464
Accrued Expenses and Other Liabilities...................... 28
-----------
Total Liabilities....................................... 492
-----------
NET ASSETS.................................................. $ 328,827
===========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 20,644,410
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 15.93
===========
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. $ 214,769
Undistributed Net Investment Income......................... 1,216
Undistributed Net Realized Gain............................. 61,949
Unrealized Appreciation of Investment Securities............ 50,893
-----------
Total Net Assets........................................ $ 328,827
===========
-------------------------------------------------------------------------
++ The cost for federal income tax purposes is $280,146.
</TABLE>
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA
Investment Trust Company...................... $ 2,216
--------
EXPENSES
Administrative Services......................... 18
Accounting & Transfer Agent Fees................ 8
Legal Fees...................................... 12
Audit Fees...................................... 2
Filing Fees..................................... 11
Shareholders' Reports........................... 11
Directors' Fees and Expenses.................... 4
Other........................................... 5
--------
Total Expenses................................ 71
--------
NET INVESTMENT INCOME........................... 2,145
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Capital Gain Distributions Received from The DFA
Investment Trust Company...................... 68,004
Net Realized Gain on Investment Securities
Sold.......................................... 2,970
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... (70,798)
--------
NET GAIN ON INVESTMENT SECURITIES............... 176
--------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ 2,321
========
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2000 1999
----------- ----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 2,145 $ 7,796
Capital Gain Distribution Received from The DFA Investment
Trust Company........................................... 68,004 36,280
Net Realized Gain on Investment Securities Sold........... 2,970 14,348
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... (70,798) (34,918)
-------- ---------
Net Increase in Net Assets Resulting from
Operations.......................................... 2,321 23,506
-------- ---------
Distributions From:
Net Investment Income..................................... (15,305) (7,622)
Net Realized Gains........................................ (50,783) (26,480)
-------- ---------
Total Distributions................................... (66,088) (34,102)
-------- ---------
Capital Share Transactions (1):
Shares Issued............................................. 47,339 55,266
Shares Issued in Lieu of Cash Distributions............... 66,088 34,102
Shares Redeemed........................................... (139,480) (144,736)
-------- ---------
Net Decrease from Capital Share Transactions.......... (26,053) (55,368)
-------- ---------
Total Decrease........................................ (89,820) (65,964)
NET ASSETS
Beginning of Period....................................... 418,647 484,611
-------- ---------
End of Period............................................. $328,827 $ 418,647
======== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................. 3,130 2,783
Shares Issued in Lieu of Cash Distributions............... 4,291 1,896
Shares Redeemed........................................... (8,735) (7,340)
-------- ---------
(1,314) (2,661)
======== =========
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR FEB. 3
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
------------ --------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period................... $ 19.07 $ 19.68 $ 19.02 $ 15.76 $ 12.92 $ 10.00
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................................ 0.13 0.36 0.33 0.32 0.28 0.23
Net Gains (Losses) on Securities (Realized and
Unrealized)........................................ -- 0.47 1.75 3.52 2.60 3.09
-------- -------- -------- -------- -------- --------
Total from Investment Operations................... 0.13 0.83 2.08 3.84 2.88 3.32
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income................................ (0.39) (0.32) (0.33) (0.29) (0.04) (0.23)
Net Realized Gains................................... (2.88) (1.12) (1.09) (0.29) -- (0.17)
-------- -------- -------- -------- -------- --------
Total Distributions................................ (3.27) (1.44) (1.42) (0.58) (0.04) (0.40)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period......................... $ 15.93 $ 19.07 $ 19.68 $ 19.02 $ 15.76 $ 12.92
======== ======== ======== ======== ======== ========
Total Return........................................... 1.22%# 4.65% 11.85% 25.23% 22.34% 33.27%#
Net Assets, End of Period (thousands).................. $328,827 $418,647 $484,611 $471,038 $379,974 $135,043
Ratio of Expenses to Average Net Assets (1)............ 0.20%* 0.19% 0.19% 0.23% 0.26% 0.31%*
Ratio of Net Investment Income to Average Net Assets... 1.22%* 1.73% 1.67% 1.79% 2.29% 2.82%*
Portfolio Turnover Rate................................ N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series.......... 22%* 43% 25% 18% 20% 29%(a)
</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) Master Fund Series turnover calculated for the year ended November 30,
1995.
NA Refer to the Master Fund Series.
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios, of
which U.S. Large Cap Value Portfolio III (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The U.S. Large Cap Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2000, the Portfolio owned 18% 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.
2. FEDERAL INCOME TAXES: It is the Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income tax is required in the
financial statements.
3. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of net short-term capital gain distributions from The DFA
Investment Trust Company. Expenses directly attributable to the Portfolio or to
the Series are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2000, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1% of average daily net
assets.
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.......................... $ 48,692
Gross Unrealized Depreciation.......................... --
--------
Net.................................................. $ 48,692
========
</TABLE>
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
during the six months ended May 31, 2000.
6
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (99.0%)
Aetna, Inc............................................ 544,726 $ 36,360,460
Airborne Freight Corp................................. 148,200 2,991,787
*Airgas, Inc.......................................... 28,800 154,800
AK Steel Holding Corp................................. 675,675 6,545,602
*Alaska Air Group, Inc................................ 111,200 3,461,100
Albemarle Corp........................................ 102,100 2,246,200
Alcoa, Inc............................................ 186,994 10,927,462
Alexander & Baldwin, Inc.............................. 164,000 3,792,500
*Allegheny Corp....................................... 17,158 2,852,517
Alliant Energy Corp................................... 217,700 6,027,569
Allmerica Financial Corp.............................. 80,600 4,649,612
Allstate Corp......................................... 739,500 19,596,750
Ambac, Inc............................................ 140,300 7,067,612
Amerada Hess Corp..................................... 115,100 7,639,762
*America West Holdings Corp. Class B.................. 108,800 1,938,000
American Annuity Group, Inc........................... 37,600 641,550
American Financial Group, Inc......................... 178,100 4,975,669
American Greetings Corp. Class A...................... 190,400 3,546,200
American National Insurance Co........................ 38,900 2,101,816
Amerus Life Holdings, Inc. Class A.................... 45,600 909,150
*AMR Corp............................................. 565,000 16,102,500
Arch Coal, Inc........................................ 49,022 367,665
Archer-Daniels Midland Co............................. 2,064,146 24,640,743
*Arrow Electronics, Inc............................... 333,000 11,675,812
Ashland, Inc.......................................... 249,200 8,706,425
*AutoNation, Inc...................................... 2,068,600 16,290,225
Avnet, Inc............................................ 8,420 582,559
Bancwest Corp......................................... 367,800 6,873,262
Bear Stearns Companies, Inc........................... 376,170 14,811,694
Belo (A.H.) Corp. Class A............................. 331,800 5,329,537
*Bethlehem Steel Corp................................. 444,400 1,722,050
Block Drug Co., Inc. Class A.......................... 1,127 31,204
Boise Cascade Corp.................................... 176,300 5,134,737
*Borders Group, Inc................................... 22,700 319,219
Borg Warner Automotive, Inc........................... 100,800 4,006,800
Bowater, Inc.......................................... 171,600 8,869,575
Brunswick Corp........................................ 297,600 5,728,800
Burlington Northern Santa Fe Corp..................... 1,835,700 43,368,412
C.I.T. Group, Inc. Class A............................ 289,000 5,292,312
CBRL Group, Inc....................................... 270,000 3,906,562
Centex Corp........................................... 229,000 4,751,750
Champion International Corp........................... 293,700 21,440,100
Chesapeake Corp....................................... 15,100 493,581
*Chris-Craft Industries, Inc.......................... 76,294 4,644,397
Cincinnati Financial Corp............................. 490,280 19,718,449
*CNA Financial Corp................................... 615,800 21,976,362
Coca-Cola Enterprises, Inc............................ 1,203,100 20,603,087
Commerce Group, Inc................................... 93,100 2,525,337
Commercial Federal Corp............................... 94,900 1,512,469
Conseco, Inc.......................................... 1,006,800 6,292,500
Consolidated Papers, Inc.............................. 196,100 7,329,237
*Consolidated Stores Corp............................. 211,500 2,749,500
Cooper Tire & Rubber Co............................... 306,400 3,695,950
Corn Products International, Inc...................... 116,200 2,854,162
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Countrywide Credit Industries, Inc.................... 370,200 $ 11,383,650
Crompton Corp......................................... 5,637 68,349
Crown Cork & Seal Co., Inc............................ 424,500 7,269,562
CSX Corp.............................................. 875,400 19,039,950
Cummins Engine Co., Inc............................... 135,200 4,402,450
Dana Corp............................................. 504,800 13,030,150
Delphi Automotive Systems Corp........................ 258,930 4,676,923
Delta Air Lines, Inc.................................. 422,500 21,732,344
Dillards, Inc. Class A................................ 330,700 4,939,831
Dime Bancorp, Inc..................................... 53,800 981,850
Earthgrains Co........................................ 114,700 1,892,550
Eastman Chemical Co................................... 83,200 3,790,800
Enhance Financial Services Group, Inc................. 116,400 1,600,500
ENSCO International, Inc.............................. 67,900 2,372,256
EOG Resources, Inc.................................... 215,000 6,987,500
Everest Re Group, Ltd................................. 16,000 544,000
*Extended Stay America, Inc........................... 355,300 3,197,700
Federal-Mogul Corp.................................... 356,800 3,545,700
*Federated Department Stores, Inc..................... 651,100 25,067,350
Financial Security Assurance Holdings, Ltd............ 41,800 3,140,225
Finova Group, Inc..................................... 118,400 1,413,400
First American Financial Corp......................... 112,300 1,866,987
First Citizens Bancshares, Inc. NC.................... 10,300 621,219
Florida East Coast Industries, Inc.................... 62,500 3,000,000
*FMC Corp............................................. 1,000 60,750
Ford Motor Co......................................... 2,145,900 104,210,269
Fortune Brands, Inc................................... 591,000 15,735,375
GATX Corp............................................. 143,400 4,830,787
General Motors Corp................................... 1,494,300 105,534,937
*General Motors Corp. Class H......................... 389,446 38,336,091
*Gentiva Health Services.............................. 3,325 28,990
Georgia-Pacific Corp.................................. 445,000 14,573,750
*Golden State Bancorp, Inc............................ 156,200 2,743,262
Golden West Financial Corp............................ 247,800 10,345,650
Goodrich (B.F.) Co.................................... 109,100 3,873,050
Goodyear Tire & Rubber Co............................. 113,400 2,820,825
Great Atlantic & Pacific Tea Co., Inc................. 135,900 2,497,162
Greenpoint Financial Corp............................. 265,700 5,546,487
Harris Corp........................................... 126,400 3,863,100
Hartford Life, Inc. Class A........................... 20,000 1,003,750
*Healthsouth Corp..................................... 1,481,200 9,535,225
*Hearst-Argyle Television, Inc........................ 225,000 4,260,937
Heller Financial, Inc................................. 52,600 992,825
Helmerich & Payne, Inc................................ 151,600 5,647,100
Hibernia Corp......................................... 301,300 3,879,238
Hollinger International, Inc. Class A................. 268,700 3,274,781
Horton (D.R.), Inc.................................... 355,300 4,641,106
*Humana, Inc.......................................... 557,100 3,133,688
IBP, Inc.............................................. 344,900 5,690,850
Ikon Office Solutions, Inc............................ 541,400 2,707,000
*Imation Corp......................................... 1,600 45,300
IMC Global, Inc....................................... 445,300 6,846,488
*Ingram Micro, Inc.................................... 266,900 4,503,938
*Interim Services, Inc................................ 150,300 3,024,788
</TABLE>
7
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
International Paper Co................................ 513,041 $ 17,860,240
*K Mart Corp.......................................... 1,650,000 14,025,000
Keycorp............................................... 840,000 17,640,000
Lafarge Corp.......................................... 257,500 6,566,250
*Lam Research Corp.................................... 14,700 472,697
*Lanier Worldwide, Inc................................ 101,400 183,788
Lehman Brothers Holdings, Inc......................... 362,000 27,941,875
Lennar Corp........................................... 58,000 1,094,750
*Liberty Corp......................................... 40,400 1,419,050
Liberty Financial Companies, Inc...................... 160,000 3,770,000
Lincoln National Corp................................. 446,100 17,286,375
Lockheed Martin Corp.................................. 489,500 11,992,750
Loews Corp............................................ 363,400 23,938,975
Longs Drug Stores Corp................................ 50,900 1,027,544
Louisiana-Pacific Corp................................ 335,300 3,772,125
Lubrizol Corp......................................... 182,000 4,208,750
Lyondell Chemical Co.................................. 303,000 5,056,313
Mallinckrodt, Inc..................................... 205,300 5,940,869
*Mandalay Resort Group................................ 296,300 6,277,856
*Manor Care, Inc...................................... 222,000 1,567,875
Mark IV Industries, Inc............................... 85,600 1,819,000
MBIA, Inc............................................. 92,900 5,370,781
Mead Corp............................................. 306,300 9,437,869
Millennium Chemicals, Inc............................. 346,800 6,675,900
*Mirage Resorts, Inc.................................. 669,900 14,026,031
*Modis Professional Services, Inc..................... 89,500 917,375
*Mony Group, Inc...................................... 5,000 185,313
Nabisco Group Holdings Corp........................... 1,090,980 23,797,001
Norfolk Southern Corp................................. 1,294,000 23,049,375
Northrop Grumman Corp................................. 249,000 19,079,625
Occidental Petroleum Corp............................. 650,800 15,415,825
*Officemax, Inc....................................... 384,600 2,091,263
Ohio Casualty Corp.................................... 213,800 2,558,919
Old Republic International Corp....................... 612,475 10,756,592
Omnicare, Inc......................................... 360,300 5,944,950
*Owens-Illinois, Inc.................................. 415,500 4,674,375
Pacific Century Financial Corp........................ 227,800 5,125,500
*Pacificare Health Systems, Inc....................... 51,296 3,324,622
*Pactiv Corporation................................... 615,100 5,497,456
*Park Place Entertainment Corp........................ 759,800 9,592,475
Penney (J.C.) Co., Inc................................ 1,140,000 20,662,500
Penzoil Quaker State Co............................... 55,600 611,600
Phelps Dodge Corp..................................... 212,712 9,545,451
*Pioneer Natural Resources Co......................... 483,900 7,228,256
PMI Group, Inc........................................ 58,500 2,968,875
Potlatch Corp......................................... 94,600 3,582,975
*Premier Parks, Inc................................... 153,600 3,657,600
*Pride International, Inc............................. 50,000 1,271,875
Pulte Corp............................................ 127,600 2,831,125
Questar Corp.......................................... 271,400 5,512,813
*R & B Falcon Corp.................................... 169,300 3,967,969
Radian Group, Inc..................................... 47,000 2,585,000
Rayonier, Inc......................................... 83,000 3,340,750
Raytheon Co. Class A.................................. 321,500 7,575,344
Raytheon Co. Class B.................................. 409,900 9,607,031
*Rite Aid Corp........................................ 457,100 3,171,131
RJ Reynolds Tobacco Holdings, Inc..................... 448,226 12,438,272
Russell Corp.......................................... 137,400 3,057,150
Ryder System, Inc..................................... 268,800 5,157,600
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Sabre Holdings Corp.................................. 408,298 $ 11,738,568
Safeco Corp........................................... 491,200 12,049,750
*Safety-Kleen Corp.................................... 195,700 122,313
Saint Paul Companies, Inc............................. 695,326 26,074,725
*Saks, Inc............................................ 450,200 5,205,438
Sears, Roebuck & Co................................... 867,500 32,043,281
*Sensormatic Electronics Corp......................... 196,500 3,082,594
Service Corp. International........................... 825,600 2,580,000
*Silicon Graphics, Inc................................ 501,700 3,323,763
*Smurfit-Stone Container Corp......................... 36,026 512,245
Sovereign Bancorp, Inc................................ 744,700 5,108,177
Spiegel, Inc. Class A Non-Voting...................... 9,600 73,350
Springs Industries, Inc. Class A...................... 7,700 365,750
St. Joe Corp.......................................... 78,400 2,347,100
Starwood Hotels and Resorts Worldwide, Inc............ 577,500 17,072,344
Sunoco, Inc........................................... 329,000 10,630,813
Supervalu, Inc........................................ 286,100 5,954,456
*Tech Data Corp....................................... 72,500 2,725,547
Tecumseh Products Co. Class A......................... 58,300 2,632,609
Tecumseh Products Co. Class B......................... 15,400 665,088
Temple-Inland, Inc.................................... 180,200 8,953,688
Tenet Healthcare Corp................................. 633,000 16,220,625
Tenneco Automotive, Inc............................... 123,020 899,584
Terra Industries, Inc................................. 61,400 130,475
*Thermo-Electron Corp................................. 485,600 9,013,950
Tidewater, Inc........................................ 164,000 6,375,500
Timken Co............................................. 274,800 5,186,850
*Toys R Us, Inc....................................... 819,300 12,903,975
Trinity Industries, Inc............................... 93,300 2,058,431
Tyson Foods, Inc. Class A............................. 50,000 493,750
U.S. Industries, Inc.................................. 262,100 3,538,350
*UAL Corp............................................. 158,400 8,157,600
Ultramar Diamond Shamrock Corp........................ 265,400 6,883,813
UMB Financial Corp.................................... 51,260 1,893,416
*Unifi, Inc........................................... 73,000 930,750
Union Pacific Corp.................................... 826,200 34,958,588
Union Pacific Resources Group, Inc.................... 773,900 18,331,756
*United Rentals, Inc.................................. 235,400 3,825,250
Unitrin, Inc.......................................... 223,800 7,203,563
*Unova, Inc........................................... 273,500 3,777,719
UnumProvident Corp.................................... 646,189 14,660,413
USX-Marathon Group, Inc............................... 916,450 24,915,984
USX-US Steel Group.................................... 314,400 7,093,650
Valero Energy Corp.................................... 268,500 7,853,625
Valhi, Inc............................................ 158,500 1,693,969
*Venator Group, Inc................................... 590,000 6,379,375
*Vishay Intertechnology, Inc.......................... 199,411 14,108,328
Wallace Computer Services, Inc........................ 31,000 310,000
Weis Markets, Inc..................................... 20,800 681,200
Wesco Financial Corp.................................. 13,540 3,290,220
Westvaco Corp......................................... 306,650 9,237,831
*Wisconsin Central Transportation Corp................ 5,900 77,069
Worthington Industries, Inc........................... 122,800 1,488,950
*Ziff-Davis, Inc...................................... 20,000 168,750
--------------
TOTAL COMMON STOCKS
(Cost $1,774,314,419)................................ 1,791,687,391
--------------
</TABLE>
8
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $17,594,688) to be
repurchased at $17,335,865.
(Cost $17,333,000).................................. $ 17,333 $ 17,333,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,791,647,419)++.............................. $1,809,020,391
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $1,791,816,976.
</TABLE>
See accompanying Notes to Financial Statements.
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments at Value........................................ $ 1,809,020
Collateral for Securities Loaned............................ 18,002
Receivables:
Dividends and Interest.................................... 5,597
Investment Securities Sold................................ 1,195
Fund Shares Sold.......................................... 30
Prepaid Expenses and Other Assets........................... 4
------------
Total Assets............................................ 1,833,848
------------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 18,002
Payable for Investment Securities Purchased................. 116
Payable for Fund Shares Redeemed............................ 910
Accrued Expenses and Other Liabilities...................... 331
------------
Total Liabilities....................................... 19,359
------------
NET ASSETS.................................................. $ 1,814,489
============
SHARES OUTSTANDING $.01 PAR VALUE
(Unlimited Number of Shares Authorized)................... 123,720,123
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 14.67
============
Investments at Cost......................................... $ 1,791,647
============
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. 1,734,107
Undistributed Net Investment Income......................... 9,040
Undistributed Net Realized Gain............................. 53,969
Unrealized Appreciation of Investment Securities............ 17,373
------------
Total Net Assets........................................ $ 1,814,489
============
</TABLE>
See accompanying Notes to Financial Statements.
10
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends................................................. $ 19,086
Interest.................................................. 377
Income from Securities Lending............................ 145
--------
Total Investment Income............................... 19,608
--------
EXPENSES
Investment Advisory Services.............................. 859
Accounting & Transfer Agent Fees.......................... 324
Custodian's Fee........................................... 95
Legal Fees................................................ 15
Audit Fees................................................ 14
Shareholders' Reports..................................... 20
Other..................................................... 37
--------
Total Expenses........................................ 1,364
--------
NET INVESTMENT INCOME..................................... 18,244
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities Sold............. 54,233
Change in Unrealized Appreciation (Depreciation) of
Investment Securities..................................... (51,788)
--------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.... 2,445
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 20,689
========
</TABLE>
See accompanying Notes to Financial Statements.
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2000 1999
----------- -----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 18,244 $ 33,022
Net Realized Gain on Investment Securities Sold........... 54,233 310,039
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... (51,788) (262,465)
---------- ----------
Net Increase in Net Assets Resulting From
Operations.......................................... 20,689 80,596
---------- ----------
Distributions From:
Net Investment Income..................................... (10,459) (32,738)
Net Realized Gains........................................ (310,296) (135,996)
---------- ----------
Total Distributions................................... (320,755) (168,734)
---------- ----------
Capital Share Transactions (1):
Shares Issued............................................. 248,408 240,602
Shares Issued in Lieu of Cash Distributions............... 317,842 166,280
Shares Redeemed........................................... (239,777) (286,569)
---------- ----------
Net Increase from Capital Share Transactions.......... 326,473 120,313
---------- ----------
Total Increase........................................ 26,407 32,175
NET ASSETS
Beginning of Period....................................... 1,788,082 1,755,907
---------- ----------
End of Period............................................. $1,814,489 $1,788,082
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................. 16,944 12,917
Shares Issued in Lieu of Cash Distributions............... 22,378 9,595
Shares Redeemed........................................... (16,090) (15,459)
---------- ----------
23,232 7,053
========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
------------ ----------- ----------- ----------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period............. $ 17.79 $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92
---------- ---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.......................... 0.16 0.34 0.31 0.32 0.31 0.32
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (0.06) 0.46 1.71 3.38 2.57 3.53
---------- ---------- ---------- ---------- -------- --------
Total from Investment Operations............. 0.10 0.80 2.02 3.70 2.88 3.85
---------- ---------- ---------- ---------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income.......................... (0.09) (0.34) (0.32) (0.31) (0.31) (0.31)
Net Realized Gains............................. (3.13) (1.46) (1.00) (0.82) (0.34) (0.17)
---------- ---------- ---------- ---------- -------- --------
Total Distributions.......................... (3.22) (1.80) (1.32) (1.13) (0.65) (0.48)
---------- ---------- ---------- ---------- -------- --------
Net Asset Value, End of Period................... $ 14.67 $ 17.79 $ 18.79 $ 18.09 $ 15.52 $ 13.29
========== ========== ========== ========== ======== ========
Total Return..................................... 1.25%# 4.64% 11.93% 25.31% 22.48% 39.26%
Net Assets, End of Period (thousands)............ $1,814,489 $1,788,082 $1,755,907 $1,489,996 $987,942 $423,027
Ratio of Expenses to Average Net Assets.......... 0.16%* 0.16% 0.16% 0.18% 0.19% 0.21%
Ratio of Net Investment Income to Average Net
Assets......................................... 2.12%* 1.80% 1.67% 1.96% 2.37% 2.84%
Portfolio Turnover Rate.......................... 22%* 43% 25% 18% 20% 29%
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
13
<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 Cap Value
Series(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Trustees.
2. FEDERAL INCOME TAXES: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
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
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 0.10 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
14
<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.................................................. $201,854
Sales...................................................... 188,705
</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............................. $ 322,366
Gross Unrealized Depreciation............................. (305,163)
---------
Net..................................................... $ 17,203
=========
</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> <C>
The U.S. Large Cap Value Series 5.99% $10,511,067 15 $26,249 $29,999,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
2000.
G. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Series or, at the option of the
lending agent, replace the loaned securities. Such cash collateral for May 31,
2000 was reinvested into overnight repurchase agreements with 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 $16,795,541,
the related collateral cash received was $18,001,575 and the value of collateral
on overnight repurchase agreements was $18,466,374.
15
