<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio III
Annual Report
Year Ended November 30, 1999
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Performance Chart....................................... 1
Statement of Assets and Liabilities..................... 2
Statement of Operations................................. 3
Statements of Changes in Net Assets..................... 4
Financial Highlights.................................... 5
Notes to Financial Statements........................... 6-7
Reports of Independant Accountants...................... 8
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE
SERIES
Performance Chart....................................... 9
Schedule of Investments................................. 10-11
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
Reports of Independant Accountants...................... 18
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
- --------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III VS.
RUSSELL 1000 VALUE INDEX
MARCH 1995-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF 10,000
<S> <C> <C>
U.S. Large Cap Value Portfolio III Russell 1000 Value Index
Mar-95 $10,153 $10,219
Apr-95 $10,526 $10,542
May-95 $11,070 $10,986
Jun-95 $11,318 $11,135
Jul-95 $11,804 $11,523
Aug-95 $12,167 $11,685
Sep-95 $12,578 $12,108
Oct-95 $12,062 $11,988
Nov-95 $12,728 $12,596
Dec-95 $12,815 $12,912
Jan-96 $13,180 $13,315
Feb-96 $13,378 $13,416
Mar-96 $13,842 $13,644
Apr-96 $14,069 $13,696
May-96 $14,307 $13,867
Jun-96 $13,882 $13,878
Jul-96 $13,270 $13,354
Aug-96 $13,794 $13,736
Sep-96 $14,071 $14,282
Oct-96 $14,525 $14,835
Nov-96 $15,573 $15,911
Dec-96 $15,420 $15,707
Jan-97 $15,974 $16,469
Feb-97 $16,292 $16,711
Mar-97 $15,544 $16,109
Apr-97 $16,057 $16,786
May-97 $17,298 $17,724
Jun-97 $17,831 $18,485
Jul-97 $19,624 $19,875
Aug-97 $19,326 $19,167
Sep-97 $20,352 $20,325
Oct-97 $19,306 $19,758
Nov-97 $19,511 $20,631
Dec-97 $19,782 $21,234
Jan-98 $20,037 $20,934
Feb-98 $21,789 $22,343
Mar-98 $23,020 $23,710
Apr-98 $23,142 $23,869
May-98 $22,943 $23,516
Jun-98 $22,888 $23,817
Jul-98 $22,100 $23,398
Aug-98 $18,076 $19,916
Sep-98 $18,996 $21,059
Oct-98 $20,536 $22,692
Nov-98 $21,822 $23,749
Dec-98 $22,191 $24,556
Jan-99 $22,621 $24,753
Feb-99 $22,035 $24,404
Mar-99 $22,743 $24,909
Apr-99 $25,163 $27,236
May-99 $25,137 $26,936
Jun-99 $25,557 $27,717
Jul-99 $24,504 $26,905
Aug-99 $23,629 $25,907
Sep-99 $22,361 $25,003
Oct-99 $23,210 $26,443
Nov-99 $22,839 $26,237
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR MARCH 1999
-------------------------------------------
<S> <C> <C>
4.66 18.99
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING IN THE U.S. LARGE CAP VALUE SERIES OF THE
DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN U.S. LARGE COMPANIES ON
A MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT HAVE AVERAGE
WEIGHTED MARKETS CAPS OF APPROXIMATELY $12 BILLION AND BOOK-TO-MARKET RATIOS
IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF LARGE U.S.
COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
Russell 1000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (23,532,769 Shares, Cost
$296,957)++ at Value...................................... $ 418,648
Receivable for Investment Securities Sold................... 265
Prepaid Expenses and Other Assets........................... 24
-----------
Total Assets............................................ 418,937
-----------
LIABILITIES:
Payable for Investment Securities Purchased................. 73
Payable for Fund Share Redeemed............................. 192
Accrued Expenses............................................ 25
-----------
Total Liabilities....................................... 290
-----------
NET ASSETS.................................................. $ 418,647
===========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 21,957,716
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 19.07
===========
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 240,822
Undistributed Net Investment Income......................... 6,924
Undistributed Net Realized Gain............................. 49,210
Unrealized Appreciation of Investment Securities............ 121,691
-----------
Total Net Assets........................................ $ 418,647
===========
</TABLE>
<TABLE>
<C> <S>
- -----------------------------------------------------------------
++ Cost for federal income tax purposes is $298,390.
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company........................................... $ 7,940
--------
EXPENSES
Administrative Services................................... 45
Accounting & Transfer Agent Fees.......................... 19
Legal Fees................................................ 26
Audit Fees................................................ 4
Filing Fees............................................... 13
Shareholders' Reports..................................... 18
Directors' Fees and Expenses.............................. 10
Other..................................................... 9
--------
Total Expenses.......................................... 144
--------
NET INVESTMENT INCOME..................................... 7,796
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA
Investment Trust Company................................ 36,280
Net Realized Gain on Investment Securities................ 14,348
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... (34,918)
--------
NET GAIN ON INVESTMENT SECURITIES......................... 15,710
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 23,506
========
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1999 1998
--------- ---------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 7,796 $ 8,036
Capital Gain Distributions Received from the DFA
Investment Trust Company................................ 36,280 25,896
Net Realized Gain on Investment Securities................ 14,348 7,069
Change in Unrealized Appreciation of Investment
Securities.............................................. (34,918) 16,005
-------- --------
Net Increase in Net Assets Resulting from
Operations.......................................... 23,506 57,006
-------- --------
DISTRIBUTIONS FROM:
Net Investment Income..................................... (7,622) (8,184)
Net Realized Gains........................................ (26,480) (26,867)
-------- --------
Total Distributions................................... (34,102) (35,051)
-------- --------
CAPITAL SHARE TRANSACTIONS (1):
Shares Issued............................................. 55,266 75,702
Shares Issued in Lieu of Cash Distributions............... 34,102 26,709
Shares Redeemed........................................... (144,736) (110,793)
-------- --------
Net Decrease From Capital Share Transactions.......... (55,368) (8,382)
-------- --------
Total Increase (Decrease)............................. (65,964) 13,573
NET ASSETS
Beginning of Period....................................... 484,611 471,038
-------- --------
End of Period............................................. $418,647 $484,611
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................. 2,783 4,052
Shares Issued in Lieu of Cash Distributions............... 1,896 1,529
Shares Redeemed........................................... (7,340) (5,724)
-------- --------
(2,661) (143)
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR FEB. 3
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period............ $ 19.68 $ 19.02 $ 15.76 $ 12.92 $ 10.00
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income......................... 0.36 0.33 0.32 0.28 0.23
Net Gains on Securities (Realized and
Unrealized)................................. 0.47 1.75 3.52 2.60 3.09
-------- -------- -------- -------- --------
Total from Investment Operations............ 0.83 2.08 3.84 2.88 3.32
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income......................... (0.32) (0.33) (0.29) (0.04) (0.23)
Net Realized Gains............................ (1.12) (1.09) (0.29) -- (0.17)
-------- -------- -------- -------- --------
Total Distributions......................... (1.44) (1.42) (0.58) (0.04) (0.40)
-------- -------- -------- -------- --------
Net Asset Value, End of Period.................. $ 19.07 $ 19.68 $ 19.02 $ 15.76 $ 12.92
======== ======== ======== ======== ========
Total Return.................................... 4.65% 11.85% 25.23% 22.34% 33.27%#
Net Assets, End of Period (thousands)........... $418,647 $484,611 $471,038 $379,974 $135,043
Ratio of Expenses to Average Net Assets (1)..... 0.19% 0.19% 0.23% 0.26% 0.31%*
Ratio of Net Investment Income to Average Net
Assets........................................ 1.73% 1.67% 1.79% 2.29% 2.82%*
Portfolio Turnover Rate......................... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series... 42.96% 24.70% 17.71% 20.12% 29.41%(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.
</TABLE>
See accompanying Notes to Financial Statements.
5
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently consists of fifteen
portfolios, of which 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 November 30, 1999, the Portfolio owned 23% of the outstanding shares
of the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in the preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: The 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 year ended November 30, 1999, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1% of average daily net
assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
6
<PAGE>
D. INVESTMENTS:
At November 30, 1999, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation.......................... $120,258
Gross Unrealized Depreciation.......................... --
--------
Net.................................................. $120,258
========
</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 year ended November 30, 1999.
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
In our opinion, the accompanying statement of assets and liabilities, and
the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of U.S. Large Cap Value Portfolio III (constituting a portfolio within
the Dimensional Investment Group Inc., hereafter referred to as the "Fund") at
November 30, 1999, and the results of its operations for the year then ended,
the changes in its net assets for each of the two years in the period then ended
and the financial highlights for each of the periods presented, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 1999 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 14, 2000
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
- --------------------------------------------------------------------------------
U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
APRIL 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
U.S. LARGE CAP VALUE SERIES RUSSELL 1000 VALUE INDEX
Apr-93 $9,971 $9,872
May-93 $10,079 $10,070
Jun-93 $10,293 $10,292
Jul-93 $10,440 $10,407
Aug-93 $10,693 $10,783
Sep-93 $10,507 $10,800
Oct-93 $10,634 $10,793
Nov-93 $10,535 $10,570
Dec-93 $10,788 $10,771
Jan-94 $11,098 $11,178
Feb-94 $10,598 $10,796
Mar-94 $10,169 $10,394
Apr-94 $10,329 $10,594
May-94 $10,259 $10,716
Jun-94 $10,045 $10,460
Jul-94 $10,490 $10,785
Aug-94 $10,793 $11,095
Sep-94 $10,478 $10,726
Oct-94 $10,683 $10,875
Nov-94 $10,204 $10,436
Dec-94 $10,327 $10,556
Jan-95 $10,565 $10,881
Feb-95 $11,163 $11,311
Mar-95 $11,334 $11,559
Apr-95 $11,749 $11,924
May-95 $12,361 $12,426
Jun-95 $12,631 $12,595
Jul-95 $13,185 $13,033
Aug-95 $13,582 $13,217
Sep-95 $14,051 $13,695
Oct-95 $13,474 $13,560
Nov-95 $14,211 $14,247
Dec-95 $14,313 $14,605
Jan-96 $14,720 $15,060
Feb-96 $14,939 $15,175
Mar-96 $15,459 $15,433
Apr-96 $15,712 $15,492
May-96 $15,978 $15,685
Jun-96 $15,513 $15,698
Jul-96 $14,824 $15,104
Aug-96 $15,413 $15,536
Sep-96 $15,721 $16,155
Oct-96 $16,235 $16,780
Nov-96 $17,406 $17,996
Dec-96 $17,235 $17,766
Jan-97 $17,852 $18,628
Feb-97 $18,207 $18,902
Mar-97 $17,374 $18,221
Apr-97 $17,945 $18,986
May-97 $19,338 $20,048
Jun-97 $19,933 $20,908
Jul-97 $21,931 $22,480
Aug-97 $21,608 $21,680
Sep-97 $22,747 $22,989
Oct-97 $21,582 $22,348
Nov-97 $21,811 $23,336
Dec-97 $22,116 $24,017
Jan-98 $22,411 $23,678
Feb-98 $24,369 $25,272
Mar-98 $25,736 $26,819
Apr-98 $25,878 $26,998
May-98 $25,661 $26,599
Jun-98 $25,599 $26,939
Jul-98 $24,711 $26,465
Aug-98 $20,213 $22,527
Sep-98 $21,238 $23,820
Oct-98 $22,973 $25,666
Nov-98 $24,411 $26,862
Dec-98 $24,817 $27,775
Jan-99 $25,298 $27,998
Feb-99 $24,648 $27,603
Mar-99 $25,444 $28,174
Apr-99 $28,151 $30,806
May-99 $28,123 $30,467
Jun-99 $28,593 $31,350
Jul-99 $27,409 $30,432
Aug-99 $26,425 $29,303
Sep-99 $25,006 $28,280
Oct-99 $25,964 $29,909
Nov-99 $25,541 $29,676
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 1993
-----------------------------------------------------
<S> <C> <C> <C>
4.63 20.14 15.10
</TABLE>
- - THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS AND MARKET CAPITALIZATION BY INVESTING IN U.S. LARGE
COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT
HAVE AVERAGE WEIGHTED MARKETS CAPS OF APPROXIMATELY $12 BILLION AND
BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF LARGE CAP HIGH
BOOK-TO-MARKET U.S. COMPANIES.
Past performance is not predictive of future performance.
Russell 1000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
9
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (99.8%)
AK Steel Holding Corp................................. 182,000 $ 3,014,375
*AMR Corp............................................. 565,000 34,394,375
*Advanced Micro Devices, Inc.......................... 485,900 13,726,675
Aegon NV.............................................. 151,614 13,664,212
Aetna, Inc............................................ 544,726 29,755,658
Airborne Freight Corp................................. 139,000 3,223,062
*Airgas, Inc.......................................... 28,800 280,800
*Alaska Air Group, Inc................................ 111,200 4,225,600
Albemarle Corp........................................ 102,100 1,978,187
Alexander & Baldwin, Inc.............................. 164,000 3,741,250
*Allegheny Corp....................................... 16,822 3,229,824
Alliant Energy Corp................................... 217,700 5,891,506
Allmerica Financial Corp.............................. 80,600 4,448,112
*Allstate Corp........................................ 309,400 8,102,412
Ambac, Inc............................................ 140,300 7,646,350
Amerada Hess Corp..................................... 115,100 6,668,606
*America West Holdings Corp. Class B.................. 108,800 2,196,400
American Annuity Group, Inc........................... 37,600 606,300
American Financial Group, Inc......................... 178,100 4,797,569
American Greetings Corp. Class A...................... 170,200 4,010,337
American National Insurance Co........................ 38,900 2,594,144
Amerus Life Holdings, Inc. Class A.................... 45,600 1,074,450
Apache Corp........................................... 19,700 705,506
Archer-Daniels Midland Co............................. 1,958,076 24,353,570
*Arrow Electronics, Inc............................... 437,600 10,010,100
Ashland, Inc.......................................... 198,500 6,699,375
*AutoNation, Inc...................................... 2,068,600 19,263,837
*Avnet, Inc........................................... 115,600 6,350,775
*BJ Services, Co...................................... 96,900 3,379,387
Bancwest Corp......................................... 108,900 4,798,406
Bear Stearns Companies, Inc........................... 376,170 15,352,438
Belo (A.H.) Corp. Class A............................. 306,800 5,522,400
*Bethlehem Steel Corp................................. 444,400 2,777,500
Black & Decker Corp................................... 28,800 1,292,400
Block Drug Co., Inc. Class A.......................... 1,127 32,983
Boise Cascade Corp.................................... 172,100 5,958,962
*Borders Group, Inc................................... 22,700 351,850
Borg Warner Automotive, Inc........................... 74,400 3,013,200
Bowater, Inc.......................................... 158,200 7,751,800
Brunswick Corp........................................ 273,500 5,965,719
Burlington Northern Santa Fe Corp..................... 1,833,200 53,162,800
*CBRL Group, Inc...................................... 270,000 2,986,875
CIGNA Corp............................................ 5,124 421,449
*CNA Financial Corp................................... 562,900 21,953,100
CSX Corp.............................................. 672,700 23,922,894
Capital Re Corp....................................... 26,600 365,750
Centex Corp........................................... 222,500 5,284,375
Champion International Corp........................... 293,700 16,281,994
Chesapeake Corp....................................... 15,100 482,256
*Chris-Craft Industries, Inc.......................... 74,072 5,138,745
Cincinnati Financial Corp............................. 470,280 15,651,506
*Coca-Cola Enterprises, Inc........................... 258,200 5,470,612
Commerce Group, Inc................................... 93,100 2,595,162
Conseco, Inc.......................................... 1,006,800 20,387,700
Consolidated Papers, Inc.............................. 196,100 5,735,925
*Consolidated Stores Corp............................. 166,900 2,628,675
Cooper Tire & Rubber Co............................... 221,400 3,321,000
Corn Products International, Inc...................... 116,200 3,645,775
Countrywide Credit Industries, Inc.................... 346,200 9,736,875
Crown Cork & Seal Co., Inc............................ 393,100 8,009,412
Cummins Engine Co., Inc............................... 125,500 5,082,750
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Dana Corp............................................ 82,800 $ 2,297,700
Delphi Automotive Systems Corp........................ 1,096,830 17,275,072
*Delta Air Lines, Inc................................. 284,500 14,011,625
Dillards, Inc. Class A................................ 329,700 6,223,087
ENSCO International, Inc.............................. 354,600 7,114,162
EOG Resources, Inc.................................... 217,800 4,029,300
Earthgrains Co........................................ 114,700 2,078,937
*Eastman Chemical Co.................................. 67,700 2,631,837
Enhance Financial Services Group, Inc................. 116,400 1,993,350
Everest Reinsurance Holdings, Inc..................... 211,300 5,018,375
*Extended Stay America, Inc........................... 355,300 2,731,369
*FMC Corp............................................. 1,000 48,500
*Federal-Mogul Corp................................... 353,100 7,878,544
*Federated Department Stores, Inc..................... 649,600 30,571,800
Financial Security Assurance Holdings, Ltd............ 41,800 2,207,562
First American Financial Corp......................... 112,300 1,445,862
First Citizens Bancshares, Inc. NC.................... 10,300 749,325
Florida East Coast Industries, Inc.................... 62,500 2,546,875
*Ford Motor Co........................................ 2,120,900 107,105,450
Fortune Brands, Inc................................... 574,000 19,623,625
Fruit of The Loom, Inc. Class A....................... 65,300 122,437
*GATX Corp............................................ 113,400 3,728,025
General Motors Corp................................... 1,569,300 112,989,600
*General Motors Corp. Class H......................... 338,446 28,979,439
Georgia-Pacific Corp.................................. 445,000 17,716,562
*Golden State Bancorp, Inc............................ 32,600 633,662
Golden West Financial Corp............................ 90,800 9,165,125
Goodrich (B.F.) Co.................................... 109,800 2,477,362
*Goodyear Tire & Rubber Co............................ 32,000 1,080,000
Great Atlantic & Pacific Tea Co., Inc................. 126,700 3,222,931
*Greenpoint Financial Corp............................ 206,700 5,232,094
*Harris Corp.......................................... 101,400 2,129,400
*Healthsouth Corp..................................... 1,365,400 7,765,712
Helmerich & Payne, Inc................................ 151,600 3,429,950
Hilton Hotels Corp.................................... 684,200 6,884,763
Hollinger International, Inc. Class A................. 268,700 3,375,544
Horton (D.R.), Inc.................................... 355,300 4,885,375
*Humana, Inc.......................................... 510,600 3,574,200
IBP, Inc.............................................. 288,400 6,362,825
IMC Global, Inc....................................... 426,700 6,880,538
*Ikon Office Solutions, Inc........................... 512,000 3,424,000
*Imation Corp......................................... 1,600 51,500
*Ingram Micro, Inc.................................... 266,900 3,553,106
*#Integrated Health Services, Inc..................... 87,100 32,663
*Interim Services, Inc................................ 150,300 2,771,156
International Paper Co................................ 821,241 42,858,515
*K Mart Corp.......................................... 1,650,000 16,396,875
Lafarge Corp.......................................... 241,800 6,528,600
*Lam Research Corp.................................... 68,900 5,335,444
*Lanier Worldwide, Inc................................ 101,400 405,600
Lehman Brothers Holdings, Inc......................... 362,000 27,647,750
Lennar Corp........................................... 58,000 946,125
Liberty Corp.......................................... 40,400 1,848,300
*Liberty Financial Companies, Inc..................... 160,000 3,760,000
Lincoln National Corp................................. 446,100 18,596,794
*Lockheed Martin Corp................................. 80,900 1,607,888
Loews Corp............................................ 329,600 21,094,400
Longs Drug Stores Corp................................ 50,900 1,278,863
*Louisiana-Pacific Corp............................... 328,500 4,024,125
Lubrizol Corp......................................... 182,000 4,982,250
*Lyondell Chemical Co................................. 251,800 3,525,200
</TABLE>
10
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
MBIA, Inc............................................. 92,900 $ 4,645,000
Mallinckrodt, Inc..................................... 205,200 6,822,900
*Mandalay Resort Group................................ 296,300 6,907,494
*Manor Care, Inc...................................... 222,000 4,453,875
Mark IV Industries, Inc............................... 86,100 1,614,375
Mead Corp............................................. 302,300 10,788,331
Millennium Chemicals, Inc............................. 339,300 6,637,556
*Mirage Resorts, Inc.................................. 666,900 8,544,656
Mitchell Energy & Development Corp. Class A........... 58,500 1,378,406
Mitchell Energy & Development Corp. Class B........... 31,600 726,800
*Modis Professional Services, Inc..................... 89,500 956,531
Murphy Oil Corp....................................... 11,000 621,500
Nabisco Group Holdings Corp........................... 1,009,380 11,670,956
*National Semiconductor Corp.......................... 348,300 14,802,750
Norfolk Southern Corp................................. 1,169,900 25,006,613
Northrop Grumman Corp................................. 234,000 13,147,875
Occidental Petroleum Corp............................. 650,800 14,276,925
*Officemax, Inc....................................... 367,200 2,249,100
*#Ohio Casualty Corp.................................. 213,800 3,293,856
Old Republic International Corp....................... 553,275 6,915,938
Olsten Corp........................................... 13,300 134,663
Omnicare, Inc......................................... 306,600 4,158,263
*Owens-Illinois, Inc.................................. 330,700 7,916,131
PMI Group, Inc........................................ 95,100 4,749,056
Pacific Century Financial Corp........................ 207,800 4,078,075
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable, Class A.................... 51,296 2,404,500
*Pactiv Corporation................................... 615,100 6,304,775
*Park Place Entertainment Corp........................ 586,400 7,549,900
Penney (J.C.) Co., Inc................................ 1,065,700 23,778,431
Penzoil Quaker State Co............................... 55,600 576,850
*Phelps Dodge Corp.................................... 212,712 11,061,024
*Pioneer Natural Resources Co......................... 480,400 3,993,325
Potlatch Corp......................................... 94,600 3,825,388
*Premier Parks, Inc................................... 24,000 600,000
*Pride International, Inc............................. 50,000 718,750
Pulte Corp............................................ 127,600 2,559,975
Questar Corp.......................................... 251,400 4,320,938
*R & B Falcon Corp.................................... 695,800 8,610,525
RJ Reynolds Tobacco Holdings, Inc..................... 416,193 8,870,113
Radian Group, Inc..................................... 47,000 2,297,125
Rayonier, Inc......................................... 83,000 3,688,313
*Raytheon Co. Class A................................. 246,900 7,190,963
*Raytheon Co. Class B................................. 188,900 5,796,869
Reynolds Metals Co.................................... 194,900 12,193,431
*Rowan Companies, Inc................................. 279,300 4,783,013
Russell Corp.......................................... 137,400 1,794,788
Ryder System, Inc..................................... 268,800 6,064,800
Safeco Corp........................................... 480,300 11,392,116
*Safety-Kleen Corp.................................... 195,700 2,299,475
Saint Paul Companies, Inc............................. 695,326 20,990,154
*Saks, Inc............................................ 421,400 7,374,500
*Seagate Technology, Inc.............................. 61,100 2,260,700
*Sears, Roebuck & Co.................................. 547,000 18,700,563
*Sensormatic Electronics Corp......................... 401,800 6,403,688
Service Corp. International........................... 825,600 6,243,600
*Silicon Graphics, Inc................................ 456,700 4,310,106
*Smurfit-Stone Container Corp......................... 235,026 4,509,561
Sovereign Bancorp, Inc................................ 154,700 1,370,545
*Spiegel, Inc. Class A Non-Voting..................... 9,600 76,500
Springs Industries, Inc. Class A...................... 7,700 308,000
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
St. Joe Corp.......................................... 78,400 $ 1,754,200
Starwood Hotels and Resorts Worldwide, Inc............ 548,600 12,240,638
*Sunoco, Inc.......................................... 328,000 8,384,500
*Tech Data Corp....................................... 72,500 1,780,781
*Tecumseh Products Co. Class A........................ 58,300 2,800,222
Tecumseh Products Co. Class B......................... 14,400 627,300
Telephone & Data Systems, Inc......................... 11,000 1,465,063
Temple-Inland, Inc.................................... 138,200 7,911,950
*Tenet Healthcare Corp................................ 658,000 14,681,625
Tenneco Automotive, Inc............................... 123,020 968,783
Terra Industries, Inc................................. 61,400 126,638
*Thermo-Electron Corp................................. 485,600 7,284,000
Tidewater, Inc........................................ 164,000 5,237,750
Timken Co............................................. 270,800 5,179,050
*Toys R Us, Inc....................................... 760,200 13,303,500
Travelers Property Casualty Corp...................... 477,000 15,890,063
*Trinity Industries, Inc.............................. 85,000 2,486,250
*UAL Corp............................................. 158,400 10,890,000
UMB Financial Corp.................................... 46,600 1,893,125
USX-Marathon Group, Inc............................... 675,450 17,857,209
USX-US Steel Group.................................... 314,400 7,958,250
Ultramar Diamond Shamrock Corp........................ 265,400 6,717,938
*Unifi, Inc........................................... 73,000 967,250
Union Pacific Corp.................................... 792,800 37,311,150
Union Pacific Resources Group, Inc.................... 773,900 10,109,069
*United Rentals, Inc.................................. 96,400 1,662,900
Unitrin, Inc.......................................... 223,800 8,364,525
*Unova, Inc........................................... 273,500 3,589,688
UnumProvident Corp.................................... 519,089 16,902,836
Valero Energy Corp.................................... 268,500 5,571,375
Valhi, Inc............................................ 158,500 1,713,781
*Venator Group, Inc................................... 494,500 3,399,688
*Vishay Intertechnology, Inc.......................... 203,455 5,887,479
Wallace Computer Services, Inc........................ 31,000 621,938
Weis Markets, Inc..................................... 20,800 854,100
Wesco Financial Corp.................................. 12,540 3,448,500
Westvaco Corp......................................... 305,550 9,223,791
Worthington Industries, Inc........................... 184,000 2,932,500
*Ziff-Davis, Inc...................................... 20,000 368,750
--------------
TOTAL COMMON STOCKS
(Cost $1,706,931,282)................................ 1,776,092,181
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $3,379,363) to be
repurchased at $3,328,490.
(Cost $3,328,000).................................... $ 3,328 3,328,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,710,259,282)++.............................. $1,779,420,181
==============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $1,710,428,739.
</TABLE>
See accompanying Notes to Financial Statements.
11
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value........................................ $ 1,779,420
Collateral for Securities Loaned............................ 4,183
Receivables
Dividends and Interest.................................... 4,718
Investment Securities Sold................................ 21,678
Fund Shares Sold.......................................... --
Prepaid Expenses and Other Assets........................... 155
------------
Total Assets............................................ 1,810,154
------------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 4,183
Payable for Investment Securities Purchased................. 17,528
Payable for Fund Shares Redeemed............................ 19
Accrued Expenses and Other Liabilities...................... 342
------------
Total Liabilities....................................... 22,072
------------
NET ASSETS.................................................. $ 1,788,082
============
SHARES OUTSTANDING $.01 PAR VALUE
(Unlimited Number of Shares Authorized)................... 100,488,493
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 17.79
============
Investments at Cost......................................... $ 1,710,259
============
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. 1,407,634
Undistributed Net Investment Income......................... 1,255
Undistributed Net Realized Gain............................. 310,032
Unrealized Appreciation of Investment Securities............ 69,161
------------
Total Net Assets........................................ $ 1,788,082
============
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends................................................. $ 34,606
Interest.................................................. 1,309
Income From Securities Lending............................ 57
--------
Total Investment Income............................... 35,972
--------
EXPENSES
Investment Advisory Services.............................. 1,831
Accounting & Transfer Agent Fees.......................... 722
Custodian's Fee........................................... 254
Legal Fees................................................ 31
Audit Fees................................................ 27
Shareholders' Reports..................................... 39
Trustees' Fees and Expenses............................... 7
Other..................................................... 39
--------
Total Expenses........................................ 2,950
--------
NET INVESTMENT INCOME..................................... 33,022
--------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investment Securities.................. 310,039
Change in Unrealized Depreciation of Investment
Securities................................................ (262,465)
--------
NET GAIN ON INVESTMENT SECURITIES......................... 47,574
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 80,596
========
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1999 1998
----------- -----------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 33,022 $ 27,904
Net Realized Gain on Investment Securities................ 310,039 136,077
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... (262,465) 12,481
----------- ----------
Net Increase in Net Assets Resulting from
Operations.......................................... 80,596 176,462
----------- ----------
Distributions From:
Net Investment Income..................................... (32,738) (28,682)
Net Realized Gains........................................ (135,996) (82,634)
----------- ----------
Total Distributions................................... (168,734) (111,316)
----------- ----------
Capital Share Transactions (1):
Shares Issued............................................. 240,602 281,067
Shares Issued in Lieu of Cash Distributions............... 166,280 91,193
Shares Redeemed........................................... (286,569) (171,495)
----------- ----------
Net Increase From Capital Share Transactions.......... 120,313 200,765
----------- ----------
Total Increase........................................ 32,175 265,911
NET ASSETS
Beginning of Period....................................... 1,755,907 1,489,996
----------- ----------
End of Period............................................. $ 1,788,082 $1,755,907
=========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................. 12,917 15,137
Shares Issued in Lieu of Cash Distributions............... 9,595 5,270
Shares Redeemed........................................... (15,459) (9,356)
----------- ----------
7,053 11,051
=========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
----------- ----------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period....... $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92
---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ................... 0.34 0.31 0.32 0.31 0.32
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.46 1.71 3.38 2.57 3.53
---------- ---------- ---------- -------- --------
Total from Investment Operations....... 0.80 2.02 3.70 2.88 3.85
---------- ---------- ---------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income.................... (0.34) (0.32) (0.31) (0.31) (0.31)
Net Realized Gains....................... (1.46) (1.00) (0.82) (0.34) (0.17)
---------- ---------- ---------- -------- --------
Total Distributions.................... (1.80) (1.32) (1.13) (0.65) (0.48)
---------- ---------- ---------- -------- --------
Net Asset Value, End of Period............. $ 17.79 $ 18.79 $ 18.09 $ 15.52 $ 13.29
========== ========== ========== ======== ========
Total Return............................... 4.64% 11.93% 25.31% 22.48% 39.26%
Net Assets, End of Period (thousands)...... $1,788,082 $1,755,907 $1,489,996 $987,942 $423,027
Ratio of Expenses to Average Net Assets.... 0.16% 0.16% 0.18% 0.19% 0.21%
Ratio of Net Investment Income to Average
Net Assets............................... 1.80% 1.67% 1.96% 2.37% 2.84%
Portfolio Turnover Rate.................... 42.96% 24.70% 17.71% 20.12% 29.41%
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust currently consists of twenty one series, of which The 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 the preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange 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 seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on November 30, 1999.
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 year ended November 30, 1999, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on an effective annual rate of 0.10 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
16
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1999, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases.................................................. $770,263
Sales...................................................... 798,873
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1999, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................. $ 310,811
Gross Unrealized Depreciation............................. (240,820)
---------
Net..................................................... $ 68,991
=========
</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 year ended November 30, 1999 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>
5.55% $2,275,238 13 $7,365 $7,639,000
</TABLE>
There were no outstanding borrowings under the line of credit at
November 30, 1999.
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 November
30, 1999 was reinvested into overnight repurchase agreements with JP Morgan
which was in turn collateralized by U.S. Government Treasury Securities. At
November 30, 1999, the market value of securities on loan to brokers was
$3,451,603, the related collateral cash received was $4,182,800 and the value of
collateral on overnight repurchase agreements was $4,271,078.
17
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The U.S. Large Cap Value Series
(constituting a portfolio within The DFA Investment Trust Company, hereafter
referred to as the "Fund") at November 30, 1999, and the results of its
operations, the changes in its net assets and its financial highlights for each
of the periods presented, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 14, 2000
18
