<PAGE>
File No. 811-7436
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-1A
REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940 (X)
Amendment No. 13 (X)
----
THE DFA INVESTMENT TRUST COMPANY
(Exact Name of Registrant as Specified in Charter)
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
- --------------------------------------------------------------------------------
(Address of Principal Executive Offices (Zip Code)
Registrant's Telephone Number, Including Area Code (310) 395-8005
--------------
Irene R. Diamant, 1299 Ocean Avenue, 11th Floor, Santa Monica CA 90401
- --------------------------------------------------------------------------------
(Name and Address of Agent for Service of Process)
----------------------
Please Send Copy of Communications to:
Stephen W. Kline, Esq.
Stradley, Ronon, Stevens & Young, LLP
Great Valley Corporate Center
30 Valley Stream Parkway
Malvern, Pennsylvania 19355
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 9-10 SMALL COMPANY SERIES
THE U.S. 6-10 SMALL COMPANY SERIES
THE U.S. LARGE COMPANY SERIES
THE ENHANCED U.S. LARGE COMPANY SERIES
THE U.S. 6-10 VALUE SERIES
THE U.S. LARGE CAP VALUE SERIES
THE U.S. 4-10 VALUE SERIES
THE JAPANESE SMALL COMPANY SERIES
THE PACIFIC RIM SMALL COMPANY SERIES
THE UNITED KINGDOM SMALL COMPANY SERIES
THE EMERGING MARKETS SERIES
THE DFA INTERNATIONAL VALUE SERIES
THE EMERGING MARKETS SMALL CAP SERIES
THE CONTINENTAL SMALL COMPANY SERIES
THE DFA ONE-YEAR FIXED INCOME SERIES
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
FEBRUARY 6, 1998
FORM N-1A, Part A:
Responses to Items 1 through 3 have been omitted pursuant to paragraph 3 of
Instruction F of the General Instructions to Form N-1A.
ITEM 4. GENERAL DESCRIPTION OF REGISTRANT
(a)(i) The DFA Investment Trust Company (the "Trust") is an open-end
management investment company organized as a Delaware business trust on October
27, 1992 and registered under the Investment Company Act of 1940. The Trust
issues sixteen series which are listed above, each of which operates as a
diversified investment company and represents a separate class ("Series") of the
Trust's shares of beneficial interest. Dimensional Fund Advisors Inc. (the
"Advisor") serves as investment advisor to each of the Series.
The investment objectives, policies and investment limitations of each Series
are set forth below. The investment objective of a Series may not be changed
without the affirmative vote of a majority of the outstanding voting securities
of that Series. The Trust sells its shares to institutional investors only.
Shares of each Series may be issued for cash and/or securities in which a Series
is authorized to invest. In addition, when acquiring securities from an
institutional investor in consideration of the issuance of its shares, a Series
may accept securities from the transferor which it would not otherwise purchase
pursuant to its investment policies, as described below. Any such acquisition
would be very small in relation to the then total current value of the assets
acquired by a Series in any such transaction.
<PAGE>
(a)(ii)
INVESTMENT OBJECTIVE AND POLICIES - SMALL COMPANY SERIES
The U.S. 6-10 Small Company, U.S. 9-10 Small Company, Japanese Small Company,
Pacific Rim Small Company, United Kingdom Small Company and Continental Small
Company Series of the Trust (the "Small Company Series"), each operate as a
diversified investment company whose investment objective is to achieve
long-term capital appreciation. The Small Company Series provide investors with
access to securities portfolios consisting of small U.S., Japanese, United
Kingdom, European and Pacific Rim companies. Company size will be determined
for purposes of these Series solely on the basis of a company's market
capitalization. "Market capitalization" for domestic securities will be
calculated by multiplying the price of a company's stock by the number of its
shares of outstanding common stock. "Market capitalization" for foreign
securities will be calculated using the number of outstanding stocks similar to
domestic common stocks.
Each Small Company Series intends to invest at least 80% of its assets in equity
securities of U.S., Japanese, United Kingdom, European and Pacific Rim small
companies, as defined herein, and as applicable to the Series. Each Small
Company Series will be structured to reflect reasonably the relative market
capitalizations of its portfolio companies. The Advisor believes that over the
long term the investment performance of small companies is superior to large
companies, not only in the U.S. but in other developed countries as well, and
that investment in the Series is an effective way to improve global
diversification. Investors which, for a variety of reasons, may choose not to
make substantial, or any, direct investment in companies whose securities will
be held by the Small Company Series, may participate in the investment
performance of these companies through ownership of a Series' stock.
THE U.S. 6-10 SMALL COMPANY SERIES
The U.S. 6-10 Small Company Series (the "U.S. 6-10 Series") will invest in a
broad and diverse group of small U.S. companies having readily marketable
securities. References in this registration statement to a "small U.S. company"
mean a company whose securities are traded in the U.S. securities markets and
whose market capitalization is not larger than the largest of those in the
smaller one-half (deciles 6 through 10) of companies listed on the New York
Stock Exchange ("NYSE"). The Series will purchase common stocks of companies
whose shares are listed on the NYSE, the American Stock Exchange ("AMEX") and
traded in the over-the-counter market ("OTC"). The 6-10 Series may invest in
securities of foreign issuers which are traded in the U.S. securities markets,
but such investments may not exceed 5% of the gross assets of the Series. It is
the intention of the U.S. 6-10 Series to acquire a portion of the common stock
of each eligible NYSE, AMEX and OTC company on a market capitalization weighted
basis. In the future, the U.S. 6-10 Series may purchase common stocks of small
U.S. companies which are listed on other U.S.
-2-
<PAGE>
securities exchanges. In addition, the Series is authorized to invest in
private placements of interest-bearing debentures that are convertible into
common stock. Such investments are considered illiquid, and the value thereof
together with the value of all other illiquid investments may not exceed 15% of
the value of the Series' net assets at the time of purchase.
THE U.S. 9-10 SMALL COMPANY SERIES
The U.S. 9-10 Small Company Series (the "U.S. 9-10 Series") will invest in a
broad and diverse segment of small U.S. companies having readily marketable
stocks, and whose market capitalization is not larger than the largest of those
in the quintile of companies listed on the NYSE having the smallest market
capitalizations (smallest 20%). The U.S. 9-10 Series will purchase stocks of
companies whose share are listed on the NYSE or AMEX or traded OTC. The U.S.
9-10 Series may invest in securities of foreign issuers which are traded in the
U.S. securities markets, but such investments may not exceed 5% of the gross
assets of the Series. There is some overlap in the companies in which the U.S.
9-10 Series and the U.S. 6-10 Series invest. It is the intention of the U.S.
9-10 Series to acquire a portion of the stock of each eligible NYSE, AMEX and
OTC company on a market capitalization weighted basis. (See INVESTMENT
OBJECTIVES AND POLICIES - SMALL COMPANY SERIES - "Portfolio Structure.") In
the future, the U.S. 9-10 Series may include stocks of small U.S. companies
which are listed on other U.S. securities exchanges. The U.S. 9-10 Series is
authorized to invest in privately placed convertible debentures and the value
thereof together with the value of all other illiquid investments may not exceed
10% of the value of the Series' net assets at the time of purchase.
THE JAPANESE SMALL COMPANY SERIES
The Japanese Small Company Series (the "Japanese Series") will invest in a broad
and diverse group of readily marketable stocks of Japanese small companies
which are traded in the Japanese securities markets. Generally, reference in
this registration statement to the term "Japanese small company" means a company
located in Japan whose market capitalization is not larger than the largest of
those in the smaller one-half (deciles 6 through 10) of companies whose
securities are listed on the First Section of the Tokyo Stock Exchange ("TSE").
While the Japanese Series will invest primarily in the stocks of small companies
which are listed on the TSE, it may acquire the stocks of Japanese small
companies which are traded in other Japanese securities markets as well. It is
the intention of the Japanese Series to acquire a portion of the stock of each
of these companies on a market capitalization weighted basis. The Japanese
Series also may invest up to 5% of its assets in convertible debentures issued
by Japanese small companies. (See "INVESTMENT OBJECTIVES AND POLICIES - SMALL
COMPANY SERIES - Portfolio Structure.")
-3-
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
The United Kingdom Small Company Series (the "United Kingdom Series") will
invest in a broad and diverse group of readily marketable stocks of United
Kingdom small companies which are traded principally on the International Stock
Exchange of the United Kingdom and the Republic of Ireland ("ISE"). Generally,
reference in this registration statement to a "United Kingdom small company"
means a company organized in the United Kingdom, with shares listed on the ISE
whose market capitalization is not larger than the largest of those in the
smaller one-half (deciles 6 through 10) of companies included in the Financial
Times-Actuaries All Share Index ("FTA").
The FTA is an index of stocks traded on the ISE, which is similar to the S&P 500
Index, and is used by investment professionals in the United Kingdom for the
same purposes as investment professionals in the U.S. use the S&P 500 Index.
While the FTA typically will be used by the United Kingdom Series to determine
the maximum market capitalization of any company whose stock the Series will
purchase, acquisitions by the United Kingdom Series will not be limited to
stocks which are included in the FTA. The United Kingdom Series will not,
however, purchase shares of any investment trust or of any company whose market
capitalization is less than $5,000,000.
It is the intention of the United Kingdom Series to acquire a portion of the
stock of each eligible company on a market capitalization basis. The United
Kingdom Series also may invest up to 5% of its assets in convertible debentures
issued by United Kingdom small companies. (See "INVESTMENT OBJECTIVES AND
POLICIES - SMALL COMPANY SERIES - Portfolio Structure.")
THE CONTINENTAL SMALL COMPANY SERIES
The Continental Small Company Series (the "Continental Series") is authorized to
invest in readily marketable stocks of a broad and diverse group of small
companies organized under the laws of certain European countries. As of the
date of this registration statement, the Continental Series may invest in small
companies located in Austria, Belgium, Denmark, Finland, France, Germany,
Ireland, Italy, the Netherlands, Norway, Spain, Sweden, and Switzerland, whose
shares are traded principally in securities markets located in those countries.
Company size will be determined by the Advisor in a manner that will compare the
market capitalizations of companies in all countries in which the Continental
Series invests (i.e., on a European basis). The Advisor typically will use the
appropriate country indices of the Financial Times-Actuaries World Index ("FTW")
converted to a common currency, the United States dollar, and aggregated to
define "small companies." The FTW consists of a series of country indices which
contain generally the largest companies in the major industry sectors in
proportion to their market capitalization whose shares are available for
purchase by non-resident investors. Its constituents represent about 70% of the
total market capitalization of the respective markets.
-4-
<PAGE>
Generally, companies with publicly traded stock whose market capitalizations are
not greater than the largest of those in the smallest 20% (9th and 10th deciles)
of companies listed in the FTW as combined for the countries in which the
Continental Series invests will be considered to be "small companies" and will
be eligible for purchase by the Continental Series.
While the Advisor typically will use the aggregated FTW indices to determine the
maximum size of eligible portfolio companies, portfolio acquisitions will not be
limited to stocks listed on the FTW for any country. The Continental Series
does not intend, however, to purchase shares of any company whose market
capitalization is less than the equivalent of $5,000,000. The Continental
Series intends to acquire a portion of the stock of each eligible company on a
market capitalization basis. The Continental Series also may invest up to 5% of
its assets in convertible debentures issued by European small companies. The
Continental Series has acquired the stocks of small companies located in
Denmark, France, Germany, Italy, Switzerland, the Netherlands, Belgium, Sweden
and Spain. When the Advisor determines that the investments of the Continental
Series in the stocks of small companies in those countries are sufficiently
diverse, the stocks of small companies located in other European countries may
be acquired on a country-by-country basis. In addition, the Advisor may in its
discretion either limit further investments in a particular country or divest
the Continental Series of holdings in a particular country. (See "INVESTMENT
OBJECTIVES AND POLICIES - SMALL COMPANY SERIES - Portfolio Structure.")
THE PACIFIC RIM SMALL COMPANY SERIES
The Pacific Rim Small Company Series (the "Pacific Rim Series") is authorized to
invest in stocks of a broad and diverse group of small companies located in
Australia, New Zealand and Asian countries whose shares are traded principally
on the securities markets located in those countries. As of the date of this
registration statement, the Pacific Rim Series may invest in small companies
located in Australia, Hong Kong, Malaysia, New Zealand and Singapore. In the
future, the Advisor may add small companies located in other Asian countries as
securities markets in these countries become accessible. In addition, the
Advisor may in its discretion either limit further investments in a particular
country or divest the Pacific Rim Series of holdings in a particular country.
Company size will be determined by the Advisor in a manner that will compare the
market capitalizations of the companies in all countries in which the Pacific
Rim Series invests (i.e., on a Pacific Rim basis). The Advisor typically will
use the appropriate country indices of the FTW converted to a common currency
and aggregated, to define "small companies." Generally, companies with publicly
traded stock whose market capitalizations are not greater than the largest of
those in the smallest 30% of companies (8th, 9th and 10th deciles) listed in the
FTW as combined for the countries in which the Pacific Rim Series
-5-
<PAGE>
invests will be considered to be "small companies" and will be eligible for
purchase by the Pacific Rim Series.
While the Advisor typically will use the aggregated FTW indices to determine the
maximum size of eligible portfolio companies, portfolio acquisitions will not be
limited to stocks listed on the FTW for any country. The Pacific Rim Series
does not intend to purchase shares of any company whose market capitalization is
less than $5,000,000. The Pacific Rim Series intends to acquire a portion of
the stock of each eligible company on a market capitalization basis. The
Pacific Rim Series also may invest up to 5% of its assets in convertible
debentures issued by small companies located in the Pacific Rim. (See
"INVESTMENT OBJECTIVES AND POLICIES - SMALL COMPANY PORTFOLIOS - Portfolio
Structure.")
PORTFOLIO STRUCTURE
Each Small Company Series is structured by generally basing the amount of each
security purchased on the issuer's relative market capitalization with a view to
creating in each Series a reasonable reflection of the relative market
capitalizations of its portfolio companies. The following discussion applies to
the investment policies of the Small Company Series.
The decision to include or exclude the shares of an issuer will be made on the
basis of such issuer's relative market capitalization determined by reference to
other companies located in the same country; except with respect to Continental
and Pacific Rim Series, such determination shall be made by reference to other
companies located in all countries in which the Series invest. Company size is
measured in terms of local currencies in order to eliminate the effect of
variations in currency exchange rates, except that Continental and Pacific Rim
Series each will measure company size in terms of a common currency. Even
though a company's stock may meet the applicable market capitalization
criterion, it may not be purchased if (i) in the Advisor's judgment, the issuer
is in extreme financial difficulty, (ii) the issuer is involved in a merger or
consolidation or is the subject of an acquisition or (iii) a significant portion
of the issuer's securities are closely held. Further, securities of real estate
investment trusts will not be acquired (except as a part of a merger,
consolidation or acquisition of assets). In addition, the Advisor may exclude
the stock of a company that otherwise meets applicable market capitalization
criterion if the Advisor determines in its best judgment that other conditions
exist that make the purchase of such stock inappropriate.
Deviation from strict market capitalization weighting also will occur because
the Advisor intends to purchase round lots only. Furthermore, in order to
retain sufficient liquidity, the relative amount of any security held may be
reduced from time to time from the level which strict adherence to market
capitalization weighting would otherwise require. A portion, but generally not
in excess of 20%, of assets may be invested in interest-bearing obligations,
such as money-market instruments
-6-
<PAGE>
for this purpose, thereby causing further deviation from strict market
capitalization weighting.
Block purchases of eligible securities may be made at opportune prices even
though such purchases exceed the number of shares which, at the time of
purchase, strict adherence to the policy of market capitalization weighting
would otherwise require. In addition, each Small Company Series may, in
exchange for the issuance of shares, acquire securities eligible for purchase or
otherwise represented in their portfolios at the time of the exchange. (See "In
Kind Purchases in Item 7(a).") While such purchases and acquisitions might
cause a temporary deviation from market capitalization weighting, they would
ordinarily be made in anticipation of further growth of assets.
If securities must be sold in order to obtain funds to make redemption payments,
they may be repurchased as additional cash becomes available. In most
instances, however, management would anticipate selling securities which had
appreciated sufficiently to be eligible for sale and, therefore, would not need
to repurchase such securities. (See "INVESTMENT OBJECTIVES AND POLICIES - SMALL
COMPANY SERIES - Portfolio Transactions.")
Changes in the composition and relative ranking (in terms of market
capitalization) of the stocks which are eligible for purchase take place with
every trade when the securities markets are open for trading due, primarily, to
price fluctuations of such securities. On a not less than semi-annual basis,
the Advisor will determine the market capitalization of the largest small
company eligible for investment. Common stocks whose market capitalizations
are not greater than such company will be purchased. Additional investments
generally will not be made in securities which have appreciated in value
sufficiently to be excluded from the Advisor's then current market
capitalization limit for eligible portfolio securities. This may result in
further deviation from strict market capitalization weighting and such deviation
could be substantial if a significant amount of holdings increase in value
sufficiently to be excluded from the limit for eligible securities, but not by a
sufficient amount to warrant their sale. (See "INVESTMENT OBJECTIVES AND
POLICIES - SMALL COMPANY PORTFOLIOS - Portfolio Transactions.") A further
deviation from market capitalization weighting may occur if a Series invests a
portion of its assets in convertible debentures.
It is management's belief that the stocks of small companies offer, over a long
term, a prudent opportunity for capital appreciation, but, at the same time,
selecting a limited number of such issues for investment involves greater risk
than investing in a large number of them.
Generally, current income is not sought as an investment objective, and
investments will not be based upon an issuer's dividend payment policy or
record. However, many of the companies whose securities will be selected for
investment do pay dividends. It is anticipated, therefore, that dividend income
will be received. Also, each Small Company Series may lend
-7-
<PAGE>
securities to qualified brokers, dealers, banks and other financial institutions
for the purpose of realizing additional income. (See "Securities Loans" under
Item 4(a)(ii).)
PORTFOLIO TRANSACTIONS
On a periodic basis, the Advisor will review the holdings of each of the Small
Company Series and determine which, at the time of such review, are no longer
considered small U.S., Japanese, United Kingdom, European or Pacific Rim
companies. The present policy of the Advisor (except with respect to the U.S.
6-10 Series) is to consider portfolio securities for sale when they have
appreciated sufficiently to rank, on a market capitalization basis, more than
one full decile higher than the company with the largest market capitalization
that is eligible for purchase by the particular Small Company Series as
determined periodically by the Advisor. As of the date of this registration
statement, the Advisor has established the following policy with respect to the
U.S. 6-10 Series: securities held by the Series which have appreciated in value
will be considered for sale when the market capitalization of the issuer has
increased sufficiently to rank it in the largest 50% (deciles 5 through 1)
based on market capitalization of securities listed on the NYSE. The Advisor
may, from time to time, revise such policies if, in the opinion of the Advisor,
such revision is necessary to maintain appropriate market capitalization
weighting.
Securities which have depreciated in value since their acquisition will not be
sold solely because prospects for the issuer are not considered attractive, or
due to an expected or realized decline in securities prices in general.
Securities may be disposed of, however, at any time when, in the Advisor's
judgment, circumstances, such as (but not limited to) tender offers, mergers and
similar transactions, or bids made for block purchases at opportune prices,
warrant their sale. Generally, securities will not be sold to realize
short-term profits, but when circumstances warrant, they may be sold without
regard to the length of time held. Generally, securities will be purchased with
the expectation that they will be held for longer than one year and will be held
until such time as they are no longer considered an appropriate holding in light
of the policy of maintaining portfolios of companies with small market
capitalizations.
THE U.S. LARGE COMPANY SERIES
The U.S. Large Company Series seeks, as its investment objective, to approximate
the investment performance of the Standard & Poor's 500 Composite Stock Index
(the "S&P 500 Index"), both in terms of the price of the Series' shares and its
total investment return. The Series intends to invest in all of the stocks that
comprise the S&P 500 Index in approximately the same proportions as they are
represented in the Index. The amount of each stock purchased for the Series,
therefore, will be based on the issuer's respective market capitalization. The
S&P 500 Index is comprised of a broad and diverse group of stocks most of which
-8-
<PAGE>
are traded on the NYSE. Generally, these are the U.S. stocks with the largest
market capitalizations and, as a group, they represent approximately 70% of the
total market capitalization of all publicly traded U.S. stocks. Under normal
market conditions, at least 95% of the Series' assets will be invested in the
stocks that comprise the S&P 500 Index.
Ordinarily, portfolio securities will not be sold except to reflect additions or
deletions of the stocks that comprise the S&P 500 Index, including mergers,
reorganizations and similar transactions and, to the extent necessary, to
provide cash to pay redemptions of the Series' shares. The Series may lend
securities to qualified brokers, dealers, banks and other financial institutions
for the purpose of earning additional income. For information concerning
Standard & Poor's Rating Group, a Division of The McGraw-Hill Companies ("S&P")
and disclaimers of S&P with respect to the Series, see "STANDARD & POOR'S
INFORMATION AND DISCLAIMERS," below.
THE ENHANCED U.S. LARGE COMPANY SERIES
The Enhanced U.S. Large Company Series seeks, as its investment objective, to
achieve a total return which exceeds the total return performance of the S&P 500
Index. The Series may invest in all of the stocks represented in the S&P 500
Index, options on stock indices, stock index futures, options on stock index
futures, swap agreements on stock indices and, to the extent permissible
pursuant to the Investment Company Act of 1940, shares of investment companies
that invest in stock indices. The S&P 500 Index is comprised of a broad and
diverse group of stocks most of which are traded on the NYSE. Generally, these
are the U.S. stocks with the largest market capitalizations and, as a group,
they represent approximately 70% of the total market capitalization of all
publicly traded U.S. stocks.
The Series may, from time to time, also invest in options on stock indices,
stock index futures, options on stock index futures and swap agreements based on
indices other than, but similar to, the S&P 500 Index (such instruments whether
or not based on the S&P 500 Index hereinafter collectively referred to as "Index
Derivatives"). The Series may invest all of its assets in Index Derivatives
(See Item 4(c) "Risk Factors - All Series"). Assets of the Series not invested
in S&P 500 stocks or Index Derivatives may be invested in the same types of
short-term fixed income obligations as may be acquired by The DFA Two-Year
Global Fixed Income Series and, to the extent allowed by the Investment Company
Act of 1940, shares of money market mutual funds (collectively, "Fixed Income
Investments"). (See "INVESTMENT OBJECTIVES AND POLICIES - FIXED INCOME SERIES -
Description of Investments.") Investments in the securities of other investment
companies will involve duplication of certain fees and expenses.
The percentage of assets of the Series that will be invested at any one time in
S&P 500 Index stocks, Index Derivatives and Fixed Income Investments may vary
from time to time, within the discretion of the Advisor and according to
restraints imposed by
-9-
<PAGE>
the Investment Company Act of 1940. The Series will maintain a segregated
account consisting of liquid assets (or, as permitted by applicable regulation,
enter into offsetting positions) to cover its open positions in Index
Derivatives to avoid leveraging of the Series.
The Series will enter into positions in futures and options on futures only to
the extent such positions are permissible with respect to applicable rules of
the Commodity Futures Trading Commission without registering the Series or the
Trust as a commodities pool operator. In addition, the Series may not be able
to utilize Index Derivatives to the extent otherwise permissible or desirable
because of constraints imposed by the Internal Revenue Code or by unanticipated
illiquidity in the marketplace for such instruments. For more information about
Index Derivatives, see Item 4(c) "Risk Factors - All Series."
It is the position of the Securities and Exchange Commission that
over-the-counter options are illiquid. Accordingly, the Series will invest in
such options only to the extent consistent with its 15% limit on investment in
illiquid securities.
STANDARD AND POOR'S - INFORMATION AND DISCLAIMERS
Neither The U.S. Large Company Series or The Enhanced U.S. Large Company Series
(together, the "Large Company Series") are sponsored, endorsed, sold or promoted
by S&P. S&P makes no representation or warranty, express or implied, to the
owners of the Large Company Series or any member of the public regarding the
advisability of investing in securities generally or in the Large Company Series
particularly or the ability of the S&P 500 Index to track general stock market
performance. S&P's only relationship to the Large Company Series is the
licensing of certain trademarks and trade names of S&P and of the S&P 500 Index
which is determined, composed and calculated by S&P without regard to the Large
Company Series. S&P has no obligation to take the needs of the Large Company
Series or their respective owners into consideration in determining, composing
or calculating the S&P 500 Index. S&P is not responsible for and has not
participated in the determination of the prices and amount of the Large Company
Series or in the issuance or sale of the Large Company Series or in the
determination or calculation of the equation by which the Large Company Series
are to be converted into cash. S&P has no obligation or liability in connection
with the administration, marketing or trading of the Large Company Series.
S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P 500 INDEX
OR ANY DATA INCLUDED THEREIN, AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS,
OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED,
AS TO RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE PRODUCT, OR ANY OTHER
PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR ANY DATA INCLUDED THEREIN.
S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL
WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH
-10-
<PAGE>
RESPECT TO THE S&P 500 INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY
OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL,
PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF
NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
INVESTMENT OBJECTIVES AND POLICIES - FIXED INCOME SERIES
THE DFA ONE-YEAR FIXED INCOME SERIES
The investment objective of The DFA One-Year Fixed Income Series is to achieve
a stable real value (i.e. a return in excess of the rate of inflation) of
invested capital with a minimum of risk. The Series will pursue its objective
by investing its assets in U.S. government obligations, U.S. government agency
obligations, dollar-denominated obligations of foreign issuers issued in the
U.S., bank obligations, including U.S. subsidiaries and branches of foreign
banks, corporate obligations, commercial paper, repurchase agreements and
obligations of supranational organizations. Generally, the Series will acquire
obligations which mature within one year from the date of settlement, but
substantial investments may be made in obligations maturing within two years
from the date of settlement when greater returns are available. It is the
Series' policy that the weighted average length of maturity of investments will
not exceed one year. The Series principally invests in certificates of deposit,
commercial paper, bankers' acceptances, notes and bonds. The Series will invest
more than 25% of its total assets in obligations of U.S. and/or foreign banks
and bank holding companies when the yield to maturity on these instruments
exceeds the yield to maturity on all other eligible portfolio investments of
similar quality for a period of five consecutive days when the NYSE is open for
trading. (See "Investments in the Banking Industry" in Item 4(a)(ii).)
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
The investment objective of The DFA Two-Year Global Fixed Income Series is to
maximize total returns consistent with preservation of capital. The Series will
invest in obligations issued or guaranteed by the U.S. and foreign governments,
their agencies and instrumentalities, corporate debt obligations, bank
obligations, commercial paper, repurchase agreements, obligations of other
domestic and foreign issuers having quality ratings meeting the minimum
standards described in "Description of Investments," securities of domestic or
foreign issuers denominated in U.S. dollars but not trading in the United
States, and obligations of supranational organizations, such as the World Bank,
the European Investment Bank, European Economic Community and European Coal and
Steel Community. At the present time, the Advisor expects that most investments
will be made in the obligations of issuers which are in developed countries,
such as those countries which are members of the Organization of Economic
Cooperations and Development ("OECD"). However, in the future, the Advisor
anticipates investing in issuers located in other countries as well. Under
normal market conditions, the Series
-11-
<PAGE>
will invest at least 65% of the value of its assets in issuers organized or
having a majority of their assets in, or deriving a majority of their operating
income in, at least three different countries, one of which may be the United
States.
The Series will acquire obligations which mature within two years from the date
of settlement. Because many of the Series' investments will be denominated in
foreign currencies, the Series will also enter into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates. The Series will invest more than 25% of its total assets in
obligations of U.S. and/or foreign banks and bank holding companies when the
yield to maturity on these instruments exceeds the yield to maturity on all
other eligible portfolio investments of similar quality for a period of five
consecutive days when the NYSE is open for trading. (See "Investments in the
Banking Industry" in Item 4(a)(ii).)
DESCRIPTION OF INVESTMENTS
The following is a description of the categories of investments which may be
acquired by The DFA One-Year Fixed Income Series and Two-Year Global Fixed
Income Series (the "Fixed Income Series").
<TABLE>
<CAPTION>
Permissible
Categories:
-----------
<S> <C>
The DFA One-Year Fixed Income Series 1-6, 8
The DFA Two-Year Global Fixed Income Series 1-10
</TABLE>
1. U.S. GOVERNMENT OBLIGATIONS - Debt securities issued by the U.S.
Treasury which are direct obligations of the U.S. government, including bills,
notes and bonds.
2. U.S. GOVERNMENT AGENCY OBLIGATIONS - Issued or guaranteed by U.S.
government-sponsored instrumentalities and federal agencies, including the
Federal National Mortgage Association, Federal Home Loan Bank and the Federal
Housing Administration.
3. CORPORATE DEBT OBLIGATIONS - Non-convertible corporate debt securities
(e.g., bonds and debentures) which are issued by companies whose commercial
paper is rated Prime-1 by Moody's Investors Services, Inc. ("Moody's") or A-1 by
S&P and dollar-denominated obligations of foreign issuers issued in the U.S. If
the issuer's commercial paper is unrated, then the debt security would have to
be rated at least AA by S&P or Aa2 by Moody's. If there is neither a commercial
paper rating nor a rating of the debt security, then the Advisor must determine
that the debt security is of comparable quality to equivalent issues of the same
issuer rated at least AA or Aa2.
4. BANK OBLIGATIONS - Obligations of U.S. banks and savings and loan
associations and dollar-denominated obligations of U.S. subsidiaries and
branches of foreign banks, such as certificates of deposit (including marketable
variable rate
-12-
<PAGE>
certificates of deposit) and bankers' acceptances. Bank certificates of deposit
will only be acquired from banks having assets in excess of $1,000,000,000.
5. COMMERCIAL PAPER - Rated, at the time of purchase, A-1 or better by
S&P or Prime-1 by Moody's, or, if not rated, issued by a corporation having an
outstanding unsecured debt issue rated Aaa by Moody's or AAA by S&P, and having
a maximum maturity of nine months.
6. REPURCHASE AGREEMENTS - Instruments through which the Series purchase
securities ("underlying securities") from a bank, or a registered U.S.
government securities dealer, with an agreement by the seller to repurchase the
security at an agreed price, plus interest at a specified rate. The underlying
securities will be limited to U.S. government and agency obligations described
in (1) and (2) above. The Series will not enter into a repurchase agreement
with a duration of more than seven days if, as a result, more than 10% of the
value of the Series' total assets would be so invested. The Series will also
only invest in repurchase agreements with a bank if the bank has at least
$1,000,000,000 in assets and is approved by the Investment Committee of the
Advisor. The Advisor will monitor the market value of the securities plus any
accrued interest thereon so that they will at least equal the repurchase price.
7. FOREIGN GOVERNMENT AND AGENCY OBLIGATIONS - Bills, notes, bonds and
other debt securities issued or guaranteed by foreign governments, or their
agencies and instrumentalities.
8. SUPRANATIONAL ORGANIZATION OBLIGATIONS - Debt securities of
supranational organizations such as the European Coal and Steel Community, the
European Economic Community and the World Bank, which are chartered to promote
economic development.
9. FOREIGN ISSUER OBLIGATIONS - Debt securities of non-U.S. issuers rated
AA or better by S&P or Aa2 or better by Moody's.
10. EURODOLLAR OBLIGATIONS - Debt securities of domestic or foreign
issuers denominated in U.S. dollars but not trading in the United States.
Investors should be aware that the net asset values of the Fixed Income Series
may change as general levels of interest rates fluctuate. When interest rates
increase, the value of a portfolio of fixed-income securities can be expected to
decline. Conversely, when interest rates decline, the value of a portfolio of
fixed-income securities can be expected to increase.
INVESTMENTS IN THE BANKING INDUSTRY
The DFA One-Year Fixed Income and Two-Year Global Fixed Income Series will
invest more than 25% of their total respective assets in obligations of U.S.
and/or foreign banks and bank holding companies when the yield to maturity on
these investments exceeds
-13-
<PAGE>
the yield to maturity on all other eligible portfolio investments for a period
of five consecutive days when the NYSE is open for trading. For the purpose of
this policy, which is a fundamental policy of each Series and can only be
changed by a vote of the shareholders of each Series, banks and bank holding
companies are considered to constitute a single industry, the banking industry.
When investment in such obligations exceeds 25% of the total net assets of any
of these Series, such Series will be considered to be concentrating its
investments in the banking industry. As of the date of this registration
statement, The DFA One-Year Fixed Income Series is concentrating its investments
in this industry.
The types of bank and bank holding company obligations in which The DFA One-Year
Fixed Income and Two-Year Global Fixed Income Series may invest include:
dollar-denominated certificates of deposit, bankers' acceptances, commercial
paper and other debt obligations issued in the United States and which mature
within two years of the date of settlement, provided such obligations meet each
Series' established credit rating criteria as stated under "Description of
Investments." In addition, both Series are authorized to invest more than 25%
of their total assets in Treasury bonds, bills and notes and obligations of
federal agencies and instrumentalities.
PORTFOLIO STRATEGY
The DFA One-Year Fixed Income and Two-Year Global Fixed Income Series will be
managed with a view to capturing credit risk premiums and term or maturity
premiums. As used herein, the term "credit risk premium" means the anticipated
incremental return on investment for holding obligations considered to have
greater credit risk than direct obligations of the U.S. Treasury, and "maturity
risk premium" means the anticipated incremental return on investment for holding
securities having maturities of longer than one month compared to securities
having a maturity of one month. The Advisor believes that credit risk premiums
are available largely through investment in high grade commercial paper,
certificates of deposit and corporate obligations. The holding period for
assets of the Series will be chosen with a view to maximizing anticipated
monthly returns, net of trading costs.
The Fixed Income Series are expected to have high portfolio turnover rates due
to the relatively short maturities of the securities to be acquired. The rate
of portfolio turnover will depend upon market and other conditions; it will not
be a limiting factor when management believes that portfolio changes are
appropriate. It is anticipated that the annual turnover rate of The Two-Year
Global Fixed Income Series could be 0% to 200%. While the Fixed Income Series
acquire securities in principal transactions and, therefore, do not pay
brokerage commissions, the spread between the bid and asked prices of a security
may be considered to be a "cost" of trading. Such costs ordinarily increase
with trading activity. However, as stated above, securities ordinarily will be
sold when, in the Advisor's
-14-
<PAGE>
judgment, the monthly return of the Fixed Income Series will be increased as a
result of portfolio transactions after taking into account the cost of trading.
It is anticipated that securities will be acquired in the secondary markets for
short term instruments.
THE U.S. LARGE CAP VALUE SERIES, THE U.S. 4-10 VALUE SERIES AND THE U.S. 6-10
VALUE SERIES
The investment objective of The U.S. Large Cap Value Series (the "Large Cap
Value Series"), U.S. 4-10 Value Series (the "4-10 Value Series") and U.S. 6-10
Value Series (the "6-10 Value Series") (collectively the "U.S. Value Series") is
to achieve long-term capital appreciation. Ordinarily, each Series will invest
at least 80% of its assets in a broad and diverse group of readily marketable
common stocks of U.S. companies which the Advisor believes to be value stocks at
the time of purchase. Securities are considered value stocks primarily because
a company's shares have a high book value in relation to their market value (a
"book to market ratio"). Generally, a company's shares will be considered to
have a high book to market ratio if the ratio equals or exceeds the ratios of
any of the 30% of companies with the highest positive book to market ratios
whose shares are listed on the NYSE and, except as described below under
"Portfolio Structure," will be considered eligible for investment. The Large
Cap Value Series will purchase common stocks of companies whose market
capitalizations equal or exceed that of the company having the median market
capitalization of companies whose shares are listed on the NYSE, and the 6-10
Value Series will purchase common stocks of companies whose market
capitalizations are smaller than such company. The 4-10 Value Series will
purchase common stocks of companies whose market capitalizations are equal to
the market capitalizations of companies in the 4th through 10th deciles of those
companies listed on the NYSE. With respect to the 9th and 10th deciles, the
4-10 Value Series will only purchase such common stocks when it is advantageous
to do so through block trades with the Advisor's other accounts. In measuring
value, the Advisor may consider additional factors such as cash flow, economic
conditions and developments in the issuer's industry.
4-10 VALUE SERIES. Within approximately six months from the date of this
registration statement, the 4-10 Value Series may acquire between $300-500
million of securities in exchange for shares of the Series. These securities
would be contributed by one or more institutional investors invested in a group
trust advised by the Adviser using an investment strategy identical to the
investment guidelines for this Series. Each investor would deliver its pro rata
share of securities from the group trust in exchange for shares of the Series.
Management anticipates that approximately 10% of the securities contributed
would be marked for sale by the Series, thus incurring brokerage fees.
Nevertheless, the Series would not incur brokerage commissions in connection
with acquiring those contributed securities which are retained by the Series.
-15-
<PAGE>
PORTFOLIO STRUCTURE. Each Series will operate as a "diversified" investment
company. Further, no Series will invest more than 25% of its total assets in
securities of companies in a single industry. The Series may invest a portion
of their assets, ordinarily not more than 20%, in high quality, highly liquid
fixed income securities such as money market instruments and short-term
repurchase agreements. The Series will purchase securities that are listed on
the principal U.S. national securities exchanges and traded OTC.
Each of the U.S. Value Series will be structured on a market capitalization
basis, by generally basing the amount of each security purchased on the issuer's
relative market capitalization, with a view to creating in each Series a
reasonable reflection of the relative market capitalizations of its portfolio
companies. However, the Advisor may exclude the securities of a company that
otherwise meets the applicable criteria described above if the Advisor
determines in its best judgment that other conditions exist that make the
inclusion of such security inappropriate.
Deviation from strict market capitalization weighting also will occur in the
Series because they intend to purchase round lots only and, with respect to the
4-10 Value Series, because it intends to purchase common stocks in the 9th and
10th deciles only through block trades, as described above. Furthermore, in
order to retain sufficient liquidity, the relative amount of any security held
by a Series may be reduced, from time to time, from the level which strict
adherence to market capitalization weighting would otherwise require. A
portion, but generally not in excess of 20%, of a Series' assets may be invested
in interest-bearing obligations, as described above, thereby causing further
deviation from strict market capitalization weighting. The Series may make
block purchases of eligible securities at opportune prices even though such
purchases exceed the number of shares which, at the time of purchase, strict
adherence to the policy of market capitalization weighting would otherwise
require. In addition, the Series may acquire securities eligible for purchase
or otherwise represented in their portfolios at the time of the exchange in
exchange for the issuance of their shares. (See "In Kind Purchases" in Item
7(a).) While such purchases and acquisitions might cause a temporary deviation
from market capitalization weighting, they would ordinarily be made in
anticipation of further growth of the assets of a Series. On not less than a
semi-annual basis, for each Series the Advisor will calculate the book to market
ratio necessary to determine those companies whose stocks may be eligible for
investment.
PORTFOLIO TRANSACTIONS. The Series do not intend to purchase or sell securities
based on the prospects for the economy, the securities markets or the individual
issuers whose shares are eligible for purchase. As described above under
"Portfolio Structure," investments will be made in virtually all eligible
securities on a market capitalization weighted basis. This is a passive
approach to investment management that does not entail taking steps to reduce
risk by replacing portfolio equity
-16-
<PAGE>
securities with other securities that appear to have the potential to provide
better investment performance.
Generally, securities will be purchased with the expectation that they will be
held for longer than one year. The Large Cap Value Series may sell portfolio
securities when the issuer's market capitalization falls substantially below
that of the issuer with the minimum market capitalization which is then eligible
for purchase by the Series, and the 4-10 and 6-10 Value Series each may sell
portfolio securities when the issuer's market capitalization increases to a
level that substantially exceeds that of the issuer with the largest market
capitalization which is then eligible for investment by the Series. However,
securities may be sold at any time when, in the Advisor's judgment,
circumstances warrant their sale.
In addition, the Large Cap Value Series may sell portfolio securities when their
book to market ratio falls substantially below that of the security with the
lowest such ratio that is then eligible for purchase by the Series. The 4-10
and 6-10 Value Series may also sell portfolio securities in the same
circumstances, however, each Series anticipates generally to retain securities
of issuers with relatively smaller market capitalizations for longer periods,
despite any decrease in the issuer's book to market ratio.
THE DFA INTERNATIONAL VALUE SERIES
The investment objective of The DFA International Value Series is to achieve
long-term capital appreciation. The Series operates as a diversified investment
company and seeks to achieve its objective by investing in the stocks of large
non-U.S. companies that the Advisor believes to be value stocks at the time of
purchase. Securities are considered value stocks primarily because a company's
shares have a high book value in relation to their market value (a "book to
market ratio"). In measuring value, the Advisor may consider additional factors
such as cash flow, economic conditions and developments in the issuer's
industry. Generally, the shares of a company in any given country will be
considered to have a high book to market ratio if the ratio equals or exceeds
the ratios of any of the 30% of companies in that country with the highest
positive book to market ratios whose shares are listed on a major exchange, and,
except as described below, will be considered eligible for investment. The
Series intends to invest in the stocks of large companies in countries with
developed markets. As of the date of this registration statement, the Series
may invest in the stocks of large companies in Australia, Belgium, France,
Germany, Hong Kong, Italy, Japan, Malaysia, the Netherlands, Singapore, Spain,
Sweden, Switzerland, the United Kingdom, Denmark and Norway. As the Series'
asset growth permits, it may invest in the stocks of large companies in other
developed markets, including Austria, Finland, Ireland and New Zealand.
Under normal market conditions, at least 65% of the Series' assets will be
invested in companies organized or having a
-17-
<PAGE>
majority of their assets in or deriving a majority of their operating income in
at least three non-U.S. countries and no more than 40% of the Series' assets
will be invested in such companies in any one country. The Series reserves the
right to invest in index futures contracts to commit funds awaiting investment
or to maintain liquidity. Such investments entail certain risks. (See Item
4(c).)
As of the date of this registration statement, the Series intends to invest in
companies having at least $800 million of market capitalization, and the Series
will be approximately market capitalization weighted. The Advisor may reset
such floor from time to time to reflect changing market conditions. In
determining market capitalization weights, the Advisor, using its best judgment,
will seek to eliminate the effect of cross holdings on the individual country
weights. As a result, the weighting of certain countries in the Series may vary
from their weighting in international indices such as those published by The
Financial Times, Morgan Stanley Capital International or Salomon/Russell. The
Advisor, however, will not attempt to account for cross holding within the same
country. The Advisor may exclude the stock of a company that otherwise meets
the applicable criteria if the Advisor determines in its best judgment that
other conditions exist that make the purchase of such stock for the Series
inappropriate.
Deviation from market capitalization weighting also will occur because the
Series intends to purchase round lots only. Furthermore, in order to retain
sufficient liquidity, the relative amount of any security held by the Series may
be reduced from time to time from the level which adherence to market
capitalization weighting would otherwise require. A portion, but generally not
in excess of 20%, of the Series' assets may be invested in interest-bearing
obligations, such as money-market instruments, thereby causing further deviation
from market capitalization weighting. Such investments would be made on a
temporary basis pending investment in equity securities pursuant to the Series'
investment objective.
The Series may make block purchases of eligible securities at opportune prices
even though such purchases exceed the number of shares which, at the time of
purchase, adherence to the policy of market capitalization weighting would
otherwise require. In addition, the Series may acquire securities eligible for
purchase or otherwise represented in its portfolio at the time of the exchange
in exchange for the issuance of its shares. (See "In Kind Purchases" in Item
7(a).) While such transactions might cause a temporary deviation from market
capitalization weighting, they would ordinarily be made in anticipation of
further growth of the assets of the Series.
Changes in the composition and relative ranking (in terms of market
capitalization and book to market ratio) of the stocks which are eligible for
purchase by the Series take place with every trade when the securities markets
are open for trading due, primarily, to price fluctuations of such securities.
On a
-18-
<PAGE>
periodic basis, the Advisor will prepare a list of eligible large companies with
high book to market ratios whose stock are eligible for investment; such list
will be revised not less than semi-annually. Only common stocks whose market
capitalizations are not less than such minimum will be purchased by the Series.
Additional investments will not be made in securities which have depreciated in
value to such an extent that they are not then considered by the Advisor to be
large companies. This may result in further deviation from market
capitalization weighting and such deviation could be substantial if a
significant amount of the Series' holdings decrease in value sufficiently to be
excluded from the then current market capitalization requirement for eligible
securities, but not by a sufficient amount to warrant their sale.
It is management's belief that the value stocks of large companies offer, over a
long term, a prudent opportunity for capital appreciation, but, at the same
time, selecting a limited number of such issues for inclusion in the Series
involves greater risk than including a large number of them. The Advisor does
not anticipate that a significant number of securities which meet the market
capitalization criteria will be selectively excluded from the Series.
The Series does not seek current income as an investment objective, and
investments will not be based upon an issuer's dividend payment policy or
record. However, many of the companies whose securities will be included in the
Series do pay dividends. It is anticipated, therefore, that the Series will
receive dividend income. The Series may lend securities to qualified brokers,
dealers, banks and other financial institutions for the purpose of realizing
additional income. (See "Securities Loans" below.)
Securities which have depreciated in value since their acquisition will not be
sold by the Series solely because prospects for the issuer are not considered
attractive, or due to an expected or realized decline in securities prices in
general. Securities may be disposed of, however, at any time when, in the
Advisor's judgment, circumstances warrant their sale, such as tender offers,
mergers and similar transactions, or bids made for block purchases at opportune
prices. Generally, securities will not be sold to realize short-term profits,
but when circumstances warrant, they may be sold without regard to the length of
time held. Generally, securities will be purchased with the expectation that
they will be held for longer than one year, and will be held until such time as
they are no longer considered an appropriate holding in light of the policy of
maintaining a portfolio of companies with large market capitalizations and high
book to market ratios.
In addition to the policies discussed in response to this Item 4(a), investment
limitations have been adopted by each Series and are noted in response to Item
13(b) of Part B.
-19-
<PAGE>
THE EMERGING MARKETS SERIES AND THE EMERGING MARKETS SMALL CAP SERIES
The investment objective of both The Emerging Markets Series and The Emerging
Markets Small Cap Series is to achieve long-term capital appreciation. Each
Series operates as a diversified investment company and seeks to achieve its
investment objective by investing in emerging markets designated by the
Investment Committee of the Advisor ("Approved Markets"). Each Series invests
its assets primarily in Approved Market equity securities listed on bona fide
securities exchanges or actively traded on OTC markets. These exchanges or OTC
markets may be either within or outside the issuer's domicile country, and the
securities may be listed or traded in the form of International Depository
Receipts ("IDRs") or American Depository Receipts ("ADRs").
SERIES' CHARACTERISTICS AND POLICIES. The Emerging Markets Series will seek a
broad market coverage of larger companies within each Approved Market. This
Series will attempt to own shares of companies whose aggregate overall share of
the Approved Market's total public market capitalization is at least in the
upper 40% of such capitalization, and can be as large as 75%. The Emerging
Markets Series may limit the market coverage in the smaller emerging markets in
order to limit purchases of small market capitalization companies.
The Emerging Markets Small Cap Series will seek a broad market coverage of
smaller companies within each Approved Market. This Series will attempt to own
shares of companies whose market capitalization is less than $1.5 billion. On a
periodic basis, the Advisor will review the holdings of the Emerging Markets
Small Cap Series and determine which, at the time of such review, are no longer
considered small emerging market companies. The present policy is to consider
portfolio securities for sale when they have appreciated sufficiently to rank,
on a market capitalization basis, 100% larger than the largest market
capitalization that is eligible for purchase as set by the Advisor for that
Approved Market.
Each Series may not invest in all such companies or Approved Markets described
above or achieve approximate market weights, for reasons which include
constraints imposed within Approved Markets (E.G., restrictions on purchases by
foreigners), and each Series' policy not to invest more than 25% of its assets
in any one industry.
Under normal market conditions, the Emerging Markets Series will invest at least
65% of its assets in Approved Market securities, and the Emerging Markets Small
Cap Series will invest at least 65% of its assets in small company (as defined
above) Approved Market Securities. Approved Market securities are defined to be
(a) securities of companies organized in a country in an Approved Market or for
which the principal trading market is in an Approved Market, (b) securities
issued or guaranteed by the government of an Approved Market country, its
agencies or instrumentalities, or the central bank of such country, (c)
-20-
<PAGE>
securities denominated in an Approved Market currency issued by companies to
finance operations in Approved Markets, (d) securities of companies that derive
at least 50% of their revenues primarily from either goods or services produced
in Approved Markets or sales made in Approved Markets and (e) Approved Markets
equity securities in the form of depositary shares. Securities of Approved
Markets may include securities of companies that have characteristics and
business relationships common to companies in other countries. As a result, the
value of the securities of such companies may reflect economic and market forces
in such other countries as well as in the Approved Markets. The Advisor,
however, will select only those companies which, in its view, have sufficiently
strong exposure to economic and market forces in Approved Markets such that
their value will tend to reflect developments in Approved Markets to a greater
extent than developments in other regions. For example, the Advisor may invest
in companies organized and located in the United States or other countries
outside of Approved Markets, including companies having their entire production
facilities outside of Approved Markets, when such companies meet the definition
of Approved Markets securities so long as the Advisor believes at the time of
investment that the value of the company's securities will reflect principally
conditions in Approved Markets.
The Advisor defines the term "emerging market" to mean a country which is
considered to be an emerging market by the International Finance Corporation.
Approved emerging markets may not include all such emerging markets. In
determining whether to approve markets for investment, the Board of Trustees
will take into account, among other things, market liquidity, investor
information, government regulation, including fiscal and foreign exchange
repatriation rules and the availability of other access to these markets by the
investors of each of the Series.
As of the date of this registration statement, the following countries are
designated as Approved Markets: Argentina, Brazil, Chile, Indonesia, Israel,
Malaysia, Mexico, Philippines, Portugal, South Korea, Thailand and Turkey.
Countries that may be approved in the future include but are not limited to
Colombia, Czech Republic, Greece, Hungary, India, Jordan, Nigeria, Pakistan,
Poland, Republic of China (Taiwan), Republic of South Africa, Venezuela and
Zimbabwe.
Each Series may invest up to 35% of its assets in securities of issuers that are
not Approved Markets securities, but whose issuers the Advisor believes derive a
substantial proportion, but less than 50%, of their total revenues from either
goods and services produced in, or sales made in, Approved Markets.
Pending the investment of new capital in Approved Market equity securities, each
Series will typically invest in money market instruments or other highly liquid
debt instruments denominated in U.S. dollars (including, without limitation,
repurchase agreements). In addition, each Series may, for liquidity, or for
temporary defensive purposes during periods in which market or
-21-
<PAGE>
economic or political conditions warrant, purchase highly liquid debt
instruments or hold freely convertible currencies, although neither Series
expects the aggregate of all such amounts to exceed 10% of its net assets under
normal circumstances. Both Series also may invest in shares of other investment
companies that invest in one or more Approved Markets, although they intend to
do so only where access to those markets is otherwise significantly limited.
The Series may also invest in money market mutual funds for temporary cash
management purposes. The Investment Company Act of 1940 limits investment by a
Series in shares of other investment companies as follows: (1) no more than 10%
of the value of a Series' total assets may be invested in shares of other
investment companies; (2) a Series may not own securities issued by an
investment company having an aggregate value in excess of 5% of the value of the
total assets of the Series; and (3) a Series may not own more than 3% of the
total outstanding voting stock of an investment company. If either Series
invests in another investment company, the Series' shareholders will bear not
only their proportionate share of expenses of the Series (including operating
expenses and the fees of the Advisor), but also will bear indirectly similar
expenses of the underlying investment company. In some Approved Markets, it
will be necessary or advisable for a Series to establish a wholly-owned
subsidiary or a trust for the purpose of investing in the local markets. Each
Series also may invest up to 5% of its assets in convertible debentures issued
by companies organized in Approved Markets.
PORTFOLIO STRUCTURE. Each Series' policy of seeking broad market
diversification means that the Advisor will not utilize "fundamental" securities
research techniques in identifying securities selections. The decision to
include or exclude the shares of an issuer will be made primarily on the basis
of such issuer's relative market capitalization determined by reference to other
companies located in the same country. Company size is measured in terms of
reference to other companies located in the same country and in terms of local
currencies in order to eliminate the effect of variations in currency exchange
rates. Even though a company's stock may meet the applicable market
capitalization criterion, it may not be included in a Series for one or more of
a number of reasons. For example, in the Advisor's judgment, the issuer may be
considered in extreme financial difficulty, a material portion of its securities
may be closely held and not likely available to support market liquidity, or the
issuer may be a "passive foreign investment company" (as defined in the Internal
Revenue Code of 1986, as amended). To this extent, there will be the exercise
of discretion and consideration by the Advisor which would not be present in the
management of a portfolio seeking to represent an established index of broadly
traded domestic securities (such as the S&P 500 Index). The Advisor will also
exercise discretion in determining the allocation of capital as between Approved
Markets.
It is management's belief that equity investments offer, over a long term, a
prudent opportunity for capital appreciation, but,
-22-
<PAGE>
at the same time, selecting a limited number of such issues for inclusion in a
Series involves greater risk than including a large number of them.
Neither Series seeks current income as an investment objective, and investments
will not be based upon an issuer's dividend payment policy or record. However,
many of the companies whose securities will be included in a Series do pay
dividends. It is anticipated, therefore, that both Series will receive dividend
income.
Generally, securities will be purchased with the expectation that they will be
held for longer than one year. However, securities may be disposed of at any
time when, in the Advisor's judgment, circumstances warrant their sale.
Generally, securities will not be sold to realize short-term profits, but when
circumstances warrant, they may be sold without regard to the length of time
held. The portfolio turnover rate of the Emerging Markets Small Cap Series
ordinarily is anticipated to be low, and is not expected to exceed 20% per year.
For the purpose of converting U.S. dollars to another currency, or vice versa,
or converting one foreign currency to another foreign currency, each Series may
enter into forward foreign exchange contracts. In addition, to hedge against
changes in the relative value of foreign currencies, each Series may purchase
foreign currency futures contracts. A Series will only enter into such a
futures contract if it is expected that the Series will be able readily to close
out such contract. There can, however, be no assurance that it will be able in
any particular case to do so, in which case the Series may suffer a loss.
SECURITIES LOANS
Each Series of the Trust may lend securities to qualified brokers, dealers,
banks and other financial institutions for the purpose of earning additional
income. While a Series may earn additional income from lending securities,
such activity is incidental to the investment objective of a Series. The value
of securities loaned may not exceed 33 1/3% of the value of a Series' total
assets. In connection with such loans, a Series will receive collateral
consisting of cash or U.S. Government securities, which will be maintained at
all times in an amount equal to at least 100% of the current market value of the
loaned securities. In addition, the Series will be able to terminate the loan
at any time and will receive reasonable interest on the loan, as well as amounts
equal to any dividends, interest or other distributions on the loaned
securities. In the event of the bankruptcy of the borrower, the Trust could
experience delay in recovering the loaned securities. Management believes that
this risk can be controlled through careful monitoring procedures.
-23-
<PAGE>
ITEM 4(b) OTHER INVESTMENT PRACTICES
The U.S. 6-10 Small Company Series and U.S. 9-10 Small Company Series may invest
in securities of foreign issuers that are traded in the U.S. securities
markets, but such investments may not exceed 5% of the gross assets of the
Series.
The U.S. Large Company Series may invest generally not more than 5% of its net
assets in the same types of short-term fixed income obligations as may be
acquired by The DFA One-Year Fixed Income Series, in order to maintain liquidity
or to invest temporarily uncommitted cash balances. (See "The DFA One-Year
Fixed Income Series" in Item 4(a)(ii).)
The U.S. Large Company Series, the U.S. Value Series and The DFA International
Value Series may acquire stock index futures contracts and options thereon in
order to commit funds awaiting investment in stocks or maintain cash liquidity.
To the extent that such Series invest in futures contracts and options thereon
for other than bona fide hedging purposes, no Series will enter into such
transactions if, immediately thereafter, the sum of the amount of margin
deposits and premiums paid for open futures options would exceed 5% of the
Series' total assets, after taking into account unrealized profits and
unrealized losses on such contracts it has entered into; provided, however,
that, in the case of an option that is in-the-money at the time of purchase, the
in-the-money amount may be excluded in calculating the 5%. Such investments
entail certain risks. (See "Risk Factors - All Series" in Item 4(c).)
ITEM 4(c) RISK FACTORS - ALL SERIES
SMALL COMPANY SECURITIES
Typically, securities of small companies are less liquid than securities of
large companies. Recognizing this factor, management will endeavor to effect
securities transactions in a manner to avoid causing significant price
fluctuations in the market for these securities. In addition, the prices of
small company securities may fluctuate more sharply than those of other
securities.
FOREIGN SECURITIES
The Japanese, United Kingdom, Continental, Pacific Rim, Enhanced U.S. Large
Company, DFA One-Year Fixed Income, Two-Year Global Fixed Income and DFA
International Value Series invest in foreign issuers. Such investments involve
risks that are not associated with investments in U.S. public companies. Such
risks may include legal, political and or diplomatic actions of foreign
governments, such as imposition of withholding taxes on interest and dividend
income payable on the securities held, possible seizure or nationalization of
foreign deposits, establishment of exchange controls or the adoption of other
foreign governmental restrictions which might adversely affect the value of the
assets held by the Series. (Also see "Foreign Currencies and Related
-24-
<PAGE>
Transactions" below) Further, foreign issuers are not generally subject to
uniform accounting, auditing and financial reporting standards comparable to
those of U.S. public companies and there may be less publicly available
information about such companies than comparable U.S. companies. The Enhanced
U.S. Large Company Series, DFA One-Year Fixed Income and Two-Year Global Fixed
Income Series also may invest in obligations of supranational organizations.
The value of the obligations of these organizations may be adversely affected if
one or more of their supporting governments discontinue their support. Also,
there can be no assurance that any of the Series will achieve its investment
objective.
INVESTING IN EMERGING MARKETS
The investments of The Emerging Markets Series and The Emerging Markets Small
Cap Series involve risks that are in addition to the usual risks of investing in
developed foreign markets. A number of emerging securities markets restrict,
to varying degrees, foreign investment in stocks. Repatriation of investment
income, capital and the proceeds of sales by foreign investors may require
governmental registration and/or approval in some emerging countries. In some
jurisdictions, such restrictions and the imposition of taxes are intended to
discourage shorter- rather than longer-term holdings. While The Emerging
Markets Series and The Emerging Markets Small Cap Series will invest only in
markets where these restrictions are considered acceptable to the Advisor, new
or additional repatriation restrictions might be imposed subsequent to a Series'
investment. If such restrictions were imposed subsequent to investment in the
securities of a particular country, a Series might, among other things,
discontinue the purchasing of securities in that country. Such restrictions
will be considered in relation to the Series' liquidity needs and other factors
and may make it particularly difficult to establish the fair market value of
particular securities from time to time. The valuation of securities held by a
Series is the responsibility of the Board of Trustees, acting in good faith and
with advice from the Advisor. (See Item 7(b).) Further, some attractive equity
securities may not be available to the Series because foreign shareholders hold
the maximum amount permissible under current laws.
Relative to the U.S. and to larger non-U.S. markets, many of the emerging
securities markets in which The Emerging Markets Series and The Emerging Markets
Small Cap Series may invest are relatively small, have low trading volumes,
suffer periods of illiquidity and are characterized by significant price
volatility. Such factors may be even more pronounced in jurisdictions where
securities ownership is divided into separate classes for domestic and
non-domestic owners. These risks are heightened for investments in small
company emerging markets securities.
In addition, many emerging markets, including most Latin American countries,
have experienced substantial, and, in some periods,
-25-
<PAGE>
extremely high, rates of inflation for many years. Inflation and rapid
fluctuations in inflation rates have had and may continue to have very negative
effects on the economies and securities markets of certain countries. In an
attempt to control inflation, wage and price controls have been imposed at times
in certain countries. Certain emerging markets have recently transitioned, or
are in the process of transitioning, from centrally controlled to market-based
economies. There can be no assurance that such transitions will be successful.
Brokerage commissions, custodial services and other costs relating to investment
in foreign markets generally are more expensive than in the United States; this
is particularly true with respect to emerging markets. Such markets have
different settlement and clearance procedures. In certain markets there have
been times when settlements do not keep pace with the volume of securities
transactions, making it difficult to conduct such transactions. The inability
of a Series to make intended securities purchases due to settlement problems
could cause the Series to miss investment opportunities. Inability to dispose
of a portfolio security caused by settlement problems could result either in
losses to a Series due to subsequent declines in value of the portfolio security
or, if a Series has entered into a contract to sell the security, could result
in possible liability to the purchaser.
The risk also exists that an emergency situation may arise in one or more
emerging markets as a result of which trading of securities may cease or may be
substantially curtailed and prices for a Series' portfolio securities in such
markets may not be readily available. The Series' portfolio securities in the
affected markets will be valued at fair value determined in good faith by or
under the direction of the Board of Trustees.
Government involvement in the private sector varies in degrees among the
emerging securities markets contemplated for investment by the Series. Such
involvement may, in some cases, include government ownership of companies in
certain commercial business sectors, wage and price controls or imposition of
trade barriers and other protectionist measures. With respect to any developing
country, there is no guarantee that some future economic or political crisis
will not lead to price controls, forced mergers of companies, expropriation, the
creation of government monopolies, or other measures which could be detrimental
to the investments of a Series.
Taxation of dividends and capital gains received by non-residents varies among
countries with emerging markets and, in some cases, is high in relation to
comparable U.S. rates. Particular tax structures may have the intended or
incidental effect of encouraging long holding periods for particular securities
and/or the reinvestment of earnings and sales proceeds in the same jurisdiction.
In addition, emerging market jurisdictions typically have less well-defined tax
laws and procedures than is the case in the United States, and such laws may
permit retroactive taxation so that The Emerging Markets Series and The
-26-
<PAGE>
Emerging Markets Small Cap Series could in the future become subject to local
tax liability that it had not reasonably anticipated in conducting its
investment activities or valuing its assets.
FOREIGN CURRENCIES AND RELATED TRANSACTIONS
Investments of the Japanese, United Kingdom, Continental and Pacific Rim Series,
The DFA International Value Series, The Emerging Markets Series, The Emerging
Markets Small Cap Series, many of the investments of The DFA Two-Year Global
Fixed Income Series and, to a lesser extent, the investments of The Enhanced
U.S. Large Company Series, will be denominated in foreign currencies. Changes
in the relative values of foreign currencies and the U.S. dollar, therefore,
will affect the value of investments of the Series. The Series may purchase
foreign currency futures contracts and options in order to hedge against changes
in the level of foreign currency exchange rates. Such contracts involve an
agreement to purchase or sell a specific currency at a future date at a price
set in the contract and enable the Series to protect against losses resulting
from adverse changes in the relationship between the U.S. dollar and foreign
currencies occurring between the trade and settlement dates of Series securities
transactions, but they also tend to limit the potential gains that might result
from a positive change in such currency relationships. Gains and losses on
investments in futures and options thereon depend on the direction of securities
prices, interest rates and other economic factors.
BORROWING
Each Series, except the U.S. 9-10 Series, Japanese Series and The DFA One-Year
Fixed Income Series, has reserved the right to borrow amounts not exceeding 33%
of its net assets for the purposes of making redemption payments. When
advantageous opportunities to do so exist, the Series may purchase securities
when borrowings exceed 5% of the value of the Series' net assets. Such
purchases can be considered to be "leveraging," and in such circumstances, the
net asset value of the Series may increase or decrease at a greater rate than
would be the case if the Series had not leveraged. The interest payable on the
amount borrowed would increase the Series' expenses and if the appreciation and
income produced by the investments purchased when the Series has borrowed are
less than the cost of borrowing, the investment performance of the Series will
be reduced as a result of leveraging.
PORTFOLIO STRATEGIES
The method employed by the Advisor to manage each Series, except The U.S. Large
Company Series, The Enhanced U.S. Large Company Series and the Fixed Income
Series, will differ from the process employed by many other investment advisors
in that the Advisor will rely on fundamental analysis of the investment merits
of securities to a limited extent to eliminate potential portfolio
-27-
<PAGE>
acquisitions rather than rely on this technique to select securities. Further,
because securities generally will be held long-term and will not be eliminated
based on short-term price fluctuations, the Advisor generally will not act upon
general market movements or short-term price fluctuations of securities to as
great an extent as many other investment advisors. The U.S. Large Company
Series will operate as an index fund and, therefore, represents a passive method
of investing in all stocks that comprise the S&P 500 Index which does not entail
selection of securities based on the individual investment merits of their
issuers. The investment performance of The U.S. Large Company Series is
expected to approximate the investment performance of the S&P 500 Index, which
tends to be cyclical in nature, reflecting periods when stock prices generally
rise or fall.
FUTURES CONTRACTS AND OPTIONS ON FUTURES
The U.S. Large Company Series, The Enhanced U.S. Large Company Series, the U.S.
Value Series, The DFA International Value Series, The Emerging Markets Series
and The Emerging Markets Small Cap Series may invest in index futures contracts
and options on index futures. To the extent that such Series invest in futures
contracts and options thereon for other than bona fide hedging purposes, no
Series will enter into such transactions if, immediately thereafter, the sum of
the amount of margin deposits and premiums paid for open futures options would
exceed 5% of the Series' total assets, after taking into account unrealized
profits and unrealized losses on such contracts it has entered into; provided,
however, that, in the case of an option that is in-the-money at the time of
purchase, the in-the-money amount may be excluded in calculating the 5%.
These investments entail the risk that an imperfect correlation may exist
between changes in the market value of the stocks owned by the Series and the
prices of such futures contracts and options, and, at times, the market for such
contracts and options might lack liquidity, thereby inhibiting a Series' ability
to close a position in such investments. Gains or losses on investments in
options and futures depend on the direction of securities prices, interest rates
and other economic factors, and the loss from investing in futures transactions
is potentially unlimited. Certain restrictions imposed by the Internal Revenue
Code may limit the ability of a Series to invest in futures contracts and
options on futures contracts.
OPTIONS ON STOCK INDICES
The Enhanced U.S. Large Company Series may purchase put and call options and
write put and call options on stock indices and stock index futures listed on
national securities exchanges or traded in the over-the-counter market. The
Enhanced U.S. Large Company Series may use these techniques to hedge against
changes in securities prices or as part of its overall investment strategy. An
option on an index is a contract that gives the holder of the option, in return
for a premium, the right to buy from (in the case of a call) or sell to (in the
case of a put) the writer of
-28-
<PAGE>
the option the cash value of the index at a specified exercise price at any time
during the term of the option. Upon exercise, the writer of an option on an
index is obligated to pay the difference between the cash value of the index and
the exercise price multiplied by the specified multiplier for the index option.
(An index is designed to reflect specified facets of a particular financial or
securities market, a specific group of financial instruments or securities, or
certain economic indicators.) A stock index fluctuates with changes in the
market values of the stocks included in the index.
With respect to the writing of options, the writer has no control over the time
when it may be required to fulfill its obligation. Prior to exercise or
expiration, an option may be closed out by an offsetting purchase or sale of an
option on the same series. There can be no assurance, however, that a closing
purchase or sale transaction can be effected when The Enhanced U.S. Large
Company Series desires.
The Enhanced U.S. Large Company Series may write covered straddles consisting of
a combination of a call and a put written on the same index. A straddle will be
covered when sufficient assets are deposited to meet The Enhanced U.S. Large
Company Series' immediate obligations. The Series may use the same liquid
assets to cover both the call and put options where the exercise price of the
call and the put are the same or the exercise price of the call is higher than
that of the put. In such cases, the Series will also segregate liquid assets
equivalent to the amount, if any, by which the put is "in the money."
The effectiveness of purchasing stock index options will depend upon the extent
to which price movements in The Enhanced U.S. Large Company Series' portfolio
correlate with price movements of the stock index selected. Because the value
of an index option depends upon movements in the level of the index rather than
the price of a particular stock, whether the Series will realize a gain or loss
from the purchase of options on an index depends upon movements in the level of
stock prices in the stock market generally or, in the case of certain indices,
in an industry or market segment, rather than movements in the price of a
particular stock. If The Enhanced U.S. Large Company Series takes positions in
options instruments contrary to prevailing market trends, the Series could be
exposed to the risk of a loss. Certain restrictions imposed on The Enhanced
U.S. Large Company Series by the Internal Revenue Code may limit the ability of
such Series to invest in options.
SWAPS
The Enhanced U.S. Large Company Series may enter into equity index swap
agreements for purposes of attempting to obtain a particular desired return at a
lower cost to the Series than if the Series had invested directly in an
instrument that yielded that desired return. Swap agreements are two-party
contracts entered into primarily by institutional investors for periods
-29-
<PAGE>
ranging from a few weeks to more than one year. In a standard "swap"
transaction, two parties agree to exchange the returns (or differentials in
rates of return) earned or realized on particular predetermined investments or
instruments. The gross returns to be exchanged or "swapped" between the parties
are generally calculated with respect to a "notional amount," i.e., the return
on or increase in value of a particular dollar amount invested a group of
securities representing a particular index.
The "notional amount" of the swap agreement is only a fictive basis on which to
calculate the obligations which the parties to a swap agreement have agreed to
exchange. Most swap agreements entered into by The Enhanced U.S. Large Company
Series would calculate the obligations of the parties to the agreement on a "net
basis." Consequently, the Series' current obligations (or rights) under a swap
agreement will generally be equal only to the net amount to be paid or received
under the agreement based on the relative values of the positions held by each
party to the agreement (the "net amount"). The Enhanced U.S. Large Company
Series' current obligations under a swap agreement will be accrued daily (offset
against amounts owed to the Series) and any accrued but unpaid net amounts owed
to a swap counterparty will be covered by the maintenance of a segregated
account consisting of liquid assets to avoid any potential leveraging of the
Series' portfolio. The Enhanced U.S. Large Company Series will not enter into a
swap agreement with any single party if the net amount owed or to be received
under existing contracts with that party would exceed 5% of the Series' assets.
Because they are two-party contracts and because they may have terms of greater
than seven days, swap agreements may be considered to be illiquid, and,
therefore, swap agreements entered into by The Enhanced U.S. Large Company
Series and other illiquid securities will be limited to 15% of the net assets of
the Series. Moreover, The Enhanced U.S. Large Company Series bears the risk of
loss of the amount expected to be received under a swap agreement in the event
of the default or bankruptcy of a swap agreement counterparty. The Advisor will
cause The Enhanced U.S. Large Company Series to enter into swap agreements only
with counterparties that the Investment Committee of the Advisor has approved.
Certain restrictions imposed on the Enhanced U.S. Large Company Series by the
Internal Revenue Code may limit the Series' ability to use swap agreements. The
swap market is a relatively new market and is largely unregulated. It is
possible that developments in the swaps market, including potential government
regulation, could adversely affect The Enhanced U.S. Large Company Series'
ability to terminate existing swap agreements or to realize amounts to be
received under such agreements.
BANKING INDUSTRY CONCENTRATIONS
Concentrating in obligations of the banking industry may involve additional risk
by foregoing the safety of investing in a variety of industries. Changes in the
market's perception of the riskiness of banks relative to non-banks could cause
more
-30-
<PAGE>
fluctuations in the net asset value of The DFA One-Year Fixed Income and
Two-Year Global Fixed Income Series than might occur in less concentrated
portfolios.
REPURCHASE AGREEMENTS
In addition, all of the Series may invest in repurchase agreements. In the
event of the bankruptcy of the other party to a repurchase agreement, the Trust
could experience delay in recovering the securities underlying such agreements.
Management believes that this risk can be controlled through stringent security
selection criteria and careful monitoring procedures.
ITEM 5. MANAGEMENT OF THE TRUST
(a) The Trust has a Board of Trustees, which is responsible for establishing
Trust policies and for overseeing the management of the Trust.
(b)(i) Dimensional Fund Advisors Inc., 1299 Ocean Avenue, 11th Floor, Santa
Monica, California 90401, serves as investment advisor to each of the Series.
The Advisor was organized in May 1981 and is engaged in the business of
providing investment management services to institutional investors. Assets
under management total approximately $25 billion. David G. Booth and Rex A.
Sinquefield, directors and officers of the Advisor and trustees and officers of
the Trust, and shareholders of the Advisor's outstanding voting stock, may be
deemed controlling persons of the Advisor.
(b)(ii) Pursuant to an investment management agreement with the Trust with
respect to each Series, the Advisor manages the investment and reinvestment of
their assets. The Advisor also provides the Trust with records concerning the
Advisor's activities which the Trust is required to maintain and renders regular
reports to the Trust's officers and the Board of Trustees. The Advisor also
provides all of the Series with a trading department and selects brokers and
dealers to effect securities transactions.
(b)(iii) For the fiscal year ended November 30, 1996, (i) the Advisor received
a fee for its services which, on an annual basis, equaled the following
percentage of the average net assets of each Series; and (ii) the total expenses
of each Series were the following percentages of respective average net assets:
<TABLE>
<CAPTION>
Series Management Fee Total Expenses
------ -------------- --------------
<S> <C> <C>
U.S. 6-10 Small Company 0.03% 0.13%
U.S. Large Company 0.025% 0.12%
U.S. 6-10 Value 0.20% 0.29%
U.S. Large Cap Value 0.10% 0.19%
DFA One-Year Fixed Income 0.05% 0.09%
-31-
<PAGE>
Series Management Fee Total Expenses
------ -------------- --------------
DFA International Value 0.20% 0.36%
Emerging Markets 0.10% 0.66%
Enhanced U.S. Large Company 0.05% 0.29%
DFA Two-Year Global Fixed Income 0.05% 0.20%
Japanese Small Company 0.10% 0.29%
United Kingdom Small Company 0.10% 0.29%
Pacific Rim Small Company 0.10% 0.45%
Continental Small Company 0.10% 0.31%
</TABLE>
The management fee applicable to The U.S. 9-10 Small Company, U.S. 4-10 Value
and Emerging Markets Small Cap Series, each of which had not commenced
operations as of November 30, 1996, is equal to 0.10%, 0.10% and 0.20%,
respectively of the Series' average net assets on an annual basis.
With respect to The DFA International Value Series, from December 1, 1993
through August 8, 1996, the Advisor agreed to waive its fee under the investment
management agreement to the extent necessary to keep the cumulative annual
expenses of the Series to not more than 0.45% of average net assets of the
Series on an annualized basis. For the fiscal year ended November 30, 1996, the
Advisor was not required to waive any portion of its fee pursuant to such
agreement.
INVESTMENT SERVICES - UNITED KINGDOM AND CONTINENTAL SMALL COMPANY SERIES
Pursuant to Sub-Advisory Agreements with the Advisor, Dimensional Fund
Advisors Ltd. ("DFAL"), 14 Berkeley Street, London, W1X 5AD, England, a company
that is organized under the laws of England, has the authority and
responsibility to select brokers or dealers to execute securities transactions
for the United Kingdom and Continental Series. DFAL's duties include the
maintenance of a trading desk for the Series and the determination of the best
and most efficient means of executing securities transactions. On at least a
semi-annual basis the Advisor reviews the holdings of the United Kingdom and
Continental Series and reviews the trading process and the execution of
securities transactions. The Advisor is responsible for determining those
securities which are eligible for purchase and sale by these Series and may
delegate this task, subject to its own review, to DFAL. DFAL maintains and
furnishes to the Advisor information and reports on United Kingdom and European
small companies, including its recommendations of securities to be added to the
securities that are eligible for purchase by the Series. The Advisor pays DFAL
quarterly fees of 12,500 pounds
-32-
<PAGE>
sterling for services to each Series. DFAL is a member of the Investment
Management Regulatory Organization Limited ("IMRO"), a self regulatory
organization for investment managers operating under the laws of England. The
Advisor owns 100% of the outstanding shares of DFAL.
INVESTMENT SERVICES - JAPANESE AND PACIFIC RIM SMALL COMPANY SERIES
Pursuant to Sub-Advisory Agreements with the Advisor, DFA Australia Limited
("DFA Australia"), Suite 4403 Gateway, 1 MacQuarie Place, Sydney, New South
Wales 2000, Australia, the successor to Dimensional Fund Advisors Asia Inc., has
the authority and responsibility to select brokers and dealers to execute
securities transactions for the Japanese and Pacific Rim Series. DFA
Australia's duties include the maintenance of a trading desk for each Series and
the determination of the best and most efficient means of executing securities
transactions. On at least a semi-annual basis, the Advisor reviews the holdings
of the Japanese and Pacific Rim Series and reviews the trading process and the
execution of securities transactions. The Advisor is responsible for
determining those securities which are eligible for purchase and sale by these
Series and may delegate this task, subject to its own review, to DFA Australia.
DFA Australia maintains and furnishes to the Advisor information and reports on
Japanese and Pacific Rim small companies, including its recommendations of
securities to be added to the securities that are eligible for purchase by each
Series. The Advisor pays DFA Australia fees of $13,000 per year for services to
each Series. The Advisor beneficially owns 100% of DFA Australia.
CONSULTING SERVICES - DFA INTERNATIONAL VALUE SERIES, EMERGING MARKETS SERIES
AND EMERGING MARKETS SMALL CAP SERIES
The Advisor has entered into a Consulting Services Agreement with DFAL and
DFA Australia, respectively. Pursuant to the terms of each Consulting Services
Agreement, DFAL and DFA Australia provide certain trading and administrative
services to the Advisor with respect to DFA International Value Series, Emerging
Markets Series and Emerging Markets Small Cap Series.
(c) Investment decisions for all Series are made by the Investment Committee of
the Advisor which meets on a regular basis and also as needed to consider
investment issues. The Investment Committee is composed of certain officers and
directors of the Advisor who are elected annually.
(d) AND (e) PFPC Inc. ("PFPC"), 400 Bellevue Parkway, Wilmington, Delaware
19809, serves as the administrative and accounting services, dividend disbursing
and transfer agent for all Trust Series. The services provided by PFPC are
subject to supervision by the executive officers and the Board of Trustees of
the Trust, and include day-to-day keeping and maintenance of certain records,
calculation of the offering price of the shares, preparation of reports, liaison
with its custodians, and transfer and dividend disbursing agency services. For
its services, each
-33-
<PAGE>
Series pays PFPC annual fees which are set forth in the following table:
U.S. 9-10 SMALL COMPANY SERIES
U.S. 6-10 SMALL COMPANY SERIES
U.S. 4-10 VALUE SERIES
U.S. 6-10 VALUE SERIES
U.S. LARGE CAP VALUE SERIES
ENHANCED U.S. LARGE COMPANY SERIES
CHARGES FOR EACH SERIES:
.1025% of the first $300 million of net assets
.0769% of the next $300 million of net assets
.0513% of the next $250 million of net assets
.0205% of net assets over $850 million
PFPC charges a minimum fee of $58,800 per year to each of the Large Cap Value
and 6-10 Value Series. PFPC charges the Enhanced U.S. Large Company Series a
minimum fee of $75,000 per year which is to be phased in over the first year of
the Series' operation. PFPC has agreed that it may from time to time limit the
fee rates and the minimum fees for these Series.
DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
.1230% of the first $150 million of net assets
.0820% of the next $150 million of net assets
.0615% of the next $300 million of net assets
.0410% of the next $250 million of net assets
.0205% of net assets over $850 million
The Series is subject to a minimum fee of $75,000 per year which is to be phased
in over the first year of the Series' operation. PFPC has agreed to limit the
minimum fee for the Series from time to time.
JAPANESE SMALL COMPANY SERIES
UNITED KINGDOM SMALL COMPANY SERIES
PACIFIC RIM SMALL COMPANY SERIES
CONTINENTAL SMALL COMPANY SERIES
DFA INTERNATIONAL VALUE SERIES
EMERGING MARKETS SERIES
EMERGING MARKETS SMALL CAP SERIES
CHARGES FOR EACH SERIES:
.123% of the first $300 million of net assets
.0615% of the next $300 million of net assets
.0410% of the next $250 million of net assets
.0205% of net assets over $850 million
The DFA International Value, Emerging Markets and Emerging Markets Small Cap
Series are each subject to minimum fees of $75,000 per year. The Pacific Rim
Small Company Series is subject to a minimum fee of $100,000 per year. PFPC has
agreed to limit the minimum fee for these Series from time to time.
DFA ONE-YEAR FIXED INCOME SERIES
.0513% of the first $100 million of net assets
.0308% of net assets
.0205% of net assets over $200 million
-34-
<PAGE>
U.S. LARGE COMPANY SERIES
.015% of net assets
(f) The Trust bears all of its own costs and expenses, including: services of
its independent accountants, legal counsel, brokerage fees, commissions and
transfer taxes in connection with the acquisition and disposition of portfolio
securities, taxes, insurance premiums, costs incidental to meetings of its
shareholders and trustees, the cost of filing its registration statement under
federal securities law, reports to shareholders, and transfer and dividend
disbursing agency, administrative services and custodian fees. Expenses
allocable to a particular Series are so allocated and expenses of the Trust
which are not allocable to a particular Series are borne by each Series on the
basis of its relative net assets.
(g) The Advisor places portfolio securities transactions with a view to
obtaining best price and execution. Subject to that goal, transactions may be
placed with securities firms that are affiliated with an affiliate of the
Advisor.
Response to Item 5A has been omitted pursuant to paragraph 4 of Instruction F of
the General Instructions to Form N-1A.
ITEM 6. CAPITAL STOCK AND OTHER SECURITIES
(a) All sixteen Series issue shares of beneficial interest with a par value of
$.01 per share without a sales load. The shares of each Series, when issued and
paid for in accordance with this registration statement, will be fully paid and
nonassessable shares, with equal, non-cumulative voting rights, except as
described below, and no preferences as to conversion, exchange, dividends,
redemptions or any other feature. Shareholders shall have the right to vote
only (i) for removal of Trustees, (ii) with respect to such additional matters
relating to the Trust as may be required by the applicable provisions of the
1940 Act, including Section 16(a) thereof, and (iii) on such other matters as
the Trustees may consider necessary or desirable. In addition, the shareholders
of each Series will be asked to vote on any proposal to change a fundamental
investment policy (i.e. a policy that may be changed only with the approval of
shareholders) of that Series. If a shareholder of The Emerging Markets, The
Emerging Markets Small Cap, The U.S. Large Company, Japanese, Pacific Rim,
United Kingdom or Continental Series redeems its entire interest in the Series
or becomes bankrupt, a majority in interest of the remaining shareholders in
such Series must vote within 120 days to approve the continuing existence of the
Series or the Series will be liquidated. All shares of the Trust entitled to
vote on a matter shall vote without differentiation between the separate Series
on a one-vote-per-share basis; provided however, if a matter to be voted on
affects only the interests of not all Series, then only the shareholders of such
affected Series shall be entitled to vote on the matter. Investments in The
Emerging Markets, The Emerging Markets Small Cap, The U.S. Large Company,
Japanese, Pacific Rim, United Kingdom and Continental Series may not be
transferred, but an
-35-
<PAGE>
investor may withdraw all or any portion of their investment at any time at net
asset value. If liquidation of the Trust should occur, shareholders would be
entitled to receive on a per class basis the assets of the particular Series
whose shares they own, as well as a proportionate share of Trust assets not
attributable to any particular class. Ordinarily, the Trust does not intend to
hold annual meetings of shareholders, except as required by the Investment
Company Act of 1940 or other applicable law. The Trust's by-laws provide that
meetings of shareholders shall be called for the purpose of voting upon the
question of removal of one or more Trustees upon the written request of the
holders of not less than 10% of the outstanding shares.
(b) As of January 31, 1998, the following persons may be deemed to control the
following Series either by owning more than 25% of the voting securities of such
Series directly or, through the operation of pass-through voting rights, by
owning more than 25% of the voting securities of a feeder portfolio investing
its assets in the Series:
THE DFA INTERNATIONAL VALUE SERIES
BellSouth Corporation
1155 Peachtree Street N.E.
Atlanta, GA 30309 26.09%
JAPANESE SMALL COMPANY SERIES
BellSouth Corporation
1155 Peachtree Street N.E.
Atlanta, GA 30309 34.73%
UNITED KINGDOM SMALL COMPANY SERIES
BellSouth Corporation
1155 Peachtree Street N.E.
Atlanta, GA 30309 38.48%
PACIFIC RIM SMALL COMPANY SERIES
BellSouth Corporation
1155 Peachtree Street N.E.
Atlanta, GA 30309 43.07%
CONTINENTAL SMALL COMPANY SERIES
BellSouth Corporation
1155 Peachtree Street N.E.
Atlanta, GA 30309 39.22%
EMERGING MARKETS SMALL CAP SERIES
South Dakota Retirement System
4009 W. 49th Street, Suite 300
Sioux Falls, SD 57105 99.26%
-36-
<PAGE>
ENHANCED U.S. LARGE COMPANY SERIES
Misericordia Home Endowment Fund
6300 N. Ridge Avenue
Chicago, IL 60660 25.90%
U.S. 4-10 VALUE SERIES
Dimensional Fund Advisors Inc.
1299 Ocean Avenue, 11th Floor
Santa Monica, CA 90401 100%
(c) Not applicable.
(d) Not applicable.
(e) Shareholder inquiries may be made by writing or calling the Trust at 1299
Ocean Avenue, 11th Floor, Santa Monica, California 90401 or (310) 395-8005.
(F) Except for the Partnership Series (defined below), the Trust's policy is to
distribute substantially all net investment income not previously distributed
during the year from the Small Company Series, U.S. 4-10 Value Series, U.S. 6-10
Value Series and the DFA International Value Series together with any net
realized capital gains in December of each year. In addition, the Corporate
Series (as defined below) will distribute all net investment income earned
through the end of November each year in the month of November. Dividends from
net investment income of The Enhanced U.S. Large Company Series and U.S. Large
Cap Value Series, are distributed quarterly, and any net capital gains are
distributed annually after November 30. Net investment income, which is accrued
daily, will be distributed monthly (except for January) by The DFA One-Year
Fixed Income Series and quarterly by The DFA Two-Year Global Fixed Income
Series. Any net realized capital gains of the Fixed Income Series will be
distributed annually after the end of the fiscal year. Shareholders of the
Trust (other than shareholders of the Partnership Series) will automatically
receive all income dividends and capital gains distributions in additional
shares of the Series whose shares they hold at net asset value (as of the
business date following the dividend record date), unless as to The U.S. 6-10
Small Company Series, U.S. 9-10 Small Company Series, the Fixed Income Series
and the U.S. Value Series upon written notice to PFPC, the shareholder selects
one of the following options: (i) Income Option -- to receive income dividends
in cash and capital gains distributions in additional shares at net asset value;
(ii) Capital Gains Option -- to receive capital gains distributions in cash and
income dividends in additional shares at net asset value; or (iii) Cash Option
- --to receive both income dividends and capital gains distributions in cash.
While shareholders of The Enhanced U.S. Large Company Series will automatically
receive all capital gains distributions in additional shares of the Series, upon
written notice to the Transfer Agent, they may receive all income dividends in
cash.
-37-
<PAGE>
(g) Each Series of the Trust, other than the Japanese, United Kingdom, Pacific
Rim, Continental, The U.S. Large Company, The Emerging Markets and The Emerging
Markets Small Cap Series, is classified as a separate corporation for U.S.
federal income tax purposes (collectively, referred to as the "Corporate
Series").
Each Corporate Series intends to qualify each year as a regulated investment
company under Subchapter M of the Internal Revenue Code of 1986, as amended (the
"Code"), so that it will not be liable for U.S. federal income taxes to the
extent that its net investment income and net realized capital gains are
distributed.
The Japanese, United Kingdom, Pacific Rim, Continental, The U.S. Large Company,
The Emerging Markets and The Emerging Markets Small Cap Series (together, the
"Partnership Series") are classified as partnerships for U.S. federal income tax
purposes.
If a Series of the Trust, including the Partnership Series, purchases shares in
certain foreign investment entities, called "passive foreign investment
companies" ("PFIC"), the Series (and in the case of the Partnership Series, its
investors) may be subject to U.S. federal income tax and a related interest
charge on a portion of any "excess distribution" or gain from the disposition of
such shares even if such income is distributed as a taxable dividend by the
Corporate Series to its shareholders or, in the case of the Partnership Series,
even if such income is distributed to its investors (which may or may not be
taxable). (See below for a more detailed discussion of the Partnership Series).
The Series of the Trust, including the Partnership Series, may be subject to
foreign withholding taxes on income from certain of their foreign securities.
If more than 50% in value of the total assets of a Corporate Series at the end
of its fiscal year are invested in securities of foreign corporations, the
Corporate Series may elect to pass-through to its shareholders their pro rata
share of foreign income taxes paid by the Corporate Series. If this election is
made, shareholders will be (i) required to include in their gross income their
pro rata share of foreign source income (including any foreign taxes paid by the
Corporate Series), and (ii) entitled to either deduct their share of such
foreign taxes in computing their taxable income or to claim a credit for such
taxes against their U.S. federal income tax, subject to certain limitations
under the Code.
Shareholders will be informed by the Corporate Series at the end of each
calendar year regarding the shareholder's proportionate share of taxes paid to
any foreign country or possession of the United States, and gross income derived
from sources within any foreign country or possession of the United States.
The Enhanced U.S. Large Company Series' investments in Index Derivatives are
subject to complex tax rules which may have the effect of accelerating income or
converting, in part, what otherwise would have been long-term capital gain into
short-term capital gain. These rules may affect both the amount, character
-38-
<PAGE>
and timing of income distributed to shareholders of The Enhanced U.S. Large
Company Series.
For the Corporate Series with the principal investment policy of investing in
foreign equity securities and non-equity domestic investments, it is anticipated
that only a small portion of such Corporate Series' dividends will qualify for
the corporate dividends received deduction. To the extent that such Corporate
Series pay dividends which qualify for this deduction, the availability of the
deduction is subject to certain holding period and debt financing restrictions
imposed under the Code on the corporation claiming the deduction.
Since virtually all of the net investment income from The DFA One-Year Fixed
Income and Two-Year Global Fixed Income Series is expected to arise from earned
interest, it is not expected that any of such Series' distributions will be
eligible for the dividends received deduction for corporations.
For U.S. federal income tax purposes, any income dividends which the shareholder
receives from a Corporate Series, as well as any distributions derived from the
excess of net short-term capital gain over net long-term capital loss, are
treated as ordinary income whether the shareholder has elected to receive them
in cash or in additional shares. Shareholders of a Corporate Series are
notified annually by the Trust as to the U.S. federal tax status of dividends
and distributions paid by the Corporate Series whose shares they own.
Dividends which are declared by a Corporate Series in October, November or
December to shareholders of record in such a month but which, for operational
reasons, may not be paid to the shareholder until the following January, will be
treated for U.S. federal income tax purposes as if paid by a Corporate Series
and received by the shareholder on December 31 of the calendar year in which
they are declared.
The sale of shares of a Corporate Series by redemption is a taxable event and
may result in a capital gain or loss. Any loss incurred on sale or exchange of
shares of the Corporate Series, held for six months or less, will be treated as
a long-term capital loss to the extent of capital gain dividends received with
respect to such shares.
The Trust may accept securities or local currencies in exchange for shares of a
Series. A gain or loss for U.S. federal income tax purposes may be realized by
investors in a Corporate Series who are subject to U.S. federal taxation upon
the exchange depending upon the cost of the securities or local currency
exchanged. (See "In Kind Purchases" in Item 7.)
The Series may be required to report to the Internal Revenue Service ("IRS") any
taxable dividend or other reportable payment (including share redemption
proceeds) and withhold 31% of any such payments made to individuals and other
non-exempt shareholders who have not provided a correct taxpayer
-39-
<PAGE>
identification number and made certain required certifications that appear in
the Shareholder Application form. A shareholder may also be subject to backup
withholding if the IRS or a broker notifies the Corporate Series that the number
furnished by the shareholder is incorrect or that the shareholder is subject to
backup withholding for previous under-reporting of interest or dividend income.
Shareholders of the Corporate Series who are not U.S. persons for purposes of
U.S. federal income taxation should consult with their tax advisors regarding
the applicability of U.S. withholding and other taxes to distributions received
by them from the Corporate Series and the application of foreign tax laws to
these distributions. Series shares held by the estate of a non-U.S. investor
may also be subject to U.S. estate tax.
Shareholders should also consult their tax advisors with respect to the
applicability of any state and local intangible property or income taxes to
their shares of the Corporate Series and distributions and redemption proceeds
received from the Corporate Series.
The Partnership Series are series of a trust organized under Delaware law. The
Partnership Series will not be subject to any U.S. federal income tax. Instead,
each investor will be required to report separately on its own U.S. federal
income tax return its distributive share (as determined in accordance with the
governing instruments of the Partnership Series) of a Partnership Series'
income, gains, losses, deductions and credits. Each investor will be required
to report its distributive share regardless of whether it has received a
corresponding distribution of cash or property from a Partnership Series. An
allocable share of a tax-exempt investor's income will be "unrelated business
taxable income" ("UBTI") only to the extent that a Partnership Series borrows
money to acquire property or invests in assets that produce UBTI. In addition
to U.S. federal income taxes, investors in the Partnership Series may also be
subject to state and local taxes on their distributive share of a Partnership
Series' income.
The Partnership Series' taxable year-end will be November 30. Although, as
described above, the Partnership Series will not be subject to U.S. federal
income tax, they will file appropriate U.S. federal income tax returns.
While the Partnership Series are not classified as "regulated investment
companies" under Subchapter M of the Code, the Partnership Series' assets,
income and distributions will be managed in such a way that an investor in the
Series will be able to satisfy the requirements of Subchapter M of the Code,
assuming that the investor invested all of its assets in a Partnership Series
for such Series' entire fiscal year.
There are certain other tax issues that will be relevant to only certain of the
investors; for instance, investors that are segregated asset accounts and
investors who contribute assets
-40-
<PAGE>
rather than cash to the Partnership Series. It is intended that contributions
of assets will not be taxable provided certain requirements are met. Such
investors are advised to consult their own tax advisors as to the tax
consequences of an investment in the Partnership Series.
Redemptions of shares in a Partnership Series may be taxable. In general, a
redemption of shares resulting in a distribution of cash by a Partnership Series
to an investor in excess of that investor's tax basis in its shares of such
Partnership Series is taxable to the extent of such excess.
The Partnership Series will inform investors promptly after the close of each
fiscal year of the source of dividends and distributions at the time they are
paid and will promptly advise investors of their allocable share of a
Partnership Series' income, gains, losses, deductions and credits for U.S.
federal income tax purposes.
Investors may wish to contact their tax advisors to determine the applicability
of state and local taxes to their distributive share of a Partnership Series'
income, gains, losses, deductions, and credits.
Investors in the Partnership Series who are not U.S. persons for purposes of
U.S. federal income taxation should consult with their tax advisors to determine
the applicability of U.S. withholding by a Partnership Series on interest,
dividends and any other items of fixed or determinable annual or periodical
gains, profits and income included in such investors' distributive share of a
Partnership Series' income. Non-U.S. investors may also wish to contact their
tax advisors to determine the applicability of foreign tax laws. Series shares
held by the estate of a non-U.S. investor may be subject to U.S. estate tax.
ITEM 7. PURCHASE OF SECURITIES BEING OFFERED
(a) The Trust's shares have not been registered under the Securities Act of
1933, which means that its shares may not be sold publicly. However, the Trust
may sell its shares through private placements pursuant to available exemptions
from registration under that Act.
Shares of the Trust are sold only to other investment companies and certain
institutional investors. Shares of The Emerging Markets, Emerging Markets Small
Cap, Japanese, Pacific Rim and Continental Series are sold at a price which is
equal to the net asset value of such shares plus a reimbursement fee. (SEE Item
7(b).) Shares of the other Series are sold at net asset value without a sales
charge. Shares are purchased at the net asset value next determined after the
Trust receives the order in proper form. All investments are credited to the
shareholder's account in the form of full and fractional shares of the Series
calculated to three decimal places. In the interest of economy and convenience,
certificates for shares will not be issued.
-41-
<PAGE>
The Trust distributes its own shares. It has, however, entered into an
agreement with DFA Securities Inc., a wholly-owned subsidiary of the Advisor,
pursuant to which DFA Securities Inc. is responsible for supervising the sale of
shares of each Series. No compensation is paid by the Trust to DFA Securities
Inc. under this agreement.
IN KIND PURCHASES
If accepted by the Trust, shares of the Series may be purchased in exchange for
securities which are eligible for purchase or otherwise represented in the
Series' portfolios at the time of the exchange as described in this
registration statement or in exchange for local currencies in which such
securities of the Japanese, United Kingdom, Pacific Rim, Continental, The DFA
International Value, The Emerging Markets, The Emerging Markets Small Cap, The
DFA Two-Year Global Fixed Income and The Enhanced U.S. Large Company Series are
denominated. Securities and local currencies to be exchanged which are accepted
by the Trust and Trust shares to be issued therefore will be valued, as set
forth under "Valuation of Shares" in Item 7(b), at the time of the next
determination of net asset value after such acceptance. All dividends,
interest, subscription, or other rights pertaining to such securities shall
become the property of the Series whose shares are being acquired and must be
delivered to the Trust by the investor upon receipt from the issuer. Investors
who desire to purchase shares of the Japanese, United Kingdom, Pacific Rim,
Continental, The DFA International Value or DFA Two-Year Global Fixed Income
with local currencies should first contact the Adviser for wire instructions.
The Trust will not accept securities in exchange for shares of a Series unless:
(1) such securities are eligible to be included, or otherwise represented, in
the Series' portfolios at the time of exchange and current market quotations are
readily available for such securities; (2) the investor represents and agrees
that all securities offered to be exchanged are not subject to any restrictions
upon their sale by the Series under the Securities Act of 1933 or under the laws
of the country in which the principal market for such securities exists, or
otherwise; and (3) at the discretion of the Series, the value of any such
security (except U.S. Government Securities) being exchanged together with other
securities of the same issuer owned by the Series will not exceed 5% of the net
assets of the Series immediately after the transaction. (See Item 4(a)(i).)
Investors interested in such exchanges should contact the Advisor. Investors
should also know that an in-kind purchase of shares of a Series may result in
taxable income; an investor desiring to make an in-kind purchase should consult
its tax advisor.
(b) VALUATION OF SHARES
The net asset value per share of each Series is calculated as of the close of
the NYSE by dividing the total market value of the Series' investments and other
assets, less any liabilities, by
-42-
<PAGE>
the total outstanding shares of the stock of the Series. The value of the
shares of each Series will fluctuate in relation to its own investment
experience. Securities held by the Series which are listed on the securities
exchange and for which market quotations are available are valued at the last
quoted sale price of the day or, if there is no such reported sale, The U.S.
6-10 Small Company, The U.S. 9-10 Small Company, The U.S. Large Company, The DFA
International Value, the U.S. Value, The Emerging Markets and The Emerging
Markets Small Cap Series value such securities at the mean between the most
recent quoted bid and asked prices. Price information on listed securities is
taken from the exchange where the security is primarily traded. Securities
issued by open-end investment companies, such as the Series, are valued using
their respective net asset values for purchase orders placed at the close of the
NYSE. Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. The value of
other assets and securities for which no quotations are readily available
(including restricted securities) are determined in good faith at fair value in
accordance with procedures adopted by the Board of Trustees. The net asset
values per share of the Japanese, Pacific Rim, Continental, United Kingdom, The
DFA International Value, The DFA Two-Year Global Fixed Income, The Emerging
Markets and The Emerging Markets Small Cap Series are expressed in U.S. dollars
by translating the net assets of each Series using the bid price for the dollar
as quoted by generally recognized reliable sources.
The value of the shares of the Fixed Income Series will tend to fluctuate with
interest rates because, unlike money-market funds, such Series do not seek to
stabilize the value of their shares by use of the "amortized cost" method of
asset valuation. Net asset value includes interest on fixed income securities
which is accrued daily. Securities which are traded OTC and on a stock exchange
will be valued according to the broadest and most representative market, and it
is expected that for bonds and other fixed-income securities this ordinarily
will be the OTC market. Securities held by the Fixed Income Series may be
valued on the basis of prices provided by a pricing service when such prices are
believed to reflect the current market value of such securities. Other assets
and securities for which quotations are not readily available will be valued in
good faith at fair value using methods determined by the Board of Trustees.
Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the NYSE. The values of foreign securities
held by those Series that invest in such securities are determined as of such
times for the purpose of computing the net asset value of the Series. If events
which materially affect the value of the investments of the Series occur
subsequent to the close of the securities market on which such securities are
primarily traded, the investments affected thereby will be valued at "fair
value" as described above.
Certain of the securities holdings of The Emerging Markets Series and The
Emerging Markets Small Cap Series in Approved Markets may
-43-
<PAGE>
be subject to tax, investment and currency repatriation regulations of the
Approved Markets that could have a material effect on the valuation of the
securities. For example, a Series might be subject to different levels of
taxation on current income and realized gains depending upon the holding period
of the securities. In general, a longer holding period (E.G., 5 years) may
result in the imposition of lower tax rates than a shorter holding period (E.G.,
1 year). The Series may also be subject to certain contractual arrangements
with investment authorities in an Approved Market which require a Series to
maintain minimum holding periods or to limit the extent of repatriation of
income and realized gains. As a result, the valuation of particular securities
at any one time may depend materially upon the assumptions that a Series makes
at that time concerning the anticipated holding period for the securities.
Absent special circumstances as determined by the Board of Trustees, it is
presently intended that the valuation of such securities will be based upon the
assumption that they will be held for at least the amount of time necessary to
avoid higher tax rates or penalties and currency repatriation restrictions.
However, the use of such valuation standards will not prevent the Series from
selling such securities in a shorter period of time if the Advisor considers the
earlier sale to be a more prudent course of action. Revision in valuation of
those securities will be made at the time of the transaction to reflect the
actual sales proceeds inuring to the Series.
Futures contracts are valued using the settlement price established each day on
the exchange on which they are traded. The value of such futures contracts held
by a Series are determined each day as of such close.
It is management's belief that payment of a reimbursement fee by each investor,
which is used to defray significant costs associated with investing proceeds of
the sale of the Series' shares to such investors, will eliminate a dilutive
effect such costs would otherwise have on the net asset value of shares held by
existing investors. Therefore, the shares of The Emerging Markets, Emerging
Markets Small Cap, Japanese, Pacific Rim and Continental Series are sold at an
offering price which is equal to the current net asset value of such shares plus
a reimbursement fee. The amount of the reimbursement fee represents
management's estimate of the costs reasonably anticipated to be associated with
the purchase of securities by that Series, and is paid to the Series and used by
it to defray such costs. Such costs include brokerage commissions on listed
securities and imputed commissions on OTC securities. The reimbursement fee for
The Emerging Markets Series and the Japanese Series, expressed as a percentage
of the net asset value of each Series' shares, is 0.50%. The reimbursement fee
for The Emerging Markets Small Cap, Pacific Rim and Continental Series,
expressed as a percentage of the net assets of each Series' shares, is 1.00%.
Reinvestments of dividends and capital gains distributions paid by the Series
and in-kind investments are not subject to a reimbursement fee.
-44-
<PAGE>
The offering price of shares of each Series, except for The Emerging Markets,
Emerging Markets Small Cap, Japanese, Pacific Rim, and Continental Series, is
the net asset value thereof next determined after the receipt of the investor's
funds by the Custodian, provided that the purchase order in good order has been
received by the Transfer Agent; no sales charge or reimbursement fee is imposed.
(c) Not applicable.
(d) Not applicable.
(e) Not applicable.
(f) Not applicable.
(g) Not applicable.
ITEM 8. REDEMPTION OR REPURCHASE
(a) As stated above in response to Item 7(a), "Purchase of Securities Being
Offered," the Trust's shares have not been registered under the Securities Act
of 1933, which means that its shares are restricted securities which may not be
sold unless registered or pursuant to an available exemption from that Act.
Investors who desire to redeem shares of a Series must first contact the Advisor
at (310) 395-8005. Redemptions are processed on any day on which the Trust is
open for business and are effected at the Series' net asset value next
determined after the Series receives a redemption request in good form.
Redemption payments in cash will ordinarily be made within seven days after
receipt of the redemption request in good form. However, the right of
redemption may be suspended or the date of payment postponed in accordance with
the 1940 Act. The amount received upon redemption may be more or less than the
amount paid for the shares depending upon the fluctuations in the market value
of the assets owned by the Series.
When in the best interests of a Series, the Series may pay the redemption price
in whole or in part by a distribution of portfolio securities from the Series of
the shares being redeemed in lieu of cash in accordance with Rule 18f-1 under
the Investment Company Act of 1940. Investors may incur brokerage charges and
other transaction costs selling securities that were received in payment of
redemptions.
For additional information about redemption of Trust shares, see Items 19(a) and
(b) in Part B.
(b) Not applicable.
(c) Not applicable.
-45-
<PAGE>
(d) Although the redemption payments will ordinarily be made within seven days
after receipt, payment to investors redeeming shares which were purchased by
check will not be made until the Trust can verify that the payments for the
purchase have been, or will be, collected, which may take up to fifteen days or
more. Investors may avoid this delay by submitting a certified check along with
the purchase order.
ITEM 9. PENDING LEGAL PROCEEDINGS
Not applicable.
Part B:
ITEM 10. COVER PAGE
Not applicable.
ITEM 11. TABLE OF CONTENTS
Not applicable.
ITEM 12. GENERAL INFORMATION AND HISTORY
Until August 1, 1997, The U.S. 6-10 Value Series was named The U.S. Small
Cap Value Series.
ITEM 13. INVESTMENT OBJECTIVES AND POLICIES
(a) SEE Item 4(a)(ii) of Part A for a discussion of the investment policies of
each Series of the Trust.
(b) In addition to the policies stated in response to Item 4(a)(ii) of Part A,
each of the Series has adopted certain limitations which may not be changed with
respect to any Series without the approval of a majority of the outstanding
voting securities of the Series. A "majority" is defined as the lesser of: (1)
at least 67% of the voting securities of the Series (to be affected by the
proposed change) present at a meeting, if the holders of more than 50% of the
outstanding voting securities of the Series are present or represented by proxy,
or (2) more than 50% of the outstanding voting securities of such Series.
The Series will not:
(1) invest in commodities or real estate, including limited partnership
interests therein, although they may purchase and sell securities of companies
which deal in real estate and securities which are secured by interests in real
estate, and all Series except The U.S. 9-10 and 6-10 Small Company Series and
The DFA One-Year Fixed Income Series may purchase or sell financial futures
contracts and options thereon; and The Enhanced U.S. Large Company Series may
purchase, sell and enter into indices-related futures contracts, options on such
futures contracts,
-46-
<PAGE>
securities-related swap agreements and other derivative instruments;
(2) make loans of cash, except through the acquisition of repurchase agreements
and obligations customarily purchased by institutional investors;
(3) as to 75% of the total assets of a Series, invest in the securities of any
issuer (except obligations of the U.S. Government and its instrumentalities) if,
as a result, more than 5% of the Series' total assets, at market, would be
invested in the securities of such issuer; provided that this limitation applies
to 100% of the total assets of The U.S. 9-10 Small Company Series;
(4) purchase or retain securities of an issuer if those officers and trustees of
the Trust or officers and directors of the Advisor owning more than 1/2 of 1% of
such securities together own more than 5% of such securities; provided that The
U.S. 4-10 Value Series is not subject to this limitation;
(5) borrow, except from banks and as a temporary measure for extraordinary or
emergency purposes and then, in no event, in excess of 5% of a Series' gross
assets valued at the lower of market or cost; provided that each Series, except
The DFA One-Year Fixed Income Series, U.S. 9-10 Small Company Series and the
Japanese Series, may borrow amounts not exceeding 33% of their net assets from
banks and pledge not more than 33% of such assets to secure such loans;
(6) pledge, mortgage, or hypothecate any of its assets to an extent greater than
10% of its total assets at fair market value, except as described in (5) above;
provided that The U.S. 4-10 Value Series is not subject to this limitation;
(7) invest more than 10% of the value of the Series' total assets in illiquid
securities, which include certain restricted securities, repurchase agreements
with maturities of greater than seven days, and other illiquid investments;
provided that The U.S. 4-10 Value, Enhanced U.S. Large Company, The DFA Two-Year
Global Fixed Income and The Emerging Markets Small Cap Series are not subject to
this limitation, and The DFA International Value Series, The U.S. 6-10 Value
Series, The U.S. Large Cap Value Series, The U.S. 6-10 Small Company Series and
The Emerging Markets Series may invest not more than 15% of their total assets
in illiquid securities;
(8) engage in the business of underwriting securities issued by others;
(9) invest for the purpose of exercising control over management of any company;
provided that The U.S. 9-10 Small Company Series and The U.S. 4-10 Value Series
are not subject to this limitation;
-47-
<PAGE>
(10) invest its assets in securities of any investment company, except in
connection with a merger, acquisition of assets, consolidation or
reorganization; provided that (a) The Emerging Markets, Emerging Markets Small
Cap, Japanese, United Kingdom, Pacific Rim and Continental Series are not
subject to this limitation; (b) each of the U.S. 4-10 Value, Enhanced U.S. Large
Company, Emerging Markets, Emerging Markets Small Cap, Japanese, United Kingdom,
Pacific Rim and Continental Series may invest its assets in securities of
investment companies and units of such companies such as, but not limited to, S
& P Depository Receipts; and (c) the U.S. 9-10 Small Company Series is not
subject to this limitation.
(11) invest more than 5% of its total assets in securities of companies which
have (with predecessors) a record of less than three years' continuous
operation; provided that The U.S. 9-10 Small Company Series and The U.S. 4-10
Value Series are not subject to this limitation;
(12) acquire any securities of companies within one industry if, as a result of
such acquisition, more than 25% of the value of the Series' total assets would
be invested in securities of companies within such industry; except The DFA
One-Year Fixed Income and Two-Year Global Fixed Income Series shall invest more
than 25% of their total assets in obligations of banks and bank holding
companies in the circumstances described in this registration statement in
"Investments in the Banking Industry" under Item 4(a)(ii) of Part A;
(13) write or acquire options (except as described in (1) above) or interests in
oil, gas or other mineral exploration, leases or development programs except
that (a) the Enhanced U.S. Large Company Series may write or acquire options;
and (b) the U.S. 4-10 Value Series is not subject to these limitations;
(14) purchase warrants; however, each Series, except The DFA One-Year Fixed
Income Series and Two-Year Global Fixed Income Series (the "Fixed Income
Series"), may acquire warrants as a result of corporate actions involving its
holdings of other equity securities; and The U.S. 4-10 Value Series is not
subject to this limitation;
(15) purchase securities on margin or sell short; provided that The U.S. 4-10
Value Series is not subject to the limitation on selling securities short;
(16) acquire more than 10% of the voting securities of any issuer; provided that
(a) this limitation applies only to 75% of the assets of The U.S. Value Series,
The Emerging Markets Series and The Emerging Markets Small Cap Series; and (b)
The U.S. 9-10 Small Company Series is not subject to this limitation; or
(17) issue senior securities (as such term is defined in Section 18(f) of the
Investment Company Act of 1940), except to the extent permitted under the Act.
-48-
<PAGE>
The investment limitations described in (1) and (15) above do not prohibit each
Series that may purchase or sell financial futures contracts and options thereon
from making margin deposits to the extent permitted under applicable
regulations; and the investment limitations described in (1), (13) and (15)
above do not prohibit The Enhanced U.S. Large Company Series from (i) making
margin deposits in connection with transactions in options; and (ii) maintaining
a short position, or purchasing, writing or selling puts, calls, straddles,
spreads or combinations thereof in connection with transactions in options,
futures, and options on futures and transactions arising under swap agreements
or other derivative instruments.
For purposes of (5) above, The Emerging Markets Series and The Emerging Markets
Small Cap Series may borrow in connection with a foreign currency transaction or
the settlement of a portfolio trade. The only type of borrowing contemplated
thereby is the use of a letter of credit issued on such Series' behalf in lieu
of depositing initial margin in connection with currency futures contracts, and
the Series have no present intent to engage in any other types of borrowing
transactions under this authority. Although (2) above prohibits cash loans, the
Series are authorized to lend portfolio securities. (See "Securities Loans" in
Item 4(a)(ii) of Part A.)
For the purposes of (7) above, The DFA One-Year Fixed Income and Two-Year Global
Fixed Income Series may invest in commercial paper that is exempt from the
registration requirements of the Securities Act of 1933 (the "1933 Act") subject
to the requirements regarding credit ratings stated in this registration
statement under Item 4. Further, pursuant to Rule 144A under the 1933 Act, the
Series may purchase certain unregistered (i.e. restricted) securities upon a
determination that a liquid institutional market exists for the securities. If
it is decided that a liquid market does exist, the securities will not be
subject to the 10% or 15% limitation on holdings of illiquid securities stated
in (7) above. While maintaining oversight, the Board of Trustees has delegated
the day-to-day function of making liquidity determinations to the Advisor. For
Rule 144A securities to be considered liquid, there must be at least two dealers
making a market in such securities. After purchase, the Board of Trustees and
the Advisor will continue to monitor the liquidity of Rule 144A securities.
For the purposes of (12) above, utility companies will be divided according to
their services; e.g., gas, gas transmission, electric and gas, electric, water
and telephone will each be considered a separate industry.
(c) Although not a fundamental policy subject to shareholder approval: (1) The
U.S. 6-10 Series, Japanese Series, United Kingdom Series, Pacific Rim Series and
Continental Series, will not purchase interests in any real estate investment
trust; and
-49-
<PAGE>
(2) The Enhanced U.S. Large Company, U.S. 4-10 Value, Two-Year Global Fixed
Income and Emerging Markets Small Cap Series do not intend to invest more than
15% of their net assets in illiquid securities.
The Japanese, United Kingdom, Pacific Rim, Continental, DFA International Value,
The DFA Two-Year Global Fixed Income, The Emerging Markets and The Emerging
Markets Small Cap Series may acquire and sell forward foreign currency exchange
contracts in order to hedge against changes in the level of future currency
rates. Such contracts involve an obligation to purchase or sell a specific
currency at a future date at a price set in the contract. While the U.S. Value
Series and The DFA International Value Series have retained authority to buy and
sell financial futures contracts and options thereon, they have no present
intention to do so.
Notwithstanding any of the above investment restrictions, The Emerging Markets
Series and The Emerging Markets Small Cap Series may establish subsidiaries or
other similar vehicles for the purpose of conducting their investment operations
in Approved Markets, if such subsidiaries or vehicles are required by local laws
or regulations governing foreign investors such as the Series or whose use is
otherwise considered by the Series to be advisable. Such Series would "look
through" any such vehicle to determine compliance with their investment
restrictions.
Unless otherwise indicated, all limitations applicable to the Series'
investments apply only at the time that a transaction is undertaken. Any
subsequent change in a rating assigned by any rating service to a security or
change in the percentage of a Series' assets invested in certain securities or
other instruments resulting from market fluctuations or other changes in a
Series' total assets will not require a Series to dispose of an investment until
the Advisor determines that it is practicable to sell or closeout the investment
without undue market or tax consequences. In the event that ratings services
assign different ratings to the same security, the Advisor will determine which
rating it believes best reflects the security's quality and risk at that time,
which may be the higher of the several assigned ratings.
Because the structure of each Series, except the Fixed Income Series, is based
on the relative market capitalizations of eligible holdings, it is possible that
the Series might include at least 5% of the outstanding voting securities of one
or more issuers. In such circumstances, the Trust and the issuer would be
deemed "affiliated persons" under the Investment Company Act of 1940 and certain
requirements of the Act regulating dealings between affiliates might become
applicable.
OPTIONS ON STOCK INDICES
The Enhanced U.S. Large Company Series may purchase and sell options on stock
indices. With respect to the sale of call options on stock indices, pursuant to
published positions of the
-50-
<PAGE>
Securities and Exchange Commission ("SEC"), The Enhanced U.S. Large Company
Series will either (1) maintain with its custodian liquid assets equal to the
contract value (less any margin deposits); (2) hold a portfolio of stocks
substantially replicating the movement of the index underlying the call option;
or (3) hold a separate call on the same index as the call written where the
exercise price of the call held is (a) equal to or less than the exercise price
of the call written, or (b) greater than the exercise price of the call written,
provided the difference is maintained by the Series in liquid assets in a
segregated account with its custodian. With respect to the sale of put options
on stock indices, pursuant to published SEC positions, The Enhanced U.S. Large
Company Series will either (1) maintain liquid assets equal to the exercise
price (less any margin deposits) in a segregated account with its custodian; or
(2) hold a put on the same index as the put written where the exercise price of
the put held is (a) equal to or greater than the exercise price of the put
written, or (b) less than the exercise price of the put written, provided an
amount equal to the difference is maintained by the Series in liquid assets in a
segregated account with its custodian.
Prior to the earlier of exercise or expiration, an option may be closed out by
an offsetting purchase or sale of an option of the same series (type, exchange,
underlying index, exercise price, and expiration). There can be no assurance,
however, that a closing purchase or sale transaction can be effected when The
Enhanced U.S. Large Company Series desires.
The Enhanced U.S. Large Company Series will realize a gain from a closing
purchase transaction if the cost of the closing option is less than the premium
received from writing the option, or, if it is more, the Series will realize a
loss. The principal factors affecting the market value of a put or a call
option include supply and demand, interest rates, the current market price of
the underlying index in relation to the exercise price of the option, the
volatility of the underlying index, and the time remaining until the expiration
date.
If an option written by The Enhanced U.S. Large Company Series expires, the
Series realizes a gain equal to the premium received at the time the option was
written. If an option purchased by the Series expires unexercised, the Series
realizes a loss equal to the premium paid.
The premium paid for a put or call option purchased by The Enhanced U.S. Large
Company Series is an asset of the Series. The premium received for an option
written by the Series is recorded as a deferred credit. The value of an option
purchased or written is marked to market daily and is valued at the closing
price on the exchange on which it is traded or, if not traded on an exchange or
no closing price is available, at the mean between the last bid and asked
prices.
-51-
<PAGE>
RISKS ASSOCIATED WITH OPTIONS ON INDICES
There are several risks associated with transactions in options on indices. For
example, there are significant differences between the securities and options
markets that could result in an imperfect correlation between these markets,
causing a given transaction not to achieve its objectives. The value of an
option position will reflect, among other things, the current market price of
the underlying index, the time remaining until expiration, the relationship of
the exercise price, the term structure of interest rates, estimated price
volatility of the underlying index and general market conditions. A decision as
to whether, when and how to use options involves the exercise of skill and
judgment, and even a well-conceived transaction may be unsuccessful to some
degree because of market behavior or unexpected events.
Options normally have expiration dates of up to 90 days. The exercise price of
the options may be below, equal to or above the current market value of the
underlying index. Purchased options that expire unexercised have no value.
Unless an option purchased by The Enhanced U.S. Large Company Series is
exercised or unless a closing transaction is effected with respect to that
position, The Enhanced U.S. Large Company Series will realize a loss in the
amount of the premium paid and any transaction costs.
A position in an exchange-listed option may be closed out only on an exchange
that provides a secondary market for identical options. Although The Enhanced
U.S. Large Company Series intends to purchase or write only those options for
which there appears to be an active secondary market, there is no assurance that
a liquid secondary market will exist for any particular option at any specific
time. Closing transactions may be effected with respect to options traded in
the over-the-counter markets only by negotiating directly with the other party
to the option contract, or in a secondary market for the option if such a market
exists. There can be no assurance that The Enhanced U.S. Large Company Series
will be able to liquidate an over-the-counter option at a favorable price at any
time prior to expiration. In the event of insolvency of the counter-party, the
Series may be unable to liquidate an over-the-counter option. Accordingly, it
may not be possible to effect closing transactions with respect to certain
options, with the result that The Enhanced U.S. Large Company Series would have
to exercise those options which they have purchased in order to realize any
profit. With respect to options written by The Enhanced U.S. Large Company
Series, the inability to enter into a closing transaction may result in material
losses to the Series.
Index prices may be distorted if trading of a substantial number of securities
included in the index is interrupted causing the trading of options on that
index to be halted. If a trading halt occurred, The Enhanced U.S. Large Company
Series would not be able to close out options which it had purchased and may
incur losses if the underlying index moved adversely before trading resumed. If
a trading halt occurred and restrictions prohibiting
-52-
<PAGE>
the exercise of options were imposed through the close of trading on the last
day before expiration, exercises on that day would be settled on the basis of a
closing index value that may not reflect current price information for
securities representing a substantial portion of the value of the index.
The Enhanced U.S. Large Company Series' activities in the options markets may
result in higher fund turnover rates and additional brokerage costs; however,
the Series may also save on commissions by using options as a hedge rather than
buying or selling individual securities in anticipation or as a result of market
movements.
INVESTMENT LIMITATIONS ON OPTIONS TRANSACTIONS
The ability of The Enhanced U.S. Large Company Series to engage in options
transactions is subject to certain limitations. The Enhanced U.S. Large
Company Series will only invest in over-the-counter options to the extent
consistent with the 15% limit on investments in illiquid securities.
FUTURES CONTRACTS
All Series except The U.S. 9-10 and 6-10 Small Company Series and The DFA
One-Year Fixed Income Series may enter into index futures contracts and options
on index futures contracts for the purpose of remaining fully invested and to
maintain liquidity to pay redemptions. In addition, The Enhanced U.S. Large
Company Series may use futures contracts and options thereon to hedge against
securities prices or as part of its overall investment strategy.
Futures contracts provide for the future sale by one party and purchase by
another party of a specified amount of defined securities at a specified future
time and at a specified price. Futures contracts which are standardized as to
maturity date and underlying financial instrument are traded on national futures
exchanges. The Series will be required to make a margin deposit in cash or
government securities with a broker or custodian to initiate and maintain
positions in futures contracts. Minimal initial margin requirements are
established by the futures exchange, and brokers may establish margin
requirements which are higher than the exchange requirements. After a futures
contract position is opened, the value of the contract is marked to market
daily. If the futures contract price changes to the extent that the margin on
deposit does not satisfy margin requirements, payment of additional "variation"
margin will be required. Conversely, reduction in the contract value may reduce
the required margin resulting in a repayment of excess margin to the Series.
Variation margin payments are made to and from the futures broker for as long as
the contract remains open. The Series expect to earn income on their margin
deposits. To the extent that a Series invests in futures contracts and options
thereon for other than bona fide hedging purposes, no Series will enter into
such transactions if, immediately thereafter, the sum of the amount of initial
margin deposits and premiums paid for open futures options would exceed 5% of
the Series' total assets,
-53-
<PAGE>
after taking into account unrealized profits and unrealized losses on such
contracts it has entered into; provided, however, that, in the case of an option
that is in-the-money at the time of purchase, the in-the-money amount may be
excluded in calculating the 5%. Pursuant to published positions of the SEC, the
Series may be required to maintain segregated accounts consisting of liquid
assets (or, as permitted under applicable regulation, enter into offsetting
positions) in connection with its futures contract transactions in order to
cover its obligations with respect to such contracts.
Positions in futures contracts may be closed out only on an exchange which
provides a secondary market. However, there can be no assurance that a liquid
secondary market will exist for any particular futures contract at any specific
time. Therefore, it might not be possible to close a futures position and, in
the event of adverse price movements, the Series would continue to be required
to continue to make variation margin deposits. In such circumstances, if the
Series has insufficient cash, it might have to sell portfolio securities to meet
daily margin requirements at a time when it might be disadvantageous to do so.
Management intends to minimize the possibility that it will be unable to close
out a futures contract by only entering into futures which are traded on
national futures exchanges and for which there appears to be a liquid secondary
market.
(d) Because the relative market capitalizations of small companies compared
with larger companies generally do not change substantially over short periods
of time, the portfolio turnover rate of each of the Small Company Series
ordinarily is anticipated to be low and is not expected to exceed 35% per year.
Generally, securities will be purchased with the expectation that they will be
held for longer than one year. Generally, securities will be held until such
time as, in the Advisor's judgment, they are no longer considered an appropriate
holding in light of the policy of maintaining portfolios of companies with small
market capitalization.
The portfolio turnover rate for The U.S. 4-10 Value Series is anticipated to be
approximately 30%.
For a discussion of The Emerging Markets Small Cap Series' policy with respect
to portfolio turnover, see Item 4(a)(ii) in Part A under "The Emerging Markets
Series and The Emerging Markets Small Cap Series - Portfolio Structure."
Ordinarily, portfolio securities in The U.S. Large Company Series will not be
sold except to reflect additions or deletions of the stocks that comprise the
S&P 500 Index, including mergers, reorganizations and similar transactions and,
to the extent necessary, to provide cash to pay redemptions of the Series'
shares.
-54-
<PAGE>
ITEM 14. MANAGEMENT OF THE REGISTRANT
(a) AND (b) TRUSTEES AND OFFICERS
The names, addresses and dates of birth of the trustees and officers of the
Trust and a brief statement of their present positions and principal occupations
during the past five years is set forth below. As used below, "DFA Entities"
refers to the following: Dimensional Fund Advisors Inc., Dimensional Fund
Advisors Limited, DFA Australia Limited, DFA Investment Dimensions Group Inc.
(Registered Investment Company), Dimensional Emerging Markets Fund Inc.
(Registered Investment Company), Dimensional Investment Group Inc. (Registered
Investment Company) and DFA Securities Inc.
TRUSTEES
David G. Booth*, 12/2/46, Trustee, President and Chairman-Chief Executive
Officer, Santa Monica, CA. President, Chairman-Chief Executive Officer and
Director of all DFA Entities, except Dimensional Fund Advisors Ltd., of which
he is Chairman and Director.
George M. Constantinides, 9/22/47, Trustee, Chicago, IL. Leo Melamed Professor
of Finance, Graduate School of Business, University of Chicago. Director, DFA
Investment Dimensions Group Inc., Dimensional Investment Group Inc. and
Dimensional Emerging Markets Fund Inc.
John P. Gould, 1/19/39, Trustee, Chicago, IL. Steven G. Rothmeier Distinguished
Service Professor of Economics, Graduate School of Business, University of
Chicago. Trustee, First Prairie Funds (registered investment companies).
Director, DFA Investment Dimensions Group Inc., Dimensional Investment Group
Inc., Dimensional Emerging Markets Fund Inc. and Harbor Investment Advisors.
Executive Vice President, Lexecon Inc. (economics, law, strategy and finance
consulting).
Roger G. Ibbotson, 5/27/43, Trustee, New Haven, CT. Professor in Practice of
Finance, Yale School of Management. Director, DFA Investment Dimensions Group
Inc., Dimensional Investment Group Inc., Dimensional Emerging Markets Fund Inc.,
Hospital Fund, Inc. (investment management services) and Birr Portfolio
Analysis, Inc. (software products). Chairman and President, Ibbotson
Associates, Inc., Chicago, IL (software, data, publishing and consulting).
Merton H. Miller, 5/16/23, Trustee, Chicago, IL. Robert R. McCormick
Distinguished Service Professor Emeritus, Graduate School of Business,
University of Chicago. Director, DFA Investment Dimensions Group Inc.,
Dimensional Investment Group Inc. and Dimensional Emerging Markets Fund Inc.
Public Director, Chicago Mercantile Exchange.
Myron S. Scholes, 7/1/42, Trustee, Greenwich, CT. Limited Partner, Long-Term
Capital Management L.P. (money manager).
-55-
<PAGE>
Frank E. Buck Professor Emeritus of Finance, Graduate School of Business and
Professor of Law, Law School, Senior Research Fellow, Hoover Institution, (all)
Stanford University. Director, DFA Investment Dimensions Group Inc.,
Dimensional Investment Group Inc., Dimensional Emerging Markets Fund Inc.,
Benham Capital Management Group of Investment Companies and Smith Breedon Group
of Investment Companies.
Rex A. Sinquefield*, 9/7/44, Trustee, Chairman and Chief Investment Officer,
Santa Monica, CA. Chairman-Chief Investment Officer and Director of all DFA
Entities, except Dimensional Fund Advisors Ltd., of which he is Chairman, Chief
Executive Officer and Director.
* Interested Trustee of the Trust.
OFFICERS
Arthur Barlow, 11/7/55, Vice President, Santa Monica, CA. Vice President of all
DFA Entities.
Truman Clark, 4/8/41, Vice President, Santa Monica, CA. Vice President of all
DFA Entities. Consultant until October, 1995 and Principal and Manager of
Product Development, Wells Fargo Nikko Investment Advisors, San Francisco, CA
from 1990-1994.
Maureen Connors, 11/17/36, Vice President, Santa Monica, CA. Vice President of
all DFA Entities.
Robert Deere, 10/8/57, Vice President, Santa Monica, CA. Vice President of all
DFA Entities.
Irene R. Diamant, 7/16/50, Vice President and Secretary, Santa Monica, CA. Vice
President and Secretary of all DFA Entities except Dimensional Fund Advisors
Ltd. for which she is Vice President.
Eugene Fama, Jr., 1/21/61, Vice President, Santa Monica, CA. Vice President of
all DFA Entities.
Kamyab Hashemi-Nejad, 1/22/61, Vice President, Controller and Assistant
Treasurer of all DFA Entities.
Stephen P. Manus, 12/26/50, Vice President, Santa Monica, CA. Managing
Director, ANB Investment Management and Trust Company from 1985-1993; President,
ANB Investment Management and Trust Company from 1993-1997. Vice President of
all DFA Entities.
Karen McGinley, 3/10/66, Vice President, Santa Monica, CA. Vice President of
all DFA Entities.
Catherine L. Newell, 5/7/64, Vice President and Assistant Secretary, Santa
Monica, CA. Associate, Morrison & Foerster, LLP from 1989-1996. Vice President
and Assistant Secretary of all DFA Entities except Dimensional Fund Advisors
Ltd. for which she is Vice President.
-56-
<PAGE>
David Plecha, 10/26/61, Vice President, Santa Monica, CA. Vice President of all
DFA Entities.
George Sands, 2/8/56, Vice President, Santa Monica, CA. Vice President of all
DFA Entities.
Michael T. Scardina, 10/12/55, Vice President, Chief Financial Officer and
Treasurer of all DFA Entities.
Jeanne C. Sinquefield, Ph.D., 12/2/46, Executive Vice President, Santa Monica,
CA. Executive Vice President of all DFA Entities.
Scott Thornton, 3/1/63, Vice President, Santa Monica, CA. Vice President of all
DFA Entities.
Weston Wellington, 3/1/51, Vice President, Santa Monica, CA. Vice President of
all DFA Entities. Vice President, Director of Research, LPL Financial Services,
Inc., Boston, MA 1987-1994.
Rex A. Sinquefield, Trustee, Chairman and Chief Investment Officer of the Trust,
and Jeanne C. Sinquefield, Executive Vice President of the Trust, are husband
and wife.
(c) Set forth below is a table listing, for each Trustee entitled to receive
compensation, the compensation received from the Trust during the fiscal year
ended November 30, 1996 and the total compensation received from all four
registered investment companies for which the Advisor serves as investment
advisor during that same fiscal year.
<TABLE>
<CAPTION>
Aggregate Total Compensation
Compensation from Trust and
Trustee from Trust Fund Complex
- ------- ------------ ------------------
<S> <C> <C>
George M. Constantinides $5,000 $30,000
John P. Gould $5,000 $30,000
Roger G. Ibbotson $5,000 $30,000
Merton H. Miller $5,000 $30,000
Myron S. Scholes $5,000 $30,000
</TABLE>
ITEM 15. CONTROL PERSONS AND PRINCIPAL HOLDERS OF SECURITIES
(a) See Item 6(b).
(b) As of January 31, 1998, the following shareholders owned beneficially at
least 5% of the outstanding shares of the Series, as set forth below. Unless
otherwise indicated, the address of each shareholder is 1299 Ocean Avenue, 11th
Floor, Santa Monica, CA 90401.
THE U.S. 9-10 SMALL COMPANY SERIES
DFA Investment Dimensions Group Inc. -
The U.S. 9-10 Small Company Portfolio 100%
-57-
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
DFA Investment Dimensions Group Inc. -
THE U.S. 6-10 Small Company Portfolio 78.21%
The California Wellness Foundation
6320 Canoga Avenue, Suite 1700
Woodland Hills, CA 91367 16.70%
Dimensional Investment Group Inc. -
DFA 6-10 INSTITUTIONAL PORTFOLIO 5.10%
THE U.S. LARGE COMPANY SERIES
Blackrock Funds -
Index Equity Portfolio
c/o PFPC
400 Bellevue Parkway
Wilmington, DE 19809 58.78%
DFA Investment Dimensions Group Inc. -
The U.S. Large Company Portfolio 41.22%
THE DFA ONE-YEAR FIXED INCOME SERIES
DFA Investment Dimensions Group Inc. -
The DFA One-Year Fixed Income Portfolio 95.33%
THE U.S. 6-10 VALUE SERIES
DFA Investment Dimensions Group Inc. -
The U.S. 6-10 Value Portfolio 94.33%
Dimensional Investment Group Inc. -
The U.S. 6-10 Value Portfolio II 5.67%
THE U.S. LARGE CAP VALUE SERIES
DFA Investment Dimensions Group Inc. -
The U.S. Large Cap Value Portfolio 57.38%
Dimensional Investment Group Inc. -
U.S. Large Cap Value Portfolio III 30.73%
Dimensional Investment Group Inc. -
RWB/DFA U.S. High Book to Market Portfolio 8.59%
THE DFA INTERNATIONAL VALUE SERIES
BellSouth Corporation
1155 Peachtree Street N.E.
Atlanta, GA 30309 26.09%
Dimensional Investment Group Inc. -
DFA International Value Portfolio 23.04%
-58-
<PAGE>
Dimensional Investment Group Inc. -
RWB/DFA International Value Portfolio III 17.84%
DFA Investment Dimensions Group Inc. -
DFA International High Book to Market Portfolio 17.32%
Dimensional Investment Group Inc. -
DFA International Value Portfolio IV 6.43%
THE EMERGING MARKETS SERIES
DFA Investment Dimensions Group Inc. -
Emerging Markets Portfolio 95.77%
DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
DFA Investment Dimensions Group Inc. -
DFA Two-Year Global Fixed Income Portfolio 100%
ENHANCED U.S. LARGE COMPANY SERIES
DFA Investment Dimensions Group Inc.
Enhanced U.S. Large Company Portfolio 100%
JAPANESE SMALL COMPANY SERIES
DFA Investment Dimensions Group Inc.
Japanese Small Company Portfolio 65.60%
DFA Investment Dimensions Group Inc.
International Small Company Portfolio 34.40%
UNITED KINGDOM SMALL COMPANY SERIES
DFA Investment Dimensions Group Inc.
United Kingdom Small Company Portfolio 74.36%
DFA Investment Dimensions Group Inc.
International Small Company Portfolio 25.64%
PACIFIC RIM SMALL COMPANY SERIES
DFA Investment Dimensions Group Inc.
Pacific Rim Small Company Portfolio 70.58%
DFA Investment Dimensions Group Inc.
International Small Company Portfolio 29.42%
CONTINENTAL SMALL COMPANY SERIES
DFA Investment Dimensions Group Inc.
Continental Small Company Portfolio 71.12%
DFA Investment Dimensions Group Inc.
International Small Company Portfolio 28.88%
-59-
<PAGE>
EMERGING MARKETS SMALL CAP SERIES
South Dakota Retirement System
4009 W. 49th Street, Suite 300
Sioux Falls, SD 57105 99.26%
U.S. 4-10 VALUE SERIES
DFA INVESTMENT DIMENSIONS GROUP INC. -
U.S. 4-10 VALUE PORTFOLIO 100%
(c) As of January 31, 1998, the trustees and officers as a group owned less
than 1% of each Series' outstanding stock.
ITEM 16. INVESTMENT ADVISORY AND OTHER SERVICES
(a) The information provided in response to this item is in addition to the
information provided in response to Item 5(b) in Part A and Items 14(a) and (b)
in this Part B.
David G. Booth and Rex A. Sinquefield are shareholders of the Advisor's
outstanding voting stock and may be considered controlling persons of the
Advisor.
For the services its provides as investment advisor to each Series of the Trust,
the Advisor is paid a monthly fee calculated as a percentage of average net
assets of the Series. For the fiscal periods ended November 30, 1994, 1995 and
1996, as applicable, the Series paid management fees as set forth in the
following table:
<TABLE>
<CAPTION>
1994 1995 1996
(000) (000) (000)
<S> <C> <C> <C>
U.S. 6-10 Small Company $46 $57 $81
Japanese Small Company n/a n/a $106
United Kingdom Small Company n/a n/a $52
Pacific Rim Small Company n/a n/a $65
Continental Small Company n/a n/a $100
U.S. Large Company $11 $19 $62
Enhanced U.S. Large Company n/a n/a $386
DFA One-Year Fixed Income $311 $310 $82
DFA Two-Year Global Fixed
Income n/a n/a $69
U.S. 6-10 Value $459 $976 $699
-60-
<PAGE>
U.S. Large Cap Value $143 $306 $699
DFA International Value $380 $937 $2,124
Emerging Markets $6 $30 $111
</TABLE>
The Japanese Small Company, United Kingdom Small Company, Pacific Rim Small
Company and Continental Small Company Series commenced operations on August 10,
1996. The Emerging Markets Small Cap Series, The U.S. 9-10 Small Company Series
and The U.S. 4-10 Value Series had not commenced operations as of November 30,
1996.
(B) The information provided in response to this item is in addition to the
information provided in response to Item 5(a) of Part A.
Initially, the investment management agreement with respect to each Series is in
effect for a period of two years. Thereafter, each agreement may continue in
effect for successive annual periods, provided such continuance is specifically
approved at least annually by a vote of the Trust's Board of Trustees or, by a
vote of the holders of a majority of the Series' outstanding voting securities,
and in either event by a majority of the trustees who are not parties to the
agreement or interested persons of any such party (other than as trustees of the
Trust), cast in person at a meeting called for that purpose. An investment
management agreement may be terminated without penalty at any time by the Series
or by the Advisor on 60 days' written notice and will automatically terminate in
the event of its assignment as defined in the 1940 Act.
(C) From December 1, 1993 through August 8, 1996, the Advisor agreed to waive
its fee under the Investment Management Agreement with respect to The DFA
International Value Series to the extent necessary to keep the cumulative annual
expenses of the Series to not more than .45% of average net assets of the Series
on an annualized basis.
(D) Not applicable.
(E) Not applicable.
(F) Not applicable.
(G) Not applicable.
(h) Beginning February 16, 1998, Citibank, N.A. ("Citibank"), 111 Wall Street,
New York, New York, 10005, will succeed Boston Safe Deposit and Trust Company
("Boston Safe"), Princess House, 1 Suffolk Lane, London EC4R 0AN, England, as
the global custodian for The DFA International Value, Japanese Small Company ,
United Kingdom Small Company, Pacific Rim Small Company, Continental Small
Company, The DFA Two-Year Global Fixed Income and The Enhanced U.S. Large
Company Series (co-custodian with PNC
-61-
<PAGE>
Bank, N.A.). To ensure an orderly transition, the conversion to Citibank will
be accomplished Series by Series and it is expected that the conversion will
take approximately two and a half months from February 16, 1998. During the
conversion process, Boston Safe will continue to serve as global custodian for
each Series until its conversion date. The Chase Manhattan Bank, 4 Chase
Metrotech Center, Brooklyn, NY 11245, serves as custodian for The Emerging
Markets Series and The Emerging Markets Small Cap Series. PNC Bank, N.A., 200
Stevens Drive, Airport Business Center, Lester, PA 19113, serves as custodian
for all other Series. The custodians maintain separate accounts for the Series;
make receipts and disbursements of money on behalf of the Series; and collect
and receive income and other payments and distributions on account of the
Series' portfolio securities. The custodians do not participate in decisions
relating to the purchase and sale of portfolio securities.
Coopers & Lybrand L.L.P., 2400 Eleven Penn Center, Philadelphia, Pennsylvania
19103, the Trust's independent accountant, audit the Trust's financial
statements on an annual basis.
(i) Not applicable.
ITEM 17. BROKERAGE ALLOCATION
(A) The following table depicts brokerage commissions paid by the following
Series:
BROKERAGE COMMISSIONS
FISCAL YEARS ENDED NOVEMBER 30, 1994, 1995 AND 1996
<TABLE>
<CAPTION>
1994 1995 1996
<S> <C> <C> <C>
U.S. 6-10 Small Company $ 398,610 $ 361,784 $ 473,887
Japanese Small Company n/a n/a $ 466,795
United Kingdom Small
Company n/a n/a $ 86,854
Pacific Rim Small Company n/a n/a $ 181,812
Continental Small Company
Series n/a n/a $ 214,631
U.S. Large Company $ 10,643 $ 15,289 $ 72,262
Enhanced U.S. Large
Company n/a n/a $ 1,650
U.S. 6-10 Value $1,860,712 $1,027,015 $2,754,009
U.S. Large Cap Value $ 361,810 $ 410,503 $ 934,452
-62-
<PAGE>
DFA International Value $ 623,031 $ 542,306 $1,251,242
Emerging Markets $ 79,105 $ 166,601 $ 437,088
</TABLE>
The substantial increases or decreases in the amount of brokerage commissions
paid by certain Series from year to year indicated in the foregoing table
resulted from increases or decreases in the amount of securities bought and sold
by those Series.
No commissions were paid to affiliates or affiliates of affiliates during fiscal
years 1994, 1995 or 1996.
The DFA One-Year Fixed Income Series acquires and sells securities on a net
basis with dealers which are major market markers in such securities. The
Investment Committee of the Advisor selects dealers on the basis of their size,
market making and credit analysis ability. When executing portfolio
transactions, the Advisor seeks to obtain the most favorable price for the
securities being traded among the dealers with whom such Series effects
transactions.
Portfolio transactions will be placed with a view to receiving the best price
and execution.
The OTC companies eligible for purchase by The U.S. 6-10 Small Company Series,
The U.S. 9-10 Small Company Series, The U.S. 4-10 Value Series and The U.S. 6-10
Value Series are thinly traded securities. Therefore, the Advisor believes it
needs maximum flexibility to effect OTC trades on a best execution basis. To
that end, the Advisor places buy and sell orders with market makers, third
market brokers, Instinet and with brokers on an agency basis when the Advisor
determines that the securities may not be available from other sources at a more
favorable price. Third market brokers enable the Advisor to trade with other
institutional holders directly on a net basis. This allows the Advisor to
sometimes trade larger blocks than would be possible by going through a single
market maker.
Instinet is an electronic information and communication network whose
subscribers include most market makers as well as many institutions. Instinet
charges a commission for each trade executed on its system. On any given trade,
The U.S. 6-10 Small Company Series, The U.S. 9-10 Small Company Series and the
U.S. Value Series, by trading through Instinet, would pay a spread to a dealer
on the other side of the trade plus a commission to Instinet. However, placing
a buy (or sell) order on Instinet communicates to many (potentially all) market
makers and institutions at once. This can create a more complete picture of the
market and thus increase the likelihood that the Series can effect transactions
at the best available prices.
During the fiscal year ended November 30, 1996, the Series paid commissions for
securities transactions to brokers which provided market price monitoring
services, market studies and research services to the Series as follows:
-63-
<PAGE>
<TABLE>
<CAPTION>
VALUE OF
SECURITIES BROKERAGE
TRANSACTIONS COMMISSIONS
<S> <C> <C>
U.S. 6-10 Small Company $95,690,766 $271,641
Japanese Small Company $34,098,002 $191,550
U.S. 6-10 Value $237,755,736 $1,074,452
U.S. Large Cap Value $211,163,255 $313,601
DFA International Value $13,031,549 $78,952
TOTAL: $591,739,308 $1,930,196
</TABLE>
(B) Not applicable.
(C) The Series will seek to acquire and dispose of securities in a manner which
would cause as little fluctuation in the market prices of stocks being purchased
or sold as possible in light of the size of the transactions being effected, and
brokers will be selected with this goal in view. The Advisor monitors the
performance of brokers which effect transactions for the Series to determine the
effect that the Series' trading has on the market prices of the securities in
which they invest. The Advisor also checks the rate of commission being paid by
the Series to their brokers to ascertain that they are competitive with those
charged by other brokers for similar services. Transactions also may be placed
with brokers who provide the Advisor with investment research, such as reports
concerning individual issuers, industries and general economic and financial
trends and other research services. The Investment Management Agreements permit
the Advisor knowingly to pay commissions on such transactions which are greater
than another broker might charge if the Advisor, in good faith, determines that
the commissions paid are reasonable in relation to the research or brokerage
services provided by the broker or dealer when viewed in terms of either a
particular transaction or the Advisor's overall responsibilities to the Trust.
Brokerage transactions may be placed with securities firms that are affiliated
with an affiliate of the Advisor. Commission paid on such transactions would be
commensurate with the rate of commissions paid on similar transactions to
brokers that are not so affiliated.
(D) Not applicable.
(E) Not applicable.
-64-
<PAGE>
ITEM 18. CAPITAL STOCK AND OTHER SECURITIES
(A) The information provided in response to this item is in addition to the
information provided in response to Item 6(a) in Part A.
The Trust does not intend to hold annual meetings; it may, however, hold a
meeting for such purposes as changing fundamental investment limitations,
approving a new investment management agreement or any other matters which are
required to be acted on by shareholders under the 1940 Act. Shareholders may
receive assistance in communicating with other shareholders in connection with
the election or removal of Trustees similar to the provisions contained in
Section 16(c) of the 1940 Act.
(B) Not applicable.
ITEM 19. PURCHASE, REDEMPTION AND PRICING OF
SECURITIES BEING OFFERED
The information provided in response to this item is in addition to the
information provided in response to Items 7 and 8 in Part A.
(a) AND (b) The Trust will accept purchase and redemption orders on each day
that the NYSE is open for business, regardless of whether the Federal Reserve
System is closed. However, no purchases by wire may be made on any day that the
Federal Reserve System is closed. The Trust will generally be closed on days
that the NYSE is closed. The NYSE is scheduled to be open Monday through Friday
throughout the year except for days closed to recognize New Year's Day, Martin
Luther King, Jr. Day, Presidents' Day, Good Friday, Memorial Day, Independence
Day, Labor Day, Thanksgiving and Christmas Day. The Federal Reserve System is
closed on the same days as the NYSE, except that it is open on Good Friday and
closed on Columbus Day and Veterans' Day. Orders for redemptions and purchases
will not be processed if the Trust is closed. The TSE is closed on the
following days in 1998: January 1, 2, 3 and 15, February 11, March 21, April
29, May 3, 4 and 5, July 20, September 15 and 23, October 10, November 3 and 23
and December 23 and 31. Orders for the purchase and redemption of shares of the
Japanese Series received on those days will be priced as of the close of the
NYSE on the next day that the TSE is open for trading.
The Trust reserves the right, in its sole discretion, to suspend the offering of
shares of any or all Series or reject purchase orders when, in the judgment of
management, such suspension or rejection is in the best interest of the Trust or
a Series. Securities accepted in exchange for shares of a Series will be
acquired for investment purposes and will be considered for sale under the same
circumstances as other securities in the Portfolio.
-65-
<PAGE>
The Trust may suspend redemption privileges or postpone the date of payment:
(1) during any period when the NYSE is closed, or trading on the Exchange is
restricted as determined by the SEC, (2) during any period when an emergency
exists as defined by the rules of the SEC as a result of which it is not
reasonably practicable for the Trust to dispose of securities owned by it, or
fairly to determine the value of its assets and (3) for such other periods as
the SEC may permit.
(C) The Trust has filed a notice of election pursuant to Rule 18f-1 under the
1940 Act. (SEE Item 8(a) of Part A.)
ITEM 20. TAX STATUS
The information provided in response to this item is in addition to the
information provided in response to Items 6(f) and (g) in Part A.
FEDERAL TAX TREATMENT OF OPTIONS, FUTURES CONTRACTS AND SIMILAR POSITIONS
The investment by a Series in options, futures contracts and options on futures
contracts are subject to many complex and special tax rules. For example,
options on stock and on narrowed-based stock indexes will generally produce
long-term or short-term capital gain or loss upon the exercise, lapse, or
closing out of the option or sale of the underlying stock or security. By
contrast, the treatment by a Series of certain other options, futures and
forward contracts is generally governed by Section 1256 of the Code. These
"Section 1256" positions generally include listed options on debt securities,
options on broad-based stock indexes, options on futures contracts, regulated
futures contracts and certain foreign currency contracts and options thereon.
Absent a tax election to the contrary, each such Section 1256 position held by a
Series will be marked-to-market (i.e., treated as if it were sold for fair
market value) on the last business day of a Series' fiscal year, and all gain or
loss associated with fiscal year transactions and mark-to-market positions at
fiscal year end (except certain currency gain or loss covered by Section 988 of
the Code) will generally be treated as 60% long-term capital gain or loss and
40% short-term capital gain or loss. The effect of Section 1256 mark-to-market
rules may be to accelerate income or to convert what otherwise would have been
long-term capital gains into short-term capital gains or short-term capital
losses into long-term capital losses within a Series. The acceleration of
income on Section 1256 positions may require a Series to accrue taxable income
without the corresponding receipt of cash. In order to generate cash to satisfy
the distribution requirements of the Code, a Series may be required to dispose
of portfolio securities that it otherwise would have continued to hold or to use
cash flows from other sources such as the sale of a Series' shares. In these
ways, any or all of these rules may affect both the amount, character and timing
of income distributed to shareholders by a Series.
-66-
<PAGE>
When a Series holds an option or contract which substantially diminishes a
Series' risk of loss with respect to another position of a Series (as might
occur in some hedging transactions), this combination of positions could be
treated as a "straddle" for tax purposes, resulting in possible deferral of
losses, adjustments in the holding periods of a Series' securities and
conversion of short-term capital losses into long-term capital losses. Certain
tax elections exist for mixed straddles (i.e., straddles comprised of at least
one Section 1256 position and at least one non-Section 1256 position) which may
reduce or eliminate the operation of these straddle rules.
For their fiscal years ending November 30, 1997, the Series taxable as regulated
investment companies are also subject to the requirement that less than 30% of
their annual gross income be derived from the sale or other disposition of
securities and certain other investments held for less than three months
("short-short income"). This requirement may limit a Series ability to engage
in options, straddles, hedging transactions and forward or futures contracts
because these transactions are often consummated in less than three months, may
require the sale of portfolio securities held less than three months and may, as
in the case of short sales of portfolio securities, reduce the holding periods
of certain securities within a Series, resulting in additional short-short
income for a Series. For U.S. federal income tax purposes, the Series will not
be subject to this short-short income requirement for their fiscal years
beginning on or after December 1, 1997. However, this requirement may have
continuing effect in some states for purposes of classifying the Corporate
Series (and those investors in the Partnership Series that are regulated
investment companies) as regulated investment companies.
A Series will monitor its transactions in such options and contracts and may
make certain other tax elections in order to mitigate the effect of the above
rules and to prevent disqualification of a Series as a regulated investment
company under Subchapter M of the Code.
ITEM 21. UNDERWRITERS
(A) Not applicable.
(B) Not applicable.
(C) Not applicable.
ITEM 22. CALCULATION OF PERFORMANCE DATA
(A) Not applicable.
(B) Following are quotations of the annualized percentage total returns for the
one-, five-, and ten-year periods ended May 31, 1997 (as applicable) using the
standardized method of calculation required by the SEC. For those Series in
effect for less than one, five or ten years, the time periods during which the
Series
-67-
<PAGE>
have been active have been substituted for the periods stated (which in no case
extends prior to the effective date of the registration statement relating to a
particular Series).
<TABLE>
<CAPTION>
ONE FIVE TEN
YEAR YEARS YEARS
---- ----- -----
<S> <C> <C> <C>
The U.S. 6-10 Small 5.50 14.15 n/a
Company Series (52 months)
The Japanese Small Company -24.10 n/a n/a
Series (9 months)
The United Kingdom Small 13.58 n/a n/a
Company Series (9 months)
The Pacific Rim Small 7.82 n/a n/a
Company Series (9 months)
The Continental Small 12.19 n/a n/a
Company Series (9 months)
The U.S. Large Company 29.27 18.67 n/a
Series (52 months)
The Enhanced U.S. Large 35.67 n/a n/a
Company Series (10 months)
The DFA One-Year Fixed 6.17 5.23 n/a
Income Series (51 months)
The DFA Two-Year Global 7.45 7.17 n/a
Fixed Income Series (15 months)
The U.S. 6-10 Value Series 16.78 18.43 n/a
(49 months)
The U.S. Large Cap Value 21.03 17.15 n/a
Series (50 months)
The DFA International 6.77 8.03 n/a
Value Series (39 months)
The Emerging Markets 8.84 9.78 n/a
Series (37 months)
</TABLE>
As the following formula indicates, the annualized total return is
determined by finding the annualized total return over the stated time period
that would equate a hypothetical initial purchase order of $1,000 to its
redeemable value (including capital appreciation/depreciation and dividends and
distributions paid and reinvested less any fees charged to a shareholder
account) at the end of the stated time period. The calculation
-68-
<PAGE>
assumes that all dividends and distributions are reinvested at the public
offering price on the reinvestment dates during the period. The quotation
assumes the account was completely redeemed at the end of each period and the
deduction of all applicable charges and fees. According to the SEC formula:
P(1 + T)n = ERV
where:
P = a hypothetical initial payment of $1,000
T = annualized compound rate of return
n = number of years
ERV = ending redeemable value of a hypothetical $1,000 payment made at the
beginning of the one-, five-, and ten-year periods at the end of the one-,
five-, and ten-year periods (or fractional portion thereof).
ITEM 23. FINANCIAL STATEMENTS
The audited financial statements and financial highlights of the Trust for its
fiscal year ended November 30, 1996, as set forth in the Trust's annual report
to shareholders, and the report of Coopers & Lybrand L.L.P., independent
accountants, also appearing therein, are incorporated herein by reference. The
audited annual report does not contain any data regarding The U.S. 9-10 Small
Company Series, The U.S. 4-10 Value Series and The Emerging Markets Small Cap
Series because such Series had not commenced operations as of November 30, 1996.
The unaudited financial statements and financial highlights of the Trust for the
six months ended May 31, 1997, as set forth in the Trust's semi-annual report to
shareholders are incorporated herein by reference. The unaudited semi-annual
report does not contain any data regarding The U.S. 9-10 Small Company Series,
The U.S. 4-10 Value Series and The Emerging Markets Small Cap Series because
such Series had not commenced operations as of May 31, 1997.
-69-
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FORM N-1A
PART C: OTHER INFORMATION
ITEM 24. FINANCIAL STATEMENTS AND EXHIBITS.
(a) Financial Statements**
(b) Exhibits:
The following exhibits are attached hereto, except as otherwise
noted:
(1) (i) Agreement and Declaration of Trust INCORPORATED BY
REFERENCE TO: Filing: Amendment No. 5 to the
Registration Statement of Registrant on Form N-1A
File No.: 811-7436
Filing Date: December 1, 1995
(ii) Certificate of Trust*
(iii) Certificate of Amendment of Certificate of Trust*
(2) By-Laws*
(3) None
(4) Not applicable
(5) (i) Investment Management Agreement re The U.S. 6-10 Small
Company Series*
(ii) Investment Management Agreement re The U.S. Large
Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment
No. 5 to the Registration Statement of Registrant on
Form N-1A
File No.: 811-7436
Filing Date: December 1, 1995
(iii) Investment Management Agreement re The DFA One-Year
Fixed Income Series*
(iv) Investment Management Agreement re The U.S. Large Cap
High Book to Market Series*
(v) Investment Management Agreement re The U.S. Small Cap
High Book to Market Series*
-70-
<PAGE>
(vi) Investment Management Agreement re The DFA
International Value Series***
(vii) Investment Management Agreement re The Emerging Markets
Series****
(viii) Investment Management Agreement re: The Enhanced U.S.
Large Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment
No. 6 to the Registration Statement of Registrant on
Form N-1A
File No.: 811-7436
Filing Date: February 7, 1996
(ix) Investment Management Agreement re: The DFA Two-Year
Global Fixed Income Series
INCORPORATED BY REFERENCE TO: Filing: Amendment No. 6
to the Registration Statement of Registrant on
Form N-1A
File No.: 811-7436
Filing Date: February 7, 1996
(x) Investment Management Agreement re: The Japanese Small
Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment No. 7
to the Registration Statement of Registrant on
Form N-1A
File No.: 811-7436
Filing Date: August 7, 1996
(xi) Investment Management Agreement re: The United Kingdom
Small Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment No. 7
to the Registration Statement of Registrant on
Form N-1A
File No.: 811-7436
Filing Date: August 7, 1996
(xii) Investment Management Agreement re: The Pacific Rim
Small Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment
No. 7 to the Registration Statement of Registrant on
Form N-1A
File No.: 811-7436
Filing Date: August 7, 1996
(xiii) Investment Management Agreement re: The Continental
Small Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment No. 7
to the Registration Statement of Registrant on
Form N-1A
File No.: 811-7436
Filing Date: August 7, 1996
-71-
<PAGE>
(xiv) Sub-Advisory Agreement with DFA Australia Ltd. re: The
Japanese Small Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment No. 7
to the Registration Statement of Registrant on
Form N-1A
File No.: 811-7436
Filing Date: August 7, 1996
(xv) Sub-Advisory Agreement with Dimensional Fund Advisors
Ltd. re: The United Kingdom Small Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment No. 7
to the Registration Statement of Registrant on Form
N-1A
File No.: 811-7436
Filing Date: August 7, 1996
(xvi) Sub-Advisory Agreement with DFA Australia Ltd. re: The
Pacific Rim Small Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment No. 7
to the Registration Statement of Registrant on Form
N-1A
File No.: 811-7436
Filing Date: August 7, 1996
(xvii) Sub-Advisory Agreement with Dimensional Fund Advisors
Ltd. re: The Continental Small Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment No. 7
to the Registration Statement of Registrant on Form
N-1A
File No.: 811-7436
Filing Date: August 7, 1996
(xviii) Investment Management Agreement re: The Emerging
Markets Small Cap Series
INCORPORATED BY REFERENCE TO: Filing: Amendment No. 9
to the Registration Statement of Registrant on
Form N-1A File No.: 811-7436
Filing Date: February 24, 1997
(xix) Investment Management Agreement re:
The U.S. 9-10 Small Company Series
INCORPORATED BY REFERENCE TO: Filing: Amendment
No. 12 to the Registration Statement of Registrant on
Form N-1A File No.: 811-7436
Filing Date: November 28, 1997
(xx) Investment Management Agreement re:
The U.S. 4-10 Value Series
-72-
<PAGE>
INCORPORATED BY REFERENCE TO: Filing: Amendment
No. 12 to the Registration Statement of Registrant on
Form N-1A File No.: 811-7436
Filing Date: November 28, 1997
(6) Agreement with DFA Securities Inc.*
(7) None
(8) (i) Form of Custodian Agreement between Registrant and
Provident National Bank*
(ii) Form of Custodian Agreement between Registrant and
Boston Safe Deposit and Trust Company***
(iii) Form of Custodian Agreement between Registrant and
Chase Manhattan Bank, N.A.****
(9) (i) Form of Transfer Agency Agreement with Provident
Financial Processing Corporation*
(ii) Form of Administration and Accounting Services
Agreement with Provident Financial Processing
Corporation*
(10) Not applicable
(11) Not applicable
(12) Not applicable
(13) Not applicable
(14) Not applicable
(15) Not applicable
(16) Not applicable
(17) Financial Data Schedules
(18) Not applicable
(19) Not applicable
- ----------------------
* Incorporated by reference to the initial registration statement filed on
Form N-1A on January 15, 1993.
-73-
<PAGE>
** Audited financial statements of the Trust for the fiscal year ended
November 30, 1996 were filed electronically via the EDGAR system on
February 4, 1997 as the Fund's annual report to shareholders pursuant to
Rule 30b2-1 under the 1940 Act and are incorporated in Part B by reference.
Unaudited financial statements of the Trust for the six month period ended
May 31, 1997 were filed electronically via EDGAR on July 31, 1997 as the
Trust's semi annual report to shareholders pursuant to Rule 30b2-1 under
the 1940 Act and are incorporated in Part B by reference.
*** Incorporated by reference to Amendment Number 1 to the registration
statement filed on Form N-1A on December 1, 1993.
**** Incorporated by reference to Amendment Number 2 to the registration
statement filed on Form N-1A on January 11, 1994.
-74-
<PAGE>
ITEM 25. PERSONS CONTROLLED BY OR UNDER COMMON CONTROL WITH REGISTRANT.
If an investor beneficially owns more than 25% of the outstanding voting
securities of a feeder fund that invests all of its investable assets in a
Series of the Trust, then the feeder fund and its corresponding Series may be
deemed to be under the common control of such investor. Accordingly, certain
feeder portfolios of DFA Investment Dimensions Group ("DFA IDG") and Dimensional
Investment Group ("DIG"), both Maryland corporations and registered investment
companies, may be deemed to be under common control with their corresponding
Series of the Trust. As of January 31, 1998, the following persons beneficially
owned more than 25% of the outstanding voting securities of the feeder
portfolios investing in the Trust:
DFA IDG
JAPANESE SMALL COMPANY PORTFOLIO
BellSouth Corporation
1155 Peachtree Street N.E.
Atlanta, GA 30309-3610 52.94%
UNITED KINGDOM SMALL COMPANY PORTFOLIO
BellSouth Corporation (see above address) 51.75%
CONTINENTAL SMALL COMPANY PORTFOLIO
BellSouth Corporation (see above address) 55.14%
PACIFIC RIM SMALL COMPANY PORTFOLIO
BellSouth Corporation (see above address) 61.03%
EMERGING MARKETS SMALL CAP PORTFOLIO
Dimensional Fund Advisors Inc. 100%
1299 Ocean Avenue, 11th Floor
Santa Monica, CA 90401
INTERNATIONAL SMALL COMPANY PORTFOLIO
San Diego County Employees Retirement Association
1495 Pacific Highway 350
San Diego, CA 92101 26.28%
U.S. 6-10 SMALL COMPANY PORTFOLIO
McKinsey & Company Master Retirement Trust
55 E. 52nd Street
New York, NY 10055 25.87%
-75-
<PAGE>
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Misericordia Home Endowment Fund
6300 N. Ridge Avenue
Chicago, IL 60660 25.90%
U.S. 4-10 Value Portfolio
Dimensional Fund Advisors Inc. (see above address) 100%
DIG
6-10 INSTITUTIONAL PORTFOLIO
NI-GAS Trust Savings Investment and Thrift Plan
P.O. Box 190
Aurora, IL 60507 69.53%
Utah Retirement Systems
540 E. 200 South
Salt Lake City, UT 84102 27.43%
ONE-YEAR FIXED INCOME II PORTFOLIO
Home Depot Future Builders
c/o Wachovia Bank of N. Carolina
301 N. Main Street
Winston-Salem, NC 27150 65.73%
U.S. 6-10 VALUE PORTFOLIO II
BellSouth Corporation 401(k)
1155 Peachtree Street N.E.
Atlanta, GA 30309-3610 100%
U.S. LARGE CAP VALUE PORTFOLIO II
BellSouth Corporation 401(k) (see above address) 100%
DFA INTERNATIONAL VALUE PORTFOLIO II
BellSouth Corporation 401(k) (see above address) 100%
EMERGING MARKETS PORTFOLIO II
Citibank Savings Incentive Plan
153 E. 53rd Street
New York, NY 10043 100%
DFA INTERNATIONAL VALUE PORTFOLIO IV
Citibank Savings Incentive Plan
153 E. 53rd Street
New York, NY 10043 100%
-76-
<PAGE>
ITEM 26. NUMBER OF HOLDERS OF SECURITIES.
<TABLE>
<CAPTION>
TITLE OF CLASS
--------------
(Shares of Beneficial Interest, Number of Record Holders
Par Value $.01) AS OF JANUARY 31, 1998
-------------------------
<S> <C>
The U.S. 9-10 Small Company Series 2
The U.S. 6-10 Small Company Series 3
The U.S. Large Company Series 3
The DFA One-Year Fixed Income Series 3
The U.S. 6-10 Value Series 2
The U.S. 4-10 Value Series 1
The U.S. Large Cap Value Series 4
The DFA International Value Series 9
The Emerging Markets Series 3
The Emerging Markets Small Cap Series 3
The Enhanced U.S. Large Company Series 1
The DFA Two-Year Global Fixed Income Series 1
The Japanese Small Company Series 3
The United Kingdom Small Company Series 3
The Pacific Rim Small Company Series 3
The Continental Small Company Series 3
</TABLE>
ITEM 27. INDEMNIFICATION.
Reference is made to Article VII of the Registrant's Agreement and Declaration
of Trust (Exhibit 24(b)(1)(i)) and to Article X of the Registrant's By-Laws
(Exhibit 24(b)(2)), which are incorporated herein by reference. Pursuant to
Rule 484 under the Securities Act of 1933, as amended, the Registrant furnishes
the following undertaking:
"Insofar as indemnification for liabilities arising under the Securities
Act of 1933 may be permitted to trustees, officers and controlling persons of
the Registrant pursuant to the foregoing provisions, or otherwise, the
Registrant has been advised that in the opinion of the Securities and Exchange
Commission such indemnification is against public policy as expressed in the Act
and is, therefore, unenforceable. In the event that a claim for indemnification
against such liabilities (other than the payment by the Registrant of expenses
incurred or paid by a trustee, officer or controlling person of the Registrant
in the successful defense of any action, suit or proceeding) is asserted by such
trustee, officer or controlling person in connection with the securities being
registered, the Registrant will, unless in the opinion of its counsel the matter
has been settled by controlling precedent, submit to a court of appropriate
jurisdiction the question whether such indemnification by it is against public
policy as expressed in the Act and will be governed by the final adjudication of
such issue."
-77-
<PAGE>
ITEM 28. BUSINESS AND OTHER CONNECTIONS OF INVESTMENT ADVISER.
Dimensional Fund Advisors Inc., the investment manager for the Registrant, is
also the investment manager for three other registered open-end investment
companies, DFA Investment Dimensions Group Inc., Dimensional Emerging Markets
Funds Inc. and Dimensional Investment Group Inc. The Advisor also serves as
sub-advisor for certain other registered investment companies. For additional
information, please see "Management of the Trust" in PART A and "Management of
the Registrant" in PART B of this Registration Statement. Additional
information as to the Advisor and the directors and officers of the Advisor is
included in the Advisor's Form ADV filed with the Commission (File No.
801-16283), which is incorporated herein by reference and sets forth the
officers and directors of the Advisor and information as to any business,
profession, vocation or employment of a substantial nature engaged in by those
officers and directors during the past two years.
ITEM 29. PRINCIPAL UNDERWRITERS
(a) Not applicable
(b) Not applicable
(c) Not applicable
ITEM 30. LOCATIONS OF ACCOUNTS AND RECORDS.
All accounts and records are maintained by PFPC Inc., 400 Bellevue Parkway,
Wilmington, DE 19809.
ITEM 31. MANAGEMENT SERVICES.
There are no management-related service contracts not discussed in Part A
or Part B.
ITEM 32. UNDERTAKING.
(a) Not applicable
(b) Not applicable
(c) The Registrant undertakes to furnish each person to whom this
Post-Effective Amendment is delivered a copy of its latest annual report to
shareholders, upon request and without charge.
(d) The Registrant hereby undertakes to promptly call a meeting of
shareholders for the purpose of voting upon the question of removal of any
trustee or trustees when requested in
-78-
<PAGE>
writing to do so by the record holders of not less than 10 per centum of the
Registrant's outstanding shares and to assist its shareholders in accordance
with the requirements of Section 16(c) of the Investment Company Act of 1940
relating to shareholder communications.
-79-
<PAGE>
SIGNATURE
Pursuant to the requirements of the Investment Company Act of 1940, as
amended, the Registrant has duly caused this amendment to its Registration
Statement to be signed on its behalf by the undersigned, thereunto duly
authorized, in the City of Santa Monica, the State of California, as of the 6th
day of February, 1998.
THE DFA INVESTMENT TRUST COMPANY
By:/s/ Irene R. Diamant
-------------------------------------
Irene R. Diamant
Vice President
-80-
<PAGE>
EXHIBIT INDEX
<TABLE>
<CAPTION>
EXHIBIT NO. DESCRIPTION
- ----------- -----------
<S> <C>
24(b)(17) Financial Data Schedules
</TABLE>
-81-
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 01
<NAME> U.S. 6-10 SMALL COMPANY SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 346796115
<INVESTMENTS-AT-VALUE> 438993893
<RECEIVABLES> 1474858
<ASSETS-OTHER> 915
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 440469666
<PAYABLE-FOR-SECURITIES> 7556963
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 79859
<TOTAL-LIABILITIES> 7636822
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 308440070
<SHARES-COMMON-STOCK> 31308841
<SHARES-COMMON-PRIOR> 21373173
<ACCUMULATED-NII-CURRENT> 410431
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 31784565
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 92197778
<NET-ASSETS> 432832844
<DIVIDEND-INCOME> 3000322
<INTEREST-INCOME> 369463
<OTHER-INCOME> 250263
<EXPENSES-NET> 361067
<NET-INVESTMENT-INCOME> 3258981
<REALIZED-GAINS-CURRENT> 31886153
<APPREC-INCREASE-CURRENT> 42884851
<NET-CHANGE-FROM-OPS> 78029985
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 2965724
<DISTRIBUTIONS-OF-GAINS> 30079946
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 12630470
<NUMBER-OF-SHARES-REDEEMED> 5446193
<SHARES-REINVESTED> 2751391
<NET-CHANGE-IN-ASSETS> 164431520
<ACCUMULATED-NII-PRIOR> 117174
<ACCUMULATED-GAINS-PRIOR> 29978358
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 102004
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 361067
<AVERAGE-NET-ASSETS> 340015151
<PER-SHARE-NAV-BEGIN> 12.56
<PER-SHARE-NII> .11
<PER-SHARE-GAIN-APPREC> 2.81
<PER-SHARE-DIVIDEND> (.10)
<PER-SHARE-DISTRIBUTIONS> (1.56)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 13.82
<EXPENSE-RATIO> .11
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 02
<NAME> U.S. SMALL CAP VALUE SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 1723001818
<INVESTMENTS-AT-VALUE> 2244446034
<RECEIVABLES> 5812989
<ASSETS-OTHER> 2441
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2250261464
<PAYABLE-FOR-SECURITIES> 25299333
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 693717
<TOTAL-LIABILITIES> 25993050
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1498366552
<SHARES-COMMON-STOCK> 105405078
<SHARES-COMMON-PRIOR> 75301072
<ACCUMULATED-NII-CURRENT> 3500546
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 200957100
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 521444216
<NET-ASSETS> 2224268414
<DIVIDEND-INCOME> 17468490
<INTEREST-INCOME> 2069544
<OTHER-INCOME> 612068
<EXPENSES-NET> 4874891
<NET-INVESTMENT-INCOME> 15275211
<REALIZED-GAINS-CURRENT> 201107117
<APPREC-INCREASE-CURRENT> 300802426
<NET-CHANGE-FROM-OPS> 517184754
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 12191773
<DISTRIBUTIONS-OF-GAINS> 57267282
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 32036669
<NUMBER-OF-SHARES-REDEEMED> 5730522
<SHARES-REINVESTED> 3797859
<NET-CHANGE-IN-ASSETS> 976055866
<ACCUMULATED-NII-PRIOR> 417108
<ACCUMULATED-GAINS-PRIOR> 57117265
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 3534356
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4874891
<AVERAGE-NET-ASSETS> 1767178037
<PER-SHARE-NAV-BEGIN> 16.58
<PER-SHARE-NII> .15
<PER-SHARE-GAIN-APPREC> 5.23
<PER-SHARE-DIVIDEND> (.12)
<PER-SHARE-DISTRIBUTIONS> (.74)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 21.10
<EXPENSE-RATIO> .28
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 03
<NAME> DFA ONE-YEAR FIXED INCOME SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 771122423
<INVESTMENTS-AT-VALUE> 772098466
<RECEIVABLES> 10302986
<ASSETS-OTHER> 3030
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 782404482
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 168403
<TOTAL-LIABILITIES> 168403
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 779326080
<SHARES-COMMON-STOCK> 78107985
<SHARES-COMMON-PRIOR> 85666560
<ACCUMULATED-NII-CURRENT> 3808494
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (1874538)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 976043
<NET-ASSETS> 782236079
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 46692444
<OTHER-INCOME> 0
<EXPENSES-NET> 767057
<NET-INVESTMENT-INCOME> 45925387
<REALIZED-GAINS-CURRENT> 1165084
<APPREC-INCREASE-CURRENT> (2454166)
<NET-CHANGE-FROM-OPS> 44636305
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 46320887
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 28307326
<NUMBER-OF-SHARES-REDEEMED> 39644381
<SHARES-REINVESTED> 3778480
<NET-CHANGE-IN-ASSETS> (77056968)
<ACCUMULATED-NII-PRIOR> 4203994
<ACCUMULATED-GAINS-PRIOR> (3039622)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 767057
<AVERAGE-NET-ASSETS> 784833777
<PER-SHARE-NAV-BEGIN> 10.03
<PER-SHARE-NII> .59
<PER-SHARE-GAIN-APPREC> (.02)
<PER-SHARE-DIVIDEND> (.59)
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.01
<EXPENSE-RATIO> .10
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 04
<NAME> U.S. LARGE COMPANY SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 529757685
<INVESTMENTS-AT-VALUE> 824986309
<RECEIVABLES> 1481274
<ASSETS-OTHER> 4392
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 826471975
<PAYABLE-FOR-SECURITIES> 3724306
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 254846
<TOTAL-LIABILITIES> 3979152
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 822492823
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 822492823
<DIVIDEND-INCOME> 11452435
<INTEREST-INCOME> 141280
<OTHER-INCOME> 40721
<EXPENSES-NET> 455089
<NET-INVESTMENT-INCOME> 11179347
<REALIZED-GAINS-CURRENT> 974607
<APPREC-INCREASE-CURRENT> 147978927
<NET-CHANGE-FROM-OPS> 160132881
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 11179347
<DISTRIBUTIONS-OF-GAINS> 974607
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 356051790
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 455089
<AVERAGE-NET-ASSETS> 640624057
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> .07
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 05
<NAME> U.S. LARGE CAP VALUE SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 1157386750
<INVESTMENTS-AT-VALUE> 1476531799
<RECEIVABLES> 18220130
<ASSETS-OTHER> 1394
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1494753323
<PAYABLE-FOR-SECURITIES> 4491144
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 266031
<TOTAL-LIABILITIES> 4757175
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1086556309
<SHARES-COMMON-STOCK> 82384104
<SHARES-COMMON-PRIOR> 63666881
<ACCUMULATED-NII-CURRENT> 1747814
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 82546976
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 319145049
<NET-ASSETS> 1489996148
<DIVIDEND-INCOME> 25960736
<INTEREST-INCOME> 745802
<OTHER-INCOME> 132486
<EXPENSES-NET> 2217137
<NET-INVESTMENT-INCOME> 24621887
<REALIZED-GAINS-CURRENT> 82623375
<APPREC-INCREASE-CURRENT> 172273457
<NET-CHANGE-FROM-OPS> 279518719
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 23401384
<DISTRIBUTIONS-OF-GAINS> 52565794
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 19550645
<NUMBER-OF-SHARES-REDEEMED> 5069302
<SHARES-REINVESTED> 4235880
<NET-CHANGE-IN-ASSETS> 502054455
<ACCUMULATED-NII-PRIOR> 527311
<ACCUMULATED-GAINS-PRIOR> 52489395
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1255135
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2217137
<AVERAGE-NET-ASSETS> 1255135045
<PER-SHARE-NAV-BEGIN> 15.52
<PER-SHARE-NII> .32
<PER-SHARE-GAIN-APPREC> 3.38
<PER-SHARE-DIVIDEND> (.31)
<PER-SHARE-DISTRIBUTIONS> (.82)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 18.09
<EXPENSE-RATIO> .18
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 06
<NAME> DFA INTERNATIONAL VALUE SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 1602156186
<INVESTMENTS-AT-VALUE> 1596084448
<RECEIVABLES> 5735617
<ASSETS-OTHER> 23978
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1601844043
<PAYABLE-FOR-SECURITIES> 19102780
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 655150
<TOTAL-LIABILITIES> 19757930
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1581338078
<SHARES-COMMON-STOCK> 145202648
<SHARES-COMMON-PRIOR> 115124686
<ACCUMULATED-NII-CURRENT> 2525817
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 5976457
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 6071738
<NET-ASSETS> 1582086113
<DIVIDEND-INCOME> 33237912
<INTEREST-INCOME> 1577158
<OTHER-INCOME> 1235872
<EXPENSES-NET> 4746194
<NET-INVESTMENT-INCOME> 31304748
<REALIZED-GAINS-CURRENT> 6022911
<APPREC-INCREASE-CURRENT> (107773522)
<NET-CHANGE-FROM-OPS> (72155413)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 29073667
<DISTRIBUTIONS-OF-GAINS> 27255393
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 34790033
<NUMBER-OF-SHARES-REDEEMED> 9587487
<SHARES-REINVESTED> 4875416
<NET-CHANGE-IN-ASSETS> 225234387
<ACCUMULATED-NII-PRIOR> 376836
<ACCUMULATED-GAINS-PRIOR> 27208939
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2996561
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4746194
<AVERAGE-NET-ASSETS> 1498279828
<PER-SHARE-NAV-BEGIN> 11.79
<PER-SHARE-NII> .24
<PER-SHARE-GAIN-APPREC> (.67)
<PER-SHARE-DIVIDEND> (.22)
<PER-SHARE-DISTRIBUTIONS> (.24)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.90
<EXPENSE-RATIO> .32
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 07
<NAME> DFA EMERGING MARKETS SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 285216466
<INVESTMENTS-AT-VALUE> 227456268
<RECEIVABLES> 191212
<ASSETS-OTHER> 555940
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 228203420
<PAYABLE-FOR-SECURITIES> 6987055
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 275848
<TOTAL-LIABILITIES> 7262903
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 220940517
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 220940517
<DIVIDEND-INCOME> 4421517
<INTEREST-INCOME> 489956
<OTHER-INCOME> 0
<EXPENSES-NET> 1230467
<NET-INVESTMENT-INCOME> 3681006
<REALIZED-GAINS-CURRENT> 152779
<APPREC-INCREASE-CURRENT> (61200931)
<NET-CHANGE-FROM-OPS> (56692569)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 58865372
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 225820
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1230467
<AVERAGE-NET-ASSETS> 225820291
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> .54
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 08
<NAME> DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 417059062
<INVESTMENTS-AT-VALUE> 408984677
<RECEIVABLES> 11613137
<ASSETS-OTHER> 3671785
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 424269599
<PAYABLE-FOR-SECURITIES> 5284626
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 78413
<TOTAL-LIABILITIES> 5363039
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 413779073
<SHARES-COMMON-STOCK> 40996217
<SHARES-COMMON-PRIOR> 30862945
<ACCUMULATED-NII-CURRENT> (4892281)
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 852365
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (8074385)
<NET-ASSETS> 418906560
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 17829769
<OTHER-INCOME> 0
<EXPENSES-NET> 652933
<NET-INVESTMENT-INCOME> 17176836
<REALIZED-GAINS-CURRENT> 861672
<APPREC-INCREASE-CURRENT> (11785332)
<NET-CHANGE-FROM-OPS> 21198493
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 25358579
<DISTRIBUTIONS-OF-GAINS> 250801
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 11943191
<NUMBER-OF-SHARES-REDEEMED> 4088286
<SHARES-REINVESTED> 2278367
<NET-CHANGE-IN-ASSETS> 99634300
<ACCUMULATED-NII-PRIOR> 2762143
<ACCUMULATED-GAINS-PRIOR> 241494
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 185000
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 652933
<AVERAGE-NET-ASSETS> 370001895
<PER-SHARE-NAV-BEGIN> 10.34
<PER-SHARE-NII> .48
<PER-SHARE-GAIN-APPREC> .12
<PER-SHARE-DIVIDEND> (.71)
<PER-SHARE-DISTRIBUTIONS> (.01)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.22
<EXPENSE-RATIO> .18
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 09
<NAME> DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 0
<INVESTMENTS-AT-VALUE> 0
<RECEIVABLES> 0
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 0
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 0
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 12146971
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 0
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 0
<OTHER-INCOME> 8483272
<EXPENSES-NET> 314793
<NET-INVESTMENT-INCOME> 8168479
<REALIZED-GAINS-CURRENT> 487668
<APPREC-INCREASE-CURRENT> (669049)
<NET-CHANGE-FROM-OPS> 7987098
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 8337842
<DISTRIBUTIONS-OF-GAINS> 651059
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3810359
<NUMBER-OF-SHARES-REDEEMED> 16266015
<SHARES-REINVESTED> 308685
<NET-CHANGE-IN-ASSETS> (122786318)
<ACCUMULATED-NII-PRIOR> 169363
<ACCUMULATED-GAINS-PRIOR> 163391
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 210437
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 314793
<AVERAGE-NET-ASSETS> 140290728
<PER-SHARE-NAV-BEGIN> 10.11
<PER-SHARE-NII> .57
<PER-SHARE-GAIN-APPREC> (.04)
<PER-SHARE-DIVIDEND> (.59)
<PER-SHARE-DISTRIBUTIONS> (.05)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.00
<EXPENSE-RATIO> .22
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 10
<NAME> DFA TWO-YEAR GOVERNMENT SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 0
<INVESTMENTS-AT-VALUE> 0
<RECEIVABLES> 0
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 0
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 0
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 10092880
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 182510
<NET-ASSETS> 0
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 6900624
<OTHER-INCOME> 0
<EXPENSES-NET> 268864
<NET-INVESTMENT-INCOME> 6631760
<REALIZED-GAINS-CURRENT> 133713
<APPREC-INCREASE-CURRENT> (182510)
<NET-CHANGE-FROM-OPS> 6582963
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (104647250)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 175486
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 268864
<AVERAGE-NET-ASSETS> 116889968
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> .23
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 11
<NAME> ENHANCED U.S. LARGE COMPANY SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 46370655
<INVESTMENTS-AT-VALUE> 46048851
<RECEIVABLES> 1466633
<ASSETS-OTHER> 222828
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 47738312
<PAYABLE-FOR-SECURITIES> 95876
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 26225
<TOTAL-LIABILITIES> 122101
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 41282303
<SHARES-COMMON-STOCK> 3791304
<SHARES-COMMON-PRIOR> 2484528
<ACCUMULATED-NII-CURRENT> (20255)
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 5681261
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 672902
<NET-ASSETS> 47616211
<DIVIDEND-INCOME> 3133
<INTEREST-INCOME> 1608375
<OTHER-INCOME> 0
<EXPENSES-NET> 82970
<NET-INVESTMENT-INCOME> 1528538
<REALIZED-GAINS-CURRENT> 8976905
<APPREC-INCREASE-CURRENT> (3235884)
<NET-CHANGE-FROM-OPS> 7269559
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 1590577
<DISTRIBUTIONS-OF-GAINS> 3437619
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2322641
<NUMBER-OF-SHARES-REDEEMED> 1330353
<SHARES-REINVESTED> 314488
<NET-CHANGE-IN-ASSETS> 18403377
<ACCUMULATED-NII-PRIOR> 41784
<ACCUMULATED-GAINS-PRIOR> 141975
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 16679
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 82970
<AVERAGE-NET-ASSETS> 33270050
<PER-SHARE-NAV-BEGIN> 11.76
<PER-SHARE-NII> .51
<PER-SHARE-GAIN-APPREC> 2.25
<PER-SHARE-DIVIDEND> (.54)
<PER-SHARE-DISTRIBUTIONS> (1.42)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 12.56
<EXPENSE-RATIO> .25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 12
<NAME> JAPANESE SMALL COMPANY SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 397556982
<INVESTMENTS-AT-VALUE> 179926371
<RECEIVABLES> 837666
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 180764037
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 5421602
<TOTAL-LIABILITIES> 5421602
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 175342435
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 175342435
<DIVIDEND-INCOME> 2228902
<INTEREST-INCOME> 264847
<OTHER-INCOME> 648313
<EXPENSES-NET> 750065
<NET-INVESTMENT-INCOME> 2391997
<REALIZED-GAINS-CURRENT> (1551405)
<APPREC-INCREASE-CURRENT> (180902203)
<NET-CHANGE-FROM-OPS> (180074778)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (154339224)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 258323
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 750065
<AVERAGE-NET-ASSETS> 258322683
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> .29
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 13
<NAME> UNITED KINGDOM SMALL COMPANY SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 140620929
<INVESTMENTS-AT-VALUE> 170723060
<RECEIVABLES> 1543198
<ASSETS-OTHER> 6780
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 172273038
<PAYABLE-FOR-SECURITIES> 377776
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 44393
<TOTAL-LIABILITIES> 422169
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 171850869
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 171850869
<DIVIDEND-INCOME> 5435010
<INTEREST-INCOME> 178480
<OTHER-INCOME> 0
<EXPENSES-NET> 460151
<NET-INVESTMENT-INCOME> 5153339
<REALIZED-GAINS-CURRENT> 13056167
<APPREC-INCREASE-CURRENT> (3301541)
<NET-CHANGE-FROM-OPS> 15043860
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (10774475)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 180467
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 460151
<AVERAGE-NET-ASSETS> 180467660
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> .25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 14
<NAME> CONTINENTAL SMALL COMPANY SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 283900862
<INVESTMENTS-AT-VALUE> 334271788
<RECEIVABLES> 6092836
<ASSETS-OTHER> 755667
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 341120291
<PAYABLE-FOR-SECURITIES> 179023
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 17331573
<TOTAL-LIABILITIES> 17510596
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 323609695
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 323609695
<DIVIDEND-INCOME> 6966519
<INTEREST-INCOME> 371222
<OTHER-INCOME> 115719
<EXPENSES-NET> 1001463
<NET-INVESTMENT-INCOME> 6451997
<REALIZED-GAINS-CURRENT> 17533695
<APPREC-INCREASE-CURRENT> 20900809
<NET-CHANGE-FROM-OPS> 44229247
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (12272722)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 350950
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1001463
<AVERAGE-NET-ASSETS> 350950364
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> .29
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 15
<NAME> PACIFIC RIM SMALL COMPANY SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 227639788
<INVESTMENTS-AT-VALUE> 157153917
<RECEIVABLES> 566263
<ASSETS-OTHER> 120575
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 157840755
<PAYABLE-FOR-SECURITIES> 3646792
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 6399038
<TOTAL-LIABILITIES> 10045830
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 147794925
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 147794925
<DIVIDEND-INCOME> 6042478
<INTEREST-INCOME> 334692
<OTHER-INCOME> 178470
<EXPENSES-NET> 911397
<NET-INVESTMENT-INCOME> 5644243
<REALIZED-GAINS-CURRENT> 3120343
<APPREC-INCREASE-CURRENT> (101331690)
<NET-CHANGE-FROM-OPS> (93045647)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (83686540)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 230391
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 911397
<AVERAGE-NET-ASSETS> 230390531
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> .40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000896162
<NAME> THE DFA INVESTMENT TRUST COMPANY
<SERIES>
<NUMBER> 16
<NAME> EMERGING MARKETS SMALL CAP SERIES
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1997
<PERIOD-END> NOV-30-1997
<INVESTMENTS-AT-COST> 25679432
<INVESTMENTS-AT-VALUE> 19688323
<RECEIVABLES> 14236
<ASSETS-OTHER> 34093
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 19736652
<PAYABLE-FOR-SECURITIES> 16178
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 271242
<TOTAL-LIABILITIES> 287420
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 19449232
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 19449232
<DIVIDEND-INCOME> 607868
<INTEREST-INCOME> 55788
<OTHER-INCOME> 0
<EXPENSES-NET> 212319
<NET-INVESTMENT-INCOME> 451337
<REALIZED-GAINS-CURRENT> 50200
<APPREC-INCREASE-CURRENT> (5991109)
<NET-CHANGE-FROM-OPS> (5490357)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 19449232
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 47548
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 212319
<AVERAGE-NET-ASSETS> 23773753
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> .90
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
