UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
THE DFA INVESTMENT TRUST COMPANY
(Exact name of registrant as specified in charter)
6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
The DFA Investment Trust Company,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
Registrant’s telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 2010
ITEM 1. | REPORTS TO STOCKHOLDERS. |
ANNUAL REPORT
year ended: October 31, 2010
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 2010
Dear Fellow Shareholder,
In 2011, Dimensional celebrates its thirtieth anniversary. Our growth — from a start-up business working out of my Brooklyn apartment to a global investment firm with offices in six countries — has been greater than we could ever have predicted. We take a lot of pride in what we have been able to accomplish.
The Dimensional business model, at its most basic, is about ideas and the implementation of those ideas. We’ve built Dimensional on a set of ideas that have revolutionized finance over the last fifty years. We work closely with academics like Gene Fama, Ken French, and Robert Merton who have been at the forefront in developing the field of modern finance. This great partnership with leading thinkers has carried us over the last thirty years. It is the principle of comparative advantage at its best. The thinkers work on developing the ideas, and we find the best ways to implement those ideas for our clients.
Working together with academics and our clients, we have helped change the world. It’s great to know that it is still possible to do well by doing good.
Sincerely,
David G. Booth
Chairman and Co-Chief Executive Officer
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This report is submitted for the information of the Fund’s shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
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DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
Investment Abbreviations | ||||
ADR | American Depositary Receipt | |||
FHLMC | Federal Home Loan Mortgage Corporation | |||
FNMA | Federal National Mortgage Association | |||
GDR | Global Depositary Receipt | |||
P.L.C. | Public Limited Company | |||
REIT | Real Estate Investment Trust | |||
SPDR | Standard & Poor’s Depository Receipts | |||
Investment Footnotes | ||||
† | See Note B to Financial Statements. | |||
†† | Securities have generally been fair valued. See Note B to Financial Statements. | |||
** | Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. | |||
* | Non-Income Producing Securities. | |||
# | Total or Partial Securities on Loan. | |||
^ | Denominated in local currency or the Euro, unless otherwise noted. | |||
@ | Security purchased with cash proceeds from Securities on Loan. | |||
(r) | The adjustable rate shown is effective as of October 31, 2010. | |||
(y) | The rate shown is the effective yield. | |||
(g) | Face Amount denominated in British Pounds. | |||
(e) | Face Amount denominated in Euro. | |||
(u) | Face Amount denominated in United States Dollars. | |||
v | Security segregated as collateral for the Open Futures Contracts. | |||
§ | Affiliated Fund. | |||
## | Par amount of collateral is a part of a pooled collateral facility. Value is indicative of the value allocated to this Fund/Portfolio/Series as a part of this facility. | |||
Financial Highlights | ||||
(A) | Computed using average shares outstanding. | |||
(B) | Annualized | |||
(C) | Non-Annualized | |||
(D) | Represents the combined ratios for the respective portfolio and its respective pro-rata share of its | |||
Master Funds. | ||||
(E) | Because of commencement of operations and related preliminary transaction costs, these ratios | |||
are not necessarily indicative of future ratios. |
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DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
All Statements, Schedules and Notes to Financial Statements | ||
— | Amounts designated as — are either zero or rounded to zero. | |
RIC | Registered Investment Company | |
SEC | Securities and Exchange Commission | |
(a) | Commencement of Operations. |
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PERFORMANCE CHARTS
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DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT’S DISCUSSION AND ANALYSIS
U.S. Equity Market Review | 12 Months Ended October 31, 2010 |
The year ending October 31, 2010, was a relatively volatile period for U.S. equities. Broad market returns were positive, with the Russell 3000® Index returning 18.34%. Stocks represented by the Russell Midcap® Index outperformed those within both the Russell 2000® Index (small caps) and the Russell 1000® Index (large caps). Meanwhile, stocks represented by the Russell 1000® Growth Index outperformed those represented by the Russell 1000® Value Index.
While market returns were positive through April 2010, stocks retreated in May and June, marking new lows for the fiscal year in early July. Then in September, stocks began a sharp rise which continued through October. Over the course of the fiscal year, the small company premium within the Russell 3000® Index was positive, while the value premium was negative as investors’ risk tolerance shifted, and general economic conditions evolved.
Among the most important factors explaining differences in the behavior of diversified equity portfolios are the company size and company value/growth characteristics of the portfolio’s holdings. Size is measured by market capitalization, and value classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks often have lower market value relative to their earnings, dividends, and book value.
For the 12 months ended October 31, 2010, the total return of the Russell Microcap® Index was 25.08%, the Russell 2000® Index was 26.57%, the CRSP 6-10 Index was 28.76%, and the MSCI US Small Cap 1750 Index was 28.35%. Large cap growth stocks outperformed large cap value stocks, as measured by the Russell 1000® Growth Index and Russell 1000® Value Index. Small cap growth stocks outperformed small cap value stocks as measured by the Russell 2000® Growth Index and Russell 2000® Value Index.
Total Return for 12 Months Ended October 31, 2010
Russell 2000® Index (small cap companies) | 26.57 | % | ||
Russell Midcap® Index (mid cap companies) | 27.73 | % | ||
Russell 1000® Index (large cap companies) | 17.65 | % | ||
Russell 3000® Value Index | 16.41 | % | ||
Russell 3000® Growth Index | 20.32 | % |
Further dividing the large, mid, and small cap market segments by value and growth characteristics shows more detail in the performance differences over the period.
Total Return for 12 Months Ended October 31, 2010
Russell 1000® Value Index (large cap value companies) | 15.72 | % | ||
Russell 1000® Growth Index (large cap growth companies) | 19.66 | % | ||
Russell Midcap® Value Index (mid cap value companies) | 27.50 | % | ||
Russell Midcap® Growth Index (mid cap growth companies) | 28.03 | % | ||
Russell 2500® Value Index (small/mid cap value companies) | 26.89 | % | ||
Russell 2500® Growth Index (small/mid cap growth companies) | 28.76 | % | ||
Russell 2000® Value Index (small cap value companies) | 24.43 | % | ||
Russell 2000® Growth Index (small cap growth companies) | 28.66 | % |
Source: Russell data copyright © Russell Investment Group 1995-2010, all rights reserved.
Differences in returns for the various Dimensional U.S. equity funds over the 12 months ended October 31, 2010 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios, except for the DFA Real Estate Securities Portfolio and the U.S.
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Large Company Portfolio. Moreover, the portfolio construction approach used by Dimensional Fund Advisors (the “Advisor”) generally resulted in portfolios with greater emphasis on value or small company characteristics relative to widely used index benchmarks.
Master-Feeder Structure
Certain portfolios described below, called “Feeder Funds,” do not buy individual securities directly; instead, these portfolios invest in corresponding funds called “Master Funds.” Master Funds, in turn, purchase stocks and/or other securities.
Domestic Equity Portfolios’ Performance Overview
Enhanced U.S. Large Company Portfolio
The Enhanced U.S. Large Company Portfolio seeks to outperform the S&P 500® Index by using an “enhanced cash” strategy. This strategy combines investment in high-grade, short-term fixed income instruments with an overlay of S&P 500® Index futures contracts, swaps, and/or ETFs. For the 12 months ended October 31, 2010, approximately 97% of the overlay instruments consisted of S&P 500® Index futures contracts. ETFs completed the equity exposure for the last month of the fiscal year. The behavior of S&P 500® Index futures contracts and ETFs linked to the S&P 500® Index is determined principally by the performance of the S&P 500® Index.
For the 12 months ended October 31, 2010, the total return was 17.40% for the Portfolio and 16.52% for the S&P 500® Index. Relative to the Index, the Portfolio’s outperformance was primarily due to the fixed income component of the Portfolio exceeding the interest rate embedded in the Portfolio’s S&P 500® futures contracts. The Portfolio’s concentration in government agency and corporate fixed income securities with maturities between one and two years had the most significant contribution to the outperformance. As interest rates declined during the period, these securities generated a positive return, adding to the positive return of the S&P 500® Index.
U.S. Large Cap Value Portfolio
The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S. large company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Master Fund held 211 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Master Fund’s assets.
For the 12 months ended October 31, 2010, total returns were 19.72% for the Portfolio and 15.72% for the Russell 1000® Value Index. Relative to the Index, the Master Fund’s higher concentration in securities with the most prominent value characteristics and composition differences among the Master Fund’s value stocks added approximately 4.2% to the relative performance. Differences in allocation and composition between the Master Fund and the Index across the market capitalization segments contributed to the outperformance, particularly the Master Fund’s smaller allocation to the largest stocks and the composition of those stocks which added approximately 2.9% to the relative performance. The Master Fund’s exclusion of REITs had a negative impact of approximately 0.7%relative to the Index as REITs was the best-performing sector over the period.
U.S. Targeted Value Portfolio
The U.S. Targeted Value Portfolio seeks to capture the returns of U.S. small and mid capitalization value stocks. The investment strategy employed by the U.S. Targeted Value Portfolio is a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small and mid cap value stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Portfolio held 1,526 stocks, and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
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As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 27.02% for the Portfolio’s Institutional class shares, 26.93% for the Portfolio’s Class R1 shares, 26.66% for the Portfolio’s Class R2 shares, and 24.43% for the Russell 2000® Value Index. Relative to the Index, the Portfolio’s higher concentration in securities with the most prominent value characteristics contributed to outperformance. The Portfolio’s deep value stocks (52% of the Portfolio compared to 43% of the Index) added approximately 0.8% relative to the Index. Differences in sector composition between the Portfolio and Index also contributed to the performance of the Portfolio over the Index.
U.S. Small Cap Value Portfolio
The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company and value stocks. The portfolio does not attempt to closely track a specific index. As of October 31, 2010, the Portfolio held 1,529 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 27.69% for the Portfolio and 24.43% for the Russell 2000® Value Index. Relative to the Index, the Portfolio’s higher concentration in securities with the most prominent value characteristics added approximately 2.5% relative to the Index. The smallest stocks added approximately 1.5% to the Portfolio’s relative performance.
U.S. Core Equity 1 Portfolio
The U.S. Core Equity 1 Portfolio seeks to capture the returns of the total U.S. market universe, with increased exposure to smaller company stocks and those stocks with value characteristics as measured by book-to-market ratio. The investment strategy employs a disciplined, quantitative approach, emphasizing wide diversification and comprehensive exposure to U.S. stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Portfolio held 3,333 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 20.80% for the Portfolio and 18.34% for the Russell 3000® Index. In general, U.S. large cap stocks significantly underperformed U.S. mid cap and small cap stocks over the period. The Portfolio’s lower allocation than the Index to large cap stocks and its greater allocation to mid cap and small cap stocks were the primary sources of the Portfolio’s relative outperformance.
U.S. Core Equity 2 Portfolio
The U.S. Core Equity 2 Portfolio seeks to capture the returns of the total U.S. market universe with greater exposure to smaller company stocks and those stocks with value characteristics as measured by book-to-market ratio than the U.S. Core Equity 1 Portfolio. The investment strategy employs a disciplined, quantitative approach, emphasizing wide diversification and comprehensive exposure to U.S. stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Portfolio held 3,452 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 21.41% for the Portfolio and 18.34% for the Russell 3000® Index. In general, U.S. large cap stocks significantly underperformed U.S. mid cap and small cap stocks over the period. The Portfolio’s lower allocation than the Index to large cap stocks and its greater allocation to mid cap and small cap stocks were the primary sources of the Portfolio’s relative outperformance.
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U.S. Vector Equity Portfolio
The U.S. Vector Equity Portfolio seeks to capture the returns of a broadly diversified basket of U.S. stocks with stronger exposure to smaller company stocks and those stocks with value characteristics as measured by book-to-market ratio than the U.S. Core Equity 2 Portfolio. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Portfolio held 3,226 stocks and essentially was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 23.65% for the Portfolio and 27.75% for the Russell 2500® Index. In general, U.S. large cap stocks significantly underperformed U.S. mid cap and small cap stocks over the period. The Portfolio’s allocation to large cap stocks was 22% on average, and these stocks were not represented in the Index. The Portfolio’s allocation to large cap stocks was the primary source of the Portfolio’s relative underperformance.
U.S. Small Cap Portfolio
The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Portfolio held 2,685 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 28.99% for the Portfolio and 26.57% for the Russell 2000® Index. Relative to the Index, the Portfolio’s outperformance was primarily due to differences in Portfolio composition, which added approximately 2.3% to relative performance. The smallest stocks added approximately 1.0% to the Portfolio’s relative performance.
U.S. Micro Cap Portfolio
The U.S. Micro Cap Portfolio seeks to capture the returns of very small U.S. company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to very small company stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Portfolio held 2,300 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 28.77% for the Portfolio and 26.57% for the Russell 2000® Index. The Portfolio’s allocation to micro cap stocks, on average 41% more than the Index, and the composition of those stocks added approximately 2.0% to the Portfolio’s outperformance.
DFA Real Estate Securities Portfolio
The DFA Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities (e.g., REITs), but does not attempt to closely track a specific index. As of October 31, 2010, the Portfolio held 106 REITs and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. real estate securities market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 43.21% for the Portfolio, 42.63% for the Dow Jones U.S. Select REIT Index, and 16.52% for the S&P 500® Index. The Portfolio’s greater diversification than the Dow
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Jones U.S. Select REIT Index, including a slightly greater allocation to the smallest REITs, contributed to the outperformance. The smallest REITs generally outperformed the broader Index.
International Equity Market Review | 12 Months Ended October 31, 2010 |
The one-year period ending October 31, 2010 was characterized by relatively high levels of volatility in non-US developed markets. Broad market returns were positive, with stocks represented by the MSCI World ex USA Index (net dividends) returning 9.61%.
While market returns were positive in November and December of 2009, high volatility over the next five months — punctuated by an 11% drop in May — took developed non-US stocks to their lows for the fiscal year. In June, stocks began a sharp rise which continued through the remainder of the fiscal year as global economic data generally improved. As measured by the MSCI indices, growth stocks outperformed their value counterparts, while small cap stocks outperformed large caps.
12 Months Ended October 31, 2010
U.S. Dollar Return | ||||
MSCI World ex USA Index | 9.61% | |||
MSCI World ex USA Small Cap Index | 17.23% | |||
MSCI World ex USA Value Index | 6.38% | |||
MSCI World ex USA Growth Index | 12.87% |
The performance of the US dollar (USD) was mixed against other major developed markets currencies during the period. While the USD rose slightly against the euro and British pound, it fell against most other G10 currencies, and in particular, against the Japanese yen.
12 Months Ended October 31, 2010
Ten Largest Foreign Developed Markets by Market Cap | Local Currency Return | U.S. Dollar Return | ||||||
United Kingdom | 16.07% | 12.58% | ||||||
Japan | -6.76% | 4.78% | ||||||
Canada | 15.83% | 22.62% | ||||||
France | 11.80% | 5.31% | ||||||
Australia | 3.70% | 12.50% | ||||||
Germany | 20.61% | 13.61% | ||||||
Switzerland | 5.53% | 9.90% | ||||||
Spain | -2.96% | -8.59% | ||||||
Sweden | 17.82% | 23.94% | ||||||
Italy | 0.69% | -5.14% |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2010, all rights reserved.
Gains in emerging markets were higher on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2010, returns in US dollars were 23.56% for the MSCI Emerging Markets Index (net dividends) versus 9.61% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps.
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12 Months Ended October 31, 2010 | U.S. Dollar Return | |
MSCI Emerging Markets Index | 23.56% | |
MSCI Emerging Markets Small Cap Index | 37.02% | |
MSCI Emerging Markets Value Index | 21.96% | |
MSCI Emerging Markets Growth Index | 25.17% |
The US dollar (USD) generally depreciated against most major emerging markets currencies during the period, increasing most local country returns when denominated in USD
12 Months Ended October 31, 2010 | ||||
Ten Largest Emerging Markets by Market Cap | Local Currency Return | U.S. Dollar Return | ||
China | 11.14% | 11.11% | ||
Brazil | 11.67% | 14.86% | ||
South Korea | 18.52% | 24.52% | ||
Taiwan | 13.20% | 20.23% | ||
India | 27.64% | 34.93% | ||
South Africa | 18.71% | 33.55% | ||
Russia | 19.19% | 13.38% | ||
Mexico | 25.55% | 33.87% | ||
Malaysia | 23.94% | 35.93% | ||
Indonesia | 41.78% | 51.50% |
Source: Returns are of MSCI indices net of foreign withholding taxes on dividends. Copyright MSCI 2010, all rights reserved.
Global REIT Market Review
The publicly-traded global REIT market experienced significant levels of volatility during the one-year period ended October 31, 2010. While the market rose from mid-February through late April 2010, it gave back most of those gains in May and early June. The market turned sharply higher in July and rose throughout much of September and October, finshing the period at its highs for the fiscal year.
Over the course of the peirod, there was a wide degree of dispersion in country-level returns within the S&P Global REIT Index. A number of countries, including Canada, the U.S., Hong Kong, Singapore, and South Africa, returned over 40%. On the other hand, REITs in continental Europe and the UK significantly underperformed, as there were persistent concerns over financial conditions in the region. On a sector basis, residential and specialized REITs broadly outperformed the index, while industrial and diversified REITs were relative underperformers.
12 Months Ended October 31, 2010 | ||
U.S. Dollar Return | ||
S&P Global ex U.S. REIT Index (net dividends) | 16.43% | |
S&P Global REIT Index (net dividends) | 28.81% |
Source: Standard Poor’s. Copyright S&P, 2010. All rights reserved.
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Master-Feeder Structure
Certain portfolios described below, called “Feeder Funds,” do not buy individual securities directly; instead, these portfolios invest in corresponding funds called “Master Funds.” The Master Funds, in turn, purchase stocks and/or other securities.
International Equity Portfolios’ Performance Overview
Large Cap International Portfolio
The Large Cap International Portfolio seeks to capture the returns of a broadly diversified basket of international large company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification, but does not attempt to track a specific equity index. As of October 31, 2010, the Portfolio held 1,283 stocks in 23 developed country markets. In general, the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the international equity markets, rather than by the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 10.99% for the Portfolio and 9.61% for the MSCI World ex USA Index (net dividends). The majority of the Portfolio’s relative outperformance was attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets, while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets, while the Index uses local market closing prices.
International Core Equity Portfolio
The International Core Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks, with increased exposure to smaller company stocks and those with value characteristics as measured by book-to-market ratio. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification, but does not attempt to track a specific equity index. As of October 31, 2010, the Portfolio held 5,176 stocks in 23 developed country markets. In general, the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the international equity markets, rather than by the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 12.48% for the Portfolio and 9.61% for the MSCI World ex USA Index (net dividends). In general, international large cap stocks underperformed international mid cap and small cap stocks over the period. The Portfolio’s lower allocation than the Index to large cap stocks and its greater allocation to mid cap and small cap stocks were the primary sources of the Portfolio’s relative outperformance.
International Small Company Portfolio
The International Small Company Portfolio seeks to capture the returns of international small company stocks by purchasing shares of five Master Funds that invest individually in Canada, the United Kingdom, Continental Europe (including Israel and excluding the U.K.), Japan, and Asia Pacific. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Master Funds collectively held 4,615 stocks in 23 developed country markets. In general, the Portfolio was fully invested in the Master Funds throughout the year. The combined average cash level for the period was less than 1% of the Portfolio’s assets.
Each of the Master Funds has a diversified investment approach. As a result, the Portfolio’s performance was determined principally by broad structural trends in international equity markets, rather than the behavior of a limited number of stocks. Over the period, international small company stocks outperformed international large company stocks. For the 12 months ended October 31, 2010, total returns were 17.61% for the Portfolio and 17.23%
19
for the MSCI World ex USA Small Cap Index (net dividends). The Portfolio and the Index held a number of securities in common but at different weights due to different methods for defining size and the Portfolio’s exclusion rules. For the one-year period ended October 31, 2010, overall differences generally offset each other with the end result that the Portfolio slightly outperformed the Index.
Japanese Small Company Portfolio
The Japanese Small Company Portfolio seeks to capture the returns of Japanese small company stocks by purchasing shares of a Master Fund that invests in such securities. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Master Fund held 1,333 stocks. In general, the Master Fund was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund’s assets.
As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 0.33% for the Portfolio and 1.12% for the MSCI Japan Small Cap Index (net dividends). Relative to the Index, the Portfolio’s underperformance was primarily due to its exclusion of REITs, as REITs were the best performing sector.
Asia Pacific Small Company Portfolio
The Asia Pacific Small Company Portfolio seeks to capture the returns of small company stocks in developed Asia Pacific markets, excluding Japan, by purchasing shares of a Master Fund that invests in such securities. The investments strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Master Fund held 1,093 stocks, and assets were allocated mainly among four countries: Australia, Hong Kong, New Zealand, and Singapore. Country allocations generally reflect the approximate weights of individual securities within a universe of Asia Pacific small company stocks constructed by the Advisor. In general, the Master Fund was fully invested in equities during the period. The average cash level for period was less than 1% of the Master Fund’s assets.
As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 28.36% for the Portfolio and 25.77% for the MSCI Pacific ex Japan Small Cap Index (net dividends). The Portfolio’s relative outperformance was primarily attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
United Kingdom Small Company Portfolio
The United Kingdom Small Company Portfolio seeks to capture the returns of U.K. small company stocks by purchasing shares of a Master Fund that invests in such securities. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Master Fund held 375 stocks. In general, the Master Fund was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund’s assets.
As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. Over the period, U.K. small company stocks outperformed U.K. large company stocks. For the 12 months ended October 31, 2010, total returns were 25.37% for the Portfolio and 21.61% for the MSCI UK Small Cap Index (net dividends). The Master Fund holds a large number of stocks, and in most cases, no single stock will explain a significant amount of the performance difference relative to the Index. However, during the 12-month period ended
20
October 31, 2010, the Master Fund held two stocks that had a significant positive impact on relative performance. One stock was held at a higher weight than in the Index and the other stock was not present in the Index.
Continental Small Company Portfolio
The Continental Small Company Portfolio seeks to capture the returns of small company stocks in developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares of a Master Fund that invests in such securities. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Master Fund held 1,405 stocks in 15 developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, the Master Fund was fully invested in equities throughout the year. The average cash level for period was less than 1% of the Master Fund’s assets.
As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 14.85% for the Portfolio and 15.17% for the MSCI Europe ex UK Small Cap Index (net dividends). The Master Fund and the Index held a number of securities in common but at different weights due to different methods for defining size and the Master Fund’s exclusion rules. For the one-year period ended October 31, 2010, overall differences generally offset each other with the end result that the Portfolio slightly underperformed the Index.
DFA International Real Estate Securities Portfolio
The DFA International Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities in international markets, but does not attempt to track a specific index. As of October 31, 2010, the Portfolio held 194 stocks in 19 developed and emerging market countries. In general, the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified approach, performance was determined principally by structural trends in international real estate securities markets, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 18.96% for the Portfolio, 17.60% for the S&P Global ex US REIT Index (gross dividends), and 16.43% for the S&P Global ex US REIT Index (net dividends). Relative to the Index (net dividends) the vast majority of the Portfolio’s relative outperformance was attributable to differences between the Index’s assumed withholding tax rates and the Portfolio’s actual withholding tax rates and to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
DFA Global Real Estate Securities Portfolio
The DFA Global Real Estate Securities Portfolio, a fund of funds, is designed to capture the returns of a broadly diversified portfolio of real estate securities in U.S. and international markets, but does not attempt to track a specific index. As of October 31, 2010, the Portfolio invested in the DFA International Real Estate Securities Portfolio and the DFA Real Estate Securities Portfolio. As of October 31, 2010, the Portfolio held 299 stocks, through its underlying funds, in 20 developed and emerging markets countries. In general, the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified approach, performance was principally determined by structural trends in global real estate securities markets, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 31.38% for the Portfolio, 30.27% for the S&P Global REIT Index (gross dividends), and 28.81% for the S&P Global REIT Index (net dividends). Relative to the Index (net dividends), most of the Portfolio’s relative outperformance was attributable to differences between the Index’s assumed withholding
21
tax rates and the Portfolio’s actual withholding tax rates and, with respect to the Portfolio’s holdings of the DFA International Real Estate Securities Portfolio, to differences in the timing of the pricing of securities and foreign exchange rates between this portfolio and the Index. The DFA International Real Estate Securities Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The DFA International Real Estate Securities Portfolio utilizes fair value pricing to price its securities at the closing of the U.S. markets while the Index uses local market closing prices.
DFA International Small Cap Value Portfolio
The DFA International Small Cap Value Portfolio seeks to capture the returns of international small company value stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Portfolio held 2,160 stocks in 23 developed countries. In general, the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in international equity markets, rather than the behavior of a limited number of stocks. Over the period, international small stocks outperformed international large cap stocks and international value stocks underperformed international growth stocks. For the 12 months ended October 31, 2010, total returns were 10.01% for the Portfolio and 17.23% for the MSCI World ex USA Small Cap Index (net dividends). The primary reason for the Portfolio’s relative underperformance was its significantly greater allocation than the Index to value stocks, which underperformed, and its corresponding lower allocation to growth stocks, which outperformed.
International Vector Equity Portfolio
The International Vector Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks, with increased exposure to smaller company stocks and those with value characteristics, as measured by book-to-market ratio, than the International Core Equity Portfolio. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification, but does not attempt to track a specific equity index. As of October 31, 2010, the Portfolio held 3,820 stocks in 23 developed country markets. In general, the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the international equity markets, rather than by the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 13.62% for the Portfolio and 9.61% for the MSCI World ex USA Index (net dividends). In general, international large cap stocks underperformed international mid cap and small cap stocks over the period. The Portfolio’s lower allocation than the Index to large cap stocks and its greater allocation to mid cap and small cap stocks were the primary sources of the Portfolio’s relative outperformance.
Emerging Markets Portfolio
The Emerging Markets Portfolio seeks to capture the returns of large cap stocks in selected emerging markets countries by purchasing shares of a Master Fund investing in such securities. The investment strategy employs a disciplined quantitative approach, emphasizing broad diversification and consistent exposure to large cap emerging markets stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Master Fund held 712 stocks in 20 emerging markets countries. In general, the Master Fund was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund’s assets. The Master Fund’s target country weights were capped at 15% upon purchase by the manager to limit single-country risk exposure.
As a result of the Master Fund’s diversified approach, performance was generally determined by broad structural trends in emerging markets countries, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 26.53% for the Portfolio and 23.56% for the MSCI Emerging Markets Index (net dividends). The Portfolio’s relative outperformance was primarily due to differences in country
22
weight allocations between the Master Fund and the Index. Country weight differences were primarily driven by capping of individual countries to limit single country risk exposure. To a lesser extent, an additional component of the Portfolio’s outperformance was due to differences in valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
Emerging Markets Small Cap Portfolio
The Emerging Markets Small Cap Portfolio seeks to capture the returns of small company stocks in selected emerging markets by purchasing shares of a Master Fund investing in such securities. The Master Fund’s investment strategy employs a disciplined quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks in selected emerging markets, but does not attempt to track a specific equity index. As of October 31, 2010, the Master Fund held 2,691 stocks across 15 emerging markets countries. In general, the Master Fund was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund’s assets. The Master Fund’s target country weights were capped at 15% upon purchase by the manager to limit single-country risk exposure.
As a result of the Master Fund’s diversified approach, performance was generally determined by structural trends in emerging markets countries, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 41.33% for the Portfolio and 23.56% for the MSCI Emerging Markets Index (net dividends). The Portfolio’s outperformance was primarily due to emerging markets small cap stocks outperforming their large cap counterparts during the period. The Master Fund holds primarily small cap stocks whereas the Index generally holds large cap and mid cap stocks. To a lesser extent, an additional component of the Portfolio’s outperformance was due to differences in valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
Emerging Markets Value Portfolio
The Emerging Markets Value Portfolio seeks to capture the returns of large and small cap value stocks as measured by book to market ratio in selected emerging markets countries by purchasing shares of the Dimensional Emerging Markets Value Fund (the “Master Fund”), which invests in such securities. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to emerging markets value stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Master Fund held 2,016 stocks across 17 emerging markets countries. In general, the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets. The Master Fund’s target country weights were capped at 15% at purchase by the manager to limit single-country risk exposure.
As a result of the Master Fund’s diversified investment approach, performance was generally determined by broad structural trends in emerging markets countries, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 30.04% for the Portfolio’s Institutional Class shares, 29.71% for the Portfolio’s Class R2 shares and 23.56% for the MSCI Emerging Markets Index (net dividends). The Master Fund targets large and small cap value stocks while the Index primarily targets large and mid cap stocks. The Portfolio’s relative outperformance was primarily due to its higher allocation than the Index to small cap value stocks, which outperformed, and a corresponding lower allocation than the Index to large cap stocks which underperformed. To a lesser extent, an additional component of the Portfolio’s outperformance was due to differences in valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
23
Emerging Markets Core Equity Portfolio
The Emerging Markets Core Equity Portfolio seeks to capture the returns of a broad universe of emerging markets stocks with increased exposure to smaller company stocks and those stocks with value characteristics as measured by book-to-market ratio. The investment strategy employs a disciplined quantitative approach, emphasizing broad diversification and consistent exposure to selected emerging markets countries, but does not attempt to track a specific equity index. As of October 31, 2010, the Portfolio held 3,174 stocks across 20 emerging markets countries. In general, the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets. The Portfolio’s target country weights were capped at 15% upon purchase by the manager to limit single-country risk exposure.
As a result of the Portfolio’s diversified approach, performance was generally determined by structural trends in emerging markets countries, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 31.30% for the Portfolio and 23.56% for the MSCI Emerging Markets Index (net dividends). In general, emerging markets large cap stocks significantly underperformed emerging markets mid cap and small cap stocks over the period. The Portfolio’s lower allocation than the Index to large cap stocks and its greater allocation to mid cap and small cap stocks had a positive impact on the Portfolio’s relative performance. Composition differences in the Portfolio’s holdings relative to the Index, in particular within regions and sectors, also had a positive impact on the relative performance. To a lesser extent, an additional component of the Portfolio’s outperformance was due to differences in valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
(Unaudited)
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets.This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The Expense Tables below illustrate your fund’s costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund.You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.
Six Months Ended October 31, 2010
EXPENSE TABLES
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
Enhanced U.S. Large Company Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,011.60 | 0.25% | $1.27 | ||||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,023.95 | 0.25% | $1.28 |
25
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
U.S. Large Cap Value Portfolio** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 974.10 | 0.27% | $1.34 | ||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,023.84 | 0.27% | $1.38 | ||||||||||
U.S. Targeted Value Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class R1 Shares | $ | 1,000.00 | $ | 949.40 | 0.48% | $2.36 | ||||||||||
Class R2 Shares | $ | 1,000.00 | $ | 949.50 | 0.63% | $3.10 | ||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 950.40 | 0.38% | $1.87 | ||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Class R1 Shares | $ | 1,000.00 | $ | 1,022.79 | 0.48% | $2.45 | ||||||||||
Class R2 Shares | $ | 1,000.00 | $ | 1,022.03 | 0.63% | $3.21 | ||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,023.29 | 0.38% | $1.94 | ||||||||||
U.S. Small Cap Value Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 948.50 | 0.51% | $2.50 | ||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.63 | 0.51% | $2.60 | ||||||||||
U.S. Core Equity 1 Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 999.90 | 0.19% | $0.96 | ||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,024.25 | 0.19% | $0.97 | ||||||||||
U.S. Core Equity 2 Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 990.60 | 0.22% | $1.10 | ||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,024.10 | 0.22% | $1.12 | ||||||||||
U.S. Vector Equity Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 976.80 | 0.32% | $1.59 | ||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,023.59 | 0.32% | $1.63 | ||||||||||
U.S. Small Cap Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 988.50 | 0.37% | $1.85 | ||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,023.34 | 0.37% | $1.89 |
26
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
U.S. Micro Cap Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $990.90 | 0.51% | $2.56 | ||||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,022.63 | 0.51% | $2.60 | ||||||||||||
DFA Real Estate Securities Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,063.50 | 0.32% | $1.66 | ||||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,023.59 | 0.32% | $1.63 | ||||||||||||
Large Cap International Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,062.80 | 0.30% | $1.56 | ||||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,023.69 | 0.30% | $1.53 | ||||||||||||
International Core Equity Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,056.10 | 0.40% | $2.07 | ||||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,023.19 | 0.40% | $2.04 | ||||||||||||
International Small Company Portfolio*** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,074.50 | 0.56% | $2.93 | ||||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,022.38 | 0.56% | $2.85 | ||||||||||||
Japanese Small Company Portfolio** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $940.40 | 0.57% | $2.79 | ||||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,022.33 | 0.57% | $2.91 | ||||||||||||
Asia Pacific Small Company Portfolio** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,133.00 | 0.64% | $3.44 | ||||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $1,000.00 | $1,021.98 | 0.64% | $3.26 |
27
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
United Kingdom Small Company Portfolio** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,148.60 | 0.60% | $ | 3.25 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.18 | 0.60% | $ | 3.06 | |||||||||
Continental Small Company Portfolio** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,093.40 | 0.59% | $ | 3.11 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.23 | 0.59% | $ | 3.01 | |||||||||
DFA International Real Estate Securities Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,148.20 | 0.41% | $ | 2.22 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,023.14 | 0.41% | $ | 2.09 | |||||||||
DFA Global Real Estate Securities Portfolio*** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,101.10 | 0.41% | $ | 2.17 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,023.14 | 0.41% | $ | 2.09 | |||||||||
DFA International Small Cap Value Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,017.50 | 0.70% | $ | 3.56 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,021.68 | 0.70% | $ | 3.57 | |||||||||
International Vector Equity Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,055.80 | 0.55% | $ | 2.85 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.43 | 0.55% | $ | 2.80 | |||||||||
Emerging Markets Portfolio** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,106.30 | 0.61% | $ | 3.24 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.13 | 0.61% | $ | 3.11 | |||||||||
Emerging Markets Small Cap Portfolio** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,180.80 | 0.79% | $ | 4.34 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,021.22 | 0.79% | $ | 4.02 |
28
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
Emerging Markets Value Portfolio** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class R2 Shares | $ | 1,000.00 | $ | 1,116.90 | 0.87% | $ | 4.64 | |||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,119.30 | 0.62% | $ | 3.31 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Class R2 Shares | $ | 1,000.00 | $ | 1,020.82 | 0.87% | $ | 4.43 | |||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.08 | 0.62% | $ | 3.16 | |||||||||
Emerging Markets Core Equity Portfolio | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,129.20 | 0.67% | $ | 3.60 | |||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,021.83 | 0.67% | $ | 3.41 |
* | Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. |
** | The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund’s portion of the expenses of its Master Fund (Affiliated Investment Company). |
*** | The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds’ portion of the expenses of its Master Funds (Affiliated Investment Companies). |
29
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 29, 2010. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.
The categories of industry classification for the Affiliated Investment Companies are represented in the Disclosure of Portfolio Holdings, which are included elsewhere within the report. Refer to the Schedule of Investments/Summary Schedule of Portfolio Holdings for each of the underlying Master Funds’ holdings which reflect the investments by category or country.
FEEDER FUNDS
Affiliated Investment Companies | ||
U.S. Large Cap Value Portfolio | 100.0% | |
Japanese Small Company Portfolio | 100.0% | |
Asia Pacific Small Company Portfolio | 100.0% | |
United Kingdom Small Company Portfolio | 100.0% | |
Continental Small Company Portfolio | 100.0% | |
Emerging Markets Portfolio | 100.0% | |
Emerging Markets Small Cap Portfolio | 100.0% | |
Emerging Markets Value Portfolio | 100.0% | |
FUND OF FUNDS | ||
International Small Company Portfolio | 100.0% | |
DFA Global Real Estate Securities Portfolio | 100.0% |
30
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
FIXED INCOME PORTFOLIO
Enhanced U.S. Large Company Portfolio | ||
Corporate | 19.7% | |
Government | 12.7% | |
Foreign Corporate | 24.0% | |
Foreign Government | 38.0% | |
Supranational | 5.6% | |
100.0% |
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Targeted Value Portfolio | U.S. Small Cap Value Portfolio | U.S. Core Equity 1 Portfolio | ||||||||
Consumer Discretionary | 16.8% | Consumer Discretionary | 18.2% | Consumer Discretionary | 13.8% | |||||
Consumer Staples | 3.8% | Consumer Staples | 2.8% | Consumer Staples | 8.4% | |||||
Energy | 9.4% | Energy | 9.5% | Energy | 9.6% | |||||
Financials | 24.4% | Financials | 22.5% | Financials | 15.9% | |||||
Health Care | 7.3% | Health Care | 6.2% | Health Care | 10.8% | |||||
Industrials | 15.8% | Industrials | 19.1% | Industrials | 12.9% | |||||
Information Technology | 13.8% | Information Technology | 14.3% | Information Technology | 17.1% | |||||
Materials | 7.2% | Materials | 7.0% | Materials | 5.1% | |||||
Real Estate Investment Trusts | — | Other | — | Other | — | |||||
Telecommunication Services | 1.1% | Real Estate Investment Trusts | — | Telecommunication Services | 2.8% | |||||
Utilities | 0.4% | Telecommunication Services | 0.3% | Utilities | 3.6% | |||||
100.0% | Utilities | 0.1% | 100.0% | |||||||
100.0% | ||||||||||
U.S. Core Equity 2 Portfolio | U.S. Vector Equity Portfolio | U.S. Small Cap Portfolio | ||||||||
Consumer Discretionary | 14.8% | Consumer Discretionary | 15.7% | Consumer Discretionary | 17.0% | |||||
Consumer Staples | 6.8% | Consumer Staples | 4.9% | Consumer Staples | 3.5% | |||||
Energy | 10.1% | Energy | 9.9% | Energy | 5.6% | |||||
Financials | 18.8% | Financials | 24.3% | Financials | 13.5% | |||||
Health Care | 10.0% | Health Care | 8.4% | Health Care | 11.5% | |||||
Industrials | 13.9% | Industrials | 13.9% | Industrials | 18.2% | |||||
Information Technology | 14.5% | Information Technology | 13.2% | Information Technology | 21.3% | |||||
Materials | 5.4% | Materials | 5.8% | Materials | 5.5% | |||||
Other | — | Other | — | Other | — | |||||
Telecommunication Services | 3.2% | Telecommunication Services | 2.5% | Telecommunication Services | 1.2% | |||||
Utilities | 2.5% | Utilities | 1.4% | Utilities | 2.7% | |||||
100.0% | 100.0% | 100.0% | ||||||||
U.S. Micro Cap Portfolio | DFA Real Estate Securities Portfolio | Large Cap International Portfolio | ||||||||
Consumer Discretionary | 16.0% | Real Estate Investment Trusts | 100.0% | Consumer Discretionary | 9.8% | |||||
Consumer Staples | 4.9% | 100.0%
| Consumer Staples | 9.6% | ||||||
Energy | 3.7% | Energy | 9.2% | |||||||
Financials | 13.8% | Financials | 23.8% | |||||||
Health Care | 13.0% | Health Care | 7.8% | |||||||
Industrials | 18.4% | Industrials | 12.0% | |||||||
Information Technology | 22.5% | Information Technology | 4.9% | |||||||
Materials | 4.6% | Materials | 12.0% | |||||||
Other | — | Other | 0.1% | |||||||
Telecommunication Services | 1.3% | Telecommunication Services | 5.7% | |||||||
Utilities | 1.8% | Utilities | 5.1% | |||||||
100.0% | 100.0% |
31
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
International Core Equity Portfolio | DFA International Real Estate Securities Portfolio | DFA International Small Cap Value Portfolio | ||||||||||||||
Consumer Discretionary | 13.8% | Financials | 0.1% | Consumer Discretionary | 19.5% | |||||||||||
Consumer Staples | 6.6% | Other | 0.1% | Consumer Staples | 6.1% | |||||||||||
Energy | 8.1% | Real Estate Investment Trusts | 99.8% | Energy | 5.4% | |||||||||||
Financials | 24.9% | 100.0% | Financials | 18.9% | ||||||||||||
Health Care | 4.5% | Health Care | 2.0% | |||||||||||||
Industrials | 16.7% | Industrials | 22.7% | |||||||||||||
Information Technology | 5.5% | Information Technology | 4.9% | |||||||||||||
Materials | 13.7% | Materials | 19.7% | |||||||||||||
Other | — | Other | — | |||||||||||||
Real Estate Investment Trusts | — | Real Estate Investment Trusts | 0.1% | |||||||||||||
Telecommunication Services | 3.3% | Telecommunication Services | 0.4% | |||||||||||||
Utilities | 2.9% | Utilities | 0.3% | |||||||||||||
100.0% | 100.0% |
International Vector Equity Portfolio | Emerging Markets Core Equity Portfolio | |||||||||
Consumer Discretionary | 15.7% | Consumer Discretionary | 10.1% | |||||||
Consumer Staples | 5.5% | Consumer Staples | 7.2% | |||||||
Energy | 6.8% | Energy | 11.0% | |||||||
Financials | 23.8% | Financials | 23.7% | |||||||
Health Care | 3.8% | Health Care | 2.0% | |||||||
Industrials | 18.6% | Industrials | 11.5% | |||||||
Information Technology | 6.3% | Information Technology | 10.1% | |||||||
Materials | 15.8% | Materials | 15.9% | |||||||
Other | — | Other | — | |||||||
Real Estate Investment Trusts | — | Real Estate Investment Trusts | — | |||||||
Telecommunication Services | 2.1% | Telecommunication Services | 5.1% | |||||||
Utilities | 1.6% | Utilities | 3.4% | |||||||
100.0% | 100.0% |
32
ENHANCED U.S. LARGE COMPANY PORTFOLIO
October 31, 2010
Face | Value† | |||||||
(000) | ||||||||
BONDS — (74.2%) | ||||||||
AUSTRALIA — (1.9%) | ||||||||
Australia & New Zealand Banking Group, Ltd. | ||||||||
(u) 5.500%, 05/24/11 | 1,000 | $ | 1,023,110 | |||||
Commonwealth Bank of Australia | ||||||||
(u) 4.750%, 01/27/11 | 434 | 437,977 | ||||||
Macquarie Bank, Ltd. | ||||||||
(u) 2.600%, 01/20/12 | 1,449 | 1,484,027 | ||||||
TOTAL AUSTRALIA | 2,945,114 | |||||||
AUSTRIA — (2.8%) | ||||||||
Asfinag | ||||||||
2.000%, 10/22/12 | 2,050 | 2,100,793 | ||||||
Oesterreichische Volksbanken AG | ||||||||
(e) 3.000%, 02/09/12 | 1,600 | 2,267,874 | ||||||
TOTAL AUSTRIA | 4,368,667 | |||||||
CANADA — (17.3%) | ||||||||
Alberta Capital Finance Authority | ||||||||
5.850%, 06/01/12 | 2,000 | 2,095,382 | ||||||
Bank of Nova Scotia Floating Rate Note | ||||||||
(r)(u)0.543%, 03/05/12 | 4,000 | 4,010,484 | ||||||
British Columbia, Province of Canada | ||||||||
5.750%, 01/09/12 | 4,000 | 4,124,993 | ||||||
Canada Mortgage & Housing Corp. | ||||||||
5.500%, 06/01/12 | 3,700 | 3,855,161 | ||||||
Canadian Government Bond | ||||||||
1.250%, 12/01/11 | 2,300 | 2,255,845 | ||||||
1.500%, 06/01/12 | 1,000 | 982,930 | ||||||
Ontario, Province of Canada | ||||||||
4.400%, 12/02/11 | 4,200 | 4,253,699 | ||||||
Royal Bank of Canada | ||||||||
(u) 5.650%, 07/20/11 | 1,300 | 1,344,442 | ||||||
(e) 5.750%, 07/25/11 | 2,000 | 2,865,665 | ||||||
Royal Bank of Canada Floating Rate Note | ||||||||
(r)(u)0.356%, 01/27/12 | 100 | 100,000 | ||||||
Toronto-Dominion Bank (The) | ||||||||
(g) 6.875%, 06/24/11 | 650 | 1,075,645 | ||||||
TOTAL CANADA | 26,964,246 | |||||||
Face | Value† | |||||||
(000) | ||||||||
DENMARK — (4.5%) | ||||||||
Denmark Government International Bond | ||||||||
(u) 1.875%, 03/16/12 | 3,000 | $ | 3,058,500 | |||||
FIH Erhvervsbank A.S. | ||||||||
(u) 2.450%, 08/17/12 | 3,800 | 3,906,993 | ||||||
TOTAL DENMARK | 6,965,493 | |||||||
FINLAND — (0.3%) | ||||||||
Nordea Bank Finland P.L.C. Floating Rate Note | ||||||||
(r)(u)0.686%, 02/01/12 | 500 | 499,876 | ||||||
FRANCE — (6.9%) | ||||||||
Agence Francaise de Developpement | ||||||||
(u) 2.250%, 05/22/12 | 2,500 | 2,547,205 | ||||||
Caisse d’Amortissement de la Dette Sociale | ||||||||
(u) 2.250%, 07/06/12 | 3,500 | 3,579,384 | ||||||
(u) 5.375%, 07/17/12 | 500 | 539,548 | ||||||
Societe Financement de l’Economie Francaise | ||||||||
(e) 3.500%, 11/24/11 | 1,800 | 2,574,762 | ||||||
(u) 2.250%, 06/11/12 | 1,500 | 1,543,832 | ||||||
TOTAL FRANCE | 10,784,731 | |||||||
GERMANY — (7.1%) | ||||||||
IKB Deutsche Industriebank AG | ||||||||
(e) 2.875%, 01/27/12 | 1,500 | 2,129,562 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
(g) 4.375%, 03/07/11 | 600 | 974,055 | ||||||
(u) 2.250%, 04/16/12 | 2,500 | 2,566,265 | ||||||
Landeskreditbank Baden-Wuerttemberg Foerderbank | ||||||||
(u) 2.000%, 10/01/12 | 1,500 | 1,533,922 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
(g) 5.250%, 01/18/12 | 2,315 | 3,901,240 | ||||||
TOTAL GERMANY | 11,105,044 | |||||||
JAPAN — (3.3%) | ||||||||
Development Bank of Japan | ||||||||
(e) 5.625%, 08/02/11 | 1,500 | 2,153,846 | ||||||
Japan Finance Corp. | ||||||||
(u) 2.000%, 06/24/11 | 1,000 | 1,009,718 |
33
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face | Value† | |||||||
(000) | ||||||||
JAPAN — (Continued) | ||||||||
(u) 1.500%, 07/06/12 | 2,000 | $ | 2,024,040 | |||||
TOTAL JAPAN | 5,187,604 | |||||||
NETHERLANDS — (6.2%) | ||||||||
Bank Nederlandse Gemeenten | ||||||||
(u) 2.250%, 01/17/12 | 3,000 | 3,054,792 | ||||||
(g) 5.750%, 03/07/12 | 521 | 885,007 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
(u) 2.875%, 06/16/11 | 4,000 | 4,058,576 | ||||||
Rabobank Nederland NV | ||||||||
(g) 5.000%, 04/11/11 | 1,000 | 1,626,510 | ||||||
TOTAL NETHERLANDS | 9,624,885 | |||||||
NORWAY — (2.6%) | ||||||||
Kommunalbanken AS | ||||||||
(u) 3.250%, 06/15/11 | 4,000 | 4,066,264 | ||||||
SPAIN — (0.6%) | ||||||||
Instituto de Credito Oficial | ||||||||
(u) 1.875%, 04/15/11 | 1,000 | 1,000,548 | ||||||
SUPRANATIONAL | ||||||||
ORGANIZATION | ||||||||
OBLIGATIONS — (4.2%) | ||||||||
Eurofima | ||||||||
(u) 5.125%, 08/02/12 | 1,000 | 1,073,269 | ||||||
European Investment Bank | ||||||||
(u) 3.250%, 10/14/11 | 800 | 821,726 | ||||||
(u) 4.625%, 03/21/12 | 3,100 | 3,276,582 | ||||||
European Union | ||||||||
(e) 3.250%, 12/09/11 | 1,000 | 1,430,396 | ||||||
TOTAL SUPRANATIONAL | ||||||||
ORGANIZATION | ||||||||
OBLIGATIONS | 6,601,973 | |||||||
SWEDEN — (2.4%) | ||||||||
Kommuninvest I Sverige | ||||||||
(u) 5.375%, 06/15/11 | 1,000 | 1,032,186 | ||||||
(u) 5.375%, 07/03/12 | 2,600 | 2,798,871 | ||||||
TOTAL SWEDEN | 3,831,057 | |||||||
UNITED KINGDOM — (5.0%) | ||||||||
Bank of Scotland P.L.C. | ||||||||
4.625%, 11/04/11 | 1,800 | 2,985,498 |
Face | Value† | |||||||
(000) | ||||||||
UNITED KINGDOM — (Continued) | ||||||||
Barclays Bank P.L.C. Floating Rate Note | ||||||||
(r)(u)0.556%, 01/14/11 | 1,000 | $ | 999,993 | |||||
Clydesdale Bank P.L.C. | ||||||||
3.375%, 12/09/11 | 800 | 1,316,652 | ||||||
Royal Bank of Scotland P.L.C. (The) | ||||||||
4.125%, 11/14/11 | 1,500 | 2,480,442 | ||||||
TOTAL UNITED KINGDOM | 7,782,585 | |||||||
UNITED STATES — (9.1%) | ||||||||
Berkshire Hathaway, Inc. Floating Rate Note | ||||||||
(r) 0.591%, 02/10/12 | $ | 4,000 | 3,998,452 | |||||
General Electric Capital Corp. | ||||||||
6.000%, 06/15/12 | 800 | 862,818 | ||||||
General Electric Capital Corp. Floating Rate Note | ||||||||
(r) 0.916%, 02/01/11 | 2,000 | 2,002,492 | ||||||
(r) 0.373%, 06/06/11 | 1,000 | 1,000,498 | ||||||
JPMorgan Chase & Co. | ||||||||
(g) 3.750%, 12/12/11 | 1,000 | 1,649,592 | ||||||
5.375%, 10/01/12 | 800 | 865,527 | ||||||
JPMorgan Chase & Co. Floating Rate Note | ||||||||
(r) 1.043%, 06/13/11 | 1,800 | 1,808,266 | ||||||
Toyota Motor Credit Corp. Floating Rate Note | ||||||||
(r) 0.390%, 10/04/11 | 2,000 | 1,999,980 | ||||||
TOTAL UNITED STATES | 14,187,625 | |||||||
TOTAL BONDS | 115,915,712 | |||||||
AGENCY OBLIGATIONS — (14.4%) | ||||||||
Federal Home Loan Bank | ||||||||
3.625%, 09/16/11 | 1,200 | 1,236,064 | ||||||
1.125%, 05/18/12 | 2,000 | 2,023,700 | ||||||
Federal Home Loan Bank Discount Note | ||||||||
(y) v 0.136%, 12/08/10 | 4,000 | 3,999,508 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
1.125%, 07/27/12 | 2,000 | 2,026,348 | ||||||
5.500%, 08/20/12 | 1,000 | 1,091,639 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
(y) v 0.180%, 12/08/10 | 5,000 | 4,999,385 | ||||||
(y) v 0.185%, 12/14/10 | 5,000 | 4,999,285 |
34
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face Amount | Value† | Shares | Value† | |||||||||||||||
(000) | TEMPORARY CASH INVESTMENTS — (0.5%) | |||||||||||||||||
Federal National Mortgage Association | BlackRock Liquidity Funds | 734,050 | $ | 734,050 | ||||||||||||||
4.375%, 09/15/12 | $2,000 | $ | 2,147,702 | |||||||||||||||
TOTAL AGENCY OBLIGATIONS | 22,523,631 | TOTAL INVESTMENTS — (100.0%) | $ | 156,198,640 | ||||||||||||||
COMMERCIAL PAPER — (7.6%) | ||||||||||||||||||
Eksportfinans ASA | ||||||||||||||||||
0.280%, 11/05/10 | 1,000 | 999,969 | ||||||||||||||||
National Rural Utilities | ||||||||||||||||||
0.260%, 12/16/10 | 2,000 | 1,999,288 | ||||||||||||||||
Paccar Financial Corp. | ||||||||||||||||||
0.260%, 12/10/10 | 3,700 | 3,698,817 | ||||||||||||||||
Statoilhydro ASA | ||||||||||||||||||
0.190%, 11/01/10 | 4,500 | 4,500,000 | ||||||||||||||||
United Technologies Corp. | ||||||||||||||||||
0.170%, 11/01/10 | 600 | 600,000 | ||||||||||||||||
TOTAL COMMERCIAL PAPER | 11,798,074 | |||||||||||||||||
Shares | ||||||||||||||||||
EXCHANGE-TRADED FUND — (3.3%) | ||||||||||||||||||
UNITED STATES — (3.3%) | 44,100 | 5,227,173 | ||||||||||||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||
Bonds | — | $ | 115,915,712 | — | $ | 115,915,712 | ||||||||
Agency Obligations | — | 22,523,631 | — | 22,523,631 | ||||||||||
Commercial Paper | — | 11,798,074 | — | 11,798,074 | ||||||||||
Exchange-Traded Fund | $ | 5,227,173 | — | — | 5,227,173 | |||||||||
Temporary Cash Investments | 734,050 | — | — | 734,050 | ||||||||||
Forward Currency Contracts** | — | (173,351 | ) | — | (173,351 | ) | ||||||||
Futures Contracts** | 10,406,650 | — | — | 10,406,650 | ||||||||||
TOTAL | $ | 16,367,873 | $ | 150,064,066 | — | $ | 166,431,939 | |||||||
** | Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. |
See accompanying Notes to Financial Statements.
35
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2010
Value† | ||||
AFFILIATED INVESTMENT COMPANY — (100.0%) | ||||
Investment in The U.S. Large Cap Value Series of | $ | 6,922,104,537 | ||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY | $ | 6,922,104,537 | ||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||
Investment in Securities (Market Value) | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Affiliated Investment Company | $ | 6,922,104,537 | — | — | $ | 6,922,104,537 |
See accompanying Notes to Financial Statements.
36
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||
COMMON STOCKS — (87.6%) | ||||||||||||||||||
Consumer Discretionary — (14.8%) | ||||||||||||||||||
#*Gaylord Entertainment Co. | 204,517 | $ | 6,818,597 | 0.3% | ||||||||||||||
Jarden Corp. | 207,642 | 6,657,003 | 0.3% | |||||||||||||||
*Liberty Media Corp. Capital Class A | 166,331 | 9,570,686 | 0.4% | |||||||||||||||
#*Mohawk Industries, Inc. | 141,554 | 8,116,706 | 0.3% | |||||||||||||||
#Rent-A-Center, Inc. | 265,181 | 6,666,650 | 0.3% | |||||||||||||||
#*Saks, Inc. | 755,984 | 8,421,662 | 0.4% | |||||||||||||||
#*Whirlpool Corp. | 88,830 | 6,735,979 | 0.3% | |||||||||||||||
Other Securities | 327,148,537 | 14.4% | ||||||||||||||||
Total Consumer Discretionary | 380,135,820 | 16.7% | ||||||||||||||||
Consumer Staples — (3.3%) | ||||||||||||||||||
*Constellation Brands, Inc. Class A | 389,483 | 7,684,500 | 0.4% | |||||||||||||||
*Ralcorp Holdings, Inc. | 107,711 | 6,684,545 | 0.3% | |||||||||||||||
#*Smithfield Foods, Inc. | 419,475 | 7,026,206 | 0.3% | |||||||||||||||
Other Securities | 64,080,090 | 2.8% | ||||||||||||||||
Total Consumer Staples | 85,475,341 | 3.8% | ||||||||||||||||
Energy — (8.2%) | ||||||||||||||||||
*Complete Production Services, Inc. | 332,185 | 7,783,095 | 0.3% | |||||||||||||||
#*Exterran Holdings, Inc. | 284,147 | 7,151,980 | 0.3% | |||||||||||||||
Pioneer Natural Resources Co. | 149,975 | 10,468,255 | 0.5% | |||||||||||||||
*Plains Exploration & Production Co. | 265,602 | 7,402,328 | 0.3% | |||||||||||||||
*Rowan Cos., Inc. | 228,373 | 7,513,472 | 0.3% | |||||||||||||||
*Sunoco, Inc. | 212,272 | 7,953,832 | 0.4% | |||||||||||||||
*Whiting Petroleum Corp. | 72,600 | 7,291,944 | 0.3% | |||||||||||||||
Other Securities | 156,464,802 | 6.9% | ||||||||||||||||
Total Energy | 212,029,708 | 9.3% | ||||||||||||||||
Financials — (21.4%) | ||||||||||||||||||
*American Capital, Ltd. | 1,070,676 | 7,473,318 | 0.3% | |||||||||||||||
American Financial Group, Inc. | 248,114 | 7,587,326 | 0.3% | |||||||||||||||
*Assurant, Inc. | 266,924 | 10,554,175 | 0.5% | |||||||||||||||
Axis Capital Holdings, Ltd. | 226,295 | 7,696,293 | 0.4% | |||||||||||||||
#*CNO Financial Group, Inc. | 1,229,638 | 6,689,231 | 0.3% | |||||||||||||||
Huntington Bancshares, Inc. | 1,239,796 | 7,029,643 | 0.3% | |||||||||||||||
#*MGIC Investment Corp. | 790,073 | 6,968,444 | 0.3% | |||||||||||||||
*NASDAQ OMX Group, Inc. (The) | 336,903 | 7,081,701 | 0.3% | |||||||||||||||
NewAlliance Bancshares, Inc. | 537,373 | 6,926,738 | 0.3% | |||||||||||||||
#*Old Republic International Corp. | 572,695 | 7,559,574 | 0.3% | |||||||||||||||
Reinsurance Group of America, Inc. | 153,401 | 7,680,788 | 0.3% | |||||||||||||||
Transatlantic Holdings, Inc. | 140,003 | 7,364,158 | 0.3% | |||||||||||||||
Validus Holdings, Ltd. | 239,615 | 6,795,481 | 0.3% | |||||||||||||||
Webster Financial Corp. | 409,887 | 7,017,265 | 0.3% | |||||||||||||||
Other Securities | 446,116,765 | 19.7% | ||||||||||||||||
Total Financials | 550,540,900 | 24.2% | ||||||||||||||||
Health Care — (6.4%) | ||||||||||||||||||
*Coventry Health Care, Inc. | 317,536 | 7,436,693 | 0.3% | |||||||||||||||
*HealthSpring, Inc. | 272,795 | 7,962,886 | 0.3% | |||||||||||||||
*Hologic, Inc. | 465,750 | 7,461,315 | 0.3% | |||||||||||||||
*King Pharmaceuticals, Inc. | 596,470 | 8,434,086 | 0.4% | |||||||||||||||
Other Securities | 133,194,710 | 5.9% | ||||||||||||||||
Total Health Care | 164,489,690 | 7.2% | ||||||||||||||||
Industrials — (13.8%) | ||||||||||||||||||
*Amerco, Inc. | 85,436 | 7,033,092 | 0.3% |
37
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||
Industrials — (Continued) | ||||||||||||||||||
#*Avis Budget Group, Inc. | 578,582 | $ | 6,717,337 | 0.3% | ||||||||||||||
*Esterline Technologies Corp. | 120,884 | 7,306,229 | 0.3% | |||||||||||||||
*Owens Corning, Inc. | 282,473 | 7,638,070 | 0.3% | |||||||||||||||
#Triumph Group, Inc. | 80,276 | 6,710,271 | 0.3% | |||||||||||||||
Other Securities | 321,395,397 | 14.2% | ||||||||||||||||
Total Industrials | 356,800,396 | 15.7% | ||||||||||||||||
Information Technology — (12.1%) | ||||||||||||||||||
*Arrow Electronics, Inc. | 242,217 | 7,172,045 | 0.3% | |||||||||||||||
*CACI International, Inc. | 144,521 | 7,243,393 | 0.4% | |||||||||||||||
*IAC/InterActiveCorp | 329,849 | 9,202,787 | 0.4% | |||||||||||||||
*Ingram Micro, Inc. | 396,212 | 6,997,104 | 0.3% | |||||||||||||||
*International Rectifier Corp. | 300,671 | 6,984,587 | 0.3% | |||||||||||||||
*Tech Data Corp. | 261,278 | 11,232,341 | 0.5% | |||||||||||||||
Other Securities | 263,545,511 | 11.6% | ||||||||||||||||
Total Information Technology | 312,377,768 | 13.8% | ||||||||||||||||
Materials — (6.4%) | ||||||||||||||||||
#*Century Aluminum Co. | 556,132 | 7,518,905 | 0.3% | |||||||||||||||
*Coeur d’Alene Mines Corp. | 329,341 | 6,787,718 | 0.3% | |||||||||||||||
#Domtar Corp. | 107,587 | 8,538,104 | 0.4% | |||||||||||||||
*MeadWestavco Corp. | 376,177 | 9,679,034 | 0.4% | |||||||||||||||
Other Securities | 131,444,297 | 5.8% | ||||||||||||||||
Total Materials | 163,968,058 | 7.2% | ||||||||||||||||
Real Estate Investment Trusts — (0.0%) | ||||||||||||||||||
Other Securities | 1,365 | 0.0% | ||||||||||||||||
Telecommunication Services — (0.9%) | ||||||||||||||||||
Other Securities | 24,205,757 | 1.1% | ||||||||||||||||
Utilities — (0.3%) | ||||||||||||||||||
Other Securities | 8,749,744 | 0.4% | ||||||||||||||||
TOTAL COMMON STOCKS | 2,258,774,547 | 99.4% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
Other Securities | 24,271 | 0.0% | ||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional | 8,755,190 | 8,755,190 | 0.4% | |||||||||||||||
Shares/ Face Amount | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (12.1%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 309,281,722 | 309,281,722 | 13.6% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $1,472 | 1,472,206 | 0.1% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 310,753,928 | 13.7% | ||||||||||||||||
38
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Value† | Percentage | |||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 2,578,307,936 | 113.5% | |||||||||||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Consumer Discretionary | $ | 380,135,820 | — | — | $ | 380,135,820 | ||||||||||||||||||
Consumer Staples | 85,475,341 | — | — | 85,475,341 | ||||||||||||||||||||
Energy | 212,029,708 | — | — | 212,029,708 | ||||||||||||||||||||
Financials | 550,540,900 | — | — | 550,540,900 | ||||||||||||||||||||
Health Care | 164,489,690 | — | — | 164,489,690 | ||||||||||||||||||||
Industrials | 356,800,396 | — | — | 356,800,396 | ||||||||||||||||||||
Information Technology | 312,377,768 | — | — | 312,377,768 | ||||||||||||||||||||
Materials | 163,968,058 | — | — | 163,968,058 | ||||||||||||||||||||
Real Estate Investment Trusts | 1,365 | — | — | 1,365 | ||||||||||||||||||||
Telecommunication Services | 24,205,757 | — | — | 24,205,757 | ||||||||||||||||||||
Utilities | 8,749,744 | — | — | 8,749,744 | ||||||||||||||||||||
Rights/Warrants | 3,280 | $ | 20,991 | — | 24,271 | |||||||||||||||||||
Temporary Cash Investments | 8,755,190 | — | — | 8,755,190 | ||||||||||||||||||||
Securities Lending Collateral | — | 310,753,928 | — | 310,753,928 | ||||||||||||||||||||
TOTAL | $ | 2,267,533,017 | $ | 310,774,919 | — | $ | 2,578,307,936 | |||||||||||||||||
See accompanying Notes to Financial Statements.
39
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||
COMMON STOCKS — (83.3%) | ||||||||||||||||||
Consumer Discretionary — (15.1%) | ||||||||||||||||||
#American Greetings Corp. Class A | 1,790,470 | $ | 34,681,404 | 0.5% | ||||||||||||||
#*Cabela’s, Inc. | 1,668,902 | 30,941,443 | 0.5% | |||||||||||||||
#Dillard’s, Inc. | 1,637,833 | 41,781,120 | 0.6% | |||||||||||||||
#*Gaylord Entertainment Co. | 1,237,351 | 41,253,282 | 0.6% | |||||||||||||||
#Regis Corp. | 1,509,892 | 30,877,291 | 0.5% | |||||||||||||||
#Rent-A-Center, Inc. | 1,421,975 | 35,748,452 | 0.6% | |||||||||||||||
#*Saks, Inc. | 3,665,122 | 40,829,459 | 0.6% | |||||||||||||||
#Scholastic Corp. | 1,528,917 | 45,026,606 | 0.7% | |||||||||||||||
Other Securities | 883,267,605 | 13.5% | ||||||||||||||||
Total Consumer Discretionary | 1,184,406,662 | 18.1% | ||||||||||||||||
Consumer Staples — (2.3%) | ||||||||||||||||||
#*Hain Celestial Group, Inc. | 1,311,686 | 32,437,995 | 0.5% | |||||||||||||||
Other Securities | 150,451,307 | 2.3% | ||||||||||||||||
Total Consumer Staples | 182,889,302 | 2.8% | ||||||||||||||||
Energy — (7.9%) | ||||||||||||||||||
#*Bill Barrett Corp. | 771,988 | 29,142,547 | 0.4% | |||||||||||||||
*Bristow Group, Inc. | 988,619 | 38,338,645 | 0.6% | |||||||||||||||
*Complete Production Services, Inc. | 1,866,574 | 43,733,829 | 0.7% | |||||||||||||||
#*Exterran Holdings, Inc. | 1,695,768 | 42,682,481 | 0.6% | |||||||||||||||
#*Helix Energy Solutions Group, Inc. | 2,356,839 | 29,908,287 | 0.5% | |||||||||||||||
*SEACOR Holdings, Inc. | 362,962 | 34,390,650 | 0.5% | |||||||||||||||
Other Securities | 399,425,547 | 6.1% | ||||||||||||||||
Total Energy | 617,621,986 | 9.4% | ||||||||||||||||
Financials — (18.7%) | ||||||||||||||||||
#*American Capital, Ltd. | 5,159,435 | 36,012,856 | 0.5% | |||||||||||||||
#Argo Group International Holdings, Ltd. | 904,866 | 31,389,802 | 0.5% | |||||||||||||||
#*CNO Financial Group, Inc. | 6,668,947 | 36,279,072 | 0.6% | |||||||||||||||
#Delphi Financial Group, Inc. Class A | 1,223,115 | 33,109,723 | 0.5% | |||||||||||||||
Infinity Property & Casualty Corp. | 561,746 | 29,070,356 | 0.4% | |||||||||||||||
#*MBIA, Inc. | 3,747,338 | 42,007,659 | 0.6% | |||||||||||||||
#Montpelier Re Holdings, Ltd. | 1,843,926 | 33,780,724 | 0.5% | |||||||||||||||
#NewAlliance Bancshares, Inc. | 3,319,504 | 42,788,407 | 0.7% | |||||||||||||||
#*PHH Corp. | 1,726,823 | 33,275,879 | 0.5% | |||||||||||||||
Provident Financial Services, Inc. | 2,445,306 | 30,908,668 | 0.5% | |||||||||||||||
Selective Insurance Group, Inc. | 1,870,559 | 31,649,858 | 0.5% | |||||||||||||||
Unitrin, Inc. | 1,271,106 | 30,887,876 | 0.5% | |||||||||||||||
#Webster Financial Corp. | 1,883,421 | 32,244,168 | 0.5% | |||||||||||||||
Other Securities | 1,023,500,270 | 15.6% | ||||||||||||||||
Total Financials | 1,466,905,318 | 22.4% | ||||||||||||||||
Health Care — (5.2%) | ||||||||||||||||||
#Cooper Cos., Inc. | 785,704 | 38,766,635 | 0.6% | |||||||||||||||
#*LifePoint Hospitals, Inc. | 1,678,385 | 56,930,819 | 0.9% | |||||||||||||||
#*Viropharma, Inc. | 1,764,650 | 28,869,674 | 0.4% | |||||||||||||||
Other Securities | 282,285,388 | 4.3% | ||||||||||||||||
Total Health Care | 406,852,516 | 6.2% | ||||||||||||||||
Industrials — (15.9%) | ||||||||||||||||||
#*Alaska Air Group, Inc. | 578,278 | 30,533,078 | 0.5% | |||||||||||||||
#Alexander & Baldwin, Inc. | 1,120,063 | 38,563,769 | 0.6% | |||||||||||||||
#Applied Industrial Technologies, Inc. | 1,145,140 | 34,823,707 | 0.5% | |||||||||||||||
#*Avis Budget Group, Inc. | 2,674,250 | 31,048,042 | 0.5% | |||||||||||||||
*Esterline Technologies Corp. | 1,023,870 | 61,882,703 | 1.0% |
40
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||
Industrials — (Continued) | ||||||||||||||||||
#GATX Corp. | 1,408,389 | $ | 44,589,596 | 0.7% | ||||||||||||||
Seaboard Corp. | 18,999 | 35,225,096 | 0.5% | |||||||||||||||
#Trinity Industries, Inc. | 1,827,519 | 41,539,507 | 0.6% | |||||||||||||||
#Triumph Group, Inc. | 370,549 | 30,974,191 | 0.5% | |||||||||||||||
Other Securities | 893,979,601 | 13.6% | ||||||||||||||||
Total Industrials | 1,243,159,290 | 19.0% | ||||||||||||||||
Information Technology — (12.0%) | ||||||||||||||||||
#*Benchmark Electronics, Inc. | 2,751,881 | 45,213,405 | 0.7% | |||||||||||||||
*Coherent, Inc. | 922,025 | 38,688,169 | 0.6% | |||||||||||||||
#*Convergys Corp. | 2,539,149 | 28,743,167 | 0.4% | |||||||||||||||
*Fairchild Semiconductor International, Inc. | 3,188,035 | 35,929,154 | 0.5% | |||||||||||||||
*MKS Instruments, Inc. | 1,795,829 | 37,083,869 | 0.6% | |||||||||||||||
*Skyworks Solutions, Inc. | 1,385,062 | 31,731,770 | 0.5% | |||||||||||||||
#*Vishay Intertechnology, Inc. | 3,162,160 | 35,732,408 | 0.5% | |||||||||||||||
Other Securities | 681,581,848 | 10.4% | ||||||||||||||||
Total Information Technology | 934,703,790 | 14.2% | ||||||||||||||||
Materials — (5.9%) | ||||||||||||||||||
#*Coeur d’Alene Mines Corp. | 1,885,714 | 38,864,566 | 0.6% | |||||||||||||||
#*PolyOne Corp. | 2,698,136 | 34,859,917 | 0.5% | |||||||||||||||
#Westlake Chemical Corp. | 1,654,024 | 52,862,607 | 0.8% | |||||||||||||||
Other Securities | 332,640,018 | 5.1% | ||||||||||||||||
Total Materials | 459,227,108 | 7.0% | ||||||||||||||||
Other — (0.0%) | ||||||||||||||||||
Other Securities | 6,633 | 0.0% | ||||||||||||||||
Real Estate Investment Trusts — (0.0%) | ||||||||||||||||||
Other Securities | 3,209 | 0.0% | ||||||||||||||||
Telecommunication Services — (0.2%) | ||||||||||||||||||
Other Securities | 17,633,165 | 0.3% | ||||||||||||||||
Utilities — (0.1%) | ||||||||||||||||||
Other Securities | 8,839,028 | 0.1% | ||||||||||||||||
TOTAL COMMON STOCKS | 6,522,248,007 | 99.5% | ||||||||||||||||
RIGHTS/WARRANTS — (0.1%) | ||||||||||||||||||
Other Securities | 3,401,796 | 0.0% | ||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional | 25,558,555 | 25,558,555 | 0.4% | |||||||||||||||
Shares/ Face Amount | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (16.3%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 1,268,888,448 | 1,268,888,448 | 19.4% |
41
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares/ | Value† | Percentage | ||||||||||||||||
(000) | ||||||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $7,731 | $ | 7,730,903 | 0.1% | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 1,276,619,351 | 19.5% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 7,827,827,709 | 119.4% | |||||||||||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Consumer Discretionary | $ | 1,184,406,662 | — | — | $ | 1,184,406,662 | ||||||||||||||||||
Consumer Staples | 182,889,302 | — | — | 182,889,302 | ||||||||||||||||||||
Energy | 617,621,986 | — | — | 617,621,986 | ||||||||||||||||||||
Financials | 1,466,905,318 | — | — | 1,466,905,318 | ||||||||||||||||||||
Health Care | 406,115,618 | $ | 736,898 | — | 406,852,516 | |||||||||||||||||||
Industrials | 1,243,159,290 | — | — | 1,243,159,290 | ||||||||||||||||||||
Information Technology | 934,703,790 | — | — | 934,703,790 | ||||||||||||||||||||
Materials | 459,227,108 | — | — | 459,227,108 | ||||||||||||||||||||
Other | — | 6,633 | — | 6,633 | ||||||||||||||||||||
Real Estate Investment Trusts | 3,209 | — | — | 3,209 | ||||||||||||||||||||
Telecommunication Services | 17,633,165 | — | — | 17,633,165 | ||||||||||||||||||||
Utilities | 8,839,028 | — | — | 8,839,028 | ||||||||||||||||||||
Rights/Warrants | 27,367 | 3,374,429 | — | 3,401,796 | ||||||||||||||||||||
Temporary Cash Investments | 25,558,555 | — | — | 25,558,555 | ||||||||||||||||||||
Securities Lending Collateral | — | 1,276,619,351 | — | 1,276,619,351 | ||||||||||||||||||||
TOTAL | $ | 6,547,090,398 | $ | 1,280,737,311 | — | $ | 7,827,827,709 | |||||||||||||||||
See accompanying Notes to Financial Statements.
42
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||
COMMON STOCKS — (90.3%) | ||||||||||||||||||
Consumer Discretionary — (12.5%) | ||||||||||||||||||
*Amazon.com, Inc. | 55,780 | $ | 9,211,509 | 0.3% | ||||||||||||||
*Comcast Corp. Class A | 417,209 | 8,586,161 | 0.3% | |||||||||||||||
*DIRECTV Class A | 220,510 | 9,583,365 | 0.3% | |||||||||||||||
#*Las Vegas Sands Corp. | 176,285 | 8,087,956 | 0.3% | |||||||||||||||
*McDonald’s Corp. | 138,676 | 10,784,833 | 0.4% | |||||||||||||||
*Time Warner, Inc. | 220,816 | 7,178,728 | 0.3% | |||||||||||||||
Walt Disney Co. (The) | 356,203 | 12,862,490 | 0.4% | |||||||||||||||
Other Securities | 333,494,859 | 11.5% | ||||||||||||||||
Total Consumer Discretionary | 399,789,901 | 13.8% | ||||||||||||||||
Consumer Staples — (7.6%) | ||||||||||||||||||
Coca-Cola Co. (The) | 279,300 | 17,126,676 | 0.6% | |||||||||||||||
*CVS Caremark Corp. | 273,950 | 8,251,374 | 0.3% | |||||||||||||||
Kraft Foods, Inc. | 328,406 | 10,597,662 | 0.4% | |||||||||||||||
*PepsiCo, Inc. | 223,192 | 14,574,438 | 0.5% | |||||||||||||||
Philip Morris International, Inc. | 255,696 | 14,958,216 | 0.5% | |||||||||||||||
*Procter & Gamble Co. (The) | 373,178 | 23,722,925 | 0.8% | |||||||||||||||
*Wal-Mart Stores, Inc. | 499,081 | 27,035,218 | 0.9% | |||||||||||||||
Other Securities | 126,341,381 | 4.4% | ||||||||||||||||
Total Consumer Staples | 242,607,890 | 8.4% | ||||||||||||||||
Energy — (8.6%) | ||||||||||||||||||
*Apache Corp. | 67,655 | 6,834,508 | 0.3% | |||||||||||||||
*Chevron Corp. | 383,192 | 31,655,491 | 1.1% | |||||||||||||||
*ConocoPhillips | 284,161 | 16,879,163 | 0.6% | |||||||||||||||
*Exxon Mobil Corp. | 580,228 | 38,567,755 | 1.3% | |||||||||||||||
Occidental Petroleum Corp. | 108,874 | 8,560,763 | 0.3% | |||||||||||||||
*Schlumberger, Ltd. | 204,389 | 14,284,747 | 0.5% | |||||||||||||||
Other Securities | 159,468,862 | 5.5% | ||||||||||||||||
Total Energy | 276,251,289 | 9.6% | ||||||||||||||||
Financials — (14.4%) | ||||||||||||||||||
*American Express Co. | 170,473 | 7,067,811 | 0.3% | |||||||||||||||
*Bank of America Corp. | 1,763,982 | 20,179,954 | 0.7% | |||||||||||||||
*Berkshire Hathaway, Inc. | 103,135 | 8,205,421 | 0.3% | |||||||||||||||
*Citigroup, Inc. | 3,746,359 | 15,622,317 | 0.5% | |||||||||||||||
*Goldman Sachs Group, Inc. (The) | 94,871 | 15,269,487 | 0.5% | |||||||||||||||
*JPMorgan Chase & Co. | 800,949 | 30,139,711 | 1.0% | |||||||||||||||
U.S. Bancorp | 332,743 | 8,045,726 | 0.3% | |||||||||||||||
*Wells Fargo & Co. | 948,438 | 24,735,263 | 0.9% | |||||||||||||||
Other Securities | 331,025,321 | 11.4% | ||||||||||||||||
Total Financials | 460,291,011 | 15.9% | ||||||||||||||||
Health Care — (9.7%) | ||||||||||||||||||
*Abbott Laboratories | 193,928 | 9,952,385 | 0.3% | |||||||||||||||
*Amgen, Inc. | 134,636 | 7,699,833 | 0.3% | |||||||||||||||
*Johnson & Johnson | 341,549 | 21,746,425 | 0.8% | |||||||||||||||
Merck & Co., Inc. | 447,113 | 16,221,260 | 0.6% | |||||||||||||||
*Pfizer, Inc. | 1,354,471 | 23,567,795 | 0.8% | |||||||||||||||
UnitedHealth Group, Inc. | 220,401 | 7,945,456 | 0.3% | |||||||||||||||
Other Securities | 224,074,770 | 7.7% | ||||||||||||||||
Total Health Care | 311,207,924 | 10.8% | ||||||||||||||||
Industrials — (11.6%) | ||||||||||||||||||
*3M Co. | 90,402 | 7,613,656 | 0.3% | |||||||||||||||
General Electric Co. | 2,071,642 | 33,187,705 | 1.1% |
43
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||
Industrials — (Continued) | ||||||||||||||||||
*Union Pacific Corp. | 97,021 | $ | 8,506,801 | 0.3% | ||||||||||||||
*United Parcel Service, Inc. | 106,196 | 7,151,239 | 0.2% | |||||||||||||||
*United Technologies Corp. | 110,065 | 8,229,560 | 0.3% | |||||||||||||||
Other Securities | 306,633,204 | 10.6% | ||||||||||||||||
Total Industrials | 371,322,165 | 12.8% | ||||||||||||||||
Information Technology — (15.4%) | ||||||||||||||||||
*Apple, Inc. | 115,795 | 34,839,242 | 1.2% | |||||||||||||||
*Cisco Sytems, Inc. | 718,867 | 16,411,734 | 0.6% | |||||||||||||||
*Google, Inc. | 30,334 | 18,594,439 | 0.6% | |||||||||||||||
Hewlett-Packard Co. | 291,252 | 12,250,059 | 0.4% | |||||||||||||||
*Intel Corp. | 835,086 | 16,760,176 | 0.6% | |||||||||||||||
*International Business Machines Corp. | 179,066 | 25,713,878 | 0.9% | |||||||||||||||
*Microsoft Corp. | 1,056,293 | 28,139,646 | 1.0% | |||||||||||||||
*Oracle Corp. | 595,998 | 17,522,341 | 0.6% | |||||||||||||||
*QUALCOMM, Inc. | 206,260 | 9,308,514 | 0.3% | |||||||||||||||
Other Securities | 313,542,834 | 10.8% | ||||||||||||||||
Total Information Technology | 493,082,863 | 17.0% | ||||||||||||||||
Materials — (4.6%) | ||||||||||||||||||
Other Securities | 148,561,083 | 5.1% | ||||||||||||||||
Other — (0.0%) | ||||||||||||||||||
Other Securities | — | 0.0% | ||||||||||||||||
Telecommunication Services — (2.6%) | ||||||||||||||||||
*AT&T, Inc. | 1,184,233 | 33,750,640 | 1.2% | |||||||||||||||
*Verizon Communications, Inc. | 551,929 | 17,921,135 | 0.6% | |||||||||||||||
Other Securities | 30,177,431 | 1.0% | ||||||||||||||||
Total Telecommunication Services | 81,849,206 | 2.8% | ||||||||||||||||
Utilities — (3.3%) | ||||||||||||||||||
Other Securities | 104,762,133 | 3.6% | ||||||||||||||||
TOTAL COMMON STOCKS | 2,889,725,465 | 99.8% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
Other Securities | 117,771 | 0.0% | ||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.4%) | ||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional | 12,290,881 | 12,290,881 | 0.4% | |||||||||||||||
Shares/ | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (9.3%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 297,544,923 | 297,544,923 | 10.3% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $1,416 | 1,416,338 | 0.0% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 298,961,261 | 10.3% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 3,201,095,378 | 110.5% | |||||||||||||||
44
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Consumer Discretionary | $ | 399,789,901 | — | — | $ | 399,789,901 | ||||||||||||||||||
Consumer Staples | 242,607,890 | — | — | 242,607,890 | ||||||||||||||||||||
Energy | 276,251,289 | — | — | 276,251,289 | ||||||||||||||||||||
Financials | 460,291,011 | — | — | 460,291,011 | ||||||||||||||||||||
Health Care | 311,181,347 | $ | 26,577 | — | 311,207,924 | |||||||||||||||||||
Industrials | 371,322,165 | — | — | 371,322,165 | ||||||||||||||||||||
Information Technology | 493,082,863 | — | — | 493,082,863 | ||||||||||||||||||||
Materials | 148,561,083 | — | — | 148,561,083 | ||||||||||||||||||||
Other | — | — | — | — | ||||||||||||||||||||
Telecommunication Services | 81,849,206 | — | — | 81,849,206 | ||||||||||||||||||||
Utilities | 104,762,133 | — | — | 104,762,133 | ||||||||||||||||||||
Rights/Warrants | 77,961 | 39,810 | — | 117,771 | ||||||||||||||||||||
Temporary Cash Investments | 12,290,881 | — | — | 12,290,881 | ||||||||||||||||||||
Securities Lending Collateral | — | 298,961,261 | — | 298,961,261 | ||||||||||||||||||||
TOTAL | $ | 2,902,067,730 | $ | 299,027,648 | — | $ | 3,201,095,378 | |||||||||||||||||
See accompanying Notes to Financial Statements.
45
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||
COMMON STOCKS — (89.6%) | ||||||||||||||||||
Consumer Discretionary — (13.3%) | ||||||||||||||||||
*Carnival Corp. | 264,200 | $ | 11,405,514 | 0.2% | ||||||||||||||
*Comcast Corp. Class A | 904,003 | 18,604,382 | 0.4% | |||||||||||||||
#*Las Vegas Sands Corp. | 255,567 | 11,725,414 | 0.2% | |||||||||||||||
*Lowe’s Cos., Inc. | 606,612 | 12,939,034 | 0.3% | |||||||||||||||
*Time Warner, Inc. | 505,637 | 16,438,259 | 0.3% | |||||||||||||||
Walt Disney Co. (The) | 796,924 | 28,776,926 | 0.6% | |||||||||||||||
Other Securities | 639,482,590 | 12.8% | ||||||||||||||||
Total Consumer Discretionary | 739,372,119 | 14.8% | ||||||||||||||||
Consumer Staples — (6.1%) | ||||||||||||||||||
*CVS Caremark Corp. | 598,385 | 18,023,356 | 0.3% | |||||||||||||||
Kraft Foods, Inc. | 727,689 | 23,482,524 | 0.5% | |||||||||||||||
*PepsiCo, Inc. | 187,890 | 12,269,217 | 0.2% | |||||||||||||||
*Procter & Gamble Co. (The) | 601,231 | 38,220,255 | 0.8% | |||||||||||||||
*Wal-Mart Stores, Inc. | 488,942 | 26,485,988 | 0.5% | |||||||||||||||
Other Securities | 218,107,947 | 4.4% | ||||||||||||||||
Total Consumer Staples | 336,589,287 | 6.7% | ||||||||||||||||
Energy — (9.0%) | ||||||||||||||||||
*Anadarko Petroleum Corp. | 217,215 | 13,373,928 | 0.3% | |||||||||||||||
*Apache Corp. | 148,901 | 15,041,979 | 0.3% | |||||||||||||||
*Chevron Corp. | 812,565 | 67,125,995 | 1.4% | |||||||||||||||
*ConocoPhillips | 621,821 | 36,936,167 | 0.7% | |||||||||||||||
Devon Energy Corp. | 175,348 | 11,401,127 | 0.2% | |||||||||||||||
*Exxon Mobil Corp. | 696,027 | 46,264,915 | 0.9% | |||||||||||||||
Occidental Petroleum Corp. | 169,128 | 13,298,535 | 0.3% | |||||||||||||||
*Schlumberger, Ltd. | 239,531 | 16,740,822 | 0.3% | |||||||||||||||
Other Securities | 280,941,549 | 5.6% | ||||||||||||||||
Total Energy | 501,125,017 | 10.0% | ||||||||||||||||
Financials — (16.9%) | ||||||||||||||||||
*Bank of America Corp. | 4,072,969 | 46,594,765 | 0.9% | |||||||||||||||
*Bank of New York Mellon Corp. (The) | 500,557 | 12,543,958 | 0.3% | |||||||||||||||
*Citigroup, Inc. | 4,374,919 | 18,243,412 | 0.4% | |||||||||||||||
*Goldman Sachs Group, Inc. (The) | 206,417 | 33,222,816 | 0.7% | |||||||||||||||
*JPMorgan Chase & Co. | 1,758,487 | 66,171,866 | 1.3% | |||||||||||||||
*MetLife, Inc. | 377,097 | 15,208,322 | 0.3% | |||||||||||||||
*Morgan Stanley | 560,059 | 13,928,667 | 0.3% | |||||||||||||||
*PNC Financial Services Group, Inc. | 230,384 | 12,417,698 | 0.2% | |||||||||||||||
Travelers Cos., Inc. (The) | 240,418 | 13,271,074 | 0.3% | |||||||||||||||
U.S. Bancorp | 650,207 | 15,722,005 | 0.3% | |||||||||||||||
*Wells Fargo & Co. | 2,251,097 | 58,708,610 | 1.2% | |||||||||||||||
Other Securities | 630,477,892 | 12.6% | ||||||||||||||||
Total Financials | 936,511,085 | 18.8% | ||||||||||||||||
Health Care — (8.9%) | ||||||||||||||||||
*Johnson & Johnson | 312,579 | 19,901,905 | 0.4% | |||||||||||||||
Merck & Co., Inc. | 518,887 | 18,825,220 | 0.4% | |||||||||||||||
*Pfizer, Inc. | 2,383,245 | 41,468,463 | 0.8% | |||||||||||||||
UnitedHealth Group, Inc. | 491,713 | 17,726,254 | 0.3% | |||||||||||||||
*WellPoint, Inc. | 211,328 | 11,483,564 | 0.2% | |||||||||||||||
Other Securities | 387,121,797 | 7.8% | ||||||||||||||||
Total Health Care | 496,527,203 | 9.9% | ||||||||||||||||
Industrials — (12.5%) | ||||||||||||||||||
FedEx Corp. | 133,279 | 11,691,234 | 0.3% |
46
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||
Industrials — (Continued) | ||||||||||||||||||
General Electric Co. | 4,451,556 | $ | 71,313,927 | 1.4% | ||||||||||||||
*Union Pacific Corp. | 215,752 | 18,917,135 | 0.4% | |||||||||||||||
Other Securities | 590,031,866 | 11.8% | ||||||||||||||||
Total Industrials | 691,954,162 | 13.9% | ||||||||||||||||
Information Technology — (13.0%) | ||||||||||||||||||
*Apple, Inc. | 73,982 | 22,258,964 | 0.4% | |||||||||||||||
*Cisco Sytems, Inc. | 644,418 | 14,712,063 | 0.3% | |||||||||||||||
*Corning, Inc. | 657,240 | 12,014,347 | 0.2% | |||||||||||||||
*Google, Inc. | 21,286 | 13,048,105 | 0.3% | |||||||||||||||
Hewlett-Packard Co. | 462,271 | 19,443,118 | 0.4% | |||||||||||||||
*Intel Corp. | 1,078,333 | 21,642,143 | 0.4% | |||||||||||||||
*International Business Machines Corp. | 92,663 | 13,306,407 | 0.3% | |||||||||||||||
*Microsoft Corp. | 730,054 | 19,448,639 | 0.4% | |||||||||||||||
*Oracle Corp. | 457,669 | 13,455,469 | 0.3% | |||||||||||||||
Other Securities | 574,882,008 | 11.5% | ||||||||||||||||
Total Information Technology | 724,211,263 | 14.5% | ||||||||||||||||
Materials — (4.8%) | ||||||||||||||||||
Dow Chemical Co. (The) | 440,886 | 13,592,515 | 0.3% | |||||||||||||||
Other Securities | 253,873,693 | 5.1% | ||||||||||||||||
Total Materials | 267,466,208 | 5.4% | ||||||||||||||||
Other — (0.0%) | ||||||||||||||||||
Other Securities | — | 0.0% | ||||||||||||||||
Telecommunication Services — (2.9%) | ||||||||||||||||||
*AT&T, Inc. | 2,480,137 | 70,683,904 | 1.4% | |||||||||||||||
*Verizon Communications, Inc. | 1,203,470 | 39,076,671 | 0.8% | |||||||||||||||
Other Securities | 50,508,774 | 1.0% | ||||||||||||||||
Total Telecommunication Services | 160,269,349 | 3.2% | ||||||||||||||||
Utilities — (2.2%) | ||||||||||||||||||
Other Securities | 123,441,800 | 2.5% | ||||||||||||||||
TOTAL COMMON STOCKS | 4,977,467,493 | 99.7% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
Other Securities | 286,332 | 0.0% | ||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.4%) | ||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional | 22,248,086 | 22,248,086 | 0.5% | |||||||||||||||
Shares/ Face Amount | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (10.0%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 555,577,546 | 555,577,546 | 11.1% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $2,645 | 2,644,594 | 0.1% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 558,222,140 | 11.2% | ||||||||||||||||
47
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Value† | Percentage | |||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 5,558,224,051 | 111.4% | |||||||||||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Consumer Discretionary | $ | 739,372,119 | — | — | $ | 739,372,119 | ||||||||||||||||||
Consumer Staples | 336,589,287 | — | — | 336,589,287 | ||||||||||||||||||||
Energy | 501,125,017 | — | — | 501,125,017 | ||||||||||||||||||||
Financials | 936,511,085 | — | — | 936,511,085 | ||||||||||||||||||||
Health Care | 496,455,584 | $ | 71,619 | — | 496,527,203 | |||||||||||||||||||
Industrials | 691,954,162 | — | — | 691,954,162 | ||||||||||||||||||||
Information Technology | 724,211,263 | — | — | 724,211,263 | ||||||||||||||||||||
Materials | 267,466,208 | — | — | 267,466,208 | ||||||||||||||||||||
Other | — | — | — | — | ||||||||||||||||||||
Telecommunication Services | 160,269,349 | — | — | 160,269,349 | ||||||||||||||||||||
Utilities | 123,441,800 | — | — | 123,441,800 | ||||||||||||||||||||
Rights/Warrants | 93,586 | 192,746 | — | 286,332 | ||||||||||||||||||||
Temporary Cash Investments | 22,248,086 | — | — | 22,248,086 | ||||||||||||||||||||
Securities Lending Collateral | — | 558,222,140 | — | 558,222,140 | ||||||||||||||||||||
TOTAL | $ | 4,999,737,546 | $ | 558,486,505 | — | $ | 5,558,224,051 | |||||||||||||||||
See accompanying Notes to Financial Statements.
48
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||
COMMON STOCKS — (88.9%) | ||||||||||||||||||
Consumer Discretionary — (13.9%) | ||||||||||||||||||
CBS Corp. Class B | 210,809 | $ | 3,568,996 | 0.2% | ||||||||||||||
*Comcast Corp. Class A | 298,194 | 6,136,833 | 0.4% | |||||||||||||||
*Liberty Media Corp. Capital Class A | 92,738 | 5,336,145 | 0.3% | |||||||||||||||
*Liberty Media Corp. Interactive Class A | 272,051 | 4,015,473 | 0.3% | |||||||||||||||
#*Royal Caribbean Cruises, Ltd. | 98,862 | 3,909,003 | 0.3% | |||||||||||||||
*Time Warner Cable, Inc. | 58,725 | 3,398,416 | 0.2% | |||||||||||||||
*Time Warner, Inc. | 198,927 | 6,467,117 | 0.4% | |||||||||||||||
*TRW Automotive Holdings Corp. | 67,909 | 3,102,762 | 0.2% | |||||||||||||||
Walt Disney Co. (The) | 123,724 | 4,467,674 | 0.3% | |||||||||||||||
Other Securities | 202,995,940 | 13.0% | ||||||||||||||||
Total Consumer Discretionary | 243,398,359 | 15.6% | ||||||||||||||||
Consumer Staples — (4.4%) | ||||||||||||||||||
*CVS Caremark Corp. | 122,606 | 3,692,893 | 0.2% | |||||||||||||||
Kraft Foods, Inc. | 126,206 | 4,072,668 | 0.3% | |||||||||||||||
*Procter & Gamble Co. (The) | 88,050 | 5,597,338 | 0.4% | |||||||||||||||
Other Securities | 62,874,305 | 4.0% | ||||||||||||||||
Total Consumer Staples | 76,237,204 | 4.9% | ||||||||||||||||
Energy — (8.8%) | ||||||||||||||||||
*Anadarko Petroleum Corp. | 62,467 | 3,846,093 | 0.2% | |||||||||||||||
*Chevron Corp. | 90,436 | 7,470,918 | 0.5% | |||||||||||||||
*ConocoPhillips | 197,546 | 11,734,232 | 0.8% | |||||||||||||||
*Exxon Mobil Corp. | 160,805 | 10,688,708 | 0.7% | |||||||||||||||
*Marathon Oil Corp. | 94,908 | 3,375,878 | 0.2% | |||||||||||||||
Pioneer Natural Resources Co. | 54,700 | 3,818,060 | 0.2% | |||||||||||||||
Other Securities | 112,156,169 | 7.2% | ||||||||||||||||
Total Energy | 153,090,058 | 9.8% | ||||||||||||||||
Financials — (21.5%) | ||||||||||||||||||
American Financial Group, Inc. | 129,237 | 3,952,067 | 0.3% | |||||||||||||||
*Bank of America Corp. | 1,228,804 | 14,057,518 | 0.9% | |||||||||||||||
*Bank of New York Mellon Corp. (The) | 140,071 | 3,510,179 | 0.2% | |||||||||||||||
*Citigroup, Inc. | 1,106,727 | 4,615,052 | 0.3% | |||||||||||||||
#*CNA Financial Corp. | 129,608 | 3,592,734 | 0.2% | |||||||||||||||
Fifth Third Bancorp | 366,564 | 4,604,044 | 0.3% | |||||||||||||||
*Goldman Sachs Group, Inc. (The) | 33,688 | 5,422,084 | 0.4% | |||||||||||||||
*JPMorgan Chase & Co. | 539,281 | 20,293,144 | 1.3% | |||||||||||||||
*KeyCorp | 405,203 | 3,318,613 | 0.2% | |||||||||||||||
*Lincoln National Corp. | 151,070 | 3,698,194 | 0.2% | |||||||||||||||
#*M&T Bank Corp. | 50,301 | 3,760,000 | 0.2% | |||||||||||||||
*MetLife, Inc. | 106,708 | 4,303,534 | 0.3% | |||||||||||||||
*Morgan Stanley | 152,390 | 3,789,939 | 0.3% | |||||||||||||||
NYSE Euronext, Inc. | 116,858 | 3,580,529 | 0.2% | |||||||||||||||
#*Principal Financial Group, Inc. | 146,833 | 3,940,998 | 0.3% | |||||||||||||||
Regions Financial Corp. | 574,455 | 3,619,066 | 0.2% | |||||||||||||||
Travelers Cos., Inc. (The) | 73,100 | 4,035,120 | 0.3% | |||||||||||||||
*Unum Group | 203,475 | 4,561,910 | 0.3% | |||||||||||||||
*Wells Fargo & Co. | 359,913 | 9,386,531 | 0.6% | |||||||||||||||
Other Securities | 268,550,262 | 17.2% | ||||||||||||||||
Total Financials | 376,591,518 | 24.2% | ||||||||||||||||
Health Care — (7.5%) | ||||||||||||||||||
*King Pharmaceuticals, Inc. | 239,100 | 3,380,874 | 0.2% | |||||||||||||||
*Pfizer, Inc. | 368,206 | 6,406,784 | 0.4% | |||||||||||||||
*WellPoint, Inc. | 62,400 | 3,390,816 | 0.2% |
49
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||
Health Care — (Continued) | ||||||||||||||||||
Other Securities | $ | 117,901,388 | 7.6% | |||||||||||||||
Total Health Care | 131,079,862 | 8.4% | ||||||||||||||||
Industrials — (12.4%) | ||||||||||||||||||
General Electric Co. | 601,020 | 9,628,340 | 0.6% | |||||||||||||||
Timken Co. | 88,398 | 3,661,445 | 0.3% | |||||||||||||||
*Union Pacific Corp. | 38,880 | 3,408,998 | 0.2% | |||||||||||||||
Other Securities | 199,891,678 | 12.8% | ||||||||||||||||
Total Industrials | 216,590,461 | 13.9% | ||||||||||||||||
Information Technology — (11.8%) | ||||||||||||||||||
*IAC/InterActiveCorp. | 143,788 | 4,011,685 | 0.3% | |||||||||||||||
*Intel Corp. | 176,424 | 3,540,830 | 0.2% | |||||||||||||||
*Sandisk Corp. | 90,011 | 3,382,613 | 0.2% | |||||||||||||||
Other Securities | 194,533,354 | 12.5% | ||||||||||||||||
Total Information Technology | 205,468,482 | 13.2% | ||||||||||||||||
Materials — (5.1%) | ||||||||||||||||||
*International Paper Co. | 129,026 | 3,261,777 | 0.2% | |||||||||||||||
*MeadWestavco Corp. | 151,161 | 3,889,373 | 0.2% | |||||||||||||||
Other Securities | 82,127,578 | 5.3% | ||||||||||||||||
Total Materials | 89,278,728 | 5.7% | ||||||||||||||||
Other — (0.0%) | ||||||||||||||||||
Other Securities | — | 0.0% | ||||||||||||||||
Telecommunication Services — (2.2%) | ||||||||||||||||||
*AT&T, Inc. | 631,080 | 17,985,780 | 1.1% | |||||||||||||||
*Verizon Communications, Inc. | 194,288 | 6,308,531 | 0.4% | |||||||||||||||
Other Securities | 15,124,874 | 1.0% | ||||||||||||||||
Total Telecommunication Services | 39,419,185 | 2.5% | ||||||||||||||||
Utilities — (1.3%) | ||||||||||||||||||
Other Securities | 22,328,035 | 1.5% | ||||||||||||||||
TOTAL COMMON STOCKS | 1,553,481,892 | 99.7% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
Other Securities | 140,705 | 0.0% | ||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional | 5,593,179 | 5,593,179 | 0.3% | |||||||||||||||
Shares/ Face | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (10.8%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 187,245,739 | 187,245,739 | 12.0% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $891 | 891,305 | 0.1% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 188,137,044 | 12.1% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||||||||||||
(Cost $1,718,900,258) | $ | 1,747,352,820 | 112.1% | |||||||||||||||
50
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Consumer Discretionary | $ | 243,398,359 | — | — | $ | 243,398,359 | ||||||||||||||||||
Consumer Staples | 76,237,204 | — | — | 76,237,204 | ||||||||||||||||||||
Energy | 153,090,058 | — | — | 153,090,058 | ||||||||||||||||||||
Financials | 376,591,518 | — | — | 376,591,518 | ||||||||||||||||||||
Health Care | 131,055,850 | $ | 24,012 | — | 131,079,862 | |||||||||||||||||||
Industrials | 216,590,461 | — | — | 216,590,461 | ||||||||||||||||||||
Information Technology | 205,468,482 | — | — | 205,468,482 | ||||||||||||||||||||
Materials | 89,278,728 | — | — | 89,278,728 | ||||||||||||||||||||
Other | — | — | — | — | ||||||||||||||||||||
Telecommunication Services | 39,419,185 | — | — | 39,419,185 | ||||||||||||||||||||
Utilities | 22,328,035 | — | — | 22,328,035 | ||||||||||||||||||||
Rights/Warrants | 25,439 | 115,266 | — | 140,705 | ||||||||||||||||||||
Temporary Cash Investments | 5,593,179 | — | — | 5,593,179 | ||||||||||||||||||||
Securities Lending Collateral | — | 188,137,044 | — | 188,137,044 | ||||||||||||||||||||
TOTAL | $ | 1,559,076,498 | $ | 188,276,322 | — | $ | 1,747,352,820 | |||||||||||||||||
See accompanying Notes to Financial Statements.
51
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||
COMMON STOCKS — (79.5%) | ||||||||||||||||||
Consumer Discretionary — (13.6%) | ||||||||||||||||||
#*Cheesecake Factory, Inc. | 184,932 | $ | 5,385,220 | 0.1% | ||||||||||||||
#*Coinstar, Inc. | 104,716 | 6,029,547 | 0.2% | |||||||||||||||
*Dana Holding Corp. | 407,323 | 5,763,620 | 0.2% | |||||||||||||||
*Deckers Outdoor Corp. | 107,700 | 6,257,370 | 0.2% | |||||||||||||||
#*Gymboree Corp. | 85,748 | 5,578,765 | 0.2% | |||||||||||||||
#*Pier 1 Imports, Inc. | 682,993 | 5,928,379 | 0.2% | |||||||||||||||
#Polaris Industries, Inc. | 124,600 | 8,857,814 | 0.3% | |||||||||||||||
#*Sally Beauty Holdings, Inc. | 492,283 | 5,991,084 | 0.2% | |||||||||||||||
#*Tenneco, Inc. | 167,225 | 5,454,880 | 0.1% | |||||||||||||||
*Ulta Salon Cosmetics & Fragrance, Inc. | 169,958 | 5,216,011 | 0.1% | |||||||||||||||
*WABCO Holdings, Inc. | 140,934 | 6,542,156 | 0.2% | |||||||||||||||
Other Securities | 508,486,043 | 15.0% | ||||||||||||||||
Total Consumer Discretionary | 575,490,889 | 17.0% | ||||||||||||||||
Consumer Staples — (2.8%) | ||||||||||||||||||
#Casey’s General Stores, Inc. | 137,677 | 5,708,088 | 0.2% | |||||||||||||||
#Nu Skin Enterprises, Inc. Class A | 180,500 | 5,523,300 | 0.1% | |||||||||||||||
Other Securities | 107,336,334 | 3.2% | ||||||||||||||||
Total Consumer Staples | 118,567,722 | 3.5% | ||||||||||||||||
Energy — (4.5%) | ||||||||||||||||||
#CARBO Ceramics, Inc. | 66,655 | 5,583,689 | 0.2% | |||||||||||||||
*Complete Production Services, Inc. | 233,321 | 5,466,711 | 0.1% | |||||||||||||||
#*Mariner Energy, Inc. | 254,423 | 6,340,221 | 0.2% | |||||||||||||||
#RPC, Inc. | 277,500 | 6,107,775 | 0.2% | |||||||||||||||
Other Securities | 166,187,732 | 4.9% | ||||||||||||||||
Total Energy | 189,686,128 | 5.6% | ||||||||||||||||
Financials — (10.7%) | ||||||||||||||||||
*American Capital, Ltd. | 882,842 | 6,162,237 | 0.2% | |||||||||||||||
CapitalSource, Inc. | 871,013 | 5,321,889 | 0.1% | |||||||||||||||
*Investors Bancorp, Inc. | 464,275 | 5,571,300 | 0.2% | |||||||||||||||
#*MBIA, Inc. | 553,569 | 6,205,508 | 0.2% | |||||||||||||||
Other Securities | 431,333,815 | 12.7% | ||||||||||||||||
Total Financials | 454,594,749 | 13.4% | ||||||||||||||||
Health Care — (9.1%) | ||||||||||||||||||
#*AMERIGROUP Corp. | 133,000 | 5,550,090 | 0.2% | |||||||||||||||
*HealthSpring, Inc. | 182,857 | 5,337,596 | 0.2% | |||||||||||||||
#Hill-Rom Holdings, Inc. | 144,017 | 5,580,659 | 0.2% | |||||||||||||||
*HMS Holdings Corp. | 87,139 | 5,237,925 | 0.1% | |||||||||||||||
#*Incyte Corp. | 315,283 | 5,252,615 | 0.1% | |||||||||||||||
Other Securities | 360,579,098 | 10.6% | ||||||||||||||||
Total Health Care | 387,537,983 | 11.4% | ||||||||||||||||
Industrials — (14.5%) | ||||||||||||||||||
*Alaska Air Group, Inc. | 111,907 | 5,908,690 | 0.2% | |||||||||||||||
#Con-way, Inc. | 161,251 | 5,322,896 | 0.2% | |||||||||||||||
*Esterline Technologies Corp. | 87,108 | 5,264,808 | 0.1% | |||||||||||||||
#*GEO Group, Inc. (The) | 205,915 | 5,281,720 | 0.1% | |||||||||||||||
#*JetBlue Airways Corp. | 758,521 | 5,294,477 | 0.2% | |||||||||||||||
#*US Airways Group, Inc. | 468,000 | 5,517,720 | 0.2% | |||||||||||||||
UTi Worldwide, Inc. | 293,686 | 5,644,645 | 0.2% | |||||||||||||||
Other Securities | 577,964,125 | 17.0% | ||||||||||||||||
Total Industrials | 616,199,081 | 18.2% | ||||||||||||||||
52
U.S. SMALL CAP PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||
Information Technology — (16.9%) | ||||||||||||||||||
*Acme Packet, Inc. | 161,675 | $ | 6,394,246 | 0.2% | ||||||||||||||
#Adtran, Inc. | 210,232 | 6,784,187 | 0.2% | |||||||||||||||
#*Aruba Networks, Inc. | 263,829 | 5,780,493 | 0.2% | |||||||||||||||
*Hypercom Corp. | 918,056 | 5,471,614 | 0.2% | |||||||||||||||
*International Rectifier Corp. | 225,033 | 5,227,517 | 0.2% | |||||||||||||||
*Loral Space & Communications, Inc. | 128,378 | 7,141,668 | 0.2% | |||||||||||||||
#Plantronics, Inc. | 144,900 | 5,199,012 | 0.1% | |||||||||||||||
*Quest Software, Inc. | 296,730 | 7,765,424 | 0.2% | |||||||||||||||
*RF Micro Devices, Inc. | 1,055,523 | 7,694,763 | 0.2% | |||||||||||||||
*Riverbed Technology, Inc. | 146,971 | 8,456,711 | 0.2% | |||||||||||||||
#Syntel, Inc. | 108,782 | 5,315,089 | 0.2% | |||||||||||||||
*TIBCO Software, Inc. | 474,473 | 9,119,371 | 0.3% | |||||||||||||||
#*VeriFone Systems, Inc. | 226,455 | 7,660,973 | 0.2% | |||||||||||||||
*Zebra Technologies Corp. Class A | 150,051 | 5,368,825 | 0.2% | |||||||||||||||
Other Securities | 624,265,806 | 18.4% | ||||||||||||||||
Total Information Technology | 717,645,699 | 21.2% | ||||||||||||||||
Materials — (4.4%) | ||||||||||||||||||
*Allied Nevada Gold Corp. | 215,616 | 5,321,403 | 0.2% | |||||||||||||||
*Coeur d’Alene Mines Corp. | 254,520 | 5,245,657 | 0.1% | |||||||||||||||
Other Securities | 174,977,855 | 5.2% | ||||||||||||||||
Total Materials | 185,544,915 | 5.5% | ||||||||||||||||
Other — (0.0%) | ||||||||||||||||||
Other Securities | 454 | 0.0% | ||||||||||||||||
Telecommunication Services — (0.9%) | ||||||||||||||||||
*Syniverse Holdings, Inc. | 208,017 | 6,342,438 | 0.2% | |||||||||||||||
Other Securities | 32,767,726 | 0.9% | ||||||||||||||||
Total Telecommunication Services | 39,110,164 | 1.1% | ||||||||||||||||
Utilities — (2.1%) | ||||||||||||||||||
Other Securities | 89,996,539 | 2.6% | ||||||||||||||||
TOTAL COMMON STOCKS | 3,374,374,323 | 99.5% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
Other Securities | 919,321 | 0.0% | ||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.5%) | ||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional | 22,578,102 | 22,578,102 | 0.7% | |||||||||||||||
Shares/ Face Amount | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (20.0%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 842,198,656 | 842,198,656 | 24.8% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, 11/01/10 (Collateralized by $3,946,848 FNMA 3.500%, 10/01/20, valued at $4,129,201) to be repurchased at $4,009,010 | $4,009 | 4,008,933 | 0.1% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 846,207,589 | 24.9% | ||||||||||||||||
53
U.S. SMALL CAP PORTFOLIO
CONTINUED
Value† | Percentage | |||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 4,244,079,335 | 125.1% | |||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Consumer Discretionary | $ | 575,490,889 | — | — | $ | 575,490,889 | ||||||||||||||||||
Consumer Staples | 118,567,722 | �� | — | — | 118,567,722 | |||||||||||||||||||
Energy | 189,686,128 | — | — | 189,686,128 | ||||||||||||||||||||
Financials | 454,594,749 | — | — | 454,594,749 | ||||||||||||||||||||
Health Care | 387,389,840 | $ | 148,143 | — | 387,537,983 | |||||||||||||||||||
Industrials | 616,199,081 | — | — | 616,199,081 | ||||||||||||||||||||
Information Technology | 717,645,699 | — | — | 717,645,699 | ||||||||||||||||||||
Materials | 185,544,915 | — | — | 185,544,915 | ||||||||||||||||||||
Other | — | 454 | — | 454 | ||||||||||||||||||||
Telecommunication Services | 39,110,164 | — | — | 39,110,164 | ||||||||||||||||||||
Utilities | 89,996,539 | — | — | 89,996,539 | ||||||||||||||||||||
Rights/Warrants | 34,946 | 884,375 | — | 919,321 | ||||||||||||||||||||
Temporary Cash Investments | 22,578,102 | — | — | 22,578,102 | ||||||||||||||||||||
Securities Lending Collateral | — | 846,207,589 | — | 846,207,589 | ||||||||||||||||||||
TOTAL | $ | 3,396,838,774 | $ | 847,240,561 | — | $ | 4,244,079,335 | |||||||||||||||||
See accompanying Notes to Financial Statements.
54
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||
COMMON STOCKS — (87.4%) | ||||||||||||||||||
Consumer Discretionary — (14.0%) | ||||||||||||||||||
#*BJ’s Restaurants, Inc. | 218,820 | $ | 7,253,883 | 0.2% | ||||||||||||||
#*Buffalo Wild Wings, Inc. | 149,089 | 7,011,656 | 0.2% | |||||||||||||||
Cato Corp. Class A | 251,022 | 6,639,532 | 0.2% | |||||||||||||||
#Monro Muffler Brake, Inc. | 180,713 | 8,627,239 | 0.3% | |||||||||||||||
#*Pier 1 Imports, Inc. | 759,929 | 6,596,184 | 0.2% | |||||||||||||||
*Pinnacle Entertainment, Inc. | 540,950 | 6,924,160 | 0.2% | |||||||||||||||
#*Steven Madden, Ltd. | 269,303 | 11,391,517 | 0.4% | |||||||||||||||
*Valassis Communications, Inc. | 353,966 | 11,680,878 | 0.4% | |||||||||||||||
Other Securities | 441,743,230 | 13.9% | ||||||||||||||||
Total Consumer Discretionary | 507,868,279 | 16.0% | ||||||||||||||||
Consumer Staples — (4.2%) | ||||||||||||||||||
Andersons, Inc. (The) | 164,550 | 6,478,334 | 0.2% | |||||||||||||||
J & J Snack Foods Corp. | 180,997 | 7,759,341 | 0.2% | |||||||||||||||
PriceSmart, Inc. | 296,100 | 8,684,613 | 0.3% | |||||||||||||||
#*USANA Health Sciences, Inc. | 155,615 | 6,834,611 | 0.2% | |||||||||||||||
Other Securities | 123,784,622 | 3.9% | ||||||||||||||||
Total Consumer Staples | 153,541,521 | 4.8% | ||||||||||||||||
Energy — (3.2%) | ||||||||||||||||||
*Clayton Williams Energy, Inc. | 110,880 | 6,621,754 | 0.2% | |||||||||||||||
Other Securities | 110,929,112 | 3.5% | ||||||||||||||||
Total Energy | 117,550,866 | 3.7% | ||||||||||||||||
Financials — (12.1%) | ||||||||||||||||||
#FBL Financial Group, Inc. Class A | 289,468 | 7,572,483 | 0.2% | |||||||||||||||
*First Cash Financial Services, Inc. | 294,883 | 8,572,249 | 0.3% | |||||||||||||||
Horace Mann Educators Corp. | 424,387 | 7,931,793 | 0.3% | |||||||||||||||
Infinity Property & Casualty Corp. | 144,873 | 7,497,178 | 0.2% | |||||||||||||||
#*Portfolio Recovery Associates, Inc. | 97,409 | 6,531,273 | 0.2% | |||||||||||||||
#*World Acceptance Corp. | 156,911 | 6,770,710 | 0.2% | |||||||||||||||
Other Securities | 392,306,020 | 12.4% | ||||||||||||||||
Total Financials | 437,181,706 | 13.8% | ||||||||||||||||
Health Care — (11.4%) | ||||||||||||||||||
Invacare Corp. | 248,109 | 6,698,943 | 0.2% | |||||||||||||||
*Neogen Corp. | 203,656 | 6,806,184 | 0.2% | |||||||||||||||
*NxStage Medical, Inc. | 335,606 | 6,765,817 | 0.2% | |||||||||||||||
Other Securities | 390,859,989 | 12.3% | ||||||||||||||||
Total Health Care | 411,130,933 | 12.9% | ||||||||||||||||
Industrials — (16.1%) | ||||||||||||||||||
*Acacia Technologies Group | 355,785 | 9,470,997 | 0.3% | |||||||||||||||
American Science & Engineering, Inc. | 87,246 | 7,184,708 | 0.2% | |||||||||||||||
#Badger Meter, Inc. | 155,222 | 6,446,370 | 0.2% | |||||||||||||||
*GeoEye, Inc. | 145,416 | 6,437,566 | 0.2% | |||||||||||||||
#Raven Industries, Inc. | 178,996 | 7,360,316 | 0.2% | |||||||||||||||
Tredegar Industries, Inc. | 334,848 | 6,459,218 | 0.2% | |||||||||||||||
#*United Rentals, Inc. | 353,280 | 6,638,131 | 0.2% | |||||||||||||||
Other Securities | 532,880,622 | 16.8% | ||||||||||||||||
Total Industrials | 582,877,928 | 18.3% | ||||||||||||||||
Information Technology — (19.7%) | ||||||||||||||||||
*Acme Packet, Inc. | 171,574 | 6,785,752 | 0.2% | |||||||||||||||
*Cabot Microelectronics Corp. | 230,045 | 8,886,638 | 0.3% | |||||||||||||||
#*DTS, Inc. | 171,283 | 6,817,063 | 0.2% |
55
U.S. MICRO CAP PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||
Information Technology — (Continued) | ||||||||||||||||||
*Forrester Research, Inc. | 223,549 | $ | 7,392,765 | 0.2% | ||||||||||||||
iGATE Corp. | 521,424 | 10,657,907 | 0.3% | |||||||||||||||
#*IPG Photonics Corp. | 458,850 | 10,324,125 | 0.3% | |||||||||||||||
#*L-1 Identity Solutions, Inc. | 785,607 | 9,262,307 | 0.3% | |||||||||||||||
#*Littlefuse, Inc. | 200,242 | 8,496,268 | 0.3% | |||||||||||||||
#*Loral Space & Communications, Inc. | 161,771 | 8,999,321 | 0.3% | |||||||||||||||
*Manhattan Associates, Inc. | 238,948 | 7,354,819 | 0.2% | |||||||||||||||
*NetScout Systems, Inc. | 317,575 | 7,453,485 | 0.2% | |||||||||||||||
*RightNow Technologies, Inc. | 299,706 | 7,828,321 | 0.3% | |||||||||||||||
*ScanSource, Inc. | 236,107 | 7,069,044 | 0.2% | |||||||||||||||
#*STEC, Inc. | 446,325 | 6,962,670 | 0.2% | |||||||||||||||
#*Tyler Technologies, Inc. | 364,519 | 7,439,833 | 0.2% | |||||||||||||||
#*Ultimate Software Group, Inc. | 215,449 | 8,915,280 | 0.3% | |||||||||||||||
#*Universal Display Corp. | 307,402 | 7,697,346 | 0.3% | |||||||||||||||
Other Securities | 574,946,376 | 18.1% | ||||||||||||||||
Total Information Technology | 713,289,320 | 22.4% | ||||||||||||||||
Materials — (4.0%) | ||||||||||||||||||
#AMCOL International Corp. | 263,102 | 7,298,449 | 0.2% | |||||||||||||||
Arch Chemicals, Inc. | 218,955 | 7,775,092 | 0.3% | |||||||||||||||
Balchem Corp. | 235,675 | 7,202,228 | 0.2% | |||||||||||||||
Other Securities | 121,780,006 | 3.8% | ||||||||||||||||
Total Materials | 144,055,775 | 4.5% | ||||||||||||||||
Other — (0.0%) | ||||||||||||||||||
Other Securities | 2,444 | 0.0% | ||||||||||||||||
Telecommunication Services — (1.1%) | ||||||||||||||||||
Other Securities | 39,764,550 | 1.3% | ||||||||||||||||
Utilities — (1.6%) | ||||||||||||||||||
MGE Energy, Inc. | 196,967 | 7,987,012 | 0.3% | |||||||||||||||
Other Securities | 49,028,252 | 1.5% | ||||||||||||||||
Total Utilities | 57,015,264 | 1.8% | ||||||||||||||||
TOTAL COMMON STOCKS | 3,164,278,586 | 99.5% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
Other Securities | 601,947 | 0.0% | ||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.4%) | ||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional | 14,738,317 | 14,738,317 | 0.5% | |||||||||||||||
Shares/ Face Amount | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (12.2%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 438,511,577 | 438,511,577 | 13.8% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $2,087 | 2,087,350 | 0.1% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 440,598,927 | 13.9% | ||||||||||||||||
56
U.S. MICRO CAP PORTFOLIO
CONTINUED
Value† | Percentage | |||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 3,620,217,777 | 113.9% | |||||||||||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Consumer Discretionary | $ | 507,868,279 | — | — | $ | 507,868,279 | ||||||||||||||||||
Consumer Staples | 153,541,521 | — | — | 153,541,521 | ||||||||||||||||||||
Energy | 117,550,866 | — | — | 117,550,866 | ||||||||||||||||||||
Financials | 437,181,706 | — | — | 437,181,706 | ||||||||||||||||||||
Health Care | 410,905,037 | $ | 225,896 | — | 411,130,933 | |||||||||||||||||||
Industrials | 582,877,928 | — | — | 582,877,928 | ||||||||||||||||||||
Information Technology | 713,289,320 | — | — | 713,289,320 | ||||||||||||||||||||
Materials | 144,055,775 | — | — | 144,055,775 | ||||||||||||||||||||
Other | — | 2,444 | — | 2,444 | ||||||||||||||||||||
Telecommunication Services | 39,764,550 | — | — | 39,764,550 | ||||||||||||||||||||
Utilities | 57,015,264 | — | — | 57,015,264 | ||||||||||||||||||||
Rights/Warrants | 4,633 | 597,314 | — | 601,947 | ||||||||||||||||||||
Temporary Cash Investments | 14,738,317 | — | — | 14,738,317 | ||||||||||||||||||||
Securities Lending Collateral | — | 440,598,927 | — | 440,598,927 | ||||||||||||||||||||
TOTAL | $ | 3,178,793,196 | $ | 441,424,581 | — | $ | 3,620,217,777 | |||||||||||||||||
See accompanying Notes to Financial Statements.
57
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||
COMMON STOCKS — (79.8%) | ||||||||||||||||||
Health Care — (0.0%) | ||||||||||||||||||
Other Securities | $ | 61,722 | 0.0% | |||||||||||||||
Real Estate Investment Trusts — (79.8%) | ||||||||||||||||||
#Alexander’s, Inc. | 52,368 | 19,681,989 | 0.7% | |||||||||||||||
#Alexandria Real Estate Equities, Inc. | 430,728 | 31,649,893 | 1.2% | |||||||||||||||
#AMB Property Corp. | 1,426,481 | 40,212,499 | 1.5% | |||||||||||||||
#American Campus Communites, Inc. | 508,865 | 16,095,400 | 0.6% | |||||||||||||||
*Apartment Investment & Management Co. Class A | 1,095,380 | 25,533,308 | 0.9% | |||||||||||||||
#AvalonBay Communities, Inc. | 778,009 | 82,710,137 | 3.1% | |||||||||||||||
#BioMed Realty Trust, Inc. | 1,011,329 | 18,557,887 | 0.7% | |||||||||||||||
#Boston Properties, Inc. | 1,306,800 | 112,633,092 | 4.2% | |||||||||||||||
#BRE Properties, Inc. Class A | 551,733 | 23,685,898 | 0.9% | |||||||||||||||
#Camden Property Trust | 619,003 | 30,696,359 | 1.1% | |||||||||||||||
#CBL & Associates Properties, Inc. | 1,297,756 | 20,348,814 | 0.8% | |||||||||||||||
#Corporate Office Properties Trust | 553,900 | 19,657,911 | 0.7% | |||||||||||||||
#Developers Diversified Realty Corp. | 1,945,090 | 25,091,661 | 0.9% | |||||||||||||||
#Digital Realty Trust, Inc. | 747,547 | 44,650,982 | 1.7% | |||||||||||||||
#Douglas Emmett, Inc. | 1,098,938 | 19,714,948 | 0.7% | |||||||||||||||
Duke Realty Corp. | 2,141,360 | 26,702,759 | 1.0% | |||||||||||||||
#Entertainment Properties Trust | 398,314 | 18,414,056 | 0.7% | |||||||||||||||
Equity Lifestyle Properties, Inc. | 286,964 | 16,333,991 | 0.6% | |||||||||||||||
#Equity Residential | 2,648,356 | 128,789,552 | 4.8% | |||||||||||||||
#Essex Property Trust, Inc. | 276,971 | 31,286,644 | 1.2% | |||||||||||||||
#Federal Realty Investment Trust | 576,715 | 47,279,096 | 1.8% | |||||||||||||||
#*HCP, Inc. | 2,801,005 | 100,864,190 | 3.8% | |||||||||||||||
#*Health Care REIT, Inc. | 1,166,673 | 59,616,990 | 2.2% | |||||||||||||||
#Highwood Properties, Inc. | 672,970 | 22,295,496 | 0.8% | |||||||||||||||
#Home Properties, Inc. | 335,680 | 18,277,776 | 0.7% | |||||||||||||||
#Hospitality Properties Trust | 1,160,767 | 26,477,095 | 1.0% | |||||||||||||||
#Host Marriott Corp. | 6,147,086 | 97,677,197 | 3.6% | |||||||||||||||
#*Kimco Realty Corp. | 3,798,124 | 65,441,677 | 2.4% | |||||||||||||||
#Lasalle Hotel Properties | 623,626 | 14,773,700 | 0.5% | |||||||||||||||
#Liberty Property Trust | 1,060,279 | 35,476,935 | 1.3% | |||||||||||||||
Macerich Co. (The) | 1,044,035 | 46,574,401 | 1.7% | |||||||||||||||
Mack-Cali Realty Corp. | 742,584 | 24,935,971 | 0.9% | |||||||||||||||
Mid-America Apartment Communities, Inc. | 279,319 | 17,046,839 | 0.6% | |||||||||||||||
#National Retail Properties, Inc. | 783,449 | 21,231,468 | 0.8% | |||||||||||||||
Nationwide Health Properties, Inc. | 1,102,624 | 45,020,138 | 1.7% | |||||||||||||||
Omega Healthcare Investors, Inc. | 836,312 | 19,235,176 | 0.7% | |||||||||||||||
#*ProLogis | 4,462,298 | 60,910,368 | 2.3% | |||||||||||||||
#Public Storage REIT | 1,438,672 | 142,745,036 | 5.3% | |||||||||||||||
#Realty Income Corp. | 982,058 | 33,664,948 | 1.3% | |||||||||||||||
#Regency Centers Corp. | 768,887 | 32,431,654 | 1.2% | |||||||||||||||
Senior Housing Properties Trust | 1,197,532 | 28,609,039 | 1.1% | |||||||||||||||
#*Simon Property Group, Inc. | 2,740,392 | 263,132,440 | 9.8% | |||||||||||||||
#SL Green Realty Corp. | 732,883 | 48,165,071 | 1.8% | |||||||||||||||
#Tanger Factory Outlet Centers, Inc. | 380,398 | 18,228,672 | 0.7% | |||||||||||||||
#Taubman Centers, Inc. | 513,047 | 23,815,642 | 0.9% | |||||||||||||||
UDR, Inc. | 1,491,932 | 33,538,631 | 1.2% | |||||||||||||||
#Ventas, Inc. | 1,474,528 | 78,975,720 | 2.9% | |||||||||||||||
#*Vornado Realty Trust | 1,636,540 | 143,017,231 | 5.3% | |||||||||||||||
#Washington REIT | 570,992 | 18,288,874 | 0.7% | |||||||||||||||
#Weingarten Realty Investors | 1,129,891 | 27,264,270 | 1.0% | |||||||||||||||
Other Securities | 317,354,761 | 11.8% | ||||||||||||||||
Total Real Estate Investment Trusts | 2,684,814,282 | 99.8% | ||||||||||||||||
TOTAL COMMON STOCKS | 2,684,876,004 | 99.8% | ||||||||||||||||
58
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.1%) | ||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional | 2,684,740 | $2,684,740 | 0.1% | |||||||||||||||
| Shares/ Face Amount |
| ||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (20.1%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 673,752,172 | 673,752,172 | 25.1% | |||||||||||||||
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $3,207 | 3,207,114 | 0.1% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 676,959,286 | 25.2% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 3,364,520,030 | 125.1% | |||||||||||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Health Care | $ | 61,722 | — | — | $ | 61,722 | ||||||||||||||||||
Real Estate Investment Trusts | 2,684,814,282 | — | — | 2,684,814,282 | ||||||||||||||||||||
Temporary Cash Investments | 2,684,740 | — | — | 2,684,740 | ||||||||||||||||||||
Securities Lending Collateral | — | $ | 676,959,286 | — | 676,959,286 | |||||||||||||||||||
TOTAL | $ | 2,687,560,744 | $ | 676,959,286 | — | $ | 3,364,520,030 | |||||||||||||||||
See accompanying Notes to Financial Statements.
59
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||
COMMON STOCKS — (84.8%) | ||||||||||||||||||
AUSTRALIA — (6.4%) | ||||||||||||||||||
Australia & New Zealand Banking Group, Ltd. | 360,926 | $ | 8,805,393 | 0.5% | ||||||||||||||
BHP Billiton, Ltd. | 297,885 | 12,308,952 | 0.8% | |||||||||||||||
#BHP Billiton, Ltd. Sponsored ADR | 85,300 | 7,044,927 | 0.4% | |||||||||||||||
Commonwealth Bank of Australia NL | 209,218 | 10,057,768 | 0.6% | |||||||||||||||
National Australia Bank, Ltd. | 299,123 | 7,486,542 | 0.5% | |||||||||||||||
Rio Tinto, Ltd. | 85,083 | 6,924,239 | 0.4% | |||||||||||||||
#Westpac Banking Corp. | 311,382 | 6,933,514 | 0.4% | |||||||||||||||
Other Securities | 62,373,700 | 3.9% | ||||||||||||||||
TOTAL AUSTRALIA | 121,935,035 | 7.5% | ||||||||||||||||
AUSTRIA — (0.2%) | ||||||||||||||||||
Other Securities | 4,496,574 | 0.3% | ||||||||||||||||
BELGIUM — (0.7%) | ||||||||||||||||||
Other Securities | 13,763,735 | 0.9% | ||||||||||||||||
CANADA — (8.2%) | ||||||||||||||||||
Bank of Nova Scotia | 143,627 | 7,698,880 | 0.5% | |||||||||||||||
Barrick Gold Corp. | 134,300 | 6,468,101 | 0.4% | |||||||||||||||
#Royal Bank of Canada | 197,437 | 10,529,070 | 0.7% | |||||||||||||||
#Suncor Energy, Inc. | 218,807 | 7,011,092 | 0.4% | |||||||||||||||
#Toronto Dominion Bank | 123,084 | 8,864,124 | 0.5% | |||||||||||||||
Other Securities | 114,226,471 | 7.1% | ||||||||||||||||
TOTAL CANADA | 154,797,738 | 9.6% | ||||||||||||||||
DENMARK — (0.9%) | ||||||||||||||||||
Other Securities | 16,628,023 | 1.0% | ||||||||||||||||
FINLAND — (0.8%) | ||||||||||||||||||
Other Securities | 15,956,153 | 1.0% | ||||||||||||||||
FRANCE — (7.7%) | ||||||||||||||||||
BNP Paribas SA | 132,074 | 9,660,674 | 0.6% | |||||||||||||||
GDF Suez SA | 171,224 | 6,841,628 | 0.4% | |||||||||||||||
Sanofi-Aventis SA | 94,781 | 6,640,547 | 0.4% | |||||||||||||||
Total SA | 162,315 | 8,835,490 | 0.6% | |||||||||||||||
#Total SA Sponsored ADR | 137,800 | 7,507,344 | 0.5% | |||||||||||||||
Other Securities | 105,832,214 | 6.5% | ||||||||||||||||
TOTAL FRANCE | 145,317,897 | 9.0% | ||||||||||||||||
GERMANY — (6.1%) | ||||||||||||||||||
BASF SE | 116,835 | 8,524,536 | 0.5% | |||||||||||||||
*Daimler AG | 128,352 | 8,481,943 | 0.5% | |||||||||||||||
Deutsche Bank AG | 125,817 | 7,282,288 | 0.5% | |||||||||||||||
E.ON AG | 200,538 | 6,288,090 | 0.4% | |||||||||||||||
#Siemens AG Sponsored ADR | 67,650 | 7,733,072 | 0.5% | |||||||||||||||
Other Securities | 77,748,453 | 4.8% | ||||||||||||||||
TOTAL GERMANY | 116,058,382 | 7.2% | ||||||||||||||||
GREECE — (0.2%) | ||||||||||||||||||
Other Securities | 3,758,613 | 0.2% | ||||||||||||||||
HONG KONG — (2.0%) | ||||||||||||||||||
Other Securities | 37,457,138 | 2.3% | ||||||||||||||||
IRELAND — (0.2%) | ||||||||||||||||||
Other Securities | 2,934,464 | 0.2% | ||||||||||||||||
60
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
ISRAEL — (0.6%) | ||||||||||||||||||
Teva Pharmaceutical Industries, Ltd. Sponsored ADR | 126,954 | $ | 6,588,913 | 0.4% | ||||||||||||||
Other Securities | 4,281,818 | 0.3% | ||||||||||||||||
TOTAL ISRAEL | 10,870,731 | 0.7% | ||||||||||||||||
ITALY — (2.2%) | ||||||||||||||||||
Other Securities | 42,464,095 | 2.6% | ||||||||||||||||
JAPAN — (16.7%) | ||||||||||||||||||
Mitsubishi UFJ Financial Group, Inc. ADR | 1,455,897 | 6,784,480 | 0.4% | |||||||||||||||
Toyota Motor Corp. | 228,700 | 8,100,615 | 0.5% | |||||||||||||||
Other Securities | 301,828,055 | 18.7% | ||||||||||||||||
TOTAL JAPAN | 316,713,150 | 19.6% | ||||||||||||||||
NETHERLANDS — (2.3%) | ||||||||||||||||||
Unilever NV | 218,517 | 6,489,351 | 0.4% | |||||||||||||||
Other Securities | 37,175,256 | 2.3% | ||||||||||||||||
TOTAL NETHERLANDS | 43,664,607 | 2.7% | ||||||||||||||||
NEW ZEALAND — (0.1%) | ||||||||||||||||||
Other Securities | 1,490,718 | 0.1% | ||||||||||||||||
NORWAY — (0.9%) | ||||||||||||||||||
Other Securities | 16,306,929 | 1.0% | ||||||||||||||||
PORTUGAL — (0.2%) | ||||||||||||||||||
Other Securities | 4,251,531 | 0.3% | ||||||||||||||||
SINGAPORE — (1.3%) | ||||||||||||||||||
Other Securities | 24,228,772 | 1.5% | ||||||||||||||||
SPAIN — (3.0%) | ||||||||||||||||||
#Banco Bilbao Vizcaya Argentaria SA Sponsored ADR | 491,102 | 6,457,991 | 0.4% | |||||||||||||||
#Banco Santander SA Sponsored ADR | 853,568 | 10,934,206 | 0.7% | |||||||||||||||
#Telefonica SA Sponsored ADR | 135,963 | 11,032,038 | 0.7% | |||||||||||||||
Other Securities | 28,301,195 | 1.7% | ||||||||||||||||
TOTAL SPAIN | 56,725,430 | 3.5% | ||||||||||||||||
SWEDEN — (2.2%) | ||||||||||||||||||
Other Securities | 42,437,882 | 2.6% | ||||||||||||||||
SWITZERLAND — (5.9%) | ||||||||||||||||||
Nestle SA | 471,890 | 25,847,536 | 1.6% | |||||||||||||||
Novartis AG | 151,030 | 8,751,091 | 0.5% | |||||||||||||||
#*Novartis AG ADR | 141,600 | 8,205,720 | 0.5% | |||||||||||||||
#Roche Holding AG Genusschein | 97,207 | 14,275,254 | 0.9% | |||||||||||||||
#*UBS AG | 478,710 | 8,132,107 | 0.5% | |||||||||||||||
Other Securities | 46,782,377 | 2.9% | ||||||||||||||||
TOTAL SWITZERLAND | 111,994,085 | 6.9% | ||||||||||||||||
UNITED KINGDOM — (16.0%) | ||||||||||||||||||
Anglo American P.L.C. | 186,195 | 8,675,422 | 0.5% | |||||||||||||||
AstraZeneca P.L.C. | 123,555 | 6,215,085 | 0.4% | |||||||||||||||
BG Group P.L.C. | 348,779 | 6,789,416 | 0.4% | |||||||||||||||
BHP Billiton P.L.C. ADR | 89,700 | 6,350,760 | 0.4% | |||||||||||||||
#*BP P.L.C. Sponsored ADR | 196,119 | 8,007,539 | 0.5% | |||||||||||||||
British American Tobacco P.L.C. | 232,362 | 8,852,178 | 0.5% | |||||||||||||||
GlaxoSmithKline P.L.C. | 478,323 | 9,340,518 | 0.6% | |||||||||||||||
HSBC Holdings P.L.C. | 1,180,768 | 12,289,079 | 0.8% | |||||||||||||||
#HSBC Holdings P.L.C. Sponsored ADR | 234,056 | 12,196,658 | 0.7% | |||||||||||||||
Rio Tinto P.L.C. | 140,777 | 9,143,554 | 0.6% |
61
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
UNITED KINGDOM — (Continued) | ||||||||||||||||||
#Royal Dutch Shell P.L.C. ADR | 344,141 | $ | 22,135,149 | 1.4% | ||||||||||||||
Royal Dutch Shell P.L.C. Series B | 195,121 | 6,244,225 | 0.4% | |||||||||||||||
Standard Chartered P.L.C. | 259,989 | 7,520,185 | 0.5% | |||||||||||||||
Tesco P.L.C. | 1,059,552 | 7,251,211 | 0.4% | |||||||||||||||
Vodafone Group P.L.C. | 3,189,133 | 8,717,874 | 0.5% | |||||||||||||||
Vodafone Group P.L.C. Sponsored ADR | 384,600 | 10,580,346 | 0.7% | |||||||||||||||
Other Securities | 152,293,978 | 9.4% | ||||||||||||||||
TOTAL UNITED KINGDOM | 302,603,177 | 18.7% | ||||||||||||||||
TOTAL COMMON STOCKS | 1,606,854,859 | 99.4% | ||||||||||||||||
PREFERRED STOCKS — (0.1%) | ||||||||||||||||||
GERMANY — (0.0%) | ||||||||||||||||||
Other Securities | 1,067,033 | 0.1% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
AUSTRIA — (0.0%) | ||||||||||||||||||
Other Securities | 33 | 0.0% | ||||||||||||||||
BELGIUM — (0.0%) | ||||||||||||||||||
Other Securities | 4 | 0.0% | ||||||||||||||||
UNITED KINGDOM — (0.0%) | ||||||||||||||||||
Other Securities | 940,877 | 0.1% | ||||||||||||||||
TOTAL RIGHTS/WARRANTS | 940,914 | 0.1% | ||||||||||||||||
Face Amount | Value† | |||||||||||||||||
(000) | ||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.0%) | ||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, | $647 | 647,000 | 0.0% | |||||||||||||||
Shares/ Face Amount | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (15.1%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 282,774,040 | 282,774,040 | 17.5% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, | $ | 2,504 | 2,503,779 | 0.1% | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 285,277,819 | 17.6% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 1,894,787,625 | 117.2% | |||||||||||||||
62
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Australia | $ | 9,171,654 | $ | 112,763,381 | — | $ | 121,935,035 | |||||||||||||||||
Austria | 73,080 | 4,423,494 | — | 4,496,574 | ||||||||||||||||||||
Belgium | 2,138,712 | 11,625,023 | — | 13,763,735 | ||||||||||||||||||||
Canada | 154,797,738 | — | — | 154,797,738 | ||||||||||||||||||||
Denmark | 2,780,449 | 13,847,574 | — | 16,628,023 | ||||||||||||||||||||
Finland | 2,660,444 | 13,295,709 | — | 15,956,153 | ||||||||||||||||||||
France | 16,049,842 | 129,268,055 | — | 145,317,897 | ||||||||||||||||||||
Germany | 27,409,378 | 88,649,004 | — | 116,058,382 | ||||||||||||||||||||
Greece | 398,221 | 3,360,392 | — | 3,758,613 | ||||||||||||||||||||
Hong Kong | 618 | 37,456,520 | — | 37,457,138 | ||||||||||||||||||||
Ireland | 1,196,219 | 1,738,245 | — | 2,934,464 | ||||||||||||||||||||
Israel | 6,854,316 | 4,016,415 | — | 10,870,731 | ||||||||||||||||||||
Italy | 5,849,445 | 36,614,650 | — | 42,464,095 | ||||||||||||||||||||
Japan | 34,598,078 | 282,115,072 | — | 316,713,150 | ||||||||||||||||||||
Netherlands | 4,592,088 | 39,072,519 | — | 43,664,607 | ||||||||||||||||||||
New Zealand | — | 1,490,718 | — | 1,490,718 | ||||||||||||||||||||
Norway | 1,065,326 | 15,241,603 | — | 16,306,929 | ||||||||||||||||||||
Portugal | 292,320 | 3,959,211 | — | 4,251,531 | ||||||||||||||||||||
Singapore | 29,038 | 24,199,734 | — | 24,228,772 | ||||||||||||||||||||
Spain | 30,603,438 | 26,121,992 | — | 56,725,430 | ||||||||||||||||||||
Sweden | 702,015 | 41,735,867 | — | 42,437,882 | ||||||||||||||||||||
Switzerland | 16,303,487 | 95,690,598 | — | 111,994,085 | ||||||||||||||||||||
United Kingdom | 95,595,475 | 207,007,702 | — | 302,603,177 | ||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||
Germany | — | 1,067,033 | — | 1,067,033 | ||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||
Austria | — | 33 | — | 33 | ||||||||||||||||||||
Belgium | 4 | — | — | 4 | ||||||||||||||||||||
United Kingdom | — | 940,877 | — | 940,877 | ||||||||||||||||||||
Temporary Cash Investments | — | 647,000 | — | 647,000 | ||||||||||||||||||||
Securities Lending Collateral | — | 285,277,819 | — | 285,277,819 | ||||||||||||||||||||
TOTAL | $ | 413,161,385 | $ | 1,481,626,240 | — | $ | 1,894,787,625 | |||||||||||||||||
See accompanying Notes to Financial Statements.
63
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||
COMMON STOCKS — (85.2%) | ||||||||||||||||||
AUSTRALIA — (5.8%) | ||||||||||||||||||
Australia & New Zealand Banking Group, Ltd. | 658,301 | $ | 16,060,353 | 0.3% | ||||||||||||||
Commonwealth Bank of Australia NL | 254,892 | 12,253,461 | 0.3% | |||||||||||||||
National Australia Bank, Ltd. | 526,770 | 13,184,161 | 0.3% | |||||||||||||||
Wesfarmers, Ltd. | 361,256 | 11,754,042 | 0.2% | |||||||||||||||
Other Securities | 278,536,710 | 5.7% | ||||||||||||||||
TOTAL AUSTRALIA | 331,788,727 | 6.8% | ||||||||||||||||
AUSTRIA — (0.5%) | ||||||||||||||||||
Other Securities | 28,018,523 | 0.6% | ||||||||||||||||
BELGIUM — (1.0%) | ||||||||||||||||||
Other Securities | 54,855,611 | 1.1% | ||||||||||||||||
CANADA — (8.9%) | ||||||||||||||||||
#Bank of Montreal | 202,373 | 11,951,099 | 0.2% | |||||||||||||||
Suncor Energy, Inc. | 402,417 | 12,894,389 | 0.3% | |||||||||||||||
Teck Resources, Ltd. Class B | 337,587 | 15,093,604 | 0.3% | |||||||||||||||
#Toronto Dominion Bank | 235,160 | 16,935,486 | 0.4% | |||||||||||||||
Other Securities | 447,414,758 | 9.2% | ||||||||||||||||
TOTAL CANADA | 504,289,336 | 10.4% | ||||||||||||||||
DENMARK — (0.8%) | ||||||||||||||||||
Other Securities | 48,333,458 | 1.0% | ||||||||||||||||
FINLAND — (1.4%) | ||||||||||||||||||
Other Securities | 81,547,312 | 1.7% | ||||||||||||||||
FRANCE — (7.2%) | ||||||||||||||||||
BNP Paribas SA | 331,407 | 24,241,068 | 0.5% | |||||||||||||||
GDF Suez SA | 425,977 | 17,020,838 | 0.3% | |||||||||||||||
*Sanofi-Aventis SA ADR | 530,172 | 18,614,339 | 0.4% | |||||||||||||||
Schneider Electric SA | 88,768 | 12,612,315 | 0.3% | |||||||||||||||
Societe Generale Paris SA | 219,316 | 13,151,265 | 0.3% | |||||||||||||||
#Total SA Sponsored ADR | 338,384 | 18,435,160 | 0.4% | |||||||||||||||
Vivendi SA | 419,021 | 11,973,602 | 0.2% | |||||||||||||||
Other Securities | 290,774,088 | 6.0% | ||||||||||||||||
TOTAL FRANCE | 406,822,675 | 8.4% | ||||||||||||||||
GERMANY — (5.4%) | ||||||||||||||||||
#Allianz SE Sponsored ADR | 984,886 | 12,340,622 | 0.2% | |||||||||||||||
*Daimler AG | 266,387 | 17,603,773 | 0.4% | |||||||||||||||
Deutsche Bank AG | 242,074 | 13,944,899 | 0.3% | |||||||||||||||
Munchener Rueckversicherungs-Gesellschaft AG | 80,131 | 12,524,534 | 0.2% | |||||||||||||||
#Siemens AG Sponsored ADR | 125,474 | 14,342,933 | 0.3% | |||||||||||||||
Other Securities | 236,474,016 | 4.9% | ||||||||||||||||
TOTAL GERMANY | 307,230,777 | 6.3% | ||||||||||||||||
GREECE — (0.5%) | ||||||||||||||||||
Other Securities | 29,400,700 | 0.6% | ||||||||||||||||
HONG KONG — (2.2%) | ||||||||||||||||||
Other Securities | 123,798,216 | 2.5% | ||||||||||||||||
IRELAND — (0.5%) | ||||||||||||||||||
Other Securities | 27,024,342 | 0.5% | ||||||||||||||||
ISRAEL — (0.8%) | ||||||||||||||||||
Teva Pharmaceutical Industries, Ltd. Sponsored ADR | 368,163 | 19,107,660 | 0.4% |
64
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
ISRAEL — (Continued) | ||||||||||||||||||
Other Securities | $ | 25,886,858 | 0.5% | |||||||||||||||
TOTAL ISRAEL | 44,994,518 | 0.9% | ||||||||||||||||
ITALY — (2.3%) | ||||||||||||||||||
UniCredit SpA | 5,518,028 | 14,385,868 | 0.3% | |||||||||||||||
Other Securities | 115,484,360 | 2.4% | ||||||||||||||||
TOTAL ITALY | 129,870,228 | 2.7% | ||||||||||||||||
JAPAN — (16.2%) | ||||||||||||||||||
#Honda Motor Co., Ltd. Sponsored ADR | 409,732 | 14,762,644 | 0.3% | |||||||||||||||
Mitsubishi UFJ Financial Group, Inc. | 2,706,300 | 12,559,949 | 0.3% | |||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | 484,058 | 14,448,040 | 0.3% | |||||||||||||||
#*Toyota Motor Corp. Sponsored ADR | 312,041 | 22,098,744 | 0.4% | |||||||||||||||
Other Securities | 853,802,115 | 17.5% | ||||||||||||||||
TOTAL JAPAN | 917,671,492 | 18.8% | ||||||||||||||||
NETHERLANDS — (2.3%) | ||||||||||||||||||
#*ING Groep NV Sponsored ADR | 1,565,969 | 16,881,146 | 0.3% | |||||||||||||||
Other Securities | 114,912,653 | 2.4% | ||||||||||||||||
TOTAL NETHERLANDS | 131,793,799 | 2.7% | ||||||||||||||||
NEW ZEALAND — (0.2%) | ||||||||||||||||||
Other Securities | 12,018,251 | 0.2% | ||||||||||||||||
NORWAY — (1.0%) | ||||||||||||||||||
Other Securities | 54,269,344 | 1.1% | ||||||||||||||||
PORTUGAL — (0.3%) | ||||||||||||||||||
Other Securities | 19,359,124 | 0.4% | ||||||||||||||||
SINGAPORE — (1.4%) | ||||||||||||||||||
Other Securities | 81,994,738 | 1.7% | ||||||||||||||||
SPAIN — (2.1%) | ||||||||||||||||||
#Banco Santander SA Sponsored ADR | 2,151,591 | 27,561,881 | 0.6% | |||||||||||||||
Other Securities | 92,402,501 | 1.9% | ||||||||||||||||
TOTAL SPAIN | 119,964,382 | 2.5% | ||||||||||||||||
SWEDEN — (2.4%) | ||||||||||||||||||
#Nordea Bank AB | 1,048,729 | 11,547,196 | 0.2% | |||||||||||||||
Other Securities | 123,522,700 | 2.6% | ||||||||||||||||
TOTAL SWEDEN | 135,069,896 | 2.8% | ||||||||||||||||
SWITZERLAND — (5.4%) | ||||||||||||||||||
Compagnie Financiere Richemont SA Series A | 232,579 | 11,600,624 | 0.2% | |||||||||||||||
#Credit Suisse Group AG Sponsored ADR | 405,680 | 16,835,720 | 0.3% | |||||||||||||||
#Holcim, Ltd. AG | 196,366 | 12,232,874 | 0.3% | |||||||||||||||
Nestle SA | 546,164 | 29,915,857 | 0.6% | |||||||||||||||
#*Novartis AG ADR | 478,626 | 27,736,377 | 0.6% | |||||||||||||||
#Roche Holding AG Genusschein | 82,873 | 12,170,246 | 0.3% | |||||||||||||||
#*UBS AG | 838,389 | 14,242,170 | 0.3% | |||||||||||||||
Zurich Financial Services AG | 80,500 | 19,699,753 | 0.4% | |||||||||||||||
Other Securities | 165,107,010 | 3.4% | ||||||||||||||||
TOTAL SWITZERLAND | 309,540,631 | 6.4% | ||||||||||||||||
UNITED KINGDOM — (16.6%) | ||||||||||||||||||
Anglo American P.L.C. | 536,326 | 24,989,149 | 0.5% | |||||||||||||||
Barclays P.L.C. Sponsored ADR | 1,016,357 | 17,938,701 | 0.4% | |||||||||||||||
BG Group P.L.C. | 598,458 | 11,649,727 | 0.2% |
65
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
UNITED KINGDOM — (Continued) | ||||||||||||||||||
*BP P.L.C. Sponsored ADR | 717,376 | $ | 29,290,462 | 0.6% | ||||||||||||||
#HSBC Holdings P.L.C. Sponsored ADR | 1,196,015 | 62,324,342 | 1.3% | |||||||||||||||
*Lloyds Banking Group P.L.C. | 11,686,370 | 12,844,830 | 0.3% | |||||||||||||||
#Rio Tinto P.L.C. Sponsored ADR | 182,907 | 11,910,904 | 0.2% | |||||||||||||||
#Royal Dutch Shell P.L.C. ADR | 1,054,306 | 67,812,962 | 1.4% | |||||||||||||||
SABmiller P.L.C. | 396,880 | 12,876,248 | 0.3% | |||||||||||||||
Standard Chartered P.L.C. | 837,301 | 24,218,941 | 0.5% | |||||||||||||||
Tesco P.L.C. | 1,793,199 | 12,272,040 | 0.3% | |||||||||||||||
Vodafone Group P.L.C. Sponsored ADR | 1,797,431 | 49,447,327 | 1.0% | |||||||||||||||
Xstrata P.L.C. | 782,713 | 15,163,801 | 0.3% | |||||||||||||||
Other Securities | 589,678,026 | 12.1% | ||||||||||||||||
TOTAL UNITED KINGDOM | 942,417,460 | 19.4% | ||||||||||||||||
TOTAL COMMON STOCKS | 4,842,073,540 | 99.5% | ||||||||||||||||
PREFERRED STOCKS — (0.0%) | ||||||||||||||||||
AUSTRALIA — (0.0%) | ||||||||||||||||||
Other Securities | 139,214 | 0.0% | ||||||||||||||||
GERMANY — (0.0%) | ||||||||||||||||||
Other Securities | 1,135,420 | 0.0% | ||||||||||||||||
TOTAL PREFERRED STOCKS | 1,274,634 | 0.0% | ||||||||||||||||
RIGHTS/WARRANTS — (0.1%) | ||||||||||||||||||
AUSTRALIA — (0.0%) | ||||||||||||||||||
Other Securities | 15,632 | 0.0% | ||||||||||||||||
AUSTRIA — (0.0%) | ||||||||||||||||||
Other Securities | 898 | 0.0% | ||||||||||||||||
BELGIUM — (0.0%) | ||||||||||||||||||
Other Securities | 1,473 | 0.0% | ||||||||||||||||
FRANCE — (0.0%) | ||||||||||||||||||
Other Securities | 46,795 | 0.0% | ||||||||||||||||
HONG KONG — (0.0%) | ||||||||||||||||||
Other Securities | 5,177 | 0.0% | ||||||||||||||||
ITALY — (0.0%) | ||||||||||||||||||
Other Securities | 840 | 0.0% | ||||||||||||||||
JAPAN — (0.0%) | ||||||||||||||||||
Other Securities | — | 0.0% | ||||||||||||||||
UNITED KINGDOM — (0.1%) | ||||||||||||||||||
Other Securities | 3,034,512 | 0.0% | ||||||||||||||||
TOTAL RIGHTS/WARRANTS | 3,105,327 | 0.0% | ||||||||||||||||
Face | Value† | |||||||||||||||||
(000) | ||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.1%) | ||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, | $8,115 | 8,115,000 | 0.2% | |||||||||||||||
66
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Shares/ Face Amount | Value† | Percentage | ||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (14.6%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 826,241,868 | $ | 826,241,868 | 17.0% | ||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, | $1,096 | 1,096,285 | 0.0% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 827,338,153 | 17.0% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 5,681,906,654 | 116.7% | |||||||||||||||
67
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Australia | $ | 18,468,595 | $ | 313,320,132 | — | $ | 331,788,727 | |||||||||||||||||
Austria | 127,890 | 27,890,633 | — | 28,018,523 | ||||||||||||||||||||
Belgium | 4,617,807 | 50,237,804 | — | 54,855,611 | ||||||||||||||||||||
Canada | 504,288,895 | 441 | — | 504,289,336 | ||||||||||||||||||||
Denmark | 2,551,243 | 45,782,215 | — | 48,333,458 | ||||||||||||||||||||
Finland | 4,563,466 | 76,983,846 | — | 81,547,312 | ||||||||||||||||||||
France | 70,510,547 | 336,312,128 | — | 406,822,675 | ||||||||||||||||||||
Germany | 57,823,579 | 249,407,198 | — | 307,230,777 | ||||||||||||||||||||
Greece | 4,045,382 | 25,355,318 | — | 29,400,700 | ||||||||||||||||||||
Hong Kong | 327,879 | 123,470,337 | — | 123,798,216 | ||||||||||||||||||||
Ireland | 8,312,670 | 18,711,672 | — | 27,024,342 | ||||||||||||||||||||
Israel | 21,329,299 | 23,665,219 | — | 44,994,518 | ||||||||||||||||||||
Italy | 12,637,748 | 117,232,480 | — | 129,870,228 | ||||||||||||||||||||
Japan | 86,703,729 | 830,967,763 | — | 917,671,492 | ||||||||||||||||||||
Netherlands | 33,232,058 | 98,561,741 | — | 131,793,799 | ||||||||||||||||||||
New Zealand | 410,057 | 11,608,194 | — | 12,018,251 | ||||||||||||||||||||
Norway | 1,750,068 | 52,519,276 | — | 54,269,344 | ||||||||||||||||||||
Portugal | 496,048 | 18,863,076 | — | 19,359,124 | ||||||||||||||||||||
Singapore | 116,087 | 81,878,651 | — | 81,994,738 | ||||||||||||||||||||
Spain | 52,072,357 | 67,892,025 | — | 119,964,382 | ||||||||||||||||||||
Sweden | 7,918,313 | 127,151,583 | — | 135,069,896 | ||||||||||||||||||||
Switzerland | 61,287,130 | 248,253,501 | — | 309,540,631 | ||||||||||||||||||||
United Kingdom | 315,699,339 | 626,718,121 | — | 942,417,460 | ||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||
Australia | — | 139,214 | — | 139,214 | ||||||||||||||||||||
Germany | — | 1,135,420 | — | 1,135,420 | ||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||
Australia | — | 15,632 | — | 15,632 | ||||||||||||||||||||
Austria | — | 898 | — | 898 | ||||||||||||||||||||
Belgium | 844 | 629 | — | 1,473 | ||||||||||||||||||||
France | 46,795 | — | — | 46,795 | ||||||||||||||||||||
Hong Kong | 2,941 | 2,236 | — | 5,177 | ||||||||||||||||||||
Italy | 840 | — | — | 840 | ||||||||||||||||||||
Japan | — | — | — | — | ||||||||||||||||||||
United Kingdom | — | 3,034,512 | — | 3,034,512 | ||||||||||||||||||||
Temporary Cash Investments | — | 8,115,000 | — | 8,115,000 | ||||||||||||||||||||
Securities Lending Collateral | — | 827,338,153 | — | 827,338,153 | ||||||||||||||||||||
TOTAL | $ | 1,269,341,606 | $ | 4,412,565,048 | — | $ | 5,681,906,654 | |||||||||||||||||
See accompanying Notes to Financial Statements.
68
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2010
Value† | ||||||||
AFFILIATED INVESTMENT COMPANIES — (99.6%) | ||||||||
Investment in The Continental Small Company Series of | $ | 1,944,334,558 | ||||||
Investment in The Japanese Small Company Series of | 1,096,614,585 | |||||||
Investment in The United Kingdom Small Company Series of | 1,002,935,645 | |||||||
Investment in The Asia Pacific Small Company Series of | 803,584,662 | |||||||
Investment in The Canadian Small Company Series of | 663,721,245 | |||||||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | $ | 5,511,190,695 | ||||||
Face (000) | ||||||||
TEMPORARY CASH INVESTMENTS — (0.4%) | ||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/03/10 | $ | 17,342 | 17,342,000 | |||||
TOTAL INVESTMENTS - (100.0%) (Cost $4,992,458,425) | $ | 5,528,532,695 | ||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Affiliated Investment Companies | $ | 5,511,190,695 | — | — | $ | 5,511,190,695 | ||||||||||||||||||
Temporary Cash Investments | — | $ | 17,342,000 | — | 17,342,000 | |||||||||||||||||||
TOTAL | $ | 5,511,190,695 | $ | 17,342,000 | — | $ | 5,528,532,695 | |||||||||||||||||
See accompanying Notes to Financial Statements.
69
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULES OF INVESTMENTS
October 31, 2010
Value† | ||||
AFFILIATED INVESTMENT COMPANY — (100.0%) | ||||
Investment in The Japanese Small Company Series of The DFA Investment Trust Company | $ | 114,984,213 | ||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY | $ | 114,984,213 | ||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||
Investment in Securities (Market Value) | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Affiliated Investment Company | $ | 131,556,739 | — | — | $ | 131,556,739 |
See accompanying Notes to Financial Statements.
70
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULES OF INVESTMENTS
October 31, 2010
Value† | ||||
AFFILIATED INVESTMENT COMPANY — (100.0%) | ||||
Investment in The United Kingdom Small Company Series of | $ | 33,757,708 | ||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY | $ | 33,757,708 | ||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Affiliated Investment Company | $ | 128,155,853 | — | — | $ | 128,155,853 |
See accompanying Notes to Financial Statements.
71
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||
COMMON STOCKS — (86.6%) | ||||||||||||||||||
AUSTRALIA — (22.0%) | ||||||||||||||||||
#CFS Retail Property Trust | 9,068,093 | $ | 16,510,449 | 1.7% | ||||||||||||||
Charter Hall Office REIT | 2,136,057 | 5,517,519 | 0.6% | |||||||||||||||
Commonwealth Property Office Fund | 8,415,742 | 7,555,179 | 0.8% | |||||||||||||||
Dexus Property Group | 21,863,944 | 17,806,813 | 1.9% | |||||||||||||||
Goodman Group | 27,826,009 | 17,211,712 | 1.8% | |||||||||||||||
GPT Group | 7,702,861 | 21,099,581 | 2.2% | |||||||||||||||
#ING Industrial Fund | 9,728,673 | 5,018,049 | 0.5% | |||||||||||||||
ING Office Fund | 11,534,168 | 6,971,007 | 0.7% | |||||||||||||||
Stockland Trust Group | 10,758,372 | 39,840,205 | 4.2% | |||||||||||||||
Westfield Group | 7,148,259 | 86,939,642 | 9.1% | |||||||||||||||
Other Securities | 17,668,358 | 1.8% | ||||||||||||||||
TOTAL AUSTRALIA | 242,138,514 | 25.3% | ||||||||||||||||
BELGIUM — (1.6%) | ||||||||||||||||||
Befimmo SCA | 58,642 | 5,414,539 | 0.6% | |||||||||||||||
Cofinimmo SA | 47,839 | 6,831,601 | 0.7% | |||||||||||||||
Other Securities | 5,191,078 | 0.5% | ||||||||||||||||
TOTAL BELGIUM | 17,437,218 | 1.8% | ||||||||||||||||
CANADA — (5.8%) | ||||||||||||||||||
#Calloway REIT | 213,154 | 5,015,880 | 0.5% | |||||||||||||||
#H&R REIT | 543,046 | 10,872,634 | 1.1% | |||||||||||||||
#Riocan REIT | 542,522 | 12,261,135 | 1.3% | |||||||||||||||
Other Securities | 35,330,934 | 3.7% | ||||||||||||||||
TOTAL CANADA | 63,480,583 | 6.6% | ||||||||||||||||
CHINA — (0.1%) | ||||||||||||||||||
Other Securities | 1,377,525 | 0.1% | ||||||||||||||||
FRANCE — (13.5%) | ||||||||||||||||||
Fonciere des Regions SA | 121,620 | 13,903,274 | 1.5% | |||||||||||||||
Gecina SA | 90,375 | 10,974,471 | 1.1% | |||||||||||||||
Icade SA | 99,280 | 10,912,165 | 1.1% | |||||||||||||||
#Klepierre SA | 458,791 | 17,860,133 | 1.9% | |||||||||||||||
Societe Immobiliere de Location pour l’Industrie et le Commerce SA | 60,258 | 8,100,236 | 0.8% | |||||||||||||||
#Unibail-Rodamco SE | 365,876 | 76,339,148 | 8.0% | |||||||||||||||
Other Securities | 9,953,484 | 1.0% | ||||||||||||||||
TOTAL FRANCE | 148,042,911 | 15.4% | ||||||||||||||||
GERMANY — (0.1%) | ||||||||||||||||||
Other Securities | 1,684,703 | 0.2% | ||||||||||||||||
GREECE — (0.0%) | ||||||||||||||||||
Other Securities | 319,801 | 0.0% | ||||||||||||||||
HONG KONG — (3.5%) | ||||||||||||||||||
#Champion REIT | 11,091,713 | 6,111,723 | 0.6% | |||||||||||||||
Link REIT (The) | 9,330,639 | 28,858,709 | 3.0% | |||||||||||||||
Other Securities | 3,284,204 | 0.4% | ||||||||||||||||
TOTAL HONG KONG | 38,254,636 | 4.0% | ||||||||||||||||
ISRAEL — (0.0%) | ||||||||||||||||||
Other Securities | 51,978 | 0.0% | ||||||||||||||||
ITALY — (0.1%) | ||||||||||||||||||
Other Securities | 1,675,459 | 0.2% | ||||||||||||||||
72
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
JAPAN — (13.5%) | ||||||||||||||||||
*Advance Residence Investment Corp. | 3,475 | $ | 6,050,779 | 0.6% | ||||||||||||||
#Frontier Real Estate Investment Corp. | 687 | 5,516,125 | 0.6% | |||||||||||||||
#Japan Logistics Fund, Inc. | 623 | 5,137,974 | 0.5% | |||||||||||||||
Japan Prime Realty Investment Corp. | 2,867 | 7,126,250 | 0.7% | |||||||||||||||
Japan Real Estate Investment Corp. | 2,121 | 20,418,676 | 2.1% | |||||||||||||||
Japan Retail Fund Investment. | 7,063 | 11,000,592 | 1.2% | |||||||||||||||
MORI TRUST Sogo REIT, Inc. | 691 | 6,278,269 | 0.7% | |||||||||||||||
Nippon Building Fund, Inc. | 2,294 | 22,478,003 | 2.3% | |||||||||||||||
#Nomura Real Estate Office Fund, Inc. | 1,239 | 7,619,808 | 0.8% | |||||||||||||||
#Orix Jreit, Inc. | 1,093 | 5,859,987 | 0.6% | |||||||||||||||
#United Urban Investment Corp. | 831 | 5,704,687 | 0.6% | |||||||||||||||
Other Securities | 44,927,437 | 4.7% | ||||||||||||||||
TOTAL JAPAN | 148,118,587 | 15.4% | ||||||||||||||||
MALAYSIA — (0.1%) | ||||||||||||||||||
Other Securities | 793,555 | 0.1% | ||||||||||||||||
NETHERLANDS — (4.0%) | ||||||||||||||||||
Corio NV | 257,999 | 18,964,014 | 2.0% | |||||||||||||||
Eurocommercial Properties NV | 119,557 | 5,918,125 | 0.6% | |||||||||||||||
#VastNed Retail NV | 71,341 | 4,961,794 | 0.5% | |||||||||||||||
#Wereldhave NV | 92,108 | 9,365,795 | 1.0% | |||||||||||||||
Other Securities | 4,446,002 | 0.5% | ||||||||||||||||
TOTAL NETHERLANDS | 43,655,730 | 4.6% | ||||||||||||||||
NEW ZEALAND — (0.8%) | ||||||||||||||||||
Other Securities | 8,728,043 | 0.9% | ||||||||||||||||
SINGAPORE — (6.3%) | ||||||||||||||||||
Ascendas REIT. | 6,725,000 | 10,734,352 | 1.1% | |||||||||||||||
#CapitaCommercial Trust | 8,787,000 | 10,158,166 | 1.1% | |||||||||||||||
#CapitaMall Trust | 10,001,300 | 15,363,198 | 1.6% | |||||||||||||||
#Suntec REIT | 7,290,000 | 8,792,663 | 0.9% | |||||||||||||||
Other Securities | 24,544,530 | 2.6% | ||||||||||||||||
TOTAL SINGAPORE | 69,592,909 | 7.3% | ||||||||||||||||
SOUTH AFRICA — (1.3%) | ||||||||||||||||||
Other Securities | 13,875,612 | 1.4% | ||||||||||||||||
TAIWAN — (0.4%) | ||||||||||||||||||
Other Securities | 4,645,246 | 0.5% | ||||||||||||||||
TURKEY — (0.3%) | ||||||||||||||||||
Other Securities | 2,956,031 | 0.3% | ||||||||||||||||
UNITED KINGDOM — (13.2%) | ||||||||||||||||||
British Land Co. P.L.C. | 3,773,213 | 30,806,108 | 3.2% | |||||||||||||||
Capital Shopping Centres Group P.L.C. | 1,978,248 | 12,181,127 | 1.3% | |||||||||||||||
Derwent London P.L.C. | 479,350 | 11,679,469 | 1.2% | |||||||||||||||
Great Portland Estates P.L.C. | 1,224,821 | 6,782,842 | 0.7% | |||||||||||||||
Hammerson P.L.C. | 3,060,087 | 20,559,473 | 2.1% | |||||||||||||||
Land Securities Group P.L.C. | 3,320,415 | 36,005,853 | 3.8% | |||||||||||||||
Segro P.L.C. | 2,944,062 | 13,987,374 | 1.5% | |||||||||||||||
Shaftesbury P.L.C. | 948,497 | 6,778,986 | 0.7% | |||||||||||||||
Other Securities | 6,477,735 | 0.7% | ||||||||||||||||
TOTAL UNITED KINGDOM | 145,258,967 | 15.2% | ||||||||||||||||
TOTAL COMMON STOCKS | 952,088,008 | 99.3% | ||||||||||||||||
73
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
FRANCE — (0.0%) | ||||||||||||||||||
Other Securities | $ | 124,732 | 0.0% | |||||||||||||||
SINGAPORE — (0.0%) | ||||||||||||||||||
Other Securities | 1,362 | 0.0% | ||||||||||||||||
TOTAL RIGHTS/WARRANTS | 126,094 | 0.0% | ||||||||||||||||
Face Amount | Value† | |||||||||||||||||
(000) | ||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.1%) | ||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, | $ | 1,525 | 1,525,000 | 0.2% | ||||||||||||||
Shares/ Face Amount | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (13.3%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 143,463,273 | 143,463,273 | 14.9% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, | $ | 2,625 | 2,625,310 | 0.3% | ||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 146,088,583 | 15.2% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 1,099,827,685 | 114.7% | |||||||||||||||
74
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Australia | — | $ | 242,138,514 | — | $ | 242,138,514 | ||||||||||||||||||
Belgium | — | 17,437,218 | — | 17,437,218 | ||||||||||||||||||||
Canada | $ | 63,480,583 | — | — | 63,480,583 | |||||||||||||||||||
China | — | 1,377,525 | — | 1,377,525 | ||||||||||||||||||||
France | — | 148,042,911 | — | 148,042,911 | ||||||||||||||||||||
Germany | — | 1,684,703 | — | 1,684,703 | ||||||||||||||||||||
Greece | — | 319,801 | — | 319,801 | ||||||||||||||||||||
Hong Kong | — | 38,254,636 | — | 38,254,636 | ||||||||||||||||||||
Israel | — | 51,978 | — | 51,978 | ||||||||||||||||||||
Italy | 695,942 | 979,517 | — | 1,675,459 | ||||||||||||||||||||
Japan | — | 148,118,587 | — | 148,118,587 | ||||||||||||||||||||
Malaysia | — | 793,555 | — | 793,555 | ||||||||||||||||||||
Netherlands | — | 43,655,730 | — | 43,655,730 | �� | |||||||||||||||||||
New Zealand | — | 8,728,043 | — | 8,728,043 | ||||||||||||||||||||
Singapore | — | 69,592,909 | — | 69,592,909 | ||||||||||||||||||||
South Africa | — | 13,875,612 | — | 13,875,612 | ||||||||||||||||||||
Taiwan | — | 4,645,246 | — | 4,645,246 | ||||||||||||||||||||
Turkey | — | 2,956,031 | — | 2,956,031 | ||||||||||||||||||||
United Kingdom | — | 145,258,967 | — | 145,258,967 | ||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||
France | 124,732 | — | — | 124,732 | ||||||||||||||||||||
Singapore | — | 1,362 | — | 1,362 | ||||||||||||||||||||
Temporary Cash Investments | — | 1,525,000 | — | 1,525,000 | ||||||||||||||||||||
Securities Lending Collateral | — | 146,088,583 | — | 146,088,583 | ||||||||||||||||||||
TOTAL | $ | 64,301,257 | $ | 1,035,526,428 | — | $ | 1,099,827,685 | |||||||||||||||||
See accompanying Notes to Financial Statements.
75
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value† | |||||||
AFFILIATED INVESTMENT COMPANIES — (99.8%) | ||||||||
Investment in DFA Real Estate Securities Portfolio of | 18,191,391 | $ | 386,385,137 | |||||
Investment in DFA International Real Estate Securities Portfolio of | 55,153,690 | 307,757,588 | ||||||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | 694,142,725 | |||||||
TEMPORARY CASH INVESTMENTS — (0.2%) | ||||||||
BlackRock Liquidity Funds Tempcash | 1,430,973 | 1,430,973 | ||||||
TOTAL INVESTMENTS - (100.0%) (Cost $529,165,349) | $ | 695,573,698 | ||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||
Investment in Securities (Market Value) | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Affiliated Investment Companies | $ | 694,142,725 | — | — | $ | 694,142,725 | ||||||
Temporary Cash Investments | 1,430,973 | — | — | 1,430,973 | ||||||||
TOTAL | $ | 695,573,698 | — | — | $ | 695,573,698 | ||||||
See accompanying Notes to Financial Statements.
76
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||
COMMON STOCKS — (93.1%) | ||||||||||||||||||
AUSTRALIA — (7.1%) | ||||||||||||||||||
Goodman Fielder, Ltd. | 21,749,231 | $ | 31,620,678 | 0.4% | ||||||||||||||
*Iluka Resources, Ltd. | 5,927,758 | 39,234,095 | 0.5% | |||||||||||||||
*Pacific Brands, Ltd. | 29,002,108 | 30,887,469 | 0.4% | |||||||||||||||
#Primary Health Care, Ltd. | 9,763,542 | 29,876,421 | 0.4% | |||||||||||||||
Other Securities | 450,069,866 | 5.9% | ||||||||||||||||
TOTAL AUSTRALIA | 581,688,529 | 7.6% | ||||||||||||||||
AUSTRIA — (1.0%) | ||||||||||||||||||
#*Wienerberger AG | 2,001,544 | 33,732,051 | 0.4% | |||||||||||||||
Other Securities | 49,779,914 | 0.7% | ||||||||||||||||
TOTAL AUSTRIA | 83,511,965 | 1.1% | ||||||||||||||||
BELGIUM — (1.3%) | ||||||||||||||||||
Other Securities | 106,109,504 | 1.4% | ||||||||||||||||
CANADA — (11.4%) | ||||||||||||||||||
#*Canfor Corp | 2,774,490 | 26,197,018 | 0.3% | |||||||||||||||
*Celestica, Inc. | 4,081,842 | 34,378,883 | 0.5% | |||||||||||||||
Dorel Industries, Inc. Class B | 842,000 | 28,383,136 | 0.4% | |||||||||||||||
#Groupe Aeroplan, Inc. | 3,847,565 | 46,778,906 | 0.6% | |||||||||||||||
#HudBay Minerals, Inc. | 2,339,093 | 36,924,598 | 0.5% | |||||||||||||||
#Laurentian Bank of Canada. | 707,853 | 30,711,340 | 0.4% | |||||||||||||||
*Lundin Mining Corp. | 7,418,026 | 46,985,438 | 0.6% | |||||||||||||||
*New Gold, Inc. | 6,635,020 | 49,116,973 | 0.6% | |||||||||||||||
*RONA, Inc. | 3,264,600 | 41,611,727 | 0.6% | |||||||||||||||
Sherritt International Corp. | 6,254,073 | 48,627,119 | 0.6% | |||||||||||||||
West Fraser Timber Co., Ltd. | 682,254 | 29,634,133 | 0.4% | |||||||||||||||
Other Securities | 515,779,701 | 6.7% | ||||||||||||||||
TOTAL CANADA | 935,128,972 | 12.2% | ||||||||||||||||
DENMARK — (0.7%) | ||||||||||||||||||
Other Securities | 61,300,446 | 0.8% | ||||||||||||||||
FINLAND — (3.1%) | ||||||||||||||||||
Kemira Oyj | 1,784,173 | 26,265,376 | 0.3% | |||||||||||||||
#Outokumpu Oyj | 2,864,481 | 51,456,040 | 0.7% | |||||||||||||||
Pohjola Bank P.L.C. | 3,363,010 | 42,547,353 | 0.5% | |||||||||||||||
#*Rautaruukki Oyj Series K | 1,412,365 | 28,067,599 | 0.4% | |||||||||||||||
Other Securities | 104,107,750 | 1.4% | ||||||||||||||||
TOTAL FINLAND | 252,444,118 | 3.3% | ||||||||||||||||
FRANCE — (5.8%) | ||||||||||||||||||
Arkema SA | 1,028,400 | 66,453,775 | 0.9% | |||||||||||||||
Havas SA | 7,563,593 | 39,852,335 | 0.5% | |||||||||||||||
#Nexans SA | �� | 593,945 | 42,364,142 | 0.6% | ||||||||||||||
*Valeo SA | 736,226 | 39,796,267 | 0.5% | |||||||||||||||
Other Securities | 282,353,969 | 3.7% | ||||||||||||||||
TOTAL FRANCE | 470,820,488 | 6.2% | ||||||||||||||||
GERMANY — (6.0%) | ||||||||||||||||||
Aurubis AG | 1,055,010 | 54,393,284 | 0.7% | |||||||||||||||
Bilfinger Berger SE | 956,696 | 70,128,204 | 0.9% | |||||||||||||||
Lanxess AG | 681,153 | 47,342,930 | 0.6% | |||||||||||||||
#*TUI AG | 2,408,454 | 28,152,149 | 0.4% | |||||||||||||||
Other Securities | 287,480,223 | 3.8% | ||||||||||||||||
TOTAL GERMANY | 487,496,790 | 6.4% | ||||||||||||||||
77
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
GREECE — (0.4%) | ||||||||||||||||||
Other Securities | $ | 35,042,512 | 0.5% | |||||||||||||||
HONG KONG — (2.9%) | ||||||||||||||||||
Other Securities | 237,589,109 | 3.1% | ||||||||||||||||
IRELAND — (0.3%) | ||||||||||||||||||
Other Securities | 26,035,515 | 0.3% | ||||||||||||||||
ISRAEL — (0.7%) | ||||||||||||||||||
Other Securities | 55,767,818 | 0.7% | ||||||||||||||||
ITALY — (3.2%) | ||||||||||||||||||
Banca Popolare di Milano Scarl | 10,151,010 | �� | 47,461,321 | 0.6% | ||||||||||||||
Pirelli & Co. SpA | 4,750,256 | 40,586,921 | 0.5% | |||||||||||||||
Other Securities | 175,521,662 | 2.3% | ||||||||||||||||
TOTAL ITALY | 263,569,904 | 3.4% | ||||||||||||||||
JAPAN — (19.1%) | ||||||||||||||||||
Other Securities | 1,561,389,142 | 20.4% | ||||||||||||||||
MALAYSIA — (0.0%) | ||||||||||||||||||
Other Securities | 3,723 | 0.0% | ||||||||||||||||
NETHERLANDS — (1.8%) | ||||||||||||||||||
Nutreco NV | 569,367 | 41,477,758 | 0.5% | |||||||||||||||
Other Securities | 107,765,123 | 1.4% | ||||||||||||||||
TOTAL NETHERLANDS | 149,242,881 | 1.9% | ||||||||||||||||
NEW ZEALAND — (0.4%) | ||||||||||||||||||
Other Securities | 35,928,179 | 0.5% | ||||||||||||||||
NORWAY — (1.4%) | ||||||||||||||||||
Other Securities | 117,059,231 | 1.5% | ||||||||||||||||
PORTUGAL — (0.2%) | ||||||||||||||||||
Other Securities | 17,650,663 | 0.2% | ||||||||||||||||
SINGAPORE — (1.6%) | ||||||||||||||||||
Other Securities | 127,268,578 | 1.7% | ||||||||||||||||
SPAIN — (1.5%) | ||||||||||||||||||
Other Securities | 121,612,657 | 1.6% | ||||||||||||||||
SWEDEN — (2.9%) | ||||||||||||||||||
Boliden AB | 2,189,573 | 37,177,537 | 0.5% | |||||||||||||||
Holmen AB | 932,809 | 29,611,539 | 0.4% | |||||||||||||||
Trelleborg AB Series B | 6,681,684 | 62,971,965 | 0.8% | |||||||||||||||
Other Securities | 110,052,817 | 1.4% | ||||||||||||||||
TOTAL SWEDEN | 239,813,858 | 3.1% | ||||||||||||||||
SWITZERLAND — (4.5%) | ||||||||||||||||||
*Clariant AG | 3,580,483 | 60,553,635 | 0.8% | |||||||||||||||
Helvetia Holding AG | 102,377 | 36,060,333 | 0.5% | |||||||||||||||
Other Securities | 271,158,203 | 3.5% | ||||||||||||||||
TOTAL SWITZERLAND | 367,772,171 | 4.8% | ||||||||||||||||
UNITED KINGDOM — (15.8%) | ||||||||||||||||||
Amlin P.L.C. | 9,708,370 | 63,229,380 | 0.8% | |||||||||||||||
Bellway P.L.C. | 3,481,205 | 29,776,033 | 0.4% | |||||||||||||||
#Brit Insurance Holdings NV | 2,890,998 | 48,387,798 | 0.6% | |||||||||||||||
Catlin Group, Ltd. P.L.C. | 8,513,512 | 47,537,231 | 0.6% |
78
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
UNITED KINGDOM — (Continued) | ||||||||||||||||||
Close Brothers Group P.L.C. | 2,135,186 | $ | 26,393,212 | 0.3% | ||||||||||||||
*Cookson Group P.L.C. | 4,321,345 | 35,675,598 | 0.5% | |||||||||||||||
DS Smith P.L.C. | 12,895,987 | 34,788,033 | 0.5% | |||||||||||||||
Greene King P.L.C. | 5,373,011 | 36,009,996 | 0.5% | |||||||||||||||
Hiscox, Ltd. P.L.C. | 10,648,017 | 60,438,649 | 0.8% | |||||||||||||||
Meggitt P.L.C. | 12,845,857 | 67,909,910 | 0.9% | |||||||||||||||
Millennium & Copthorne Hotels P.L.C. | 5,091,746 | 44,464,042 | 0.6% | |||||||||||||||
Mondi P.L.C. | 7,958,099 | 66,262,747 | 0.9% | |||||||||||||||
*Persimmon P.L.C. | 6,948,776 | 37,958,536 | 0.5% | |||||||||||||||
*Travis Perkins P.L.C. | 3,926,630 | 52,047,102 | 0.7% | |||||||||||||||
Other Securities | 639,331,768 | 8.3% | ||||||||||||||||
TOTAL UNITED KINGDOM | 1,290,210,035 | 16.9% | ||||||||||||||||
TOTAL COMMON STOCKS | 7,624,456,788 | 99.6% | ||||||||||||||||
PREFERRED STOCKS — (0.1%) | ||||||||||||||||||
AUSTRALIA — (0.1%) | ||||||||||||||||||
Other Securities | 3,335,033 | 0.0% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
AUSTRALIA — (0.0%) | ||||||||||||||||||
Other Securities | — | 0.0% | ||||||||||||||||
BELGIUM — (0.0%) | ||||||||||||||||||
Other Securities | 13,021 | 0.0% | ||||||||||||||||
CANADA — (0.0%) | ||||||||||||||||||
Other Securities | 74,589 | 0.0% | ||||||||||||||||
FRANCE — (0.0%) | ||||||||||||||||||
Other Securities | 95,171 | 0.0% | ||||||||||||||||
HONG KONG — (0.0%) | ||||||||||||||||||
Other Securities | 95,934 | 0.0% | ||||||||||||||||
ITALY — (0.0%) | ||||||||||||||||||
Other Securities | 33,143 | 0.0% | ||||||||||||||||
SWEDEN — (0.0%) | ||||||||||||||||||
Other Securities | 11,863 | 0.0% | ||||||||||||||||
UNITED KINGDOM — (0.0%) | ||||||||||||||||||
Other Securities | 6,330 | 0.0% | ||||||||||||||||
TOTAL RIGHTS/WARRANTS | 330,051 | 0.0% | ||||||||||||||||
Face | Value† | |||||||||||||||||
(000) | ||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.1%) | ||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $18,270,000 FHLMC 5.228%(r), 09/01/38, valued at $11,272,220) to be repurchased at $11,103,176 | $ | 11,103 | 11,103,000 | 0.2% |
79
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares/ Face Amount | Value† | Percentage | ||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (6.7%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 548,700,317 | $ 548,700,317 | 7.2% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by | $334 | 334,104 | 0.0% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 549,034,421 | 7.2% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $8,188,259,293 | 107.0% | ||||||||||||||||
80
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Australia | $ | 217,235 | $ | 581,471,294 | — | $ | 581,688,529 | |||||||||||
Austria | 20,334 | 83,491,631 | — | 83,511,965 | ||||||||||||||
Belgium | — | 106,109,504 | — | 106,109,504 | ||||||||||||||
Canada | 935,128,972 | — | — | 935,128,972 | ||||||||||||||
Denmark | 160,955 | 61,139,491 | — | 61,300,446 | ||||||||||||||
Finland | — | 252,444,118 | — | 252,444,118 | ||||||||||||||
France | — | 470,820,488 | — | 470,820,488 | ||||||||||||||
Germany | 627 | 487,496,163 | — | 487,496,790 | ||||||||||||||
Greece | 554,551 | 34,487,961 | — | 35,042,512 | ||||||||||||||
Hong Kong | 20,590 | 237,568,519 | — | 237,589,109 | ||||||||||||||
Ireland | — | 26,035,515 | — | 26,035,515 | ||||||||||||||
Israel | — | 55,767,818 | — | 55,767,818 | ||||||||||||||
Italy | — | 263,569,904 | — | 263,569,904 | ||||||||||||||
Japan | 1,831,746 | 1,559,557,396 | — | 1,561,389,142 | ||||||||||||||
Malaysia | — | 3,723 | — | 3,723 | ||||||||||||||
Netherlands | 32,423 | 149,210,458 | — | 149,242,881 | ||||||||||||||
New Zealand | — | 35,928,179 | — | 35,928,179 | ||||||||||||||
Norway | — | 117,059,231 | — | 117,059,231 | ||||||||||||||
Portugal | — | 17,650,663 | — | 17,650,663 | ||||||||||||||
Singapore | 572,460 | 126,696,118 | — | 127,268,578 | ||||||||||||||
Spain | — | 121,612,657 | — | 121,612,657 | ||||||||||||||
Sweden | — | 239,813,858 | — | 239,813,858 | ||||||||||||||
Switzerland | — | 367,772,171 | — | 367,772,171 | ||||||||||||||
United Kingdom | 258,534 | 1,289,951,501 | — | 1,290,210,035 | ||||||||||||||
Preferred Stocks | ||||||||||||||||||
Australia | — | 3,335,033 | — | 3,335,033 | ||||||||||||||
Rights/Warrants | ||||||||||||||||||
Australia | — | — | — | — | ||||||||||||||
Belgium | 13,021 | — | — | 13,021 | ||||||||||||||
Canada | 74,589 | — | — | 74,589 | ||||||||||||||
France | 95,171 | — | — | 95,171 | ||||||||||||||
Hong Kong | 26,486 | 69,448 | — | 95,934 | ||||||||||||||
Italy | 33,143 | — | — | 33,143 | ||||||||||||||
Sweden | — | 11,863 | — | 11,863 | ||||||||||||||
United Kingdom | — | 6,330 | — | 6,330 | ||||||||||||||
Temporary Cash Investments | — | 11,103,000 | — | 11,103,000 | ||||||||||||||
Securities Lending Collateral | — | 549,034,421 | — | 549,034,421 | ||||||||||||||
TOTAL | $ | 939,040,837 | $ | 7,249,218,456 | — | $ | 8,188,259,293 | |||||||||||
See accompanying Notes to Financial Statements.
81
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||
COMMON STOCKS — (88.4%) | ||||||||||||||
AUSTRALIA — (6.2%) | ||||||||||||||
Australia & New Zealand Banking Group, Ltd. | 30,566 | $ 745,709 | 0.2% | |||||||||||
Other Securities | 24,653,960 | 6.8% | ||||||||||||
TOTAL AUSTRALIA | 25,399,669 | 7.0% | ||||||||||||
AUSTRIA — (0.7%) | ||||||||||||||
Voestalpine AG | 16,154 | 641,468 | 0.2% | |||||||||||
Other Securities | 2,166,676 | 0.6% | ||||||||||||
TOTAL AUSTRIA | 2,808,144 | 0.8% | ||||||||||||
BELGIUM — (1.3%) | ||||||||||||||
#Solvay SA | 5,891 | 624,272 | 0.2% | |||||||||||
Other Securities | 4,530,190 | 1.2% | ||||||||||||
TOTAL BELGIUM | 5,154,462 | 1.4% | ||||||||||||
CANADA — (9.8%) | ||||||||||||||
#Bank of Montreal | 11,300 | 667,319 | 0.2% | |||||||||||
Magna International, Inc. | 9,280 | 839,285 | 0.2% | |||||||||||
Suncor Energy, Inc. | 29,572 | 947,557 | 0.3% | |||||||||||
Talisman Energy, Inc. | 45,748 | 829,376 | 0.2% | |||||||||||
Teck Resources, Ltd. Class B | 33,100 | 1,479,910 | 0.4% | |||||||||||
#Toronto Dominion Bank | 11,000 | 792,185 | 0.2% | |||||||||||
Other Securities | 34,410,396 | 9.5% | ||||||||||||
TOTAL CANADA | 39,966,028 | 11.0% | ||||||||||||
DENMARK — (1.0%) | ||||||||||||||
Other Securities | 4,003,151 | 1.1% | ||||||||||||
FINLAND — (1.8%) | ||||||||||||||
UPM-Kymmene Oyj | 49,028 | 814,623 | 0.2% | |||||||||||
Other Securities | 6,665,924 | 1.9% | ||||||||||||
TOTAL FINLAND | 7,480,547 | 2.1% | ||||||||||||
FRANCE — (6.3%) | ||||||||||||||
BNP Paribas SA | 15,171 | 1,109,697 | 0.3% | |||||||||||
Cie de Saint-Gobain SA | 16,388 | 769,950 | 0.2% | |||||||||||
Cie Generale des Establissements Michelin SA Series B | 8,962 | 716,085 | 0.2% | |||||||||||
Other Securities | 23,191,532 | 6.4% | ||||||||||||
TOTAL FRANCE | 25,787,264 | 7.1% | ||||||||||||
GERMANY — (5.1%) | ||||||||||||||
*Daimler AG | 10,656 | 704,185 | 0.2% | |||||||||||
Deutsche Bank AG | 30,792 | 1,782,241 | 0.5% | |||||||||||
*Infineon Technologies AG ADR | 88,444 | 694,285 | 0.2% | |||||||||||
Other Securities | 17,776,015 | 4.9% | ||||||||||||
TOTAL GERMANY | 20,956,726 | 5.8% | ||||||||||||
GREECE — (0.7%) | ||||||||||||||
Other Securities | 2,843,748 | 0.8% | ||||||||||||
HONG KONG — (2.6%) | ||||||||||||||
Other Securities | 10,745,239 | 3.0% | ||||||||||||
IRELAND — (0.7%) | ||||||||||||||
Other Securities | 2,979,585 | 0.8% | ||||||||||||
82
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
ISRAEL — (0.7%) | ||||||||||||||||||
Teva Pharmaceutical Industries, Ltd. Sponsored ADR | 12,719 | $ 660,116 | 0.2% | |||||||||||||||
Other Securities | 2,380,647 | 0.6% | ||||||||||||||||
TOTAL ISRAEL | 3,040,763 | 0.8% | ||||||||||||||||
ITALY — (2.6%) | ||||||||||||||||||
Other Securities | 10,439,114 | 2.9% | ||||||||||||||||
JAPAN — (17.2%) | ||||||||||||||||||
Mitsubishi UFJ Financial Group, Inc. | 208,200 | 966,257 | 0.3% | |||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | 23,700 | 707,392 | 0.2% | |||||||||||||||
Other Securities | 68,388,609 | 18.8% | ||||||||||||||||
TOTAL JAPAN | 70,062,258 | 19.3% | ||||||||||||||||
NETHERLANDS — (2.4%) | ||||||||||||||||||
*ING Groep NV Sponsored ADR | 72,426 | 780,752 | 0.2% | |||||||||||||||
Koninklijke DSM NV | 11,964 | 640,295 | 0.2% | |||||||||||||||
Other Securities | 8,172,724 | 2.2% | ||||||||||||||||
TOTAL NETHERLANDS | 9,593,771 | 2.6% | ||||||||||||||||
NEW ZEALAND — (0.3%) | ||||||||||||||||||
Other Securities | 1,110,892 | 0.3% | ||||||||||||||||
NORWAY — (1.2%) | ||||||||||||||||||
DnB NOR ASA Series A | 46,946 | 644,868 | 0.2% | |||||||||||||||
Other Securities | 4,315,127 | 1.2% | ||||||||||||||||
TOTAL NORWAY | 4,959,995 | 1.4% | ||||||||||||||||
PORTUGAL — (0.4%) | ||||||||||||||||||
Other Securities | 1,608,017 | 0.4% | ||||||||||||||||
SINGAPORE — (1.6%) | ||||||||||||||||||
Other Securities | 6,461,864 | 1.8% | ||||||||||||||||
SPAIN — (1.9%) | ||||||||||||||||||
Banco Santander SA | 59,423 | 762,730 | 0.2% | |||||||||||||||
Banco Santander SA Sponsored ADR | 49,963 | 640,026 | 0.2% | |||||||||||||||
Other Securities | 6,145,779 | 1.7% | ||||||||||||||||
TOTAL SPAIN | 7,548,535 | 2.1% | ||||||||||||||||
SWEDEN — (2.6%) | ||||||||||||||||||
Other Securities | 10,623,539 | 2.9% | ||||||||||||||||
SWITZERLAND — (5.3%) | ||||||||||||||||||
Holcim, Ltd. AG | 21,970 | 1,368,650 | 0.4% | |||||||||||||||
#*Novartis AG ADR | 11,400 | 660,630 | 0.2% | |||||||||||||||
Swatch Group AG | 2,379 | 909,333 | 0.2% | |||||||||||||||
Swiss Reinsurance Co., Ltd. AG | 23,898 | 1,148,230 | 0.3% | |||||||||||||||
#*UBS AG | 52,017 | 883,641 | 0.2% | |||||||||||||||
Zurich Financial Services AG | 7,781 | 1,904,146 | 0.5% | |||||||||||||||
Other Securities | 14,748,072 | 4.1% | ||||||||||||||||
TOTAL SWITZERLAND | 21,622,702 | 5.9% | ||||||||||||||||
UNITED KINGDOM — (16.0%) | ||||||||||||||||||
Anglo American P.L.C. | 48,414 | 2,255,764 | 0.6% | |||||||||||||||
Aviva P.L.C. | 128,562 | 819,885 | 0.2% | |||||||||||||||
*BP P.L.C. Sponsored ADR | 18,084 | 738,370 | 0.2% | |||||||||||||||
#HSBC Holdings P.L.C. Sponsored ADR | 51,029 | 2,659,121 | 0.7% | |||||||||||||||
International Power P.L.C. | 155,255 | 1,035,900 | 0.3% | |||||||||||||||
Kingfisher P.L.C. | 232,192 | 884,562 | 0.3% | |||||||||||||||
Legal & General Group P.L.C. | 594,171 | 955,252 | 0.3% |
83
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
UNITED KINGDOM — (Continued) | ||||||||||||||||||
*Lloyds Banking Group P.L.C. | 637,217 | $ 700,384 | 0.2% | |||||||||||||||
Man Group P.L.C. | 175,697 | 734,349 | 0.2% | |||||||||||||||
Old Mutual P.L.C. | 499,092 | 1,039,401 | 0.3% | |||||||||||||||
Prudential P.L.C. | 68,348 | 691,277 | 0.2% | |||||||||||||||
Resolution, Ltd. P.L.C. | 153,392 | 643,070 | 0.2% | |||||||||||||||
#Royal Dutch Shell P.L.C. ADR | 45,916 | 2,953,317 | 0.8% | |||||||||||||||
RSA Insurance Group P.L.C. | 351,201 | 736,810 | 0.2% | |||||||||||||||
Standard Chartered P.L.C. | 26,966 | 779,992 | 0.2% | |||||||||||||||
Standard Life P.L.C. | 228,627 | 831,141 | 0.2% | |||||||||||||||
Vodafone Group P.L.C. Sponsored ADR | 83,315 | 2,291,996 | 0.6% | |||||||||||||||
Weir Group P.L.C. (The) | 33,007 | 823,815 | 0.2% | |||||||||||||||
*Wolseley P.L.C. | 25,895 | 688,798 | 0.2% | |||||||||||||||
Xstrata P.L.C. | 77,287 | 1,497,311 | 0.4% | |||||||||||||||
Other Securities | 41,309,890 | 11.4% | ||||||||||||||||
TOTAL UNITED KINGDOM | 65,070,405 | 17.9% | ||||||||||||||||
TOTAL COMMON STOCKS | 360,266,418 | 99.2% | ||||||||||||||||
PREFERRED STOCKS — (0.0%) | ||||||||||||||||||
AUSTRALIA — (0.0%) | ||||||||||||||||||
Other Securities | 56,296 | 0.0% | ||||||||||||||||
GERMANY — (0.0%) | ||||||||||||||||||
Other Securities | 37,465 | 0.0% | ||||||||||||||||
TOTAL PREFERRED STOCKS | 93,761 | 0.0% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
AUSTRIA — (0.0%) | ||||||||||||||||||
Other Securities | 37 | 0.0% | ||||||||||||||||
BELGIUM — (0.0%) | ||||||||||||||||||
Other Securities | 96 | 0.0% | ||||||||||||||||
FRANCE — (0.0%) | ||||||||||||||||||
Other Securities | 2,560 | 0.0% | ||||||||||||||||
HONG KONG — (0.0%) | ||||||||||||||||||
Other Securities | 385 | 0.0% | ||||||||||||||||
UNITED KINGDOM — (0.0%) | ||||||||||||||||||
Other Securities | 97,627 | 0.0% | ||||||||||||||||
TOTAL RIGHTS/WARRANTS | 100,705 | 0.0% | ||||||||||||||||
Face | Value† | |||||||||||||||||
(000) | ||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.4%) | ||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $3,315,000 FNMA 5.50%, 12/01/38,valued at $1,706,018) to be repurchased at $1,680,027 | $1,680 | 1,680,000 | 0.5% | |||||||||||||||
Shares/ | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (11.2%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 43,488,771 | 43,488,771 | 12.0% |
84
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Shares/ | Value† | Percentage | ||||||||||||||||
(000) | ||||||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, | $ | 1,938 | $ | 1,938,390 | 0.5% | |||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 45,427,161 | 12.5% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 407,568,045 | 112.2% | |||||||||||||||
85
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Australia | $ | 273,652 | $ | 25,126,017 | — | $ | 25,399,669 | |||||||||||||||||
Austria | — | 2,808,144 | — | 2,808,144 | ||||||||||||||||||||
Belgium | 239,564 | 4,914,898 | — | 5,154,462 | ||||||||||||||||||||
Canada | 39,966,028 | — | — | 39,966,028 | ||||||||||||||||||||
Denmark | 12,282 | 3,990,869 | — | 4,003,151 | ||||||||||||||||||||
Finland | — | 7,480,547 | — | 7,480,547 | ||||||||||||||||||||
France | 1,218,150 | 24,569,114 | — | 25,787,264 | ||||||||||||||||||||
Germany | 3,060,978 | 17,895,748 | — | 20,956,726 | ||||||||||||||||||||
Greece | 152,318 | 2,691,430 | — | 2,843,748 | ||||||||||||||||||||
Hong Kong | 1,420 | 10,743,819 | — | 10,745,239 | ||||||||||||||||||||
Ireland | 530,832 | 2,448,753 | — | 2,979,585 | ||||||||||||||||||||
Israel | 779,642 | 2,261,121 | — | 3,040,763 | ||||||||||||||||||||
Italy | 605,447 | 9,833,667 | — | 10,439,114 | ||||||||||||||||||||
Japan | 2,598,099 | 67,464,159 | — | 70,062,258 | ||||||||||||||||||||
Netherlands | 2,363,999 | 7,229,772 | — | 9,593,771 | ||||||||||||||||||||
New Zealand | — | 1,110,892 | — | 1,110,892 | ||||||||||||||||||||
Norway | 45,968 | 4,914,027 | — | 4,959,995 | ||||||||||||||||||||
Portugal | 14,409 | 1,593,608 | — | 1,608,017 | ||||||||||||||||||||
Singapore | 1,168 | 6,460,696 | — | 6,461,864 | ||||||||||||||||||||
Spain | 1,393,120 | 6,155,415 | — | 7,548,535 | ||||||||||||||||||||
Sweden | 196,721 | 10,426,818 | — | 10,623,539 | ||||||||||||||||||||
Switzerland | 1,785,783 | 19,836,919 | — | 21,622,702 | ||||||||||||||||||||
United Kingdom | 9,794,457 | 55,275,948 | — | 65,070,405 | ||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||
Australia | — | 56,296 | — | 56,296 | ||||||||||||||||||||
Germany | — | 37,465 | — | 37,465 | ||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||
Austria | — | 37 | — | 37 | ||||||||||||||||||||
Belgium | 96 | — | — | 96 | ||||||||||||||||||||
France | 2,560 | — | — | 2,560 | ||||||||||||||||||||
Hong Kong | 385 | — | — | 385 | ||||||||||||||||||||
United Kingdom | — | 97,627 | — | 97,627 | ||||||||||||||||||||
Temporary Cash Investments | — | 1,680,000 | — | 1,680,000 | ||||||||||||||||||||
Securities Lending Collateral | — | 45,427,161 | — | 45,427,161 | ||||||||||||||||||||
TOTAL | $ | 65,037,078 | $ | 342,530,967 | — | $ | 407,568,045 | |||||||||||||||||
See accompanying Notes to Financial Statements.
86
SCHEDULES OF INVESTMENTS
October 31, 2010
Value† | ||||
AFFILIATED INVESTMENT COMPANY — (100.0%) | ||||
Investment in The Emerging Markets Series of | $ | 2,373,379,206 | ||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY | $ | 2,373,379,206 | ||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||
Investment in Securities (Market Value) | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Affiliated Investment Company | $ | 2,373,379,206 | — | — | $ | 2,373,379,206 |
EMERGING MARKETS SMALL CAP PORTFOLIO
Value† | ||||
AFFILIATED INVESTMENT COMPANY — (100.0%) | ||||
Investment in The Emerging Markets Small Cap Series of | $ | 1,833,749,476 | ||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY | $ | 1,833,749,476 | ||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||
Investment in Securities (Market Value) | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Affiliated Investment Company | $ | 1,833,749,476 | — | — | $ | 1,833,749,476 |
See accompanying Notes to Financial Statements.
87
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2010
Value† | ||||
AFFILIATED INVESTMENT COMPANY — (100.0%) | ||||
Investment in Dimensional Emerging Markets Value Fund | $ | 11,586,667,027 | ||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY | $ | 11,586,667,027 | ||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||
Investment in Securities (Market Value) | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Affiliated Investment Company | $ | 11,586,667,027 | — | — | $ | 11,586,667,027 |
See accompanying Notes to Financial Statements.
88
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||
COMMON STOCKS — (86.2%) | ||||||||||||||||||
BRAZIL — (6.4%) | ||||||||||||||||||
Banco Santander Brasil SA ADR | 918,363 | $13,224,427 | 0.3% | |||||||||||||||
BM&F Bovespa SA | 2,153,883 | 17,962,748 | 0.4% | |||||||||||||||
#BRF - Brasil Foods SA ADR | 665,421 | 9,735,109 | 0.2% | |||||||||||||||
Petroleo Brasileiro SA ADR | 1,167,237 | 39,826,126 | 1.0% | |||||||||||||||
#Vale SA Sponsored ADR | 819,190 | 26,328,767 | 0.6% | |||||||||||||||
Other Securities | 182,987,573 | 4.4% | ||||||||||||||||
TOTAL BRAZIL | 290,064,750 | 6.9% | ||||||||||||||||
CHILE — (2.4%) | ||||||||||||||||||
Centros Comerciales Sudamericanos SA | 1,366,292 | 10,644,592 | 0.3% | |||||||||||||||
Empresas CMPC SA | 183,412 | 9,861,465 | 0.2% | |||||||||||||||
Other Securities | 86,503,695 | 2.1% | ||||||||||||||||
TOTAL CHILE | 107,009,752 | 2.6% | ||||||||||||||||
CHINA — (12.1%) | ||||||||||||||||||
Bank of China, Ltd. | 37,195,418 | 22,388,909 | 0.5% | |||||||||||||||
China Construction Bank Corp. | 27,843,000 | 26,618,005 | 0.6% | |||||||||||||||
#China Life Insurance Co., Ltd. ADR | 198,056 | 13,026,143 | 0.3% | |||||||||||||||
#China Mobile, Ltd. Sponsored ADR | 745,451 | 38,293,818 | 0.9% | |||||||||||||||
China Petroleum & Chemical Corp. ADR | 102,615 | 9,780,236 | 0.2% | |||||||||||||||
#CNOOC, Ltd. ADR | 116,476 | 24,334,166 | 0.6% | |||||||||||||||
Industrial & Commercial Bank of China, Ltd. Series H | 33,449,200 | 27,023,394 | 0.7% | |||||||||||||||
#PetroChina Co., Ltd. ADR | 129,733 | 15,950,672 | 0.4% | |||||||||||||||
Other Securities | 370,240,242 | 8.9% | ||||||||||||||||
TOTAL CHINA | 547,655,585 | 13.1% | ||||||||||||||||
COLOMBIA — (0.2%) | ||||||||||||||||||
Other Securities | 8,434,133 | 0.2% | ||||||||||||||||
CZECH REPUBLIC — (0.4%) | ||||||||||||||||||
Other Securities | 19,724,216 | 0.5% | ||||||||||||||||
EGYPT — (0.1%) | ||||||||||||||||||
Other Securities | 4,479,656 | 0.1% | ||||||||||||||||
HUNGARY — (0.7%) | ||||||||||||||||||
#*OTP Bank P.L.C. | 488,536 | 14,508,520 | 0.4% | |||||||||||||||
Other Securities | 17,612,863 | 0.4% | ||||||||||||||||
TOTAL HUNGARY | 32,121,383 | 0.8% | ||||||||||||||||
INDIA — (11.0%) | ||||||||||||||||||
HDFC Bank, Ltd. | 216,913 | 11,147,177 | 0.3% | |||||||||||||||
ICICI Bank, Ltd. Sponsored ADR | 396,338 | 20,839,452 | 0.5% | |||||||||||||||
Infosys Technologies, Ltd. | 225,217 | 15,092,410 | 0.4% | |||||||||||||||
Reliance Industries, Ltd. | 1,381,092 | 34,093,896 | 0.8% | |||||||||||||||
Other Securities | 415,977,732 | 9.9% | ||||||||||||||||
TOTAL INDIA | 497,150,667 | 11.9% | ||||||||||||||||
INDONESIA — (3.2%) | ||||||||||||||||||
PT Astra International Tbk | 2,085,000 | 13,349,452 | 0.3% | |||||||||||||||
Other Securities | 131,381,222 | 3.2% | ||||||||||||||||
TOTAL INDONESIA | 144,730,674 | 3.5% | ||||||||||||||||
ISRAEL — (0.0%) | ||||||||||||||||||
Other Securities | 451,529 | 0.0% | ||||||||||||||||
89
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
MALAYSIA — (3.5%) | ||||||||||||||||||
Other Securities | $ | 160,164,505 | 3.8% | |||||||||||||||
MEXICO — (4.4%) | ||||||||||||||||||
America Movil S.A.B. de C.V. Series L ADR | 443,009 | 25,366,695 | 0.6% | |||||||||||||||
*Cemex S.A.B. de C.V. Sponsored ADR | 1,460,470 | 12,808,322 | 0.3% | |||||||||||||||
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR | 269,936 | 14,822,186 | 0.3% | |||||||||||||||
#Grupo Financiero Banorte S.A.B. de C.V. | 2,596,307 | 11,108,106 | 0.3% | |||||||||||||||
Grupo Mexico S.A.B. de C.V. Series B | 5,000,219 | 16,473,025 | 0.4% | |||||||||||||||
Other Securities | 116,225,000 | 2.8% | ||||||||||||||||
TOTAL MEXICO | 196,803,334 | 4.7% | ||||||||||||||||
PERU — (0.3%) | ||||||||||||||||||
Other Securities | 11,197,916 | 0.3% | ||||||||||||||||
PHILIPPINES — (0.9%) | ||||||||||||||||||
Other Securities | 42,776,109 | 1.0% | ||||||||||||||||
POLAND — (1.6%) | ||||||||||||||||||
Other Securities | 71,732,721 | 1.7% | ||||||||||||||||
RUSSIA — (3.4%) | ||||||||||||||||||
Gazprom OAO Sponsored ADR | 2,814,175 | 61,616,486 | 1.5% | |||||||||||||||
Lukoil OAO Sponsored ADR | 502,859 | 28,041,883 | 0.6% | |||||||||||||||
Other Securities | 62,371,774 | 1.5% | ||||||||||||||||
TOTAL RUSSIA | 152,030,143 | 3.6% | ||||||||||||||||
SOUTH AFRICA — (7.9%) | ||||||||||||||||||
ABSA Group, Ltd. | 502,633 | 9,737,407 | 0.2% | |||||||||||||||
Gold Fields, Ltd. Sponsored ADR | 915,915 | 14,443,980 | 0.4% | |||||||||||||||
Impala Platinum Holdings, Ltd. | 418,209 | 11,806,933 | 0.3% | |||||||||||||||
MTN Group, Ltd. | 1,101,689 | 19,509,715 | 0.5% | |||||||||||||||
Naspers, Ltd. Series N | 378,717 | 19,718,764 | 0.5% | |||||||||||||||
Sanlam, Ltd. | 3,530,404 | 13,218,358 | 0.3% | |||||||||||||||
#Sasol, Ltd. Sponsored ADR | 502,813 | 22,752,288 | 0.5% | |||||||||||||||
Standard Bank Group, Ltd. | 1,234,704 | 18,160,831 | 0.4% | |||||||||||||||
Other Securities | 228,620,168 | 5.5% | ||||||||||||||||
TOTAL SOUTH AFRICA | 357,968,444 | 8.6% | ||||||||||||||||
SOUTH KOREA — (12.0%) | ||||||||||||||||||
Hyundai Motor Co., Ltd. | 127,347 | 19,278,402 | 0.5% | |||||||||||||||
#KB Financial Group, Inc. ADR | 254,734 | 11,437,557 | 0.3% | |||||||||||||||
POSCO ADR. | 193,830 | 20,146,690 | 0.5% | |||||||||||||||
Samsung Corp. | 176,799 | 10,382,957 | 0.2% | |||||||||||||||
Samsung Electronics Co., Ltd. | 95,497 | 63,355,186 | 1.5% | |||||||||||||||
Shinhan Financial Group Co., Ltd. ADR | 135,631 | 10,548,023 | 0.2% | |||||||||||||||
Other Securities | 408,815,501 | 9.8% | ||||||||||||||||
TOTAL SOUTH KOREA | 543,964,316 | 13.0% | ||||||||||||||||
TAIWAN — (11.2%) | ||||||||||||||||||
Hon Hai Precision Industry Co., Ltd. | 4,008,352 | 15,159,736 | 0.3% | |||||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 10,155,652 | 20,893,350 | 0.5% | |||||||||||||||
Other Securities | 471,558,810 | 11.3% | ||||||||||||||||
TOTAL TAIWAN | 507,611,896 | 12.1% | ||||||||||||||||
THAILAND — (2.3%) | ||||||||||||||||||
PTT PCL (Foreign) | 1,028,800 | 10,397,812 | 0.3% | |||||||||||||||
Other Securities | 93,386,196 | 2.2% | ||||||||||||||||
TOTAL THAILAND | 103,784,008 | 2.5% | ||||||||||||||||
90
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
TURKEY — (2.2%) | ||||||||||||||||||
Turkiye Garanti Bankasi A.S. | 1,790,492 | $10,808,272 | 0.2% | |||||||||||||||
Other Securities | 90,363,767 | 2.2% | ||||||||||||||||
TOTAL TURKEY | 101,172,039 | 2.4% | ||||||||||||||||
TOTAL COMMON STOCKS | 3,901,027,776 | 93.3% | ||||||||||||||||
PREFERRED STOCKS — (5.7%) | ||||||||||||||||||
BRAZIL — (5.7%) | ||||||||||||||||||
#Banco Bradesco SA Sponsored ADR | 1,220,938 | 25,395,510 | 0.6% | |||||||||||||||
Itau Unibanco Holding SA ADR | 1,648,537 | 40,488,069 | 1.0% | |||||||||||||||
#Petroleo Brasileiro SA ADR | 1,463,774 | 45,655,111 | 1.1% | |||||||||||||||
Vale SA Sponsored ADR | 1,025,386 | 29,459,340 | 0.7% | |||||||||||||||
Other Securities | 115,944,555 | 2.8% | ||||||||||||||||
TOTAL BRAZIL | 256,942,585 | 6.2% | ||||||||||||||||
CHILE — (0.0%) | ||||||||||||||||||
Other Securities | 540,597 | 0.0% | ||||||||||||||||
INDIA — (0.0%) | ||||||||||||||||||
Other Securities | 5,805 | 0.0% | ||||||||||||||||
TOTAL PREFERRED STOCKS | 257,488,987 | 6.2% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
CHINA — (0.0%) | ||||||||||||||||||
Other Securities | 38,787 | 0.0% | ||||||||||||||||
INDIA — (0.0%) | ||||||||||||||||||
Other Securities | 42,214 | 0.0% | ||||||||||||||||
INDONESIA — (0.0%) | ||||||||||||||||||
Other Securities | 18,219 | 0.0% | ||||||||||||||||
MALAYSIA — (0.0%) | ||||||||||||||||||
Other Securities | 22,737 | 0.0% | ||||||||||||||||
POLAND — (0.0%) | ||||||||||||||||||
Other Securities | 517,999 | 0.0% | ||||||||||||||||
SOUTH KOREA — (0.0%) | ||||||||||||||||||
Other Securities | 58,005 | 0.0% | ||||||||||||||||
TAIWAN — (0.0%) | ||||||||||||||||||
Other Securities | 21,799 | 0.0% | ||||||||||||||||
THAILAND — (0.0%) | ||||||||||||||||||
Other Securities | 97,237 | 0.0% | ||||||||||||||||
TOTAL RIGHTS/WARRANTS | 816,997 | 0.0% | ||||||||||||||||
Face Amount | Value† | |||||||||||||||||
(000) | ||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.1%) | ||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, | $6,026 | 6,026,000 | 0.1% | |||||||||||||||
91
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Shares/ Face Amount | Value† | Percentage | ||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (8.0%) | ||||||||||||
§@DFA Short Term Investment Fund | 362,593,120 | $ | 362,593,120 | 8.7% | ||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, | $667 | 667,046 | 0.0% | |||||||||
TOTAL SECURITIES LENDING COLLATERAL | 363,260,166 | 8.7% | ||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 4,528,619,926 | 108.3% | |||||||||
92
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Brazil | $ | 290,064,750 | — | — | $ | 290,064,750 | ||||||||||||
Chile | 107,009,752 | — | — | 107,009,752 | ||||||||||||||
China | 137,356,364 | $ | 410,299,221 | — | 547,655,585 | |||||||||||||
Colombia | 8,434,133 | — | — | 8,434,133 | ||||||||||||||
Czech Republic | — | 19,724,216 | — | 19,724,216 | ||||||||||||||
Egypt | — | 4,479,656 | — | 4,479,656 | ||||||||||||||
Hungary | 558,547 | 31,562,836 | — | 32,121,383 | ||||||||||||||
India | 27,343,056 | 469,807,611 | — | 497,150,667 | ||||||||||||||
Indonesia | 6,783,178 | 137,947,496 | — | 144,730,674 | ||||||||||||||
Israel | — | 451,529 | — | 451,529 | ||||||||||||||
Malaysia | 56,173 | 160,108,332 | — | 160,164,505 | ||||||||||||||
Mexico | 196,803,334 | — | — | 196,803,334 | ||||||||||||||
Peru | 11,197,916 | — | — | 11,197,916 | ||||||||||||||
Philippines | 2,379,579 | 40,396,530 | — | 42,776,109 | ||||||||||||||
Poland | 256,913 | 71,475,808 | — | 71,732,721 | ||||||||||||||
Russia | 581,620 | 151,448,523 | — | 152,030,143 | ||||||||||||||
South Africa | 55,689,292 | 302,279,152 | — | 357,968,444 | ||||||||||||||
South Korea | 56,220,619 | 487,743,697 | — | 543,964,316 | ||||||||||||||
Taiwan | 17,073,872 | 490,538,024 | — | 507,611,896 | ||||||||||||||
Thailand | 101,362,580 | 2,421,428 | — | 103,784,008 | ||||||||||||||
Turkey | 756,431 | 100,415,608 | — | 101,172,039 | ||||||||||||||
Preferred Stocks | ||||||||||||||||||
Brazil | 256,942,585 | — | — | 256,942,585 | ||||||||||||||
Chile | 540,597 | — | — | 540,597 | ||||||||||||||
India | — | 5,805 | — | 5,805 | ||||||||||||||
Rights/Warrants | ||||||||||||||||||
China | 37,032 | 1,755 | — | 38,787 | ||||||||||||||
India | — | 42,214 | — | 42,214 | ||||||||||||||
Indonesia | — | 18,219 | — | 18,219 | ||||||||||||||
Malaysia | 12,532 | 10,205 | — | 22,737 | ||||||||||||||
Poland | — | 517,999 | — | 517,999 | ||||||||||||||
South Korea | — | 58,005 | — | 58,005 | ||||||||||||||
Taiwan | — | 21,799 | — | 21,799 | ||||||||||||||
Thailand | 60,908 | 36,329 | — | 97,237 | ||||||||||||||
Temporary Cash Investments | — | 6,026,000 | — | 6,026,000 | ||||||||||||||
Securities Lending Collateral | — | 363,260,166 | — | 363,260,166 | ||||||||||||||
TOTAL | $ | 1,277,521,763 | $ | 3,251,098,163 | — | $ | 4,528,619,926 | |||||||||||
See accompanying Notes to Financial Statements.
93
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
Enhanced U.S. Large Company Portfolio | U.S. Large Cap Value Portfolio | U.S. Targeted Value Portfolio | U.S. Small Cap Value Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in Affiliated Investment Companies at Value | — | $ | 6,922,105 | — | — | |||||||||||
Investments at Value (including $0, $0, $295,134 and $1,201,408 of | $ | 155,465 | — | $ | 2,258,799 | $ | 6,525,650 | |||||||||
Temporary Cash Investments at Value & Cost | 734 | — | 8,755 | 25,559 | ||||||||||||
Collateral Received from Securities on Loan at Value & Cost | — | — | 310,754 | 1,276,619 | ||||||||||||
Receivables: | ||||||||||||||||
Investment Securities/Affiliated Investment Companies Sold | — | 4,496 | 3,850 | 18,067 | ||||||||||||
Dividends and Interest | 1,752 | — | 474 | 1,245 | ||||||||||||
Securities Lending Income | — | — | 204 | 642 | ||||||||||||
Fund Shares Sold | 63 | 4,142 | 6,212 | 1,917 | ||||||||||||
Futures Margin Variation | 52 | — | — | — | ||||||||||||
Unrealized Gain on Forward Currency Contracts | 124 | — | — | — | ||||||||||||
Prepaid Expenses and Other Assets | 22 | 72 | 52 | 25 | ||||||||||||
Total Assets | 158,212 | 6,930,815 | 2,589,100 | 7,849,724 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Upon Return of Securities Loaned | — | — | 310,754 | 1,276,619 | ||||||||||||
Investment Securities/Affiliated Investment Companies Purchased | — | — | 5,168 | 11,245 | ||||||||||||
Fund Shares Redeemed | 146 | 8,638 | 1,105 | 3,486 | ||||||||||||
Due to Advisor | 26 | 853 | 653 | 2,711 | ||||||||||||
Unrealized Loss on Forward Currency Contracts | 297 | — | — | — | ||||||||||||
Accrued Expenses and Other Liabilities | 13 | 288 | 155 | 386 | ||||||||||||
Total Liabilities | 482 | 9,779 | 317,835 | 1,294,447 | ||||||||||||
NET ASSETS | $ | 157,730 | $ | 6,921,036 | $ | 2,271,265 | $ | 6,555,277 | ||||||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER | ||||||||||||||||
Class R1 Shares — based on net assets of $0; $0; $41,316 and $0 and | N/A | N/A | $ | 14.75 | N/A | |||||||||||
NUMBER OF SHARES AUTHORIZED | 100,000,000 | * | 100,000,000 | * | 100,000,000 | N/A | ||||||||||
Class R2 Shares — based on net assets of $0; $0; $5,967 and $0 and | N/A | N/A | $ | 14.76 | N/A | |||||||||||
NUMBER OF SHARES AUTHORIZED | 100,000,000 | * | 100,000,000 | * | 100,000,000 | N/A | ||||||||||
Institutional Class Shares — based on net assets of $157,730; | $ | 7.53 | $ | 18.58 | $ | 14.76 | $ | 22.49 | ||||||||
NUMBER OF SHARES AUTHORIZED | 300,000,000 | 2,000,000,000 | 700,000,000 | 1,700,000,000 | ||||||||||||
Investments in Affiliated Investment Companies at Cost | $ | — | $ | 5,483,229 | $ | — | $ | — | ||||||||
Investments at Cost | $ | 153,449 | $ | — | $ | 2,059,173 | $ | 6,375,292 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-In Capital | $ | 238,773 | $ | 7,407,853 | $ | 2,065,507 | $ | 6,523,353 | ||||||||
Undistributed Net Investment Income (Distributions in Excess of Net | 228 | 17,386 | 2,297 | 3,668 | ||||||||||||
Accumulated Net Realized Gain (Loss) | (93,562 | ) | (1,943,079 | ) | 3,835 | (122,102 | ) | |||||||||
Net Unrealized Foreign Exchange Gain (Loss) | (132 | ) | — | — | — | |||||||||||
Net Unrealized Appreciation (Depreciation) | 12,423 | 1,438,876 | 199,626 | 150,358 | ||||||||||||
NET ASSETS | $ | 157,730 | $ | 6,921,036 | $ | 2,271,265 | $ | 6,555,277 | ||||||||
* | Share class has not yet commenced operations. See Organization note in Notes to Financial Statements. |
See accompanying Notes to Financial Statements.
94
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
U.S. Core Equity 1 Portfolio | U.S. Core Equity 2 Portfolio | U.S. Vector Equity Portfolio | U.S. Small Cap Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value (including $288,084, $536,938, $180,481 | $ | 2,889,843 | $ | 4,977,754 | $ | 1,553,623 | $ | 3,375,294 | ||||||||
Temporary Cash Investments at Value & Cost | 12,291 | 22,248 | 5,593 | 22,578 | ||||||||||||
Collateral Received from Securities on Loan at Value & Cost | 298,961 | 558,222 | 188,137 | 846,208 | ||||||||||||
Receivables: | ||||||||||||||||
Investment Securities Sold | 265 | 639 | 264 | 6,460 | ||||||||||||
Dividends and Interest | 2,416 | 4,177 | 1,003 | 859 | ||||||||||||
Securities Lending Income | 135 | 302 | 128 | 662 | ||||||||||||
Fund Shares Sold | 2,213 | 2,367 | 931 | 3,489 | ||||||||||||
Prepaid Expenses and Other Assets | 65 | 49 | 27 | 38 | ||||||||||||
Total Assets | 3,206,189 | 5,565,758 | 1,749,706 | 4,255,588 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Upon Return of Securities Loaned | 298,961 | 558,222 | 188,137 | 846,208 | ||||||||||||
Investment Securities Purchased | 8,208 | 14,301 | 1,864 | 15,343 | ||||||||||||
Fund Shares Redeemed | 1,036 | 1,764 | 805 | 1,421 | ||||||||||||
Due to Advisor | 405 | 819 | 384 | 966 | ||||||||||||
Accrued Expenses and Other Liabilities | 170 | 285 | 93 | 193 | ||||||||||||
Total Liabilities | 308,780 | 575,391 | 191,283 | 864,131 | ||||||||||||
NET ASSETS | $ | 2,897,409 | $ | 4,990,367 | $ | 1,558,423 | $ | 3,391,457 | ||||||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE | ||||||||||||||||
Institutional Class Shares — based on net assets of | $ | 10.18 | $ | 10.06 | $ | 9.82 | $ | 19.06 | ||||||||
NUMBER OF SHARES AUTHORIZED | 1,500,000,000 | 2,300,000,000 | 1,000,000,000 | 1,000,000,000 | ||||||||||||
Investments at Cost | $ | 2,712,591 | $ | 4,871,798 | $ | 1,525,171 | $ | 2,893,977 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-In Capital | $ | 2,795,667 | $ | 4,959,513 | $ | 1,610,975 | $ | 3,138,857 | ||||||||
Undistributed Net Investment Income (Distributions in Excess of | 6,193 | 11,980 | 2,968 | 4,657 | ||||||||||||
Accumulated Net Realized Gain (Loss) | (81,703 | ) | (87,082 | ) | (83,972 | ) | (233,374 | ) | ||||||||
Net Unrealized Appreciation (Depreciation) | 177,252 | 105,956 | 28,452 | 481,317 | ||||||||||||
NET ASSETS | $ | 2,897,409 | $ | 4,990,367 | $ | 1,558,423 | $ | 3,391,457 | ||||||||
See accompanying Notes to Financial Statements.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
U.S. Micro Cap Portfolio | DFA Real Estate Securities Portfolio | Large Cap International Portfolio | International Core Equity Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value (including $412,876, $654,562, | $ | 3,164,881 | $ | 2,684,876 | $ | 1,608,863 | $ | 4,846,454 | ||||||||
Temporary Cash Investments at Value & Cost | 14,738 | 2,685 | 647 | 8,115 | ||||||||||||
Collateral Received from Securities on Loan at Value & | 440,599 | 676,959 | 285,278 | 827,338 | ||||||||||||
Foreign Currencies at Value | — | — | 4,221 | 13,240 | ||||||||||||
Cash | — | — | 15 | 20 | ||||||||||||
Receivables: | ||||||||||||||||
Investment Securities Sold | 7,035 | — | — | 690 | ||||||||||||
Dividends, Interest and Tax Reclaims | 1,079 | 2,582 | 4,261 | 11,398 | ||||||||||||
Securities Lending Income | 571 | 96 | 98 | 477 | ||||||||||||
Fund Shares Sold | 5,090 | 1,843 | 1,010 | 2,702 | ||||||||||||
Unrealized Gain on Foreign Currency Contracts | — | — | — | 8 | ||||||||||||
Prepaid Expenses and Other Assets | 18 | 30 | 17 | 66 | ||||||||||||
Total Assets | 3,634,011 | 3,369,071 | 1,904,410 | 5,710,508 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Upon Return of Securities Loaned | 440,599 | 676,959 | 285,278 | 827,338 | ||||||||||||
Investment Securities Purchased | 11,393 | — | 717 | 11,867 | ||||||||||||
Fund Shares Redeemed | 2,228 | 1,740 | 1,254 | 2,442 | ||||||||||||
Due to Advisor | 1,308 | 669 | 335 | 1,410 | ||||||||||||
Accrued Expenses and Other Liabilities | 197 | 151 | 140 | 462 | ||||||||||||
Total Liabilities | 455,725 | 679,519 | 287,724 | 843,519 | ||||||||||||
NET ASSETS | $ | 3,178,286 | $ | 2,689,552 | $ | 1,616,686 | $ | 4,866,989 | ||||||||
NET ASSET VALUE, OFFERING AND REDEMPTION | ||||||||||||||||
Institutional Class Shares — based on net assets of | $ | 12.25 | $ | 21.24 | $ | 19.42 | $ | 10.78 | ||||||||
NUMBER OF SHARES AUTHORIZED | 1,500,000,000 | 700,000,000 | 500,000,000 | 2,000,000,000 | ||||||||||||
Investments at Cost | $ | 2,860,548 | $ | 2,240,122 | $ | 1,383,551 | $ | 4,787,845 | ||||||||
Foreign Currencies at Cost | $ | — | $ | — | $ | 4,170 | $ | 12,916 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-In Capital | $ | 3,144,547 | $ | 2,477,550 | $ | 1,574,776 | $ | 4,871,191 | ||||||||
Undistributed Net Investment Income (Distributions in | 3,227 | 12,994 | 3,984 | 16,165 | ||||||||||||
Accumulated Net Realized Gain (Loss) | (273,821 | ) | (245,746 | ) | (187,612 | ) | (79,675 | ) | ||||||||
Net Unrealized Foreign Exchange Gain (Loss) | — | — | 175 | 375 | ||||||||||||
Net Unrealized Appreciation (Depreciation) | 304,333 | 444,754 | 225,363 | 58,933 | ||||||||||||
NET ASSETS | $ | 3,178,286 | $ | 2,689,552 | $ | 1,616,686 | $ | 4,866,989 | ||||||||
See accompanying Notes to Financial Statements.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
International Small Company Portfolio | Japanese Small Company Portfolio | Asia Pacific Small Company Portfolio | United Kingdom Small Company Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in Affiliated Investment Companies at Value | $ | 5,511,191 | $ | 114,984 | $ | 131,557 | $ | 33,758 | ||||||||
Temporary Cash Investments at Value & Cost | 17,342 | — | — | — | ||||||||||||
Cash | 16 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Affiliated Investment Companies Sold | — | — | 40 | — | ||||||||||||
Fund Shares Sold | 1,932 | 11 | 70 | 13 | ||||||||||||
Prepaid Expenses and Other Assets | 35 | 8 | 13 | 9 | ||||||||||||
Total Assets | 5,530,516 | 115,003 | 131,680 | 33,780 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Affiliated Investment Companies Purchased | — | 10 | — | 13 | ||||||||||||
Fund Shares Redeemed | 16,878 | 1 | 110 | — | ||||||||||||
Due to Advisor | 1,813 | 39 | 43 | 11 | ||||||||||||
Accrued Expenses and Other Liabilities | 231 | 20 | 16 | 5 | ||||||||||||
Total Liabilities | 18,922 | 70 | 169 | 29 | ||||||||||||
NET ASSETS | $ | 5,511,594 | $ | 114,933 | $ | 131,511 | $ | 33,751 | ||||||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | ||||||||||||||||
Institutional Class Shares — based on net assets | $ | 16.14 | $ | 14.13 | $ | 25.64 | $ | 24.24 | ||||||||
NUMBER OF SHARES AUTHORIZED | 1,500,000,000 | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||||||
Investments in Affiliated Investment Companies at | $ | 4,975,116 | $ | 190,942 | $ | 104,540 | $ | 30,219 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-In Capital | $ | 5,026,522 | $ | 279,223 | $ | 137,845 | $ | 33,057 | ||||||||
Undistributed Net Investment Income (Distributions | 31,973 | 631 | 652 | 203 | ||||||||||||
Accumulated Net Realized Gain (Loss) | (83,425 | ) | (89,010 | ) | (34,001 | ) | (3,052 | ) | ||||||||
Net Unrealized Foreign Exchange Gain (Loss) | 449 | 47 | (2 | ) | 4 | |||||||||||
Net Unrealized Appreciation (Depreciation) | 536,075 | (75,958 | ) | 27,017 | 3,539 | |||||||||||
NET ASSETS | $ | 5,511,594 | $ | 114,933 | $ | 131,511 | $ | 33,751 | ||||||||
See accompanying Notes to Financial Statements.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
Continental Small Company Portfolio | DFA International Real Estate Securities Portfolio | DFA Global Real Estate Securities Portfolio | DFA International Small Cap Value Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in Affiliated Investment Companies at Value | $ | 128,156 | — | $ | 694,143 | — | ||||||||||
Investments at Value (including $0, $138,661, $0 and $508,683 | — | $ | 952,214 | — | $ | 7,628,122 | ||||||||||
Temporary Cash Investments at Value & Cost | — | 1,525 | 1,431 | 11,103 | ||||||||||||
Collateral Received from Securities on Loan at Value & Cost | — | 146,089 | — | 549,034 | ||||||||||||
Foreign Currencies at Value | — | 3,788 | — | 16,792 | ||||||||||||
Cash | — | 15 | — | 16 | ||||||||||||
Receivables: | ||||||||||||||||
Investment Securities/Affiliated Investment Companies Sold | — | — | — | 17,087 | ||||||||||||
Dividends, Interest and Tax Reclaims | — | 3,388 | — | 19,111 | ||||||||||||
Securities Lending Income | — | 88 | — | 635 | ||||||||||||
Fund Shares Sold | 16 | 430 | 1,164 | 3,276 | ||||||||||||
Unrealized Gain on Foreign Currency Contracts | — | 5 | — | 42 | ||||||||||||
Prepaid Expenses and Other Assets | 9 | 26 | 15 | 56 | ||||||||||||
Total Assets | 128,181 | 1,107,568 | 696,753 | 8,245,274 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Upon Return of Securities Loaned | — | 146,089 | — | 549,034 | ||||||||||||
Investment Securities/Affiliated Investment Companies |
| 13 |
|
| 2,005 |
|
| 766 |
| 27,388 | ||||||
Fund Shares Redeemed | 3 | 557 | 478 | 8,748 | ||||||||||||
Due to Advisor | 42 | 277 | 20 | 4,173 | ||||||||||||
Accrued Expenses and Other Liabilities | 17 | 86 | 28 | 613 | ||||||||||||
Total Liabilities | 75 | 149,014 | 1,292 | 589,956 | ||||||||||||
NET ASSETS | $ | 128,106 | $ | 958,554 | $ | 695,461 | $ | 7,655,318 | ||||||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE | ||||||||||||||||
Institutional Cass Shares — based on net assets of $128,106; | $ | 16.93 | $ | 5.58 | $ | 8.28 | $ | 16.16 | ||||||||
NUMBER OF SHARES AUTHORIZED | 100,000,000 | 700,000,000 | 500,000,000 | 2,300,000,000 | ||||||||||||
Investments in Affiliated Investment Companies at Cost | $ | 110,311 | $ | — | $ | 527,735 | $ | — | ||||||||
Investments at Cost | $ | — | $ | 1,021,442 | $ | — | $ | 7,877,385 | ||||||||
Foreign Currencies at Cost | $ | — | $ | 3,749 | $ | — | $ | 16,694 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-In Capital | $ | 139,133 | $ | 1,133,390 | $ | 547,469 | $ | 7,728,221 | ||||||||
Undistributed Net Investment Income (Distributions in Excess of | 597 | (2,542 | ) | 5,011 | 37,940 | |||||||||||
Accumulated Net Realized Gain (Loss) | (29,516 | ) | (103,196 | ) | (23,427 | ) | 137,636 | |||||||||
Net Unrealized Foreign Exchange Gain (Loss) | 47 | 91 | — | 686 | ||||||||||||
Net Unrealized Appreciation (Depreciation) | 17,845 | (69,189 | ) | 166,408 | (249,165 | ) | ||||||||||
NET ASSETS | $ | 128,106 | $ | 958,554 | $ | 695,461 | $ | 7,655,318 | ||||||||
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
International Vector Equity Portfolio | Emerging Markets Portfolio | Emerging Markets Small Cap Portfolio | ||||||||||
ASSETS: | ||||||||||||
Investments in Affiliated Investment Companies at Value | — | $ | 2,373,379 | $ | 1,833,749 | |||||||
Investments at Value (including $42,181, $0 and $0 of securities on | $ | 360,461 | — | — | ||||||||
Temporary Cash Investments at Value & Cost | 1,680 | — | — | |||||||||
Collateral Received from Securities on Loan at Value & Cost | 45,427 | — | — | |||||||||
Foreign Currencies at Value | 944 | — | — | |||||||||
Cash | 15 | — | — | |||||||||
Receivables: | ||||||||||||
Investment Securities/Affiliated Investment Companies Sold | 12 | 24,164 | — | |||||||||
Dividends, Interest and Tax Reclaims | 853 | — | — | |||||||||
Securities Lending Income | 40 | — | — | |||||||||
Fund Shares Sold | 160 | 2,872 | 558 | |||||||||
Unrealized Gain on Foreign Currency Contracts | 2 | — | — | |||||||||
Prepaid Expenses and Other Assets | 14 | 14 | 29 | |||||||||
Total Assets | 409,608 | 2,400,429 | 1,834,336 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Upon Return of Securities Loaned | 45,427 | — | — | |||||||||
Investment Securities/Affiliated Investment Companies Purchased | 847 | — | 161 | |||||||||
Fund Shares Redeemed | 37 | 27,036 | 397 | |||||||||
Due to Advisor | 135 | 791 | 676 | |||||||||
Accrued Expenses and Other Liabilities | 39 | 104 | 64 | |||||||||
Total Liabilities | 46,485 | 27,931 | 1,298 | |||||||||
NET ASSETS | $ | 363,123 | $ | 2,372,498 | $ | 1,833,038 | ||||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER | ||||||||||||
Institutional Class Shares — based on net assets of $363,123; | $ | 10.28 | $ | 30.90 | $ | 24.26 | ||||||
NUMBER OF SHARES AUTHORIZED | 500,000,000 | 500,000,000 | 500,000,000 | |||||||||
Investments in Affiliated Investment Companies at Cost | $ | — | $ | 1,100,696 | $ | 1,180,635 | ||||||
Investments at Cost | $ | 277,138 | $ | — | $ | — | ||||||
Foreign Currencies at Cost | $ | 936 | $ | — | $ | — | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-In Capital | $ | 276,696 | $ | 964,564 | $ | 1,122,358 | ||||||
Undistributed Net Investment Income (Distributions in Excess of Net | 1,086 | 3,270 | 3,213 | |||||||||
Accumulated Net Realized Gain (Loss) | 1,979 | 136,138 | 57,883 | |||||||||
Deferred Thailand Capital Gains Tax | — | (4,215 | ) | (3,533 | ) | |||||||
Net Unrealized Foreign Exchange Gain (Loss) | 31 | 58 | 3 | |||||||||
Net Unrealized Appreciation (Depreciation) | 83,331 | 1,272,683 | 653,114 | |||||||||
NET ASSETS | $ | 363,123 | $ | 2,372,498 | $ | 1,833,038 | ||||||
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
Emerging Markets Value Portfolio | Emerging Markets Core Equity Portfolio | |||||||
ASSETS: | ||||||||
Investments in Affiliated Investment Companies at Value | $ | 11,586,667 | — | |||||
Investments at Value (including $0 and $339,827 of securities on loan, respectively) | — | $ | 4,159,334 | |||||
Temporary Cash Investments at Value & Cost | — | 6,026 | ||||||
Collateral Received from Securities on Loan at Value & Cost | — | 363,260 | ||||||
Foreign Currencies at Value | — | 2,119 | ||||||
Cash | — | 49 | ||||||
Receivables: | ||||||||
Investment Securities/Affiliated Investment Companies Sold | — | 269 | ||||||
Dividends, Interest and Tax Reclaims | — | 3,921 | ||||||
Securities Lending Income | — | 423 | ||||||
Fund Shares Sold | 16,023 | 25,659 | ||||||
Unrealized Gain on Foreign Currency Contracts | — | 1 | ||||||
Prepaid Expenses and Other Assets | 90 | 225 | ||||||
Total Assets | 11,602,780 | 4,561,286 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Upon Return of Securities Loaned | — | 363,260 | ||||||
Investment Securities/Affiliated Investment Companies Purchased | 13,173 | 5,425 | ||||||
Fund Shares Redeemed | 2,850 | 4,185 | ||||||
Due to Advisor | 3,793 | 1,886 | ||||||
Deferred Thailand Capital Gains Tax | — | 5,966 | ||||||
Accrued Expenses and Other Liabilities | 426 | 682 | ||||||
Total Liabilities | 20,242 | 381,404 | ||||||
NET ASSETS | $ | 11,582,538 | $ | 4,179,882 | ||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | ||||||||
Class R2 Shares — based on net assets of $39,668 and $0 and shares outstanding of | $ | 1.94 | N/A | |||||
NUMBER OF SHARES AUTHORIZED | 100,000,000 | 100,000,000 | * | |||||
Institutional Class Shares — based on net assets of $11,542,870 and $4,179,882 and | $ | 36.27 | $ | 21.31 | ||||
NUMBER OF SHARES AUTHORIZED | 1,500,000,000 | 1,000,000,000 | ||||||
Investments in Affiliated Investment Companies at Cost | $ | 8,440,891 | $ | — | ||||
Investments at Cost | $ | — | $ | 2,921,276 | ||||
Foreign Currencies at Cost | $ | — | $ | 2,071 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-In Capital | $ | 7,903,300 | $ | 2,994,109 | ||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | 12,814 | 8,563 | ||||||
Accumulated Net Realized Gain (Loss) | 536,606 | (54,988 | ) | |||||
Deferred Thailand Capital Gains Tax | (16,079 | ) | (5,965 | ) | ||||
Net Unrealized Foreign Exchange Gain (Loss) | 121 | 57 | ||||||
Net Unrealized Appreciation (Depreciation) | 3,145,776 | 1,238,106 | ||||||
NET ASSETS | $ | 11,582,538 | $ | 4,179,882 | ||||
* | Share class has not yet commenced operations. See Organization note in Notes to Financial Statements. |
See accompanying Notes to Financial Statements.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
Enhanced U.S. Large Company Portfolio | U.S. Large Cap Value Portfolio* | U.S. Targeted Value Portfolio | U.S. Small Cap Value Portfolio | |||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 97 | $ | 135,162 | $ | 19,385 | $ | 52,897 | ||||||||
Interest | 1,867 | 33 | 17 | 34 | ||||||||||||
Income from Securities Lending | — | 3,106 | 2,001 | 6,907 | ||||||||||||
Expenses Allocated from Affiliated Investment | — | (7,489 | ) | — | — | |||||||||||
Total Investment Income | 1,964 | 130,812 | 21,403 | 59,838 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Services Fees | 79 | — | 1,995 | 12,631 | ||||||||||||
Administrative Services Fees | 238 | 9,730 | 4,988 | 18,946 | ||||||||||||
Accounting & Transfer Agent Fees | 39 | 102 | 242 | 721 | ||||||||||||
S&P 500® Fees | 8 | — | — | — | ||||||||||||
Shareholder Servicing Fees — | ||||||||||||||||
Class R1 Shares | — | — | 37 | — | ||||||||||||
Class R2 Shares | — | — | 11 | — | ||||||||||||
Custodian Fees | 15 | — | 56 | 115 | ||||||||||||
Filing Fees | 24 | 130 | 118 | 52 | ||||||||||||
Shareholders’ Reports | 3 | 167 | 96 | 98 | ||||||||||||
Directors’/Trustees’ Fees & Expenses | 1 | 61 | 19 | 60 | ||||||||||||
Professional Fees | 5 | 120 | 61 | 202 | ||||||||||||
Other | 5 | 57 | 37 | 128 | ||||||||||||
Total Expenses | 417 | 10,367 | 7,660 | 32,953 | ||||||||||||
Net Investment Income (Loss) | 1,547 | 120,445 | 13,743 | 26,885 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities Sold | 1,013 | 498,315 | 87,567 | 464,145 | ||||||||||||
Futures | 15,127 | — | (256 | ) | — | |||||||||||
Foreign Currency Transactions | (51 | ) | — | — | — | |||||||||||
In-Kind Redemptions | — | — | — | 56,505 | ||||||||||||
Change in Unrealized Appreciation | ||||||||||||||||
Investment Securities | 143 | 533,400 | 298,035 | 929,717 | ||||||||||||
Futures | 8,702 | — | — | — | ||||||||||||
Translation of Foreign Currency Denominated | (171 | ) | — | — | — | |||||||||||
Net Realized and Unrealized Gain (Loss) | 24,763 | 1,031,715 | 385,346 | 1,450,367 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting | $ | 26,310 | $ | 1,152,160 | $ | 399,089 | $ | 1,477,252 | ||||||||
* | Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio’s Master Fund (Affiliated Investment Companies). |
See accompanying Notes to Financial Statements.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
U.S. Core Equity 1 Portfolio | U.S. Core Equity 2 Portfolio | U.S. Vector Equity Portfolio | U.S. Small Cap Portfolio | |||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 40,649 | $ | 72,293 | $ | 19,119 | $ | 27,384 | ||||||||
Interest | 18 | 26 | 8 | 25 | ||||||||||||
Income from Securities Lending | 1,290 | 2,935 | 1,374 | 6,255 | ||||||||||||
Total Investment Income | 41,957 | 75,254 | 20,501 | 33,664 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Services Fees | 4,117 | 8,868 | 4,200 | 889 | ||||||||||||
Administrative Services Fees | — | — | — | 9,485 | ||||||||||||
Accounting & Transfer Agent Fees | 286 | 508 | 174 | 348 | ||||||||||||
Custodian Fees | 61 | 80 | 43 | 79 | ||||||||||||
Filing Fees | 139 | 198 | 66 | 62 | ||||||||||||
Shareholders’ Reports | 45 | 92 | 40 | 63 | ||||||||||||
Directors’/Trustees’ Fees & Expenses | 23 | 43 | 14 | 28 | ||||||||||||
Professional Fees | 89 | 140 | 44 | 109 | ||||||||||||
Other | 35 | 60 | 24 | 52 | ||||||||||||
Total Expenses | 4,795 | 9,989 | 4,605 | 11,115 | ||||||||||||
Net Investment Income (Loss) | 37,162 | 65,265 | 15,896 | 22,549 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities Sold | 848 | 9,966 | 11,302 | 186,403 | ||||||||||||
Change in Unrealized Appreciation | ||||||||||||||||
Investment Securities | 406,078 | 767,061 | 260,530 | 519,280 | ||||||||||||
Net Realized and Unrealized Gain (Loss) | 406,926 | 777,027 | 271,832 | 705,683 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting | $ | 444,088 | $ | 842,292 | $ | 287,728 | $ | 728,232 | ||||||||
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
U.S. Micro Cap Portfolio | DFA Real Estate Securities Portfolio | Large Cap International Portfolio | International Core Equity Portfolio | |||||||||||||
Investment Income | ||||||||||||||||
Dividends (Net of Foreign Taxes Withheld of $0, | $ | 27,428 | $ | 81,322 | $ | 40,753 | $ | 105,858 | ||||||||
Interest | 10 | 25 | 10 | 43 | ||||||||||||
Income from Securities Lending | 6,623 | 2,224 | 1,961 | 7,037 | ||||||||||||
Total Investment Income | 34,061 | 83,571 | 42,724 | 112,938 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Services Fees | 3,089 | 7,245 | 3,622 | 14,583 | ||||||||||||
Administrative Services Fees | 12,357 | — | — | — | ||||||||||||
Accounting & Transfer Agent Fees | 364 | 287 | 186 | 484 | ||||||||||||
Custodian Fees | 63 | 27 | 284 | 1,021 | ||||||||||||
Filing Fees | 41 | 72 | 49 | 192 | ||||||||||||
Shareholders’ Reports | 46 | 90 | 62 | 108 | ||||||||||||
Directors’/Trustees’ Fees & Expenses | 29 | 23 | 14 | 41 | ||||||||||||
Professional Fees | 101 | 77 | 68 | 173 | ||||||||||||
Other | 60 | 49 | 41 | 117 | ||||||||||||
Total Expenses | 16,150 | 7,870 | 4,326 | 16,719 | ||||||||||||
Net Investment Income (Loss) | 17,911 | 75,701 | 38,398 | 96,219 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital Gain Distributions Received from | — | 3,056 | — | — | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities Sold | 246,080 | (57,195 | ) | (16,990 | ) | 19,341 | ||||||||||
Foreign Currency Transactions | — | — | 383 | 299 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||
Investment Securities and Foreign Currency | 507,946 | 825,263 | 134,897 | 410,019 | ||||||||||||
Translation of Foreign Currency Denominated | — | — | 134 | 333 | ||||||||||||
Net Realized and Unrealized Gain (Loss) | 754,026 | 771,124 | 118,424 | 429,992 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting | $ | 771,937 | $ | 846,825 | $ | 156,822 | $ | 526,211 | ||||||||
See accompanying Notes to Financial Statements.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
International Small Company Portfolio* | Japanese Small Company Portfolio* | Asia Pacific Small Company Portfolio* | United Kingdom Small Company Portfolio* | |||||||||||||
Investment Income | ||||||||||||||||
Net Investment Income Received from | ||||||||||||||||
Dividends (Net of Foreign Taxes Withheld of $8,231, $161, | $ | 106,298 | $ | 2,145 | $ | 3,863 | $ | 861 | ||||||||
Interest | 29 | 1 | 1 | — | ||||||||||||
Income from Securities Lending | 10,238 | 238 | 301 | 6 | ||||||||||||
Expenses Allocated from Affiliated Investment Company | (6,818 | ) | (159 | ) | (186 | ) | (37 | ) | ||||||||
Total Net Investment Income Received from | 109,747 | 2,225 | 3,979 | 830 | ||||||||||||
Fund Investment Income | ||||||||||||||||
Interest | 15 | — | — | — | ||||||||||||
Total Fund Investment Income | 15 | — | — | — | ||||||||||||
Fund Expenses | ||||||||||||||||
Administrative Services Fees | 18,673 | 455 | 441 | 116 | ||||||||||||
Accounting & Transfer Agent Fees | 77 | 15 | 15 | 14 | ||||||||||||
Filing Fees | 87 | 16 | 19 | 15 | ||||||||||||
Shareholders’ Reports | 120 | 2 | 3 | — | ||||||||||||
Directors’/Trustees’ Fees & Expenses | 44 | 1 | 1 | — | ||||||||||||
Professional Fees | 89 | 2 | 2 | 2 | ||||||||||||
Other | 42 | 4 | 5 | 3 | ||||||||||||
Total Expenses | 19,132 | 495 | 486 | 150 | ||||||||||||
Fees Waived, Expenses Reimbursed, and/or Previously | — | — | 25 | (13 | ) | |||||||||||
Net Expenses | 19,132 | 495 | 511 | 137 | ||||||||||||
Net Investment Income (Loss) | 90,630 | 1,730 | 3,468 | 693 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities Sold | 157,743 | (12,297 | ) | 5,129 | 86 | |||||||||||
Foreign Currency Transactions | 1,622 | 76 | (4 | ) | 3 | |||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||
Investment Securities and Foreign Currency | 551,254 | 10,741 | 19,235 | 6,121 | ||||||||||||
Translation of Foreign Currency Denominated Amounts | 210 | 31 | (12 | ) | (1 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) | 710,829 | (1,449 | ) | 24,348 | 6,209 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from | $ | 801,459 | $ | 281 | $ | 27,816 | $ | 6,902 | ||||||||
* | Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio’s Master Fund (Affiliated Investment Companies). |
See accompanying Notes to Financial Statements.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
Continental Small Company Portfolio* | DFA International Real Estate Securities Portfolio | DFA Global Real Estate Securities Portfolio | DFA International Small Cap Value Portfolio | |||||||||||||
Investment Income | ||||||||||||||||
Net Investment Income Received from Affiliated Investment Companies: | ||||||||||||||||
Dividends (Net of Foreign Taxes Withheld of $366, $0, $0 and $0, respectively) | $ | 2,317 | — | — | — | |||||||||||
Income Distributions Received from Affiliated Investment Company | — | — | $ | 31,329 | — | |||||||||||
Interest | 1 | — | — | — | ||||||||||||
Income from Securities Lending | 337 | — | — | — | ||||||||||||
Expenses Allocated from Affiliated Investment Company | (169 | ) | — | — | — | |||||||||||
Total Net Investment Income Received from Affiliated Investment Companies | 2,486 | — | 31,329 | — | ||||||||||||
Fund Investment Income | ||||||||||||||||
Dividends (Net of Foreign Taxes Withheld of $0, $3,606, $0 and $12,529, respectively) | — | $ | 53,433 | — | $ | 149,762 | ||||||||||
Interest | — | 6 | 2 | 35 | ||||||||||||
Income from Securities Lending | — | 1,278 | — | 10,942 | ||||||||||||
Total Fund Investment Income | — | 54,717 | 2 | 160,739 | ||||||||||||
Fund Expenses | ||||||||||||||||
Investment Advisory Services Fees | — | 2,803 | — | 46,090 | ||||||||||||
Administrative Services Fees | 448 | — | 1,945 | — | ||||||||||||
Accounting & Transfer Agent Fees | 15 | 114 | 19 | 811 | ||||||||||||
Custodian Fees | — | 172 | — | 1,727 | ||||||||||||
Filing Fees | 18 | 49 | 34 | 108 | ||||||||||||
Shareholders’ Reports | 2 | 43 | 21 | 180 | ||||||||||||
Directors’/Trustees’ Fees & Expenses | 1 | 8 | 6 | 69 | ||||||||||||
Professional Fees | 2 | 47 | 15 | 303 | ||||||||||||
Other | 4 | 28 | 13 | 195 | ||||||||||||
Total Expenses | 490 | 3,264 | 2,053 | 49,483 | ||||||||||||
Fees Waived, Expenses Reimbursed, and/or Previously | — | — | (1,786 | ) | — | |||||||||||
Net Expenses | 490 | 3,264 | 267 | 49,483 | ||||||||||||
Net Investment Income (Loss) | 1,996 | 51,453 | 31,064 | 111,256 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities Sold | (5,002 | ) | (52,532 | ) | (16,221 | ) | 198,099 | |||||||||
Foreign Currency Transactions | 51 | 253 | — | 2,837 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||
Investment Securities and Foreign Currency | 19,653 | 149,959 | 134,183 | 395,701 | ||||||||||||
Translation of Foreign Currency Denominated Amounts | 1 | (8 | ) | — | 688 | |||||||||||
Net Realized and Unrealized Gain (Loss) | 14,703 | 97,672 | 117,962 | 597,325 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 16,699 | $ | 149,125 | $ | 149,026 | $ | 708,581 | ||||||||
* | Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio’s Master Fund (Affiliated Investment Companies). |
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
International Vector Equity Portfolio | Emerging Markets Portfolio* | Emerging Markets Small Cap Portfolio* | ||||||||||
Investment Income | ||||||||||||
Dividends (Net of Foreign Taxes Withheld of $594, $5,788 and $3,222, respectively) | $ | 6,936 | $ | 47,729 | $ | 31,732 | ||||||
Interest | 3 | 8 | 9 | |||||||||
Income from Securities Lending | 526 | 1,913 | 2,482 | |||||||||
Expenses Allocated from Affiliated Investment Companies. | — | (3,955 | ) | (4,366 | ) | |||||||
Total Investment Income | 7,465 | 45,695 | 29,857 | |||||||||
Expenses | ||||||||||||
Investment Advisory Services Fees | 1,369 | — | — | |||||||||
Administrative Services Fees | — | 8,397 | 6,212 | |||||||||
Accounting & Transfer Agent Fees | 58 | 43 | 32 | |||||||||
Custodian Fees | 136 | — | — | |||||||||
Filing Fees | 24 | 46 | 48 | |||||||||
Shareholders’ Reports | 10 | 82 | 35 | |||||||||
Directors’/Trustees’ Fees & Expenses | 3 | 20 | 13 | |||||||||
Professional Fees | 12 | 42 | 26 | |||||||||
Other | 12 | 20 | 12 | |||||||||
Total Expenses | 1,624 | 8,650 | 6,378 | |||||||||
Fees Waived, Expenses Reimbursed, and/or Previously | 28 | — | — | |||||||||
Net Expenses | 1,652 | 8,650 | 6,378 | |||||||||
Net Investment Income (Loss) | 5,813 | 37,045 | 23,479 | |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investment Securities Sold | 5,866 | 148,805 | 97,897 | |||||||||
Foreign Currency Transactions | 77 | 506 | 76 | ** | ||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||
Investment Securities and Foreign Currency | 28,748 | 317,270 | 373,644 | |||||||||
Translation of Foreign Currency Denominated Amounts | 27 | (6 | ) | (72 | ) | |||||||
Change in Deferred Thailand Capital Gains Tax | — | (2,143 | ) | (2,963 | ) | |||||||
Net Realized and Unrealized Gain (Loss) | 34,718 | 464,432 | 468,582 | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 40,531 | $ | 501,477 | $ | 492,061 | ||||||
* | Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio’s respective Master Fund (Affiliated Investment Companies). |
** | Net of foreign capital gain taxes withheld of $179. |
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
Emerging Markets Value Portfolio* | Emerging Markets Core Equity Portfolio | |||||||
Investment Income | ||||||||
Dividends (Net of Foreign Taxes Withheld of $20,141 and $8,240, respectively) | $ | 171,616 | $ | 68,581 | ||||
Interest | 72 | 20 | ||||||
Income from Securities Lending | 8,393 | 3,539 | ||||||
Expenses Allocated from Affiliated Investment Companies | (17,283 | ) | — | |||||
Total Investment Income | 162,798 | 72,140 | ||||||
Expenses | ||||||||
Investment Advisory Services Fees | — | 17,369 | ||||||
Administrative Services Fees | 35,877 | — | ||||||
Accounting & Transfer Agent Fees | 136 | 372 | ||||||
Shareholder Servicing Fees — Class R2 Shares | 69 | — | ||||||
Custodian Fees | — | 2,452 | ||||||
Filing Fees | 237 | 122 | ||||||
Shareholders’ Reports | 231 | 115 | ||||||
Directors’/Trustees’ Fees & Expenses | 88 | 30 | ||||||
Professional Fees | 159 | 161 | ||||||
Other | 68 | 76 | ||||||
Total Expenses | 36,865 | 20,697 | ||||||
Net Investment Income (Loss) | 125,933 | 51,443 | ||||||
Realized and Unrealized Gain (Loss) | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Investment Securities Sold | 577,480 | 35,721 | ||||||
Foreign Currency Transactions** | (3,090 | ) | (776 | ) | ||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||
Investment Securities and Foreign Currency | 1,724,116 | 789,087 | ||||||
Translation of Foreign Currency Denominated Amounts | 2 | (19 | ) | |||||
Change in Deferred Thailand Capital Gains Tax | (9,879 | ) | (4,133 | ) | ||||
Net Realized and Unrealized Gain (Loss) | 2,288,629 | 819,880 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 2,414,562 | $ | 871,323 | ||||
* Investment | Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). |
** | Net of foreign capital gain taxes withheld of $1,720 and $982, respectively. |
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Enhanced U.S. Large Company Portfolio | U.S. Large Cap Value Portfolio | U.S. Targeted Value Portfolio | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 1,547 | $ | 1,409 | $ | 120,445 | $ | 113,440 | $ | 13,743 | $ | 13,400 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold | 1,013 | (24,217 | ) | 498,315 | (2,244,299 | ) | 87,567 | (80,571 | ) | |||||||||||||||
Futures | 15,127 | 25,750 | — | — | (256 | ) | (823 | ) | ||||||||||||||||
Foreign Currency Transactions | (51 | ) | (1,379 | ) | — | — | — | — | ||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities | 143 | 2,720 | 533,400 | 2,728,048 | 298,035 | 244,441 | ||||||||||||||||||
Futures | 8,702 | 1,705 | — | — | — | (3 | ) | |||||||||||||||||
Translation of Foreign Currency Denominated Amounts | (171 | ) | 39 | — | — | — | — | |||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 26,310 | 6,027 | 1,152,160 | 597,189 | 399,089 | 176,444 | ||||||||||||||||||
Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class R1 Shares | — | — | — | — | (312 | ) | (424 | ) | ||||||||||||||||
Class R2 Shares | — | — | — | — | (29 | ) | (27 | ) | ||||||||||||||||
Institutional Class Shares | (1,589 | ) | (17,802 | ) | (116,599 | ) | (123,996 | ) | (12,213 | ) | (13,728 | ) | ||||||||||||
Net Short-Term Gains: | ||||||||||||||||||||||||
Institutional Class Shares | — | (1,762 | ) | — | (6,242 | ) | — | — | ||||||||||||||||
Total Distributions | (1,589 | ) | (19,564 | ) | (116,599 | ) | (130,238 | ) | (12,554 | ) | (14,179 | ) | ||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||||||
Shares Issued | 15,684 | 58,709 | * | 1,304,022 | 1,807,041 | 911,104 | 850,582 | |||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1,525 | 18,404 | 108,979 | 117,409 | 11,528 | 13,641 | ||||||||||||||||||
Shares Redeemed | (49,431 | ) | (98,676 | ) | (1,391,178 | ) | (1,858,197 | ) | (521,662 | ) | (425,490 | ) | ||||||||||||
Net Increase (Decrease) from Capital Share Transactions | (32,222 | ) | (21,563 | ) | 21,823 | 66,253 | 400,970 | 438,733 | ||||||||||||||||
Total Increase (Decrease) in Net Assets | (7,501 | ) | (35,100 | ) | 1,057,384 | 533,204 | 787,505 | 600,998 | ||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 165,231 | 200,331 | 5,863,652 | 5,330,448 | 1,483,760 | 882,762 | ||||||||||||||||||
End of Period | $ | 157,730 | $ | 165,231 | $ | 6,921,036 | $ | 5,863,652 | $ | 2,271,265 | $ | 1,483,760 | ||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||||||
Shares Issued | 2,221 | 9,053 | 74,182 | 140,615 | 65,207 | 88,462 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 224 | 3,392 | 6,369 | 10,018 | 900 | 1,442 | ||||||||||||||||||
Shares Redeemed | (6,983 | ) | (17,904 | ) | (79,010 | ) | (145,245 | ) | (38,952 | ) | (44,353 | ) | ||||||||||||
Shares Reduced by Reverse Stock Split (Note P) | — | — | — | — | (1,473 | ) | — | |||||||||||||||||
Net Increase (Decrease) from Shares Issued and Redeemed | (4,538 | ) | (5,459 | ) | 1,541 | 5,388 | 25,682 | 45,551 | ||||||||||||||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | $ | 228 | $ | 285 | $ | 17,386 | $ | 13,540 | $ | 2,297 | $ | 1,308 |
* Includes | $7,414 in capital contributions related to the liquidation of The Enhanced U.S. Large Company Series. See Organization note within the Notes to Financial Statements. |
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Small Cap Value Portfolio | U.S. Core Equity 1 Portfolio | U.S. Core Equity 2 Portfolio | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 26,885 | $ | 16,559 | $ | 37,162 | $ | 31,729 | $ | 65,265 | $ | 55,180 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold/Affiliated Investment Company Shares Sold | 464,145 | (373,304 | ) | 848 | (60,672 | ) | 9,966 | (38,804 | ) | |||||||||||||||
Futures | — | 570 | — | 683 | — | 3,212 | ||||||||||||||||||
In-Kind Redemptions | 56,505 | * | — | — | — | — | — | |||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities/Affiliated Investment Company Shares | 929,717 | 602,920 | 406,078 | 253,827 | 767,061 | 375,912 | ||||||||||||||||||
Futures | — | — | — | (2 | ) | — | (1 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,477,252 | 246,745 | 444,088 | 225,565 | 842,292 | 395,499 | ||||||||||||||||||
Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Institutional Class Shares | (25,747 | ) | (69,882 | ) | (31,326 | ) | (31,598 | ) | (53,941 | ) | (55,009 | ) | ||||||||||||
Total Distributions | (25,747 | ) | (69,882 | ) | (31,326 | ) | (31,598 | ) | (53,941 | ) | (55,009 | ) | ||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||||||
Shares Issued | 1,005,684 | 1,293,768 | ** | 935,366 | 1,158,480 | 1,032,528 | 1,847,067 | |||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 24,638 | 67,125 | 28,011 | 30,660 | 52,914 | 54,122 | ||||||||||||||||||
Shares Redeemed | (1,596,209 | )* | (1,372,042 | ) | (468,313 | ) | (714,086 | ) | (687,751 | ) | (938,382 | ) | ||||||||||||
Net Increase (Decrease) from Capital Share Transactions | (565,887 | ) | (11,149 | ) | 495,064 | 475,054 | 397,691 | 962,807 | ||||||||||||||||
Total Increase (Decrease) in Net Assets | 885,618 | 165,714 | 907,826 | 669,021 | 1,186,042 | 1,303,297 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 5,669,659 | 5,503,945 | 1,989,583 | 1,320,562 | 3,804,325 | 2,501,028 | ||||||||||||||||||
End of Period | $ | 6,555,277 | $ | 5,669,659 | $ | 2,897,409 | $ | 1,989,583 | $ | 4,990,367 | $ | 3,804,325 | ||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||||||
Shares Issued | 48,187 | 72,979 | 97,948 | 160,998 | 110,280 | 258,455 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1,272 | 4,580 | 3,032 | 4,155 | 5,795 | 7,485 | ||||||||||||||||||
Shares Redeemed | (78,455 | ) | (94,264 | ) | (49,368 | ) | (101,230 | ) | (73,302 | ) | (135,979 | ) | ||||||||||||
Net Increase (Decrease) from Shares Issued and Redeemed | (28,996 | ) | (16,705 | ) | 51,612 | 63,923 | 42,773 | 129,961 | ||||||||||||||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | $ | 3,668 | $ | 2,918 | $ | 6,193 | $ | 373 | $ | 11,980 | $ | 698 |
* See | Note M in the Notes to Financial Statements. |
** Includes | $28,400 in capital contributions related to the liquidation of The U.S. Small Cap Value Series. See Organization note within the Notes to Financial Statements. |
See accompanying Notes to Financial Statements.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Vector Equity Portfolio | U.S. Small Cap Portfolio | U.S. Micro Cap Portfolio | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 15,896 | $ | 14,733 | $ | 22,549 | $ | 10,818 | $ | 17,911 | $ | 10,509 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold/Affiliated Investment Company Shares Sold | 11,302 | (80,019 | ) | 186,403 | (68,079 | ) | 246,080 | (190,350 | ) | |||||||||||||||
Futures | — | 407 | — | — | — | — | ||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities/Affiliated Investment Company Shares | 260,530 | 173,818 | 519,280 | 284,014 | 507,946 | 168,490 | ||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 287,728 | 108,939 | 728,232 | 226,753 | 771,937 | (11,351 | ) | |||||||||||||||||
Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Institutional Class Shares | (14,799 | ) | (16,454 | ) | (21,528 | ) | (26,412 | ) | (17,526 | ) | (57,816 | ) | ||||||||||||
Total Distributions | (14,799 | ) | (16,454 | ) | (21,528 | ) | (26,412 | ) | (17,526 | ) | (57,816 | ) | ||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||||||
Shares Issued | 375,571 | 508,175 | 754,050 | 877,915 | * | 291,712 | 588,720 | ** | ||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 14,588 | 16,189 | 20,104 | 24,690 | 16,858 | 56,003 | ||||||||||||||||||
Shares Redeemed | (282,779 | ) | (289,358 | ) | (611,402 | ) | (647,794 | ) | (703,060 | ) | (681,416 | ) | ||||||||||||
Net Increase (Decrease) from Capital Share Transactions | 107,380 | 235,006 | 162,752 | 254,811 | (394,490 | ) | (36,693 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets | 380,309 | 327,491 | 869,456 | 455,152 | 359,921 | (105,860 | ) | |||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 1,178,114 | 850,623 | 2,522,001 | 2,066,849 | 2,818,365 | 2,924,225 | ||||||||||||||||||
End of Period | $ | 1,558,423 | $ | 1,178,114 | $ | 3,391,457 | $ | 2,522,001 | $ | 3,178,286 | $ | 2,818,365 | ||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||||||
Shares Issued | 41,113 | 74,700 | 42,652 | 67,035 | 26,534 | 53,716 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1,659 | 2,427 | 1,220 | 2,058 | 1,594 | 6,981 | ||||||||||||||||||
Shares Redeemed | (30,825 | ) | (44,108 | ) | (35,288 | ) | (54,475 | ) | (63,240 | ) | (84,421 | ) | ||||||||||||
Net Increase (Decrease) from Shares Issued and Redeemed | 11,947 | 33,019 | 8,584 | 14,618 | (35,112 | ) | (23,724 | ) | ||||||||||||||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | $ | 2,968 | $ | 1,895 | $ | 4,657 | $ | 3,780 | $ | 3,227 | $ | 3,100 |
* Includes | $8,355 in capital contributions related to the liquidation of The U.S. Small Cap Series. See Organization note within the Notes to Financial Statements. |
** Includes | $11,529 in capital contributions related to the liquidation of The U.S. Micro Cap Series. See Organization note within the Notes to Financial Statements. |
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Real Estate Securities Portfolio | Large Cap International Portfolio | International Core Equity Portfolio | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 75,701 | $ | 69,730 | $ | 38,398 | $ | 36,172 | $ | 96,219 | $ | 77,941 | ||||||||||||
Capital Gain Distributions Received from Investment Securities | 3,056 | 16,169 | — | — | — | — | ||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold | (57,195 | ) | (106,626 | ) | (16,990 | ) | (150,602 | ) | 19,341 | (83,575 | ) | |||||||||||||
Futures | — | (1,065 | ) | — | 919 | — | (2,556 | ) | ||||||||||||||||
Foreign Currency Transactions | — | — | 383 | 951 | 299 | 1,319 | ||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities and Foreign Currency | 825,263 | 92,786 | 134,897 | 374,243 | 410,019 | 928,934 | ||||||||||||||||||
Futures | — | (10 | ) | — | — | — | (15 | ) | ||||||||||||||||
Translation of Foreign Currency Denominated Amounts | — | — | 134 | (64 | ) | 333 | (108 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 846,825 | 70,984 | 156,822 | 261,619 | 526,211 | 921,940 | ||||||||||||||||||
Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Institutional Class Shares | (70,908 | ) | (95,934 | ) | (40,390 | ) | (32,286 | ) | (83,173 | ) | (77,469 | ) | ||||||||||||
Total Distributions | (70,908 | ) | (95,934 | ) | (40,390 | ) | (32,286 | ) | (83,173 | ) | (77,469 | ) | ||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||||||
Shares Issued | 469,431 | 760,871 | 380,265 | 380,682 | 1,275,823 | 1,709,907 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 68,782 | 93,552 | 39,047 | 31,081 | 79,558 | 75,441 | ||||||||||||||||||
Shares Redeemed | (643,137 | ) | (557,875 | ) | (283,409 | ) | (483,605 | ) | (631,272 | ) | (911,026 | ) | ||||||||||||
Net Increase (Decrease) from Capital Share Transactions | (104,924 | ) | 296,548 | 135,903 | (71,842 | ) | 724,109 | 874,322 | ||||||||||||||||
Total Increase (Decrease) in Net Assets | 670,993 | 271,598 | 252,335 | 157,491 | 1,167,147 | 1,718,793 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 2,018,559 | 1,746,961 | 1,364,351 | 1,206,860 | 3,699,842 | 1,981,049 | ||||||||||||||||||
End of Period | $ | 2,689,552 | $ | 2,018,559 | $ | 1,616,686 | $ | 1,364,351 | $ | 4,866,989 | $ | 3,699,842 | ||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||||||
Shares Issued | 25,336 | 61,585 | 20,917 | 26,226 | 128,031 | 227,407 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 3,862 | 7,388 | 2,285 | 2,085 | 8,624 | 9,039 | ||||||||||||||||||
Shares Redeemed | (34,560 | ) | (45,050 | ) | (15,664 | ) | (34,086 | ) | (63,215 | ) | (123,941 | ) | ||||||||||||
Net Increase (Decrease) from Shares Issued and | (5,362 | ) | 23,923 | 7,538 | (5,775 | ) | 73,440 | 112,505 | ||||||||||||||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | $ | 12,994 | $ | 8,197 | $ | 3,984 | $ | 5,593 | $ | 16,165 | $ | 2,148 |
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
International Small Company Portfolio | Japanese Small Company Portfolio | Asia Pacific Small Company Portfolio | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 90,630 | $ | 83,540 | $ | 1,730 | $ | 1,879 | $ | 3,468 | $ | 2,525 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold | 157,743 | (110,040 | ) | (12,297 | ) | (14,110 | ) | 5,129 | (8,877 | ) | ||||||||||||||
Futures | — | 592 | — | 43 | — | (89 | ) | |||||||||||||||||
Foreign Currency Transactions | 1,622 | 1,180 | 76 | 250 | (4 | ) | 23 | |||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities and Foreign Currency | 551,254 | 1,280,471 | 10,741 | 37,328 | 19,235 | 52,469 | ||||||||||||||||||
Futures | — | 1 | — | — | — | — | ||||||||||||||||||
Translation of Foreign Currency Denominated Amounts | 210 | (297 | ) | 31 | (61 | ) | (12 | ) | 29 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from | 801,459 | 1,255,447 | 281 | 25,329 | 27,816 | 46,080 | ||||||||||||||||||
Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Institutional Class Shares | (84,604 | ) | (81,118 | ) | (1,845 | ) | (2,426 | ) | (3,162 | ) | (2,724 | ) | ||||||||||||
Total Distributions | (84,604 | ) | (81,118 | ) | (1,845 | ) | (2,426 | ) | (3,162 | ) | (2,724 | ) | ||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||||||
Shares Issued | 1,099,327 | 890,444 | 11,290 | 18,298 | 28,331 | 18,265 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 80,737 | 77,147 | 1,609 | 2,219 | 2,788 | 2,398 | ||||||||||||||||||
Shares Redeemed | (655,189 | ) | (956,429 | ) | (10,460 | ) | (62,735 | ) | (26,115 | ) | (26,210 | ) | ||||||||||||
Net Increase (Decrease) from Capital Share Transactions | 524,875 | 11,162 | 2,439 | (42,218 | ) | 5,004 | (5,547 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets | 1,241,730 | 1,185,491 | 875 | (19,315 | ) | 29,658 | 37,809 | |||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 4,269,864 | 3,084,373 | 114,058 | 133,373 | 101,853 | 64,044 | ||||||||||||||||||
End of Period | $ | 5,511,594 | $ | 4,269,864 | $ | 114,933 | $ | 114,058 | $ | 131,511 | $ | 101,853 | ||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||||||
Shares Issued | 75,592 | 81,822 | 793 | 1,589 | 1,254 | 1,318 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 5,955 | 6,961 | 116 | 174 | 135 | 196 | ||||||||||||||||||
Shares Redeemed | (45,123 | ) | (89,990 | ) | (742 | ) | (4,937 | ) | (1,206 | ) | (2,055 | ) | ||||||||||||
Net Increase (Decrease) from Shares Issued and | 36,424 | (1,207 | ) | 167 | (3,174 | ) | 183 | (541 | ) | |||||||||||||||
Undistributed Net Investment Income (Distributions in Excess | $ | 31,973 | $ | 13,949 | $ | 631 | $ | 665 | $ | 652 | $ | 246 |
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
United Kingdom Small Company Portfolio | Continental Small Company Portfolio | DFA International Real Estate Securities Portfolio | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 693 | $ | 861 | $ | 1,996 | $ | 2,168 | $ | 51,453 | $ | 32,101 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold | 86 | (2,247 | ) | (5,002 | ) | (7,421 | ) | (52,532 | ) | (36,531 | ) | |||||||||||||
Futures | — | 26 | — | (137 | ) | — | 234 | |||||||||||||||||
Foreign Currency Transactions | 3 | (10 | ) | 51 | (49 | ) | 253 | 185 | ||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities and Foreign Currency | 6,121 | 9,569 | 19,653 | 37,449 | 149,959 | 170,229 | ||||||||||||||||||
Futures | — | — | — | (1 | ) | — | — | |||||||||||||||||
Translation of Foreign Currency Denominated Amounts | (1 | ) | (6 | ) | 1 | 24 | (8 | ) | 209 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from | 6,902 | 8,193 | 16,699 | 32,033 | 149,125 | 166,427 | ||||||||||||||||||
Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Institutional Class Shares | (694 | ) | (658 | ) | (1,863 | ) | (2,087 | ) | (78,863 | ) | (11,227 | ) | ||||||||||||
Total Distributions | (694 | ) | (658 | ) | (1,863 | ) | (2,087 | ) | (78,863 | ) | (11,227 | ) | ||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||||||
Shares Issued | 2,343 | 4,137 | 15,385 | 14,850 | 236,837 | 331,853 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 537 | 556 | 1,577 | 1,874 | 78,275 | 11,113 | ||||||||||||||||||
Shares Redeemed | (3,200 | ) | (10,248 | ) | (14,618 | ) | (29,732 | ) | (169,149 | ) | (150,317 | ) | ||||||||||||
Net Increase (Decrease) from Capital Share Transactions | (320 | ) | (5,555 | ) | 2,344 | (13,008 | ) | 145,963 | 192,649 | |||||||||||||||
Total Increase (Decrease) in Net Assets | 5,888 | 1,980 | 17,180 | 16,938 | 216,225 | 347,849 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 27,863 | 25,883 | 110,926 | 93,988 | 742,329 | 394,480 | ||||||||||||||||||
End of Period | $ | 33,751 | $ | 27,863 | $ | 128,106 | $ | 110,926 | $ | 958,554 | $ | 742,329 | ||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||||||
Shares Issued | 115 | 288 | 1,040 | 1,344 | 48,350 | 82,981 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 27 | 36 | 118 | 148 | 16,761 | 3,104 | ||||||||||||||||||
Shares Redeemed | (155 | ) | (733 | ) | (978 | ) | (2,868 | ) | (35,159 | ) | (38,756 | ) | ||||||||||||
Net Increase (Decrease) from Shares Issued and | (13 | ) | (409 | ) | 180 | (1,376 | ) | 29,952 | 47,329 | |||||||||||||||
Undistributed Net Investment Income (Distributions in Excess | $ | 203 | $ | 171 | $ | 597 | $ | (12 | ) | $ | (2,542 | ) | $ | 24,078 |
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Global Real Estate Securities Portfolio | DFA International Small Cap Value Portfolio | International Vector Equity Portfolio | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 31,064 | $ | 7,504 | $ | 111,256 | $ | 118,909 | $ | 5,813 | $ | 4,181 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold | (16,221 | ) | (6,921 | ) | 198,099 | (20,925 | ) | 5,866 | (3,551 | ) | ||||||||||||||
Futures | — | — | — | (9,031 | ) | — | (232 | ) | ||||||||||||||||
Foreign Currency Transactions | — | — | 2,837 | (2,189 | ) | 77 | (23 | ) | ||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities and Foreign Currency | 134,183 | 66,893 | 395,701 | 1,907,503 | 28,748 | 71,485 | ||||||||||||||||||
Futures | — | — | — | (28 | ) | — | (1 | ) | ||||||||||||||||
Translation of Foreign Currency Denominated Amounts | — | — | 688 | (469 | ) | 27 | (11 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from | 149,026 | 67,476 | 708,581 | 1,993,770 | 40,531 | 71,848 | ||||||||||||||||||
Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Institutional Class Shares | (30,870 | ) | (2,346 | ) | (101,689 | ) | (105,935 | ) | (5,380 | ) | (3,671 | ) | ||||||||||||
Net Short-Term Gains: | ||||||||||||||||||||||||
Institutional Class Shares | — | (24 | ) | — | — | — | — | |||||||||||||||||
Net Long-Term Gains: | ||||||||||||||||||||||||
Institutional Class Shares | — | — | — | (25,433 | ) | — | — | |||||||||||||||||
Total Distributions | (30,870 | ) | (2,370 | ) | (101,689 | ) | (131,368 | ) | (5,380 | ) | (3,671 | ) | ||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||||||
Shares Issued | 291,090 | 345,457 | 1,457,097 | 1,516,998 | 109,333 | 203,871 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 30,424 | 2,351 | 94,455 | 123,396 | 5,137 | 3,533 | ||||||||||||||||||
Shares Redeemed | (176,711 | ) | (71,084 | ) | (1,363,083 | ) | (1,442,587 | ) | (49,042 | ) | (79,811 | ) | ||||||||||||
Net Increase (Decrease) from Capital Share | 144,803 | 276,724 | 188,469 | 197,807 | 65,428 | 127,593 | ||||||||||||||||||
Total Increase (Decrease) in Net Assets | 262,959 | 341,830 | 795,361 | 2,060,209 | 100,579 | 195,770 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 432,502 | 90,672 | 6,859,957 | 4,799,748 | 262,544 | 66,774 | ||||||||||||||||||
End of Period | $ | 695,461 | $ | 432,502 | $ | 7,655,318 | $ | 6,859,957 | $ | 363,123 | $ | 262,544 | ||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||||||
Shares Issued | 40,187 | 62,358 | 96,841 | 132,410 | 11,526 | 30,203 | ||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 4,617 | 445 | 6,841 | 10,640 | 590 | 455 | ||||||||||||||||||
Shares Redeemed | (24,880 | ) | (13,777 | ) | (89,769 | ) | (126,703 | ) | (5,261 | ) | (12,091 | ) | ||||||||||||
Net Increase (Decrease) from Shares Issued and | 19,924 | 49,026 | 13,913 | 16,347 | 6,855 | 18,567 | ||||||||||||||||||
Undistributed Net Investment Income (Distributions in | $ | 5,011 | $ | 4,918 | $ | 37,940 | $ | 10,232 | $ | 1,086 | $ | 715 |
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets Portfolio | Emerging Markets Small Cap Portfolio | |||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||
Operations: | ||||||||||||||||
Net Investment Income (Loss) | $ | 37,045 | $ | 33,922 | $ | 23,479 | $ | 15,885 | ||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities Sold | 148,805 | 37,268 | 97,897 | (15,114 | ) | |||||||||||
Futures | — | (2,712 | ) | — | (630 | ) | ||||||||||
Foreign Currency Transactions | 506 | (28 | ) | 76 | * | (178 | ) | |||||||||
In-Kind Redemptions | — | 17,805 | — | — | ||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||
Investment Securities and Foreign Currency | 317,270 | 592,684 | 373,644 | 522,143 | ||||||||||||
Futures | — | (30 | ) | — | (9 | ) | ||||||||||
Translation of Foreign Currency Denominated | (6 | ) | 196 | (72 | ) | 168 | ||||||||||
Change in Deferred Thailand Capital Gains Tax | (2,143 | ) | (1,264 | ) | (2,963 | ) | (785 | ) | ||||||||
Net Increase (Decrease) in Net Assets Resulting | 501,477 | 677,841 | 492,061 | 521,480 | ||||||||||||
Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Institutional Class Shares | (34,414 | ) | (33,127 | ) | (22,294 | ) | (16,832 | ) | ||||||||
Net Short-Term Gains: | ||||||||||||||||
Institutional Class Shares | (2,485 | ) | — | — | — | |||||||||||
Net Long-Term Gains: | ||||||||||||||||
Institutional Class Shares | (29,814 | ) | (20,948 | ) | — | — | ||||||||||
Total Distributions | (66,713 | ) | (54,075 | ) | (22,294 | ) | (16,832 | ) | ||||||||
Capital Share Transactions (1): | ||||||||||||||||
Shares Issued | 464,965 | 448,802 | 468,984 | 278,046 | ||||||||||||
Shares Issued in Lieu of Cash Distributions | 60,045 | 48,701 | 18,296 | 15,192 | ||||||||||||
Shares Redeemed | (553,564 | ) | (663,241 | ) | (257,967 | ) | (211,257 | ) | ||||||||
Net Increase (Decrease) from Capital Share | (28,554 | ) | (165,738 | ) | 229,313 | 81,981 | ||||||||||
Total Increase (Decrease) in Net Assets | 406,210 | 458,028 | 699,080 | 586,629 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of Period | 1,966,288 | 1,508,260 | 1,133,958 | 547,329 | ||||||||||||
End of Period | $ | 2,372,498 | $ | 1,966,288 | $ | 1,833,038 | $ | 1,133,958 | ||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||
Shares Issued | 16,688 | 23,617 | 22,700 | 23,468 | ||||||||||||
Shares Issued in Lieu of Cash Distributions | 2,260 | 2,705 | 933 | 1,244 | ||||||||||||
Shares Redeemed | (20,100 | ) | (36,851 | ) | (13,059 | ) | (18,390 | ) | ||||||||
Net Increase (Decrease) from Shares Issued and | (1,152 | ) | (10,529 | ) | 10,574 | 6,322 | ||||||||||
Undistributed Net Investment Income (Distributions in | $ | 3,270 | $ | 3,281 | $ | 3,213 | $ | 2,323 |
* | Net of foreign capital gain taxes withheld of $179. |
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets Value Portfolio | Emerging Markets Core Equity Portfolio | |||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income (Loss) | $ | 125,933 | $ | 89,732 | $ | 51,443 | $ | 36,040 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Investment Securities Sold | 577,480 | 76,523 | 35,721 | (25,567 | ) | |||||||||||||||
Futures | — | — | — | (873 | ) | |||||||||||||||
Foreign Currency Transactions | (3,090 | )* | — | (776 | )* | (297 | ) | |||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Investment Securities and Foreign Currency | 1,724,116 | 2,867,814 | 789,087 | 981,322 | ||||||||||||||||
Futures | — | — | — | (4 | ) | |||||||||||||||
Translation of Foreign Currency Denominated | 2 | — | (19 | ) | 33 | |||||||||||||||
Deferred Thailand Capital Gains Tax | (9,879 | ) | — | (4,133 | ) | (1,800 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting | 2,414,562 | 3,034,069 | 871,323 | 988,854 | ||||||||||||||||
Distributions From: | ||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||
Class R2 Shares | (5,375 | ) | (427 | ) | — | — | ||||||||||||||
Institutional Class Shares | (109,197 | ) | (77,134 | ) | (48,768 | ) | (29,028 | ) | ||||||||||||
Net Short-Term Gains: | ||||||||||||||||||||
Class R2 Shares | (513 | ) | (76 | ) | — | — | ||||||||||||||
Institutional Class Shares | (65,356 | ) | (36,974 | ) | — | — | ||||||||||||||
Net Long-Term Gains: | ||||||||||||||||||||
Class R2 Shares | (909 | ) | (1,070 | ) | — | — | ||||||||||||||
Institutional Class Shares | (115,729 | ) | (517,440 | ) | — | — | ||||||||||||||
Total Distributions | (297,079 | ) | (633,121 | ) | (48,768 | ) | (29,028 | ) | ||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||
Shares Issued | 3,348,220 | 1,980,752 | 1,458,158 | 935,028 | ||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 272,770 | 576,478 | 43,732 | 27,561 | ||||||||||||||||
Shares Redeemed | (1,562,283 | ) | (1,289,209 | ) | (599,598 | ) | (622,906 | ) | ||||||||||||
Net Increase (Decrease) from Capital Share | 2,058,707 | 1,268,021 | 902,292 | 339,683 | ||||||||||||||||
Total Increase (Decrease) in Net Assets | 4,176,190 | 3,668,969 | 1,724,847 | 1,299,509 | ||||||||||||||||
Net Assets | ||||||||||||||||||||
Beginning of Period | 7,406,348 | 3,737,379 | 2,455,035 | 1,155,526 | ||||||||||||||||
End of Period | $ | 11,582,538 | $ | 7,406,348 | $ | 4,179,882 | $ | 2,455,035 | ||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||
Shares Issued | 121,548 | 93,083 | 77,138 | 84,048 | ||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 12,712 | 35,123 | 2,449 | 2,073 | ||||||||||||||||
Shares Redeemed | (53,662 | ) | (63,359 | ) | (32,331 | ) | (54,153 | ) | ||||||||||||
Net Increase (Decrease) from Shares Issued and | 80,598 | 64,847 | 47,256 | 31,968 | ||||||||||||||||
Undistributed Net Investment Income (Distributions in | $ | 12,814 | $ | 12,574 | $ | 8,563 | $ | 6,664 |
* | Net of foreign capital gain taxes withheld of $1,720 and $982, respectively. |
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
(for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio | U.S. Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended | Year Ended | Year Ended | Year Ended 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 6.48 | $ | 6.47 | $ | 10.91 | $ | 10.95 | $ | 9.82 | $ | 9.35 | $ | 15.81 | $ | 14.58 | $ | 24.44 | $ | 25.40 | $ | 21.93 | $ | 19.37 | ||||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.07 | (A) | 0.05 | (A) | 0.39 | (A) | 0.30 | (A) | 0.12 | (A) | 0.29 | 0.33 | (A) | 0.31 | (A) | 0.36 | (A) | 0.33 | (A) | 0.38 | (A) | 0.30 | ||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 1.05 | 0.61 | (3.74 | ) | 0.45 | 1.19 | 0.37 | 2.76 | 1.28 | (8.83 | ) | (0.43 | ) | 3.50 | 2.49 | |||||||||||||||||||||||||||||||||
Total From Investment Operations | 1.12 | 0.66 | (3.35 | ) | 0.75 | 1.31 | 0.66 | 3.09 | 1.59 | (8.47 | ) | (0.10 | ) | 3.88 | 2.79 | |||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.07 | ) | (0.59 | ) | (0.36 | ) | (0.36 | ) | (0.18 | ) | (0.19 | ) | (0.32 | ) | (0.34 | ) | (0.35 | ) | (0.32 | ) | (0.35 | ) | (0.23 | ) | ||||||||||||||||||||||||
Net Realized Gains | — | (0.06 | ) | (0.73 | ) | (0.43 | ) | — | — | — | (0.02 | ) | (1.04 | ) | (0.54 | ) | (0.06 | ) | — | |||||||||||||||||||||||||||||
Total Distributions | (0.07 | ) | (0.65 | ) | (1.09 | ) | (0.79 | ) | (0.18 | ) | (0.19 | ) | (0.32 | ) | (0.36 | ) | (1.39 | ) | (0.86 | ) | (0.41 | ) | (0.23 | ) | ||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 7.53 | $ | 6.48 | $ | 6.47 | $ | 10.91 | $ | 10.95 | $ | 9.82 | $ | 18.58 | $ | 15.81 | $ | 14.58 | $ | 24.44 | $ | 25.40 | $ | 21.93 | ||||||||||||||||||||||||
Total Return | 17.40 | % | 12.23 | % | (33.89 | )%(C) | 7.13 | % | 13.52 | % | 7.08 | % | 19.72 | % | 11.76 | % | (36.63 | )%(C) | (0.49 | )% | 17.97 | % | 14.49 | % | ||||||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 157,730 | $ | 165,231 | $ | 200,331 | $ | 337,050 | $ | 347,216 | $ | 313,543 | $ | 6,921,036 | $ | 5,863,652 | $ | 5,330,448 | $ | 7,535,552 | $ | 6,410,086 | $ | 4,046,083 | ||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.26 | % | 0.29 | %** | 0.25 | %(B)(D) | 0.25 | %(D) | 0.26 | %(D) | 0.34 | %(D) | 0.28 | % | 0.30 | %(D) | 0.28 | %(B)(D) | 0.27 | %(D) | 0.28 | %(D) | 0.30 | %(D) | ||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.98 | % | 0.86 | % | 4.74 | %(B) | 2.67 | % | 1.19 | % | 3.11 | % | 1.86 | % | 2.26 | % | 1.86 | %(B) | 1.28 | % | 1.64 | % | 1.48 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate | 78 | % | 46 | %* | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
* | For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, Enhanced U.S. Large Company Portfolio invests directly in securities rather than through the Series. |
** | Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio- Class R1 Shares† | U.S. Targeted Value Portfolio- Class R2 Shares† | U.S. Targeted Value Portfolio- Institutional Class Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Jan. 31, 2008(a) to Oct. 31, 2008 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period June 30, 2008(a) to Oct. 31, 2008 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.73 | $ | 10.92 | $ | 14.69 | $ | 11.74 | $ | 10.91 | $ | 13.94 | $ | 11.70 | $ | 10.84 | $ | 15.89 | $ | 18.69 | $ | 17.33 | $ | 17.09 | ||||||||||||||||||||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.07 | (A) | 0.12 | (A) | 0.13 | (A) | 0.05 | (A) | 0.10 | (A) | 0.05 | (A) | 0.09 | (A) | 0.12 | (A) | 0.18 | (A) | 0.20 | (A) | 0.21 | (A) | 0.32 | |||||||||||||||||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 3.07 | 0.87 | (3.76 | ) | 3.07 | 0.88 | (3.02 | ) | 3.06 | 0.88 | (4.68 | ) | (1.32 | ) | 2.84 | 1.59 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total From Investment | 3.14 | 0.99 | (3.63 | ) | 3.12 | 0.98 | (2.97 | ) | 3.15 | 1.00 | (4.50 | ) | (1.12 | ) | 3.05 | 1.91 | ||||||||||||||||||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.12 | ) | (0.18 | ) | (0.14 | ) | (0.10 | ) | (0.15 | ) | (0.06 | ) | (0.09 | ) | (0.14 | ) | (0.15 | ) | (0.20 | ) | (0.25 | ) | (0.23 | ) | ||||||||||||||||||||||||||||||||||||||||
Net Realized Gains | — | — | — | — | — | — | — | — | (0.40 | ) | (1.48 | ) | (1.44 | ) | (1.44 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||
Total Distributions | (0.12 | ) | (0.18 | ) | (0.14 | ) | (0.10 | ) | (0.15 | ) | (0.06 | ) | (0.09 | ) | (0.14 | ) | (0.55 | ) | (1.68 | ) | (1.69 | ) | (1.67 | ) | ||||||||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 14.75 | $ | 11.73 | $ | 10.92 | $ | 14.76 | $ | 11.74 | $ | 10.91 | $ | 14.76 | $ | 11.70 | $ | 10.84 | $ | 15.89 | $ | 18.69 | $ | 17.33 | ||||||||||||||||||||||||||||||||||||||||
Total Return | 26.93 | % | 9.36 | % | (24.96 | )%(C) | 26.66 | % | 9.23 | % | (21.40 | )%(C) | 27.02 | % | 9.47 | % | (29.27 | )%(C) | (6.59 | )% | 19.48 | % | 12.17 | % | ||||||||||||||||||||||||||||||||||||||||
Net Assets, End of Period | $ | 41,316 | $ | 31,393 | $ | 25,599 | $ | 5,967 | $ | 2,930 | $ | 1,715 | $ | 2,223,982 | $ | 1,449,437 | $ | 855,448 | $ | 554,805 | $ | 215,338 | $ | 172,595 | ||||||||||||||||||||||||||||||||||||||||
Ratio of Expenses to Average Net | 0.49 | % | 0.52 | % | 0.50 | %(B)(E) | 0.64 | % | 0.67 | % | 0.66 | %(B)(E) | 0.38 | % | 0.41 | % | 0.40 | %(B) | 0.41 | %(D)** | 0.46 | %(D) | 0.47 | %(D) | ||||||||||||||||||||||||||||||||||||||||
Ratio of Net Investment Income to | 0.59 | % | 1.12 | % | 1.24 | %(B)(E) | 0.44 | % | 0.91 | % | 1.35 | %(B)(E) | 0.69 | % | 1.19 | % | 1.39 | %(B) | 1.12 | % | 1.19 | % | 1.91 | % | ||||||||||||||||||||||||||||||||||||||||
Portfolio Turnover Rate | 20 | % | 17 | % | 20 | %(C) | 20 | % | 17 | % | 20 | %(C) | 20 | % | 17 | % | 20 | %(C) | 9 | %(C)* | N/A | N/A |
* | For the period March 30, 2007 through November 30, 2007. Effective March 30, 2007, U.S. Targeted Value Portfolio invests directly in securities rather than through the Series. |
** Represents | the combined ratios for the respective portfolio and for the period December 1, 2006 through March 29, 2007, its respective pro-rata share of its Master Fund Series. |
† All | per share amounts and net assets values have been adjusted as a result of the reverse stock split on November 19, 2010. (Note P) |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Value Portfolio | ||||||||||||||||||||||||
Year Oct. 31, | Year Oct. 31, | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.69 | $ | 16.32 | $ | 26.49 | $ | 31.59 | $ | 28.74 | $ | 27.71 | ||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | 0.09 | (A) | 0.04 | (A) | 0.18 | (A) | 0.30 | (A) | 0.28 | (A) | 0.29 | |||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 4.79 | 1.54 | (7.86 | ) | (2.72 | ) | 5.06 | 2.66 | ||||||||||||||||
Total From Investment Operations | 4.88 | 1.58 | (7.68 | ) | (2.42 | ) | 5.34 | 2.95 | ||||||||||||||||
Less Distributions | ||||||||||||||||||||||||
Net Investment Income | (0.08 | ) | (0.21 | ) | (0.22 | ) | (0.28 | ) | (0.23 | ) | (0.26 | ) | ||||||||||||
Net Realized Gains | — | — | (2.27 | ) | (2.40 | ) | (2.26 | ) | (1.66 | ) | ||||||||||||||
Total Distributions | (0.08 | ) | (0.21 | ) | (2.49 | ) | (2.68 | ) | (2.49 | ) | (1.92 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 22.49 | $ | 17.69 | $ | 16.32 | $ | 26.49 | $ | 31.59 | $ | 28.74 | ||||||||||||
Total Return | 27.69 | % | 9.97 | % | (31.80 | )%(C) | (8.41 | )% | 20.29 | % | 11.32 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 6,555,277 | $ | 5,669,659 | $ | 5,503,945 | $ | 8,802,846 | $ | 8,738,278 | $ | 6,924,234 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.52 | % | 0.54 | %** | 0.52 | %(B)(D) | 0.52 | %(D) | 0.53 | %(D) | 0.55 | %(D) | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.43 | % | 0.27 | % | 0.86 | %(B) | 0.98 | % | 0.94 | % | 1.04 | % | ||||||||||||
Portfolio Turnover Rate | 19 | % | 21 | %* | N/A | N/A | N/A | N/A |
* | For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, U.S. Small Cap Value Portfolio invests directly in securities rather than through the Series. |
** | Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio | U.S. Core Equity 2 Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Year Oct. 31, | Year Oct. 31, | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Period Nov. 30, | Year Oct. 31, | Year Oct. 31, | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Period Nov. 30, | |||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 8.54 | $ | 7.81 | $ | 11.83 | $ | 11.50 | $ | 10.22 | $ | 10.00 | $ | 8.39 | $ | 7.73 | $ | 11.77 | $ | 11.65 | $ | 10.24 | $ | 10.00 | ||||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.15 | (A) | 0.15 | (A) | 0.17 | (A) | 0.19 | (A) | 0.17 | (A) | 0.03 | 0.14 | (A) | 0.14 | (A) | 0.17 | (A) | 0.19 | (A) | 0.17 | (A) | 0.03 | ||||||||||||||||||||||||||
Net Gains (Losses) on Securities | 1.61 | 0.73 | (4.03 | ) | 0.35 | 1.28 | 0.19 | 1.64 | 0.66 | (4.04 | ) | 0.13 | 1.40 | 0.21 | ||||||||||||||||||||||||||||||||||
Total From Investment | 1.76 | 0.88 | (3.86 | ) | 0.54 | 1.45 | 0.22 | 1.78 | 0.80 | (3.87 | ) | 0.32 | 1.57 | 0.24 | ||||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.12 | ) | (0.15 | ) | (0.16 | ) | (0.18 | ) | (0.17 | ) | — | (0.11 | ) | (0.14 | ) | (0.17 | ) | (0.17 | ) | (0.16 | ) | — | ||||||||||||||||||||||||||
Net Realized Gains | — | — | — | (0.03 | ) | — | — | — | — | — | (0.03 | ) | — | — | ||||||||||||||||||||||||||||||||||
Total Distributions | (0.12 | ) | (0.15 | ) | (0.16 | ) | (0.21 | ) | (0.17 | ) | — | (0.11 | ) | (0.14 | ) | (0.17 | ) | (0.20 | ) | (0.16 | ) | — | ||||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 10.18 | $ | 8.54 | $ | 7.81 | $ | 11.83 | $ | 11.50 | $ | 10.22 | $ | 10.06 | $ | 8.39 | $ | 7.73 | $ | 11.77 | $ | 11.65 | $ | 10.24 | ||||||||||||||||||||||||
Total Return | 20.80 | % | 11.64 | % | (32.85 | )%(C) | 4.68 | % | 14.35 | % | 2.20 | %(C) | 21.41 | % | 10.66 | % | (33.16 | )%(C) | 2.78 | % | 15.50 | % | 2.40 | %(C) | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 2,897,409 | $ | 1,989,583 | $ | 1,320,562 | $ | 1,210,031 | $ | 652,270 | $ | 123,591 | $ | 4,990,367 | $ | 3,804,325 | $ | 2,501,028 | $ | 2,939,420 | $ | 1,216,310 | $ | 182,078 | ||||||||||||||||||||||||
Ratio of Expenses to Average Net | 0.20 | % | 0.22 | % | 0.20 | %(B) | 0.20 | % | 0.23 | % | 0.23 | %(B)(E) | 0.23 | % | 0.24 | % | 0.23 | %(B) | 0.23 | % | 0.26 | % | 0.26 | %(B)(E) | ||||||||||||||||||||||||
Ratio of Expenses to Average Net | 0.20 | % | 0.22 | % | 0.20 | %(B) | 0.20 | % | 0.23 | % | 0.37 | %(B)(E) | 0.23 | % | 0.24 | % | 0.23 | %(B) | 0.23 | % | 0.26 | % | 0.38 | %(B)(E) | ||||||||||||||||||||||||
Ratio of Net Investment Income to | 1.53 | % | 2.02 | % | 1.78 | %(B) | 1.53 | % | 1.52 | % | 1.85 | %(B)(E) | 1.47 | % | 1.89 | % | 1.77 | %(B) | 1.55 | % | 1.55 | % | 1.92 | %(B)(E) | ||||||||||||||||||||||||
Portfolio Turnover Rate | 4 | % | 7 | % | 5 | %(C) | 10 | % | 6 | % | 0 | %(C) | 7 | % | 4 | % | 8 | %(C) | 7 | % | 5 | % | 0 | %(C) |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Vector Equity Portfolio | ||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Period Dec. 30, 2005(a) to Nov. 30, 2006 | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 8.03 | $ | 7.48 | $ | 11.38 | $ | 11.79 | $ | 10.00 | ||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net Investment Income (Loss)(A) | 0.10 | 0.11 | 0.15 | 0.16 | 0.13 | |||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 1.79 | 0.57 | (3.89 | ) | (0.25 | ) | 1.73 | |||||||||||||
Total From Investment Operations | 1.89 | 0.68 | (3.74 | ) | (0.09 | ) | 1.86 | |||||||||||||
Less Distributions | ||||||||||||||||||||
Net Investment Income | (0.10 | ) | (0.13 | ) | (0.16 | ) | (0.14 | ) | (0.07 | ) | ||||||||||
Net Realized Gains | — | — | — | (0.18 | ) | — | ||||||||||||||
Total Distributions | (0.10 | ) | (0.13 | ) | (0.16 | ) | (0.32 | ) | (0.07 | ) | ||||||||||
Net Asset Value, End of Period | $ | 9.82 | $ | 8.03 | $ | 7.48 | $ | 11.38 | $ | 11.79 | ||||||||||
Total Return | 23.65 | % | 9.47 | % | (33.29 | )%(C) | (0.87 | )% | 18.65 | %(C) | ||||||||||
Net Assets, End of Period (thousands) | $ | 1,558,423 | $ | 1,178,114 | $ | 850,623 | $ | 959,742 | $ | 403,312 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.33 | % | 0.35 | % | 0.34 | %(B) | 0.34 | % | 0.36 | %(B)(E) | ||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) | 0.33 | % | 0.35 | % | 0.34 | %(B) | 0.33 | % | 0.39 | %(B)(E) | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.13 | % | 1.60 | % | 1.66 | %(B) | 1.29 | % | 1.24 | %(B)(E) | ||||||||||
Portfolio Turnover Rate | 11 | % | 11 | % | 11 | %(C) | 14 | % | 24 | %(C) |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Portfolio | U.S. Micro Cap Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 14.89 | $ | 13.35 | $ | 20.64 | $ | 22.46 | $ | 20.75 | $ | 19.13 | $ | 9.57 | $ | 9.19 | $ | 14.80 | $ | 16.83 | $ | 15.91 | $ | 15.06 | ||||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.13 | (A) | 0.06 | (A) | 0.14 | (A) | 0.21 | (A) | 0.17 | (A) | 0.15 | 0.06 | (A) | 0.03 | (A) | 0.10 | (A) | 0.14 | (A) | 0.10 | (A) | 0.07 | ||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 4.17 | 1.65 | (6.08 | ) | (0.66 | ) | 2.84 | 1.75 | 2.68 | 0.54 | (4.32 | ) | (0.69 | ) | 2.04 | 1.43 | ||||||||||||||||||||||||||||||||
Total From | 4.30 | 1.71 | (5.94 | ) | (0.45 | ) | 3.01 | 1.90 | 2.74 | 0.57 | (4.22 | ) | (0.55 | ) | 2.14 | 1.50 | ||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.13 | ) | (0.17 | ) | (0.17 | ) | (0.21 | ) | (0.13 | ) | (0.13 | ) | (0.06 | ) | (0.19 | ) | (0.13 | ) | (0.13 | ) | (0.08 | ) | (0.06 | ) | ||||||||||||||||||||||||
Net Realized Gains | — | — | (1.18 | ) | (1.16 | ) | (1.17 | ) | (0.15 | ) | — | — | (1.26 | ) | (1.35 | ) | (1.14 | ) | (0.59 | ) | ||||||||||||||||||||||||||||
Total | (0.13 | ) | (0.17 | ) | (1.35 | ) | (1.37 | ) | (1.30 | ) | (0.28 | ) | (0.06 | ) | (0.19 | ) | (1.39 | ) | (1.48 | ) | (1.22 | ) | (0.65 | ) | ||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 19.06 | $ | 14.89 | $ | 13.35 | $ | 20.64 | $ | 22.46 | $ | 20.75 | $ | 12.25 | $ | 9.57 | $ | 9.19 | $ | 14.80 | $ | 16.83 | $ | 15.91 | ||||||||||||||||||||||||
Total Return | 28.99 | % | 13.08 | % | (30.67 | )%(C) | (2.17 | )% | 15.49 | % | 10.04 | % | 28.77 | % | 6.61 | % | (31.33 | )%(C) | (3.63 | )% | 14.52 | % | 10.33 | % | ||||||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 3,391,457 | $ | 2,522,001 | $ | 2,066,849 | $ | 3,285,093 | $ | 3,297,199 | $ | 2,641,670 | $ | 3,178,286 | $ | 2,818,365 | $ | 2,924,225 | $ | 4,700,371 | $ | 4,824,003 | $ | 3,949,511 | ||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.37 | % | 0.40 | %** | 0.38 | %(B)(D) | 0.38 | %(D) | 0.38 | %(D) | 0.40 | %(D) | 0.52 | % | 0.54 | %** | 0.53 | %(B)(D) | 0.52 | %(D) | 0.53 | %(D) | 0.55 | %(D) | ||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.76 | % | 0.50 | % | 0.86 | %(B) | 0.95 | % | 0.82 | % | 0.78 | % | 0.58 | % | 0.38 | % | 0.91 | %(B) | 0.89 | % | 0.64 | % | 0.48 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate | 19 | % | 17 | %* | N/A | N/A | N/A | N/A | 9 | % | 12 | %* | N/A | N/A | N/A | N/A |
* | For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, the Portfolios invest directly in securities rather than through the Series. |
** | Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio | Large Cap International Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.29 | $ | 16.16 | $ | 27.20 | $ | 33.80 | $ | 25.75 | $ | 23.02 | $ | 18.02 | $ | 14.81 | $ | 27.18 | $ | 23.60 | $ | 19.00 | $ | 17.31 | ||||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.58 | (A) | 0.58 | (A) | 0.64 | (A) | 0.62 | (A) | 0.64 | (A) | 0.82 | 0.48 | (A) | 0.48 | (A) | 0.68 | (A) | 0.68 | (A) | 0.55 | (A) | 0.44 | ||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 5.92 | (0.62 | ) | (9.28 | ) | (5.64 | ) | 8.84 | 3.33 | 1.43 | 3.16 | (12.06 | ) | 3.57 | 4.68 | 1.72 | ||||||||||||||||||||||||||||||||
Total From Investment Operations | 6.50 | (0.04 | ) | (8.64 | ) | (5.02 | ) | 9.48 | 4.15 | 1.91 | 3.64 | (11.38 | ) | 4.25 | 5.23 | 2.16 | ||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.55 | ) | (0.83 | ) | (0.30 | ) | (0.70 | ) | (1.02 | ) | (0.86 | ) | (0.51 | ) | (0.43 | ) | (0.64 | ) | (0.67 | ) | (0.63 | ) | (0.47 | ) | ||||||||||||||||||||||||
Net Realized Gains. | — | — | (2.10 | ) | (0.88 | ) | (0.41 | ) | (0.56 | ) | — | — | (0.35 | ) | — | — | — | |||||||||||||||||||||||||||||||
Total Distributions | (0.55 | ) | (0.83 | ) | (2.40 | ) | (1.58 | ) | (1.43 | ) | (1.42 | ) | (0.51 | ) | (0.43 | ) | (0.99 | ) | (0.67 | ) | (0.63 | ) | (0.47 | ) | ||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 21.24 | $ | 15.29 | $ | 16.16 | $ | 27.20 | $ | 33.80 | $ | 25.75 | $ | 19.42 | $ | 18.02 | $ | 14.81 | $ | 27.18 | $ | 23.60 | $ | 19.00 | ||||||||||||||||||||||||
Total Return | 43.21 | % | 0.98 | % | (34.46 | )%(C) | (15.45 | )% | 38.23 | % | 18.81 | % | 10.99 | % | 25.20 | % | (43.14 | )%(C) | 18.18 | % | 28.00 | % | 12.73 | % | ||||||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 2,689,552 | $ | 2,018,559 | $ | 1,746,961 | $ | 2,671,457 | $ | 2,837,026 | $ | 1,836,650 | $ | 1,616,686 | $ | 1,364,351 | $ | 1,206,860 | $ | 2,224,180 | $ | 1,673,239 | $ | 1,125,455 | ||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.33 | % | 0.36 | % | 0.33 | %(B) | 0.33 | % | 0.33 | % | 0.37 | % | 0.30 | % | 0.32 | % | 0.29 | %(B) | 0.29 | % | 0.29 | % | 0.37 | % | ||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.13 | % | 4.54 | % | 3.01 | %(B) | 1.99 | % | 2.25 | % | 3.11 | % | 2.65 | % | 3.14 | % | 3.18 | %(B) | 2.62 | % | 2.56 | % | 2.41 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate | 2 | % | 2 | % | 13 | %(C) | 17 | % | 10 | % | 3 | % | 7 | % | 12 | % | 12 | %(C) | 5 | % | 4 | % | 4 | % |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Core Equity Portfolio | ||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Period to Nov. 30, | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.79 | $ | 7.46 | $ | 14.35 | $ | 12.82 | $ | 10.07 | $ | 10.00 | ||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net Investment Income (Loss)(A) | 0.23 | 0.23 | 0.37 | 0.35 | 0.28 | 0.04 | ||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 0.96 | 2.32 | (6.76 | ) | 1.54 | 2.71 | 0.03 | |||||||||||||||||
Total From Investment Operations | 1.19 | 2.55 | (6.39 | ) | 1.89 | 2.99 | 0.07 | |||||||||||||||||
Less Distributions | ||||||||||||||||||||||||
Net Investment Income | (0.20 | ) | (0.22 | ) | (0.35 | ) | (0.32 | ) | (0.24 | ) | — | |||||||||||||
Net Realized Gains | — | — | (0.15 | ) | (0.04 | ) | — | — | ||||||||||||||||
Total Distributions | (0.20 | ) | (0.22 | ) | (0.50 | ) | (0.36 | ) | (0.24 | ) | — | |||||||||||||
Net Asset Value, End of Period | $ | 10.78 | $ | 9.79 | $ | 7.46 | $ | 14.35 | $ | 12.82 | $ | 10.07 | ||||||||||||
Total Return | 12.48 | % | 34.81 | % | (45.76 | )%(C) | 14.83 | % | 30.06 | % | 0.70 | %(C) | ||||||||||||
Net Assets, End of Period (thousands) | $ | 4,866,989 | $ | 3,699,842 | $ | 1,981,049 | $ | 2,342,187 | $ | 851,077 | $ | 121,249 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.40 | % | 0.41 | % | 0.41 | %(B) | 0.41 | % | 0.48 | % | 0.49 | %(B)(E) | ||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) | 0.40 | % | 0.41 | % | 0.41 | %(B) | 0.41 | % | 0.46 | % | 0.90 | %(B)(E) | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.31 | % | 2.84 | % | 3.39 | %(B) | 2.49 | % | 2.35 | % | 1.89 | %(B)(E) | ||||||||||||
Portfolio Turnover Rate | 2 | % | 5 | % | 4 | %(C) | 4 | % | 2 | % | 0 | %(C) |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Small Company Portfolio | Japanese Small Company Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.99 | $ | 10.07 | $ | 20.80 | $ | 19.43 | $ | 16.19 | $ | 14.12 | $ | 14.32 | $ | 11.97 | $ | 16.75 | $ | 17.23 | $ | 17.97 | $ | 13.99 | ||||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss)(A) | 0.28 | 0.28 | 0.44 | 0.43 | 0.36 | 0.31 | 0.22 | 0.22 | 0.29 | 0.27 | 0.22 | 0.16 | ||||||||||||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 2.13 | 3.91 | (9.55 | ) | 2.07 | 4.02 | 2.38 | (0.18 | ) | 2.39 | (4.78 | ) | (0.52 | ) | (0.73 | ) | 4.00 | |||||||||||||||||||||||||||||||
Total From Investment Operations | 2.41 | 4.19 | (9.11 | ) | 2.50 | 4.38 | 2.69 | 0.04 | 2.61 | (4.49 | ) | (0.25 | ) | (0.51 | ) | 4.16 | ||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.26 | ) | (0.27 | ) | (0.45 | ) | (0.46 | ) | (0.36 | ) | (0.29 | ) | (0.23 | ) | (0.26 | ) | (0.29 | ) | (0.23 | ) | (0.23 | ) | (0.18 | ) | ||||||||||||||||||||||||
Net Realized Gains | — | — | (1.17 | ) | (0.67 | ) | (0.78 | ) | (0.33 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Total Distributions | (0.26 | ) | (0.27 | ) | (1.62 | ) | (1.13 | ) | (1.14 | ) | (0.62 | ) | (0.23 | ) | (0.26 | ) | (0.29 | ) | (0.23 | ) | (0.23 | ) | (0.18 | ) | ||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 16.14 | $ | 13.99 | $ | 10.07 | $ | 20.80 | $ | 19.43 | $ | 16.19 | $ | 14.13 | $ | 14.32 | $ | 11.97 | $ | 16.75 | $ | 17.23 | $ | 17.97 | ||||||||||||||||||||||||
Total Return | 17.61 | % | 42.34 | % | (47.13 | )%(C) | 13.29 | % | 28.51 | % | 19.74 | % | 0.33 | % | 22.08 | % | (27.16 | )%(C) | (1.51 | )% | (2.94 | )% | 30.13 | % | ||||||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 5,511,594 | $ | 4,269,864 | $ | 3,084,373 | $ | 5,597,209 | $ | 4,546,071 | $ | 2,725,231 | $ | 114,933 | $ | 114,058 | $ | 133,373 | $ | 199,080 | $ | 168,957 | $ | 169,995 | ||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets (D) | 0.56 | % | 0.57 | % | 0.55 | %(B) | 0.55 | % | 0.56 | % | 0.64 | % | 0.57 | % | 0.59 | % | 0.58 | %(B) | 0.56 | % | 0.61 | % | 0.68 | % | ||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D) | 0.56 | % | 0.57 | % | 0.55 | %(B) | 0.55 | % | 0.56 | % | 0.64 | % | 0.57 | % | 0.59 | % | 0.58 | %(B) | 0.56 | % | 0.58 | % | 0.68 | % | ||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.94 | % | 2.48 | % | 2.90 | %(B) | 2.03 | % | 2.04 | % | 2.05 | % | 1.52 | % | 1.68 | % | 2.18 | %(B) | 1.51 | % | 1.19 | % | 1.03 | % |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio | United Kingdom Small Company Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, | Year Ended Oct. 31, | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 20.59 | $ | 11.67 | $ | 28.73 | $ | 20.26 | $ | 15.28 | $ | 14.54 | $ | 19.83 | $ | 14.27 | $ | 31.29 | $ | 32.97 | $ | 24.65 | $ | 23.47 | ||||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.69 | (A) | 0.50 | (A) | 0.83 | (A) | 0.79 | (A) | 0.64 | (A) | 0.70 | 0.50 | (A) | 0.55 | (A) | 0.77 | (A) | 0.78 | (A) | 0.61 | (A) | 0.64 | (A) | |||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 4.99 | 8.95 | (17.04 | ) | 8.43 | 4.92 | 0.54 | 4.41 | 5.44 | (15.84 | ) | (0.08 | ) | 9.61 | 2.15 | |||||||||||||||||||||||||||||||||
Total From Investment Operations | 5.68 | 9.45 | (16.21 | ) | 9.22 | 5.56 | 1.24 | 4.91 | 5.99 | (15.07 | ) | 0.70 | 10.22 | 2.79 | ||||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.63 | ) | (0.53 | ) | (0.85 | ) | (0.75 | ) | (0.58 | ) | (0.50 | ) | (0.50 | ) | (0.43 | ) | (0.72 | ) | (1.03 | ) | (0.68 | ) | (0.59 | ) | ||||||||||||||||||||||||
Net Realized Gains | — | — | — | — | — | — | — | — | (1.22 | ) | (1.35 | ) | (1.22 | ) | (1.02 | ) | ||||||||||||||||||||||||||||||||
Return of Capital | — | — | — | — | — | — | — | — | (0.01 | ) | — | — | — | |||||||||||||||||||||||||||||||||||
Total Distributions | (0.63 | ) | (0.53 | ) | (0.85 | ) | (0.75 | ) | (0.58 | ) | (0.50 | ) | (0.50 | ) | (0.43 | ) | (1.95 | ) | (2.38 | ) | (1.90 | ) | (1.61 | ) | ||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 25.64 | $ | 20.59 | $ | 11.67 | $ | 28.73 | $ | 20.26 | $ | 15.28 | $ | 24.24 | $ | 19.83 | $ | 14.27 | $ | 31.29 | $ | 32.97 | $ | 24.65 | ||||||||||||||||||||||||
Total Return | 28.36 | % | 84.11 | % | (57.94 | )%(C) | 46.55 | % | 37.52 | % | 8.81 | % | 25.37 | % | 42.81 | % | (50.97 | )%(C) | 1.94 | % | 44.15 | % | 12.35 | % | ||||||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 131,511 | $ | 101,853 | $ | 64,044 | $ | 146,307 | $ | 71,537 | $ | 38,927 | $ | 33,751 | $ | 27,863 | $ | 25,883 | $ | 37,139 | $ | 31,808 | $ | 20,578 | ||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets(D) | 0.63 | % | 0.65 | % | 0.62 | %(B) | 0.62 | % | 0.64 | % | 0.74 | % | 0.60 | % | 0.61 | % | 0.59 | %(B) | 0.59 | % | 0.60 | % | 0.70 | % | ||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Expenses)(D) | 0.61 | % | 0.65 | % | 0.61 | %(B) | 0.59 | % | 0.64 | % | 0.86 | % | 0.64 | % | 0.70 | % | 0.65 | %(B) | 0.62 | % | 0.67 | % | 0.89 | % | ||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.14 | % | 3.53 | % | 3.85 | %(B) | 3.13 | % | 3.68 | % | 3.89 | % | 2.39 | % | 3.62 | % | 3.41 | %(B) | 2.28 | % | 2.20 | % | 2.70 | % |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Continental Small Company Portfolio | DFA International Real Estate Securities Portfolio | |||||||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Period to Nov. 30, 2007 | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.02 | $ | 10.73 | $ | 22.95 | $ | 20.47 | $ | 15.78 | $ | 14.12 | $ | 5.24 | $ | 4.18 | $ | 9.35 | $ | 10.00 | ||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.27 | (A) | 0.28 | (A) | 0.52 | (A) | 0.40 | (A) | 0.31 | (A) | 0.21 | 0.31 | (A) | 0.26 | (A) | 0.34 | (A) | 0.23 | (A) | |||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 1.89 | 4.29 | (11.32 | ) | 3.00 | 6.28 | 2.28 | 0.58 | 0.91 | (5.08 | ) | (0.76 | ) | |||||||||||||||||||||||||||
Total From Investment Operations | 2.16 | 4.57 | (10.80 | ) | 3.40 | 6.59 | 2.49 | 0.89 | 1.17 | (4.74 | ) | (0.53 | ) | |||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.25 | ) | (0.28 | ) | (0.45 | ) | (0.38 | ) | (0.34 | ) | (0.30 | ) | (0.55 | ) | (0.11 | ) | (0.43 | ) | (0.12 | ) | ||||||||||||||||||||
Net Realized Gains | — | — | (0.96 | ) | (0.54 | ) | (1.56 | ) | (0.53 | ) | — | — | — | — | ||||||||||||||||||||||||||
Return of Capital | — | — | (0.01 | ) | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total Distributions | (0.25 | ) | (0.28 | ) | (1.42 | ) | (0.92 | ) | (1.90 | ) | (0.83 | ) | (0.55 | ) | (0.11 | ) | (0.43 | ) | (0.12 | ) | ||||||||||||||||||||
Net Asset Value, End of Period | $ | 16.93 | $ | 15.02 | $ | 10.73 | $ | 22.95 | $ | 20.47 | $ | 15.78 | $ | 5.58 | $ | 5.24 | $ | 4.18 | $ | 9.35 | ||||||||||||||||||||
Total Return | 14.85 | % | 43.12 | % | (49.89 | )%(C) | 16.99 | % | 46.33 | % | 18.42 | % | 18.96 | % | 29.25 | % | (52.85 | )%(C) | (5.38 | )%(C) | ||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 128,106 | $ | 110,926 | $ | 93,988 | $ | 170,909 | $ | 90,261 | $ | 52,061 | $ | 958,554 | $ | 742,329 | $ | 394,480 | $ | 336,840 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.59 | %(D) | 0.62 | %(D) | 0.59 | %(B)(D) | 0.61 | %(D) | 0.62 | %(D) | 0.71 | %(D) | 0.41 | % | 0.43 | % | 0.44 | %(B) | 0.48 | %(B)(E) | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) | 0.59 | %(D) | 0.61 | %(D) | 0.59 | %(B)(D) | 0.57 | %(D) | 0.61 | %(D) | 0.78 | %(D) | 0.41 | % | 0.43 | % | 0.44 | %(B) | 0.48 | %(B)(E) | ||||||||||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.78 | %(D) | 2.39 | % | 3.04 | %(B) | 1.70 | % | 1.78 | % | 1.77 | % | 6.42 | % | 6.40 | % | 5.20 | %(B) | 3.50 | %(B)(E) | ||||||||||||||||||||
Portfolio Turnover Rate | N/A | N/A | N/A | N/A | N/A | N/A | 6 | % | 5 | % | 1 | %(C) | 2 | %(C) |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio | DFA International Small Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period June 4, 2008(a) to Oct. 31, 2008 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 6.75 | $ | 6.04 | $ | 10.00 | $ | 14.92 | $ | 10.82 | $ | 22.05 | $ | 21.71 | $ | 17.57 | $ | 15.16 | ||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss)(A) | 0.40 | 0.19 | — | 0.24 | 0.26 | 0.52 | 0.46 | 0.36 | 0.40 | |||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 1.60 | 0.62 | (3.96 | ) | 1.22 | 4.14 | (9.60 | ) | 1.66 | 4.95 | 2.77 | |||||||||||||||||||||||||
Total From Investment Operations | 2.00 | 0.81 | (3.96 | ) | 1.46 | 4.40 | (9.08 | ) | 2.12 | 5.31 | 3.17 | |||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.47 | ) | (0.10 | ) | — | (0.22 | ) | (0.24 | ) | (0.58 | ) | (0.53 | ) | (0.38 | ) | (0.36 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | — | (0.06 | ) | (1.57 | ) | (1.25 | ) | (0.79 | ) | (0.40 | ) | ||||||||||||||||||||||
Total Distributions | (0.47 | ) | (0.10 | ) | — | (0.22 | ) | (0.30 | ) | (2.15 | ) | (1.78 | ) | (1.17 | ) | (0.76 | ) | |||||||||||||||||||
Net Asset Value, End of Period | $ | 8.28 | $ | 6.75 | $ | 6.04 | $ | 16.16 | $ | 14.92 | $ | 10.82 | $ | 22.05 | $ | 21.71 | $ | 17.57 | ||||||||||||||||||
Total Return | 31.38 | % | 13.81 | % | (39.60 | )%(C) | 10.01 | % | 41.42 | % | (45.17 | )%(C) | 10.25 | % | 31.73 | % | 21.75 | % | ||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 695,461 | $ | 432,502 | $ | 90,672 | $ | 7,655,318 | $ | 6,859,957 | $ | 4,799,748 | $ | 8,180,859 | $ | 6,733,067 | $ | 4,128,428 | ||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.41 | %(D) | 0.47 | %(D) | 0.54 | %(B)(D)(E) | 0.70 | % | 0.71 | % | 0.69 | %(B) | 0.69 | % | 0.70 | % | 0.75 | % | ||||||||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) | 0.73 | %(D) | 0.79 | %(D) | 0.86 | %(B)(D)(E) | 0.70 | % | 0.71 | % | 0.69 | %(B) | 0.69 | % | 0.70 | % | 0.75 | % | ||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.59 | % | 3.40 | % | (0.04 | )%(B)(E) | 1.57 | % | 2.19 | % | 3.22 | %(B) | 2.03 | % | 1.85 | % | 2.44 | % | ||||||||||||||||||
Portfolio Turnover Rate | N/A | N/A | N/A | 18 | % | 22 | % | 16 | %(C) | 18 | % | 14 | % | 13 | % |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Vector Equity Portfolio | Emerging Markets Portfolio | |||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period August 14, 2008(a) to Oct. 31, 2008 | Year Ended Oct. 31, 2010 | Year Oct. 31, | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.22 | $ | 6.74 | $ | 10.00 | $ | 25.23 | $ | 17.05 | $ | 35.23 | $ | 25.40 | $ | 19.89 | $ | 15.61 | ||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) (A) | 0.18 | 0.17 | 0.06 | 0.48 | 0.42 | 0.70 | 0.64 | 0.48 | 0.58 | |||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 1.05 | 2.46 | (3.32 | ) | 6.07 | 8.42 | (16.85 | ) | 9.88 | 5.61 | 4.13 | |||||||||||||||||||||||||
Total From Investment Operations | 1.23 | 2.63 | (3.26 | ) | 6.55 | 8.84 | (16.15 | ) | 10.52 | 6.09 | 4.71 | |||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.17 | ) | (0.15 | ) | — | (0.46 | ) | (0.41 | ) | (0.69 | ) | (0.53 | ) | (0.58 | ) | (0.43 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | (0.42 | ) | (0.25 | ) | (1.34 | ) | (0.16 | ) | — | — | |||||||||||||||||||||||
Total Distributions | (0.17 | ) | (0.15 | ) | — | (0.88 | ) | (0.66 | ) | (2.03 | ) | (0.69 | ) | (0.58 | ) | (0.43 | ) | |||||||||||||||||||
Net Asset Value, End of Period | $ | 10.28 | $ | 9.22 | $ | 6.74 | $ | 30.90 | $ | 25.23 | $ | 17.05 | $ | 35.23 | $ | 25.40 | $ | 19.89 | ||||||||||||||||||
Total Return | 13.62 | % | 39.52 | % | (32.60 | )%(C) | 26.53 | % | 53.39 | % | (48.37 | )%(C) | 42.08 | % | 31.31 | % | 30.65 | % | ||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 363,123 | $ | 262,544 | $ | 66,774 | $ | 2,372,498 | $ | 1,966,288 | $ | 1,508,260 | $ | 3,388,442 | $ | 2,344,990 | $ | 1,805,186 | ||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.54 | % | 0.60 | % | 0.60 | %(B)(E) | 0.60 | %(D) | 0.62 | %(D) | 0.60 | %(B)(D) | 0.60 | %(D) | 0.61 | %(D) | 0.69 | %(D) | ||||||||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) | 0.53 | % | 0.59 | % | 1.15 | %(B)(E) | 0.60 | %(D) | 0.62 | %(D) | 0.60 | %(B)(D) | 0.60 | %(D) | 0.61 | %(D) | 0.69 | %(D) | ||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.91 | % | 2.31 | % | 3.01 | %(B)(E) | 1.76 | % | 2.15 | % | 2.59 | %(B) | 2.12 | % | 2.13 | % | 3.28 | % | ||||||||||||||||||
Portfolio Turnover Rate | 5 | % | 8 | % | 0 | %(C) | N/A | N/A | N/A | N/A | N/A | N/A |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Small Cap Portfolio | ||||||||||||||||||||||||
Year Oct. 31, | Year Oct. 31, | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.45 | $ | 9.33 | $ | 23.74 | $ | 17.96 | $ | 13.37 | $ | 11.44 | ||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net Investment Income (Loss)(A) | 0.34 | 0.26 | 0.44 | 0.31 | 0.30 | 0.27 | ||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 6.79 | 8.14 | (12.95 | ) | 6.86 | 4.86 | 2.37 | |||||||||||||||||
Total From Investment Operations | 7.13 | 8.40 | (12.51 | ) | 7.17 | 5.16 | 2.64 | |||||||||||||||||
Less Distributions | ||||||||||||||||||||||||
Net Investment Income | (0.32 | ) | (0.28 | ) | (0.41 | ) | (0.26 | ) | (0.26 | ) | (0.22 | ) | ||||||||||||
Net Realized Gains | — | — | (1.49 | ) | (1.13 | ) | (0.31 | ) | (0.49 | ) | ||||||||||||||
Total Distributions | (0.32 | ) | (0.28 | ) | (1.90 | ) | (1.39 | ) | (0.57 | ) | (0.71 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 24.26 | $ | 17.45 | $ | 9.33 | $ | 23.74 | $ | 17.96 | $ | 13.37 | ||||||||||||
Total Return | 41.33 | % | 91.35 | % | (57.00 | )%(C) | 42.58 | % | 39.95 | % | 24.27 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 1,833,038 | $ | 1,133,958 | $ | 547,329 | $ | 1,458,152 | $ | 838,948 | $ | 482,378 | ||||||||||||
Ratio of Expenses to Average Net Assets(D) | 0.78 | % | 0.80 | % | 0.77 | %(B) | 0.78 | % | 0.81 | % | 0.97 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.70 | % | 2.05 | % | 2.61 | %(B) | 1.48 | % | 1.92 | % | 2.21 | % |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares | Emerging Markets Value Portfolio-Institutional Class Shares | |||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period to Oct. 31, 2008 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, | Period Dec. 1, 2007 Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 2.50 | $ | 4.56 | $ | 10.00 | $ | 28.90 | $ | 19.36 | $ | 45.85 | $ | 31.26 | $ | 22.86 | $ | 17.93 | ||||||||||||||||||
Income from Investment Operations | ||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.03 | (A) | 0.03 | (A) | 0.21 | (A) | 0.45 | (A) | 0.38 | (A) | 0.98 | (A) | 0.78 | (A) | 0.60 | (A) | 0.50 | |||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 0.49 | 1.14 | (4.93 | ) | 8.01 | 12.41 | (25.48 | ) | 14.82 | 8.65 | 4.96 | |||||||||||||||||||||||||
Total from Investment Operations | 0.52 | 1.17 | (4.72 | ) | 8.46 | 12.79 | (24.50 | ) | 15.60 | 9.25 | 5.46 | |||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.38 | ) | (0.32 | ) | (0.72 | ) | (0.39 | ) | (0.34 | ) | (1.00 | ) | (0.63 | ) | (0.60 | ) | (0.44 | ) | ||||||||||||||||||
Net Realized Gains | (0.70 | ) | (2.91 | ) | — | (0.70 | ) | (2.91 | ) | (0.99 | ) | (0.38 | ) | (0.25 | ) | (0.09 | ) | |||||||||||||||||||
Total Distributions | (1.08 | ) | (3.23 | ) | (0.72 | ) | (1.09 | ) | (3.25 | ) | (1.99 | ) | (1.01 | ) | (0.85 | ) | (0.53 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $ | 1.94 | $ | 2.50 | $ | 4.56 | $ | 36.27 | $ | 28.90 | $ | 19.36 | $ | 45.85 | $ | 31.26 | $ | 22.86 | ||||||||||||||||||
Total Return | 29.71 | % | 78.29 | % | (50.51 | )%(C) | 30.04 | % | 78.59 | % | (55.65 | )%(C) | 50.98 | % | 41.55 | % | 31.06 | % | ||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 39,668 | $ | 5,082 | $ | 1,799 | $ | 11,542,870 | $ | 7,401,266 | $ | 3,735,580 | $ | 7,485,802 | $ | 4,283,696 | $ | 2,077,480 | ||||||||||||||||||
Ratio of Expenses to Average Net Assets (D) | 0.86 | % | 0.90 | % | 0.92 | %(B)(E) | 0.60 | % | 0.62 | % | 0.60 | %(B) | 0.60 | % | 0.63 | % | 0.70 | % | ||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.39 | % | 1.39 | % | 3.35 | %(B)(E) | 1.40 | % | 1.76 | % | 2.82 | %(B) | 2.00 | % | 2.22 | % | 2.45 | % |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio | ||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Period to Nov. 30, | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.49 | $ | 9.88 | $ | 21.20 | $ | 15.13 | $ | 11.54 | $ | 10.00 | ||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | 0.30 | (A) | 0.25 | (A) | 0.43 | (A) | 0.35 | (A) | 0.27 | (A) | 0.10 | |||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 4.81 | 6.56 | (11.27 | ) | 6.10 | 3.54 | 1.51 | |||||||||||||||||
Total From Investment Operations | 5.11 | 6.81 | (10.84 | ) | 6.45 | 3.81 | 1.61 | |||||||||||||||||
Less Distributions | ||||||||||||||||||||||||
Net Investment Income | (0.29 | ) | (0.20 | ) | (0.40 | ) | (0.32 | ) | (0.22 | ) | (0.07 | ) | ||||||||||||
Net Realized Gains | — | — | (0.08 | ) | (0.06 | ) | — | — | ||||||||||||||||
Total Distributions | (0.29 | ) | (0.20 | ) | (0.48 | ) | (0.38 | ) | (0.22 | ) | (0.07 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 21.31 | $ | 16.49 | $ | 9.88 | $ | 21.20 | $ | 15.13 | $ | 11.54 | ||||||||||||
Total Return | 31.30 | % | 69.47 | % | (51.93 | )%(C) | 43.20 | % | 33.39 | % | 16.12 | %(C) | ||||||||||||
Net Assets, End of Period (thousands) | $ | 4,179,882 | $ | 2,455,035 | $ | 1,155,526 | $ | 1,829,466 | $ | 822,136 | $ | 218,563 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.65 | % | 0.67 | % | 0.65 | %(B) | 0.65 | % | 0.74 | % | 1.00 | %(B)(E) | ||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) | 0.65 | % | 0.67 | % | 0.65 | %(B) | 0.65 | % | 0.72 | % | 1.09 | %(B)(E) | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.63 | % | 2.03 | % | 2.62 | %(B) | 1.87 | % | 2.02 | % | 1.79 | %(B)(E) | ||||||||||||
Portfolio Turnover Rate | 4 | % | 6 | % | 3 | %(C) | 2 | % | 6 | % | 2 | %(C) |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
A. Organization:
DFA Investment Dimensions Group Inc. (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors.The Fund consists of fifty-eight operational portfolios, of which twenty-five (the “Portfolios”) are included in this report and the remaining thirty-three are presented in separate reports.
Of the Portfolios, eight invest in one or more series of The DFA Investment Trust Company, one invests in the Dimensional Emerging Markets Value Fund, and the DFA Global Real Estate Securities Portfolio invests in two portfolios of the DFA Investment Dimensions Group Inc.
Feeder Funds | Master Funds | Percentage Ownership at 10/31/10 | ||||
U.S. Large Cap Value Portfolio | The U.S. Large Cap Value Series | 79 | % | |||
Japanese Small Company Portfolio | The Japanese Small Company Series | 9 | % | |||
Asia Pacific Small Company Portfolio | The Asia Pacific Small Company Series | 14 | % | |||
United Kingdom Small Company Portfolio | The United Kingdom Small Company Series | 3 | % | |||
Continental Small Company Portfolio | The Continental Small Company Series | 6 | % | |||
Emerging Markets Portfolio | The Emerging Markets Series | 94 | % | |||
Emerging Markets Small Cap Portfolio | The Emerging Markets Small Cap Series | 97 | % | |||
Emerging Markets Value Portfolio | Dimensional Emerging Markets Value Fund | 97 | % | |||
Fund of Funds | ||||||
International Small Company Portfolio | The Japanese Small Company Series | 91 | % | |||
The Asia Pacific Small Company Series | 86 | % | ||||
The United Kingdom Small Company Series | 97 | % | ||||
The Continental Small Company Series | 94 | % | ||||
The Canadian Small Company Series | 100 | % | ||||
DFA Global Real Estate Securities Portfolio | DFA Real Estate Securities Portfolio | 14 | % | |||
DFA International Real Estate Securities Portfolio | 32 | % |
Each feeder fund and fund of funds (collectively, “Feeder Funds) invests primarily in a corresponding master fund(s) (“Master Fund”) as indicated. International Small Company Portfolio and DFA Global Real Estate Securities Portfolio also invest in short-term temporary cash investments.
The financial statements of the Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds.
Prior to March 30, 2007, U.S.Targeted Value Portfolio invested substantially all of its assets in shares of The U.S. Targeted Value Series. At the close of business on March 29, 2007, U.S. Targeted Value Portfolio received its pro-rata share of cash and securities from The U.S. Targeted Value Series in a complete liquidation of its interest in the Series. Effective March 30, 2007, U.S. Targeted Value Portfolio invests directly in securities rather than through the Series and maintains the same investment objective.
133
On January 29, 2008, Class R2 shares of Emerging Markets Value Portfolio commenced operations. On January 31, 2008, Class R1 Shares and on June 30, 2008, Class R2 Shares of U.S. Targeted Value Portfolio commenced operations. The Class R1 Shares and Class R2 Shares of each Portfolio of the Fund (except U.S. Small Cap Value Portfolio, U.S. Micro Cap Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio and Emerging Markets Small Cap Portfolio), contained in this report, had not commenced operations as of October 31, 2010. Class R1 and Class R2 Shares of each Portfolio have 100,000,000 authorized shares.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure, elected with the consent of its respective Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation §301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the respective funds is a result of the treatment of a partnership for book purposes. The Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships.
Effective February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio invest directly in securities rather than through a Master Fund. See Federal Income Taxes note for more information regarding these transactions.
Effective November 1, 2009, Dimensional Emerging Markets Value Fund (“DEM II”), a master fund in a master-feeder structure, elected with the consent of its Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation §301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for DEM II is a result of the treatment of a partnership for book purposes. DEM II and the Portfolio will maintain their books and records and present their financial statements in accordance with generally accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the “Board”) on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below:
— Level 1 – quoted prices in active markets for identical securities
— Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
— Level 3 – significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments)
Securities held by Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio and DFA Real Estate Securities Portfolio (the “Domestic Equity Portfolios”) and Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities
134
Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio and Emerging Markets Core Equity Portfolio (the “International Equity Portfolios”), including over-the-counter securities, are valued at the last quoted sale price of the day. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These securities are generally categorized as Level 2 in the hierarchy. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges.
The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the International Equity Portfolios’ foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Fund have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. Certain foreign equity securities that are fair value adjusted through an independent pricing service which considers statistically relevant trading patterns may periodically move from input valuation Level 2 to input valuation Level 1 when not meeting the fair value adjustment trigger requirements.
Debt Securities held by Enhanced U.S. Large Company Portfolio, (the “Fixed Income Portfolio”), are valued on the basis of prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities which are traded over-the-counter and on a stock exchange generally 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 over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These valuations are classified as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over the counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
135
Master Fund shares held by International Small Company Portfolio and DFA Global Real Estate Securities Portfolio are valued at their respective daily net asset value. The Feeder Funds’ investments reflect proportionate interest in the net assets of their corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy.
A summary of inputs used to value the Portfolios’ investments by each major security type, industry and/or country is disclosed at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and Level 2 during the year ended October 31, 2010.
2. Foreign Currency Translation: Securities and other assets and liabilities of Enhanced U.S. Large Company Portfolio and the International Equity Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. Enhanced U.S. Large Company Portfolio also enters into forward currency contracts solely for the purpose of hedging against fluctuations in currency exchange rates. These contracts are marked to market daily based on daily forward exchange rates.
The International Equity Portfolios do not isolate the effect of fluctuation in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. However, Enhanced U.S. Large Company Portfolio does isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and Enhanced U.S. Large Company Portfolio and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/Trustees’ Fees & Expenses or Other Expenses.
Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director shall have the right in a notice of election to defer compensation (the “Notice”) to elect to defer the receipt of the Director’s deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director’s first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the
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Fund (unless the Director files an amended Notice selecting a different distribution date). Robert C. Merton resigned from the Board of the Fund on December 1, 2009 and received a lump sum payment of the proceeds of his deferred fee account on January 4, 2010 in the amount of $241,764. As of October 31, 2010, no other Directors have requested or received a distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities/affiliated investment companies are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets.
Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of the Portfolio. Income, gains and losses, and common expenses of the Portfolio are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any.
U.S. Large Cap Value Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio each recognize their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis, from their respective Master Funds, which are treated as partnerships for federal income tax purposes.
The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
Emerging Markets Core Equity Portfolio’s investments in Thailand and the investments in Thailand held by the Master Funds of Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. Emerging Markets Core Equity Portfolio and the Master Funds of Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio each accrues for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities. These funds are also subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are accrued when the capital gains are earned.
C. Investment Advisor and Administrator:
Dimensional Fund Advisors LP (“Dimensional” or the “Advisor”) provides investment advisory services to all Portfolios. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board of Directors/Trustees, and other administrative services.
For the year ended October 31, 2010, the Portfolios’ investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
Enhanced U.S. Large Company Portfolio* | 0.05 | % | ||
U.S. Targeted Value Portfolio* | 0.10 | % |
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U.S. Small Cap Value Portfolio* | 0.20 | % | ||
U.S. Core Equity 1 Portfolio | 0.17 | % | ||
U.S. Core Equity 2 Portfolio | 0.20 | % | ||
U.S. Vector Equity Portfolio | 0.30 | % | ||
U.S. Small Cap Portfolio* | 0.03 | % | ||
U.S. Micro Cap Portfolio* | 0.10 | % | ||
DFA Real Estate Securities Portfolio | 0.30 | % | ||
Large Cap International Portfolio | 0.25 | % | ||
International Core Equity Portfolio | 0.35 | % | ||
DFA International Real Estate Securities Portfolio | 0.35 | % | ||
DFA Global Real Estate Securities Portfolio | 0.35 | % | ||
DFA International Small Cap Value Portfolio | 0.65 | % | ||
International Vector Equity Portfolio | 0.45 | % | ||
Emerging Markets Core Equity Portfolio | 0.55 | % |
For the year ended October 31, 2010, the Feeder Funds’ and Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio administrative services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
Enhanced U.S. Large Company Portfolio* | 0.15 | % | ||
U.S. Large Cap Value Portfolio | 0.15 | % | ||
U.S. Targeted Value Portfolio* | 0.25 | % | ||
U.S. Small Cap Value Portfolio* | 0.30 | % | ||
U.S. Small Cap Portfolio* | 0.32 | % | ||
U.S. Micro Cap Portfolio* | 0.40 | % | ||
International Small Company Portfolio | 0.40 | % | ||
Japanese Small Company Portfolio | 0.40 | % | ||
Asia Pacific Small Company Portfolio | 0.40 | % | ||
United Kingdom Small Company Portfolio | 0.40 | % | ||
Continental Small Company Portfolio | 0.40 | % | ||
Emerging Markets Portfolio | 0.40 | % | ||
Emerging Markets Small Cap Portfolio | 0.45 | % | ||
Emerging Markets Value Portfolio | 0.40 | % |
* Effective March 30, 2007, U.S. Targeted Value Portfolio, and on February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio no longer invest substantially all of their assets in their respective Series. Instead, the Portfolios’ assets are managed directly in accordance with the Portfolios’ investment objective and strategies, pursuant to an investment management agreement between the Fund, on behalf of the Portfolios, and Dimensional, which previously was the manager of the Series’ assets. The investment advisory fee paid by the Portfolios are identical to the advisory fee that was charged to the Series.
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive certain fees, including administration/advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver and Expense Assumption Agreement for the Portfolios below will remain in effect through March 1, 2011, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2010, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The Portfolios are not obligated to reimburse the
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Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
Institutional Class Shares | Expense Limits | Recovery of Previously Waived Fees/ Expenses Assumed | Previously Waived Fees/ Expenses Assumed Subject to Future Recovery | |||||
U.S. Targeted Value Portfolio (1) | 0.50% | — | — | |||||
U.S. Core Equity 1 Portfolio (2) | 0.23% | — | — | |||||
U.S. Core Equity 2 Portfolio (2) | 0.26% | — | — | |||||
U.S. Vector Equity Portfolio (2) | 0.36% | — | — | |||||
International Core Equity Portfolio (2) | 0.49% | — | — | |||||
International Small Company Portfolio (3) | 0.45% | — | — | |||||
Japanese Small Company Portfolio (3) | 0.47% | — | — | |||||
Asia Pacific Small Company Portfolio (3) | 0.47% | $25 | — | |||||
United Kingdom Small Company Portfolio (3) | 0.47% | — | $ 56 | |||||
Continental Small Company Portfolio (3) | 0.47% | — | — | |||||
DFA International Real Estate Securities Portfolio (2) | 0.65% | — | — | |||||
DFA Global Real Estate Securities Portfolio (4) | 0.55% | — | 2,580 | |||||
International Vector Equity Portfolio (2) | 0.60% | 28 | — | |||||
Emerging Markets Core Equity Portfolio (2) | 0.85% | — | — | |||||
Class R1 Shares | ||||||||
U.S. Targeted Value Portfolio (5) | 0.62% | — | — | |||||
Class R2 Shares | ||||||||
U.S. Targeted Value Portfolio (6) | 0.77% | — | — | |||||
Emerging Markets Value Portfolio (7) | 0.96% | — | — |
(1) The Advisor has contractually agreed to waive its administration fee and advisory fee and to assume the Portfolio’s direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) (“Portfolios Expenses”) to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than the rate listed above for the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio’s annualized expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above.
(2) The Advisor has contractually agreed to waive all or a portion of its advisory fee and assume each Portfolio’s ordinary operating expenses (excluding the expenses a Portfolio incurs indirectly through investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of a Portfolio are less than the rates listed above for such Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio’s annualized Portfolio Expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above.
(3) The Advisor has contractually agreed to waive its administration fee and to assume each Portfolio’s other direct expenses (for International Small Company, not including expenses incurred through its investment in other investment companies) to the extent necessary to limit the direct expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis. The Fee Waiver and Expense Assumption Agreement does not include the indirect expenses each Portfolio bears as a shareholder of its Master Funds. At any time that the direct expenses of a Portfolio are less than the rates listed above as a percentage of average net assets on an annualized basis, the Advisor retains the right to recover any fees previously waived and/or expenses
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previously assumed to the extent that such recovery will not cause the Portfolio’s direct expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above.
(4) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other investment companies managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of the Portfolio are less than the rate listed above as a percentage of average net assets on an annualized basis, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio’s annualized Portfolio Expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above. The Advisor has voluntarily agreed to waive all or a portion of its advisory fee to the extent necessary to limit the total advisory fees paid by the Portfolio to the Advisor directly and indirectly (the proportionate share of the advisory fees paid by the Portfolio through its investment in other funds managed by the Advisor) to 0.35% of the Portfolio’s average net assets on an annualized basis.
(5) The Advisor has contractually agreed to waive its administration fee and to assume the Portfolio’s direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of the Class R1 Shares to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the Class R1 Shares’ annualized expenses are less than the rate listed above as a percentage of average net assets on an annualized basis, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio’s annualized expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above.
(6) The Advisor has contractually agreed to waive its administration fee and to assume the Portfolio’s direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of the Class R2 Shares to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the Class R2 Shares’ annualized expenses are less than the rate listed above as a percentage of average net assets on an annualized basis, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio’s annualized expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above.
(7) The Advisor has contractually agreed to assume the Portfolio’s direct expenses (excluding administration fees and custodian fees) to the extent necessary to limit the expenses of the Class R2 shares to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than the rate listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio’s annualized expenses to exceed the applicable percentage of average net assets, as listed above.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2010, the total related amounts paid by the Fund to the CCO were $211 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations.
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D. Deferred Compensation:
At October 31, 2010, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands):
Enhanced U.S. Large Company Portfolio | $ | 5 | ||
U.S. Large Cap Value Portfolio | 168 | |||
U.S. Targeted Value Portfolio | 40 | |||
U.S. Small Cap Value Portfolio | 165 | |||
U.S. Core Equity 1 Portfolio | 54 | |||
U.S. Core Equity 2 Portfolio | 100 | |||
U.S. Vector Equity Portfolio | 32 | |||
U.S. Small Cap Portfolio | 71 | |||
U.S. Micro Cap Portfolio | 84 | |||
DFA Real Estate Securities Portfolio | 53 | |||
Large Cap International Portfolio | 38 | |||
International Core Equity Portfolio | 94 | |||
International Small Company Portfolio | 113 | |||
Japanese Small Company Portfolio | 4 | |||
Asia Pacific Small Company Portfolio | 2 | |||
United Kingdom Small Company Portfolio | 1 | |||
Continental Small Company Portfolio | 3 | |||
DFA International Real Estate Securities Portfolio | 17 | |||
DFA Global Real Estate Securities Portfolio | 8 | |||
DFA International Small Cap Value Portfolio | 181 | |||
International Vector Equity Portfolio | 6 | |||
Emerging Markets Portfolio | 53 | |||
Emerging Markets Small Cap Portfolio | 27 | |||
Emerging Markets Value Portfolio | 179 | |||
Emerging Markets Core Equity Portfolio | 62 |
E. Purchases and Sales of Securities:
For the year ended October 31, 2010, the Portfolios made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. Government Securities | Other Investment Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
Enhanced U.S. Large Company Portfolio | $ | 23,295 | $ | 15,906 | $ | 96,586 | $ | 85,229 | ||||||||
U.S. Targeted Value Portfolio | — | — | 743,256 | 385,651 | ||||||||||||
U.S. Small Cap Value Portfolio | — | — | 1,179,085 | 1,604,481 | ||||||||||||
U.S. Core Equity 1 Portfolio | — | — | 500,472 | 104,767 | ||||||||||||
U.S. Core Equity 2 Portfolio | — | — | 679,494 | 291,591 | ||||||||||||
U.S. Vector Equity Portfolio | — | — | 249,878 | 147,332 | ||||||||||||
U.S. Small Cap Portfolio | — | — | 721,110 | 569,730 | ||||||||||||
U.S. Micro Cap Portfolio | — | — | 272,933 | 670,280 | ||||||||||||
DFA Real Estate Securities Portfolio | — | — | 55,110 | 134,927 | ||||||||||||
Large Cap International Portfolio | — | — | 226,664 | 94,622 | ||||||||||||
International Core Equity Portfolio | — | — | 816,395 | 79,373 | ||||||||||||
DFA International Real Estate Securities Portfolio | — | — | 157,052 | 46,998 | ||||||||||||
DFA International Small Cap Value Portfolio | — | — | 1,459,275 | 1,247,603 | ||||||||||||
International Vector Equity Portfolio | — | — | 80,705 | 16,080 | ||||||||||||
Emerging Markets Core Equity Portfolio | — | — | 1,018,104 | 135,723 |
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F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2010, primarily attributable to net realized gains on securities considered to be “passive foreign investment companies”, non-deductible offering costs, foreign bond bifurcation, the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase | Increase | Increase | ||||||||||
Enhanced U.S. Large Company Portfolio | — | $ | (15 | ) | $ | 15 | ||||||
U.S. Large Cap Value Portfolio | — | — | — | |||||||||
U.S. Targeted Value Portfolio | $ | 30 | (200 | ) | 170 | |||||||
U.S. Small Cap Value Portfolio | 55,514 | (388 | ) | (55,126 | ) | |||||||
U.S. Core Equity 1 Portfolio | — | (16 | ) | 16 | ||||||||
U.S. Core Equity 2 Portfolio | — | (42 | ) | 42 | ||||||||
U.S. Vector Equity Portfolio | — | (24 | ) | 24 | ||||||||
U.S. Small Cap Portfolio | (104 | ) | (144 | ) | 248 | |||||||
U.S. Micro Cap Portfolio | — | (258 | ) | 258 | ||||||||
DFA Real Estate Securities Portfolio | — | 4 | (4 | ) | ||||||||
Large Cap International Portfolio | — | 383 | (383 | ) | ||||||||
International Core Equity Portfolio | (13 | ) | 971 | (958 | ) | |||||||
International Small Company Portfolio | (8,877 | ) | 11,998 | (3,121 | ) | |||||||
Japanese Small Company Portfolio | (4,574 | ) | 81 | 4,493 | ||||||||
Asia Pacific Small Company Portfolio | (259 | ) | 100 | 159 | ||||||||
United Kingdom Small Company Portfolio | (74 | ) | 33 | 41 | ||||||||
Continental Small Company Portfolio | (195 | ) | 476 | (281 | ) | |||||||
DFA International Real Estate Securities Portfolio | 136 | 790 | (926 | ) | ||||||||
DFA Global Real Estate Securities Portfolio | 101 | (101 | ) | — | ||||||||
DFA International Small Cap Value Portfolio | 13,148 | 16,536 | (29,684 | ) | ||||||||
International Vector Equity Portfolio | 207 | (62 | ) | (145 | ) | |||||||
Emerging Markets Portfolio | 15,558 | (2,642 | ) | (12,916 | ) | |||||||
Emerging Markets Small Cap Portfolio | 2,294 | (295 | ) | (1,999 | ) | |||||||
Emerging Markets Value Portfolio | 48,632 | (11,121 | ) | (37,511 | ) | |||||||
Emerging Markets Core Equity Portfolio | — | (776 | ) | 776 |
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The tax character of dividends and distributions declared and paid during the year ended October 31, 2009 and the year ended October 31, 2010 were as follows (amounts in thousands):
Net Investment Income and Short-Term Capital Gains | Long-Term Capital Gains | Total | ||||||||||
Enhanced U.S. Large Company Portfolio | ||||||||||||
2009 | $ | 19,564 | — | $ | 19,564 | |||||||
2010 | 1,589 | — | 1,589 | |||||||||
U.S. Large Cap Value Portfolio | ||||||||||||
2009 | 130,238 | — | 130,238 | |||||||||
2010 | 116,599 | — | 116,599 | |||||||||
U.S. Targeted Value Portfolio | ||||||||||||
2009 | 14,179 | — | 14,179 | |||||||||
2010 | 12,576 | $ | 7 | 12,583 | ||||||||
U.S. Small Cap Value Portfolio | ||||||||||||
2009 | 69,882 | — | 69,882 | |||||||||
2010 | 25,747 | — | 25,747 | |||||||||
U.S. Core Equity 1 Portfolio | ||||||||||||
2009 | 31,598 | — | 31,598 | |||||||||
2010 | 31,326 | — | 31,326 | |||||||||
U.S. Core Equity 2 Portfolio | ||||||||||||
2009 | 55,009 | — | 55,009 | |||||||||
2010 | 53,941 | — | 53,941 | |||||||||
U.S. Vector Equity Portfolio | ||||||||||||
2009 | 16,454 | — | 16,454 | |||||||||
2010 | 14,799 | — | 14,799 | |||||||||
U.S. Small Cap Portfolio | ||||||||||||
2009 | 26,412 | — | 26,412 | |||||||||
2010 | 21,528 | — | 21,528 | |||||||||
U.S. Micro Cap Portfolio | ||||||||||||
2009 | 57,816 | — | 57,816 | |||||||||
2010 | 17,526 | — | 17,526 | |||||||||
DFA Real Estate Securities Portfolio | ||||||||||||
2009 | 95,934 | — | 95,934 | |||||||||
2010 | 70,908 | — | 70,908 | |||||||||
Large Cap International Portfolio | ||||||||||||
2009 | 32,286 | — | 32,286 | |||||||||
2010 | 40,390 | — | 40,390 | |||||||||
International Core Equity Portfolio | ||||||||||||
2009 | 77,469 | — | 77,469 | |||||||||
2010 | 83,173 | — | 83,173 |
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Net Investment Income and Short-Term Capital Gains | Long-Term Capital Gains | Total | ||||||||||
International Small Company Portfolio | ||||||||||||
2009 | $ | 81,118 | — | $ | 81,118 | |||||||
2010 | 84,604 | — | 84,604 | |||||||||
Japanese Small Company Portfolio | ||||||||||||
2009 | 2,426 | — | 2,426 | |||||||||
2010 | 1,845 | — | 1,845 | |||||||||
Asia Pacific Small Company Portfolio | ||||||||||||
2009 | 2,724 | — | 2,724 | |||||||||
2010 | 3,162 | — | 3,162 | |||||||||
United Kingdom Small Company Portfolio | ||||||||||||
2009 | 658 | — | 658 | |||||||||
2010 | 694 | — | 694 | |||||||||
Continental Small Company Portfolio | ||||||||||||
2009 | 2,087 | — | 2,087 | |||||||||
2010 | 1,863 | — | 1,863 | |||||||||
DFA International Real Estate Securities Portfolio | ||||||||||||
2009 | 11,227 | — | 11,227 | |||||||||
2010 | 79,025 | — | 79,025 | |||||||||
DFA Global Real Estate Securities Portfolio | ||||||||||||
2009 | 2,370 | — | 2,370 | |||||||||
2010 | 30,971 | — | 30,971 | |||||||||
DFA International Small Cap Value Portfolio | ||||||||||||
2009 | 108,717 | $ | 25,188 | 133,905 | ||||||||
2010 | 108,095 | 6,990 | 115,085 | |||||||||
International Vector Equity Portfolio | ||||||||||||
2009 | 3,671 | — | 3,671 | |||||||||
2010 | 5,534 | 54 | 5,588 | |||||||||
Emerging Markets Portfolio | ||||||||||||
2009 | 36,673 | 23,932 | 60,605 | |||||||||
2010 | 40,081 | 42,220 | 82,301 | |||||||||
Emerging Markets Small Cap Portfolio | ||||||||||||
2009 | 16,832 | — | 16,832 | |||||||||
2010 | 22,951 | 1,637 | 24,588 | |||||||||
Emerging Markets Value Portfolio | ||||||||||||
2009 | 114,611 | 518,510 | 633,121 | |||||||||
2010 | 190,697 | 142,234 | 332,931 |
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Net Investment Income and Short-Term Capital Gains | Long-Term Capital Gains | Total | ||||||||||
Emerging Markets Core Equity Portfolio | ||||||||||||
2009 | $ | 29,028 | — | $ | 29,028 | |||||||
2010 | 48,768 | — | 48,768 |
At October 31, 2010, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Capital Gains | Long-Term | Total | ||||||||||
U.S. Targeted Value Portfolio | $ | 22 | $ | 7 | $ | 29 | ||||||
DFA International Real Estate Securities Portfolio | 162 | — | 162 | |||||||||
DFA Global Real Estate Securities Portfolio | 101 | — | 101 | |||||||||
DFA International Small Cap Value Portfolio | 6,406 | 6,990 | 13,396 | |||||||||
International Vector Equity Portfolio | 154 | 54 | 208 | |||||||||
Emerging Markets Portfolio | 3,182 | 12,406 | 15,588 | |||||||||
Emerging Markets Small Cap Portfolio | 657 | 1,637 | 2,294 | |||||||||
Emerging Markets Value Portfolio | 10,256 | 25,596 | 35,852 |
At October 31, 2010, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed | Undistributed | Capital Loss | Total Net Distributable Earnings (Accumulated Losses) | |||||||||||||
Enhanced U.S. Large Company Portfolio | $ | 60 | — | $ | (83,155 | ) | $ | (83,095 | ) | |||||||
U.S. Large Cap Value Portfolio | 17,615 | — | (1,943,065 | ) | (1,925,450 | ) | ||||||||||
U.S. Targeted Value Portfolio | 2,337 | $ | 4,739 | — | 7,076 | |||||||||||
U.S. Small Cap Value Portfolio | 3,841 | — | (111,515 | ) | (107,674 | ) | ||||||||||
U.S. Core Equity 1 Portfolio | 6,246 | — | (81,149 | ) | (74,903 | ) | ||||||||||
U.S. Core Equity 2 Portfolio | 12,077 | — | (84,843 | ) | (72,766 | ) | ||||||||||
U.S. Vector Equity Portfolio | 2,999 | — | (83,542 | ) | (80,543 | ) | ||||||||||
U.S. Small Cap Portfolio | 4,727 | — | (202,569 | ) | (197,842 | ) | ||||||||||
U.S. Micro Cap Portfolio | 3,313 | — | (269,190 | ) | (265,877 | ) | ||||||||||
DFA Real Estate Securities Portfolio | 13,051 | — | (190,348 | ) | (177,297 | ) | ||||||||||
Large Cap International Portfolio | 6,285 | — | (168,708 | ) | (162,423 | ) | ||||||||||
International Core Equity Portfolio | 23,835 | — | (79,551 | ) | (55,716 | ) | ||||||||||
International Small Company Portfolio | 62,669 | — | (75,782 | ) | (13,113 | ) | ||||||||||
Japanese Small Company Portfolio | 746 | — | (86,440 | ) | (85,694 | ) | ||||||||||
Asia Pacific Small Company Portfolio | 4,232 | — | (33,364 | ) | (29,132 | ) | ||||||||||
United Kingdom Small Company Portfolio | 216 | — | (2,879 | ) | (2,663 | ) | ||||||||||
Continental Small Company Portfolio | 655 | — | (29,435 | ) | (28,780 | ) |
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Undistributed | Undistributed | Capital Loss | Total Net | |||||||||||||
DFA International Real Estate Securities Portfolio | $ | 99,500 | — | $ | (86,757 | ) | $ | 12,743 | ||||||||
DFA Global Real Estate Securities Portfolio | 5,020 | — | (2,755 | ) | 2,265 | |||||||||||
DFA International Small Cap Value Portfolio | 52,524 | $ | 138,419 | — | 190,943 | |||||||||||
International Vector Equity Portfolio | 2,022 | 2,417 | — | 4,439 | ||||||||||||
Emerging Markets Portfolio | 3,780 | 136,068 | — | 139,848 | ||||||||||||
Emerging Markets Small Cap Portfolio | 3,840 | 58,346 | — | 62,186 | ||||||||||||
Emerging Markets Value Portfolio | 82,579 | 479,238 | — | 561,817 | ||||||||||||
Emerging Markets Core Equity Portfolio | 9,681 | — | (53,657 | ) | (43,976 | ) |
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of October 31, 2010, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | Total | ||||||||||||||||||||||||||||
Enhanced U.S. Large Company Portfolio | — | — | — | — | — | $ | 83,155 | — | — | $ | 83,155 | |||||||||||||||||||||||||
U.S. Large Cap Value Portfolio | — | — | — | — | — | — | $ | 1,943,065 | — | 1,943,065 | ||||||||||||||||||||||||||
U.S. Small Cap Value Portfolio | — | — | — | — | — | — | 111,515 | — | 111,515 | |||||||||||||||||||||||||||
U.S. Core Equity 1 Portfolio | — | — | — | — | $ | 2,284 | 18,644 | 60,221 | — | 81,149 | ||||||||||||||||||||||||||
U.S. Core Equity 2 Portfolio | — | — | — | — | 5,654 | 42,181 | 37,008 | — | 84,843 | |||||||||||||||||||||||||||
U.S. Vector Equity Portfolio | — | — | — | — | — | 3,326 | 80,216 | — | 83,542 | |||||||||||||||||||||||||||
U.S. Small Cap Portfolio | — | — | — | — | — | 202,067 | 502 | — | 202,569 | |||||||||||||||||||||||||||
U.S. Micro Cap Portfolio | — | — | — | — | — | 207,930 | 61,260 | — | 269,190 | |||||||||||||||||||||||||||
DFA Real Estate Securities Portfolio | — | — | — | — | — | 82,044 | 62,969 | $ | 45,335 | 190,348 | ||||||||||||||||||||||||||
Large Cap International Portfolio | — | — | — | — | — | 19,004 | 135,393 | 14,311 | 168,708 | |||||||||||||||||||||||||||
International Core Equity Portfolio | — | — | — | — | — | — | 79,551 | — | 79,551 | |||||||||||||||||||||||||||
International Small Company Portfolio | — | — | — | — | — | — | 75,782 | — | 75,782 | |||||||||||||||||||||||||||
Japanese Small Company Portfolio | $ | 19,912 | $ | 3,801 | $ | 3,055 | $ | 2,451 | 8,004 | 23,057 | 13,952 | 12,208 | 86,440 | |||||||||||||||||||||||
Asia Pacific Small Company Portfolio | 501 | 1,151 | 907 | 864 | — | 21,680 | 8,261 | — | 33,364 | |||||||||||||||||||||||||||
United Kingdom Small Company Portfolio | — | — | — | — | — | 892 | 1,987 | — | 2,879 | |||||||||||||||||||||||||||
Continental Small Company Portfolio | — | — | — | — | — | 16,959 | 7,224 | 5,252 | 29,435 | |||||||||||||||||||||||||||
DFA International Real Estate Securities | ||||||||||||||||||||||||||||||||||||
Portfolio. | — | — | — | — | 46 | 13,446 | 34,576 | 38,689 | 86,757 | |||||||||||||||||||||||||||
DFA Global Real Estate Securities Portfolio | — | — | — | — | — | — | — | 2,755 | 2,755 | |||||||||||||||||||||||||||
Emerging Markets Core Equity Portfolio | — | — | — | — | — | 27,213 | 26,444 | — | 53,657 |
During the year ended October 31, 2010, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands):
Enhanced U.S. Large Company Portfolio | $ | 24,806 | ||
U.S. Large Cap Value Portfolio | 498,328 | |||
U.S. Targeted Value Portfolio | 82,599 | |||
U.S. Small Cap Value Portfolio | 462,423 | |||
U.S. Core Equity 1 Portfolio | 981 | |||
U.S. Core Equity 2 Portfolio | 9,909 | |||
U.S. Vector Equity Portfolio | 11,136 | |||
U.S. Small Cap Portfolio | 178,052 | |||
U.S. Micro Cap Portfolio | 245,602 | |||
International Core Equity Portfolio | 18,702 | |||
International Small Company Portfolio | 155,578 |
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Asia Pacific Small Company Portfolio | $ | 5,335 | ||
United Kingdom Small Company Portfolio | 129 | |||
DFA International Small Cap Value Portfolio | 32,601 | |||
International Vector Equity Portfolio | 3,383 | |||
Emerging Markets Small Cap Portfolio | 37,102 | |||
Emerging Markets Core Equity Portfolio | 35,738 |
For the year ended October 31, 2010, Japanese Small Company Portfolio had capital loss carryforward expirations of $4,453 (in thousands).
Some of the Portfolios’ investments and investments held by the Master Funds are in securities considered to be “passive foreign investment companies” for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for federal income tax purposes. At October 31, 2010, the following Portfolios had cumulative unrealized appreciation (depreciation) (mark to market) to be included in distributable net investment income for federal tax purposes. For the year ended October 31, 2010, realized gains on the sale of passive foreign investment companies have been reclassified from accumulated net realized gains to accumulated net investment income for federal tax purposes. Amounts listed below are in thousands.
Mark to Market | Realized Gains | |||||||
Large Cap International Portfolio | $ | 1,994 | — | |||||
International Core Equity Portfolio | 6,636 | $ | 660 | |||||
International Small Company Portfolio | 30,541 | 9,481 | ||||||
Japanese Small Company Portfolio | 109 | 3 | ||||||
Asia Pacific Small Company Portfolio | 3,577 | 44 | ||||||
United Kingdom Small Company Portfolio | 12 | — | ||||||
Continental Small Company Portfolio | 54 | 425 | ||||||
DFA International Real Estate Securities Portfolio | 102,024 | 688 | ||||||
DFA International Small Cap Value Portfolio | 14,397 | 19,367 | ||||||
International Vector Equity Portfolio | 929 | 15 | ||||||
Emerging Markets Portfolio | 434 | — | ||||||
Emerging Markets Small Cap Portfolio | 590 | 285 | ||||||
Emerging Markets Value Portfolio | 292 | 4 | ||||||
Emerging Markets Core Equity Portfolio | 1,040 | — |
At October 31, 2010, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Federal Tax Cost | Unrealized | Unrealized | Net | |||||||||||||
Enhanced U.S. Large Company Portfolio | $ | 154,182 | $ | 2,047 | $ | (30 | ) | $ | 2,017 | |||||||
U.S. Large Cap Value Portfolio | 5,483,240 | 1,526,241 | (87,376 | ) | 1,438,865 | |||||||||||
U.S. Targeted Value Portfolio | 2,379,587 | 397,362 | (198,641 | ) | 198,721 | |||||||||||
U.S. Small Cap Value Portfolio | 7,688,064 | 1,414,262 | (1,274,498 | ) | 139,764 | |||||||||||
U.S. Core Equity 1 Portfolio | 3,024,394 | 436,878 | (260,177 | ) | 176,701 | |||||||||||
U.S. Core Equity 2 Portfolio | 5,454,505 | 762,296 | (658,577 | ) | 103,719 | |||||||||||
U.S. Vector Equity Portfolio | 1,719,330 | 256,530 | (228,507 | ) | 28,023 | |||||||||||
U.S. Small Cap Portfolio | 3,793,567 | 894,348 | (443,835 | ) | 450,513 | |||||||||||
U.S. Micro Cap Portfolio | 3,320,517 | 990,714 | (691,013 | ) | 299,701 |
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Federal Tax Cost | Unrealized | Unrealized | Net | |||||||||||||
DFA Real Estate Securities Portfolio | $ | 2,975,169 | $ | 665,318 | $ | (275,967 | ) | $ | 389,351 | |||||||
Large Cap International Portfolio | 1,690,644 | 393,842 | (189,698 | ) | 204,144 | |||||||||||
International Core Equity Portfolio | 5,630,995 | 726,505 | (675,593 | ) | 50,912 | |||||||||||
International Small Company Portfolio | 5,030,684 | 1,197,767 | (699,918 | ) | 497,849 | |||||||||||
Japanese Small Company Portfolio | 193,623 | 60,393 | (139,032 | ) | (78,639 | ) | ||||||||||
Asia Pacific Small Company Portfolio | 108,755 | 77,859 | (55,057 | ) | 22,802 | |||||||||||
United Kingdom Small Company Portfolio | 30,403 | 25,800 | (22,445 | ) | 3,355 | |||||||||||
Continental Small Company Portfolio | 110,447 | 79,018 | (61,309 | ) | 17,709 | |||||||||||
DFA International Real Estate Securities | ||||||||||||||||
Portfolio | 1,287,520 | 65,211 | (252,903 | ) | (187,692 | ) | ||||||||||
DFA Global Real Estate Securities Portfolio | 549,837 | 166,409 | (20,672 | ) | 145,737 | |||||||||||
DFA International Small Cap Value Portfolio | 8,452,705 | 1,452,205 | (1,716,651 | ) | (264,446 | ) | ||||||||||
International Vector Equity Portfolio | 325,612 | 98,796 | (16,840 | ) | 81,956 | |||||||||||
Emerging Markets Portfolio | 1,101,083 | 1,351,410 | (79,114 | ) | 1,272,296 | |||||||||||
Emerging Markets Small Cap Portfolio | 1,181,698 | 706,692 | (54,641 | ) | 652,051 | |||||||||||
Emerging Markets Value Portfolio | 8,453,063 | 3,270,128 | (136,524 | ) | 3,133,604 | |||||||||||
Emerging Markets Core Equity Portfolio | 3,292,932 | 1,365,544 | (129,856 | ) | 1,235,688 |
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Portfolio’s tax postions and has concluded that no provision for income tax is required in any Portfolios’ financial statements. No Portfolio is aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each of the Portfolios’ federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
On October 22, 2008, The U.S. Micro Cap Series and The U.S. Small Cap Value Series and on October 25, 2008 The U.S. Small Cap Series, each a master fund in a RIC/RIC master-feeder structure, each with a RIC feeder (“the Portfolios”), having 100% investment in their respective master fund, have each made a “Check-the-box” election for federal income tax purposes pursuant to Treasury Regulation § 301.7701-3, to change their federal entity classifications from a corporation taxable as a regulated investment company to a disregarded entity. As a result of this election for tax purposes, each master fund is deemed to have liquidated and distributed all of its assets and liabilities to its owners, the respective portfolios (the RIC feeders), with the respective portfolios deemed the surviving entities. The final tax year end of the Master Funds was October 21, 2008 for The U.S. Micro Cap Series and The U.S. Small Cap Value Series and October 24, 2008 for The U.S. Small Cap Series. For Federal income tax purposes, pursuant to Code §337(a), each of the master funds recognizes no gain or loss and, pursuant to Code §332(a), each of the Portfolios recognizes no gain or loss on the deemed liquidation. However, pursuant to IRC §332 (c), each of the aforementioned Portfolios has recognized the master fund’s deemed dividend, which was distributed as part of the deemed liquidating distribution, as taxable income. Pursuant to IRC Code §334(b)(1) and §1223, each of the Portfolios will maintain each respective master fund’s holding period and tax basis in the assets deemed transferred to the respective Portfolio.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure with four RIC feeders and other direct client investor(s), made a “Check-the-box” election for federal income tax purposes pursuant to Treasury Regulation §301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a
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newly formed partnership. The final tax year end of The U.S. Large Cap Value Series was December 30, 2008. For Federal income tax purposes, pursuant to IRC Code §336(a), the master fund recognized a loss as if the master’s investment securities were sold to its shareholders and, pursuant to IRC Code §331, each of the Portfolios recognized a gain as if it liquidated its investment in the master. For tax purposes, pursuant to IRC Code §334(a), each of the Portfolios took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. As a result of the transaction, The U.S. Large Cap Value Series recognized a ($2,303,664,484) capital loss for tax year ended December 30, 2008.
On November 1, 2008, The Enhanced U.S. Large Company Series, a master fund in a RIC/RIC master-feeder structure and Enhanced U.S. Large Company Portfolio (“the Portfolio”), having 100% investment in its respective master fund, made a “Check-the-box” election for federal income tax purposes pursuant to Treasury Regulation §301.7701-3, to change the Series’ federal entity classification from a corporation taxable as a regulated investment company to a disregarded entity. As a result of this election for tax purposes, the master fund is deemed to have liquidated and distributed all of its assets and liabilities to its owner, the Portfolio, with the Portfolio deemed the surviving entity. The final tax year end of the Master Fund was October 31, 2008. For Federal income tax purposes, pursuant to Code §337(a), the Master Fund did not recognize any gain or loss and, pursuant to Code §332(a), the Portfolio did not recognize any gain or loss on the deemed liquidation. However, pursuant to IRC §332(c), the Portfolio has recognized the Master Fund’s deemed dividend, which was distributed as part of the deemed liquidating distribution, as taxable income. Pursuant to IRC Code §334(b)(1) and §1223, the Portfolio will maintain its respective master fund’s holding period and tax basis in the assets deemed transferred to the respective Portfolio.
Effective November 1, 2009, Dimensional Emerging Markets Value Fund (“DEM II”), a master fund in a master-feeder structure with one RIC feeder (Emerging Markets Value Portfolio) and other direct client investors, made a “Check-the-Box” election for federal income tax purposes pursuant to Treasury Regulation §301.7701-3, to change their federal entity classifications from a corporation taxable as a regulated investment company to a partnership. DEM II and the Portfolio will maintain their books and records and present their financial statements in accordance with generally accepted accounting principals for investment partnerships. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities on October 31, 2009 to its shareholders in liquidation of the master fund. Since the master fund has a shareholder owning 80% or more of the fund’s shares, and also has shareholders owning less than 80%, the transaction creates a non-taxable transaction, pursuant to Internal Revenue Code §332, for those owning more than 80%, and a taxable transaction, pursuant to Internal Revenue Code §331, for those shareholders owning less than 80%. Immediately after the deemed liquidation, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of the master fund was October 31, 2009.
For federal income tax purposes, pursuant to Code §336(a), the master fund recognizes gain or loss relative to the investment of the less than 80% shareholders as if the master’s investment securities were sold to those shareholders and, pursuant to Code §331, each of those shareholders recognizes gain or loss as if it liquidated its investment in the master. Pursuant to Code §334(a), each of these shareholders will take a fair market value basis in the securities deemed received by them and a new holding period for those securities commences on the deemed liquidation date. In regards to the shareholder owning 80% or more of the master fund, pursuant to Code §332(a), the shareholder will not recognize any gain or loss on the deemed liquidation. However, pursuant to Code §332(c), a portion of the deemed distribution, which otherwise would have been tax-free as discussed above, since it is utilized by the master fund to satisfy its dividends paid deduction for the tax year, must be recognized and treated as a dividend by the 80% or greater shareholder. Pursuant to Code §334(b)(1) and §1223, the 80% or greater shareholder’s basis and holding period in the securities received in liquidation is the same as it was in the possession of the master. As a result of the transaction, Dimensional Emerging Markets Value Fund recognized a $104,402,506 and ($16,523) capital gain and currency loss respectively, for the tax year ended October 31, 2009.
Certain prior year balances have been reclassified to conform with current year presentation. Such reclassifications impacted the paid-in capital, undistributed net investment income/distributions in excess of net investment income and accumulated net realized gain/loss components of net assets on the statements of assets and liabilities of International Small Company Portfolio and Emerging Markets Value Portfolio. These reclassifications had no impact on net assets, net asset value, the financial highlights or total return.
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G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in thousands):
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||
Amount | Shares | Amount | Shares | |||||||||||||
U.S. Targeted Value Portfolio | ||||||||||||||||
Class R1 Shares | ||||||||||||||||
Shares Issued | $ | 7,401 | 778 | $ | 7,979 | 1,266 | ||||||||||
Shares Issued in Lieu of Cash Distributions | 312 | 35 | 423 | 64 | ||||||||||||
Shares Redeemed | (5,936 | ) | (632 | ) | (5,207 | ) | (844 | ) | ||||||||
Shares Reduced by Reverse Stock Split (Note P) | — | (1,314 | ) | — | — | |||||||||||
Net Increase (Decrease) — Class R1 Shares | $ | 1,777 | (1,133 | ) | $ | 3,195 | 486 | |||||||||
Class R2 Shares | ||||||||||||||||
Shares Issued | $ | 5,859 | 572 | $ | 1,638 | 210 | ||||||||||
Shares Issued in Lieu of Cash Distributions | 29 | 3 | 27 | 4 | ||||||||||||
Shares Redeemed | (3,559 | ) | (360 | ) | (626 | ) | (85 | ) | ||||||||
Shares Reduced by Reverse Stock Split (Note P) | — | (159 | ) | — | — | |||||||||||
Net Increase (Decrease) — Class R2 Shares | $ | 2,329 | 56 | $ | 1,039 | 129 | ||||||||||
Institutional Class Shares | ||||||||||||||||
Shares Issued | $ | 897,844 | 63,857 | $ | 840,965 | 86,986 | ||||||||||
Shares Issued in Lieu of Cash Distributions | 11,187 | 862 | 13,191 | 1,374 | ||||||||||||
Shares Redeemed | (512,167 | ) | (37,960 | ) | (419,657 | ) | (43,424 | ) | ||||||||
Net Increase (Decrease) — Institutional Class Shares | $ | 396,864 | 26,759 | $ | 434,499 | 44,936 | ||||||||||
Emerging Markets Value Portfolio | ||||||||||||||||
Class R2 Shares | ||||||||||||||||
Shares Issued | $ | 34,637 | 18,214 | $ | 2,967 | 1,723 | ||||||||||
Shares Issued in Lieu of Cash Distributions | 6,798 | 3,947 | 1,574 | 942 | ||||||||||||
Shares Redeemed | (6,985 | ) | (3,724 | ) | (2,169 | ) | (1,024 | ) | ||||||||
Net Increase (Decrease) — Class R2 Shares | $ | 34,450 | 18,437 | $ | 2,372 | 1,641 | ||||||||||
Institutional Class Shares | ||||||||||||||||
Shares Issued | $ | 3,313,583 | 103,334 | $ | 1,977,785 | 91,360 | ||||||||||
Shares Issued in Lieu of Cash Distributions | 265,972 | 8,765 | 574,904 | 34,181 | ||||||||||||
Shares Redeemed | (1,555,298 | ) | (49,938 | ) | (1,287,040 | ) | (62,335 | ) | ||||||||
Net Increase (Decrease) — Institutional Class Shares | $ | 2,024,257 | 62,161 | $ | 1,265,649 | 63,206 | ||||||||||
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H. Financial Instruments:
In accordance with the Portfolios’ investment objectives and policies, the Portfolios may invest, either directly or indirectly through their investment in a corresponding Master Fund, in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:
1. Repurchase Agreements: The Portfolios may purchase certain U.S. Government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). Due to a clerical error at the repurchase trading agent from October 29, 2010 through November 1, 2010, the collateral held by International Core Equity Portfolio was less than the repurchase price. On November 2, 2010, additional collateral was posted and the repurchase agreement was fully collateralized. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund’s custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on October 29, 2010.
2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in U.S. companies, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a Portfolio uses derivatives, how derivatives are accounted for and how derivative instruments affect a Portfolio’s results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Portfolios.
3. Forward Currency Contracts: Enhanced U.S. Large Company Portfolio may enter into forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge a Portfolio’s currency exposure with respect to a foreign market will be based primarily on the Portfolio’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation of translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 2010, Enhanced U.S. Large Company Portfolio had entered into the following contracts and the net unrealized foreign exchange gain/(loss) is reflected in the accompanying financial statements (amounts in thousands):
Enhanced U.S. Large Company Portfolio*
Settlement Date | Currency Amount | Currency Sold | Contract Amount | Value at October 31, 2010 | Unrealized Foreign Exchange Gain (Loss) | |||||||
11/12/10 | 18,272 | Canadian Dollar | $ 18,034 | $ 17,910 | $ | 124 | ||||||
11/12/10 | 10,847 | Pound Sterling | 17,167 | 17,378 | (211 | ) | ||||||
11/12/10 | 9,870 | Euro | 13,648 | 13,734 | (86 | ) | ||||||
$ 48,849 | $ 49,022 | $ | (173 | ) | ||||||||
* During the year ended October 31, 2010, the Portfolio’s average cost of forward currency contracts was $(41,128) (in thousands).
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Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar.
4. Futures Contracts: Certain Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Additionally, Enhanced U.S. Large Company Portfolio uses stock index futures to hedge against changes in equity securities’ prices in the normal course of pursuing its investment objectives. Upon entering into a futures contract, the Portfolio deposits cash or pledges U.S. Government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio records a realized gain or loss, which is presented in the Statement of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolio could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
At October 31, 2010, the following Portfolio had outstanding futures contracts (dollar amounts in thousands):
Description | Expiration | Number of | Contract | Unrealized | ||||||
Enhanced U.S. Large Company Portfolio | S&P 500 Index® | 12/17/2010 | 515 | $151,886 | $10,407 |
Securities have been segregated as collateral for open futures contracts.
*During the year ended October 31, 2010 the Portfolio’s average notional value of outstanding futures contracts was $153,224 (in thousands).
Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments’ (i) location in the balance sheet and fair value at period end and (ii) the location in the Statements of Operations and the realized and change in unrealized gain or loss over the reporting period. The following is a summary of the Portfolios’ derivative instrument holdings for the year ended October 31, 2010.
The following is a summary of the location of derivatives on the Portfolios’ Statements of Assets and Liabilities as of October 31, 2010:
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Foreign exchange contracts | Unrealized Gain on | Unrealized Loss on Forward | ||
Forward Currency Contracts | Currency Contracts | |||
Equity contracts | Receivables: Futures | |||
Margin Variation |
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The following is a summary of the Portfolios’ derivative instrument holdings categorized by primary risk exposure as of October 31, 2010 (amounts in thousands):
Asset Derivatives Value | ||||||
Total Value at | Foreign | Equity | ||||
Enhanced U.S. Large Company Portfolio | $10,531 | $124 | $10,407* | |||
Liability Derivatives Value | ||||||
Total Value at October 31, 2010 | Foreign | Equity | ||||
Enhanced U.S. Large Company Portfolio | $297 | $297 | — |
* | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statement of Assets and Liabilities. |
The following is a summary of the location on the Portfolios’ Statements of Operations of realized and change in unrealized gains and losses from the Portfolio’s derivative instrument holdings through the year ended October 31, 2010 (amounts in thousands):
Derivative Type | Location of Gain (Loss) on Derivatives Recognized in Income | |
Foreign exchange contracts | Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts | |
Equity contracts | Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures |
The following is a summary of the realized and change in unrealized gains and losses from the Portfolios’ derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2010 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||
Foreign | ||||||||||||
Exchange | Equity | |||||||||||
Total | Contracts | Contracts | ||||||||||
Enhanced U.S. Large Company Portfolio | $ | 15,133 | $ | 6 | $ | 15,127 | ||||||
U.S. Targeted Value Portfolio* | (256 | ) | — | (256 | ) | |||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Total | Foreign | Equity | ||||||||||
Enhanced U.S. Large Company Portfolio | $ | 8,490 | $ | (212 | ) | $ | 8,702 |
*As of October 31, 2010, there were no futures contracts outstanding. During the year ended October 31, 2010, the Portfolio had limited activity in futures contracts.
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I. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011.
For the year ended October 31, 2010, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted | Weighted | Number of | Interest | Maximum Amount | ||||||||||||||||
U.S. Targeted Value Portfolio | 1.87 | % | $ | 6,228 | 26 | $ | 8 | $ | 18,056 | |||||||||||
U.S. Small Cap Value Portfolio | 1.93 | % | 8,960 | 68 | 33 | 30,918 | ||||||||||||||
U.S. Vector Equity Portfolio | 1.98 | % | 966 | 6 | — | 2,221 | ||||||||||||||
U.S. Small Cap Portfolio | 1.99 | % | 10,715 | 10 | 6 | 20,785 | ||||||||||||||
U.S. Micro Cap Portfolio | 1.98 | % | 3,162 | 50 | 9 | 15,352 | ||||||||||||||
DFA Real Estate Securities Portfolio | 1.95 | % | 2,869 | 114 | 18 | 11,404 | ||||||||||||||
DFA Global Real Estate Securities Portfolio | 1.92 | % | 2,567 | 47 | 6 | 17,848 |
There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2010.
The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2010 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 15, 2011.
For the year ended October 31, 2010, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted | Weighted | Number of | Interest | Maximum Amount | ||||||||||||||||
U.S. Small Cap Value Portfolio | 0.90 | % | $ | 903 | 3 | — | $ | 903 | ||||||||||||
U.S. Core Equity 1 Portfolio | 0.94 | % | 7,563 | 2 | — | 8,197 | ||||||||||||||
U.S. Micro Cap Portfolio | 0.96 | % | 21 | 1 | — | 21 | ||||||||||||||
DFA Real Estate Securities Portfolio | 0.95 | % | 266 | 4 | — | 271 | ||||||||||||||
Large Cap International Portfolio | 0.92 | % | 2,433 | 14 | $ | 1 | 6,118 | |||||||||||||
International Small Company Portfolio | 0.90 | % | 5,222 | 15 | 2 | 12,990 | ||||||||||||||
DFA International Real Estate | ||||||||||||||||||||
Securities Portfolio | 0.89 | % | 6,293 | 33 | 5 | 22,677 | ||||||||||||||
DFA International Small Cap Value Portfolio | 0.90 | % | 7,963 | 46 | 9 | 31,973 | ||||||||||||||
International Vector Equity Portfolio | 0.95 | % | 1,512 | 16 | 1 | 4,313 | ||||||||||||||
Emerging Markets Core Equity Portfolio | 0.93 | % | 3,739 | 17 | 2 | 15,531 |
There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2010.
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J. Securities Lending:
As of October 31, 2010, some of the Portfolios had securities on loan to brokers/dealers, for which each Portfolio received cash collateral. Each Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios’ collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Portfolio will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repuchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Portfolio 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. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates.
K. Shareholder Servicing Fees:
The Class R1 Shares pay a shareholder servicing fee in the amount of 0.10% and Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and Emerging Markets Value Portfolio Class R2 Shares.
L. Indemnitees; Contractual Obligations:
Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund.
In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
M. In-Kind Redemptions:
In accordance with guidelines described in the Portfolios’ prospectus, the fund may distribute portfolio securities rather than cash as payment for a redemption of fund shares (in-kind redemption). For financial reporting purposes, the fund recognizes a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities. Gains and losses realized on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital.
During the year ended October 31, 2010, U.S. Small Cap Value Portfolio realized net gains of in-kind redemptions in the amount of $56,505 (amount in thousands).
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N. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures.
O. Other:
At October 31, 2010, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Number of Shareholders | Approximate Percentage of Outstanding Shares | |||
Enhanced U.S. Large Company Portfolio — Institutional Class Shares | 3 | 83% | ||
U.S. Large Cap Value Portfolio — Institutional Class Shares | 3 | 79% | ||
U.S. Targeted Value Portfolio — Class R1 Shares | 1 | 95% | ||
U.S. Targeted Value Portfolio — Class R2 Shares | 2 | 86% | ||
U.S. Targeted Value Portfolio — Institutional Class Shares | 2 | 59% | ||
U.S. Small Cap Value Portfolio — Institutional Class Shares | 2 | 53% | ||
U.S. Core Equity 1 Portfolio — Institutional Class Shares | 3 | 65% | ||
U.S. Core Equity 2 Portfolio — Institutional Class Shares | 3 | 67% | ||
U.S. Vector Equity Portfolio — Institutional Class Shares | 4 | 89% | ||
U.S. Small Cap Portfolio — Institutional Class Shares | 3 | 53% | ||
U.S. Micro Cap Portfolio — Institutional Class Shares | 2 | 58% | ||
DFA Real Estate Securities Portfolio — Institutional Class Shares | 3 | 74% | ||
Large Cap International Portfolio — Institutional Class Shares | 2 | 73% | ||
International Core Equity Portfolio — Institutional Class Shares | 3 | 70% | ||
International Small Company Portfolio — Institutional Class Shares | 2 | 50% | ||
Japanese Small Company Portfolio — Institutional Class Shares | 3 | 68% | ||
Asia Pacific Small Company Portfolio — Institutional Class Shares | 3 | 81% | ||
United Kingdom Small Company Portfolio — Institutional Class Shares | 2 | 89% | ||
Continental Small Company Portfolio — Institutional Class Shares | 4 | 84% | ||
DFA International Real Estate Securities Portfolio — Institutional Class Shares | 3 | 84% | ||
DFA Global Real Estate Securities Portfolio — Institutional Class Shares | 2 | 87% | ||
DFA International Small Cap Value Portfolio — Institutional Class Shares | 2 | 47% | ||
International Vector Equity Portfolio — Institutional Class Shares | 3 | 87% | ||
Emerging Markets Portfolio — Institutional Class Shares | 3 | 66% | ||
Emerging Markets Small Cap Portfolio — Institutional Class Shares | 1 | 29% | ||
Emerging Markets Value Portfolio — Class R2 Shares | 1 | 81% | ||
Emerging Markets Value Portfolio — Institutional Class Shares | 2 | 27% | ||
Emerging Markets Core Equity Portfolio — Institutional Class Shares | 2 | 60% |
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed an action against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes
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that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.
P. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Portfolios and has determined that the following subsequent event requires recognition or disclosure in the financial statements.
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of U.S. Targeted Value Portfolio’s Class R1 and Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R1 Shares received one share for every 1.469 shares held and each shareholder of Class R2 Shares received one share for every 1.394 shares held. The purpose of the reverse split was to reduce the number of Class R1 Shares and Class R2 Shares, thereby increasing the net asset value of each Class R1 Share and Class R2 Share outstanding in order to more closely align the net asset values with the net asset value of U.S. Targeted Value Portfolio’s Institutional Class Shares. The per share data in the financial highlights, capital share activity in the statements of changes in net assets and the outstanding shares and net asset value as of October 31, 2010 in the statement of assets and liabilities have been retroactively restated to reflect the reverse stock splits for the respective Class R1 Shares and Class R2 Shares.
The Board of Directors/Trustees of DFA Investment Dimensions Group Inc. authorized the conversion of the Class R2 Shares of Emerging Markets Value Portfolio to the Class R2A Shares, a new class of shares. The Class R2 Shares of Emerging Markets Value Portfolio ceased to be offered and available for purchase upon the close of business on December 3, 2010. Following the conversion, shareholders and investors purchase and redeem class R2A Shares of the Portfolio.
A class action complaint (the “Complaint”) has been filed in the bankruptcy case of the Tribune Company (the “Tribune”) in the United States Bankruptcy Court for the District of Delaware. The Complaint is against The U.S. Large Cap Value Series and all other Tribune shareholders as a group, which includes hundreds of mutual funds, institutional investors and others who sold shares of Tribune in 2007 when the Tribune became private in a leveraged buyout transaction (the “LBO Transaction”). The U.S. Large Cap Value Series, and all shareholders who participated in the LBO Transaction, received cash in the amount of $34 per share. The Complaint alleges that this transfer violated the rights of creditors and that the cash paid to shareholders in connection with the LBO Transaction should be paid back to the Tribune’s bankruptcy estate and used to pay creditors.
Litigation counsel to The U.S. Large Cap Value Series does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the lawsuit or quantify the potential ultimate exposure to The U.S. Large Cap Value Series. However, even if the plaintiff in the lawsuit were to obtain the recovery it seeks, the amount would be less than 1% of The U.S. Large Cap Value Series’ net asset value at this time. The U.S. Large Cap Value Series’ litigation counsel does not believe at this time that recovery of the full amount the plaintiff seeks is a likely outcome.
Since The U.S. Large Cap Value Series cannot predict with reasonable specificity what the actual outcome of the lawsuit may be or what the size of The U.S. Large Cap Value Series might be at the time the outcome of the lawsuit may be determined, no deduction from the net asset value of The U.S. Large Cap Value Series will be made at this time. Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on net asset value of The U.S. Large Cap Value Series, with no deduction relating to the lawsuit. The attorneys’ fees and costs relating to the lawsuit will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of DFA Investment Dimensions Group Inc.:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments/ summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International Portfolio, International Core Equity Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio and Emerging Markets Core Equity Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the “Portfolios”) at October 31, 2010, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2010 by correspondence with the custodians, brokers, and the transfer agents of the investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2010
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DIMENSIONAL INVESTMENT GROUP INC.
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DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT’S DISCUSSION AND ANALYSIS
International Equity Market Review | 12 Months Ended October 31, 2010 |
The one-year period ending October 31, 2010, was characterized by relatively high levels of volatility in non-US developed markets. Broad market returns were positive, with stocks represented by the MSCI World ex USA Index (net dividends) returning 9.61%.
While market returns were positive in November and December of 2009, high volatility over the next five months — punctuated by an 11% drop in May — took developed non-US stocks to their lows for the fiscal year. In June, stocks began a sharp rise which continued through the remainder of the fiscal year as global economic data generally improved. As measured by the MSCI indices, growth stocks outperformed their value counterparts, while small cap stocks outperformed large caps.
12 Months Ended October 31, 2010 | ||||
U.S. Dollar Return | ||||
MSCI World ex USA Index | 9.61% | |||
MSCI World ex USA Small Cap Index | 17.23% | |||
MSCI World ex USA Value Index | 6.38% | |||
MSCI World ex USA Growth Index | 12.87% |
The performance of the US dollar (USD) was mixed against other major developed markets currencies during the period. While the USD rose slightly against the euro and British pound, it fell against most other G10 currencies, and in particular against the Japanese yen.
12 Months Ended October 31, 2010 | ||||||||
Ten Largest Foreign Developed Markets by Market Cap | Local Currency Return | U.S. Dollar Return | ||||||
United Kingdom | 16.07% | 12.58% | ||||||
Japan | -6.76% | 4.78% | ||||||
Canada | 15.83% | 22.62% | ||||||
France | 11.80% | 5.31% | ||||||
Australia | 3.70% | 12.50% | ||||||
Germany | 20.61% | 13.61% | ||||||
Switzerland | 5.53% | 9.90% | ||||||
Spain | -2.96% | -8.59% | ||||||
Sweden | 17.82% | 23.94% | ||||||
Italy | 0.69% | -5.14% |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2010, all rights reserved.
Gains in emerging markets were higher on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2010, returns in US dollars were 23.56% for the MSCI Emerging Markets Index (net dividends) versus 9.61% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps.
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12 Months Ended October 31, 2010 | ||||
U.S. Dollar Return | ||||
MSCI Emerging Markets Index | 23.56% | |||
MSCI Emerging Markets Small Cap Index | 37.02% | |||
MSCI Emerging Markets Value Index | 21.96% | |||
MSCI Emerging Markets Growth Index | 25.17% |
The US dollar (USD) generally depreciated against most major emerging markets currencies during the period, increasing most local country returns when denominated in USD.
12 Months Ended October 31, 2010 | ||||||||
Ten Largest Emerging Markets by Market Cap | Local Currency Return | U.S. Dollar Return | ||||||
China | 11.14% | 11.11% | ||||||
Brazil | 11.67% | 14.86% | ||||||
South Korea | 18.52% | 24.52% | ||||||
Taiwan | 13.20% | 20.23% | ||||||
India | 27.64% | 34.93% | ||||||
South Africa | 18.71% | 33.55% | ||||||
Russia | 19.19% | 13.38% | ||||||
Mexico | 25.55% | 33.87% | ||||||
Malaysia | 23.94% | 35.93% | ||||||
Indonesia | 41.78% | 51.50% |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2010, all rights reserved.
Master-Feeder Structure
The Portfolio described below, called a “Feeder Fund”, does not buy individual securities directly; instead, the Portfolio invests in a corresponding fund called a “Master Fund”. The Master Fund, in turn, purchases stocks and/or other securities.
International Equity Portfolio Performance Overview
DFA International Value Portfolio
The DFA International Value Portfolio seeks to capture the returns of international large company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Master Fund held 528 stocks in 23 developed countries. In general, the Master Fund was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Master Fund’s assets.
For the 12 months ended October 31, 2010, total returns were 10.94% for the Portfolio’s Institutional Class shares, 10.60% for the Portfolio’s Class R2 shares, and 9.61% for the MSCI World ex USA Index (net dividends). The MSCI Standard benchmarks indicate that on the whole, growth stocks outperformed value stocks in international developed markets during the period. However, stocks in the deeper value segment of the market outperformed growth stocks on average. The Master Fund’s greater allocation than the Index to these deeper value stocks contributed to relative performance. An additional component of the Portfolio’s outperformance is due to differences in valuation timing and methodology between the Master Fund and the Index. The Master Fund prices
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foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
U.S. Equity Market Review | 12 Months Ended October 31, 2010 |
The year ending October 31, 2010, was a relatively volatile period for U.S. equities. Broad market returns were positive, with the Russell 3000® Index returning 18.34%. Stocks represented by the Russell Midcap® Index outperformed those within both the Russell 2000® Index (small caps) and the Russell 1000® Index (large caps). Meanwhile, stocks represented by the Russell 1000® Growth Index outperformed those represented by the Rus-sell 1000® Value Index.
While market returns were positive through April 2010, stocks retreated in May and June, marking new lows for the fiscal year in early July. Then in September, stocks began a sharp rise which continued through October. Over the course of the fiscal year, the small company premium within the Russell 3000® Index was positive, while the value premium was negative as investors’ risk tolerance shifted, and general economic conditions evolved.
Among the most important factors explaining differences in the behavior of diversified equity portfolios are the company size and company value/growth characteristics of the portfolio’s holdings. Size is measured by market capitalization, and value classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks often have lower market value relative to their earnings, dividends, and book value.
For the 12 months ended October 31, 2010, the total return of the Russell Microcap® Index was 25.08%, the Russell 2000® Index was 26.57%, the CRSP 6-10 Index was 28.76%, and the MSCI US Small Cap 1750 Index was 28.35%. Large cap growth stocks outperformed large cap value stocks, as measured by the Russell 1000® Growth Index and Russell 1000® Value Index. Small cap growth stocks outperformed small cap value stocks as measured by the Russell 2000® Growth Index and Russell 2000® Value Index.
12 Months Ended October 31, 2010
U.S. Dollar Return | ||||
Russell 2000® Index (small cap companies) | 26.57% | |||
Russell Midcap® Index (mid cap companies) | 27.73% | |||
Russell 1000® Index (large cap companies) | 17.65% | |||
Russell 3000® Value Index | 16.41% | |||
Russell 3000® Growth Index | 20.32% |
Further dividing the large, mid, and small cap market segments by value and growth characteristics shows more detail in the performance differences over the period.
Total Return for 12 Months Ended October 31, 2010
Russell 1000® Value Index (large cap value companies) | 15.72% | |||
Russell 1000® Growth Index (large cap growth companies) | 19.66% | |||
Russell Midcap® Value Index (mid cap value companies) | 27.50% | |||
Russell Midcap® Growth Index (mid cap growth companies) | 28.03% | |||
Russell 2500® Value Index (small/mid cap value companies) | 26.89% | |||
Russell 2500® Growth Index (small/mid cap growth companies) | 28.76% | |||
Russell 2000® Value Index (small cap value companies) | 24.43% | |||
Russell 2000® Growth Index (small cap growth companies) | 28.66% |
Source: Russell data copyright © Russell Investment Group 1995-2010, all rights reserved.
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Differences in returns for the various Dimensional U.S. equity funds over the 12 months ended October 31, 2010 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios, except for the DFA Real Estate Securities Portfolio and the U.S. Large Company Portfolio. Moreover, the portfolio construction approach used by Dimensional Fund Advisors (the “Advisor”) generally resulted in portfolios with greater emphasis on value or small company characteristics relative to widely used index benchmarks.
Domestic Equity Series’ Performance Overview
U. S. Large Company Portfolio
U.S. Large Company Portfolio seeks to approximate the returns of the S&P 500 Index® by investing in S&P 500® Index stocks in approximately the same proportions as they are represented in the Index. The Portfolio was mostly invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2010, the total return was 16.47% for the Portfolio and 16.52% for the S&P 500® Index. Relative to the Index, no single security in the Portfolio added or detracted more than 0.01% in performance. The Portfolio’s underperformance was primarily attributable to fees and expenses assessed to the Portfolio but not the Index.
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DIMENSIONAL INVESTMENT GROUP INC.
(Unaudited)
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The Expense Tables below illustrate your fund’s costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund.You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.
Six Months Ended October 31, 2010
EXPENSE TABLES
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
DFA International Value Portfolio** | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class R2 Shares | $ | 1,000.00 | $ | 1,061.40 | 0.72% | $3.74 | ||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,062.70 | 0.45% | $2.34 | ||||||||||
Hypothetical 5% Annual Return | ||||||||||||||||
Class R2 Shares | $ | 1,000.00 | $ | 1,021.58 | 0.72% | $3.67 | ||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.94 | 0.45% | $2.29 |
164
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||
U.S. Large Company Portfolio*** | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,006.90 | 0.10% | $0.51 | ||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.70 | 0.10% | $0.51 |
* | Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. |
** | The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund’s portion of the expenses of its Master Fund (Affiliated Investment Company). |
*** | Effective September 10, 2010, the Portfolio invests directly in securities rather than through The U.S. Large Company Series. The expenses shown reflect the direct expenses of the Portfolio and the indirect payments of the Portfolio’s portion of the expenses, for the period May 1, 2010 through September 9, 2010 of The U.S. Large Company Series (Affiliated Investment Company). |
165
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on September 29, 2010. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment Company is represented in the Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Master Fund’s holdings which reflects the investments by country.
FEEDER FUND
Affiliated Investment Companies | ||
DFA International Value Portfolio | 100.0% |
DOMESTIC EQUITY PORTFOLIO
U.S. Large Company Portfolio | ||||
Consumer Discretionary | 10.6% | |||
Consumer Staples | 11.1% | |||
Energy | 11.1% | |||
Financials | 14.0% | |||
Health Care | 11.5% | |||
Industrials | 10.7% | |||
Information Technology | 19.3% | |||
Materials | 3.7% | |||
Real Estate Investment Trusts | 1.3% | |||
Telecommunication Services | 3.1% | |||
Utilities | 3.6% | |||
100.0% |
166
DFA INTERNATIONAL VALUE PORTFOLIO
October 31, 2010
Value† | ||||
AFFILIATED INVESTMENT COMPANY — (100.0%) | ||||
Investment in The DFA International Value Series of | ||||
The DFA Investment Trust Company | $ | 5,163,849,756 | ||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $4,006,520,351) | $ | 5,163,849,756 | ||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Affiliated Investment Company | $ | 5,163,849,756 | — | — | $ | 5,163,849,756 |
See accompanying Notes to Financial Statements.
167
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||
COMMON STOCKS — (90.2%) | ||||||||||||||||||
Consumer Discretionary — (9.6%) | ||||||||||||||||||
*Amazon.com, Inc. | 120,886 | $ | 19,963,114 | 0.5% | ||||||||||||||
*Comcast Corp. Class A. | 959,002 | 19,736,261 | 0.5% | |||||||||||||||
#*Ford Motor Co. | 1,175,210 | 16,605,717 | 0.5% | |||||||||||||||
#*Home Depot, Inc. | 569,030 | 17,571,646 | 0.5% | |||||||||||||||
*McDonald’s Corp. | 363,682 | 28,283,549 | 0.8% | |||||||||||||||
Walt Disney Co. (The) | 653,534 | 23,599,113 | 0.6% | |||||||||||||||
Other Securities | 263,105,250 | 7.1% | ||||||||||||||||
Total Consumer Discretionary | 388,864,650 | 10.5% | ||||||||||||||||
Consumer Staples — (10.1%) | ||||||||||||||||||
Altria Group, Inc. | 712,088 | 18,101,277 | 0.5% | |||||||||||||||
Coca-Cola Co. (The) | 789,139 | 48,390,003 | 1.3% | |||||||||||||||
Kraft Foods, Inc. | 595,941 | 19,231,016 | 0.5% | |||||||||||||||
*PepsiCo, Inc. | 543,619 | 35,498,321 | 0.9% | |||||||||||||||
Philip Morris International, Inc. | 626,288 | 36,637,848 | 1.0% | |||||||||||||||
*Procter & Gamble Co. (The) | 969,903 | 61,656,734 | 1.7% | |||||||||||||||
*Wal-Mart Stores, Inc. | 683,431 | 37,021,457 | 1.0% | |||||||||||||||
Other Securities | 152,042,306 | 4.1% | ||||||||||||||||
Total Consumer Staples | 408,578,962 | 11.0% | ||||||||||||||||
Energy — (10.0%) | ||||||||||||||||||
*Chevron Corp. | 687,017 | 56,754,474 | 1.5% | |||||||||||||||
*ConocoPhillips | 506,863 | 30,107,662 | 0.8% | |||||||||||||||
*Exxon Mobil Corp. | 1,739,862 | 115,648,627 | 3.1% | |||||||||||||||
Occidental Petroleum Corp. | 277,542 | 21,823,127 | 0.6% | |||||||||||||||
*Schlumberger, Ltd. | 466,881 | 32,630,313 | 0.9% | |||||||||||||||
Other Securities | 149,025,047 | 4.0% | ||||||||||||||||
Total Energy | 405,989,250 | 10.9% | ||||||||||||||||
Financials — (12.6%) | ||||||||||||||||||
*Bank of America Corp. | 3,428,552 | 39,222,635 | 1.1% | |||||||||||||||
*Berkshire Hathaway, Inc. | 591,097 | 47,027,677 | 1.3% | |||||||||||||||
*Citigroup, Inc. | 8,712,164 | 36,329,724 | 1.0% | |||||||||||||||
*Goldman Sachs Group, Inc. (The) | 176,184 | 28,356,815 | 0.8% | |||||||||||||||
*JPMorgan Chase & Co. | 1,354,892 | 50,984,586 | 1.4% | |||||||||||||||
U.S. BanCorp. | 655,091 | 15,840,100 | 0.4% | |||||||||||||||
*Wells Fargo & Co. | 1,788,254 | 46,637,664 | 1.2% | |||||||||||||||
Other Securities | 247,090,213 | 6.6% | ||||||||||||||||
Total Financials | 511,489,414 | 13.8% | ||||||||||||||||
Health Care — (10.3%) | ||||||||||||||||||
*Abbott Laboratories | 527,592 | 27,076,021 | 0.8% | |||||||||||||||
*Amgen, Inc. | 327,508 | 18,730,183 | 0.5% | |||||||||||||||
Bristol-Myers Squibb Co. | 585,958 | 15,762,270 | 0.4% | |||||||||||||||
*Johnson & Johnson | 941,189 | 59,925,504 | 1.6% | |||||||||||||||
Merck & Co., Inc. | 1,051,605 | 38,152,229 | 1.0% | |||||||||||||||
*Pfizer, Inc. | 2,746,669 | 47,792,041 | 1.3% | |||||||||||||||
Other Securities | 212,476,738 | 5.7% | ||||||||||||||||
Total Health Care | 419,914,986 | 11.3% | ||||||||||||||||
Industrials — (9.6%) | ||||||||||||||||||
*3M Co. | 243,676 | 20,522,393 | 0.5% | |||||||||||||||
*Boeing Co. (The) | 250,013 | 17,660,918 | 0.5% | |||||||||||||||
#*Caterpillar, Inc. | 215,430 | 16,932,798 | 0.5% | |||||||||||||||
General Electric Co. | 3,653,176 | 58,523,880 | 1.6% | |||||||||||||||
*Union Pacific Corp. | 170,017 | 14,907,091 | 0.4% |
168
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||
Industrials — (Continued) | ||||||||||||||||||
*United Parcel Service, Inc. | 338,519 | $ | 22,795,869 | 0.6% | ||||||||||||||
*United Technologies Corp. | 317,461 | 23,736,559 | 0.6% | |||||||||||||||
Other Securities | 215,689,335 | 5.8% | ||||||||||||||||
Total Industrials | 390,768,843 | 10.5% | ||||||||||||||||
Information Technology — (17.4%) | ||||||||||||||||||
*Apple, Inc. | 312,163 | 93,920,482 | 2.5% | |||||||||||||||
*Cisco Sytems, Inc. | 1,951,493 | 44,552,585 | 1.2% | |||||||||||||||
*Google, Inc. | 84,943 | 52,069,210 | 1.4% | |||||||||||||||
Hewlett-Packard Co. | 774,884 | 32,591,621 | 0.9% | |||||||||||||||
*Intel Corp. | 1,902,579 | 38,184,761 | 1.0% | |||||||||||||||
*International Business Machines Corp. | 430,976 | 61,888,154 | 1.7% | |||||||||||||||
*Microsoft Corp. | 2,602,083 | 69,319,491 | 1.9% | |||||||||||||||
*Oracle Corp. | 1,322,445 | 38,879,883 | 1.0% | |||||||||||||||
*QUALCOMM, Inc. | 548,493 | 24,753,489 | 0.7% | |||||||||||||||
Other Securities | 251,183,243 | 6.7% | ||||||||||||||||
Total Information Technology | 707,342,919 | 19.0% | ||||||||||||||||
Materials — (3.4%) | ||||||||||||||||||
*Freeport-McMoRan Copper & Gold, Inc. Class B | 160,746 | 15,219,431 | 0.4% | |||||||||||||||
Other Securities | 120,929,347 | 3.3% | ||||||||||||||||
Total Materials | 136,148,778 | 3.7% | ||||||||||||||||
Real Estate Investment Trusts — (1.2%) | ||||||||||||||||||
Other Securities | 49,213,837 | 1.3% | ||||||||||||||||
Telecommunication Services — (2.8%) | ||||||||||||||||||
*AT&T, Inc. | 2,019,098 | 57,544,293 | 1.6% | |||||||||||||||
*Verizon Communications, Inc. | 965,894 | 31,362,578 | 0.8% | |||||||||||||||
Other Securities | 25,458,180 | 0.7% | ||||||||||||||||
Total Telecommunication Services | 114,365,051 | 3.1% | ||||||||||||||||
Utilities — (3.2%) | ||||||||||||||||||
Other Securities | 131,922,829 | 3.6% | ||||||||||||||||
TOTAL COMMON STOCKS | 3,664,599,519 | 98.7% | ||||||||||||||||
TEMPORARY CASH INVESTMENTS — (1.0%) | ||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares | 41,853,441 | 41,853,441 | 1.1% | |||||||||||||||
SECURITIES LENDING COLLATERAL — (8.8%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 355,223,607 | 355,223,607 | 9.6% | |||||||||||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||||||||||||
(Cost $3,163,040,809) | $ | 4,061,676,567 | 109.4% | |||||||||||||||
169
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||
Consumer Discretionary | $ | 388,864,650 | — | — | $ | 388,864,650 | ||||||||||||||||||||||||||
Consumer Staples | 408,578,962 | — | — | 408,578,962 | ||||||||||||||||||||||||||||
Energy | 405,989,250 | — | — | 405,989,250 | ||||||||||||||||||||||||||||
Financials | 511,489,414 | — | — | 511,489,414 | ||||||||||||||||||||||||||||
Health Care | 419,914,986 | — | — | 419,914,986 | ||||||||||||||||||||||||||||
Industrials | 390,768,843 | — | — | 390,768,843 | ||||||||||||||||||||||||||||
Information Technology | 707,342,919 | — | — | 707,342,919 | ||||||||||||||||||||||||||||
Materials | 136,148,778 | — | — | 136,148,778 | ||||||||||||||||||||||||||||
Real Estate Investment Trusts | 49,213,837 | — | — | 49,213,837 | ||||||||||||||||||||||||||||
Telecommunication Services | 114,365,051 | — | — | 114,365,051 | ||||||||||||||||||||||||||||
Utilities | 131,922,829 | — | — | 131,922,829 | ||||||||||||||||||||||||||||
Temporary Cash Investments | 41,853,441 | — | — | 41,853,441 | ||||||||||||||||||||||||||||
Securities Lending Collateral | — | $ | 355,223,607 | — | 355,223,607 | |||||||||||||||||||||||||||
Futures Contracts** | 1,447,110 | — | — | 1,447,110 | ||||||||||||||||||||||||||||
TOTAL | $ | 3,707,900,070 | $ | 355,223,607 | — | $ | 4,063,123,677 | |||||||||||||||||||||||||
** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
170
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 2010
(Amounts in thousands, except share and per share amounts)
DFA International Value Portfolio | U.S. Large Company Portfolio | |||||||
ASSETS: | ||||||||
Investments in Affiliated Investment Company at Value | $ | 5,163,850 | — | |||||
Investments at Value (including $0 and $343,476 of securities on loan, respectively) | — | $ | 3,664,600 | |||||
Temporary Cash Investments at Value & Cost | — | 41,853 | ||||||
Collateral Received from Securities on Loan at Value & Cost | — | 355,224 | ||||||
Cash | — | 4,410 | ||||||
Receivables: | ||||||||
Dividends and Interest | — | 4,220 | ||||||
Securities Lending Income | — | 29 | ||||||
Fund Shares Sold | 4,559 | 1,411 | ||||||
Futures Margin Variation | — | 5 | ||||||
Prepaid Expenses and Other Assets | 55 | 58 | ||||||
Total Assets | 5,168,464 | 4,071,810 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Upon Return of Securities Loaned | — | 355,224 | ||||||
Affiliated Investment Company Purchased | 817 | — | ||||||
Fund Shares Redeemed | 3,742 | 2,703 | ||||||
Due to Advisor | 857 | 188 | ||||||
Accrued Expenses and Other Liabilities | 239 | 722 | ||||||
Total Liabilities | 5,655 | 358,837 | ||||||
NET ASSETS | $ | 5,162,809 | $ | 3,712,973 | ||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | ||||||||
Class R2 Shares — based on net assets of $4,952 and $0 and shares outstanding of 277,960 and 0, respectively (Note O) | $ | 17.82 | N/A | |||||
NUMBER OF SHARES AUTHORIZED | 100,000,000 | N/A | ||||||
Institutional Class Shares — based on net assets of $5,157,857 and $3,712,973 and shares outstanding of 289,683,614 and 397,379,701, respectively | $ | 17.81 | $ | 9.34 | ||||
NUMBER OF SHARES AUTHORIZED | 1,500,000,000 | 900,000,000 | ||||||
Investment in Affiliated Investment Company at Cost | $ | 4,006,520 | $ | — | ||||
Investments at Cost | $ | — | $ | 2,765,964 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-In Capital | $ | 5,083,325 | $ | 3,444,337 | ||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | 14,433 | 9,631 | ||||||
Accumulated Net Realized Gain (Loss) | (1,092,801 | ) | (641,077 | ) | ||||
Net Unrealized Foreign Exchange Gain (Loss) | 522 | — | ||||||
Net Unrealized Appreciation (Depreciation) | 1,157,330 | 900,082 | ||||||
NET ASSETS | $ | 5,162,809 | $ | 3,712,973 | ||||
See accompanying Notes to Financial Statements.
171
DIMENSIONAL INVESTMENT GROUP INC.
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
DFA International Value Portfolio* | U.S. Large Company Portfolio** | |||||||
Investment Income | ||||||||
Dividends (Net of Foreign Taxes Withheld of $11,175 and $0, | $ | 123,700 | $ | 44,967 | ||||
Interest | 27 | 25 | ||||||
Income from Securities Lending | 6,128 | 296 | ||||||
Expenses Allocated from Affiliated Investment Company | (11,008 | ) | (730 | ) | ||||
Total Investment Income | 118,847 | 44,558 | ||||||
Expenses | ||||||||
Investment Advisory Services Fees | — | 127 | ||||||
Administrative Services Fees | 9,323 | 1,076 | ||||||
Accounting & Transfer Agent Fees | 79 | 91 | ||||||
Shareholder Servicing Fees — Class R2 Shares | 11 | — | ||||||
S&P 500® Fees | — | 17 | ||||||
Custodian Fees | — | 10 | ||||||
Filing Fees | 147 | 241 | ||||||
Shareholders’ Reports | 115 | 71 | ||||||
Directors’/Trustees’ Fees & Expenses | 45 | 16 | ||||||
Professional Fees | 104 | 86 | ||||||
Other | 43 | 15 | ||||||
Total Expenses | 9,867 | 1,750 | ||||||
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees | — | (317 | ) | |||||
Net Expenses | 9,867 | 1,433 | ||||||
Net Investment Income (Loss) | 108,980 | 43,125 | ||||||
Realized and Unrealized Gain (Loss) | ||||||||
Capital Gain Distributions Received from Investment Securities | — | 81 | ||||||
Net Realized Gain (Loss) on: | ||||||||
Investment Securities Sold | 255,538 | (88,214 | ) | |||||
Futures | — | 76 | ||||||
Foreign Currency Transactions | (99 | ) | — | |||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||
Investment Securities and Foreign Currency | 138,488 | 688,388 | ||||||
Futures | — | (3,735 | ) | |||||
Translation of Foreign Currency Denominated Amounts | 342 | — | ||||||
Net Realized and Unrealized Gain (Loss) | 394,269 | 596,596 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 503,249 | $ | 639,721 | ||||
* | Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). |
** | For the period November 1, 2009 through September 9, 2010, Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). |
See accompanying Notes to Financial Statements.
172
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value Portfolio | U.S. Large Company Portfolio | |||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income (Loss) | $ | 108,980 | $ | 106,511 | $ | 43,125 | $ | 17,245 | ||||||||||||
Capital Gain Distributions Received from Investment | — | — | 81 | — | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Investment Securities Sold | 255,538 | 45,432 | (88,214 | ) | (37,974 | ) | ||||||||||||||
Futures | — | (824 | ) | 76 | 12,592 | |||||||||||||||
Foreign Currency Transactions | (99 | ) | 2,711 | — | — | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Investment Securities and Foreign Currency | 138,488 | 988,043 | 688,388 | 73,084 | ||||||||||||||||
Futures | — | — | (3,735 | ) | 1,948 | |||||||||||||||
Translation of Foreign Currency Denominated Amounts | 342 | 172 | — | — | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from | 503,249 | 1,142,045 | 639,721 | 66,895 | ||||||||||||||||
Distributions From: | ||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||
Class R2 Shares | (249 | ) | (208 | ) | — | — | ||||||||||||||
Institutional Class Shares | (107,160 | ) | (105,492 | ) | (35,473 | ) | (18,243 | ) | ||||||||||||
Total Distributions | (107,409 | ) | (105,700 | ) | (35,473 | ) | (18,243 | ) | ||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||
Shares Issued | 1,032,364 | 1,077,621 | 3,071,799 | 156,796 | ||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 101,479 | 98,218 | 30,048 | 17,318 | ||||||||||||||||
Shares Redeemed | (808,163 | ) | (1,124,340 | ) | (778,811 | ) | (166,295 | ) | ||||||||||||
Net Increase (Decrease) from Capital Share | 325,680 | 51,499 | 2,323,036 | 7,819 | ||||||||||||||||
Total Increase (Decrease) in Net Assets | 721,520 | 1,087,844 | 2,927,284 | 56,471 | ||||||||||||||||
Net Assets | ||||||||||||||||||||
Beginning of Period | 4,441,289 | 3,353,445 | 785,689 | 729,218 | ||||||||||||||||
End of Period | $ | 5,162,809 | $ | 4,441,289 | $ | 3,712,973 | $ | 785,689 | ||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||
Shares Issued | 62,742 | 85,208 | 350,368 | 22,124 | ||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 6,675 | 7,223 | 3,492 | 2,474 | ||||||||||||||||
Shares Redeemed | (49,142 | ) | (90,150 | ) | (52,726 | ) | (24,057 | ) | ||||||||||||
Shares Reduced by Reverse Stock Split (Note O) | (453 | ) | — | — | — | |||||||||||||||
Net Increase (Decrease) from Shares Issued and | 19,822 | 2,281 | 301,134 | 541 | ||||||||||||||||
Undistributed Net Investment Income (Distributions in | $ | 14,433 | $ | 12,961 | $ | 9,631 | $ | 2,126 |
See accompanying Notes to Financial Statements.
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DIMENSIONAL INVESTMENT GROUP INC.
(for a share outstanding throughout each period)
DFA International Value Portfolio- Class R2 Shares† | DFA International Value Portfolio- Institutional Class Shares | |||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period April 30, Oct. 31, 2008 | Year Oct. 31, | Year Oct. 31, | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.13 | $ | 13.58 | $ | 26.31 | $ | 16.46 | $ | 12.54 | $ | 25.51 | $ | 22.71 | $ | 17.67 | $ | 15.73 | ||||||||||||||||||
Income from Investment Operations | ||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.37 | (A) | 0.42 | (A) | 0.66 | (A) | 0.39 | (A) | 0.40 | (A) | 0.74 | (A) | 0.72 | (A) | 0.66 | (A) | 0.48 | |||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 1.29 | 4.10 | (11.73 | ) | 1.34 | 3.92 | (12.44 | ) | 3.09 | 5.37 | 1.89 | |||||||||||||||||||||||||
Total from Investment Operations | 1.66 | 4.52 | �� | (11.07 | ) | 1.73 | 4.32 | (11.70 | ) | 3.81 | 6.03 | 2.37 | ||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.97 | ) | (0.97 | ) | (1.66 | ) | (0.38 | ) | (0.40 | ) | (0.78 | ) | (0.63 | ) | (0.65 | ) | (0.42 | ) | ||||||||||||||||||
Net Realized Gains | — | — | — | — | — | (0.49 | ) | (0.38 | ) | (0.34 | ) | (0.01 | ) | |||||||||||||||||||||||
Total Distributions | (0.97 | ) | (0.97 | ) | (1.66 | ) | (0.38 | ) | (0.40 | ) | (1.27 | ) | (1.01 | ) | (0.99 | ) | (0.43 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $ | 17.82 | $ | 17.13 | $ | 13.58 | $ | 17.81 | $ | 16.46 | $ | 12.54 | $ | 25.51 | $ | 22.71 | $ | 17.67 | ||||||||||||||||||
Total Return | 10.60 | % | 34.86 | % | (44.63 | )%(C) | 10.94 | % | 35.11 | % | (47.96 | )%(C) | 17.09 | % | 35.39 | % | 15.40 | % | ||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 4,952 | $ | 3,443 | $ | 3,372 | $ | 5,157,857 | $ | 4,437,846 | $ | 3,350,073 | $ | 6,262,069 | $ | 4,456,059 | $ | 2,518,457 | ||||||||||||||||||
Ratio of Expenses to Average Net Assets (D) | 0.72 | % | 0.74 | % | 0.73 | %(B)(E) | 0.45 | % | 0.46 | % | 0.44 | %(B) | 0.44 | % | 0.44 | % | 0.48 | % | ||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.11 | % | 2.96 | % | 7.47 | %(B)(E) | 2.34 | % | 3.00 | % | 3.86 | %(B) | 2.89 | % | 3.25 | % | 2.86 | % |
†All per share amounts and net assets values have been adjusted as a result of the reverse stock split on November 19, 2010. (Note O)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
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DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Company Portfolio | ||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, | Period Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 8.16 | $ | 7.62 | $ | 11.63 | $ | 11.00 | $ | 9.82 | $ | 9.23 | ||||||||||||
Income from Investment Operations | ||||||||||||||||||||||||
Net Investment Income (Loss) | 0.18 | (A) | 0.18 | (A) | 0.20 | (A) | 0.22 | (A) | 0.19 | (A) | 0.17 | |||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 1.15 | 0.55 | (3.99 | ) | 0.62 | 1.18 | 0.61 | |||||||||||||||||
Total from Investment Operations | 1.33 | 0.73 | (3.79 | ) | 0.84 | 1.37 | 0.78 | |||||||||||||||||
Less Distributions | ||||||||||||||||||||||||
Net Investment Income | (0.15 | ) | (0.19 | ) | (0.22 | ) | (0.21 | ) | (0.19 | ) | (0.19 | ) | ||||||||||||
Total Distributions | (0.15 | ) | (0.19 | ) | (0.22 | ) | (0.21 | ) | (0.19 | ) | (0.19 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 9.34 | $ | 8.16 | $ | 7.62 | $ | 11.63 | $ | 11.00 | $ | 9.82 | ||||||||||||
Total Return | 16.47 | % | 10.07 | % | (33.10 | )%(C) | 7.71 | % | 14.11 | % | 8.50 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 3,712,973 | $ | 785,689 | $ | 729,218 | $ | 1,002,142 | $ | 877,405 | $ | 692,595 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.10 | %** | 0.10 | %(D) | 0.10 | %(B)(D) | 0.10 | %(D) | 0.10 | %(D) | 0.10 | %(D) | ||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) | 0.11 | %** | 0.13 | %(D) | 0.11 | %(B)(D) | 0.11 | %(D) | 0.11 | %(D) | 0.14 | %(D) | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.99 | % | 2.53 | % | 2.10 | %(B) | 1.90 | % | 1.90 | % | 1.82 | % | ||||||||||||
Portfolio Turnover Rate | 1 | %* | N/A | N/A | N/A | N/A | N/A |
* For the period September 10, 2010 through October 31, 2010. Effective September 10, 2010, the Portfolio directly invests in securities rather than through The U.S. Large Company Series.
** Represents the combined ratios for the portfolio and for the period November 1, 2009 through September 9, 2010, its respective pro-rata share of The U.S. Large Company Series.
See Page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
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DIMENSIONAL INVESTMENT GROUP INC.
A. Organization:
Dimensional Investment Group Inc. (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of fifteen portfolios, of which DFA International Value Portfolio and U.S. Large Company Portfolio (the “Portfolios”) are presented in this section of the report. The remaining portfolios are presented in separate reports.
DFA International Value Portfolio (the “Feeder Fund”) primarily invests its assets in The DFA International Value Series (the “Series”), a corresponding series of The DFA Investment Trust Company. At October 31, 2010, DFA International Value Portfolio owned 75% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio.
Class R2 shares of DFA International Value Portfolio commenced operations on April 30, 2008. As of October 31, 2010, Class R1 shares of DFA International Value Portfolio had 100,000,000 authorized shares and had not commenced operations.
On November 1, 2008, The DFAInternational Value Series, a master fund in a RIC/RIC master-feeder structure, elected with the consent of its respective Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation § 301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the respective funds is a result of the treatment of a partnership for book purposes. The Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships.
On March 1, 2010, the Board of Directors of DFA Investment Dimensions Group Inc. and of Dimensional Investment Group Inc. approved an Agreement and Plan of Reorganization (the “Plan”) which provided that (i) U.S. Large Company Institutional Index Portfolio (the “Acquiring Fund”), a portfolio of Dimensional Investment Group Inc. would acquire substantially all of the assets of U.S. Large Company Portfolio (the “Target Fund”), a portfolio of DFA Investment Dimensions Group Inc. in exchange solely for shares of capital stock of the Acquiring Fund; (ii) the shares of the Acquiring Fund would be distributed to the shareholders of the Target Fund according to their respective interests in the Target Fund; and (iii) the Target Fund would be liquidated and dissolved (the “Reorganization”). In conjunction with completing the Reorganization, the Acquiring Fund would change its name to “U.S. Large Company Portfolio.” The Reorganization took place on May 7, 2010 and the Acquiring Fund changed its name to U.S. Large Company Portfolio effective May 8, 2010.
The purpose of the transaction was to lower fees for the shareholders of the Target Fund and create operating efficiencies from economies of scale.
The Reorganization was accomplished by a tax-free exchange of the following shares on May 7, 2010:
Target Fund | Shares | Acquiring Fund | Shares | Value (in thousands) | ||||
U.S. Large Company Portfolio | 83,482,168 | U.S. Large Company Institutional Index Portfolio | 311,973,980 | $2,731,987 |
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The net assets, including net unrealized appreciation (depreciation) of the Target Fund, immediately before the acquisition were as follows (in thousands):
Target Fund | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Fund | Net Assets | ||||
U.S. Large Company Portfolio | $2,731,987 | $315,984 | U.S. Large Company Institutional Index Portfolio | $870,696 |
Assuming the acquisition had been completed on November 1, 2009, U.S. Large Company Portfolio’s result of operations for the year ended October 31, 2010 would have been as follows (in thousands):
Net Investment Income | $ | 71,681 | (a) | |
Net Realized and Unrealized Gain (Loss) on Investments | 501,073 | (b) | ||
Net Increase in Net Assets Resulting from Operations | $ | 572,754 | ||
(a) | $43,125 as reported in the Statement of Operations, plus $27,799 Net Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of pro-forma eliminated expenses. |
(b) | $596,596 as reported in the Statement of Operations, less $95,523 Net Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company Portfolio pre-merger. |
Because both U.S. Large Company Portfolio and U.S. Large Company Institutional Index Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Prior to September 10, 2010, U.S. Large Company Portfolio invested substantially all of its assets in shares of The U.S. Large Company Series. At the close of business on September 9, 2010, U.S. Large Company Portfolio received its pro-rata share of cash and securities from The U.S. Large Company Series in a complete liquidation of its interest in the Series. Effective September 10, 2010, U.S. Large Company Portfolio invests directly in securities rather than through the Series and maintains the same investment objective.
At a regular meeting of the Board of Directors/Trustees (the “Board”) on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value heirarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below:
— Level 1 – quoted prices in active markets for identical securities
— Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
— Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)
The DFA International Value Portfolio’s investment reflects its proportionate interest in the net assets of the Series. These valuations are classified as Level 1 in the hierarchy.
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Securities held by U.S. Large Company Portfolio, including over-the-counter securities, are valued at the last quoted sale price of the day. Securities held by U.S. Large Company Portfolio that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, U.S. Large Company Portfolio values the securities at the mean of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These securities are generally categorized as Level 2 in the hierarchy. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Portfolio may differ from the quoted or published prices for the same securities on their primary markets or exchanges.
Futures contracts held by the U.S. Large Company Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios’ investments by each major security type, industry and/or country is disclosed at the end of the Schedules of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and Level 2 during the year ended October 31, 2010.
2. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/Trustees’ Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director shall have the right in a notice of election to defer compensation (the “Notice”) to elect to defer the receipt of the Director’s deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director’s first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the Fund (unless the Director files an amended Notice selecting a different distribution date). Robert C. Merton resigned from the Board of the Fund on December 1, 2009 and received a lump sum payment of the proceeds of his deferred fee account on January 4, 2010 in the amount of $241,764. As of October 31, 2010, no other Directors have requested or received a distribution of proceeds of a deferred fee account.
3. Other: The Feeder Fund recognizes its pro-rata share, on a daily basis, of net investment income and realized and unrealized gains and losses of investment securities from the Series, which is treated as a partnership for federal income tax purposes. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction
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of cost of investments or as a realized gain, respectively. The Feeder Fund estimates the character of distributions received that may be considered return of capital distributions. Expenses directly attributable to the Feeder Fund are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of the Feeder Fund. Income, gains and losses, and common expenses of the Feeder Fund are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any.
C. Investment Advisor:
Dimensional Fund Advisors LP (“Dimensional” or the “Advisor”) provides administrative services to the Portfolios, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors/Trustees, and other administrative services. The Advisor provides investment advisory services to the Portfolios and the Series. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Fund. For the year ended October 31, 2010, the Portfolios’ administrative services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
DFA International Value Portfolio | 0.20 | % | ||
U.S. Large Company Portfolio* | 0.05 | % |
For the year ended October 31, 2010, the Portfolio’s investment advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
U.S. Large Company Portfolio* | 0.025 | % |
*Effective September 10, 2010, U.S. Large Company Portfolio no longer invests substantially all of its assets in The U.S. Large Company Series. Instead, U.S. Large Company Portfolio’s assets are managed directly in accordance with its investment objective and strategies, pursuant to an investment management agreement between the Fund, on behalf of U.S. Large Company Portfolio, and Dimensional, which previously was the manager of The U.S. Large Company Series’ assets. The investment advisory fee paid by U.S. Large Company Portfolio is identical to the advisory fee that was charged to The U.S. Large Company Series.
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive certain fees, including administration/advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver and Expense Assumption Agreement for the Portfolios below will remain in effect through March 1, 2011, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2010, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). The Portfolios are not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
Expense Limits | Recovery of Previously Waived Fees/ Expenses Assumed | Previously Waived Fees/ Expenses Assumed Subject to Future Recovery | ||||||||||
DFA International Value Portfolio — Class R2 Shares (1) | 0.79 | % | — | — | ||||||||
U.S. Large Company Portfolio (2) | 0.10 | % | — | $ | 642 |
(1) The Advisor has contractually agreed to assume the Portfolio’s direct expenses (excluding management fees and custodian fees) to the extent necessary to limit the expenses of the Class R2 shares of the Portfolio to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than the rate listed above for the Portfolio, the Advisor retains the right to recover
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any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio’s Class R2 shares’ annualized expenses to exceed the applicable percentage of average net assets as listed above.
(2) The Advisor has contractually agreed to waive its administration fee and advisory fee and to assume the Portfolio’s direct and indirect expenses (including the expenses the Portfolio has incurred as a shareholder of The U.S. Large Company Series) necessary to reduce the Portfolio’s expenses to the extent that its total direct and indirect expenses exceed the rate listed above as a percentage of average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than the rate listed above for the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio’s annualized expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2010, the total related amounts paid by the Fund to the CCO were $29 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations.
D. Deferred Compensation:
At October 31, 2010, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follow (amounts in thousands):
DFA International Value Portfolio | $ | 119 | ||
U.S. Large Company Portfolio | 194 |
E. Purchases and Sales of Securities:
For the period September 10, 2010 through October 31, 2010, during which the U.S. Large Company Portfolio invested directly in securities, the Portfolio made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases | $ | 25,631 | ||
Sales | 78,269 |
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes.
Distributions from net investment income and from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income, accumulated net realized gains or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2010, primarily attributable to distribution of assets and liabilities by a partnership in complete liquidation and the expiration of capital loss carryforwards, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
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Increase (Decrease) Paid-In-Capital | Increase (Decrease) Undistributed Net Investment Income | Increase (Decrease) Accumulated Net Realized Gains (Losses) | ||||||||||
DFA International Value Portfolio | — | $ | (99 | ) | $ | 99 | ||||||
U.S. Large Company Portfolio | $ | 453,344 | (147 | ) | (453,197 | ) |
The tax character of dividends and distributions declared and paid during the years ended October 31, 2009 and October 31, 2010 were as follows (amounts in thousands):
Net Investment Income and Short-Term Capital Gains | Long-Term Capital Gains | Total | ||||||||||
DFA International Value Portfolio | ||||||||||||
2009 | $ | 105,700 | — | $ | 105,700 | |||||||
2010 | 107,409 | — | �� | 107,409 | ||||||||
U.S. Large Company Portfolio | ||||||||||||
2009 | 18,243 | — | 18,243 | |||||||||
2010 | 35,473 | — | 35,473 |
At October 31, 2010, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Net Investment Income and Short-Term Capital Gains | Undistributed Long-Term Capital Gains | Capital Loss Caryforward | Total Net Distributable Earnings (Accumulated Losses) | |||||||||||
DFA International Value Portfolio | $ | 14,594 | — | $ | (1,092,654 | ) | $ | (1,078,060 | ) | |||||
U.S. Large Company Portfolio | 9,826 | — | (386,326 | ) | (376,500 | ) |
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of October 31, 2010, the Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration date (amounts in thousands):
Expires on October 31, | ||||||||||||||||||||||||||||||||||||
2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | Total | ||||||||||||||||||||||||||||
DFA International Value Portfolio | — | — | — | — | — | $ | 1,092,654 | — | — | $ | 1,092,654 | |||||||||||||||||||||||||
U.S. Large Company Portfolio | $ | 13,997 | $ | 5,486 | $ | 10,569 | $ | 1,944 | $ | 86,015 | 100,024 | $ | 87,500 | $ | 80,791 | 386,326 |
For the year ended October 31, 2010, DFA International Value Portfolio had utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes of $255,554 (in thousands).
For the year ended October 31, 2010, U.S. Large Company Portfolio had capital loss carryforward expirations of $42,619 (in thousands).
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At October 31, 2010, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
DFA International Value Portfolio | $ | 4,006,671 | $ | 1,245,128 | $ | (87,949 | ) | $ | 1,157,179 | |||||||
U.S. Large Company Portfolio | 3,416,346 | 1,192,587 | (547,256 | ) | 645,331 |
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Portfolios’ tax postions and has concluded that no provision for income tax is required in the Portfolios’ financial statements. The Portfolios are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolios’ federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a “Check-the-box” election for federal income tax purposes pursuant to Treasury Regulation §301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code §336(a), the master fund recognizes gain or loss as if the master’s investment securities were sold to its shareholders and, pursuant to IRC Code §331, each of the Portfolios recognizes gain or loss as if it liquidated its investment in the master. As a result of the transaction, The DFA International Value Series recognized a ($2,309,440,866) and ($718,733) capital and currency loss respectively for tax year ended October 31, 2008. For tax purposes, pursuant to IRC Code §334(a), each of the Portfolios will take a fair market value basis in the securities deemed received by them and a new holding period for those securities commences on the deemed liquidation date.
Certain prior year balances have been reclassified to conform with current year presentations. Such reclassfications impacted the paid-in-capital, undistributed net investment income/distributions in excess of net investment income and accumulated net realized gain/loss components of net assets on the statement of assets and liabilities of U.S. Large Company Portfolio. These reclassifications had no impact on net assets, net asset value, the financial highlights or total return.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in thousands):
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||
Amount | Shares | Amount | Shares | |||||||||||||
DFA International Value Portfolio | ||||||||||||||||
Class R2 Shares | ||||||||||||||||
Shares Issued | $ | 2,443 | 375 | $ | 1,393 | 263 | ||||||||||
Shares Issued in Lieu of Cash Distributions | 249 | 43 | 207 | 38 | ||||||||||||
Shares Redeemed | (1,361 | ) | (215 | ) | (2,329 | ) | (425 | ) | ||||||||
Shares Reduced by Reverse Stock Split (Note O) | — | (453 | ) | — | — | |||||||||||
Net Increase (Decrease) — Class R2 Shares | $ | 1,331 | (250 | ) | $ | (729 | ) | (124 | ) | |||||||
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Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||
Amount | Shares | Amount | Shares | |||||||||||||
Institutional Class Shares | ||||||||||||||||
Shares Issued | $ | 1,029,921 | 62,367 | $ | 1,076,228 | 84,945 | ||||||||||
Shares Issued in Lieu of Cash Distributions | 101,230 | 6,632 | 98,011 | 7,185 | ||||||||||||
Shares Redeemed | (806,802 | ) | (48,927 | ) | (1,122,011 | ) | (89,725 | ) | ||||||||
Net Increase (Decrease) — Institutional Class Shares | $ | 324,349 | 20,072 | $ | 52,228 | 2,405 | ||||||||||
H. Financial Instruments:
In accordance with U.S. Large Company Portfolio investment objectives and policies, U.S. Large Company Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:
1. Repurchase Agreements: U.S. Large Company Portfolio may purchase certain U.S. Government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Trust’s custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on October 29, 2010.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a fund uses derivatives, how derivatives are accounted for and how derivative instruments affect a fund’s results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Series.
2. Futures Contracts: U.S. Large Company Portfolio may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, U.S. Large Company Portfolio deposits cash or pledges U.S. Government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by U.S. Large Company Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, U.S. Large Company Portfolio record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that U.S. Large Company Portfolio could lose more than the initial margin requirements. Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
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At October 31, 2010, U.S. Large Company Portfolio had outstanding futues contracts (dollar amounts in thousands):
Description | Expiration Date | Number of Contracts* | Contract Value | Unrealized Gain (Loss) | Approximate Cash Collateral | |||||||
U.S. Large Company Portfolio | S&P 500 ®Index | 12/17/2010 | 163 | $48,073 | $1,447 | $4,410 |
* | During the year ended October 31, 2010, U.S. Large Company Portfolio’s average notional value of outstanding futures contracts was $39,922 (in thousands). |
Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments’ (i) location in the balance sheet and fair value at period end and (ii) the location in the Statements of Operations and the realized and change in unrealized gain or loss over the reporting period. The following is a summary of U.S. Large Company Portfolio’s derivative instrument holdings for the year ended October 31, 2010.
The following is a summary of U.S. Large Company Portfolio’s location and value of derivative instrument holdings on U.S. Large Compnay Portfolio’s Statements of Assets and Liabilities categorized by primary risk exposure as of October 31, 2010 (amounts in thousands):
Asset Derivatives Value | ||||||
Location on the Statements of Assets and Liabilities | Equity Contracts | |||||
U.S. Large Company Portfolio | Receivables: Futures Margin Variation |
| $1,447* |
|
* | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statement of Assets and Liabilities. |
The following is a summary of the location of realized and change in unrealized gains and losses on U.S. Large Company Portfolio’s Statement of Operations for U.S. Large Company Portfolio’s derivative instrument holdings through the year ended October 31, 2010:
Derivative Type | Location of Gain (Loss) on Derivatives Recognized in Income | |
Equity contracts | Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures |
The following is a summary of the realized and change in unrealized gains and losses from U.S. Large Company Portfolio’s direct investment in derivative instrument holdings categorized by primary risk exposure for the period September 10, 2010 through October 31, 2010 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income | ||
Equity Contracts | ||
U.S. Large Company Portfolio | $1,012 | |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||
Equity Contracts | ||
U.S. Large Company Portfolio | $1,447 |
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I. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowings. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011. There were no borrowings by the Portfolios under this line of credit during the year ended October 31, 2010.
The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2010 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement of the line of credit expires on January 15, 2011. There were no borrowings by the Portfolios under this line of credit during the year ended October 31, 2010.
J. Securities Lending:
As of October 31, 2010, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio receives cash collateral. The Portfolio invests its cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities.
Subject to its stated investment policies, the Portfolio will generally invest its cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Portfolio 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. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates.
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K. Shareholder Servicing Fees:
The Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in the DFA International Value Portfolio Class R2 Shares.
L. Indemnitees; Contractual Obligations:
Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund.
In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
M. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures.
N. Other:
At October 31, 2010, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. One or more of the shareholders is an omnibus account, which typically holds shares for the benefit of several other underlying investors.
Number of Shareholders | Approximate Percentage of Oustanding Shares | |||
DFA International Value Portfolio — Class R2 Shares | 3 | 84% | ||
DFA International Value Portfolio — Institutional Class Shares | 2 | 47% | ||
U.S. Large Company Portfolio | 2 | 66% |
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed an action against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.
O. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Portfolios and has determined that the following subsequent event requires recognition or disclosure in the financial statements.
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On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of DFA International Value Portfolio’s Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R2 Shares received one share for every 2.631 shares held. The purpose of the reverse split was to reduce the number of Class R2 Shares, thereby increasing the net asset value of each Class R2 Share outstanding in order to more closely align the net asset value with the net asset value of DFA International Value Portfolio’s Institutional Class Shares. The per share data in the financial highlights, capital share activity in the statements of changes in net assets and the outstanding shares and net asset value as of October 31, 2010 in the statement of assets and liabilities have been retroactively restated to reflect the reverse stock splits for the respective Class R2 Shares.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of Dimensional Investment Group Inc.:
In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments/ summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DFA International Value Portfolio and U.S. Large Company Portfolio (constituting portfolios within Dimensional Investment Group Inc., hereafter referred to as the “Portfolios”) at October 31, 2010, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2010 by correspondence with the custodian, brokers, and the transfer agent of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2010
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THE DFA INVESTMENT TRUST COMPANY
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THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
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THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
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THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT’S DISCUSSION AND ANALYSIS
U.S. Equity Market Review | 12 Months Ended October 31, 2010 |
The year ending October 31, 2010, was a relatively volatile period for U.S. equities. Broad market returns were positive, with the Russell 3000® Index returning 18.34%. Stocks represented by the Russell Midcap® Index outperformed those within both the Russell 2000® Index (small caps) and the Russell 1000® Index (large caps). Meanwhile, stocks represented by the Russell 1000® Growth Index outperformed those represented by the Russell 1000® Value Index.
While market returns were positive through April 2010, stocks retreated in May and June, marking new lows for the fiscal year in early July. Then in September, stocks began a sharp rise which continued through October. Over the course of the fiscal year, the small company premium within the Russell 3000® Index was positive, while the value premium was negative as investors’ risk tolerance shifted, and general economic conditions evolved.
Among the most important factors explaining differences in the behavior of diversified equity portfolios are the company size and company value/growth characteristics of the portfolio’s holdings. Size is measured by market capitalization, and value classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks often have lower market value relative to their earnings, dividends, and book value.
For the 12 months ended October 31, 2010, the total return of the Russell Microcap® Index was 25.08%, the Russell 2000® Index was 26.57%, the CRSP 6-10 Index was 28.76%, and the MSCI US Small Cap 1750 Index was 28.35%. Large cap growth stocks outperformed large cap value stocks, as measured by the Russell 1000® Growth Index and Russell 1000® Value Index. Small cap growth stocks outperformed small cap value stocks as measured by the Russell 2000® Growth Index and Russell 2000® Value Index.
Total Return for 12 Months Ended October 31, 2010
Russell 2000® Index (small cap companies) | 26.57 | % | ||
Russell Midcap® Index (mid cap companies) | 27.73 | % | ||
Russell 1000® Index (large cap companies) | 17.65 | % | ||
Russell 3000® Value Index | 16.41 | % | ||
Russell 3000® Growth Index | 20.32 | % |
Further dividing the large, mid, and small cap market segments by value and growth characteristics shows more detail in the performance differences over the period.
Total Return for 12 Months Ended October 31, 2010
Russell 1000® Value Index (large cap value companies) | 15.72 | % | ||
Russell 1000® Growth Index (large cap growth companies) | 19.66 | % | ||
Russell Midcap® Value Index (mid cap value companies) | 27.50 | % | ||
Russell Midcap® Growth Index (mid cap growth companies) | 28.03 | % | ||
Russell 2500® Value Index (small/mid cap value companies) | 26.89 | % | ||
Russell 2500® Growth Index (small/mid cap growth companies) | 28.76 | % | ||
Russell 2000® Value Index (small cap value companies) | 24.43 | % | ||
Russell 2000® Growth Index (small cap growth companies) | 28.66 | % |
Source: Russell data copyright © Russell Investment Group 1995-2010, all rights reserved.
Differences in returns for the various Dimensional U.S. equity funds over the 12 months ended October 31, 2010 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios, except for the DFA Real Estate Securities Portfolio and the
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U.S. Large Company Portfolio. Moreover, the portfolio construction approach used by Dimensional Fund Advisors (the “Advisor”) generally resulted in portfolios with greater emphasis on value or small company characteristics relative to widely used index benchmarks.
Domestic Equity Series’ Performance Overview
The U.S. Large Cap Value Series
The U.S. Large Cap Value Series seeks to capture the returns of U.S. large company value stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Series held 211 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Series’ assets.
For the 12 months ended October 31, 2010, total returns were 19.96% for the Series and 15.72% for the Russell 1000® Value Index. Relative to the Index, the Series’ higher concentration in securities with the most prominent value characteristics and composition differences among the Series’ value stocks added approximately 4.2% to the relative performance. Differences in allocation and composition between the Series and the Index across the market capitalization segments contributed to the outperformance, particularly the Series’ smaller allocation to the largest stocks and the composition of those stocks which added approximately 2.9% to the relative performance. The Series’ exclusion of REITs had a negative impact of approximately 0.7% relative to the Index as REITs was the best-performing sector over the period.
International Equity Market Review | 12 Months Ended October 31, 2010 |
The one-year period ending October 31, 2010, was characterized by relatively high levels of volatility in non-US developed markets. Broad market returns were positive, with stocks represented by the MSCI World ex USA Index (net dividends) returning 9.61%.
While market returns were positive in November and December of 2009, high volatility over the next five months — punctuated by an 11% drop in May — took developed non-US stocks to their lows for the fiscal year. In June, stocks began a sharp rise which continued through the remainder of the fiscal year as global economic data generally improved. As measured by the MSCI indices, growth stocks outperformed their value counterparts, while small cap stocks outperformed large caps.
12 Months Ended October 31, 2010 | ||||
U.S. Dollar Return | ||||
MSCI World ex USA Index | 9.61% | |||
MSCI World ex USA Small Cap Index | 17.23% | |||
MSCI World ex USA Growth Index | 6.38% | |||
MSCI World ex USA Value Index | 12.87% |
The performance of the US dollar (USD) was mixed against other major developed markets currencies during the period. While the USD rose slightly against the euro and British pound, it fell against most other G10 currencies, and in particular against the Japanese yen.
12 Months Ended October 31, 2010 | ||||||||
Ten Largest Foreign Developed Markets by Market Cap | Local Currency Return | U.S. Dollar Return | ||||||
United Kingdom | 16.07% | 12.58% | ||||||
Japan | -6.76% | 4.78% | ||||||
Canada | 15.83% | 22.62% |
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12 Months Ended October 31, 2010
Ten Largest Foreign Developed Markets by Market Cap | Local Currency Return | U.S. Dollar Return | ||||||
France | 11.80% | 5.31% | ||||||
Australia | 3.70% | 12.50% | ||||||
Germany | 20.61% | 13.61% | ||||||
Switzerland | 5.53% | 9.90% | ||||||
Spain | -2.96% | -8.59% | ||||||
Sweden | 17.82% | 23.94% | ||||||
Italy | 0.69% | -5.14% |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2010, all rights reserved.
Gains in emerging markets were higher on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2010, returns in US dollars were 23.56% for the MSCI Emerging Markets Index (net dividends) versus 9.61% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps.
12 Months Ended October 31, 2010
U.S. Dollar Return | ||||
MSCI Emerging Markets Index | 23.56% | |||
MSCI Emerging Markets Small Cap Index | 37.02% | |||
MSCI Emerging Markets Value Index | 21.96% | |||
MSCI Emerging Markets Growth Index | 25.17% |
The US dollar (USD) generally depreciated against most major emerging markets currencies during the period, increasing most local country returns when denominated in USD.
12 Months Ended October 31, 2010
Ten Largest Emerging Markets by Market Cap | Local Currency Return | U.S. Dollar Return | ||
China | 11.14% | 11.11% | ||
Brazil | 11.67% | 14.86% | ||
South Korea | 18.52% | 24.52% | ||
Taiwan | 13.20% | 20.23% | ||
India | 27.64% | 34.93% | ||
South Africa | 18.71% | 33.55% | ||
Russia | 19.19% | 13.38% | ||
Mexico | 25.55% | 33.87% | ||
Malaysia | 23.94% | 35.93% | ||
Indonesia | 41.78% | 51.50% |
Source: Returns are of MSCI indices net of foreign withholding taxes on dividends. Copyright MSCI 2010, all rights reserved.
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International Equity Series’ Performance Overview
The DFA International Value Series
The DFA International Value Series seeks to capture the returns of international large company value stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to track any specific equity index. As of October 31, 2010, the Series held 528 stocks in 23 developed countries. In general the portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Series’ assets.
For the 12 months ended October 31, 2010, total returns were 11.13% for the Series and 9.61% for the MSCI World ex USA Index (net dividends). The MSCI Standard benchmarks indicate that on the whole, growth stocks outperformed value stocks in international developed markets during the period. However, stocks in the deeper value segment of the market outperformed growth stocks on average. The Series’ greater allocation than the Index to these deeper value stocks contributed to relative performance. An additional component of the Series’ outperformance was due to differences in valuation timing and methodology between the Portfolio and the Index. The Series prices foreign exchange rates at the closing of U.S. markets, while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets, while the Index uses local market closing prices.
The Japanese Small Company Series
The Japanese Small Company Series seeks to capture the returns of Japanese small company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Series held 1,333 stocks. In general, the Series was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Series’ assets.
As a result of the Series’ diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market, rather than the behavior of a limited number of stocks For the 12 months ended October 31, 2010, total returns were 0.72% for the Series and 1.12% for the MSCI Japan Small Cap Index (net dividends). Relative to the Index, the Series’ underperformance was primarily due to its exclusion of REITs, as REITs were the best performing sector over the period. To a lesser extent, compositional differences among the market capitalization segments further detracted from the Series’ relative performance.
The Asia Pacific Small Company Series
The Asia Pacific Small Company Series seeks to capture the returns of small company stocks in developed Asia Pacific markets, excluding Japan. The investments strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Series held 1,093 stocks, and assets were allocated mainly among four countries: Australia, Hong Kong, New Zealand, and Singapore. Country allocations generally reflect the approximate weights of individual securities within a universe of Asia Pacific small company stocks constructed by the Advisor. In general, the Series was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Series’ assets.
As a result of the Series’ diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 28.91% for the Series and 25.77% for the MSCI Pacific ex Japan Small Cap Index (net dividends). The Series’ relative outperformance was primarily attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
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The United Kingdom Small Company Series
The United Kingdom Small Company Series seeks to capture the returns of U.K. small company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Series held 375 stocks. In general, the Series was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Series’ assets.
As a result of the Series’ diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. Over the period, U.K. small company stocks outperformed U.K. large company stocks. For the 12 months ended October 31, 2010, total returns were 25.94% for the Series and 21.61% for the MSCI UK Small Cap Index (net dividends). The Series holds a large number of stocks, and in most cases, no single stock will explain a significant amount of the performance difference relative to the Index. However, during the 12-month period ended October 31, 2010, the Portfolio held two stocks that had a significant positive impact on relative performance. One stock was held at a higher weight than in the Index and the other stock was not present in the Index as it was considered too large for the Index.
The Continental Small Company Series
The Continental Small Company Series seeks to capture the returns of small company stocks in developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares in such securities. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Series held 1,405 stocks in 15 developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, the Series was fully invested in equities throughout the year. The average cash level for period was less than 1% of the Series’ assets.
As a result of the Series’ diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 15.37% for the Series and 15.17% for the MSCI Europe ex UK Small Cap Index (net dividends). The Series and the Index held a number of securities in common but in different weights due to different methods for defining size and the Series’ exclusion rules. For the one-year period ended October 31, 2010, overall differences generally offset each other with the end result that the Series slightly outperformed the Index.
The Canadian Small Company Series
The Canadian Small Company Series seeks to capture the returns of Canadian small company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Series held 410 stocks. In general, the Series was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Series’ assets.
As a result of the Series’ diversified investment approach, performance was determined principally by broad structural trends in the Canadian equity market, rather than the behavior of a limited number of stocks. Over the period, within the Canadian small company universe, the smallest stocks underperformed larger stocks. For the 12 months ended October 31, 2010, total returns were 43.17% for the Series and 46.20% for the MSCI Canada Small Cap Index (net dividends). The Series holds a large number of stocks and in most cases no single stock will explain a significant amount of the performance difference. However, during the 12-month period ended October 31, 2010, the Index held two securities that significantly outperformed and were excluded from the Series, accounting for the majority of the Series’ relative underperformance. These two securities were considered too large to be eligible for the Series.
196
The Emerging Markets Series
The Emerging Markets Series seeks to capture the returns of large cap stocks in selected emerging markets countries. The investment strategy employs a disciplined quantitative approach, emphasizing broad diversification and consistent exposure to large cap emerging markets stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Series held 712 stocks in 20 emerging markets countries. In general, the Series was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Series’ assets. The Series’ target country weights were capped at 15% upon purchase by the manager to limit single-country risk exposure.
As a result of the Series’ diversified approach, performance was generally determined by broad structural trends in emerging markets countries, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 27.04% for the Series and 23.56% for the MSCI Emerging Markets Index (net dividends). The Series’ relative outperformance was primarily due to differences in country weight allocations between the Series and the Index. Country weight differences were primarily driven by capping of individual countries to limit single-country risk exposure. To a lesser extent, an additional component of the Series’ outperformance was due to differences in valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
The Emerging Markets Small Cap Series
The Emerging Markets Small Cap Series seeks to capture the returns of small company stocks in selected emerging markets. The investment strategy employs a disciplined quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks in selected emerging markets, but does not attempt to track a specific equity index. As of October 31, 2010, the Series held 2,691 stocks in 15 emerging markets countries. In general, the Series was fully invested in equities throughout the year: the average cash level for the period was less than 1% of the Series’ assets. The Series’ target country weights were capped at 15% upon purchase by the manager to limit single-country risk exposure.
As a result of the Series’ diversified approach, performance was principally determined by structural trends in emerging markets countries, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 41.96% for the Series and 23.56% for the MSCI Emerging Markets Index (net dividends). The Series’ outperformance was primarily due to emerging markets small cap stocks significantly outperforming their large cap counterparts during the period. The Series holds primarily small cap stocks whereas the Index holds primarily large cap and mid cap stocks. To a lesser extent, an additional component of the Series’ outperformance was due to differences in valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
197
THE DFA INVESTMENT TRUST COMPANY
(Unaudited)
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The Expense Tables below illustrate your fund’s costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.
Six Months Ended October 31, 2010
EXPENSE TABLES
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
The U.S. Large Cap Value Series | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 975.20 | 0.11% | $ | 0.55 | |||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.65 | 0.11% | $ | 0.56 | |||||||||
The DFA International Value Series | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,063.80 | 0.24% | $ | 1.25 | |||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.00 | 0.24% | $ | 1.22 |
198
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
The Japanese Small Company Series | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 942.00 | 0.14% | $ | 0.69 | |||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.50 | 0.14% | $ | 0.71 | |||||||||
The Asia Pacific Small Company Series | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,135.30 | 0.18% | $ | 0.97 | |||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.30 | 0.18% | $ | 0.92 | |||||||||
The United Kingdom Small Company Series | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,151.00 | 0.13% | $ | 0.70 | |||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.55 | 0.13% | $ | 0.66 | |||||||||
The Continental Small Company Series | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,096.20 | 0.17% | $ | 0.90 | |||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.35 | 0.17% | $ | 0.87 | |||||||||
The Canadian Small Company Series | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,097.80 | 0.15% | $ | 0.79 | |||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.45 | 0.15% | $ | 0.77 | |||||||||
The Emerging Markets Series | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,108.50 | 0.20% | $ | 1.06 | |||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.20 | 0.20% | $ | 1.02 | |||||||||
The Emerging Markets Small Cap Series | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,183.00 | 0.33% | $ | 1.82 | |||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,023.54 | 0.33% | $ | 1.68 |
* | Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. |
199
DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on September 29, 2010. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
The U.S. Large Cap Value Series | The DFA International Value Series | The Japanese Small Company Series | ||||||||||||||
Consumer Discretionary | 18.2% | Consumer Discretionary | 15.8% | Consumer Discretionary | 23.7% | |||||||||||
Consumer Staples | 7.8% | Consumer Staples | 6.0% | Consumer Staples | 9.8% | |||||||||||
Energy | 15.5% | Energy | 10.1% | Energy | 1.1% | |||||||||||
Financials | 21.4% | Financials | 31.6% | Financials | 10.4% | |||||||||||
Health Care | 8.9% | Health Care | 1.2% | Health Care | 4.5% | |||||||||||
Industrials | 14.1% | Industrials | 10.2% | Industrials | 25.9% | |||||||||||
Information Technology | 3.3% | Information Technology | 3.6% | Information Technology | 11.2% | |||||||||||
Materials | 3.4% | Materials | 11.7% | Materials | 12.7% | |||||||||||
Telecommunication Services | 6.2% | Other | — | Real Estate Investment Trusts | — | |||||||||||
Utilities | 1.2% | Telecommunication Services | 7.6% | Telecommunication Services | — | |||||||||||
Utilities | 2.2% | Utilities | 0.7% | |||||||||||||
100.0% | 100.0% | 100.0% |
200
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
The Asia Pacific Small Company Series | The United Kingdom Small Company Series | The Continental Small Company Series | ||||||||||||||
Consumer Discretionary | 23.3% | Consumer Discretionary | 21.6% | Consumer Discretionary | 15.3% | |||||||||||
Consumer Staples | 4.8% | Consumer Staples | 4.4% | Consumer Staples | 7.0% | |||||||||||
Energy | 6.1% | Energy | 5.0% | Energy | 5.3% | |||||||||||
Financials | 12.6% | Financials | 13.5% | Financials | 16.6% | |||||||||||
Health Care | 4.8% | Health Care | 3.1% | Health Care | 8.5% | |||||||||||
Industrials | 21.5% | Industrials | 30.8% | Industrials | 25.2% | |||||||||||
Information Technology | 4.4% | Information Technology | 11.1% | Information Technology | 10.0% | |||||||||||
Materials | 17.0% | Materials | 5.6% | Materials | 8.7% | |||||||||||
Other | — | Other | — | Other | — | |||||||||||
Real Estate Investment Trusts | 0.1% | Telecommunication Services | 2.1% | Real Estate Investment Trusts | — | |||||||||||
Telecommunication Services | 1.8% | Utilities | 2.8% | Telecommunication Services | 1.2% | |||||||||||
Utilities | 3.6% | Utilities | 2.2% | |||||||||||||
100.0% | 100.0% | 100.0% | ||||||||||||||
The Canadian Small Company Series | The Emerging Markets Series | The Emerging Markets Small Cap Series | ||||||||||||||
Consumer Discretionary | 10.5% | Consumer Discretionary | 6.9% | Consumer Discretionary | 19.3% | |||||||||||
Consumer Staples | 2.6% | Consumer Staples | 9.3% | Consumer Staples | 10.5% | |||||||||||
Energy | 17.9% | Energy | 14.2% | Energy | 1.8% | |||||||||||
Financials | 6.8% | Financials | 21.4% | Financials | 17.0% | |||||||||||
Health Care | 4.5% | Health Care | 1.0% | Health Care | 4.9% | |||||||||||
Industrials | 9.6% | Industrials | 6.7% | Industrials | 17.0% | |||||||||||
Information Technology | 5.6% | Information Technology | 13.6% | Information Technology | 8.7% | |||||||||||
Materials | 41.3% | Materials | 13.6% | Materials | 15.9% | |||||||||||
Telecommunication Services | 0.3% | Other | — | Other | 0.1% | |||||||||||
Utilities | 0.9% | Real Estate Investment Trusts | — | Real Estate Investment Trusts | — | |||||||||||
Telecommunication Services | 9.9% | Telecommunication Services | 0.9% | |||||||||||||
100.0% | Utilities | 3.4% | Utilities | 3.9% | ||||||||||||
100.0% | 100.0% |
201
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||||||||||
COMMON STOCKS — (90.0%) | ||||||||||||||||||||
Consumer Discretionary — (16.4%) | ||||||||||||||||||||
#*Carnival Corp. | 2,792,987 | $ | 120,573,249 | 1.4% | ||||||||||||||||
CBS Corp. Class B | 3,870,469 | 65,527,040 | 0.7% | |||||||||||||||||
#*Comcast Corp. Class A | 11,535,742 | 237,405,570 | 2.7% | |||||||||||||||||
Comcast Corp. Special Class A | 3,843,964 | 74,303,824 | 0.8% | |||||||||||||||||
#*Liberty Media Corp. Interactive Class A | 3,585,265 | 52,918,511 | 0.6% | |||||||||||||||||
#*News Corp. Class A | 8,601,307 | 124,374,899 | 1.4% | |||||||||||||||||
#News Corp. Class B | 3,247,295 | 52,216,504 | 0.6% | |||||||||||||||||
*Time Warner Cable, Inc. | 2,004,056 | 115,974,721 | 1.3% | |||||||||||||||||
*Time Warner, Inc. | 6,251,359 | 203,231,681 | 2.3% | |||||||||||||||||
#Walt Disney Co. (The) | 3,195,385 | 115,385,352 | 1.3% | |||||||||||||||||
Other Securities | 436,691,700 | 5.0% | ||||||||||||||||||
Total Consumer Discretionary | 1,598,603,051 | 18.1% | ||||||||||||||||||
Consumer Staples — (7.0%) | ||||||||||||||||||||
*Archer-Daniels-Midland Co. | 2,712,432 | 90,378,234 | 1.0% | |||||||||||||||||
#*CVS Caremark Corp. | 6,345,280 | 191,119,834 | 2.2% | |||||||||||||||||
#Kraft Foods, Inc. | 5,204,766 | 167,957,799 | 1.9% | |||||||||||||||||
Other Securities | 236,916,702 | 2.7% | ||||||||||||||||||
Total Consumer Staples | 686,372,569 | 7.8% | ||||||||||||||||||
Energy — (14.0%) | ||||||||||||||||||||
#*Anadarko Petroleum Corp. | 2,760,568 | 169,968,172 | 1.9% | |||||||||||||||||
#Chesapeake Energy Corp. | 3,103,882 | 67,354,239 | 0.8% | |||||||||||||||||
*Chevron Corp. | 999,295 | 82,551,760 | 0.9% | |||||||||||||||||
#*ConocoPhillips | 5,935,876 | 352,591,034 | 4.0% | |||||||||||||||||
Hess Corp. | 1,348,669 | 85,006,607 | 1.0% | |||||||||||||||||
*Marathon Oil Corp. | 3,475,819 | 123,634,882 | 1.4% | |||||||||||||||||
National-Oilwell, Inc. | 1,945,893 | 104,611,208 | 1.2% | |||||||||||||||||
*Valero Energy Corp. | 2,637,648 | 47,345,782 | 0.5% | |||||||||||||||||
Other Securities | 333,750,889 | 3.8% | ||||||||||||||||||
Total Energy | 1,366,814,573 | 15.5% | ||||||||||||||||||
Financials — (19.2%) | ||||||||||||||||||||
*Bank of America Corp. | 19,776,300 | 226,240,872 | 2.6% | |||||||||||||||||
#*Capital One Financial Corp. | 2,303,387 | 85,847,234 | 1.0% | |||||||||||||||||
*Citigroup, Inc. | 66,697,025 | 278,126,594 | 3.1% | |||||||||||||||||
CME Group, Inc. | 293,931 | 85,137,114 | 1.0% | |||||||||||||||||
#*Hartford Financial Services Group, Inc. | 1,998,882 | 47,933,190 | 0.5% | |||||||||||||||||
*Loews Corp. | 2,592,160 | 102,338,477 | 1.2% | |||||||||||||||||
#*MetLife, Inc. | 4,397,300 | 177,343,109 | 2.0% | |||||||||||||||||
*Morgan Stanley | 2,707,152 | 67,326,870 | 0.8% | |||||||||||||||||
#*Prudential Financial, Inc. | 2,043,858 | 107,466,054 | 1.2% | |||||||||||||||||
#*SunTrust Banks, Inc. | 2,311,090 | 57,823,472 | 0.7% | |||||||||||||||||
#Travelers Cos., Inc. (The) | 1,196,594 | 66,051,989 | 0.7% | |||||||||||||||||
Other Securities | 576,347,243 | 6.5% | ||||||||||||||||||
Total Financials | 1,877,982,218 | 21.3% | ||||||||||||||||||
Health Care — (8.0%) | ||||||||||||||||||||
*Aetna, Inc. | 1,935,699 | 57,799,972 | 0.7% | |||||||||||||||||
*Pfizer, Inc. | 10,541,551 | 183,422,987 | 2.1% | |||||||||||||||||
*Thermo Fisher Scientific, Inc. | 1,915,352 | 98,487,400 | 1.1% | |||||||||||||||||
#UnitedHealth Group, Inc. | 2,647,609 | 95,446,304 | 1.1% | |||||||||||||||||
*WellPoint, Inc. | 2,580,122 | 140,203,829 | 1.6% | |||||||||||||||||
Other Securities | 205,647,709 | 2.3% | ||||||||||||||||||
Total Health Care | 781,008,201 | 8.9% | ||||||||||||||||||
202
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares | Value† | Percentage | ||||||||||||||||||
Industrials — (12.7%) | ||||||||||||||||||||
*CSX Corp. | 2,287,204 | $ | 140,548,686 | 1.6% | ||||||||||||||||
General Electric Co. | 19,264,818 | 308,622,384 | 3.5% | |||||||||||||||||
*Norfolk Southern Corp. | 2,186,220 | 134,430,668 | 1.5% | |||||||||||||||||
#*Northrop Grumman Corp. | 1,926,678 | 121,785,316 | 1.4% | |||||||||||||||||
*Southwest Airlines Co. | 4,316,432 | 59,394,104 | 0.7% | |||||||||||||||||
*Union Pacific Corp. | 2,835,808 | 248,643,645 | 2.8% | |||||||||||||||||
Other Securities | 224,330,398 | 2.5% | ||||||||||||||||||
Total Industrials | 1,237,755,201 | 14.0% | ||||||||||||||||||
Information Technology — (2.9%) | ||||||||||||||||||||
Other Securities | 287,523,914 | 3.3% | ||||||||||||||||||
Materials — (3.1%) | ||||||||||||||||||||
#*Alcoa, Inc. | 5,082,514 | 66,733,409 | 0.7% | |||||||||||||||||
*International Paper Co. | 2,298,491 | 58,105,852 | 0.7% | |||||||||||||||||
Other Securities | 178,601,082 | 2.0% | ||||||||||||||||||
Total Materials | 303,440,343 | 3.4% | ||||||||||||||||||
Telecommunication Services — (5.6%) | ||||||||||||||||||||
*AT&T, Inc. | 11,515,790 | 328,200,015 | 3.7% | |||||||||||||||||
#*CenturyLink, Inc. | 1,178,012 | 48,746,137 | 0.6% | |||||||||||||||||
*Sprint Nextel Corp. | 13,734,331 | 56,585,444 | 0.6% | |||||||||||||||||
*Verizon Communications, Inc. | 2,096,010 | 68,057,445 | 0.8% | |||||||||||||||||
Other Securities | 43,693,274 | 0.5% | ||||||||||||||||||
Total Telecommunication Services | 545,282,315 | 6.2% | ||||||||||||||||||
Utilities — (1.1%) | ||||||||||||||||||||
*Public Service Enterprise Group, Inc. | 1,668,763 | 53,984,483 | 0.6% | |||||||||||||||||
Other Securities | 51,447,310 | 0.6% | ||||||||||||||||||
Total Utilities | 105,431,793 | 1.2% | ||||||||||||||||||
TOTAL COMMON STOCKS | 8,790,214,178 | 99.7% | ||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional | 32,140,674 | 32,140,674 | 0.3% | |||||||||||||||||
Shares/ Face Amount | ||||||||||||||||||||
(000) | ||||||||||||||||||||
SECURITIES LENDING COLLATERAL — (9.7%) | ||||||||||||||||||||
§@DFA Short Term Investment Fund | 936,367,625 | 936,367,625 | 10.6% | |||||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, 11/01/10 (Collateralized by $4,388,158 FNMA 3.500%, 10/01/20, valued at $4,590,901) to be repurchased at $4,457,270 | $ | 4,457 | 4,457,185 | 0.1% | ||||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 940,824,810 | 10.7% | ||||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||||||||||||||
(Cost $7,923,085,138) | $ | 9,763,179,662 | 110.7% | |||||||||||||||||
203
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 1,598,603,051 | — | — | $ | 1,598,603,051 | ||||||||||
Consumer Staples | 686,372,569 | — | — | 686,372,569 | ||||||||||||
Energy | 1,366,814,573 | — | — | 1,366,814,573 | ||||||||||||
Financials | 1,877,982,218 | — | — | 1,877,982,218 | ||||||||||||
Health Care | 781,008,201 | — | — | 781,008,201 | ||||||||||||
Industrials | 1,237,755,201 | — | — | 1,237,755,201 | ||||||||||||
Information Technology | 287,523,914 | — | — | 287,523,914 | ||||||||||||
Materials | 303,440,343 | — | — | 303,440,343 | ||||||||||||
Telecommunication Services | 545,282,315 | — | — | 545,282,315 | ||||||||||||
Utilities | 105,431,793 | — | — | 105,431,793 | ||||||||||||
Temporary Cash Investments | 32,140,674 | — | — | 32,140,674 | ||||||||||||
Securities Lending Collateral | — | $ | 940,824,810 | — | 940,824,810 | |||||||||||
TOTAL | $ | 8,822,354,852 | $ | 940,824,810 | — | $ | 9,763,179,662 | |||||||||
See accompanying Notes to Financial Statements.
204
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||||
COMMON STOCKS — (85.2%) | ||||||||||||||||||||
AUSTRALIA — (5.0%) | ||||||||||||||||||||
Australia & New Zealand Banking Group, Ltd. | 2,206,006 | $ | 53,819,204 | 0.8% | ||||||||||||||||
#National Australia Bank, Ltd. | 2,107,947 | 52,758,343 | 0.8% | |||||||||||||||||
Wesfarmers, Ltd. | 2,331,991 | 75,875,057 | 1.1% | |||||||||||||||||
Other Securities | 224,889,210 | 3.2% | ||||||||||||||||||
TOTAL AUSTRALIA | 407,341,814 | 5.9% | ||||||||||||||||||
AUSTRIA — (0.4%) | ||||||||||||||||||||
Other Securities | 29,957,894 | 0.4% | ||||||||||||||||||
BELGIUM — (0.6%) | ||||||||||||||||||||
Other Securities | 46,661,837 | 0.7% | ||||||||||||||||||
CANADA — (9.6%) | ||||||||||||||||||||
#Encana Corp. | 2,051,015 | 57,936,800 | 0.9% | |||||||||||||||||
#Sun Life Financial, Inc. | 1,367,335 | 38,691,331 | 0.6% | |||||||||||||||||
#Suncor Energy, Inc. | 2,191,586 | 70,223,581 | 1.0% | |||||||||||||||||
#Talisman Energy, Inc. | 2,353,184 | 42,661,410 | 0.6% | |||||||||||||||||
Teck Resources, Ltd. Class B | 1,418,230 | 63,409,440 | 0.9% | |||||||||||||||||
#Thomson Reuters Corp. | 1,832,184 | 69,971,141 | 1.0% | |||||||||||||||||
#TransCanada Corp. | 1,941,948 | 71,725,837 | 1.0% | |||||||||||||||||
Other Securities | 358,917,190 | 5.2% | ||||||||||||||||||
TOTAL CANADA | 773,536,730 | 11.2% | ||||||||||||||||||
DENMARK — (1.3%) | ||||||||||||||||||||
Other Securities | 108,243,005 | 1.6% | ||||||||||||||||||
FINLAND — (0.8%) | ||||||||||||||||||||
Other Securities | 61,678,555 | 0.9% | ||||||||||||||||||
FRANCE — (7.0%) | ||||||||||||||||||||
AXA SA | 2,818,397 | 51,399,167 | 0.8% | |||||||||||||||||
BNP Paribas SA | 607,569 | 44,441,191 | 0.6% | |||||||||||||||||
Cie de Saint-Gobain SA | 875,747 | 41,144,800 | 0.6% | |||||||||||||||||
GDF Suez SA | 1,019,150 | 40,722,357 | 0.6% | |||||||||||||||||
Societe Generale Paris SA | 1,074,333 | 64,422,284 | 0.9% | |||||||||||||||||
Vivendi SA | 2,798,643 | 79,971,735 | 1.2% | |||||||||||||||||
Other Securities | 244,435,064 | 3.5% | ||||||||||||||||||
TOTAL FRANCE | 566,536,598 | 8.2% | ||||||||||||||||||
GERMANY — (7.9%) | ||||||||||||||||||||
Allianz SE. | 481,474 | 60,300,624 | 0.9% | |||||||||||||||||
Bayerische Motoren Werke AG | 915,762 | 65,634,885 | 1.0% | |||||||||||||||||
*Daimler AG | 2,088,586 | 138,020,977 | 2.0% | |||||||||||||||||
Deutsche Bank AG | 987,090 | 56,862,241 | 0.8% | |||||||||||||||||
Deutsche Telekom AG | 2,852,483 | 41,282,568 | 0.6% | |||||||||||||||||
#Deutsche Telekom AG Sponsored ADR | 3,099,741 | 44,667,268 | 0.6% | |||||||||||||||||
Munchener Rueckversicherungs-Gesellschaft AG | 412,644 | 64,496,557 | 0.9% | |||||||||||||||||
Other Securities | 169,733,757 | 2.5% | ||||||||||||||||||
TOTAL GERMANY | 640,998,877 | 9.3% | ||||||||||||||||||
GREECE — (0.1%) | ||||||||||||||||||||
Other Securities | 8,298,682 | 0.1% | ||||||||||||||||||
HONG KONG — (1.5%) | ||||||||||||||||||||
Hutchison Whampoa, Ltd. | 5,621,000 | 55,586,897 | 0.8% | |||||||||||||||||
Other Securities | 65,265,505 | 0.9% | ||||||||||||||||||
TOTAL HONG KONG | 120,852,402 | 1.7% | ||||||||||||||||||
205
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||||
IRELAND — (0.1%) | ||||||||||||||||||||
Other Securities | $ | 4,941,532 | 0.1% | |||||||||||||||||
ISRAEL — (0.4%) | ||||||||||||||||||||
Other Securities | 29,466,537 | 0.4% | ||||||||||||||||||
ITALY — (1.8%) | ||||||||||||||||||||
Intesa Sanpaolo SpA | 10,656,633 | 37,481,113 | 0.5% | |||||||||||||||||
#UniCredit SpA | 15,858,749 | 41,344,820 | 0.6% | |||||||||||||||||
Other Securities | 69,762,927 | 1.0% | ||||||||||||||||||
TOTAL ITALY | 148,588,860 | 2.1% | ||||||||||||||||||
JAPAN — (17.3%) | ||||||||||||||||||||
FUJIFILM Holdings Corp. | 1,327,000 | 44,270,853 | 0.6% | |||||||||||||||||
#Nissan Motor Co., Ltd. | 4,831,600 | 42,464,027 | 0.6% | |||||||||||||||||
#Sony Corp. Sponsored ADR | 1,801,665 | 60,968,344 | 0.9% | |||||||||||||||||
#Sumitomo Corp. | 3,241,900 | 41,045,075 | 0.6% | |||||||||||||||||
Other Securities | 1,210,511,398 | 17.5% | ||||||||||||||||||
TOTAL JAPAN | 1,399,259,697 | 20.2% | ||||||||||||||||||
MALAYSIA — (0.0%) | ||||||||||||||||||||
Other Securities | — | 0.0% | ||||||||||||||||||
NETHERLANDS — (3.3%) | ||||||||||||||||||||
#ArcelorMittal NV | 2,446,831 | 79,175,937 | 1.2% | |||||||||||||||||
*ING Groep NV | 3,356,113 | 35,906,230 | 0.5% | |||||||||||||||||
Koninklijke Philips Electronics NV | 2,087,065 | 63,660,707 | 0.9% | |||||||||||||||||
Other Securities | 84,238,184 | 1.2% | ||||||||||||||||||
TOTAL NETHERLANDS | 262,981,058 | 3.8% | ||||||||||||||||||
NEW ZEALAND — (0.1%) | ||||||||||||||||||||
Other Securities | 4,293,061 | 0.1% | ||||||||||||||||||
NORWAY — (1.0%) | ||||||||||||||||||||
Other Securities | 84,129,497 | 1.2% | ||||||||||||||||||
PORTUGAL — (0.1%) | ||||||||||||||||||||
Other Securities | 8,195,419 | 0.1% | ||||||||||||||||||
SINGAPORE — (1.4%) | ||||||||||||||||||||
Other Securities | 109,763,918 | 1.6% | ||||||||||||||||||
SPAIN — (2.1%) | ||||||||||||||||||||
#Repsol YPF SA Sponsored ADR | 1,432,181 | 39,657,092 | 0.6% | |||||||||||||||||
Other Securities | 130,802,294 | 1.9% | ||||||||||||||||||
TOTAL SPAIN | 170,459,386 | 2.5% | ||||||||||||||||||
SWEDEN — (2.6%) | ||||||||||||||||||||
#Nordea Bank AB | 5,498,608 | 60,543,289 | 0.9% | |||||||||||||||||
Other Securities | 150,105,334 | 2.1% | ||||||||||||||||||
TOTAL SWEDEN | 210,648,623 | 3.0% | ||||||||||||||||||
SWITZERLAND — (5.7%) | ||||||||||||||||||||
Compagnie Financiere Richemont SA Series A | 897,817 | 44,781,503 | 0.6% | |||||||||||||||||
Credit Suisse Group AG | 1,085,706 | 44,946,721 | 0.7% | |||||||||||||||||
#Holcim, Ltd. AG | 739,477 | 46,066,677 | 0.7% | |||||||||||||||||
Swiss Reinsurance Co., Ltd. AG | 931,611 | 44,761,229 | 0.6% | |||||||||||||||||
#*UBS AG | 3,710,052 | 63,024,671 | 0.9% | |||||||||||||||||
Zurich Financial Services AG | 322,634 | 78,954,165 | 1.1% | |||||||||||||||||
Other Securities | 141,879,887 | 2.1% | ||||||||||||||||||
TOTAL SWITZERLAND | 464,414,853 | 6.7% | ||||||||||||||||||
206
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | Percentage of Net Assets** | ||||||||||||||||||
UNITED KINGDOM — (15.1%) | ||||||||||||||||||||
Aviva P.L.C. | 7,396,866 | $ | 47,172,407 | 0.7% | ||||||||||||||||
#Barclays P.L.C. Sponsored ADR | 4,180,831 | 73,791,667 | 1.1% | |||||||||||||||||
International Power P.L.C. | 6,483,180 | 43,257,401 | 0.6% | |||||||||||||||||
Kingfisher P.L.C. | 10,285,817 | 39,184,977 | 0.6% | |||||||||||||||||
#Royal Dutch Shell P.L.C. ADR | 3,170,896 | 203,952,031 | 2.9% | |||||||||||||||||
Vodafone Group P.L.C. | 34,976,333 | 95,611,963 | 1.4% | |||||||||||||||||
#Vodafone Group P.L.C. Sponsored ADR | 8,066,329 | 221,904,711 | 3.2% | |||||||||||||||||
William Morrison Supermarkets P.L.C. | 8,127,143 | 38,248,483 | 0.5% | |||||||||||||||||
Xstrata P.L.C. | 3,843,909 | 74,469,535 | 1.1% | |||||||||||||||||
Other Securities | 384,330,100 | 5.6% | ||||||||||||||||||
TOTAL UNITED KINGDOM | 1,221,923,275 | 17.7% | ||||||||||||||||||
TOTAL COMMON STOCKS | 6,883,172,110 | 99.5% | ||||||||||||||||||
Face Amount | Value† | |||||||||||||||||||
(000) | ||||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.2%) | ||||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $21,850,000 FHLMC 4.00%, 12/15/38, valued at $20,355,375) to be repurchased at $19,298,306 | $ | 19,298 | 19,298,000 | 0.3% | ||||||||||||||||
Shares/ Face Amount | ||||||||||||||||||||
(000) | ||||||||||||||||||||
SECURITIES LENDING COLLATERAL — (14.6%) | ||||||||||||||||||||
§@DFA Short Term Investment Fund | 1,175,802,100 | 1,175,802,100 | 17.0% | |||||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $3,305,966)## to be repurchased at $3,241,202 | $ | 3,241 | 3,241,143 | 0.0% | ||||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 1,179,043,243 | 17.0% | ||||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||||||||||||||
(Cost $6,502,731,182) | $ | 8,081,513,353 | 116.8% | |||||||||||||||||
207
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 5,383,963 | $ | 401,957,851 | — | $ | 407,341,814 | |||||||||
Austria | — | 29,957,894 | — | 29,957,894 | ||||||||||||
Belgium | 3,727,334 | 42,934,503 | — | 46,661,837 | ||||||||||||
Canada | 773,536,730 | — | — | 773,536,730 | ||||||||||||
Denmark | — | 108,243,005 | — | 108,243,005 | ||||||||||||
Finland | 2,054,844 | 59,623,711 | — | 61,678,555 | ||||||||||||
France | 11,057,872 | 555,478,726 | — | 566,536,598 | ||||||||||||
Germany | 104,531,048 | 536,467,829 | — | 640,998,877 | ||||||||||||
Greece | 1,399,460 | 6,899,222 | — | 8,298,682 | ||||||||||||
Hong Kong | — | 120,852,402 | — | 120,852,402 | ||||||||||||
Ireland | 4,941,532 | — | — | 4,941,532 | ||||||||||||
Israel | 3,608,246 | 25,858,291 | — | 29,466,537 | ||||||||||||
Italy | 28,604,870 | 119,983,990 | — | 148,588,860 | ||||||||||||
Japan | 134,121,326 | 1,265,138,371 | — | 1,399,259,697 | ||||||||||||
Malaysia | — | — | — | — | ||||||||||||
Netherlands | 17,912,213 | 245,068,845 | — | 262,981,058 | ||||||||||||
New Zealand | — | 4,293,061 | — | 4,293,061 | ||||||||||||
Norway | 367,187 | 83,762,310 | — | 84,129,497 | ||||||||||||
Portugal | — | 8,195,419 | — | 8,195,419 | ||||||||||||
Singapore | — | 109,763,918 | — | 109,763,918 | ||||||||||||
Spain | 55,573,325 | 114,886,061 | — | 170,459,386 | ||||||||||||
Sweden | 10,464,260 | 200,184,363 | — | 210,648,623 | ||||||||||||
Switzerland | 50,892,561 | 413,522,292 | — | 464,414,853 | ||||||||||||
United Kingdom | 579,019,350 | 642,903,925 | — | 1,221,923,275 | ||||||||||||
Temporary Cash Investments | — | 19,298,000 | — | 19,298,000 | ||||||||||||
Securities Lending Collateral | — | 1,179,043,243 | — | 1,179,043,243 | ||||||||||||
TOTAL | $ | 1,787,196,121 | $ | 6,294,317,232 | — | $ | 8,081,513,353 | |||||||||
See accompanying Notes to Financial Statements.
208
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage of Net Assets** | ||||||||||||||||||
COMMON STOCKS — (87.6%) | ||||||||||||||||||||
Consumer Discretionary — (20.8%) | ||||||||||||||||||||
Aoyama Trading Co., Ltd. | 191,400 | $ | 3,117,117 | 0.3% | ||||||||||||||||
Exedy Corp. | 119,000 | 3,713,418 | 0.3% | |||||||||||||||||
#*Haseko Corp. | 3,508,000 | 3,009,187 | 0.3% | |||||||||||||||||
Kayaba Industry Co., Ltd. | 660,000 | 3,870,694 | 0.3% | |||||||||||||||||
K’s Holdings Corp. | 156,927 | 3,899,809 | 0.3% | |||||||||||||||||
#Nifco, Inc. | 162,700 | 4,093,473 | 0.3% | |||||||||||||||||
Sanrio Co., Ltd. | 181,700 | 3,871,427 | 0.3% | |||||||||||||||||
Shimachu Co., Ltd. | 145,700 | 2,985,858 | 0.2% | |||||||||||||||||
Toyobo Co., Ltd. | 2,084,000 | 3,473,499 | 0.3% | |||||||||||||||||
Other Securities | 252,875,512 | 20.9% | ||||||||||||||||||
Total Consumer Discretionary | 284,909,994 | 23.5% | ||||||||||||||||||
Consumer Staples — (8.6%) | ||||||||||||||||||||
#Megmilk Snow Brand Co., Ltd. | 178,400 | 3,151,536 | 0.2% | |||||||||||||||||
Morinaga Milk Industry Co., Ltd. | 843,000 | 3,439,085 | 0.3% | |||||||||||||||||
Other Securities | 111,091,940 | 9.2% | ||||||||||||||||||
Total Consumer Staples | 117,682,561 | 9.7% | ||||||||||||||||||
Energy — (0.9%) | ||||||||||||||||||||
Other Securities | 12,896,930 | 1.1% | ||||||||||||||||||
Financials — (9.1%) | ||||||||||||||||||||
Bank of Okinawa, Ltd. (The) | 88,100 | 3,389,540 | 0.3% | |||||||||||||||||
Century Tokyo Leasing Corp. | 260,590 | 3,759,430 | 0.3% | |||||||||||||||||
Hokkoku Bank, Ltd. (The) | 714,000 | 2,874,405 | 0.2% | |||||||||||||||||
Hyakugo Bank, Ltd. (The) | 656,609 | 2,764,094 | 0.2% | |||||||||||||||||
Kiyo Holdings, Inc. | 2,168,900 | 2,917,101 | 0.2% | |||||||||||||||||
Musashino Bank, Ltd. | 105,600 | 3,066,201 | 0.3% | |||||||||||||||||
Tokai Tokyo Financial Holdings, Inc. | 898,000 | 3,120,888 | 0.3% | |||||||||||||||||
Tokyo Tatemono Co., Ltd. | 908,000 | 3,658,692 | 0.3% | |||||||||||||||||
Other Securities | 99,413,439 | 8.2% | ||||||||||||||||||
Total Financials | 124,963,790 | 10.3% | ||||||||||||||||||
Health Care — (3.9%) | ||||||||||||||||||||
Kaken Pharmaceutical Co., Ltd. | 335,000 | 3,670,535 | 0.3% | |||||||||||||||||
#KYORIN Holdings, Inc. | 178,000 | 2,764,121 | 0.2% | |||||||||||||||||
Nihon Kohden Corp. | 151,200 | 2,874,009 | 0.3% | |||||||||||||||||
Nippon Shinyaku Co., Ltd. | 229,000 | 3,248,584 | 0.3% | |||||||||||||||||
Nipro Corp. | 180,100 | 3,671,774 | 0.3% | |||||||||||||||||
#Sawai Pharmaceutical Co., Ltd. | 41,500 | 3,627,965 | 0.3% | |||||||||||||||||
Other Securities | 34,031,234 | 2.8% | ||||||||||||||||||
Total Health Care | 53,888,222 | 4.5% | ||||||||||||||||||
Industrials — (22.7%) | ||||||||||||||||||||
#Asahi Diamond Industrial Co., Ltd. | 228,000 | 4,025,736 | 0.3% | |||||||||||||||||
*Duskin Co., Ltd. | 184,400 | 3,241,457 | 0.3% | |||||||||||||||||
#Hitachi Zosen Corp. | 2,175,500 | 3,134,938 | 0.3% | |||||||||||||||||
#Miura Co., Ltd. | 131,300 | 2,967,570 | 0.2% | |||||||||||||||||
*Sankyu, Inc. | 717,000 | 3,006,844 | 0.3% | |||||||||||||||||
Takara Standard Co., Ltd. | 483,000 | 2,970,009 | 0.2% | |||||||||||||||||
Other Securities | 291,980,548 | 24.1% | ||||||||||||||||||
Total Industrials | 311,327,102 | 25.7% | ||||||||||||||||||
Information Technology — (9.8%) | ||||||||||||||||||||
#Anritsu Corp. | 435,000 | 2,805,777 | 0.2% | |||||||||||||||||
*Dainippon Screen Manufacturing Co., Ltd. | 731,000 | 4,159,684 | 0.4% |
209
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | Percentage of Net Assets** | ||||||||||||||||||
Information Technology — (Continued) | ||||||||||||||||||||
Horiba, Ltd. | 120,500 | $ | 2,959,345 | 0.3% | ||||||||||||||||
IT Holdings Corp. | 262,401 | 2,897,221 | 0.2% | |||||||||||||||||
#Kakaku.com, Inc. | 573 | 2,765,044 | 0.2% | |||||||||||||||||
Nichicon Corp. | 258,800 | 2,877,646 | 0.2% | |||||||||||||||||
Ryosan Co., Ltd. | 122,000 | 3,004,852 | 0.3% | |||||||||||||||||
Other Securities | 112,666,126 | 9.3% | ||||||||||||||||||
Total Information Technology | 134,135,695 | 11.1% | ||||||||||||||||||
Materials — (11.2%) | ||||||||||||||||||||
Adeka Corp. | 331,700 | 3,535,829 | 0.3% | |||||||||||||||||
FP Corp. | 58,500 | 3,229,497 | 0.3% | |||||||||||||||||
#Kureha Corp. | 545,500 | 3,096,346 | 0.3% | |||||||||||||||||
Nihon Parkerizing Co., Ltd. | 230,000 | 3,013,274 | 0.2% | |||||||||||||||||
Nippon Denko Co., Ltd. | 372,000 | 2,756,092 | 0.2% | |||||||||||||||||
Nippon Paint Co., Ltd. | 691,200 | 5,107,460 | 0.4% | |||||||||||||||||
#NOF Corp. | 673,000 | 3,103,136 | 0.3% | |||||||||||||||||
#Pacific Metals Co., Ltd. | 341,000 | 2,835,502 | 0.2% | |||||||||||||||||
#*Taiheiyo Cement Corp. | 2,740,000 | 2,957,582 | 0.2% | �� | ||||||||||||||||
Toagosei Co., Ltd. | 897,000 | 3,933,092 | 0.3% | |||||||||||||||||
Tokai Carbon Co., Ltd. | 556,000 | 3,278,348 | 0.3% | |||||||||||||||||
Other Securities | 116,125,372 | 9.6% | ||||||||||||||||||
Total Materials | 152,971,530 | 12.6% | ||||||||||||||||||
Real Estate Investment Trusts — (0.0%) | ||||||||||||||||||||
Other Securities | 25,319 | 0.0% | ||||||||||||||||||
Telecommunication Services — (0.0%) | ||||||||||||||||||||
Other Securities | 481,027 | 0.0% | ||||||||||||||||||
Utilities — (0.6%) | ||||||||||||||||||||
#Saibu Gas Co., Ltd. | 1,268,000 | 3,614,327 | 0.3% | |||||||||||||||||
Other Securities | 5,093,434 | 0.4% | ||||||||||||||||||
Total Utilities | 8,707,761 | 0.7% | ||||||||||||||||||
TOTAL COMMON STOCKS | 1,201,989,931 | 99.2% | ||||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||||
Other Securities | — | 0.0% | ||||||||||||||||||
TOTAL RIGHTS/WARRANTS | — | 0.0% | ||||||||||||||||||
Face Amount | Value† | |||||||||||||||||||
(000) | ||||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.2%) | ||||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, | $ | 2,483 | 2,483,000 | 0.2% | ||||||||||||||||
Shares/ Face Amount | ||||||||||||||||||||
(000) | ||||||||||||||||||||
SECURITIES LENDING COLLATERAL — (12.2%) | ||||||||||||||||||||
§@DFA Short Term Investment Fund | 165,468,050 | 165,468,050 | 13.7% |
210
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares/ Face Amount | Value† | Percentage of Net Assets** | ||||||||||||||||||
(000) | ||||||||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, | $ | 2,740 | $ | 2,740,419 | 0.2% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 168,208,469 | 13.9% | ||||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||||||||||||||
(Cost $1,588,187,054) | $ | 1,372,681,400 | 113.3% | |||||||||||||||||
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 65,037 | $ | 284,844,957 | — | $ | 284,909,994 | |||||||||
Consumer Staples | — | 117,682,561 | — | 117,682,561 | ||||||||||||
Energy | — | 12,896,930 | — | 12,896,930 | ||||||||||||
Financials | — | 124,963,790 | — | 124,963,790 | ||||||||||||
Health Care | — | 53,888,222 | — | 53,888,222 | ||||||||||||
Industrials | 1,805,746 | 309,521,356 | — | 311,327,102 | ||||||||||||
Information Technology | — | 134,135,695 | — | 134,135,695 | ||||||||||||
Materials | 79,110 | 152,892,420 | — | 152,971,530 | ||||||||||||
Real Estate Investment Trusts | — | 25,319 | — | 25,319 | ||||||||||||
Telecommunication Services | — | 481,027 | — | 481,027 | ||||||||||||
Utilities | — | 8,707,761 | — | 8,707,761 | ||||||||||||
Rights/Warrants | — | — | — | — | ||||||||||||
Temporary Cash Investments | — | 2,483,000 | — | 2,483,000 | ||||||||||||
Securities Lending Collateral | — | 168,208,469 | — | 168,208,469 | ||||||||||||
TOTAL | $ | 1,949,893 | $ | 1,370,731,507 | — | $ | 1,372,681,400 | |||||||||
See accompanying Notes to Financial Statements.
211
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||||
COMMON STOCKS — (86.2%) | ||||||||||||||||||||
AUSTRALIA — (51.7%) | ||||||||||||||||||||
Adelaide Brighton, Ltd. | 1,781,776 | $ | 6,244,398 | 0.7 | % | |||||||||||||||
*Andean Resources, Ltd. | 1,464,837 | 9,136,669 | 1.0 | % | ||||||||||||||||
Ansell, Ltd. | 473,632 | 6,295,905 | 0.7 | % | ||||||||||||||||
APA Group, Ltd. | 1,702,846 | 6,518,392 | 0.7 | % | ||||||||||||||||
Australian Infrastructure Fund NL | 3,018,033 | 5,854,222 | 0.6 | % | ||||||||||||||||
Australian Pharmaceutical Industries, Ltd. | 8,248,388 | 4,170,326 | 0.5 | % | ||||||||||||||||
*AWB, Ltd. | 3,807,619 | 5,542,901 | 0.6 | % | ||||||||||||||||
Boart Longyear Group | 1,686,718 | 5,985,737 | 0.6 | % | ||||||||||||||||
Bradken, Ltd. | 589,828 | 4,743,303 | 0.5 | % | ||||||||||||||||
#Campbell Brothers, Ltd. | 290,863 | 10,019,193 | 1.1 | % | ||||||||||||||||
Challenger Financial Services Group, Ltd. | 1,750,037 | 7,893,293 | 0.8 | % | ||||||||||||||||
#ConnectEast Group, Ltd. | 13,951,937 | 5,936,849 | 0.6 | % | ||||||||||||||||
Consolidated Media Holdings, Ltd. | 1,225,674 | 4,026,953 | 0.4 | % | ||||||||||||||||
#David Jones, Ltd. | 1,447,885 | 6,744,051 | 0.7 | % | ||||||||||||||||
DUET Group, Ltd. | 3,300,250 | 5,624,843 | 0.6 | % | ||||||||||||||||
#Flight Centre, Ltd. | 192,954 | 4,317,514 | 0.5 | % | ||||||||||||||||
Goodman Fielder, Ltd. | 4,757,757 | 6,917,187 | 0.7 | % | ||||||||||||||||
Graincorp, Ltd Series A | 634,518 | 4,678,450 | 0.5 | % | ||||||||||||||||
#GUD Holdings, Ltd. | 387,740 | 3,972,190 | 0.4 | % | ||||||||||||||||
*Iluka Resources, Ltd. | 1,472,781 | 9,747,906 | 1.0 | % | ||||||||||||||||
#IOOF Holdings, Ltd. | 950,183 | 6,692,291 | 0.7 | % | ||||||||||||||||
#JB Hi-Fi, Ltd. | 379,557 | 7,396,694 | 0.8 | % | ||||||||||||||||
#*Karoon Gas Australia, Ltd. | 667,086 | 6,155,517 | 0.7 | % | ||||||||||||||||
#Kingsgate Consolidated, Ltd. | 409,970 | 4,028,563 | 0.4 | % | ||||||||||||||||
*Lynas Corp., Ltd. | 6,385,207 | 9,202,825 | 1.0 | % | ||||||||||||||||
Monadelphous Group, Ltd. | 302,955 | 4,963,891 | 0.5 | % | ||||||||||||||||
*Mount Gibson Iron, Ltd. | 2,962,399 | 5,885,580 | 0.6 | % | ||||||||||||||||
Navitas, Ltd. | 1,205,167 | 4,521,704 | 0.5 | % | ||||||||||||||||
*Pacific Brands, Ltd. | 4,412,120 | 4,698,942 | 0.5 | % | ||||||||||||||||
*PanAust, Ltd. | 8,757,197 | 6,425,678 | 0.7 | % | ||||||||||||||||
#Perpetual Trustees Australia, Ltd. | 145,492 | 5,401,823 | 0.6 | % | ||||||||||||||||
#*Perseus Mining, Ltd. | 1,377,405 | 4,047,188 | 0.4 | % | ||||||||||||||||
Primary Health Care, Ltd. | 1,717,450 | 5,255,394 | 0.6 | % | ||||||||||||||||
#Reece Australia, Ltd. | 238,457 | 5,205,510 | 0.6 | % | ||||||||||||||||
*Riversdale Mining, Ltd. | 816,637 | 8,595,557 | 0.9 | % | ||||||||||||||||
#SAI Global, Ltd. | 992,324 | 4,250,991 | 0.5 | % | ||||||||||||||||
#Seek, Ltd. | 666,916 | 4,729,187 | 0.5 | % | ||||||||||||||||
*Seven Group Holdings, Ltd. | 723,898 | 5,239,495 | 0.6 | % | ||||||||||||||||
Spark Infrastructure Group, Ltd. | 4,454,005 | 4,887,344 | 0.5 | % | ||||||||||||||||
*St. Barbara, Ltd. | 9,348,675 | 3,822,176 | 0.4 | % | ||||||||||||||||
Super Cheap Auto Group, Ltd. | 832,879 | 5,437,284 | 0.6 | % | ||||||||||||||||
#*Ten Network Holdings, Ltd. | 3,318,272 | 4,685,349 | 0.5 | % | ||||||||||||||||
Transfield Services, Ltd. | 1,322,886 | 4,492,942 | 0.5 | % | ||||||||||||||||
UGL, Ltd. | 332,576 | 4,807,541 | 0.5 | % | ||||||||||||||||
#West Australian Newspapers Holdings, Ltd. | 756,808 | 5,306,719 | 0.6 | % | ||||||||||||||||
Other Securities | 294,878,501 | 31.5 | % | |||||||||||||||||
TOTAL AUSTRALIA | 555,384,968 | 59.4 | % | |||||||||||||||||
HONG KONG — (19.2%) | ||||||||||||||||||||
Giordano International, Ltd. | 6,824,000 | 4,100,503 | 0.5 | % | ||||||||||||||||
Pacific Basin Shipping, Ltd. | 6,240,000 | 4,568,892 | 0.5 | % | ||||||||||||||||
#Techtronic Industries Co., Ltd. | 4,614,000 | 4,679,234 | 0.5 | % | ||||||||||||||||
Other Securities | 192,854,699 | 20.6 | % | |||||||||||||||||
TOTAL HONG KONG | 206,203,328 | 22.1 | % | |||||||||||||||||
MALAYSIA — (0.0%) | ||||||||||||||||||||
Other Securities | 4,146 | 0.0 | % | |||||||||||||||||
212
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||||
NEW ZEALAND — (5.0%) | ||||||||||||||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 2,402,700 | $ | 5,939,087 | 0.6% | ||||||||||||||||
Sky City Entertainment Group, Ltd. | 2,560,206 | 5,904,284 | 0.6% | |||||||||||||||||
Other Securities | 41,495,909 | 4.5% | ||||||||||||||||||
TOTAL NEW ZEALAND | 53,339,280 | 5.7% | ||||||||||||||||||
SINGAPORE — (10.3%) | ||||||||||||||||||||
Other Securities | 110,662,728 | 11.8% | ||||||||||||||||||
TOTAL COMMON STOCKS | 925,594,450 | 99.0% | ||||||||||||||||||
PREFERRED STOCKS — (0.1%) | ||||||||||||||||||||
AUSTRALIA — (0.1%) | ||||||||||||||||||||
Other Securities | 780,533 | 0.1% | ||||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||||
AUSTRALIA — (0.0%) | ||||||||||||||||||||
Other Securities | 20,891 | 0.0% | ||||||||||||||||||
HONG KONG — (0.0%) | ||||||||||||||||||||
Other Securities | 15,765 | 0.0% | ||||||||||||||||||
SINGAPORE — (0.0%) | ||||||||||||||||||||
Other Securities | 182,728 | 0.0% | ||||||||||||||||||
TOTAL RIGHTS/WARRANTS | 219,384 | 0.0% | ||||||||||||||||||
Face Amount | Value† | |||||||||||||||||||
(000) | ||||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.0%) | ||||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $80,000 FNMA 3.126%(r), 09/01/40,valued at $82,211) to be repurchased at $77,001 | $ | 77 | 77,000 | 0.0% | ||||||||||||||||
Shares/ Face Amount | ||||||||||||||||||||
(000) | ||||||||||||||||||||
SECURITIES LENDING COLLATERAL — (13.7%) | ||||||||||||||||||||
§@DFA Short Term Investment Fund | 146,838,427 | 146,838,427 | 15.7% | |||||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $370,085)## to be repurchased at $362,835 | $ | 363 | 362,828 | 0.0% | ||||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 147,201,255 | 15.7% | ||||||||||||||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||||||||||||||
(Cost $876,704,734) | $ | 1,073,872,622 | 114.8% | |||||||||||||||||
213
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 1,165,043 | $ | 554,219,925 | — | $ | 555,384,968 | |||||||||
Hong Kong | 405,141 | 205,798,187 | — | 206,203,328 | ||||||||||||
Malaysia | — | 4,146 | — | 4,146 | ||||||||||||
New Zealand | — | 53,339,280 | — | 53,339,280 | ||||||||||||
Singapore | 791,703 | 109,871,025 | — | 110,662,728 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Australia | — | 780,533 | — | 780,533 | ||||||||||||
Rights/Warrants | ||||||||||||||||
Australia | 4,411 | 16,480 | — | 20,891 | ||||||||||||
Hong Kong | 6,899 | 8,866 | — | 15,765 | ||||||||||||
Singapore | 178,498 | 4,230 | — | 182,728 | ||||||||||||
Temporary Cash Investments | — | 77,000 | — | 77,000 | ||||||||||||
Securities Lending Collateral | — | 147,201,255 | — | 147,201,255 | ||||||||||||
TOTAL | $ | 2,551,695 | $ | 1,071,320,927 | — | $ | 1,073,872,622 | |||||||||
See accompanying Notes to Financial Statements.
214
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage of Net Assets** | ||||||||||
COMMON STOCKS — (98.0%) | ||||||||||||
Consumer Discretionary — (21.1%) | ||||||||||||
Aegis Group P.L.C. | 3,149,142 | $ | 6,347,400 | 0.6% | ||||||||
Daily Mail & General Trust P.L.C. Series A | 939,198 | 8,093,650 | 0.8% | |||||||||
GKN P.L.C. | 3,830,675 | 10,884,024 | 1.0% | |||||||||
*Inchcape P.L.C. | 1,428,910 | 7,985,145 | 0.8% | |||||||||
Informa P.L.C. | 1,449,124 | 10,132,278 | 1.0% | |||||||||
*ITV P.L.C. | 6,035,176 | 6,610,726 | 0.6% | |||||||||
Thomas Cook Group P.L.C. | 2,420,264 | 7,015,506 | 0.7% | |||||||||
United Business Media P.L.C. | 864,643 | 9,112,387 | 0.9% | |||||||||
Other Securities | 155,308,325 | 15.0% | ||||||||||
Total Consumer Discretionary | 221,489,441 | 21.4% | ||||||||||
Consumer Staples — (4.4%) | ||||||||||||
Britvic P.L.C. | 834,762 | 6,452,199 | 0.6% | |||||||||
PZ Cussons P.L.C. | 1,298,024 | 8,383,476 | 0.8% | |||||||||
Tate & Lyle P.L.C. | 1,062,662 | 8,557,114 | 0.8% | |||||||||
Other Securities | 22,240,791 | 2.2% | ||||||||||
Total Consumer Staples | 45,633,580 | 4.4% | ||||||||||
Energy — (4.9%) | ||||||||||||
John Wood Group P.L.C. | 1,070,261 | 7,467,982 | 0.7% | |||||||||
*Premier Oil P.L.C. | 380,328 | 10,244,418 | 1.0% | |||||||||
Other Securities | 33,232,071 | 3.2% | ||||||||||
Total Energy | 50,944,471 | 4.9% | ||||||||||
Financials — (13.2%) | ||||||||||||
Aberdeen Asset Management P.L.C. | 2,558,118 | 7,286,080 | 0.7% | |||||||||
Amlin P.L.C. | 1,697,546 | 11,055,901 | 1.1% | |||||||||
Catlin Group, Ltd. P.L.C. | 1,219,427 | 6,808,962 | 0.7% | |||||||||
Close Brothers Group P.L.C. | 504,375 | 6,234,621 | 0.6% | |||||||||
Hiscox, Ltd. P.L.C. | 1,517,006 | 8,610,598 | 0.8% | |||||||||
IG Group Holdings P.L.C. | 1,241,907 | 10,506,913 | 1.0% | |||||||||
Other Securities | 88,142,014 | 8.5% | ||||||||||
Total Financials | 138,645,089 | 13.4% | ||||||||||
Health Care — (3.1%) | ||||||||||||
SSL International P.L.C. | 753,239 | 13,988,081 | 1.4% | |||||||||
Other Securities | 18,005,851 | 1.7% | ||||||||||
Total Health Care | 31,993,932 | 3.1% | ||||||||||
Industrials — (30.2%) | ||||||||||||
Babcock International Group P.L.C. | 1,286,052 | 11,951,794 | 1.1% | |||||||||
Balfour Beatty P.L.C. | 2,390,347 | 10,598,680 | 1.0% | |||||||||
Carillion P.L.C. | 1,523,518 | 8,415,082 | 0.8% | |||||||||
Charter International P.L.C. | 614,873 | 7,280,103 | 0.7% | |||||||||
*Cookson Group P.L.C. | 963,139 | 7,951,358 | 0.8% | |||||||||
Firstgroup P.L.C. | 1,591,971 | 10,410,372 | 1.0% | |||||||||
Hays P.L.C. | 4,753,935 | 8,419,027 | 0.8% | |||||||||
Homeserve P.L.C. | 1,100,525 | 7,992,806 | 0.8% | |||||||||
IMI P.L.C. | 1,191,221 | 15,063,796 | 1.5% | |||||||||
Intertek Group P.L.C. | 539,854 | 16,045,765 | 1.5% | |||||||||
Meggitt P.L.C. | 2,289,633 | 12,104,196 | 1.2% | |||||||||
Melrose P.L.C. | 1,598,881 | 7,213,870 | 0.7% | |||||||||
Michael Page International P.L.C. | 1,235,568 | 9,325,627 | 0.9% | |||||||||
Rotork P.L.C. | 348,025 | 9,332,212 | 0.9% | |||||||||
Spirax-Sarco Engineering P.L.C. | 301,608 | 8,735,351 | 0.8% | |||||||||
*Travis Perkins P.L.C. | 667,086 | 8,842,161 | 0.8% |
215
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | Percentage | ||||||||||
Industrials — (Continued) | ||||||||||||
Ultra Electronics Holdings P.L.C. | 267,145 | $ | 7,961,510 | 0.8% | ||||||||
Weir Group P.L.C. (The) | 362,747 | 9,053,724 | 0.9% | |||||||||
Other Securities | 139,720,768 | 13.5% | ||||||||||
Total Industrials | 316,418,202 | 30.5% | ||||||||||
Information Technology — (10.9%) | ||||||||||||
Aveva Group P.L.C. | 274,171 | 6,542,840 | 0.6% | |||||||||
Halma P.L.C. | 1,461,044 | 7,648,991 | 0.7% | |||||||||
Logica P.L.C. | 5,706,484 | 11,833,154 | 1.2% | |||||||||
*Misys P.L.C. | 1,833,430 | 8,254,976 | 0.8% | |||||||||
Spectris P.L.C. | 490,382 | 8,864,013 | 0.9% | |||||||||
Other Securities | 70,641,956 | 6.8% | ||||||||||
Total Information Technology | 113,785,930 | 11.0% | ||||||||||
Materials — (5.5%) | ||||||||||||
Croda International P.L.C. | 484,717 | 11,168,074 | 1.1% | |||||||||
Mondi P.L.C. | 1,078,021 | 8,976,093 | 0.9% | |||||||||
Victrex P.L.C. | 321,880 | 6,661,744 | 0.6% | |||||||||
Other Securities | 30,630,959 | 2.9% | ||||||||||
Total Materials | 57,436,870 | 5.5% | ||||||||||
Telecommunication Services — (2.0%) | ||||||||||||
*Cable & Wireless Communications P.L.C. | 8,687,193 | 7,446,715 | 0.7% | |||||||||
Other Securities | 13,913,823 | 1.3% | ||||||||||
Total Telecommunication Services | 21,360,538 | 2.0% | ||||||||||
Utilities — (2.7%) | ||||||||||||
*Drax Group P.L.C. | 1,259,220 | 7,673,881 | 0.8% | |||||||||
Northumbrian Water Group P.L.C. | 1,699,783 | 9,642,375 | 0.9% | |||||||||
Pennon Group P.L.C. | 1,133,145 | 11,308,526 | 1.1% | |||||||||
Other Securities | 194,931 | 0.0% | ||||||||||
Total Utilities | 28,819,713 | 2.8% | ||||||||||
TOTAL COMMON STOCKS | 1,026,527,766 | 99.0% | ||||||||||
PREFERRED STOCKS — (0.0%) | ||||||||||||
Consumer Staples — (0.0%) | ||||||||||||
Other Securities | 4,351 | 0.0% | ||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||
Other Securities | 41,892 | 0.0% | ||||||||||
Face Amount | Value† | |||||||||||
(000) | ||||||||||||
TEMPORARY CASH INVESTMENTS — (0.0%) | ||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, | $ | 3 | 3,000 | 0.0% | ||||||||
Shares/ Face Amount | ||||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (2.0%) | ||||||||||||
§@DFA Short Term Investment Fund | 19,629,803 | 19,629,803 | 1.9% |
216
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares/ | Value† | Percentage | ||||||||||
(000) | ||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $1,711,232)## to be repurchased at $1,677,709 | $ | 1,678 | $ | 1,677,678 | 0.2% | |||||||
TOTAL SECURITIES LENDING COLLATERAL | 21,307,481 | 2.1% | ||||||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||||||
(Cost $953,563,812) | $ | 1,047,884,490 | 101.1% | |||||||||
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||
Common Stocks | ||||||||||||||
Consumer Discretionary | $ | 743,701 | $ | 220,745,740 | — | $ | 221,489,441 | |||||||
Consumer Staples | 757,384 | 44,876,196 | — | 45,633,580 | ||||||||||
Energy | — | 50,944,471 | — | 50,944,471 | ||||||||||
Financials | 6,802 | 138,638,287 | — | 138,645,089 | ||||||||||
Health Care | — | 31,993,932 | — | 31,993,932 | ||||||||||
Industrials | 624,113 | 315,794,089 | — | 316,418,202 | ||||||||||
Information Technology | — | 113,785,930 | — | 113,785,930 | ||||||||||
Materials | — | 57,436,870 | — | 57,436,870 | ||||||||||
Telecommunication Services | — | 21,360,538 | — | 21,360,538 | ||||||||||
Utilities | — | 28,819,713 | — | 28,819,713 | ||||||||||
Preferred Stocks | ||||||||||||||
Consumer Staples | — | 4,351 | — | 4,351 | ||||||||||
Rights/Warrants | — | 41,892 | — | 41,892 | ||||||||||
Temporary Cash Investments | — | 3,000 | — | 3,000 | ||||||||||
Securities Lending Collateral | — | 21,307,481 | — | 21,307,481 | ||||||||||
TOTAL | $ | 2,132,000 | $ | 1,045,752,490 | — | $ | 1,047,884,490 | |||||||
See accompanying Notes to Financial Statements.
217
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||
COMMON STOCKS — (85.5%) | ||||||||||||||||||
AUSTRIA — (2.3%) | ||||||||||||||||||
Andritz AG | 116,739 | $ | 8,946,425 | 0.4% | ||||||||||||||
Other Securities | 47,555,943 | 2.3% | ||||||||||||||||
TOTAL AUSTRIA | 56,502,368 | 2.7% | ||||||||||||||||
BELGIUM — (3.4%) | ||||||||||||||||||
Ackermans & van Haaren NV | 81,854 | 7,061,891 | 0.3% | |||||||||||||||
Bekaert SA | 32,765 | 10,044,157 | 0.5% | |||||||||||||||
D’Ieteren SA | 12,906 | 7,043,989 | 0.3% | |||||||||||||||
Other Securities | 57,597,781 | 2.8% | ||||||||||||||||
TOTAL BELGIUM | 81,747,818 | 3.9% | ||||||||||||||||
DENMARK — (2.5%) | ||||||||||||||||||
Other Securities | 60,941,548 | 2.9% | ||||||||||||||||
FINLAND — (5.7%) | ||||||||||||||||||
KCI Konecranes Oyj | 232,703 | 9,278,182 | 0.5% | |||||||||||||||
Kesko Oyj | 138,078 | 6,852,025 | 0.3% | |||||||||||||||
Other Securities | 121,719,940 | 5.9% | ||||||||||||||||
TOTAL FINLAND | 137,850,147 | 6.7% | ||||||||||||||||
FRANCE — (11.0%) | ||||||||||||||||||
Arkema SA | 199,362 | 12,882,495 | 0.6% | |||||||||||||||
#Bourbon SA | 155,755 | 7,098,282 | 0.3% | |||||||||||||||
Gemalto NV | 149,247 | 6,801,849 | 0.3% | |||||||||||||||
#Neopost SA | 86,402 | 7,177,299 | 0.4% | |||||||||||||||
*Rhodia SA | 311,738 | 8,691,016 | 0.4% | |||||||||||||||
SEB SA | 87,918 | 8,430,197 | 0.4% | |||||||||||||||
Societe BIC SA | 84,787 | 7,526,006 | 0.4% | |||||||||||||||
*Valeo SA | 232,962 | 12,592,625 | 0.6% | |||||||||||||||
Zodiac Aerospace SA | 105,911 | 7,489,218 | 0.4% | |||||||||||||||
Other Securities | 187,174,892 | 9.0% | ||||||||||||||||
TOTAL FRANCE | 265,863,879 | 12.8% | ||||||||||||||||
GERMANY — (12.7%) | ||||||||||||||||||
*Aareal Bank AG | 302,222 | 7,378,490 | 0.3% | |||||||||||||||
#Aixtron AG | 314,748 | 10,249,247 | 0.5% | |||||||||||||||
#Aurubis AG | 144,707 | 7,460,677 | 0.4% | |||||||||||||||
Bilfinger Berger SE | 162,980 | 11,946,841 | 0.6% | |||||||||||||||
MTU Aero Engines Holding AG | 165,906 | 10,009,105 | 0.5% | |||||||||||||||
Rheinmetall AG | 111,360 | 8,031,101 | 0.4% | |||||||||||||||
Rhoen-Klinikum AG | 379,608 | 8,894,423 | 0.4% | |||||||||||||||
#*SGL Carbon SE | 217,830 | 8,077,263 | 0.4% | |||||||||||||||
Software AG | 70,053 | 9,809,297 | 0.5% | |||||||||||||||
Symrise AG | 278,877 | 8,494,967 | 0.4% | |||||||||||||||
Wincor Nixdorf AG | 112,151 | 8,204,044 | 0.4% | |||||||||||||||
Other Securities | 207,265,186 | 10.0% | ||||||||||||||||
TOTAL GERMANY | 305,820,641 | 14.8% | ||||||||||||||||
GREECE — (2.4%) | ||||||||||||||||||
Other Securities | 57,410,789 | 2.8% | ||||||||||||||||
IRELAND — (2.4%) | ||||||||||||||||||
DCC P.L.C. | 308,989 | 8,941,049 | 0.4% | |||||||||||||||
*Dragon Oil P.L.C. | 1,347,570 | 9,665,121 | 0.5% | |||||||||||||||
Paddy Power P.L.C. | 180,573 | 7,291,136 | 0.3% |
218
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
IRELAND — (Continued) | ||||||||||||||||||
Other Securities | $ | 32,432,703 | 1.6% | |||||||||||||||
TOTAL IRELAND | 58,330,009 | 2.8% | ||||||||||||||||
ISRAEL — (2.5%) | ||||||||||||||||||
Other Securities | 59,837,955 | 2.9% | ||||||||||||||||
ITALY — (7.4%) | ||||||||||||||||||
#Pirelli & Co. SpA | 782,291 | 6,684,015 | 0.3% | |||||||||||||||
Prysmian SpA | 542,696 | 10,518,765 | 0.5% | |||||||||||||||
Other Securities | 161,636,889 | 7.8% | ||||||||||||||||
TOTAL ITALY | 178,839,669 | 8.6% | ||||||||||||||||
NETHERLANDS — (4.9%) | ||||||||||||||||||
*Crucell NV | 230,971 | 7,476,179 | 0.4% | |||||||||||||||
#Imtech NV | 249,209 | 8,372,256 | 0.4% | |||||||||||||||
Nutreco NV | 136,273 | 9,927,338 | 0.5% | |||||||||||||||
SBM Offshore NV | 556,537 | 11,359,298 | 0.5% | |||||||||||||||
Other Securities | 80,715,939 | 3.9% | ||||||||||||||||
TOTAL NETHERLANDS | 117,851,010 | 5.7% | ||||||||||||||||
NORWAY — (2.9%) | ||||||||||||||||||
#TGS Nopec Geophysical Co. ASA | 404,241 | 7,005,340 | 0.3% | |||||||||||||||
Other Securities | 62,350,129 | 3.0% | ||||||||||||||||
TOTAL NORWAY | 69,355,469 | 3.3% | ||||||||||||||||
PORTUGAL — (0.9%) | ||||||||||||||||||
Other Securities | 22,377,327 | 1.1% | ||||||||||||||||
SPAIN — (5.2%) | ||||||||||||||||||
Ebro Foods SA | 312,280 | 6,867,586 | 0.3% | |||||||||||||||
Other Securities | 119,346,366 | 5.8% | ||||||||||||||||
TOTAL SPAIN | 126,213,952 | 6.1% | ||||||||||||||||
SWEDEN — (6.3%) | ||||||||||||||||||
#Elekta AB Series B | 302,500 | 11,441,870 | 0.6% | |||||||||||||||
Trelleborg AB Series B | 878,565 | 8,280,093 | 0.4% | |||||||||||||||
Other Securities | 133,282,089 | 6.4% | ||||||||||||||||
TOTAL SWEDEN | 153,004,052 | 7.4% | ||||||||||||||||
SWITZERLAND — (13.0%) | ||||||||||||||||||
Aryzta AG | 289,080 | 12,810,535 | 0.6% | |||||||||||||||
*Clariant AG | 877,755 | 14,844,717 | 0.7% | |||||||||||||||
#Galenica Holding AG | 17,786 | 8,595,752 | 0.4% | |||||||||||||||
*GAM Holding AG | 664,563 | 10,499,380 | 0.5% | |||||||||||||||
#*Logitech International SA | 590,988 | 11,204,264 | 0.5% | |||||||||||||||
Nobel Biocare Holding AG | 439,153 | 7,260,518 | 0.4% | |||||||||||||||
PSP Swiss Property AG | 141,111 | 10,844,983 | 0.5% | |||||||||||||||
Sulzer AG | 76,216 | 9,279,827 | 0.5% | |||||||||||||||
Swiss Life Holding AG | 66,645 | 8,155,630 | 0.4% | |||||||||||||||
#*Temenos Group AG | 198,827 | 6,664,445 | 0.3% | |||||||||||||||
#Valiant Holding AG | 45,484 | 7,107,562 | 0.4% | |||||||||||||||
Other Securities | 205,411,944 | 9.9% | ||||||||||||||||
TOTAL SWITZERLAND | 312,679,557 | 15.1% | ||||||||||||||||
TOTAL COMMON STOCKS | 2,064,626,190 | 99.6% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
AUSTRIA — (0.0%) | ||||||||||||||||||
Other Securities | 2,777 | 0.0% | ||||||||||||||||
219
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | Percentage | ||||||||||
BELGIUM — (0.0%) | ||||||||||||
Other Securities | $ | 1,158 | 0.0% | |||||||||
ITALY — (0.0%) | ||||||||||||
Other Securities | 21,088 | 0.0% | ||||||||||
TOTAL RIGHTS/WARRANTS | 25,023 | 0.0% | ||||||||||
Face Amount | Value† | |||||||||||
(000) | ||||||||||||
TEMPORARY CASH INVESTMENTS — (0.2%) | ||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $8,480,000 FNMA 5.50%, 12/01/38, valued at $4,364,113) to be repurchased at $4,298,068 | $4,298 | 4,298,000 | 0.2% | |||||||||
Shares/ Face Amount | ||||||||||
(000) | ||||||||||
SECURITIES LENDING COLLATERAL — (14.3%) | ||||||||||
§@DFA Short Term Investment Fund | 339,465,423 | 339,465,423 | 16.4% | |||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $5,121,648)## to be repurchased at $5,021,316 | $5,021 | 5,021,224 | 0.3% | |||||||
TOTAL SECURITIES LENDING COLLATERAL | 344,486,647 | 16.7% | ||||||||
TOTAL INVESTMENTS — (100.0%) (Cost $2,089,127,748) | $2,413,435,860 | 116.5% | ||||||||
220
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Austria | $ | 107,937 | $ | 56,394,431 | — | $ | 56,502,368 | |||||||||||
Belgium | 12 | 81,747,806 | — | 81,747,818 | ||||||||||||||
Denmark | 74,652 | 60,866,896 | — | 60,941,548 | ||||||||||||||
Finland | — | 137,850,147 | — | 137,850,147 | ||||||||||||||
France | 243,069 | 265,620,810 | — | 265,863,879 | ||||||||||||||
Germany | 116,993 | 305,703,648 | — | 305,820,641 | ||||||||||||||
Greece | 249,728 | 57,161,061 | — | 57,410,789 | ||||||||||||||
Ireland | 433,218 | 57,896,791 | — | 58,330,009 | ||||||||||||||
Israel | 4,001,787 | 55,836,168 | — | 59,837,955 | ||||||||||||||
Italy | — | 178,839,669 | — | 178,839,669 | ||||||||||||||
Netherlands | 1,759,091 | 116,091,919 | — | 117,851,010 | ||||||||||||||
Norway | — | 69,355,469 | — | 69,355,469 | ||||||||||||||
Portugal | 1,012,387 | 21,364,940 | — | 22,377,327 | ||||||||||||||
Spain | — | 126,213,952 | — | 126,213,952 | ||||||||||||||
Sweden | — | 153,004,052 | — | 153,004,052 | ||||||||||||||
Switzerland | 494,724 | 312,184,833 | — | 312,679,557 | ||||||||||||||
Rights/Warrants | ||||||||||||||||||
Austria | — | 2,777 | — | 2,777 | ||||||||||||||
Belgium | 1,050 | 108 | — | 1,158 | ||||||||||||||
Italy | 9,127 | 11,961 | — | 21,088 | ||||||||||||||
Temporary Cash Investments | — | 4,298,000 | — | 4,298,000 | ||||||||||||||
Securities Lending Collateral | — | 344,486,647 | — | 344,486,647 | ||||||||||||||
TOTAL | $ | 8,503,775 | $ | 2,404,932,085 | — | $ | 2,413,435,860 | |||||||||||
See accompanying Notes to Financial Statements.
221
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||
COMMON STOCKS — (79.4%) | ||||||||||||||||||
Consumer Discretionary — (8.3%) | ||||||||||||||||||
Astral Media, Inc. Class A | 186,347 | $ | 7,472,882 | 1.1% | ||||||||||||||
Corus Entertainment, Inc. Class B | 278,300 | 6,008,595 | 0.9% | |||||||||||||||
#Groupe Aeroplan, Inc. | 593,776 | 7,219,161 | 1.1% | |||||||||||||||
#*Imax Corp. | 270,137 | 5,861,488 | 0.9% | |||||||||||||||
#Quebecor, Inc. Class B | 159,493 | 5,753,258 | 0.9% | |||||||||||||||
*RONA, Inc. | 442,375 | 5,638,666 | 0.9% | |||||||||||||||
Other Securities | 31,398,080 | 4.7% | ||||||||||||||||
Total Consumer Discretionary | 69,352,130 | 10.5% | ||||||||||||||||
Consumer Staples — (2.0%) | ||||||||||||||||||
Other Securities | 16,936,325 | 2.6% | ||||||||||||||||
Energy — (14.2%) | ||||||||||||||||||
#*Bankers Petroleum, Ltd. | 759,182 | 5,322,239 | 0.8% | |||||||||||||||
*Crew Energy, Inc. | 268,096 | 5,183,698 | 0.8% | |||||||||||||||
#Progress Energy Resources Corp. | 387,604 | 4,115,846 | 0.6% | |||||||||||||||
ShawCor, Ltd. | 209,500 | 6,445,838 | 1.0% | |||||||||||||||
Trican Well Service, Ltd. | 494,693 | 8,575,519 | 1.3% | |||||||||||||||
#*Uranium One, Inc. | 1,819,900 | 7,440,909 | 1.1% | |||||||||||||||
Other Securities | 81,350,490 | 12.2% | ||||||||||||||||
Total Energy | 118,434,539 | 17.8% | ||||||||||||||||
Financials — (5.4%) | ||||||||||||||||||
AGF Management, Ltd. Class B | 330,879 | 5,375,689 | 0.8% | |||||||||||||||
#Canadian Western Bank | 226,200 | 5,624,504 | 0.8% | |||||||||||||||
#Home Capital Group, Inc. | 113,700 | 5,354,457 | 0.8% | |||||||||||||||
#TMX Group, Inc. | 194,874 | 6,481,151 | 1.0% | |||||||||||||||
Other Securities | 22,319,762 | 3.4% | ||||||||||||||||
Total Financials | 45,155,563 | 6.8% | ||||||||||||||||
Health Care — (3.6%) | ||||||||||||||||||
#*MDS, Inc. | 464,108 | 5,196,699 | 0.8% | |||||||||||||||
*SXC Health Solutions Corp. | 184,318 | 7,196,336 | 1.1% | |||||||||||||||
#Valeant Pharmaceuticals International, Inc. | 302,138 | 8,359,971 | 1.2% | |||||||||||||||
Other Securities | 9,196,218 | 1.4% | ||||||||||||||||
Total Health Care | 29,949,224 | 4.5% | ||||||||||||||||
Industrials — (7.6%) | ||||||||||||||||||
#CAE, Inc. | 358,590 | 4,022,227 | 0.6% | |||||||||||||||
IESI-BFC, Ltd. | 293,935 | 6,879,330 | 1.0% | |||||||||||||||
Russel Metals, Inc. | 229,900 | 4,526,318 | 0.7% | |||||||||||||||
*Stantec, Inc. | 159,195 | 4,400,144 | 0.7% | |||||||||||||||
#Superior Plus Corp. | 367,830 | 4,381,934 | 0.7% | |||||||||||||||
Toromont Industries, Ltd. | 262,959 | 7,495,066 | 1.1% | |||||||||||||||
Other Securities | 32,005,570 | 4.8% | ||||||||||||||||
Total Industrials | 63,710,589 | 9.6% | ||||||||||||||||
Information Technology — (4.5%) | ||||||||||||||||||
*Celestica, Inc. | 797,607 | 6,717,761 | 1.0% | |||||||||||||||
*MacDonald Dettweiler & Associates, Ltd. | 143,020 | 7,125,058 | 1.1% | |||||||||||||||
#*Open Text Corp. | 135,242 | 5,983,056 | 0.9% | |||||||||||||||
Other Securities | 17,352,359 | 2.6% | ||||||||||||||||
Total Information Technology | 37,178,234 | 5.6% | ||||||||||||||||
Materials — (32.8%) | ||||||||||||||||||
#Alamos Gold, Inc. | 396,920 | 6,145,080 | 0.9% |
222
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
Materials — (Continued) | ||||||||||||||||||
#*Consolidated Thompson Iron Mines, Ltd. | 656,633 | $ | 6,360,951 | 1.0% | ||||||||||||||
*Detour Gold Corp. | 237,256 | 6,929,950 | 1.0% | |||||||||||||||
#*Eastern Platinum, Ltd. | 2,845,360 | 5,189,106 | 0.8% | |||||||||||||||
#*Equinox Minerals, Ltd. | 1,652,990 | 8,978,885 | 1.4% | |||||||||||||||
#*Euro Goldfields, Ltd. | 494,960 | 6,687,468 | 1.0% | |||||||||||||||
#*Golden Star Resources, Ltd. | 870,710 | 4,567,407 | 0.7% | |||||||||||||||
#HudBay Minerals, Inc. | 498,098 | 7,862,906 | 1.2% | |||||||||||||||
*Lundin Mining Corp. | 1,147,100 | 7,265,679 | 1.1% | |||||||||||||||
Methanex Corp. | 359,200 | 10,002,236 | 1.5% | |||||||||||||||
*New Gold, Inc. | 908,957 | 6,728,724 | 1.0% | |||||||||||||||
#*Novagold Resources, Inc. | 499,855 | 5,606,767 | 0.8% | |||||||||||||||
#Pan Amer Silver Corp. | 220,900 | 7,067,327 | 1.1% | |||||||||||||||
#*Quadra FNX Mining, Ltd. | 543,917 | 7,679,581 | 1.2% | |||||||||||||||
#*SEMAFO, Inc. | 867,985 | 10,416,841 | 1.6% | |||||||||||||||
Sherritt International Corp. | 888,402 | 6,907,567 | 1.0% | |||||||||||||||
#*Silver Standard Resources, Inc. | 266,867 | 6,489,167 | 1.0% | |||||||||||||||
Silvercorp Metals, Inc. | 528,430 | 4,942,859 | 0.7% | |||||||||||||||
#*Taseko Mines, Ltd. | 649,000 | 4,104,373 | 0.6% | |||||||||||||||
#*Thompson Creek Metals Co., Inc. | 474,700 | 5,715,576 | 0.9% | |||||||||||||||
#West Fraser Timber Co., Ltd. | 123,716 | 5,373,683 | 0.8% | |||||||||||||||
#*Western Coal Corp. | 688,705 | 4,659,344 | 0.7% | |||||||||||||||
Other Securities | 128,192,410 | 19.3% | ||||||||||||||||
Total Materials | 273,873,887 | 41.3% | ||||||||||||||||
Telecommunication Services — (0.3%) | ||||||||||||||||||
Other Securities | 2,260,301 | 0.3% | ||||||||||||||||
Utilities — (0.7%) | ||||||||||||||||||
Other Securities | 6,102,692 | 0.9% | ||||||||||||||||
TOTAL COMMON STOCKS | 662,953,484 | 99.9% | ||||||||||||||||
Face Amount | Value† | |||||||||||||||||
(000) | ||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.1%) | ||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $585,000 FHLMC 5.00%, 10/15/19valued at $661,781) to be repurchased at $649,010 | $649 | 649,000 | 0.1% | |||||||||||||||
Shares/ Face Amount | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (20.5%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 168,636,615 | 168,636,615 | 25.4% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $2,868,042)## to be repurchased at $2,811,858 | $2,812 | 2,811,806 | 0.4% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 171,448,421 | 25.8% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) (Cost $792,036,344) | $ | 835,050,905 | 125.8% | |||||||||||||||
223
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Consumer Discretionary | $ | 69,352,130 | — | — | $ | 69,352,130 | ||||||||||||
Consumer Staples | 16,936,325 | — | — | 16,936,325 | ||||||||||||||
Energy | 118,434,539 | — | — | 118,434,539 | ||||||||||||||
Financials | 45,155,563 | — | — | 45,155,563 | ||||||||||||||
Health Care | 29,949,224 | — | — | 29,949,224 | ||||||||||||||
Industrials | 63,710,589 | — | — | 63,710,589 | ||||||||||||||
Information Technology | 37,178,234 | — | — | 37,178,234 | ||||||||||||||
Materials | 273,873,887 | — | — | 273,873,887 | ||||||||||||||
Telecommunication Services | 2,260,301 | — | — | 2,260,301 | ||||||||||||||
Utilities | 6,102,692 | — | — | 6,102,692 | ||||||||||||||
Temporary Cash Investments | — | $ | 649,000 | — | 649,000 | |||||||||||||
Securities Lending Collateral | — | 171,448,421 | — | 171,448,421 | ||||||||||||||
TOTAL | $ | 662,953,484 | $ | 172,097,421 | — | $ | 835,050,905 | |||||||||||
See accompanying Notes to Financial Statements.
224
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||||||
COMMON STOCKS — (84.7%) | ||||||||||||||||||
BRAZIL — (3.1%) | ||||||||||||||||||
Cia Siderurgica Nacional SA | 734,552 | $ | 12,161,171 | 0.5% | ||||||||||||||
Petroleo Brasilerio SA ADR | 1,009,389 | 34,440,353 | 1.4% | |||||||||||||||
Other Securities | 38,669,099 | 1.5% | ||||||||||||||||
TOTAL BRAZIL | 85,270,623 | 3.4% | ||||||||||||||||
CHILE — (2.0%) | ||||||||||||||||||
Other Securities | 53,671,271 | 2.1% | ||||||||||||||||
CHINA — (11.3%) | ||||||||||||||||||
Bank of China, Ltd. | 36,691,000 | 22,085,287 | 0.9% | |||||||||||||||
China Construction Bank Corp. | 21,737,000 | 20,780,648 | 0.8% | |||||||||||||||
#China Life Insurance Co., Ltd. ADR | 250,705 | 16,488,868 | 0.6% | |||||||||||||||
#China Mobile, Ltd. Sponsored ADR | 696,697 | 35,789,325 | 1.4% | |||||||||||||||
#CNOOC, Ltd. ADR | 68,756 | 14,364,504 | 0.6% | |||||||||||||||
Industrial & Commercial Bank of China, Ltd. Series H | 34,093,000 | 27,543,516 | 1.1% | |||||||||||||||
PetroChina Co., Ltd. ADR | 115,210 | 14,165,070 | 0.6% | |||||||||||||||
Tencent Holdings, Ltd. | 700,600 | 16,123,103 | 0.6% | |||||||||||||||
Other Securities | 136,946,084 | 5.4% | ||||||||||||||||
TOTAL CHINA | 304,286,405 | 12.0% | ||||||||||||||||
COLOMBIA — (0.3%) | ||||||||||||||||||
Other Securities | 7,472,398 | 0.3% | ||||||||||||||||
CZECH REPUBLIC — (0.7%) | ||||||||||||||||||
CEZ A.S. | 254,916 | 11,272,835 | 0.4% | |||||||||||||||
Other Securities | 7,245,270 | 0.3% | ||||||||||||||||
TOTAL CZECH REPUBLIC | 18,518,105 | 0.7% | ||||||||||||||||
EGYPT — (0.1%) | ||||||||||||||||||
Other Securities | 3,589,496 | 0.1% | ||||||||||||||||
HUNGARY — (1.0%) | ||||||||||||||||||
Other Securities | 26,401,798 | 1.0% | ||||||||||||||||
INDIA — (10.8%) | ||||||||||||||||||
HDFC Bank, Ltd. | 378,035 | 19,427,251 | 0.8% | |||||||||||||||
Infosys Technologies, Ltd. | 398,967 | 26,735,874 | 1.1% | |||||||||||||||
#Infosys Technologies, Ltd. Sponsored ADR | 233,496 | 15,746,970 | 0.6% | |||||||||||||||
ITC, Ltd. | 3,212,684 | 12,399,207 | 0.5% | |||||||||||||||
Larsen & Toubro, Ltd. | 282,173 | 12,860,404 | 0.5% | |||||||||||||||
Reliance Industries, Ltd. | 1,898,511 | 46,866,998 | 1.8% | |||||||||||||||
Tata Consultancy Services, Ltd. | 641,575 | 15,223,695 | 0.6% | |||||||||||||||
Other Securities | 142,815,741 | 5.6% | ||||||||||||||||
TOTAL INDIA | 292,076,140 | 11.5% | ||||||||||||||||
INDONESIA — (2.8%) | ||||||||||||||||||
PT Astra International Tbk | 2,821,561 | 18,065,369 | 0.7% | |||||||||||||||
PT Telekomunikasi Indonesia Tbk | 13,911,140 | 14,122,335 | 0.6% | |||||||||||||||
Other Securities | 43,866,000 | 1.7% | ||||||||||||||||
TOTAL INDONESIA | 76,053,704 | 3.0% | ||||||||||||||||
ISRAEL — (0.0%) | ||||||||||||||||||
Other Securities | 38 | 0.0% | ||||||||||||||||
MALAYSIA — (4.5%) | ||||||||||||||||||
CIMB Group Holdings Berhad | 5,354,954 | 14,300,384 | 0.6% |
225
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
MALAYSIA — (Continued) | ||||||||||||||||||
Other Securities | $ | 106,241,503 | 4.2% | |||||||||||||||
TOTAL MALAYSIA | 120,541,887 | 4.8% | ||||||||||||||||
MEXICO — (6.7%) | ||||||||||||||||||
America Movil S.A.B. de C.V. Series L | 23,307,621 | 66,725,332 | 2.7% | |||||||||||||||
#Fomento Economico Mexicano S.A.B. de C.V. Series B & D | 2,109,900 | 11,602,058 | 0.5% | |||||||||||||||
Grupo Mexico S.A.B. de C.V. Series B | 4,075,517 | 13,426,630 | 0.5% | |||||||||||||||
#Wal-Mart de Mexico S.A.B. de C.V. Series V | 8,551,980 | 23,402,284 | 0.9% | |||||||||||||||
Other Securities | 66,525,865 | 2.6% | ||||||||||||||||
TOTAL MEXICO | 181,682,169 | 7.2% | ||||||||||||||||
PERU — (0.4%) | ||||||||||||||||||
Other Securities | 9,785,049 | 0.4% | ||||||||||||||||
PHILIPPINES — (0.6%) | ||||||||||||||||||
Other Securities | 15,583,766 | 0.6% | ||||||||||||||||
POLAND — (1.4%) | ||||||||||||||||||
Other Securities | 39,187,798 | 1.5% | ||||||||||||||||
RUSSIA — (4.0%) | ||||||||||||||||||
Gazprom OAO Sponsored ADR | 1,743,505 | 38,174,119 | 1.5% | |||||||||||||||
Lukoil OAO Sponsored ADR | 354,178 | 19,750,701 | 0.8% | |||||||||||||||
Other Securities | 49,770,935 | 2.0% | ||||||||||||||||
TOTAL RUSSIA | 107,695,755 | 4.3% | ||||||||||||||||
SOUTH AFRICA — (7.9%) | ||||||||||||||||||
Impala Platinum Holdings, Ltd. | 478,692 | 13,514,497 | 0.5% | |||||||||||||||
MTN Group, Ltd. | 1,659,950 | 29,395,910 | 1.2% | |||||||||||||||
Naspers, Ltd. Series N | 324,237 | 16,882,139 | 0.7% | |||||||||||||||
#Sasol, Ltd. Sponsored ADR | 920,291 | 41,643,168 | 1.6% | |||||||||||||||
Standard Bank Group, Ltd. | 861,864 | 12,676,857 | 0.5% | |||||||||||||||
Other Securities | 100,238,872 | 4.0% | ||||||||||||||||
TOTAL SOUTH AFRICA | 214,351,443 | 8.5% | ||||||||||||||||
SOUTH KOREA — (12.0%) | ||||||||||||||||||
#Hyundai Heavy Industries Co., Ltd. | 47,395 | 15,460,234 | 0.6% | |||||||||||||||
Hyundai Mobis | 53,070 | 13,216,066 | 0.5% | |||||||||||||||
Hyundai Motor Co., Ltd. | 95,919 | 14,520,680 | 0.6% | |||||||||||||||
#POSCO | 46,060 | 19,010,253 | 0.8% | |||||||||||||||
Samsung Electronics Co., Ltd. | 97,139 | 64,444,531 | 2.5% | |||||||||||||||
Samsung Electronics Co., Ltd. GDR | 49,372 | 16,479,096 | 0.7% | |||||||||||||||
Other Securities | 180,231,033 | 7.1% | ||||||||||||||||
TOTAL SOUTH KOREA | 323,361,893 | 12.8% | ||||||||||||||||
TAIWAN — (10.8%) | ||||||||||||||||||
Formosa Chemicals & Fiber Co., Ltd. | 4,232,445 | 12,103,668 | 0.5% | |||||||||||||||
Formosa Plastics Corp. | 5,051,648 | 14,473,970 | 0.6% | |||||||||||||||
Hon Hai Precision Industry Co., Ltd. | 5,190,997 | 19,632,544 | 0.8% | |||||||||||||||
#HTC Corp. | 553,558 | 12,553,253 | 0.5% | |||||||||||||||
Nan Ya Plastic Corp. | 6,817,564 | 15,144,810 | 0.6% | |||||||||||||||
#Taiwan Semiconductor Manufacturing Co., Ltd. | 22,386,808 | 46,056,661 | 1.8% | |||||||||||||||
Other Securities | 173,173,003 | 6.8% | ||||||||||||||||
TOTAL TAIWAN | 293,137,909 | 11.6% | ||||||||||||||||
THAILAND — (1.9%) | ||||||||||||||||||
Other Securities | 52,250,619 | 2.1% | ||||||||||||||||
226
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
TURKEY — (2.4%) | ||||||||||||||||||
Turkiye Garanti Bankasi A.S. | 2,842,585 | $ 17,159,207 | 0.7% | |||||||||||||||
Other Securities | 47,443,189 | 1.9% | ||||||||||||||||
TOTAL TURKEY | 64,602,396 | 2.6% | ||||||||||||||||
TOTAL COMMON STOCKS | 2,289,520,662 | 90.5% | ||||||||||||||||
PREFERRED STOCKS — (8.7%) | ||||||||||||||||||
BRAZIL — (8.7%) | ||||||||||||||||||
Banco Bradesco SA | 1,584,132 | 32,459,659 | 1.3% | |||||||||||||||
Cia de Bebidas das Americas SA Preferred ADR | 151,600 | 21,108,784 | 0.8% | |||||||||||||||
Itau Unibanco Holding SA | 1,765,755 | 42,682,192 | 1.7% | |||||||||||||||
Petroleo Brasilerio SA ADR | 1,376,550 | 42,934,594 | 1.7% | |||||||||||||||
Vale SA Series A | 1,412,691 | 39,672,996 | 1.6% | |||||||||||||||
Other Securities | 56,392,921 | 2.2% | ||||||||||||||||
TOTAL BRAZIL | 235,251,146 | 9.3% | ||||||||||||||||
TOTAL PREFERRED STOCKS | 235,251,146 | 9.3% | ||||||||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||||||||
CHINA — (0.0%) | ||||||||||||||||||
Other Securities | 1,932 | 0.0% | ||||||||||||||||
TAIWAN — (0.0%) | ||||||||||||||||||
Other Securities | 6,600 | 0.0% | ||||||||||||||||
TOTAL RIGHTS/WARRANTS | 8,532 | 0.0% | ||||||||||||||||
Face Amount | Value† | |||||||||||||||||
(000) | ||||||||||||||||||
TEMPORARY CASH INVESTMENTS — (0.6%) | ||||||||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $13,610,000 FHLMC 5.00%, 10/15/19, valued at $15,396,313) to be repurchased at $15,165,240 | $15,165 | 15,165,000 | 0.6% | |||||||||||||||
Shares/ Face Amount | ||||||||||||||||||
(000) | ||||||||||||||||||
SECURITIES LENDING COLLATERAL — (6.0%) | ||||||||||||||||||
§@DFA Short Term Investment Fund | 162,574,034 | 162,574,034 | 6.4% | |||||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $906,014)## to be repurchased at $888,265 | $888 | 888,249 | 0.1% | |||||||||||||||
TOTAL SECURITIES LENDING COLLATERAL | 163,462,283 | 6.5% | ||||||||||||||||
TOTAL INVESTMENTS — (100.0%) (Cost $1,331,491,186) | $2,703,407,623 | 106.9% | ||||||||||||||||
227
THE EMERGING MARKETS SERIES
CONTINUED
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Brazil | $ | 85,270,623 | — | — | $ | 85,270,623 | ||||||||||||
Chile | 53,671,271 | — | — | 53,671,271 | ||||||||||||||
China | 95,237,645 | $ | 209,048,760 | — | 304,286,405 | |||||||||||||
Colombia | 7,472,398 | — | — | 7,472,398 | ||||||||||||||
Czech Republic | — | 18,518,105 | — | 18,518,105 | ||||||||||||||
Egypt | — | 3,589,496 | — | 3,589,496 | ||||||||||||||
Hungary | — | 26,401,798 | — | 26,401,798 | ||||||||||||||
India | 25,482,298 | 266,593,842 | — | 292,076,140 | ||||||||||||||
Indonesia | — | 76,053,704 | — | 76,053,704 | ||||||||||||||
Israel | — | 38 | — | 38 | ||||||||||||||
Malaysia | 10,037 | 120,531,850 | — | 120,541,887 | ||||||||||||||
Mexico | 181,674,371 | 7,798 | — | 181,682,169 | ||||||||||||||
Peru | 9,785,049 | — | — | 9,785,049 | ||||||||||||||
Philippines | — | 15,583,766 | — | 15,583,766 | ||||||||||||||
Poland | — | 39,187,798 | — | 39,187,798 | ||||||||||||||
Russia | 153,300 | 107,542,455 | — | 107,695,755 | ||||||||||||||
South Africa | 61,497,185 | 152,854,258 | — | 214,351,443 | ||||||||||||||
South Korea | 3,515,103 | 319,846,790 | — | 323,361,893 | ||||||||||||||
Taiwan | 10,914,911 | 282,222,998 | — | 293,137,909 | ||||||||||||||
Thailand | 52,250,619 | — | — | 52,250,619 | ||||||||||||||
Turkey | — | 64,602,396 | — | 64,602,396 | ||||||||||||||
Preferred Stocks | ||||||||||||||||||
Brazil | 235,251,146 | — | — | 235,251,146 | ||||||||||||||
Rights/Warrants | ||||||||||||||||||
China | — | 1,932 | — | 1,932 | ||||||||||||||
Taiwan | — | 6,600 | — | 6,600 | ||||||||||||||
Temporary Cash Investments | — | 15,165,000 | — | 15,165,000 | ||||||||||||||
Securities Lending Collateral | — | 163,462,283 | — | 163,462,283 | ||||||||||||||
TOTAL | $ | 822,185,956 | $ | 1,881,221,667 | — | $ | 2,703,407,623 | |||||||||||
See accompanying Notes to Financial Statements.
228
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||||
COMMON STOCKS — (88.0%) | ||||||||||||||
ARGENTINA — (0.0%) | ||||||||||||||
Other Securities | $ | — | 0.0% | |||||||||||
BRAZIL — (7.5%) | ||||||||||||||
BR Malls Participacoes SA | 567,258 | 5,327,948 | 0.3% | |||||||||||
Diagnosticos Da America SA | 507,200 | 6,159,901 | 0.3% | |||||||||||
Duratex SA | 624,462 | 7,198,409 | 0.4% | |||||||||||
*Lojas Renner SA | 273,700 | 10,859,144 | 0.6% | |||||||||||
PDG Realty SA Empreendimentos e Participacoes | 459,817 | 5,692,612 | 0.3% | |||||||||||
Sul America SA | 344,448 | 4,049,589 | 0.2% | |||||||||||
Totvs SA | 49,764 | 4,516,018 | 0.2% | |||||||||||
Other Securities | 111,262,919 | 5.9% | ||||||||||||
TOTAL BRAZIL | 155,066,540 | 8.2% | ||||||||||||
CHILE — (2.5%) | ||||||||||||||
Corpbanca SA | 285,638,523 | 4,493,486 | 0.3% | |||||||||||
*Empresas La Polar SA | 801,254 | 5,715,006 | 0.3% | |||||||||||
Other Securities | 41,816,909 | 2.2% | ||||||||||||
TOTAL CHILE | 52,025,401 | 2.8% | ||||||||||||
CHINA — (12.2%) | ||||||||||||||
#*Brilliance China Automotive Holdings, Ltd. | 12,088,000 | 10,635,308 | 0.6% | |||||||||||
China Yurun Food Group, Ltd. | 1,688,000 | 6,555,071 | 0.4% | |||||||||||
ENN Energy Holdings, Ltd. | 2,178,000 | 6,519,695 | 0.3% | |||||||||||
#*Hunan Non-Ferrous Metal Corp., Ltd. | 8,774,000 | 3,944,343 | 0.2% | |||||||||||
#*Semiconductor Manufacturing International Corp. | 93,483,000 | 7,834,980 | 0.4% | |||||||||||
#Skyworth Digital Holdings, Ltd. | 6,672,815 | 3,915,246 | 0.2% | |||||||||||
Other Securities | 212,074,509 | 11.3% | ||||||||||||
TOTAL CHINA | 251,479,152 | 13.4% | ||||||||||||
HUNGARY — (0.2%) | ||||||||||||||
Other Securities | 3,422,269 | 0.2% | ||||||||||||
INDIA — (12.0%) | ||||||||||||||
Bhushan Steel, Ltd. | 391,545 | 4,382,078 | 0.2% | |||||||||||
LIC Housing Finance, Ltd. | 148,431 | 4,477,435 | 0.2% | |||||||||||
Shriram Transport Finance Co., Ltd. | 260,052 | 5,166,633 | 0.3% | |||||||||||
Other Securities | 234,355,119 | 12.5% | ||||||||||||
TOTAL INDIA | 248,381,265 | 13.2% | ||||||||||||
INDONESIA — (3.7%) | ||||||||||||||
PT Charoen Pokphand Indonesia Tbk | 6,835,500 | 6,559,173 | 0.4% | |||||||||||
PT Kalbe Farma Tbk | 14,904,238 | 4,476,715 | 0.2% | |||||||||||
Other Securities | 66,018,951 | 3.5% | ||||||||||||
TOTAL INDONESIA | 77,054,839 | 4.1% | ||||||||||||
ISRAEL — (0.0%) | ||||||||||||||
Other Securities | 790,735 | 0.0% | ||||||||||||
MALAYSIA — (5.0%) | ||||||||||||||
Other Securities | 103,078,350 | 5.5% | ||||||||||||
MEXICO — (3.8%) | ||||||||||||||
#Banco Compartamos S.A. de C.V. | 612,400 | 4,314,772 | 0.2% | |||||||||||
#*Corporacion GEO S.A.B. de C.V. Series B | 1,330,000 | 4,222,222 | 0.2% | |||||||||||
#Embotelladora Arca S.A.B. de C.V. | 1,909,100 | 7,885,010 | 0.4% | |||||||||||
#*Empresas ICA S.A.B. de C.V. Sponsored ADR | 681,589 | 7,183,948 | 0.4% | |||||||||||
Grupo Continental S.A.B. de C.V. | 3,036,559 | 8,557,844 | 0.5% |
229
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | Percentage | ||||||||||||||||
MEXICO — (Continued) | ||||||||||||||||||
#*Industrias CH S.A.B. de C.V. Series B | 1,172,808 | $ | 4,226,592 | 0.2% | ||||||||||||||
#TV Azteca S.A.B. de C.V. Series A | 6,581,300 | 4,940,772 | 0.3% | |||||||||||||||
Other Securities | 36,696,292 | 1.9% | ||||||||||||||||
TOTAL MEXICO | 78,027,452 | 4.1% | ||||||||||||||||
PHILIPPINES — (2.3%) | ||||||||||||||||||
Aboitiz Equity Ventures, Inc. | 6,767,000 | 5,276,577 | 0.3% | |||||||||||||||
Other Securities | 41,813,722 | 2.2% | ||||||||||||||||
TOTAL PHILIPPINES | 47,090,299 | 2.5% | ||||||||||||||||
POLAND — (2.2%) | ||||||||||||||||||
Other Securities | 45,259,624 | 2.4% | ||||||||||||||||
SOUTH AFRICA — (8.6%) | ||||||||||||||||||
Adcock Ingram Holdings, Ltd. | 565,230 | 5,239,226 | 0.3% | |||||||||||||||
*Aveng, Ltd. | 981,591 | 6,169,886 | 0.3% | |||||||||||||||
Barloworld, Ltd. | 579,959 | 4,344,138 | 0.2% | |||||||||||||||
Clicks Group, Ltd. | 918,874 | 5,984,671 | 0.3% | |||||||||||||||
Foschini Group, Ltd. (The) | 672,822 | 8,160,841 | 0.4% | |||||||||||||||
Grindrod, Ltd. | 1,607,864 | 3,896,553 | 0.2% | |||||||||||||||
Imperial Holdings, Ltd. | 422,517 | 6,904,540 | 0.4% | |||||||||||||||
JD Group, Ltd. | 983,807 | 6,913,498 | 0.4% | |||||||||||||||
Metropolitan Holdings, Ltd. | 2,025,393 | 4,888,202 | 0.3% | |||||||||||||||
Mr. Price Group, Ltd. | 693,186 | 6,263,264 | 0.3% | |||||||||||||||
Reunert, Ltd. | 594,843 | 5,436,191 | 0.3% | |||||||||||||||
Spar Group, Ltd. (The) | 622,477 | 8,462,463 | 0.5% | |||||||||||||||
Tongaat-Hulett, Ltd. | 629,016 | 8,799,490 | 0.5% | |||||||||||||||
Woolworths Holdings, Ltd. | 1,831,592 | 7,176,559 | 0.4% | |||||||||||||||
Other Securities | 89,316,610 | 4.7% | ||||||||||||||||
TOTAL SOUTH AFRICA | 177,956,132 | 9.5% | ||||||||||||||||
SOUTH KOREA — (11.3%) | ||||||||||||||||||
Busan Bank | 401,750 | 5,005,650 | 0.3% | |||||||||||||||
Daegu Bank, Ltd. | 315,263 | 4,136,509 | 0.2% | |||||||||||||||
#Hanwha Chemical Corp. | 187,517 | 5,106,807 | 0.3% | |||||||||||||||
Hyundai Securities Co. | 300,510 | 3,938,888 | 0.2% | |||||||||||||||
Other Securities | 216,279,152 | 11.5% | ||||||||||||||||
TOTAL SOUTH KOREA | 234,467,006 | 12.5% | ||||||||||||||||
TAIWAN — (10.8%) | ||||||||||||||||||
Other Securities | 223,970,240 | 11.9% | ||||||||||||||||
THAILAND — (3.3%) | ||||||||||||||||||
Other Securities | 67,206,616 | 3.6% | ||||||||||||||||
TURKEY — (2.6%) | ||||||||||||||||||
Other Securities | 53,708,911 | 2.8% | ||||||||||||||||
TOTAL COMMON STOCKS | 1,818,984,831 | 96.7% | ||||||||||||||||
PREFERRED STOCKS — (2.9%) | ||||||||||||||||||
BRAZIL — (2.9%) | ||||||||||||||||||
#Braskem SA Preferred A Sponsored ADR | 301,000 | 6,275,850 | 0.3% | |||||||||||||||
Klabin SA | 1,412,700 | 3,946,554 | 0.2% | |||||||||||||||
Suzano Papel e Celullose SA | 488,293 | 4,592,016 | 0.3% | |||||||||||||||
Ultrapar Participacoes SA | 112,095 | 6,810,218 | 0.4% | |||||||||||||||
Other Securities | 38,173,102 | 2.0% | ||||||||||||||||
TOTAL BRAZIL | 59,797,740 | 3.2% | ||||||||||||||||
CHILE — (0.0%) | ||||||||||||||||||
Other Securities | 28,478 | 0.0% | ||||||||||||||||
230
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | Percentage of Net Assets** | ||||||||||
INDIA — (0.0%) | ||||||||||||
Other Securities | $ | 37,093 | 0.0% | |||||||||
MALAYSIA — (0.0%) | ||||||||||||
Other Securities | 9,384 | 0.0% | ||||||||||
TOTAL PREFERRED STOCKS | 59,872,695 | 3.2% | ||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||
CHINA — (0.0%) | ||||||||||||
Other Securities | 30,821 | 0.0% | ||||||||||
INDIA — (0.0%) | ||||||||||||
Other Securities | 118,976 | 0.0% | ||||||||||
INDONESIA — (0.0%) | ||||||||||||
Other Securities | 14,863 | 0.0% | ||||||||||
MALAYSIA — (0.0%) | ||||||||||||
Other Securities | 63,540 | 0.0% | ||||||||||
POLAND — (0.0%) | ||||||||||||
Other Securities | 769,887 | 0.0% | ||||||||||
SOUTH KOREA — (0.0%) | ||||||||||||
Other Securities | 76,648 | 0.0% | ||||||||||
THAILAND — (0.0%) | ||||||||||||
Other Securities | 113,211 | 0.0% | ||||||||||
TOTAL RIGHTS/WARRANTS | 1,187,946 | 0.0% | ||||||||||
Face Amount | Value† | |||||||||||
(000) | ||||||||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $5,715,000 FNMA 3.126%(r), 09/01/40, valued at $5,872,937) to be repurchased at $5,786,092 | $5,786 | 5,786,000 | 0.3% | |||||||||
Shares/ Face Amount | ||||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (8.8%) | ||||||||||||
§@DFA Short Term Investment Fund | 180,694,390 | 180,694,390 | 9.6% | |||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $1,145,517)## to be repurchased at $1,123,077 | $1,123 | 1,123,056 | 0.1% | |||||||||
TOTAL SECURITIES LENDING COLLATERAL | 181,817,446 | 9.7% | ||||||||||
TOTAL INVESTMENTS — (100.0%) (Cost $1,391,523,697) | $ | 2,067,648,918 | 109.9% | |||||||||
231
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Argentina | — | — | — | — | ||||||||||||||
Brazil | $ | 155,066,540 | — | — | $ | 155,066,540 | ||||||||||||
Chile | 52,025,401 | — | — | 52,025,401 | ||||||||||||||
China | 3,878,440 | $ | 247,600,712 | — | 251,479,152 | |||||||||||||
Hungary | — | 3,422,269 | — | 3,422,269 | ||||||||||||||
India | 1,768,808 | 246,612,457 | — | 248,381,265 | ||||||||||||||
Indonesia | 323,334 | 76,731,505 | — | 77,054,839 | ||||||||||||||
Israel | 3,185 | 787,550 | — | 790,735 | ||||||||||||||
Malaysia | 81,368 | 102,996,982 | — | 103,078,350 | ||||||||||||||
Mexico | 77,708,646 | 318,806 | — | 78,027,452 | ||||||||||||||
Philippines | 45,479 | 47,044,820 | — | 47,090,299 | ||||||||||||||
Poland | 480,316 | 44,779,308 | — | 45,259,624 | ||||||||||||||
South Africa | 765,167 | 177,190,965 | — | 177,956,132 | ||||||||||||||
South Korea | 1,319,141 | 233,147,865 | — | 234,467,006 | ||||||||||||||
Taiwan | 248,717 | 223,721,523 | — | 223,970,240 | ||||||||||||||
Thailand | 66,450,408 | 756,208 | — | 67,206,616 | ||||||||||||||
Turkey | — | 53,708,911 | — | 53,708,911 | ||||||||||||||
Preferred Stocks | ||||||||||||||||||
Brazil | 59,761,877 | 35,863 | — | 59,797,740 | ||||||||||||||
Chile | 28,478 | — | — | 28,478 | ||||||||||||||
India | — | 37,093 | — | 37,093 | ||||||||||||||
Malaysia | 9,384 | — | — | 9,384 | ||||||||||||||
Rights/Warrants | ||||||||||||||||||
China | 20,134 | 10,687 | — | 30,821 | ||||||||||||||
India | — | 118,976 | — | 118,976 | ||||||||||||||
Indonesia | — | 14,863 | — | 14,863 | ||||||||||||||
Malaysia | 20,361 | 43,179 | — | 63,540 | ||||||||||||||
Poland | — | 769,887 | — | 769,887 | ||||||||||||||
South Korea | — | 76,648 | — | 76,648 | ||||||||||||||
Thailand | 50,261 | 62,950 | — | 113,211 | ||||||||||||||
Temporary Cash Investments | — | 5,786,000 | — | 5,786,000 | ||||||||||||||
Securities Lending Collateral | — | 181,817,446 | — | 181,817,446 | ||||||||||||||
TOTAL | $ | 420,055,445 | $ | 1,647,593,473 | — | $ | 2,067,648,918 | |||||||||||
See accompanying Notes to Financial Statements.
232
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands)
The U.S. Large Cap Value Series | The DFA International Value Series | The Japanese Small Company Series | The Asia Pacific Small Company Series | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value (including $907,199, $1,113,371, $157,308 and $128,176 of securities on loan, respectively) | $ | 8,790,214 | $ | 6,883,172 | $ | 1,201,990 | $ | 926,595 | ||||||||
Temporary Cash Investments at Value & Cost | 32,141 | 19,298 | 2,483 | 77 | ||||||||||||
Collateral Received from Securities on Loan at Value & Cost | 940,825 | 1,179,043 | 168,208 | 147,201 | ||||||||||||
Foreign Currencies at Value | — | 5,268 | 193 | 5,311 | ||||||||||||
Cash | — | 15 | 15 | 16 | ||||||||||||
Receivables: | ||||||||||||||||
Investment Securities Sold | 22,909 | — | 144 | 1,266 | ||||||||||||
Dividends, Interest and Tax Reclaims | 10,683 | 17,428 | 8,552 | 2,014 | ||||||||||||
Securities Lending Income | 552 | 314 | 167 | 187 | ||||||||||||
Fund Shares Sold | — | 817 | 10 | — | ||||||||||||
Unrealized Gain on Foreign Currency Contracts | — | 54 | 17 | — | ||||||||||||
Total Assets | 9,797,324 | 8,105,409 | 1,381,779 | 1,082,667 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Upon Return of Securities Loaned | 940,825 | 1,179,043 | 168,208 | 147,201 | ||||||||||||
Investment Securities Purchased | 34,042 | 4,564 | 1,779 | 139 | ||||||||||||
Fund Shares Redeemed | 4,926 | 403 | — | 40 | ||||||||||||
Due to Advisor | 725 | 1,168 | 102 | 78 | ||||||||||||
Accrued Expenses and Other Liabilities | 406 | 598 | 90 | 71 | ||||||||||||
Total Liabilities | 980,924 | 1,185,776 | 170,179 | 147,529 | ||||||||||||
NET ASSETS | $ | 8,816,400 | $ | 6,919,633 | $ | 1,211,600 | $ | 935,138 | ||||||||
Investments at Cost | $ | 6,950,120 | $ | 5,304,390 | $ | 1,417,496 | $ | 729,427 | ||||||||
Foreign Currencies at Cost | $ | — | $ | 5,262 | $ | 191 | $ | 5,292 | ||||||||
See accompanying Notes to Financial Statements.
233
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands)
The United Kingdom Small Company Series | The Continental Small Company Series | The Canadian Small Company Series | The Emerging Markets Series | The Emerging Markets Small Cap Series | ||||||||||||||||
ASSETS: | ||||||||||||||||||||
Investments at Value (including $20,169, $317,386, $162,680, $155,961 and $161,114 of securities on loan, respectively) | $ | 1,026,574 | $ | 2,064,651 | $ | 662,954 | $ | 2,524,780 | $ | 1,880,046 | ||||||||||
Temporary Cash Investments at Value & Cost | 3 | 4,298 | 649 | 15,165 | 5,786 | |||||||||||||||
Collateral Received from Securities on Loan at Value & Cost | 21,307 | 344,487 | 171,448 | 163,462 | 181,817 | |||||||||||||||
Foreign Currencies at Value | 12,317 | 2,670 | 113 | 3,772 | 388 | |||||||||||||||
Cash | 16 | 16 | 27 | 43 | 66 | |||||||||||||||
Receivables: | ||||||||||||||||||||
Investment Securities Sold | — | 2,884 | 1 | 12,252 | 60 | |||||||||||||||
Dividends, Interest and Tax Reclaims | 2,284 | 2,413 | 184 | 2,383 | 1,137 | |||||||||||||||
Securities Lending Income | 8 | 417 | 135 | 260 | 331 | |||||||||||||||
Fund Shares Sold | 13 | 13 | — | 161 | 161 | |||||||||||||||
Unrealized Gain on Foreign Currency Contracts | — | 2 | — | 6 | — | |||||||||||||||
Total Assets | 1,062,522 | 2,421,851 | 835,511 | 2,722,284 | 2,069,792 | |||||||||||||||
LIABILITIES: | ||||||||||||||||||||
Payables: | ||||||||||||||||||||
Upon Return of Securities Loaned | 21,307 | 344,487 | 171,448 | 163,462 | 181,817 | |||||||||||||||
Investment Securities Purchased | 4,385 | 4,574 | 252 | 56 | 2,097 | |||||||||||||||
Fund Shares Redeemed | — | — | — | 24,164 | — | |||||||||||||||
Due to Advisor | 85 | 169 | 54 | 211 | 309 | |||||||||||||||
Unrealized Loss on Foreign Currency Contracts | — | — | — | 8 | — | |||||||||||||||
Deferred Thailand Capital Gains Tax | — | — | — | 4,459 | 3,997 | |||||||||||||||
Accrued Expenses and Other Liabilities | 51 | 137 | 35 | 431 | 216 | |||||||||||||||
Total Liabilities | 25,828 | 349,367 | 171,789 | 192,791 | 188,436 | |||||||||||||||
NET ASSETS | $ | 1,036,694 | $ | 2,072,484 | $ | 663,722 | $ | 2,529,493 | $ | 1,881,356 | ||||||||||
Investments at Cost | $ | 932,253 | $ | 1,740,343 | $ | 619,939 | $ | 1,152,864 | $ | 1,203,920 | ||||||||||
Foreign Currencies at Cost | $ | 12,159 | $ | 2,556 | $ | 112 | $ | 3,671 | $ | 387 | ||||||||||
See accompanying Notes to Financial Statements.
234
THE DFA INVESTMENT TRUST COMPANY
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
The U.S. Cap Value | The DFA Series | The Japanese Company Series | The Asia | |||||||||||||
Investment Income | ||||||||||||||||
Dividends (Net of Foreign Taxes Withheld of $0, $15,467, $1,667 and $624, respectively) | $ | 172,913 | $ | 171,182 | $ | 22,210 | $ | 27,220 | ||||||||
Interest | 42 | 37 | 4 | 6 | ||||||||||||
Income from Securities Lending | 3,974 | 8,478 | 2,464 | 2,095 | ||||||||||||
Total Investment Income | 176,929 | 179,697 | 24,678 | 29,321 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Services Fees | 8,301 | 12,890 | 1,181 | 770 | ||||||||||||
Accounting & Transfer Agent Fees | 827 | 651 | 140 | 100 | ||||||||||||
Custodian Fees | 92 | 1,256 | 264 | 386 | ||||||||||||
Shareholders’ Reports | 49 | 38 | 7 | 4 | ||||||||||||
Directors’/Trustees’ Fees & Expenses | 78 | 62 | 10 | 7 | ||||||||||||
Professional Fees | 162 | 188 | 24 | 20 | ||||||||||||
Other | 74 | 130 | 20 | 14 | ||||||||||||
Total Expenses | 9,583 | 15,215 | 1,646 | 1,301 | ||||||||||||
Net Investment Income (Loss) | 167,346 | 164,482 | 23,032 | 28,020 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities Sold | 638,095 | 360,748 | (15,709 | ) | 46,684 | |||||||||||
Foreign Currency Transactions | — | (156 | ) | 792 | (20 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||
Investment Securities and Foreign Currency | 678,724 | 182,952 | (460 | ) | 129,509 | |||||||||||
Translation of Foreign Currency Denominated Amounts | — | 537 | 315 | (75 | ) | |||||||||||
Net Realized and Unrealized Gain (Loss) | 1,316,819 | 544,081 | (15,062 | ) | 176,098 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 1,484,165 | $ | 708,563 | $ | 7,970 | $ | 204,118 | ||||||||
See accompanying Notes to Financial Statements.
235
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
The United Kingdom Small Company Series | The Continental Small Company Series | The Canadian Small Company Series | The Emerging Markets Series | The Emerging Markets Small Cap Series | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Dividends (Net of Foreign Taxes Withheld of $61, $5,672, $824, $6,189 and $3,313, respectively) | $ | 25,291 | $ | 35,967 | $ | 4,796 | $ | 51,067 | $ | 32,627 | ||||||||||
Interest | 4 | �� | 12 | 6 | 8 | 9 | ||||||||||||||
Income from Securities Lending | 175 | 5,216 | 1,169 | 2,046 | 2,552 | |||||||||||||||
Total Investment Income | 25,470 | 41,195 | 5,971 | 53,121 | 35,188 | |||||||||||||||
Expenses | ||||||||||||||||||||
Investment Advisory Services Fees | 851 | 1,724 | 500 | 2,246 | 2,840 | |||||||||||||||
Accounting & Transfer Agent Fees | 107 | 192 | 73 | 244 | 162 | |||||||||||||||
Custodian Fees | 77 | 585 | 133 | 1,565 | 1,369 | |||||||||||||||
Shareholders’ Reports | 5 | 10 | 3 | 13 | 8 | |||||||||||||||
Directors’/Trustees’ Fees & Expenses | 8 | 17 | 5 | 22 | 14 | |||||||||||||||
Professional Fees | 16 | 48 | 10 | 84 | 64 | |||||||||||||||
Other | 14 | 36 | 7 | 56 | 32 | |||||||||||||||
Total Expenses | 1,078 | 2,612 | 731 | 4,230 | 4,489 | |||||||||||||||
Net Investment Income (Loss) | 24,392 | 38,583 | 5,240 | 48,891 | 30,699 | |||||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Investment Securities Sold | 35,525 | 72,573 | 6,585 | 160,587 | 102,089 | |||||||||||||||
Foreign Currency Transactions | 126 | 811 | 40 | 541 | 77 | ** | ||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Investment Securities and Foreign Currency | 152,112 | 156,901 | 168,950 | 337,045 | 382,774 | |||||||||||||||
Translation of Foreign Currency Denominated Amounts | (30 | ) | 30 | (11 | ) | (5 | ) | (76 | ) | |||||||||||
Change in Deferred Thailand Capital Gains Tax | — | — | — | (2,275 | ) | (3,052 | ) | |||||||||||||
Net Realized and Unrealized Gain (Loss) | 187,733 | 230,315 | 175,564 | 495,893 | 481,812 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 212,125 | $ | 268,898 | $ | 180,804 | $ | 544,784 | $ | 512,511 | ||||||||||
** | Net of foreign capital gain taxes withheld of $184. |
See accompanying Notes to Financial Statements.
236
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value Series | The DFA International Value Series | The Japanese Small Company Series | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 167,346 | $ | 155,080 | $ | 164,482 | $ | 161,170 | $ | 23,032 | $ | 23,685 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold | 638,095 | (122,113 | ) | 360,748 | 63,984 | (15,709 | ) | (27,421 | ) | |||||||||||||||
Futures | — | 7,204 | — | (1,125 | ) | — | 1,131 | |||||||||||||||||
Foreign Currency Transactions | — | — | (156 | ) | 3,828 | 792 | 2,027 | |||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities and Foreign Currency | 678,724 | 1,161,370 | 182,952 | 1,395,836 | (460 | ) | 227,157 | |||||||||||||||||
Futures | — | (29 | ) | — | — | — | — | |||||||||||||||||
Translation of Foreign Currency Denominated Amounts | — | — | 537 | 240 | 315 | (641 | ) | |||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,484,165 | 1,201,512 | 708,563 | 1,623,933 | 7,970 | 225,938 | ||||||||||||||||||
Transactions in Interest: | ||||||||||||||||||||||||
Contributions | 512,765 | 734,173 | 611,794 | 449,410 | 61,990 | 37,597 | ||||||||||||||||||
Withdrawals | (688,930 | ) | (1,166,648 | ) | (592,688 | ) | (581,716 | ) | (41,396 | ) | (143,463 | ) | ||||||||||||
Net Increase (Decrease) from Transactions in Interest | (176,165 | ) | (432,475 | ) | 19,106 | (132,306 | ) | 20,594 | (105,866 | ) | ||||||||||||||
Total Increase (Decrease) in Net Assets | 1,308,000 | 769,037 | 727,669 | 1,491,627 | 28,564 | 120,072 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 7,508,400 | 6,739,363 | 6,191,964 | 4,700,337 | 1,183,036 | 1,062,964 | ||||||||||||||||||
End of Period | $ | 8,816,400 | $ | 7,508,400 | $ | 6,919,633 | $ | 6,191,964 | $ | 1,211,600 | $ | 1,183,036 | ||||||||||||
See accompanying Notes to Financial Statements.
237
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific Small Company Series | The United Kingdom Small Company Series | The Continental Small Company Series | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 28,020 | $ | 19,547 | $ | 24,392 | $ | 23,533 | $ | 38,583 | $ | 36,091 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold | 46,684 | (32,245 | ) | 35,525 | (34,448 | ) | 72,573 | (13,321 | ) | |||||||||||||||
Futures | — | (432 | ) | — | 534 | — | (476 | ) | ||||||||||||||||
Foreign Currency Transactions | (20 | ) | 146 | 126 | (50 | ) | 811 | (549 | ) | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities and Foreign Currency | 129,509 | 330,580 | 152,112 | 234,459 | 156,901 | 468,759 | ||||||||||||||||||
Futures | — | (3 | ) | — | (1 | ) | — | (9 | ) | |||||||||||||||
Translation of Foreign Currency Denominated Amounts | (75 | ) | 209 | (30 | ) | (199 | ) | 30 | 305 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 204,118 | 317,802 | 212,125 | 223,828 | 268,898 | 490,800 | ||||||||||||||||||
Transactions in Interest: | ||||||||||||||||||||||||
Contributions | 85,604 | 21,607 | 59,131 | 26,861 | 199,653 | 118,904 | ||||||||||||||||||
Withdrawals | (35,581 | ) | (99,649 | ) | (5,034 | ) | (35,607 | ) | (26,959 | ) | (90,397 | ) | ||||||||||||
Net Increase (Decrease) from Transactions in Interest |
|
50,023 |
| (78,042 | ) | 54,097 | (8,746 | ) | 172,694 | 28,507 | ||||||||||||||
Total Increase (Decrease) in Net Assets | 254,141 | 239,760 | 266,222 | 215,082 | 441,592 | 519,307 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 680,997 | 441,237 | 770,472 | 555,390 | 1,630,892 | 1,111,585 | ||||||||||||||||||
End of Period | $ | 935,138 | $ | 680,997 | $ | 1,036,694 | $ | 770,472 | $ | 2,072,484 | $ | 1,630,892 | ||||||||||||
See accompanying Notes to Financial Statements.
238
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Canadian Small Company Series | The Emerging Markets Series | The Emerging Markets Small Cap Series | ||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 5,240 | $ | 3,432 | $ | 48,891 | $ | 43,700 | $ | 30,699 | $ | 20,144 | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold | 6,585 | (38,817 | ) | 160,587 | 40,421 | 102,089 | (13,070 | ) | ||||||||||||||||
Futures | — | (322 | ) | — | (2,920 | ) | — | (181 | ) | |||||||||||||||
Foreign Currency Transactions | 40 | (182 | ) | 541 | (24 | ) | 77 | ** | (182 | ) | ||||||||||||||
In-Kind Redemptions | — | — | — | 17,805 | * | — | — | |||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||
Investment Securities and Foreign Currency | 168,950 | 159,928 | 337,045 | 642,058 | 382,774 | 535,144 | ||||||||||||||||||
Futures | — | — | — | (32 | ) | — | (10 | ) | ||||||||||||||||
Translation of Foreign Currency Denominated Amounts | (11 | ) | 19 | (5 | ) | 210 | (76 | ) | 185 | |||||||||||||||
Change in Deferred Thailand Capital Gains Tax | — | — | (2,275 | ) | (1,366 | ) | (3,052 | ) | (786 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 180,804 | 124,058 | 544,784 | 739,852 | 512,511 | 541,244 | ||||||||||||||||||
Transactions in Interest: | ||||||||||||||||||||||||
Contributions | 117,737 | 37,000 | 199,169 | 162,102 | 344,585 | 168,060 | ||||||||||||||||||
Withdrawals | — | (28,750 | ) | (323,776 | ) | (417,162 | )* | (143,713 | ) | (107,710 | ) | |||||||||||||
Net Increase (Decrease) from Transactions in Interest |
|
117,737 |
| 8,250 | (124,607 | ) | (255,060 | ) | 200,872 | 60,350 | ||||||||||||||
Total Increase (Decrease) in Net Assets | 298,541 | 132,308 | 420,177 | 484,792 | 713,383 | 601,594 | ||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 365,181 | 232,873 | 2,109,316 | 1,624,524 | 1,167,973 | 566,379 | ||||||||||||||||||
End of Period | $ | 663,722 | $ | 365,181 | $ | 2,529,493 | $ | 2,109,316 | $ | 1,881,356 | $ | 1,167,973 | ||||||||||||
* See Note K in the Notes to Financial Statements.
** Net of foreign capital gain taxes withheld of $184.
See accompanying Notes to Financial Statements.
239
THE DFA INVESTMENT TRUST COMPANY
The U.S. Large Cap Value Series† | ||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, | Year Ended Nov. 30, | |||||||||||||||||||
Total Return | 19.96 | % | 11.90 | % | (36.53 | )%(C) | (0.32 | )% | 18.16 | % | 14.66 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 8,816,400 | $ | 7,508,400 | $ | 6,739,363 | $ | 10,159,322 | $ | 8,866,306 | $ | 5,831,587 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.12 | % | 0.13 | % | 0.11 | %(B) | 0.11 | % | 0.12 | % | 0.14 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.02 | % | 2.42 | % | 1.97 | %(B) | 1.44 | % | 1.68 | % | 1.56 | % | ||||||||||||
Portfolio Turnover Rate | 28 | % | 29 | % | 19 | %(C) | 9 | % | 13 | % | 9 | % | ||||||||||||
The DFA International Value Series† | ||||||||||||||||||||||||
Year Oct. 31, | Year Oct. 31, | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||
Total Return | 11.13 | % | 35.41 | % | (47.87 | )%(C) | 17.32 | % | 35.73 | % | 15.61 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 6,919,633 | $ | 6,191,964 | $ | 4,700,337 | $9,638,721 | $ | 7,457,252 | $ | 4,367,698 | |||||||||||||
Ratio of Expenses to Average Net Assets | 0.24 | % | 0.24 | % | 0.23 | %(B) | 0.23 | % | 0.23 | % | 0.27 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.55 | % | 3.22 | % | 4.15 | %(B) | 3.04 | % | 3.29 | % | 2.71 | % | ||||||||||||
Portfolio Turnover Rate | 20 | % | 18 | % | 16 | %(C) | 16 | % | 8 | % | 10 | % |
See page 1 for the Definitions of Abbreviations and Footnotes.
† | See Note A in the Notes to Financial Statements. |
See accompanying Notes to Financial Statements.
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THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Japanese Small Company Series | ||||||||||||||||||||||||
Year Ended Oct 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, | |||||||||||||||||||
Total Return | 0.72 | % | 22.69 | % | (26.87 | )%(C) | (1.16 | )% | (2.28 | )% | 31.03 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 1,211,600 | $ | 1,183,036 | $ | 1,062,964 | $ | 1,504,821 | $ | 1,385,722 | $ | 1,151,429 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.14 | % | 0.15 | % | 0.13 | %(B) | 0.13 | % | 0.14 | % | 0.22 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.95 | % | 2.15 | % | 2.64 | %(B) | 1.94 | % | 1.68 | % | 1.51 | % | ||||||||||||
Portfolio Turnover Rate | 10 | % | 7 | % | 10 | %(C) | 9 | % | 9 | % | 6 | % | ||||||||||||
The Asia Pacific Small Company Series | ||||||||||||||||||||||||
Year Oct. 31, | Year Oct. 31, | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||
Total Return | 28.91 | % | 84.98 | % | (57.75 | )%(C) | 47.23 | % | 38.26 | % | 9.30 | % | ||||||||||||
Net Assets, End of Period (thousands) | $935,138 | $680,997 | $441,237 | $ | 1,205,154 | $749,627 | $395,923 | |||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.17 | % | 0.18 | % | 0.15 | %(B) | 0.15 | % | 0.17 | % | 0.27 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.64 | % | 4.00 | % | 4.33 | %(B) | 3.58 | % | 4.19 | % | 4.33 | % | ||||||||||||
Portfolio Turnover Rate | 18 | % | 23 | % | 20 | %(C) | 25 | % | 14 | % | 10 | % | ||||||||||||
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
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THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series | ||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, | |||||||||||||||||||
Total Return | 25.94 | % | 43.51 | % | (50.77 | )%(C) | 2.42 | % | 44.80 | % | 12.88 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 1,036,694 | $ | 770,472 | $ | 555,390 | $ | 1,158,580 | $ | 1,117,826 | $ | 643,038 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.13 | % | 0.14 | % | 0.12 | %(B) | 0.12 | % | 0.13 | % | 0.22 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.86 | % | 4.02 | % | 3.79 | %(B) | 2.72 | % | 2.70 | % | 3.19 | % | ||||||||||||
Portfolio Turnover Rate | 15 | % | 10 | % | 25 | %(C) | 12 | % | 8 | % | 12 | % | ||||||||||||
The Continental Small Company Series | ||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, | |||||||||||||||||||
Total Return | 15.37 | % | 43.78 | % | (49.66 | )%(C) | 17.49 | % | 47.10 | % | 18.97 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 2,072,484 | $ | 1,630,892 | $ | 1,111,585 | $ | 2,256,122 | $ | 1,875,194 | $ | 981,938 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.15 | % | 0.16 | % | 0.14 | %(B) | 0.14 | % | 0.15 | % | 0.24 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.24 | % | 2.93 | % | 3.49 | %(B) | 2.16 | % | 2.27 | % | 2.16 | % | ||||||||||||
Portfolio Turnover Rate | 12 | % | 7 | % | 18 | %(C) | 12 | % | 7 | % | 18 | % | ||||||||||||
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
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THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Canadian Small Company Series | ||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Period Nov. 30, 2007 | |||||||||||||||||||||
Total Return | 43.17 | % | 61.67 | % | (56.44 | )%(C) | 10.20 | %(C) | ||||||||||||||||
Net Assets, End of Period (thousands) | $663,722 | $365,181 | $232,873 | $213,529 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.15 | % | 0.17 | % | 0.18 | %(B) | 0.26 | %(B)(E) | ||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.05 | % | 1.37 | % | 0.97 | %(B) | 0.47 | %(B)(E) | ||||||||||||||||
Portfolio Turnover Rate | 10 | % | 23 | % | 21 | %(C) | 6 | %(C) | ||||||||||||||||
The Emerging Markets Series | ||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, | Year Ended Nov. 30, | |||||||||||||||||||
Total Return | 27.04 | % | 53.99 | % | (48.15 | )%(C) | 42.62 | % | 31.87 | % | 31.23 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 2,529,493 | $ | 2,109,316 | $ | 1,624,524 | $3,707,790 | $ | 2,414,971 | $ | 1,852,565 | |||||||||||||
Ratio of Expenses to Average Net Assets | 0.19 | % | 0.20 | % | 0.18 | %(B) | 0.19 | % | 0.20 | % | 0.27 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.18 | % | 2.57 | % | 3.00 | %(B) | 2.52 | % | 2.54 | % | 3.70 | % | ||||||||||||
Portfolio Turnover Rate | 12 | % | 14 | % | 19 | %(C) | 7 | % | 11 | % | 9 | % | ||||||||||||
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
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THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series | ||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, | |||||||||||||||||||
Total Return | 41.96 | % | 92.08 | % | (56.84 | )%(C) | 43.32 | % | 40.55 | % | 24.85 | % | ||||||||||||
Net Assets, End of Period (thousands) | $ | 1,881,356 | $ | 1,167,973 | $ | 566,379 | $ | 1,525,571 | $ | 903,529 | $ | 545,271 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.32 | % | 0.33 | % | 0.30 | %(B) | 0.31 | % | 0.34 | % | 0.49 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.16 | % | 2.52 | % | 3.07 | %(B) | 1.94 | % | 2.39 | % | 2.70 | % | ||||||||||||
Portfolio Turnover Rate | 15 | % | 13 | % | 19 | %(C) | 16 | % | 18 | % | 8 | % | ||||||||||||
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
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THE DFA INVESTMENT TRUST COMPANY
A. Organization:
The DFA Investment Trust Company (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of twelve investment portfolios, of which nine are included in this section of the report (collectively, the “Series”), and three are presented in separate reports.
Domestic Equity Portfolio | International Equity Portfolios | |
The U.S. Large Cap Value Series | The DFA International Value Series | |
The Japanese Small Company Series | ||
The Asia Pacific Small Company Series | ||
The United Kingdom Small Company Series | ||
The Continental Small Company Series | ||
The Canadian Small Company Series | ||
The Emerging Markets Series | ||
The Emerging Markets Small Cap Series |
Effective December 31, 2008 and November 1, 2008, The U.S. Large Cap Value Series and The DFA International Value Series, respectively, each a master fund in a RIC/RIC master-feeder structure, elected with the consent of their respective Holder(s) to change their U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation § 301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the respective funds is a result of the treatment of a partnership for book purposes. Each Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the “Board”) on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material.
1. Security Valuation: The Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below:
— Level 1 – quoted prices in active markets for identical securities
— Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
— Level 3 – significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments)
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Securities held by the Domestic Equity Portfolio and the International Equity Portfolios, including over-the-counter securities, are valued at the last quoted sale price of the day. Securities held by the Domestic Equity Portfolio and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolio and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These securities are generally categorized as Level 2 in the hierarchy. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges.
The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the International Equity Portfolios’ foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Trust have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. Certain foreign equity securities that are fair value adjusted through an independent pricing service which considers statistically relevent trading patterns may periodically move from input valuation Level 2 to input valuation Level 1 when not meeting the fair value adjustment trigger requirements.
Futures contracts held by the Series are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Series’ investments by each major security type, industry and/or country is disclosed at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Series did not have any significant transfers between Level 1 and Level 2 during the year ended October 31, 2010.
2. Foreign Currency Translation: Securities and other assets and liabilities of the International Equity Portfolios, whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their
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respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the “Plan”). Under the Plan, effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/Trustees’ Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Trustee shall have the right in a notice of election to defer compensation (the “Notice”) to elect to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Trustee’s first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board of the Fund (unless the Trustee files an amended Notice selecting a different distribution date). Robert C. Merton resigned from the Board of the Fund on December 1, 2009 and received a lump sum payment of the proceeds of his deferred fee account on January 4, 2010 in the amount of $241,764. As of October 31, 2010, no other Trustees have requested or received a distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust or Series are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets.
The International Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Series accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The Emerging Markets Series and The Emerging Markets Small Cap Series investments in Thailand are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. The Emerging
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Markets Series and The Emerging Markets Small Cap Series accrue for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities. These Series are also subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are accrued when the capital gains are earned.
C. Investment Advisor:
Dimensional Fund Advisors LP (“Dimensional” or the “Advisor”) provides investment advisory services to the Trust. For the year ended October 31, 2010, the Series’ investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
The U.S. Large Cap Value Series | 0.10% | |
The DFA International Value Series | 0.20% | |
The Japanese Small Company Series | 0.10% | |
The Asia Pacific Small Company Series | 0.10% | |
The United Kingdom Small Company Series | 0.10% | |
The Continental Small Company Series | 0.10% | |
The Canadian Small Company Series | 0.10% | |
The Emerging Markets Series | 0.10% | |
The Emerging Markets Small Cap Series | 0.20% |
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Trust. For the year ended October 31, 2010, the total related amounts paid by the Trust to the CCO were $68 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations.
D. Deferred Compensation:
At October 31, 2010, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands):
The U.S. Large Cap Value Series | $214 | |||
The DFA International Value Series | 167 | |||
The Japanese Small Company Series | 36 | |||
The Asia Pacific Small Company Series | 17 | |||
The United Kingdom Small Company Series | 20 | |||
The Continental Small Company Series | 42 | |||
The Canadian Small Company Series | 9 | |||
The Emerging Markets Series | 57 | |||
The Emerging Markets Small Cap Series | 28 |
E. Purchases and Sales of Securities:
For the year ended October 31, 2010, the Series made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases | Sales | |||
The U.S. Large Cap Value Series | $2,275,573 | $2,324,050 | ||
The DFA International Value Series | $1,456,793 | $1,277,745 | ||
The Japanese Small Company Series | 163,391 | 117,375 |
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Purchases | Sales | |||
The Asia Pacific Small Company Series | 206,699 | 138,132 | ||
The United Kingdom Small Company Series | 189,382 | 121,594 | ||
The Continental Small Company Series | 416,808 | 200,743 | ||
The Canadian Small Company Series | 167,163 | 50,262 | ||
The Emerging Markets Series | 276,316 | 352,561 | ||
The Emerging Markets Small Cap Series | 447,425 | 215,575 |
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are treated as partnerships for Federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been “passed down” to their respective partners.
Some of the Series’ investments are in securities considered to be “passive foreign investment companies” for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for federal income tax purposes. At October 31, 2010, the following Series had cumulative unrealized appreciation (depreciation) (mark to market) to be included in distributable net investment income for federal tax purposes. For the year ended October 31, 2010, realized gains on the sale of passive foreign investment companies have been reclassified from accumulated net realized gains to accumulated net investment income for federal tax purposes. Amounts listed below are in thousands.
Mark to Market | Realized Gains | |||
The Japanese Small Company Series | $ 715 | $ 32 | ||
The Asia Pacific Small Company Series | 20,807 | 310 | ||
The United Kingdom Small Company Series | 2,607 | — | ||
The Continental Small Company Series | 328 | 6,878 | ||
The Canadian Small Company Series | 10,180 | 2,733 | ||
The Emerging Markets Series | 462 | — | ||
The Emerging Markets Small Cap Series | 718 | 293 |
At October 31, 2010, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Federal Tax | Unrealized | Unrealized | Net | |||||||||||||
The U.S. Large Cap Value Series | $7,923,103 | $1,950,355 | $(110,278 | ) | $1,840,077 | |||||||||||
The DFA International Value Series | 6,502,935 | 1,696,236 | (117,658 | ) | 1,578,578 | |||||||||||
The Japanese Small Company Series | 1,590,149 | 122,117 | (339,585 | ) | (217,468 | ) | ||||||||||
The Asia Pacific Small Company Series | 901,611 | 308,290 | (136,028 | ) | 172,262 | |||||||||||
The United Kingdom Small Company Series | 960,749 | 259,623 | (172,488 | ) | 87,135 | |||||||||||
The Continental Small Company Series | 2,090,469 | 575,896 | (252,929 | ) | 322,967 | |||||||||||
The Canadian Small Company Series | 802,216 | 136,111 | (103,276 | ) | 32,835 | |||||||||||
The Emerging Markets Series | 1,332,379 | 1,390,857 | (19,829 | ) | 1,371,028 | |||||||||||
The Emerging Markets Small Cap Series | 1,392,722 | 759,335 | (84,408 | ) | 674,927 |
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Series’
249
tax positions and has concluded that no provision for income tax is required in any Series’ financial statements. No Series is aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each of the Series’ federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a “Check-the-box” election for federal income tax purposes pursuant to Treasury Regulation §301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code §336(a), the master fund recognizes gain or loss as if the master’s investment securities were sold to its shareholders and, pursuant to IRC Code §331, each of the Portfolios recognizes gain or loss as if it liquidated its investment in the master. As a result of the transaction, The DFA International Value Series recognized a ($2,309,440,866) and ($718,733) capital and currency loss respectively for tax year ended October 31, 2008. For tax purposes, pursuant to IRC Code §334(a), each of the Portfolios will take a fair market value basis in the securities deemed received by them and a new holding period for those securities commences on the deemed liquidation date.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure with four RIC feeders and other direct client investor(s), made a “Check-the-box” election for federal income tax purposes pursuant to Treasury Regulation §301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The U.S. Large Cap Value Series was December 30, 2008. For Federal income tax purposes, pursuant to IRC Code §336(a), the master fund recognized a loss as if the master’s investment securities were sold to its shareholders and, pursuant to IRC Code §331, each of the Portfolios recognized a gain as if it liquidated its investment in the master. For tax purposes, pursuant to IRC Code §334(a), each of the Portfolios took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. As a result of the transaction, The U.S. Large Cap Value Series recognized a ($2,303,664,484) capital loss for tax year ended December 30, 2008.
G. Financial Instruments:
In accordance with the Series’ investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:
1. Repurchase Agreements: The Series may purchase certain U.S. Government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Trust’s custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on October 29, 2010.
2. Foreign Markets Risks: Investments in foreign markets may involve certain consideration and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign government supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of securities by the Master Funds may be inhibited.
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Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a fund uses derivatives, how derivatives are accounted for and how derivative instruments affect a fund’s results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Series deposits cash or pledges U.S. Government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. The Series entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments’ (i) location in the balance sheet and fair value at period end and (ii) the location in the Statements of Operations and the realized and change in unrealized gain or loss over the reporting period.
At October 31, 2010, the Series had no outstanding futures contracts.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011.
For the year ended October 31, 2010, borrowings by the Series under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted | Weighted | Number of | Interest | Maximum Amount | ||||||||||||||||
The U.S. Large Cap Value Series | 1.97% | $8,884 | 25 | $12 | $25,114 |
There were no outstanding borrowings by the Series under this line of credit as of October 31, 2010.
The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2010 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates
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agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 15, 2011.
For the year ended October 31, 2010, borrowings by the Series under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted | Weighted | Number of | Interest | Maximum Amount | ||||||
The DFA International Value Series | 0.94% | $3,278 | 14 | $ 1 | $ 6,386 | |||||
The Japanese Small Company Series | 0.88% | 80 | 12 | — | 199 | |||||
The Asia Pacific Small Company Series | 0.92% | 459 | 31 | — | 1,736 | |||||
The United Kingdom Small Company Series | 0.93% | 139 | 9 | — | 1,003 | |||||
The Continental Small Company Series | 0.94% | 993 | 16 | — | 2,421 | |||||
The Emerging Markets Series | 0.89% | 6,211 | 63 | 10 | 41,407 | |||||
The Emerging Markets Small Cap Series | 0.90% | 2,974 | 39 | 3 | 6,471 |
There were no outstanding borrowings by the Series under this line of credit as of October 31, 2010.
I. Securities Lending:
As of October 31, 2010, some of the Series had securities on loan to brokers/dealers, for which each Series received cash collateral. In addition, The Emerging Market Series and The Emerging Markets Small Cap Series received non-cash collateral with a market value of $85,839 and $125, respectively (in thousands). Each Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Series’ collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each Series also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each 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. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates.
J. Indemnitees; Contractual Obligations:
Under the Trust’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust.
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In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
K. In-Kind Redemptions:
In accordance with guidelines described in the Series’ prospectus, the fund may distribute portfolio securities rather than cash as payment for a redemption of fund shares (in-kind redemption). For financial reporting purposes, the fund recognizes a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities. Gains and losses realized on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital.
During the year ended October 31, 2009, The Emerging Markets Series realized net gains of $17,805 (in thousands) of in-kind redemptions.
L. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures.
M. Other:
The Series are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed an action against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.
N. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series and has determined that the following subsequent event requires recognition or disclosure in the financial statements.
A class action complaint (the “Complaint”) has been filed in the bankruptcy case of the Tribune Company (the “Tribune”) in the United States Bankruptcy Court for the District of Delaware. The Complaint is against The U.S. Large Cap Value Series and all other Tribune shareholders as a group, which includes hundreds of mutual funds, institutional investors and others who sold shares of Tribune in 2007 when the Tribune became private in a leveraged buyout transaction (the “LBO Transaction”). The U.S. Large Cap Value Series, and all shareholders who participated in the LBO Transaction, received cash in the amount of $34 per share. The Complaint alleges that this transfer violated the rights of creditors and that the cash paid to shareholders in connection with the LBO Transaction should be paid back to the Tribune’s bankruptcy estate and used to pay creditors.
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Litigation counsel to The U.S. Large Cap Value Series does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the lawsuit or quantify the potential ultimate exposure to The U.S. Large Cap Value Series. However, even if the plaintiff in the lawsuit were to obtain the recovery it seeks, the amount would be less than 1% of The U.S. Large Cap Value Series’ net asset value at this time. The U.S. Large Cap Value Series’ litigation counsel does not believe at this time that recovery of the full amount the plaintiff seeks is a likely outcome.
Since The U.S. Large Cap Value Series cannot predict with reasonable specificity what the actual outcome of the lawsuit may be or what the size of The U.S. Large Cap Value Series might be at the time the outcome of the lawsuit may be determined, no deduction from the net asset value of The U.S. Large Cap Value Series will be made at this time. Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on net asset value of The U.S. Large Cap Value Series, with no deduction relating to the lawsuit. The attorneys’ fees and costs relating to the lawsuit will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Series, as defined, and
Board of Trustees of The DFA Investment Trust Company:
In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The U.S. Large Cap Value Series, The DFA International Value Series, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Canadian Small Company Series, The Emerging Market Series and The Emerging Markets Small Cap Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the “Series”) at October 31, 2010, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2010 by correspondence with the custodians, brokers, and the transfer agent of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2010
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DIMENSIONAL EMERGING MARKETS VALUE FUND
256
DIMENSIONAL EMERGING MARKETS VALUE FUND
MANAGEMENT’S DISCUSSION AND ANALYSIS
International Equity Market Review | 12 Months Ended October 31, 2010 |
Emerging markets performed well for the fiscal year ended October 31, 2010, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2010, returns in US dollars were 23.56% for the MSCI Emerging Markets Index (net dividends) versus 9.61% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps.
12 Months Ended October 31, 2010
U.S. Dollar | ||
MSCI Emerging Markets Index | 23.56% | |
MSCI Emerging Markets Small Cap Index | 37.02% | |
MSCI Emerging Markets Value Index | 21.96% | |
MSCI Emerging Markets Growth Index | 25.17% |
The US dollar (USD) generally depreciated against most major emerging markets currencies during the period, increasing most local country returns when denominated in USD.
12 Months Ended October 31, 2010
Ten Largest Emerging Markets by Market Cap
| Local | U.S. Dollar | ||
China | 11.14% | 11.11% | ||
Brazil | 11.67% | 14.86% | ||
South Korea | 18.52% | 24.52% | ||
Taiwan | 13.20% | 20.23% | ||
India | 27.64% | 34.93% | ||
South Africa | 18.71% | 33.55% | ||
Russia | 19.19% | 13.38% | ||
Mexico | 25.55% | 33.87% | ||
Malaysia | 23.94% | 35.93% | ||
Indonesia | 41.78% | 51.50% |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2010, all rights reserved.
International Equity Fund Performance Overview
Dimensional Emerging Markets Value Fund
The Dimensional Emerging Markets Value Fund seeks to capture the returns of large and small cap value stocks as measured by book to market ratio in selected emerging markets countries. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to emerging markets value stocks, but does not attempt to track a specific equity index. As of October 31, 2010, the Fund held 2,016 stocks in 17 emerging markets countries. In general, the Fund was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Fund’s assets. The Fund’s target country weights were capped at 15% upon purchase by the manager to limit single-country risk exposure.
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As a result of the Fund’s diversified investment approach, performance was generally determined by broad structural trends in emerging markets countries, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 30.55% for the Fund and 23.56% for the MSCI Emerging Markets Index (net dividends). The Fund targets large and small cap value stocks while the Index primarily targets large and mid cap stocks. The Fund’s relative outperformance was primarily due to its higher allocation than the Index to small cap value stocks, which outperformed, and a lower allocation than the Index to large cap stocks, which underperformed. To a lesser extent, an additional component of the Fund’s outperformance was due to differences in valuation timing and methodology between the Fund and the Index. The Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Fund utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
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DIMENSIONAL EMERGING MARKETS VALUE FUND
(Unaudited)
The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The Expense Table below illustrates your fund’s costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.
Six Months Ended October 31, 2010 | ||||||||||||||||
EXPENSE TABLE | ||||||||||||||||
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
Actual Fund Return | $1,000.00 | $1,121.50 | 0.21% | $1.12 | ||||||||||||
Hypothetical 5% Annual Return | $1,000.00 | $1,024.15 | 0.21% | $1.07 |
* | Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. |
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DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-Q with the SEC on September 29, 2010. It is available upon request without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.
Dimensional Emerging Markets Value Fund | ||||
Consumer Discretionary | 8.8% | |||
Consumer Staples | 6.7% | |||
Energy | 12.9% | |||
Financials | 30.8% | |||
Health Care | 0.7% | |||
Industrials | 11.5% | |||
Information Technology | 6.6% | |||
Materials | 18.8% | |||
Other | — | |||
Real Estate Investment Trusts | — | |||
Telecommunication Services | 1.7% | |||
Utilities | 1.5% | |||
| ||||
100.0% |
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DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||
COMMON STOCKS — (88.2%) | ||||||||||||
BRAZIL — (7.9%) | ||||||||||||
#Banco Santander Brasil SA ADR | 10,011,893 | $ | 144,171,259 | 1.2% | ||||||||
BM&F Bovespa SA | 22,558,150 | 188,128,311 | 1.6% | |||||||||
BRF - Brasil Foods SA ADR | 2,898,191 | 42,400,534 | 0.3% | |||||||||
#*Fibria Celulose SA Sponsored ADR | 2,444,493 | 43,903,094 | 0.4% | |||||||||
#Petroleo Brasileiro SA ADR | 2,310,397 | 78,830,746 | 0.7% | |||||||||
Other Securities | 511,654,175 | 4.3% | ||||||||||
TOTAL BRAZIL | 1,009,088,119 | 8.5% | ||||||||||
CHILE — (2.5%) | ||||||||||||
Empresas CMPC SA | 1,512,741 | 81,335,149 | 0.7% | |||||||||
#Enersis SA Sponsored ADR | 3,017,368 | 68,826,164 | 0.6% | |||||||||
Other Securities | 172,239,889 | 1.4% | ||||||||||
TOTAL CHILE | 322,401,202 | 2.7% | ||||||||||
CHINA — (12.1%) | ||||||||||||
Bank of China, Ltd. | 470,554,474 | 283,239,227 | 2.4% | |||||||||
China Construction Bank Corp. | 72,842,000 | 69,637,206 | 0.6% | |||||||||
#China Petroleum & Chemical Corp. ADR | 606,083 | 57,765,771 | 0.5% | |||||||||
#China Unicom Hong Kong, Ltd. ADR | 4,715,857 | 66,021,998 | 0.5% | |||||||||
Other Securities | 1,072,566,776 | 9.0% | ||||||||||
TOTAL CHINA | 1,549,230,978 | 13.0% | ||||||||||
CZECH REPUBLIC — (0.4%) | ||||||||||||
Other Securities | 44,808,463 | 0.4% | ||||||||||
HUNGARY — (1.1%) | ||||||||||||
#*MOL Hungarian Oil & Gas P.L.C. | 451,154 | 47,937,453 | 0.4% | |||||||||
#*OTP Bank P.L.C. | 2,633,742 | 78,216,750 | 0.7% | |||||||||
Other Securities | 16,419,394 | 0.1% | ||||||||||
TOTAL HUNGARY | 142,573,597 | 1.2% | ||||||||||
INDIA — (10.2%) | ||||||||||||
Hindalco Industries, Ltd. | 9,934,662 | 47,243,508 | 0.4% | |||||||||
#ICICI Bank, Ltd. Sponsored ADR | 3,332,795 | 175,238,361 | 1.5% | |||||||||
Reliance Industries, Ltd. | 7,365,013 | 181,814,091 | 1.5% | |||||||||
Other Securities | 899,743,882 | 7.5% | ||||||||||
TOTAL INDIA | 1,304,039,842 | 10.9% | ||||||||||
INDONESIA — (3.1%) | ||||||||||||
PT Bumi Resources Tbk | 280,320,500 | 70,190,067 | 0.6% | |||||||||
Other Securities | 331,711,535 | 2.8% | ||||||||||
TOTAL INDONESIA | 401,901,602 | 3.4% | ||||||||||
ISRAEL — (0.0%) | ||||||||||||
Other Securities | 3,639,775 | 0.0% | ||||||||||
MALAYSIA — (3.4%) | ||||||||||||
AMMB Holdings Berhad | 21,831,262 | 44,387,897 | 0.4% | |||||||||
PPB Group Berhad | 6,909,766 | 42,656,648 | 0.3% | |||||||||
Other Securities | 354,846,470 | 3.0% | ||||||||||
TOTAL MALAYSIA | 441,891,015 | 3.7% | ||||||||||
MEXICO — (5.5%) | ||||||||||||
#*Cemex S.A.B. de C.V. Sponsored ADR | 11,578,134 | 101,540,235 | 0.9% | |||||||||
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR | 1,617,816 | 88,834,277 | 0.7% | |||||||||
#Grupo Carso S.A.B. de C.V. Series A-1 | 10,578,093 | 60,960,244 | 0.5% |
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DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares | Value†† | Percentage | ||||||||||
MEXICO — (Continued) | ||||||||||||
#Grupo Financiero Banorte S.A.B. de C.V. | 10,027,360 | $ | 42,901,314 | 0.4% | ||||||||
#Grupo Mexico S.A.B. de C.V. Series B | 24,866,224 | 81,920,796 | 0.7% | |||||||||
#Organizacion Soriana S.A.B. de C.V. Series B | 14,451,500 | 44,016,919 | 0.4% | |||||||||
Other Securities | 290,330,610 | 2.4% | ||||||||||
TOTAL MEXICO | 710,504,395 | 6.0% | ||||||||||
PHILIPPINES — (1.0%) | ||||||||||||
Other Securities | 121,877,101 | 1.0% | ||||||||||
POLAND — (1.7%) | ||||||||||||
*Polski Koncern Naftowy Orlen SA | 5,310,008 | 74,871,545 | 0.7% | |||||||||
Other Securities | 146,060,520 | 1.2% | ||||||||||
TOTAL POLAND | 220,932,065 | 1.9% | ||||||||||
RUSSIA — (4.4%) | ||||||||||||
Gazprom OAO Sponsored ADR | 18,589,632 | 407,020,812 | 3.4% | |||||||||
Lukoil OAO Sponsored ADR | 2,257,507 | 125,889,656 | 1.1% | |||||||||
Other Securities | 29,266,180 | 0.2% | ||||||||||
TOTAL RUSSIA | 562,176,648 | 4.7% | ||||||||||
SOUTH AFRICA — (7.6%) | ||||||||||||
ABSA Group, Ltd. | 3,202,004 | 62,031,775 | 0.5% | |||||||||
#Gold Fields, Ltd. Sponsored ADR | 7,845,589 | 123,724,939 | 1.1% | |||||||||
#Nedbank Group, Ltd. | 2,742,435 | 51,214,855 | 0.4% | |||||||||
Sanlam, Ltd. | 28,700,406 | 107,458,594 | 0.9% | |||||||||
Other Securities | 631,684,711 | 5.3% | ||||||||||
TOTAL SOUTH AFRICA | 976,114,874 | 8.2% | ||||||||||
SOUTH KOREA — (11.7%) | ||||||||||||
Hyundai Motor Co., Ltd. | 909,723 | 137,718,248 | 1.1% | |||||||||
#KB Financial Group, Inc. ADR | 2,538,946 | 113,998,675 | 1.0% | |||||||||
#LG Display Co., Ltd. ADR | 2,809,493 | 48,351,375 | 0.4% | |||||||||
#*LG Electronics, Inc. | 747,229 | 65,798,650 | 0.5% | |||||||||
#POSCO ADR | 1,058,114 | 109,980,369 | 0.9% | |||||||||
Samsung Corp. | 834,818 | 49,026,745 | 0.4% | |||||||||
Shinhan Financial Group Co., Ltd. | 1,534,998 | 59,466,140 | 0.5% | |||||||||
#Shinhan Financial Group Co., Ltd. ADR | 802,794 | 62,433,289 | 0.5% | |||||||||
#SK Energy Co., Ltd. | 320,419 | 43,117,922 | 0.4% | |||||||||
Other Securities | 817,269,532 | 6.9% | ||||||||||
TOTAL SOUTH KOREA | 1,507,160,945 | 12.6% | ||||||||||
TAIWAN — (11.0%) | ||||||||||||
#*AU Optronics Corp. Sponsored ADR | 6,421,347 | 64,406,110 | 0.5% | |||||||||
*Chimei Innolux Corp. | 49,903,746 | 66,965,890 | 0.6% | |||||||||
Fubon Financial Holding Co., Ltd. | 35,221,501 | 43,089,224 | 0.3% | |||||||||
Mega Financial Holding Co., Ltd. | 73,353,000 | 50,855,439 | 0.4% | |||||||||
United Microelectronics Corp. | 116,004,069 | 55,645,336 | 0.5% | |||||||||
Other Securities | 1,130,452,372 | 9.5% | ||||||||||
TOTAL TAIWAN | 1,411,414,371 | 11.8% | ||||||||||
THAILAND — (2.4%) | ||||||||||||
Other Securities | 303,985,751 | 2.6% | ||||||||||
TURKEY — (2.2%) | ||||||||||||
Other Securities | 284,884,341 | 2.4% | ||||||||||
TOTAL COMMON STOCKS | 11,318,625,084 | 95.0% | ||||||||||
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DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares | Value†† | Percentage | ||||||||||
PREFERRED STOCKS — (4.3%) | ||||||||||||
BRAZIL — (4.3%) | ||||||||||||
#Gerdau SA Sponsored ADR | 4,348,258 | $ | 56,701,284 | 0.5% | ||||||||
Metalurgica Gerdau SA | 4,022,600 | 61,582,237 | 0.5% | |||||||||
Petroleo Brasileiro SA ADR | 3,327,243 | 103,776,709 | 0.9% | |||||||||
Usinas Siderurgicas de Minas Gerais SA Series A | 7,092,710 | 88,935,233 | 0.7% | |||||||||
Other Securities | 240,405,478 | 2.0% | ||||||||||
TOTAL BRAZIL | 551,400,941 | 4.6% | ||||||||||
INDIA — (0.0%) | ||||||||||||
Other Securities | 87,486 | 0.0% | ||||||||||
MALAYSIA — (0.0%) | ||||||||||||
Other Securities | 80,926 | 0.0% | ||||||||||
TOTAL PREFERRED STOCKS | 551,569,353 | 4.6% | ||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||
CHINA — (0.0%) | ||||||||||||
Other Securities | 205,255 | 0.0% | ||||||||||
INDONESIA — (0.0%) | ||||||||||||
Other Securities | 1,733 | 0.0% | ||||||||||
MALAYSIA — (0.0%) | ||||||||||||
Other Securities | 450,428 | 0.0% | ||||||||||
POLAND — (0.0%) | ||||||||||||
Other Securities | 1,486,062 | 0.0% | ||||||||||
SOUTH KOREA — (0.0%) | ||||||||||||
Other Securities | 186,825 | 0.0% | ||||||||||
TAIWAN — (0.0%) | ||||||||||||
Other Securities | 74,585 | 0.0% | ||||||||||
THAILAND — (0.0%) | ||||||||||||
Other Securities | 305,184 | 0.0% | ||||||||||
TOTAL RIGHTS/WARRANTS | 2,710,072 | 0.0% | ||||||||||
Face Amount | Value† | |||||||||||
(000) | ||||||||||||
TEMPORARY CASH INVESTMENTS — (0.7%) | ||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $81,705,000 FHLMC 4.00%, 09/01/24, valued at $71,456,943) to be repurchased at $83,314,319 | $83,313 | 83,313,000 | 0.7% | |||||||||
Shares/ Face Amount | ||||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (6.8%) | ||||||||||||
§@DFA Short Term Investment Fund | 877,175,369 | 877,175,369 | 7.4% |
263
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares/ | Value† | Percentage | ||||||||||
(000) | ||||||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $1,439,213)## to be repurchased at $1,411,019 | $1,411 | $ | 1,410,993 | 0.0% | ||||||||
TOTAL SECURITIES LENDING COLLATERAL | 878,586,362 | 7.4% | ||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 12,834,803,871 | 107.7% | |||||||||
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DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of inputs used to value the Fund’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Brazil | $1,009,088,119 | — | — | $1,009,088,119 | ||||||||||||||
Chile | 322,401,202 | — | — | 322,401,202 | ||||||||||||||
China | 200,110,080 | $1,349,120,898 | — | 1,549,230,978 | ||||||||||||||
Czech Republic | — | 44,808,463 | — | 44,808,463 | ||||||||||||||
Hungary | — | 142,573,597 | — | 142,573,597 | ||||||||||||||
India | 195,153,304 | 1,108,886,538 | — | 1,304,039,842 | ||||||||||||||
Indonesia | 723,328 | 401,178,274 | — | 401,901,602 | ||||||||||||||
Israel | 31,353 | 3,608,422 | — | 3,639,775 | ||||||||||||||
Malaysia | 425,797 | 441,465,218 | — | 441,891,015 | ||||||||||||||
Mexico | 709,803,830 | 700,565 | — | 710,504,395 | ||||||||||||||
Philippines | — | 121,877,101 | — | 121,877,101 | ||||||||||||||
Poland | — | 220,932,065 | — | 220,932,065 | ||||||||||||||
Russia | — | 562,176,648 | — | 562,176,648 | ||||||||||||||
South Africa | 180,709,172 | 795,405,702 | — | 976,114,874 | ||||||||||||||
South Korea | 335,419,044 | 1,171,741,901 | — | 1,507,160,945 | ||||||||||||||
Taiwan | 76,080,903 | 1,335,333,468 | — | 1,411,414,371 | ||||||||||||||
Thailand | 295,095,677 | 8,890,074 | — | 303,985,751 | ||||||||||||||
Turkey | — | 284,884,341 | — | 284,884,341 | ||||||||||||||
Preferred Stocks | ||||||||||||||||||
Brazil | 551,400,941 | — | — | 551,400,941 | ||||||||||||||
India | — | 87,486 | — | 87,486 | ||||||||||||||
Malaysia | 80,926 | — | — | 80,926 | ||||||||||||||
Rights/Warrants | ||||||||||||||||||
China | 190,603 | 14,652 | — | 205,255 | ||||||||||||||
Indonesia | — | 1,733 | — | 1,733 | ||||||||||||||
Malaysia | 450,428 | — | — | 450,428 | ||||||||||||||
Poland | — | 1,486,062 | — | 1,486,062 | ||||||||||||||
South Korea | — | 186,825 | — | 186,825 | ||||||||||||||
Taiwan | — | 74,585 | — | 74,585 | ||||||||||||||
Thailand | 65,435 | 239,749 | — | 305,184 | ||||||||||||||
Temporary Cash Investments | — | 83,313,000 | — | 83,313,000 | ||||||||||||||
Securities Lending Collateral | — | 878,586,362 | — | 878,586,362 | ||||||||||||||
TOTAL | $3,877,230,142 | $8,957,573,729 | — | $12,834,803,871 | ||||||||||||||
See accompanying Notes to Financial Statements.
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DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
ASSETS: | ||||
Investments at Value (including $817,079 of securities on loan) | $ | 11,872,905 | ||
Temporary Cash Investments at Value & Cost | 83,313 | |||
Collateral Received from Securities on Loan at Value & Cost | 878,586 | |||
Foreign Currencies at Value | 10,524 | |||
Cash | 547 | |||
Receivables: | ||||
Investment Securities Sold | 979 | |||
Dividends, Interest and Tax Reclaims | 10,196 | |||
Fund Shares Sold | 13,173 | |||
Securities Lending Income | 918 | |||
Unrealized Gain on Foreign Currency Contracts | 25 | |||
Total Assets | 12,871,166 | |||
LIABILITIES: | ||||
Payables: | ||||
Upon Return of Securities Loaned | 878,586 | |||
Investment Securities Purchased | 55,280 | |||
Due to Advisor | 988 | |||
Unrealized Loss on Foreign Currency Contracts | 5 | |||
Deferred Thailand Capital Gains Tax | 16,976 | |||
Accrued Expenses and Other Liabilities | 1,376 | |||
Total Liabilities | 953,211 | |||
NET ASSETS | $ | 11,917,955 | ||
Investments at Cost | $ | 8,642,505 | ||
Foreign Currencies at Cost | $ | 10,371 | ||
See accompanying Notes to Financial Statements.
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DIMENSIONAL EMERGING MARKETS VALUE FUND
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
Investment Income | ||||
Dividends (Net of Foreign Taxes Withheld of $21,174) | $ | 180,635 | ||
Interest | 82 | |||
Income from Securities Lending | 8,842 | |||
Total Investment Income | 189,559 | |||
Expenses | ||||
Investment Advisory Services Fees | 9,448 | |||
Accounting & Transfer Agent Fees | 940 | |||
Custodian Fees | 6,991 | |||
Shareholders’ Reports | 50 | |||
Directors’/Trustees’ Fees & Expenses | 93 | |||
Professional Fees | 420 | |||
Other | 251 | |||
Total Expenses | 18,193 | |||
Net Investment Income (Loss) | 171,366 | |||
Realized and Unrealized Gain (Loss) | ||||
Net Realized Gain (Loss) on: | ||||
Investment Securities Sold | 591,224 | |||
Foreign Currency Transactions | (3,254 | )** | ||
Change in Unrealized Appreciation (Depreciation) of: | ||||
Investment Securities and Foreign Currency | 1,841,702 | |||
Translation of Foreign Currency Denominated Amounts | (154 | ) | ||
Change in Deferred Thailand Capital Gains Tax | (10,266 | ) | ||
Net Realized and Unrealized Gain (Loss) | 2,419,252 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 2,590,618 | ||
** Net of foreign capital gain taxes withheld of $1,806.
See accompanying Notes to Financial Statements.
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DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net Investment Income (Loss) | $ | 171,366 | $ | 119,269 | ||||
Net Realized Gain (Loss) on: | ||||||||
Investment Securities Sold | 591,224 | 346,115 | ||||||
Futures | — | (3,835 | ) | |||||
Foreign Currency Transactions | (3,254 | )** | (2,499 | ) | ||||
In-Kind Redemptions | — | 25,938 | * | |||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||
Investment Securities and Foreign Currency | 1,841,702 | 2,817,363 | ||||||
Futures | — | (30 | ) | |||||
Translation of Foreign Currency Denominated Amounts | (154 | ) | 449 | |||||
Change in Deferred Thailand Capital Gains Tax | (10,266 | ) | (3,804 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,590,618 | 3,298,966 | ||||||
Transactions in Interest: | ||||||||
Contributions | 2,372,583 | 1,430,899 | ||||||
Withdrawals | (1,010,371 | ) | (813,144 | )* | ||||
Net Increase (Decrease) from Transactions in Interest | 1,362,212 | 617,755 | ||||||
Total Increase (Decrease) in Net Assets | 3,952,830 | 3,916,721 | ||||||
Net Assets | ||||||||
Beginning of Period | 7,965,125 | 4,048,404 | ||||||
End of Period | $ | 11,917,955 | $ | 7,965,125 | ||||
* | See Note J in the Notes to Financial Statements. |
** | Net of foreign capital gain taxes withheld of $1,806. |
See accompanying Notes to Financial Statements.
268
DIMENSIONAL EMERGING MARKETS VALUE FUND†
(for a share outstanding throughout each period)
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 Oct. 31, | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, | |||||||||||||||||||
Total Return | 30.55 | % | 79.39 | % | (55.47 | )%(C) | 51.59 | % | 42.14 | % | 31.60 | % | ||||||||||||
Net Assets, End of Period | $ | 11,917,955 | $ | 7,965,125 | $ | 4,048,404 | $ | 8,188,710 | $ | 4,837,912 | $ | 2,417,064 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.19 | % | 0.21 | % | 0.19 | %(B) | 0.19 | % | 0.22 | % | 0.29 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.81 | % | 2.17 | % | 3.19 | %(B) | 2.50 | % | 2.57 | % | 3.23 | % | ||||||||||||
Portfolio Turnover Rate | 15 | % | 20 | % | 14 | %(C) | 14 | % | 9 | % | 7 | % |
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
† | See Note A in the Notes to Financial Statements. |
See accompanying Notes to Financial Statements.
269
DIMENSIONAL EMERGING MARKETS VALUE FUND
A. Organization:
Dimensional Emerging Markets Value Fund Inc. (“DEM I”) was organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended. Effective November 21, 1997, DEM I was reorganized as an open-end management investment company. On October 27, 2009, the Board of Directors and shareholders of DEM I approved an Agreement and Plan of Reorganization that provided for the reorganization of DEM I from a Maryland corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I transferred all of its assets and liabilities to Dimensional Emerging Markets Value Fund (“DEM II” or the “Fund”), a Delaware statutory trust, in a tax-free exchange under IRC §368(a)(1)(F).
Effective November 1, 2009, Dimensional Emerging Markets Value Fund (“DEM II”), a master fund in a master-feeder structure, elected with the consent of its Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation §301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for DEM II is a result of the treatment of a partnership for book purposes. DEM II and Emerging Markets Value Portfolio (“Portfolio”) will maintain their books and records and present their financial statements in accordance with generally accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the “Board”) on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Fund from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material.
1. Security Valuation: The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below:
— Level 1 – quoted prices in active markets for identical securities
— Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
— Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
Securities held by the Fund (including over-the-counter securities) are valued at the last quoted sale price of the day. Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Fund values the securities at the mean of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy.
270
Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These securities are generally categorized as Level 2 in the hierarchy. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Fund may differ from the quoted or published prices for the same securities on their primary markets or exchanges.
The Fund will also fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset value of the Fund is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Fund prices its shares at the close of the NYSE, the Fund will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the Fund’s foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Fund utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the Fund uses fair value pricing, the values assigned to the Fund’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. Certain foreign equity securities that are fair value adjusted through an independent pricing service which considers statistically relevant trading patterns may periodically move from input valuation Level 2 to input valuation Level 1 when not meeting the fair value adjustment trigger requirements.
Futures contracts held by the Fund are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s investments by each major security type, industry and/or country is disclosed at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund did not have any significant transfers between Level 1 and Level 2 during the year ended October 31, 2010.
2. Foreign Currency Translation: Securities and other assets and liabilities of the Fund whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement.
The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such
271
amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/Trustees’ Fees & Expenses. At October 31, 2010, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities in the amount of $192 (in thousands).
Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director shall have the right in a notice of election to defer compensation (the “Notice”) to elect to defer the receipt of the Director’s deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director’s first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the Fund (unless the Director files an amended Notice selecting a different distribution date). Robert C. Merton resigned from the Board of the Fund on December 1, 2009 and received a lump sum payment of the proceeds of his deferred fee account on January 4, 2010 in the amount of $241,764. As of October 31, 2010, no other Directors have requested or received a distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Fund estimates the character of distributions received that may be considered return of capital distributions. Interest income is recorded on the accrual basis. Expenses directly attributable to the Fund are directly charged.
The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investment in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The Fund’s investments in Chile are subject to governmental taxes on investment income. Such taxes are due when currencies are repatriated from the country. The Fund accrues for taxes on income as the income is earned.
The Fund’s investments in Thailand are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. The Fund accrues for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities. The Fund is also subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are accrued when the capital gains are earned.
C. Investment Advisor:
Dimensional Fund Advisors LP (“Dimensional” or the “Advisor”) provides investment advisory services to the Fund. For the year ended October 31, 2010, the Fund’s advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10% of average daily net assets.
272
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2010, the total related amounts paid by the Fund to the CCO were $19 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations.
D. Purchases and Sales of Securities:
For the year ended October 31, 2010, the Fund made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases | $ | 2,866,979 | ||
Sales | 1,412,511 |
There were no purchases or sales of long-term U.S. government securities.
E. Federal Income Taxes:
No provision for federal income taxes is required since the Series’ are treated as partnerships for Federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been “passed down” to their respective partners.
Some of the Fund’s investments are in securities considered to be “passive foreign investment companies” for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. At October 31, 2010, the Fund had cumulative unrealized appreciation (depreciation) (mark to market) of $1,547 (in thousands) to be included in distributable net investment income for federal tax purposes. For the year ended October 31, 2010, realized gains on the sale of passive foreign investment companies totaling $4 (in thousands) have been reclassified from accumulated net realized gains to accumulated net investment income for federal tax purposes.
At October 31, 2010, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Federal Tax Cost | Unrealized Appreciation | Unrealized | Net Unrealized Appreciation | |||
$9,616,484 | $3,784,673 | $(566,353) | $3,218,320 |
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed the Fund’s tax position and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Effective November 1, 2009, Dimensional Emerging Markets Value Fund (“DEM II”), a master fund in a master-feeder structure with one RIC feeder and other direct client investors has made a “Check-the-Box” election for federal income tax purposes pursuant to Treasury Regulation §301.7701-3, to change their federal entity classifications from a corporation taxable as a regulated investment company to a partnership. DEM II and the Portfolio will maintain their books and records and present their financial statements in accordance with generally accepted accounting principals for investment partnerships. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities on October 31, 2009 to its shareholders in liquidation of the master fund. Since the master fund has a shareholder owning 80% or more of the fund’s shares, and also has shareholders owning less than 80%,
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the transaction creates a non-taxable transaction, pursuant to Internal Revenue Code §332, for those owning more than 80%, and a taxable transaction, pursuant to Internal Revenue Code §331, for those shareholders owning less than 80%. Immediately after the deemed liquidation, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of the Master Fund was October 31, 2009.
For federal income tax purposes, pursuant to Code §336(a), the master fund recognizes gain or loss relative to the investment of the less than 80% shareholders as if the master’s investment securities were sold to those shareholders and, pursuant to Code §331, each of those shareholders recognizes gain or loss as if it liquidated its investment in the master. Pursuant to Code §334(a), each of these shareholders will take a fair market value basis in the securities deemed received by them and a new holding period for those securities commences on the deemed liquidation date. In regards to the shareholder owning 80% or more of the master fund, pursuant to Code §332(a), the shareholder will not recognize any gain or loss on the deemed liquidation. However, pursuant to Code §332(c), a portion of the deemed distribution, which otherwise would have been tax-free as discussed above, since it is utilized by the master fund to satisfy its dividends paid deduction for the tax year, must be recognized and treated as a dividend by the 80% or greater shareholder. Pursuant to Code §334(b)(1) and §1223, the 80% or greater shareholder’s basis and holding period in the securities received in liquidation is the same as it was in the possession of the master. As a result of the transaction, Dimensional Emerging Markets Value Fund recognized a $104,402,506 and ($16,523) capital gain and currency loss respectively, for tax year ended October 31, 2009.
F. Financial Instruments:
In accordance with the Fund’s investment objectives and policies, the Fund may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:
1. Repurchase Agreements: The Fund may purchase certain U.S. Government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). Due to a clerical error at the repurchase trading agent from October 29, 2010 through November 1, 2010, the collateral held by the Fund was less than the repurchase price. On November 2, 2010, the additional collateral was posted and the repurchase agreement was fully collateralized. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system or with the Fund’s custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on October 29, 2010.
2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Fund may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a fund uses derivatives, how derivatives are accounted for and how derivative instruments affect a fund’s results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Fund.
3. Futures Contracts: The Fund may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. Government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or
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payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss, which is presented in the Statement of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Fund could lose more than the initial margin requirements. The Fund entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments’ (i) location in the balance sheet and fair value at period end and (ii) the location in the Statement of Operations and the realized and change in unrealized gain or loss over the reporting period.
At October 31, 2010, the Fund had no outstanding futures contracts.
G. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011. There were no borrowings by the Fund under this line of credit during the year ended October 31, 2010.
The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2010 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 15, 2011.
For the year ended October 31, 2010, borrowings by the Fund under this line of credit were as follows (amounts in thousands, except percentage and days):
Weighted Average Interest Rate | Weighted Average | Number of Days Outstanding | Interest Expense Incurred | Maximum Amount | ||||
0.87% | $23,610 | 32 | $18 | $60,454 |
There were no outstanding borrowings by the Fund under this line of credit as of October 31, 2010.
H. Securities Lending:
As of October 31, 2010, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. The Fund invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities.
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However, daily market fluctuations could cause the Fund’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the option of the lending agent, to replace the securities.
Subject to its stated investment policy, the Fund will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Fund also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Fund 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. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates.
I. Indemnitees; Contractual Obligations:
Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund.
In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
J. In-Kind Redemptions:
In accordance with guidelines described in the Fund’s prospectus, the Fund may distribute portfolio securities rather than cash as payment for a redemption of Fund shares (in-kind redemption). For financial reporting purposes, the Fund recognizes a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities. Gains and losses realized on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital. During the year ended October 31, 2009, the Fund realized $25,938 (in thousands) of net gain.
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures.
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L. Other
The Fund is subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed an action against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Fund and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors of Dimensional Emerging Markets Value Fund:
In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Dimensional Emerging Markets Value Fund (the “Fund”) at October 31, 2010, the results of its operations for the year then ended, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2010 by correspondence with the custodian, broker and the transfer agent of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2010
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(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. (“DFAITC”), DFA Investment Dimensions Group Inc. (“DFAIDG”), Dimensional Investment Group Inc. (“DIG”) and Dimensional Emerging Markets Value Fund (“DEM”) (each, the “Fund” and collectively, the “Funds”) is responsible for establishing the Funds’ policies and for overseeing the management of the Funds. The Trustees/Directors of the Funds, including all of the disinterested Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the “Feeder Portfolios”) that invest in certain series of DFAITC or DEM (the “Master Funds”).
Each Board has two standing committees, an Audit Committee and a Portfolio Performance and Service Review Committee (the “Performance Committee”). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Director. The Audit Committee oversees the Fund’s accounting and financial reporting policies and practices, the Fund’s internal controls, the Fund’s financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund’s independent registered certified public accounting firm and also acts as a liaison between the Fund’s independent registered certified public accounting firm and the full Board. There were two Audit Committee meetings held during the fiscal year ended October 31, 2010.
Each Board’s Performance Committee is comprised of Messrs. Constantinides and Ibbotson, Ms. Smith, John P. Gould and Myron S. Scholes. Each member of the Fund’s Performance Committee is a disinterested Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund’s series and reviews the performance of the Fund’s service providers. There were seven Performance Committee meetings held during the fiscal year ended October 31, 2010.
Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director’s experience as a Trustee/ Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience.
The statements of additional information (together, “SAI”) of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by calling collect (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746. Prospectuses are also available at www.dimensional.com.
Name, Position with the Fund, Address and Age | Term of Office1 and Length of Service | Portfolios within the DFA Fund Complex2 | Principal Occupation(s) During Past 5 Years and Other Directorships of Public Companies Held | |||
Disinterested Trustees/Directors
| ||||||
George M. Constantinides Director of DFAIDG, DIG and DEM. Trustee of DFAITC. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 63 | DFAITC - since 1993 DFAIDG - since 1983 DIG - since 1993 DEM - since 1993 | 86 portfolios in 4 investment companies | Leo Melamed Professor of Finance, The University of Chicago Booth School of Business. |
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Name, Position with the Fund, Address and Age | Term of Office1 and Length of Service | Portfolios within the DFA Fund Complex2 Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships of Public Companies Held | |||
John P. Gould Director of DFAIDG, DIG and DEM. Trustee of DFAITC. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 71 | DFAITC - since 1993 DFAIDG - since 1986 DIG - since 1993 DEM - since 1993 | 86 portfolios in 4 investment companies | Steven G. Rothmeier Distinguished Service Professor of Economics, The University of Chicago Booth School of Business (since 1965). Member of the Boards of Milwaukee Mutual Insurance Company (since 1997). Member and Chair, Competitive Markets Advisory Committee, Chicago Mercantile Exchange (futures trading exchange) (since 2004). Formerly, Director of UNext, Inc. (1999-2006). Formerly, Senior Vice-President, Lexecon Inc. (economics, law, strategy and finance consulting) (1994-2004). Trustee, Harbor Fund (registered investment company) (27 Portfolios) (since 1994). | |||
Roger G. Ibbotson Director of DFAIDG, DIG and DEM. Trustee of DFAITC. Yale School of Management 135 Prospect Street New Haven, CT 06520-8200 Age: 67 | DFAITC - since 1993 DFAIDG - since 1981 DIG - since 1993 DEM - since 1993 | 86 portfolios in 4 investment companies | Professor in Practice of Finance, Yale School of Management (since 1984). Director, BIRR Portfolio Analysis, Inc. (software products) (since 1990). Chairman, CIO and Partner, Zebra Capital Management, LLC (hedge fund manager) (since 2001). Formerly, Chairman, Ibbotson Associates, Inc., Chicago, IL (software data publishing and consulting) (1977-2006). | |||
Myron S. Scholes Director of DFAIDG, DIG and DEM. Trustee of DFAITC. Platinum Grove Asset Management, L.P. Reckson Executive Park 1100 King Street Building 4 Rye Brook, NY 10573 Age: 69 | DFAITC - since 1993 DFAIDG - since 1981 DIG - since 1993 DEM - since 1993 | 86 portfolios in 4 investment companies | Frank E. Buck Professor Emeritus of Finance, Stanford University (since 1981). Chairman, Platinum Grove Asset Management, L.P. (hedge fund) (formerly, Oak Hill Platinum Partners) (since 1999). Formerly, Managing Partner, Oak Hill Capital Management (private equity firm) (until 2004). Formerly, Director, Chicago Mercantile Exchange (2001-2008). Director, American Century Fund Complex (registered investment companies) (37 Portfolios) (since 1981). | |||
Abbie J. Smith Director of DFAIDG, DIG and DEM. Trustee of DFAITC. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 57 | DFAITC - since 2000 DFAIDG - since 2000 DIG - since 2000 DEM - since 2000 | 86 portfolios in 4 investment companies | Boris and Irene Stern Professor of Accounting, The University of Chicago Booth School of Business (since 1980), and Co-Director Investment Research, Fundamental Investment Advisors (hedge fund) (since 2008). Director, HNI Corporation (formerly known as HON Industries Inc.) (office furniture) (since 2000). Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003). Director/ Trustee, UBS Funds (fund complex) (5 portfolios) (since 2008). |
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Name, Position with the Fund, Address and Age | Term of Office1 and Length of Service | Portfolios within the DFA Fund Complex2 Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships of Public Companies Held | |||
Interested Trustees/Directors*
| ||||||
David G. Booth Chairman, Director, Co-Chief Executive Officer and President of DFAIDG, DIG and DEM. Chairman, Trustee, Co-Chief Executive Officer and President of DFAITC. 6300 Bee Cave Road, Building One Austin, Texas 78746 Age: 63 | DFAITC - since 1993 DFAIDG - since 1981 DIG - since 1992 DEM - since 1993 | 86 portfolios in 4 investment companies | Chairman, Director/Trustee, President, Co-Chief Executive Officer and, formerly, Chief Executive Officer (until 1/1/2010) and Chief Investment Officer (2003 to 3/30/2007) of the following companies: Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc. and The DFA Investment Trust Company. Chairman, Director, President and Co- Chief Executive Officer of Dimensional Holdings Inc. and formerly Chief Executive Officer (until 1/1/2010) and Chief Investment Officer (until 3/30/2007). Director of Dimensional Fund Advisors Ltd. and formerly, Chief Investment Officer. Director of DFA Australia Limited and formerly, President and Chief Investment Officer. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Limited Partner, Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director of Dimensional Cayman Commodity Fund I Ltd. Chairman, and President of Dimensional SmartNest LLC and Dimensional SmartNest (U.S.) LLC. | |||
Eduardo A. Repetto Director, Co-Chief Executive Officer and Chief Investment Officer of DFAIDG, DIG and DEM. Trustee, Co-Chief Executive Officer, Chief Investment Officer and Vice President of DFAITC. 6300 Bee Cave Road, Building One Austin, TX 78746 Age: 43 | DFAITC - since 2009 DFAIDG - since 2009 DIG - since 2009 DEM - since 2009 | 86 portfolios in 4 investment companies | Co-Chief Executive Officer (beginning January 2010), Chief Investment Officer (beginning March 2007) and formerly, Vice President of Dimensional Fund Advisors LP, Dimensional Holdings Inc., DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company, and Dimensional Fund Advisors Canada ULC; Director of all such entities except Dimensional Fund Advisors LP and DFA Securities LLC. Chief Investment Officer, Vice President and Director of DFA Australia Limited. Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC and Dimensional Funds II PLC. Director of Dimensional Cayman Commodity Fund I Ltd. |
1 | Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. |
2 | Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. |
* | Interested Trustees/Directors are described as such because they are deemed to be “interested persons,” as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. |
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Officers
The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) (“Dimensional”), DFA Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the “DFA Entities”). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
Name, Position with the Fund and Age | Term of Office1 and Length of Service | Principal Occupation(s) During Past 5 Years | ||
Officers
| ||||
April A. Aandal Vice President and Chief Learning Officer Age: 47 | Since 2008 | Vice President of all the DFA Entities. Chief Learning Officer of Dimensional (since September 2008). Formerly, Regional Director of Dimensional (2004-2008); Vice President of Professional Development at Assante Asset Management (June 2002-January 2005). | ||
Darryl D. Avery Vice President Age: 44 | Since 2005 | Vice President of all the DFA Entities. From June 2002 to January 2005, institutional client service representative of Dimensional. | ||
Arthur H. Barlow Vice President Age: 54 | Since 1993 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Scott A. Bosworth Vice President Age: 41 | Since 2007 | Vice President of all the DFA Entities. Regional Director of Dimensional (since November 1997). | ||
Valerie A. Brown Vice President and Assistant Secretary Age: 43 | Since 2001 | Vice President and Assistant Secretary of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund Advisors Canada ULC. | ||
David P. Butler Vice President Age: 46 | Since 2007 | Vice President of all the DFA Entities. Director of Global Financial Services of Dimensional (since 2008). Formerly, Regional Director of Dimensional Fund Advisors LP (January 1995 to January 2005). | ||
Joseph H. Chi Vice President Age: 44 | Since 2009 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since October 2005). Prior to October 2005, Corporate Counsel at Hewitt Associates (July 2002-August 2005). | ||
Stephen A. Clark Vice President Age: 38 | Since 2004 | Vice President of all the DFA Entities. Formerly, Portfolio Manager of Dimensional (April 2001-April 2004). | ||
Robert P. Cornell Vice President Age: 61 | Since 2007 | Vice President of all the DFA Entities. Regional Director of Financial Services Group of Dimensional (since August 1993). | ||
Christopher S. Crossan Vice President and Chief Compliance Officer Age: 44 | Since 2004 | Vice President and Chief Compliance Officer of all the DFA Entities. | ||
James L. Davis Vice President Age: 53 | Since 1999 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Robert T. Deere Vice President Age: 53 | Since 1994 | Vice President of all the DFA Entities and DFA Australia Limited. | ||
Peter F. Dillard Vice President Age: 38 | Since 2010 | Vice President of all the DFA Entities. Research Associate for Dimensional (since August 2008). Formerly, Research Assistant for Dimensional from April 2006-August 2008. Prior to April 2006, Manager at Hilton Hotels Corp. (September 2004-April 2006). |
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Name, Position with the Fund and Age | Term of Office1 and Length of Service | Principal Occupation(s) During Past 5 Years | ||
Robert W. Dintzner Vice President Age: 40 | Since 2001 | Vice President of all the DFA Entities. | ||
Beth Ann Dranguet Vice President Age: 40 | Since 2010 | Vice President of all the DFA Entities. Counsel for Dimensional (since July 2007). Formerly, Associate at Vinson & Elkins LLP (September 1999-July 2007). | ||
Kenneth N. Elmgren Vice President Age: 56 | Since 2007 | Vice President of all the DFA Entities. Formerly, Managing Principal of Beverly Capital (May 2004 to September 2006). | ||
Richard A. Eustice Vice President and Assistant Secretary Age: 45 | Since 1998 | Vice President and Assistant Secretary of all the DFA Entities and DFA Australia Limited. Chief Operating Officer of Dimensional Fund Advisors Ltd. (since July 2008). Formerly, Vice President of Dimensional Fund Advisors Ltd. | ||
Eugene F. Fama, Jr. Vice President Age: 49 | Since 1993 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Gretchen A. Flicker Vice President Age: 39 | Since 2004 | Vice President of all the DFA Entities. Prior to April 2004, institutional client service representative of Dimensional. | ||
Jed S. Fogdall Vice President Age: 36 | Since 2008 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since September 2004). Prior to September 2004, Staff Engineer at the Boeing Company (1997-2004). | ||
Jeremy P. Freeman Vice President Age: 39 | Since 2009 | Vice President of all the DFA Entities. Senior Technology Manager for Dimensional Fund Advisors LP (since June 2006). Formerly, Principal at AIM Investments/Amvescap PLC (now Invesco) (June 1998-June 2006). | ||
Mark R. Gochnour Vice President Age: 43 | Since 2007 | Vice President of all the DFA Entities. Regional Director of Dimensional. | ||
Henry F. Gray Vice President Age: 43 | Since 2000 | Vice President of all the DFA Entities. Prior to July 2000, Portfolio Manager of Dimensional. Formerly, Vice President of DFA Australia Limited. | ||
John T. Gray Vice President Age: 36 | Since 2007 | Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (January 2005 to February 2007). | ||
Joel H. Hefner Vice President Age: 42 | Since 2007 | Vice President of all the DFA Entities. Regional Director of Dimensional (since June 1998). | ||
Julie C. Henderson Vice President and Fund Controller Age: 36 | Since 2005 | Vice President and Fund Controller of all the DFA Entities. Formerly, Senior Manager at PricewaterhouseCoopers LLP (July 1996 to April 2005). | ||
Kevin B. Hight Vice President Age: 42 | Since 2005 | Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (since March 2003 to March 2005). | ||
Christine W. Ho Vice President Age: 42 | Since 2004 | Vice President of all the DFA Entities. Prior to April 2004, Assistant Controller of Dimensional. | ||
Jeff J. Jeon Vice President Age: 36 | Since 2004 | Vice President of all the DFA Entities. Counsel for Dimensional (since September 2001). |
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Name, Position with the Fund and Age | Term of Office1 and Length of Service | Principal Occupation(s) During Past 5 Years | ||
Patrick M. Keating Vice President Age: 55 | Since 2003 | Vice President of all the DFA Entities and Chief Operating Officer of Dimensional. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited. | ||
David M. Kershner Vice President Age: 39 | Since 2010 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since June 2004). | ||
Joseph F. Kolerich Vice President Age: 38 | Since 2004 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since April 2001). | ||
Michael F. Lane Vice President Age: 43 | Since 2004 | Vice President of all the DFA Entities. Formerly, Vice President of Advisor Services at TIAA-CREF (July 2001 to September 2004). | ||
Kristina M. LaRusso Vice President Age: 35 | Since 2006 | Vice President of all DFA Entities. Formerly, Operations Supervisor of Dimensional (March 2003 to December 2006). | ||
Juliet Lee Vice President Age: 39 | Since 2005 | Vice President of all the DFA Entities. Human Resources Manager of Dimensional (since January 2004). | ||
Apollo D. Lupescu Vice President Age: 41 | Since 2009 | Vice President of all the DFA Entities. Regional Director for Dimensional (since February 2004). | ||
Kenneth M. Manell Vice President Age: 37 | Since 2010 | Vice President of all the DFA Entities. Counsel for Dimensional (since September 2006). Formerly, Assistant General Counsel at Castle & Cooke (January 2004-September 2006). | ||
Aaron M. Marcus Vice President & Head of Global Human Resources Age: 40 | Since 2008 | Vice President and Head of Global Human Resources of Dimensional. Formerly, Global Head of Recruiting and Vice President of Goldman Sachs & Co. (June 2006 to January 2008); Global Co-Head of HR of the Equities & FICC Division, and Vice President of Goldman Sachs & Co. (May 2005 to May 2006); Head of Americas Campus Recruiting and Vice President of Goldman Sachs & Co. (April 2003 to May 2005). | ||
David R. Martin Vice President, Chief Financial Officer and Treasurer Age: 53 | Since 2007 | Vice President, Chief Financial Officer and Treasurer of all the DFA Entities. Director, Vice President, Chief Financial Officer and Treasurer of Dimensional Fund Advisors Ltd. and DFA Australia Limited. Chief Financial Officer, Treasurer, and Vice President of Dimensional Fund Advisors Canada ULC. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Formerly, Executive Vice President and Chief Financial Officer of Janus Capital Group Inc. (June 2005 to March 2007); Senior Vice President of Finance at Charles Schwab & Co., Inc. (March 1999 to May 2005). | ||
Catherine L. Newell Vice President and Secretary Age: 46 | Vice President since 1997 and Secretary since 2000 | Vice President and Secretary of all the DFA Entities. Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997 and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003). Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Formerly, Assistant Secretary of all DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Christian A. Newton Vice President Age: 35 | Since 2009 | Vice President of all DFA Entities. Web Services Manager for Dimensional Fund Advisors LP (Since January 2008). Formerly Design Manager (2005-2008) and Web Developer (2002-2005) of Dimensional Fund Advisors LP. |
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Name, Position with the Fund and Age | Term of Office1 and Length of Service | Principal Occupation(s) During Past 5 Years | ||
Carolyn L. O Vice President Age: 36 | Since 2010 | Vice President of all the DFA Entities. Counsel for Dimensional (since September 2007). Prior to September 2007, Associate at K&L Gates LLP (January 2004-September 2007). | ||
Gerard K. O’Reilly Vice President Age: 33 | Since 2007 | Vice President of all the DFA Entities. Formerly, Research Associate of Dimensional Fund Advisors LP (2004 to 2006); Research Assistant in PhD program, Aeronautics Department California Institute of Technology (1998 to 2004). | ||
Daniel C. Ong Vice President Age: 36 | Since 2009 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since July 2005). Prior to 2005, Graduate Student at the University of Chicago Booth School of Business (2003-2005). | ||
Kyle K. Ozaki Vice President Age: 32 | Since 2010 | Vice President of all the DFA Entities. Senior Compliance Officer for Dimensional (since Januay 2008). Formerly, Compliance Officer (February 2006-December 2007) and Compliance Analyst (August 2004-January 2006) for Dimensional. | ||
Carmen E. Palafox Vice President Age: 36 | Since 2006 | Vice President of all the DFA Entities. Operations Manager of Dimensional Fund Advisors LP (since May 1996). | ||
Sonya K. Park Vice President Age: 38 | Since 2005 | Vice President of all the DFA Entities. From February 2002 to January 2005, institutional client service representative of Dimensional. | ||
David A. Plecha Vice President Age: 49 | Since 1993 | Vice President of all the DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd | ||
Theodore W. Randall Vice President Age: 37 | Since 2008 | Vice President of all the DFA Entities. Formerly, Research Associate of Dimensional (2006-2008). Systems Developer of Dimensional (2001-2006). | ||
L. Jacobo Rodriguez Vice President Age: 39 | Since 2005 | Vice President of all the DFA Entities. From August 2004 to July 2005, institutional client service representative of Dimensional. Formerly, Financial Services Analyst, Cato Institute (September 2001 to June 2004); Book Review Editor, Cato Journal, Cato Institute (May 1996 to June 2004). | ||
Julie A. Saft Vice President Age: 51 | Since 2010 | Vice President of all the DFA Entities. Client Systems Manager for Dimensional (since July 2008). Formerly, Senior Manager at Vanguard (November 1997-July 2008). | ||
David E. Schneider Vice President Age: 64 | Since 2001 | Vice President of all the DFA Entities. Currently, Director of Institutional Services. | ||
Walid A. Shinnawi Vice President Age: 48 | Since 2010 | Vice President of all the DFA Entities. Regional Director for Dimensional (since March 2006). Formerly, Senior Manager at Moody’s KMV (1999-March 2006). | ||
Bruce A. Simmons Vice President Age: 45 | Since 2009 | Vice President of all the DFA Entities. Investment Operations Manager for Dimensional Fund Advisors LP (since May 2007). Formerly, Vice President Client and Fund Reporting at Mellon Financial (September 2005-May 2007); Vice President Business Development at CUADPRO Marketing (July 2003-September 2005). | ||
Edward R. Simpson Vice President Age: 42 | Since 2007 | Vice President of all the DFA Entities. Regional Director of Dimensional (since December 2002). | ||
Bryce D. Skaff Vice President Age: 35 | Since 2007 | Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (December 1999 to January 2007). | ||
Grady M. Smith Vice President Age: 54 | Since 2004 | Vice President of all the DFA Entities. Prior to April 2004, Portfolio Manager of Dimensional. |
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Name, Position with the Fund and Age | Term of Office1 and Length of Service | Principal Occupation(s) During Past 5 Years | ||
Carl G. Snyder Vice President Age: 47 | Since 2000 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited. | ||
Lawrence R. Spieth Vice President Age: 62 | Since 2004 | Vice President of all the DFA Entities. Prior to April 2004, Regional Director of Dimensional. | ||
Bradley G. Steiman Vice President Age: 37 | Since 2004 | Vice President of all the DFA Entities and Director and Vice President of Dimensional Fund Advisors Canada ULC. | ||
Robert C. Trotter Vice President Age: 52 | Since 2009 | Vice President of all the DFA Entities. Senior Manager Technology for Dimensional Fund Advisors LP (since March 2007). Formerly, Director of Technology at AMVESCAP (2002-2007). | ||
Karen E. Umland Vice President Age: 44 | Since 1997 | Vice President of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. | ||
Brian J. Walsh Vice President Age: 40 | Since 2009 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since 2004). Formerly, Trader for Dimensional Fund Advisors LP (1997-2004). | ||
Weston J. Wellington Vice President Age: 59 | Since 1997 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited. | ||
Ryan J. Wiley Vice President Age: 34 | Since 2007 | Vice President of all the DFA Entities. Senior Trader of Dimensional. Formerly, Portfolio Manager (2006 to 2007); Trader (2001 to 2006). | ||
Paul E. Wise Vice President Age: 55 | Since 2005 | Vice President of all the DFA Entities. Chief Technology Officer for Dimensional (since 2004). Formerly, Principal of Turnbuckle Management Group (January 2002 to August 2004). |
1 | Each officer holds office for an indefinite term at the pleasure of the Boards of Trustees/Directors and until his or her successor is elected and qualified. |
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VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available without charge, upon request, by calling collect: (512) 306-7400. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC’s website at http://www.sec.gov and from the Advisor’s website at http://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th.
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(Unaudited)
For shareholders that do not have an October 31, 2010 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2010 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2009 to October 31, 2010, each Portfolio is designating the following items with regard to distributions paid during the fiscal year. All designations are based on financial information available as of the date of this annual report and, accordingly are subject to change. For each item, it is the intention of the Portfolio to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
DFA Investment Dimensions Group Inc. | Net Investment Income Distributions | Short-Term Capital Gain Distributions | Long-Term Capital Gain Distributions | Return of Capital | Tax-Exempt Interest | Total Distributions | Qualifying For Corporate Dividends Received Deduction(1) | Qualifying Dividend Income(2) | U.S. Government Interest(3) | Foreign Tax Credit(4) | Foreign Source Income(5) | Qualifying Interest Income(6) | Qualifying Short- Term Capital Gain(7) | |||||||||||||
Enhanced U.S. Large Company Portfolio | 100% | — | — | — | — | 100% | — | — | 5% | — | — | 100% | 100% | |||||||||||||
U.S. Large Cap Value Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
U.S. Targeted Value Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
U.S. Small Cap Value Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
U.S. Core Equity 1 Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
U.S. Core Equity 2 Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
U.S. Vector Equity Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
U. S Small Cap Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
U.S. Micro Cap Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
DFA Real Estate Securities Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
Large Cap International Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | 4% | 110% | 100% | 100% | |||||||||||||
International Core Equity Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | 4% | 138% | 100% | 100% | |||||||||||||
International Small Company Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | 3% | 136% | 100% | 100% | |||||||||||||
Japanese Small Company Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | 7% | 125% | 100% | 100% | |||||||||||||
Asia Pacific Small Company Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | 1% | 125% | 100% | 100% | |||||||||||||
United Kingdom Small Company Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
Continental Small Company Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | 6% | 144% | 100% | 100% | |||||||||||||
DFA International Real Estate Securities Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | 1% | 73% | 100% | 100% | |||||||||||||
DFA Global Real Estate Securities Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% | |||||||||||||
DFA International Small Cap Value Portfolio | 94% | — | 6% | — | — | 100% | 100% | 100% | — | 4% | 150% | 100% | 100% | |||||||||||||
International Vector Equity Portfolio | 99% | — | 1% | — | — | 100% | 100% | 100% | — | 4% | 136% | 100% | 100% | |||||||||||||
Emerging Markets Portfolio | 46% | 3% | 51% | — | — | 100% | 100% | 100% | — | 6% | 134% | 100% | 100% | |||||||||||||
Emerging Markets Small Cap Portfolio | 93% | — | 7% | — | — | 100% | 100% | 100% | — | 6% | 153% | 100% | 100% | |||||||||||||
Emerging Markets Value Portfolio | 36% | 21% | 43% | — | — | 100% | 100% | 100% | — | 4% | 101% | 100% | 100% | |||||||||||||
Emerging Markets Core Equity Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | 6% | 158% | 100% | 100% | |||||||||||||
Dimensional Investment Group Inc. | ||||||||||||||||||||||||||
DFA International Value Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | 3% | 126% | 100% | 100% | |||||||||||||
U.S. Large Company Portfolio | 100% | — | — | — | — | 100% | 100% | 100% | — | — | — | 100% | 100% |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary Income distributions (the total of short-term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actual qualified dividend income. |
(3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for residents of California, Connecticut and New York, the statutory threshold requirements were satisfied for DFA Five-Year Government Portfolio, DFA Intermediate Government Fixed Income Portfolio, and DFA Inflation-Protected Securities Portfolio to permit exemption of these amounts from state income for these funds. |
(4) | “Foreign Tax Credit” represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income distributions). |
(5) | “Foreign Source Income” represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment company taxbale income (the total of short-term capital gain and net investment income distributions). |
(6) | The percentage in this column represents the amount of “Qualifying Interest Income” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
(7) | The percentage in this column represents the amount of “Qualifying Short-Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
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DFA103110-001A |
ANNUAL REPORT |
year ended: October 31, 2010
DFA Investment Dimensions Group Inc.
Tax-Managed U.S. Marketwide Value Portfolio
Tax-Managed U.S. Equity Portfolio
Tax-Managed U.S. Targeted Value Portfolio
Tax-Managed U.S. Small Cap Portfolio
T.A. U.S. Core Equity 2 Portfolio
Tax-Managed DFA International Value Portfolio
T.A. World ex U.S. Core Equity Portfolio
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 2010
Dear Fellow Shareholder,
In 2011, Dimensional celebrates its thirtieth anniversary. Our growth — from a start-up business working out of my Brooklyn apartment to a global investment firm with offices in six countries — has been greater than we could ever have predicted. We take a lot of pride in what we have been able to accomplish.
The Dimensional business model, at its most basic, is about ideas and the implementation of those ideas. We’ve built Dimensional on a set of ideas that have revolutionized finance over the last fifty years. We work closely with academics like Gene Fama, Ken French, and Robert Merton who have been at the forefront in developing the field of modern finance. This great partnership with leading thinkers has carried us over the last thirty years. It is the principle of comparative advantage at its best. The thinkers work on developing the ideas, and we find the best ways to implement those ideas for our clients.
Working together with academics and our clients, we have helped change the world. It’s great to know that it is still possible to do well by doing good.
Sincerely,
David G. Booth
Chairman and Co-Chief Executive Officer
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ANNUAL REPORT
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This report is submitted for the information of the Fund’s shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
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DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
Investment Abbreviations
ADR | American Depositary Receipt |
FNMA | Federal National Mortgage Association |
P.L.C. | Public Limited Company |
Investment Footnotes
† | See Note B to Financial Statements. |
†† | Securities have generally been fair valued. See Note B to Financial Statements. |
** | Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. |
* | Non-Income Producing Securities. |
# | Total or Partial Securities on Loan. |
@ | Security purchased with cash proceeds from Securities on Loan. |
§ | Affiliated Fund. |
## | Par amount of collateral is a part of a pooled collateral facility. Value is indicative of the value allocated to this Portfolio/Series as a part of this facility. |
Financial Highlights
(A) | Computed using average shares outstanding. |
(B) | Annualized |
(C) | Non-Annualized |
(D) | Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. |
(E) | Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. |
All Statements, Schedules and Notes to Financial Statements
— | Amounts designated as — are either zero or rounded to zero. |
REIT | Real Estate Investment Trust |
SEC | Securities and Exchange Commission |
(a) | Commencement of Operations. |
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DFA INVESTMENT DIMENSIONS GROUP INC.
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DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
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DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
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DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT’S DISCUSSION AND ANALYSIS
U.S. Equity Market Review | 12 Months Ended October 31, 2010 |
The year ending October 31, 2010, was a relatively volatile period for U.S. equities. Broad market returns were positive, with the Russell 3000® Index returning 18.34%. Stocks represented by the Russell Midcap® Index outperformed those within both the Russell 2000® Index (small caps) and the Russell 1000® Index (large caps). Meanwhile, stocks represented by the Russell 1000® Growth Index outperformed those represented by the Russell 1000® Value Index.
While market returns were positive through April 2010, stocks retreated in May and June, marking new lows for the fiscal year in early July. Then in September, stocks began a sharp rise which continued through October. Over the course of the fiscal year, the small company premium within the Russell 3000® Index was positive, while the value premium was negative as investors’ risk tolerance shifted, and general economic conditions evolved.
Among the most important factors explaining differences in the behavior of diversified equity portfolios are the company size and company value/growth characteristics of the portfolio’s holdings. Size is measured by market capitalization, and value classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks often have lower market value relative to their earnings, dividends, and book value.
For the 12 months ended October 31, 2010, the total return of the Russell Microcap® Index was 25.08%, the Russell 2000® Index was 26.57%, the CRSP 6-10 Index was 28.76%, and the MSCI US Small Cap 1750 Index was 28.35%. Large cap growth stocks outperformed large cap value stocks, as measured by the Russell 1000® Growth Index and Russell 1000® Value Index. Small cap growth stocks outperformed small cap value stocks as measured by the Russell 2000® Growth Index and Russell 2000® Value Index.
Total Return for 12 Months Ended October 31, 2010
Russell 2000® Index (small cap companies) | 26.57 | % | ||
Russell Midcap® Index (mid cap companies) | 27.73 | % | ||
Russell 1000® Index (large cap companies) | 17.65 | % | ||
Russell 3000® Value Index | 16.41 | % | ||
Russell 3000® Growth Index | 20.32 | % |
Further dividing the large, mid, and small cap market segments by value and growth characteristics shows more detail in the performance differences over the period.
Total Return for 12 Months Ended October 31, 2010
Russell 1000® Value Index (large cap value companies) | 15.72 | % | ||
Russell 1000® Growth Index (large cap growth companies) | 19.66 | % | ||
Russell Midcap® Value Index (mid cap value companies) | 27.50 | % | ||
Russell Midcap® Growth Index (mid cap growth companies) | 28.03 | % | ||
Russell 2500® Value Index (small/mid cap value companies) | 26.89 | % | ||
Russell 2500® Growth Index (small/mid cap growth companies) | 28.76 | % | ||
Russell 2000® Value Index (small cap value companies) | 24.43 | % | ||
Russell 2000® Growth Index (small cap growth companies) | 28.66 | % |
Source: Russell data copyright © Russell Investment Group 1995-2010, all rights reserved.
Differences in returns for the various Dimensional U.S. equity funds over the 12 months ended October 31, 2010 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios, except for the DFA Real Estate Securities Portfolio and the U.S.
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Large Company Portfolio. Moreover, the portfolio construction approach used by Dimensional Fund Advisors (the “Advisor”) generally resulted in portfolios with greater emphasis on value or small company characteristics relative to widely used index benchmarks.
Master-Feeder Structure
Certain portfolios described below, called “Feeder Funds”, do not buy individual securities directly; instead, these portfolios invest in corresponding funds called “Master Funds”. Master Funds, in turn, purchase stocks and/or other securities.
Domestic Equity Portfolios’ Performance Overview
Tax-Managed U.S. Marketwide Value Portfolio
The Tax-Managed U.S. Marketwide Value Portfolio seeks to capture the returns of U.S. value stocks by purchasing shares of a Master Fund that invests in such stocks. The Portfolio also seeks to maximize the after-tax value of a shareholder’s investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to U.S. value stocks, but does not attempt to track closely a specific equity index. As of October 31, 2010, the Portfolio through its investment in the Master Fund, was exposed to 1,206 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Master Fund’s diversified investment approach, performance principally was determined by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 20.17% for the Portfolio and 16.41% for the Russell 3000® Value Index. Relative to the Index, the Master Fund’s higher concentration in securities with the most prominent value characteristics and somewhat greater exposure to small cap securities drove outperformance. The Master Fund is more inclusive than the Index across the market capitalization segments in the micro cap range. This greater exposure to micro cap stocks and the composition of those stocks contributed to the Portfolio’s outperformance. Overall, the Master Fund holds nearly 800 fewer securities and therefore composition effects between the Portfolio and the Index are common. During this period the composition effects contributed to outperformance. The Master Fund’s exclusion of REITs had a negative impact of approximately 0.8% relative to the Index as REITs was the best-performing sector over the period.
Tax-Managed U.S. Equity Portfolio
The Tax-Managed U.S. Equity Portfolio seeks to capture the returns associated with the broad universe of U.S. stocks by purchasing shares of a Master Fund that invests in such stocks. The Portfolio also seeks to maximize the after-tax value of a shareholder’s investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to the U.S. equity universe, but does not attempt to track closely a specific equity index. As of October 31, 2010, the Master Fund in which the Portfolio invests held 2,659 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 18.10% for the Portfolio, 18.34% for the Russell 3000® Index and 19.04% for the Dow Jones US Total Stock Market IndexSM (Full Cap). Relative to the Russell 3000® Index, underperformance by the Portfolio was attributable to small differences in allocations across the market capitalization segments. The Master Fund’s exclusion of REITs had a negative impact of approximately 0.4% relative to the Index as REITs was the best-performing sector over the period.
As of January 4, 2010, the Russell 3000® Index was selected to replace the Dow Jones US Total Stock Market IndexSM as the appropriate benchmark for the Portfolio.
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Tax-Managed U.S. Targeted Value Portfolio
The Tax-Managed U.S. Targeted Value Portfolio seeks to capture the returns of U.S. small and mid capitalization value stocks. The Portfolio also seeks to maximize the after-tax value of a shareholder’s investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small and mid capitalization company value stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Portfolio held 1,422 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 28.43% for the Portfolio and 24.43% for the Russell 2000® Value Index. Relative to the Index, the Portfolio’s outperformance was primarily attributable to its greater exposure to mid cap stocks and its higher concentration in securities with the most prominent value characteristics. REITs, which comprised 12% of the Index on average, are excluded from the Portfolio. This exclusion negatively impacted Portfolio relative returns by approximately 1.3% relative to the Index.
Tax-Managed U.S. Small Cap Portfolio
The Tax-Managed U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks. The Portfolio also seeks to maximize the after-tax value of a shareholder’s investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Portfolio held 2,206 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 26.61% for the Portfolio and 26.57% for the Russell 2000® Index. Relative to the Index, the Portfolio’s outperformance was primarily due to differences in Portfolio composition within the tiniest micro cap stocks, which added approximately 0.8% to the Portfolio’s relative performance. REITs, which comprised 7% of the Index on average, are excluded from the Portfolio. This exclusion negatively impacted Portfolio relative returns by approximately 0.6% as REITs outperformed the rest of the small cap universe.
T.A. U.S. Core Equity 2 Portfolio
The T.A. U.S. Core Equity 2 Portfolio seeks to capture the returns of the total U.S. market universe, with increased exposure to smaller company stocks and those stocks with value characteristics as measured by book-to-market ratio, while minimizing federal income tax implications of investment decisions. The investment strategy employs a disciplined, quantitative approach, emphasizing wide diversification and comprehensive exposure to U.S. stocks, but does not attempt to closely track a specific equity index. As of October 31, 2010, the Portfolio held 3,142 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 21.49% for the Portfolio and 18.34% for the Russell 3000® Index. In general, US large cap stocks significantly underperformed U.S. mid cap and small cap stocks over the period. The Portfolio’s lower allocation than the Index to large cap stocks and its greater allocation to mid cap and small cap stocks were the primary sources of the Portfolio’s relative outperformance.
7
International Equity Market Review | 12 Months Ended October 31, 2010 |
The one-year period ending October 31, 2010, was characterized by relatively high levels of volatility in non-US developed markets. Broad market returns were positive, with stocks represented by the MSCI World ex USA Index (net dividends) returning 9.61%.
While market returns were positive in November and December of 2009, high volatility over the next five months — punctuated by an 11% drop in May — took developed non-US stocks to their lows for the fiscal year. In June, stocks began a sharp rise which continued through the remainder of the fiscal year as global economic data generally improved. As measured by the MSCI indices, growth stocks outperformed their value counterparts, while small cap stocks outperformed large caps.
12 Months Ended October 31, 2010
U.S. Dollar Return | ||||
MSCI World ex USA Index | 9.61% | |||
MSCI World ex USA Small Cap Index | 17.23% | |||
MSCI World ex USA Value Index | 6.38% | |||
MSCI World ex USA Growth Index | 12.87% |
The performance of the US dollar (USD) was mixed against other major developed markets currencies during the period. While the USD rose slightly against the euro and British pound, it fell against most other G10 currencies, and in particular against the Japanese yen.
12 Months Ended October 31, 2010
Ten Largest Foreign Developed Markets by Market Cap | Local Currency Return | U.S. Dollar Return | ||||||
United Kingdom | 16.07% | 12.58% | ||||||
Japan | -6.76% | 4.78% | ||||||
Canada | 15.83% | 22.62% | ||||||
France | 11.80% | 5.31% | ||||||
Australia | 3.70% | 12.50% | ||||||
Germany | 20.61% | 13.61% | ||||||
Switzerland | 5.53% | 9.90% | ||||||
Spain | -2.96% | -8.59% | ||||||
Sweden | 17.82% | 23.94% | ||||||
Italy | 0.69% | -5.14% |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2010, all rights reserved.
Gains in emerging markets were higher on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2010, returns in US dollars were 23.56% for the MSCI Emerging Markets Index (net dividends) versus 9.61% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps.
12 Months Ended October 31, 2010
U.S. Dollar Return | ||||
MSCI Emerging Markets Index | 23.56% |
8
12 Months Ended October 31, 2010
U.S. Dollar Return | ||||
MSCI Emerging Markets Small Cap Index | 37.02% | |||
MSCI Emerging Markets Value Index | 21.96% | |||
MSCI Emerging Markets Growth Index | 25.17% |
The US dollar (USD) generally depreciated against most major emerging markets currencies during the period, increasing most local country returns when denominated in USD.
12 Months Ended October 31, 2010
Ten Largest Emerging Markets by Market Cap | Local Currency Return | U.S. Dollar Return | ||||||
China | 11.14% | 11.11% | ||||||
Brazil | 11.67% | 14.86% | ||||||
South Korea | 18.52% | 24.52% | ||||||
Taiwan | 13.20% | 20.23% | ||||||
India | 27.64% | 34.93% | ||||||
South Africa | 18.71% | 33.55% | ||||||
Russia | 19.19% | 13.38% | ||||||
Mexico | 25.55% | 33.87% | ||||||
Malaysia | 23.94% | 35.93% | ||||||
Indonesia | 41.78% | 51.50% |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2010, all rights reserved.
International Equity Portfolio Performance Overview
Tax-Managed DFA International Value Portfolio
The Tax-Managed DFA International Value Portfolio seeks to capture the returns of international large company value stocks. The Portfolio also seeks to maximize the after-tax value of a shareholder’s investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to track closely a specific equity index. As of October 31, 2010, the Portfolio held 486 stocks in 23 developed countries. In general the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2010, total returns were 10.34% for the Portfolio and 9.61% for the MSCI World ex USA Index (net dividends). The MSCI Standard benchmarks indicate that on the whole, growth stocks outperformed value stocks in international developed markets during the period. However, stocks in the deeper value segment of the market outperformed growth stocks on average. The Portfolio’s greater allocation than the Index to these deeper value stocks contributed to relative performance. An additional component of the Portfolio’s outperformance was due to differences in valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of U.S. markets while the Index uses rates at 4 pm London time. The Portfolio utilizes fair value pricing to price portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices.
T.A. World ex U.S. Core Equity Portfolio
The T.A. World ex U.S. Core Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks in developed and emerging markets, with increased exposure to smaller company stocks and those with value characteristics as measured by book-to-market ratio. The Portfolio intends to consider the effects
9
of the realization of capital gains and taxable dividend income. When selling a security, the Portfolio will typically select the highest cost shares to minimize the realization of capital gains and may refrain from disposing of a security until the long-term holding period for capital gains tax purposes has been satisfied. The purchase of a stock may be delayed to avoid dividend income, and a stock may be sold to realize a capital loss, subject to applicable investment criteria. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification, but does not attempt to track a specific equity index. As of October 31, 2010, the Portfolio held 5,843 stocks in 23 developed country markets and 20 emerging markets countries. In general, the Portfolio was fully invested in equities throughout the year. The average cash level for the period was less than 1% of the Portfolio’s assets.
As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad structural trends in the international equity markets, rather than by the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 16.78% for the Portfolio and 12.62% for the MSCI All Country World ex USA Index (net dividends). In general, non-U.S. large cap stocks underperformed non-U.S. mid cap and small cap stocks over the period. The Portfolio’s lower allocation than the Index to large cap stocks and its greater allocation to small cap stocks were the primary sources of the Portfolio’s relative outperformance.
10
DFA INVESTMENT DIMENSIONS GROUP INC.
(Unaudited)
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The Expense Tables below illustrate your fund’s costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.
Six Months Ended October 31, 2010
EXPENSE TABLES
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
Tax-Managed U.S. Marketwide Value Portfolio** | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 972.80 | 0.37% | $1.84 | ||||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,023.34 | 0.37% | $1.89 |
11
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||
Tax-Managed U.S. Equity Portfolio** | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,007.90 | 0.22% | $1.11 | ||||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.10 | 0.22% | $1.12 | ||||||||||
Tax-Managed U.S. Targeted Value Portfolio | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 964.50 | 0.44% | $2.18 | ||||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,022.99 | 0.44% | $2.24 | ||||||||||
Tax-Managed U.S. Small Cap Portfolio | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 984.20 | 0.52% | $2.60 | ||||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,022.58 | 0.52% | $2.65 | ||||||||||
T.A. U.S. Core Equity 2 Portfolio | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 990.60 | 0.25% | $1.25 | ||||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,023.95 | 0.25% | $1.28 | ||||||||||
Tax-Managed DFA International Value Portfolio | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,060.90 | 0.55% | $2.86 | ||||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,022.43 | 0.55% | $2.80 | ||||||||||
T.A. World ex U.S. Core Equity Portfolio | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,077.30 | 0.49% | $2.57 | ||||||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,022.74 | 0.49% | $2.50 |
* | Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. |
** | The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund’s portion of the expenses of its Master Fund (Affiliated Investment Company). |
12
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 29, 2010. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following tables, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, are provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.
The categories of industry classification for the Affiliated Investment Companies are represented in the Disclosure of Portfolio Holdings, which are included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for each of the underlying Master Funds’ holdings which reflect the investments by category.
FEEDER FUNDS
Affiliated Investment Companies | ||
Tax-Managed U.S. Marketwide Value Portfolio | 100.0% | |
Tax-Managed U.S. Equity Portfolio | 100.0% |
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
Tax-Managed U.S. Targeted Value Portfolio | Tax-Managed U.S. Small Cap Portfolio | T.A. U.S. Core Equity 2 Portfolio | ||||||||||||||
Consumer Discretionary | 17.4% | Consumer Discretionary | 16.7% | Consumer Discretionary | 15.3% | |||||||||||
Consumer Staples | 3.9% | Consumer Staples | 3.5% | Consumer Staples | 6.5% | |||||||||||
Energy | 10.6% | Energy | 5.8% | Energy | 10.1% | |||||||||||
Financials | 26.0% | Financials | 15.3% | Financials | 18.1% | |||||||||||
Health Care | 6.5% | Health Care | 11.2% | Health Care | 10.2% | |||||||||||
Industrials | 14.7% | Industrials | 18.3% | Industrials | 14.0% | |||||||||||
Information Technology | 12.3% | Information Technology | 19.7% | Information Technology | 14.9% | |||||||||||
Materials | 7.4% | Materials | 5.8% | Materials | 5.2% | |||||||||||
Other | — | Other | — | Other | — | |||||||||||
Telecommunication Services | 0.7% | Telecommunication Services | 1.1% | Telecommunication Services | 3.2% | |||||||||||
Utilities | 0.5% | Utilities | 2.6% | Utilities | 2.5% | |||||||||||
100.0% | 100.0% | 100.0% |
13
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
Tax-Managed DFA International Value Portfolio | T.A. World ex U.S. Core Equity Portfolio | |||||
Consumer Discretionary | 15.3% | Consumer Discretionary | 13.0% | |||
Consumer Staples | 6.5% | Consumer Staples | 6.6% | |||
Energy | 12.0% | Energy | 8.1% | |||
Financials | 28.8% | Financials | 25.3% | |||
Health Care | 1.4% | Health Care | 3.9% | |||
Industrials | 10.4% | Industrials | 15.9% | |||
Information Technology | 2.7% | Information Technology | 6.3% | |||
Materials | 12.2% | Materials | 14.5% | |||
Telecommunication Services | 7.7% | Other | — | |||
Utilities | 3.0% | Real Estate Investment Trusts | — | |||
100.0% |
Telecommunication Services |
3.3% | ||||
Utilities | 3.1% | |||||
100.0% |
14
DFA INVESTMENT DIMENSIONS GROUP INC.
October 31, 2010
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
Value† | ||||
AFFILIATED INVESTMENT COMPANY — (100.0%) | ||||
Investment in The Tax-Managed U.S. Marketwide Value Series of | ||||
The DFA Investment Trust Company | $ | 1,897,227,075 | ||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY | $ | 1,897,227,075 | ||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||
Investment in Securities (Market Value) | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Affiliated Investment Company | $ | 1,897,227,075 | — | — | $ | 1,897,227,075 |
TAX MANAGED U.S. EQUITY PORTFOLIO
Value† | ||||
AFFILIATED INVESTMENT COMPANY — (100.0%) | ||||
Investment in The Tax-Managed U.S. Equity Series of | ||||
The DFA Investment Trust Company | $ | 1,286,421,762 | ||
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY | $ | 1,286,421,762 | ||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||
Investment in Securities (Market Value) | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Affiliated Investment Company | $ | 1,286,421,762 | — | — | $ | 1,286,421,762 |
See accompanying Notes to Financial Statements.
15
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||
COMMON STOCKS — (89.3%) | ||||||||||||
Consumer Discretionary — (15.5%) | ||||||||||||
#*BJ’s Restaurants, Inc. | 303,336 | $ | 10,055,588 | 0.5% | ||||||||
#Dillard’s, Inc. | 401,591 | 10,244,586 | 0.5% | |||||||||
#*Gaylord Entertainment Co. | 260,518 | 8,685,670 | 0.4% | |||||||||
*Liberty Media Corp. Capital Class A | 360,759 | 20,758,073 | 1.0% | |||||||||
*Mohawk Industries, Inc. | 206,049 | 11,814,850 | 0.5% | |||||||||
#*Royal Caribbean Cruises, Ltd. | 333,477 | 13,185,681 | 0.6% | |||||||||
#*Saks, Inc. | 900,209 | 10,028,328 | 0.5% | |||||||||
*Wyndham Worldwide Corp. | 377,800 | 10,861,750 | 0.5% | |||||||||
Other Securities | 275,438,395 | 12.8% | ||||||||||
Total Consumer Discretionary | 371,072,921 | 17.3% | ||||||||||
Consumer Staples — (3.5%) | ||||||||||||
Del Monte Foods Co. | 708,356 | 10,157,825 | 0.5% | |||||||||
*Ralcorp Holdings, Inc. | 149,606 | 9,284,548 | 0.4% | |||||||||
Other Securities | 64,705,762 | 3.0% | ||||||||||
Total Consumer Staples | 84,148,135 | 3.9% | ||||||||||
Energy — (9.5%) | ||||||||||||
Cimarex Energy Co. | 252,215 | 19,357,501 | 0.9% | |||||||||
*Complete Production Services, Inc. | 321,689 | 7,537,173 | 0.4% | |||||||||
#*Exterran Holdings, Inc. | 296,231 | 7,456,134 | 0.4% | |||||||||
Patterson-UTI Energy, Inc. | 473,266 | 9,186,093 | 0.4% | |||||||||
*Plains Exploration & Production Co. | 367,516 | 10,242,671 | 0.5% | |||||||||
*Rowan Cos., Inc. | 322,685 | 10,616,336 | 0.5% | |||||||||
*Sunoco, Inc. | 244,020 | 9,143,429 | 0.4% | |||||||||
*Whiting Petroleum Corp. | 167,363 | 16,809,940 | 0.8% | |||||||||
Other Securities | 136,156,860 | 6.3% | ||||||||||
Total Energy | 226,506,137 | 10.6% | ||||||||||
Financials — (23.2%) | ||||||||||||
Allied World Assurance Co. Holdings, Ltd. | 135,681 | 7,762,310 | 0.4% | |||||||||
*American Capital, Ltd. | 1,046,025 | 7,301,254 | 0.3% | |||||||||
American Financial Group, Inc. | 338,085 | 10,338,639 | 0.5% | |||||||||
*Assurant, Inc. | 210,530 | 8,324,356 | 0.4% | |||||||||
#Comerica, Inc. | 191,316 | 6,845,286 | 0.3% | |||||||||
Endurance Specialty Holdings, Ltd. | 174,222 | 7,212,791 | 0.3% | |||||||||
Harleysville Group, Inc. | 219,301 | 7,528,603 | 0.4% | |||||||||
Huntington Bancshares, Inc. | 1,265,538 | 7,175,600 | 0.3% | |||||||||
#*MBIA, Inc. | 629,793 | 7,059,980 | 0.3% | |||||||||
#*Old Republic International Corp. | 785,781 | 10,372,309 | 0.5% | |||||||||
Reinsurance Group of America, Inc. | 235,808 | 11,806,907 | 0.6% | |||||||||
Transatlantic Holdings, Inc. | 222,479 | 11,702,395 | 0.5% | |||||||||
Validus Holdings, Ltd. | 318,676 | 9,037,651 | 0.4% | |||||||||
White Mountains Insurance Group, Ltd. | 24,056 | 7,678,675 | 0.4% | |||||||||
Other Securities | 433,406,221 | 20.2% | ||||||||||
Total Financials | 553,552,977 | 25.8% | ||||||||||
Health Care — (5.8%) | ||||||||||||
*HealthSpring, Inc. | 285,272 | 8,327,090 | 0.4% | |||||||||
*Hologic, Inc. | 573,148 | 9,181,831 | 0.4% | |||||||||
Omnicare, Inc. | 341,925 | 8,247,231 | 0.4% | |||||||||
#*Viropharma, Inc. | 429,403 | 7,025,033 | 0.3% | |||||||||
Other Securities | 104,891,927 | 4.9% | ||||||||||
Total Health Care | 137,673,112 | 6.4% | ||||||||||
16
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Shares | Value† | Percentage of Net Assets** | ||||||||||
Industrials — (13.2%) | ||||||||||||
*Alaska Air Group, Inc. | 144,700 | $ 7,640,160 | 0.3% | |||||||||
*Amerco, Inc. | 93,653 | 7,709,515 | 0.4% | |||||||||
*Esterline Technologies Corp. | 118,749 | 7,177,190 | 0.3% | |||||||||
*Owens Corning, Inc. | 367,806 | 9,945,474 | 0.5% | |||||||||
*Ryder System, Inc. | 255,543 | 11,180,006 | 0.5% | |||||||||
*Trimas Corp. | 464,012 | 7,345,310 | 0.3% | |||||||||
Other Securities | 263,364,541 | 12.3% | ||||||||||
Total Industrials | 314,362,196 | 14.6% | ||||||||||
Information Technology — (11.0%) | ||||||||||||
*Arrow Electronics, Inc. | 302,018 | 8,942,753 | 0.4% | |||||||||
*IAC/InterActiveCorp. | 403,904 | 11,268,922 | 0.5% | |||||||||
*Ingram Micro, Inc. | 524,552 | 9,263,588 | 0.4% | |||||||||
*Sandisk Corp. | 371,916 | 13,976,603 | 0.7% | |||||||||
Other Securities | 219,785,488 | 10.3% | ||||||||||
Total Information Technology | 263,237,354 | 12.3% | ||||||||||
Materials — (6.6%) | ||||||||||||
Ashland, Inc. | 194,884 | 10,061,861 | 0.5% | |||||||||
#Domtar Corp. | 106,552 | 8,455,967 | 0.4% | |||||||||
*MeadWestavco Corp. | 417,215 | 10,734,942 | 0.5% | |||||||||
Reliance Steel & Aluminum Co. | 200,657 | 8,397,495 | 0.4% | |||||||||
Other Securities | 119,422,460 | 5.5% | ||||||||||
Total Materials | 157,072,725 | 7.3% | ||||||||||
Other — (0.0%) | ||||||||||||
Other Securities | 294 | 0.0% | ||||||||||
Telecommunication Services — (0.6%) | ||||||||||||
Other Securities | 15,249,120 | 0.7% | ||||||||||
Utilities — (0.4%) | ||||||||||||
Other Securities | 10,595,170 | 0.5% | ||||||||||
TOTAL COMMON STOCKS | 2,133,470,141 | 99.4% | ||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||
Other Securities | — | 0.0% | ||||||||||
TEMPORARY CASH INVESTMENTS — (0.4%) | ||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares | 9,014,297 | 9,014,297 | 0.4% | |||||||||
Shares/ Face Amount | ||||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (10.3%) | ||||||||||||
§@DFA Short Term Investment Fund | 244,801,010 | 244,801,010 | 11.4% | |||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $1,165 | 1,165,272 | 0.1% | |||||||||
TOTAL SECURITIES LENDING COLLATERAL | 245,966,282 | 11.5% | ||||||||||
TOTAL INVESTMENTS — (100.0%) | $2,388,450,720 | 111.3% | ||||||||||
17
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Consumer Discretionary | $ | 371,072,921 | — | — | $ | 371,072,921 | ||||||||||||
Consumer Staples | 84,148,135 | — | — | 84,148,135 | ||||||||||||||
Energy | 226,506,137 | — | — | 226,506,137 | ||||||||||||||
Financials | 553,552,977 | — | — | 553,552,977 | ||||||||||||||
Health Care | 137,673,112 | — | — | 137,673,112 | ||||||||||||||
Industrials | 314,362,196 | — | — | 314,362,196 | ||||||||||||||
Information Technology | 263,237,354 | — | — | 263,237,354 | ||||||||||||||
Materials | 157,072,725 | — | — | 157,072,725 | ||||||||||||||
Other | — | $ | 294 | — | 294 | |||||||||||||
Telecommunication Services | 15,249,120 | — | — | 15,249,120 | ||||||||||||||
Utilities | 10,595,170 | — | — | 10,595,170 | ||||||||||||||
Rights/Warrants | — | — | — | — | ||||||||||||||
Temporary Cash Investments | 9,014,297 | — | — | 9,014,297 | ||||||||||||||
Securities Lending Collateral | — | 245,966,282 | — | 245,966,282 | ||||||||||||||
TOTAL | $ | 2,142,484,144 | $ | 245,966,576 | — | $ | 2,388,450,720 | |||||||||||
See accompanying Notes to Financial Statements.
18
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage of Net Assets** | ||||||||||
COMMON STOCKS — (86.5%) | ||||||||||||
Consumer Discretionary — (14.5%) | ||||||||||||
#*Coinstar, Inc. | 30,098 | $ | 1,733,043 | 0.1% | ||||||||
*Deckers Outdoor Corp. | 31,403 | 1,824,514 | 0.2% | |||||||||
Dillard’s, Inc. | 80,522 | 2,054,116 | 0.2% | |||||||||
*Gaylord Entertainment Co. | 63,237 | 2,108,322 | 0.2% | |||||||||
#*Gymboree Corp. | 26,480 | 1,722,789 | 0.1% | |||||||||
Jarden Corp. | 84,932 | 2,722,920 | 0.2% | |||||||||
*Jo-Ann Stores, Inc. | 51,236 | 2,215,957 | 0.2% | |||||||||
#*Jos. A. Bank Clothiers, Inc. | 41,851 | 1,824,704 | 0.2% | |||||||||
*Saks, Inc. | 221,647 | 2,469,148 | 0.2% | |||||||||
#*Sally Beauty Holdings, Inc. | 176,477 | 2,147,725 | 0.2% | |||||||||
#*Steven Madden, Ltd. | 41,311 | 1,747,455 | 0.1% | |||||||||
*Tenneco, Inc. | 54,920 | 1,791,490 | 0.2% | |||||||||
#*Under Armour, Inc. Class A | 37,810 | 1,764,971 | 0.2% | |||||||||
*Valassis Communications, Inc. | 73,609 | 2,429,097 | 0.2% | |||||||||
Other Securities | 161,168,639 | 14.1% | ||||||||||
Total Consumer Discretionary | 189,724,890 | 16.6% | ||||||||||
Consumer Staples — (3.0%) | ||||||||||||
#*TreeHouse Foods, Inc. | 42,638 | 1,991,195 | 0.2% | |||||||||
Other Securities | 37,570,020 | 3.3% | ||||||||||
Total Consumer Staples | 39,561,215 | 3.5% | ||||||||||
Energy — (5.0%) | ||||||||||||
*Complete Production Services, Inc. | 82,455 | 1,931,921 | 0.2% | |||||||||
#*Exterran Holdings, Inc. | 79,322 | 1,996,535 | 0.2% | |||||||||
Lufkin Industries, Inc. | 36,862 | 1,800,709 | 0.1% | |||||||||
RPC, Inc. | 99,516 | 2,190,347 | 0.2% | |||||||||
Other Securities | 57,311,819 | 5.0% | ||||||||||
Total Energy | 65,231,331 | 5.7% | ||||||||||
Financials — (13.2%) | ||||||||||||
IBERIABANK Corp. | 33,556 | 1,746,590 | 0.2% | |||||||||
*Investors Bancorp, Inc. | 156,387 | 1,876,644 | 0.2% | |||||||||
#*MBIA, Inc. | 208,470 | 2,336,949 | 0.2% | |||||||||
Unitrin, Inc. | 71,846 | 1,745,858 | 0.1% | |||||||||
Other Securities | 166,000,105 | 14.5% | ||||||||||
Total Financials | 173,706,146 | 15.2% | ||||||||||
Health Care — (9.7%) | ||||||||||||
*HealthSpring, Inc. | 63,300 | 1,847,727 | 0.2% | |||||||||
Hill-Rom Holdings, Inc. | 45,073 | 1,746,579 | 0.1% | |||||||||
#*Incyte Corp. | 121,700 | 2,027,522 | 0.2% | |||||||||
#*Salix Pharmaceuticals, Ltd. | 137,067 | 5,185,245 | 0.4% | |||||||||
#*Viropharma, Inc. | 115,735 | 1,893,425 | 0.2% | |||||||||
Other Securities | 114,147,451 | 10.0% | ||||||||||
Total Health Care | 126,847,949 | 11.1% | ||||||||||
Industrials — (15.8%) | ||||||||||||
*Alaska Air Group, Inc. | 44,988 | 2,375,366 | 0.2% | |||||||||
*Amerco, Inc. | 25,903 | 2,132,335 | 0.2% | |||||||||
*Esterline Technologies Corp. | 38,891 | 2,350,572 | 0.2% | |||||||||
#GATX Corp. | 55,410 | 1,754,281 | 0.1% | |||||||||
*GEO Group, Inc. (The) | 94,584 | 2,426,080 | 0.2% | |||||||||
#Triumph Group, Inc. | 24,063 | 2,011,426 | 0.2% | |||||||||
#*United Continental Holdings, Inc. | 66,200 | 1,922,448 | 0.2% | |||||||||
*US Airways Group, Inc. | 171,505 | 2,022,044 | 0.2% |
19
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
Shares | Value† | Percentage of Net Assets** | ||||||||||
Industrials — (Continued) | ||||||||||||
#*WESCO International, Inc. | 43,574 | $ | 1,865,839 | 0.2% | ||||||||
Other Securities | 189,061,387 | 16.5% | ||||||||||
Total Industrials | 207,921,778 | 18.2% | ||||||||||
Information Technology — (17.1%) | ||||||||||||
*Acme Packet, Inc. | 95,296 | 3,768,957 | 0.3% | |||||||||
*Ariba, Inc. | 96,871 | 1,819,237 | 0.1% | |||||||||
*CACI International, Inc. | 42,100 | 2,110,052 | 0.2% | |||||||||
iGATE Corp. | 105,715 | 2,160,815 | 0.2% | |||||||||
#*Isilon Systems, Inc. | 78,525 | 2,235,607 | 0.2% | |||||||||
*Lawson Software, Inc. | 203,429 | 1,810,518 | 0.1% | |||||||||
Sapient Corp. | 142,342 | 1,873,221 | 0.2% | |||||||||
*SuccessFactors, Inc. | 70,251 | 1,905,207 | 0.2% | |||||||||
Other Securities | 206,172,894 | 18.1% | ||||||||||
Total Information Technology | 223,856,508 | 19.6% | ||||||||||
Materials — (5.0%) | ||||||||||||
Cabot Corp. | 74,528 | 2,535,443 | 0.2% | |||||||||
Carpenter Technology Corp. | 53,831 | 1,919,613 | 0.2% | |||||||||
*Kronos Worldwide, Inc. | 46,501 | 1,880,965 | 0.2% | |||||||||
Sensient Technologies Corp. | 52,915 | 1,709,684 | 0.1% | |||||||||
Other Securities | 57,313,002 | 5.0% | ||||||||||
Total Materials | 65,358,707 | 5.7% | ||||||||||
Other — (0.0%) | ||||||||||||
Other Securities | 312 | 0.0% | ||||||||||
Telecommunication Services — (1.0%) | ||||||||||||
*Syniverse Holdings, Inc. | 68,473 | 2,087,742 | 0.2% | |||||||||
Other Securities | 10,573,824 | 0.9% | ||||||||||
Total Telecommunication Services | 12,661,566 | 1.1% | ||||||||||
Utilities — (2.2%) | ||||||||||||
Other Securities | 28,911,543 | 2.6% | ||||||||||
TOTAL COMMON STOCKS | 1,133,781,945 | 99.3% | ||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||
Other Securities | 8 | 0.0% | ||||||||||
TEMPORARY CASH INVESTMENTS — (0.5%) | ||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares | 6,948,419 | 6,948,419 | 0.6% | |||||||||
Shares/ Face Amount | ||||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (13.0%) | ||||||||||||
§@DFA Short Term Investment Fund | 170,096,300 | 170,096,300 | 14.9% | |||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $810 | 809,671 | 0.1% | |||||||||
TOTAL SECURITIES LENDING COLLATERAL | 170,905,971 | 15.0% | ||||||||||
20
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
Value† | Percentage | |||||||
TOTAL INVESTMENTS — (100.0%) | $1,311,636,343 | 114.9% | ||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Common Stocks | ||||||||||||||||||||
Consumer Discretionary | $ | 189,724,890 | — | — | $ | 189,724,890 | ||||||||||||||
Consumer Staples | 39,561,215 | — | — | 39,561,215 | ||||||||||||||||
Energy | 65,231,331 | — | — | 65,231,331 | ||||||||||||||||
Financials | 173,706,146 | — | — | 173,706,146 | ||||||||||||||||
Health Care | 126,785,021 | $62,928 | — | 126,847,949 | ||||||||||||||||
Industrials | 207,921,778 | — | — | 207,921,778 | ||||||||||||||||
Information Technology | 223,856,508 | — | — | 223,856,508 | ||||||||||||||||
Materials | 65,358,707 | — | — | 65,358,707 | ||||||||||||||||
Other | — | 312 | — | 312 | ||||||||||||||||
Telecommunication Services | 12,661,566 | — | — | 12,661,566 | ||||||||||||||||
Utilities | 28,911,543 | — | — | 28,911,543 | ||||||||||||||||
Rights/Warrants | 8 | — | — | 8 | ||||||||||||||||
Temporary Cash Investments | 6,948,419 | — | — | 6,948,419 | ||||||||||||||||
Securities Lending Collateral | — | 170,905,971 | — | 170,905,971 | ||||||||||||||||
TOTAL | $ | 1,140,667,132 | $170,969,211 | — | $ | 1,311,636,343 | ||||||||||||||
See accompanying Notes to Financial Statements.
21
T.A. U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||
COMMON STOCKS — (90.3%) | ||||||||||||
Consumer Discretionary — (13.8%) | ||||||||||||
*Carnival Corp. | 118,459 | $ | 5,113,875 | 0.2% | ||||||||
*Comcast Corp. Class A | 365,942 | 7,531,086 | 0.4% | |||||||||
*DIRECTV Class A | 128,508 | 5,584,958 | 0.3% | |||||||||
#*Las Vegas Sands Corp. | 110,371 | 5,063,821 | 0.2% | |||||||||
*Lowe’s Cos., Inc. | 240,682 | 5,133,747 | 0.3% | |||||||||
*News Corp. Class A | 361,845 | 5,232,279 | 0.3% | |||||||||
*Time Warner Cable, Inc. | 88,298 | 5,109,805 | 0.2% | |||||||||
*Time Warner, Inc. | 203,427 | 6,613,412 | 0.3% | |||||||||
Walt Disney Co. (The) | 364,790 | 13,172,567 | 0.7% | |||||||||
Other Securities | 249,598,167 | 12.4% | ||||||||||
Total Consumer Discretionary | 308,153,717 | 15.3% | ||||||||||
Consumer Staples — (5.8%) | ||||||||||||
Coca-Cola Co. (The) | 80,301 | 4,924,057 | 0.2% | |||||||||
*CVS Caremark Corp. | 248,698 | 7,490,784 | 0.4% | |||||||||
Kraft Foods, Inc. | 297,509 | 9,600,615 | 0.5% | |||||||||
*Procter & Gamble Co. (The) | 231,134 | 14,693,188 | 0.7% | |||||||||
*Wal-Mart Stores, Inc. | 99,788 | 5,405,516 | 0.3% | |||||||||
Other Securities | 87,395,659 | 4.3% | ||||||||||
Total Consumer Staples | 129,509,819 | 6.4% | ||||||||||
Energy — (9.2%) | ||||||||||||
*Anadarko Petroleum Corp. | 80,333 | 4,946,103 | 0.3% | |||||||||
*Apache Corp. | 57,291 | 5,787,537 | 0.3% | |||||||||
*Chevron Corp. | 318,282 | 26,293,276 | 1.3% | |||||||||
*ConocoPhillips | 243,885 | 14,486,769 | 0.7% | |||||||||
*Exxon Mobil Corp. | 329,464 | 21,899,472 | 1.1% | |||||||||
*Marathon Oil Corp. | 136,394 | 4,851,535 | 0.2% | |||||||||
Occidental Petroleum Corp. | 62,864 | 4,942,996 | 0.2% | |||||||||
Other Securities | 120,525,932 | 6.0% | ||||||||||
Total Energy | 203,733,620 | 10.1% | ||||||||||
Financials — (16.3%) | ||||||||||||
*Bank of America Corp. | 1,258,906 | 14,401,885 | 0.7% | |||||||||
*Bank of New York Mellon Corp. (The) | 200,418 | 5,022,475 | 0.3% | |||||||||
*Citigroup, Inc. | 1,845,315 | 7,694,964 | 0.4% | |||||||||
*Goldman Sachs Group, Inc. (The) | 83,669 | 13,466,526 | 0.7% | |||||||||
*JPMorgan Chase & Co. | 762,068 | 28,676,619 | 1.4% | |||||||||
*MetLife, Inc. | 149,939 | 6,047,040 | 0.3% | |||||||||
*Morgan Stanley | 221,389 | 5,505,944 | 0.3% | |||||||||
*PNC Financial Services Group, Inc. | 88,597 | 4,775,378 | 0.2% | |||||||||
Travelers Cos., Inc. (The) | 100,570 | 5,551,464 | 0.3% | |||||||||
*Wells Fargo & Co. | 864,518 | 22,546,629 | 1.1% | |||||||||
Other Securities | 250,161,546 | 12.4% | ||||||||||
Total Financials | 363,850,470 | 18.1% | ||||||||||
Health Care — (9.2%) | ||||||||||||
*Amgen, Inc. | 81,700 | 4,672,423 | 0.2% | |||||||||
*Johnson & Johnson | 138,537 | 8,820,651 | 0.4% | |||||||||
Merck & Co., Inc. | 258,176 | 9,366,625 | 0.5% | |||||||||
*Pfizer, Inc. | 987,986 | 17,190,956 | 0.9% | |||||||||
UnitedHealth Group, Inc. | 207,950 | 7,496,598 | 0.4% | |||||||||
Other Securities | 156,582,314 | 7.8% | ||||||||||
Total Health Care | 204,129,567 | 10.2% | ||||||||||
22
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Shares | Value† | Percentage | ||||||||||
Industrials — (12.6%) | ||||||||||||
General Electric Co. | 1,802,170 | $ | 28,870,763 | 1.4% | ||||||||
*Union Pacific Corp. | 90,959 | 7,975,285 | 0.4% | |||||||||
Other Securities | 243,759,465 | 12.1% | ||||||||||
Total Industrials | 280,605,513 | 13.9% | ||||||||||
Information Technology — (13.5%) | ||||||||||||
*Apple, Inc. | 31,194 | 9,385,339 | 0.5% | |||||||||
*Cisco Sytems, Inc. | 289,961 | 6,619,810 | 0.3% | |||||||||
*Corning, Inc. | 271,519 | 4,963,367 | 0.2% | |||||||||
*Google, Inc. | 8,440 | 5,173,636 | 0.3% | |||||||||
Hewlett-Packard Co. | 153,913 | 6,473,581 | 0.3% | |||||||||
*Intel Corp. | 390,645 | 7,840,245 | 0.4% | |||||||||
*International Business Machines Corp. | 45,223 | 6,494,023 | 0.3% | |||||||||
*Microsoft Corp. | 282,322 | 7,521,058 | 0.4% | |||||||||
*Oracle Corp. | 192,650 | 5,663,910 | 0.3% | |||||||||
Other Securities | 239,346,980 | 11.9% | ||||||||||
Total Information Technology | 299,481,949 | 14.9% | ||||||||||
Materials — (4.7%) | ||||||||||||
Dow Chemical Co. (The) | 187,438 | 5,778,714 | 0.3% | |||||||||
Other Securities | 99,574,240 | 4.9% | ||||||||||
Total Materials | 105,352,954 | 5.2% | ||||||||||
Other — (0.0%) | ||||||||||||
Other Securities | — | 0.0% | ||||||||||
Telecommunication Services — (2.9%) | ||||||||||||
*AT&T, Inc. | 980,996 | 27,958,386 | 1.4% | |||||||||
*Verizon Communications, Inc. | 491,483 | 15,958,453 | 0.8% | |||||||||
Other Securities | 20,711,299 | 1.0% | ||||||||||
Total Telecommunication Services | 64,628,138 | 3.2% | ||||||||||
Utilities — (2.3%) | ||||||||||||
Other Securities | 50,624,088 | 2.5% | ||||||||||
TOTAL COMMON STOCKS | 2,010,069,835 | 99.8% | ||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||
Other Securities | 48,660 | 0.0% | ||||||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares | 6,316,781 | 6,316,781 | 0.3% | |||||||||
Shares/ Face Amount | ||||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (9.4%) | ||||||||||||
§@DFA Short Term Investment Fund | 208,944,557 | 208,944,557 | 10.4% | |||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $995 | 994,593 | 0.0% | |||||||||
TOTAL SECURITIES LENDING COLLATERAL | 209,939,150 | 10.4% | ||||||||||
23
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Value† | Percentage | |||||||
TOTAL INVESTMENTS — (100.0%) | $ | 2,226,374,426 | 110.5% | |||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Consumer Discretionary | $ | 308,153,717 | — | — | $ | 308,153,717 | ||||||||||||
Consumer Staples | 129,509,819 | — | — | 129,509,819 | ||||||||||||||
Energy | 203,733,620 | — | — | 203,733,620 | ||||||||||||||
Financials | 363,850,470 | — | — | 363,850,470 | ||||||||||||||
Health Care | 204,105,130 | $ | 24,437 | — | 204,129,567 | |||||||||||||
Industrials | 280,605,513 | — | — | 280,605,513 | ||||||||||||||
Information Technology | 299,481,949 | — | — | 299,481,949 | ||||||||||||||
Materials | 105,352,954 | — | — | 105,352,954 | ||||||||||||||
Other | — | — | — | — | ||||||||||||||
Telecommunication Services | 64,628,138 | — | — | 64,628,138 | ||||||||||||||
Utilities | 50,624,088 | — | — | 50,624,088 | ||||||||||||||
Rights/Warrants | 48,660 | — | — | 48,660 | ||||||||||||||
Temporary Cash Investments | 6,316,781 | — | — | 6,316,781 | ||||||||||||||
Securities Lending Collateral | — | 209,939,150 | — | 209,939,150 | ||||||||||||||
TOTAL | $ | 2,016,410,839 | $ | 209,963,587 | — | $ | 2,226,374,426 | |||||||||||
See accompanying Notes to Financial Statements.
24
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||
COMMON STOCKS — (94.6%) | ||||||||||||
AUSTRALIA — (5.6%) | ||||||||||||
Origin Energy, Ltd. | 563,370 | $ | 8,819,714 | 0.5% | ||||||||
Wesfarmers, Ltd. | 881,538 | 28,682,249 | 1.6% | |||||||||
Other Securities | 69,784,182 | 3.8% | ||||||||||
TOTAL AUSTRALIA | 107,286,145 | 5.9% | ||||||||||
AUSTRIA — (0.2%) | ||||||||||||
Other Securities | 4,519,750 | 0.2% | ||||||||||
BELGIUM — (0.9%) | ||||||||||||
Other Securities | 16,793,014 | 0.9% | ||||||||||
CANADA — (10.9%) | ||||||||||||
Encana Corp. | 494,397 | 13,965,661 | 0.8% | |||||||||
Goldcorp, Inc. | 236,291 | 10,550,733 | 0.6% | |||||||||
#Sun Life Financial, Inc. | 494,520 | 13,993,379 | 0.8% | |||||||||
Suncor Energy, Inc. | 975,599 | 31,260,492 | 1.7% | |||||||||
Talisman Energy, Inc. | 665,333 | 12,061,974 | 0.6% | |||||||||
Teck Resources, Ltd. Class B | 321,554 | 14,376,765 | 0.8% | |||||||||
Thomson Reuters Corp. | 335,015 | 12,794,229 | 0.7% | |||||||||
#TransCanada Corp. | 515,120 | 19,025,954 | 1.0% | |||||||||
Other Securities | 81,201,114 | 4.4% | ||||||||||
TOTAL CANADA | 209,230,301 | 11.4% | ||||||||||
DENMARK — (1.5%) | ||||||||||||
Other Securities | 28,047,996 | 1.5% | ||||||||||
FINLAND — (1.1%) | ||||||||||||
Other Securities | 20,672,972 | 1.1% | ||||||||||
FRANCE — (8.5%) | ||||||||||||
AXA SA | 948,963 | 17,306,259 | 0.9% | |||||||||
Cie de Saint-Gobain SA | 276,766 | 13,003,164 | 0.7% | |||||||||
Credit Agricole SA | 628,325 | 10,304,976 | 0.6% | |||||||||
GDF Suez SA | 462,170 | 18,467,008 | 1.0% | |||||||||
PPR SA | 61,307 | 10,083,381 | 0.5% | |||||||||
Societe Generale Paris SA | 234,110 | 14,038,385 | 0.8% | |||||||||
Vivendi SA | 685,233 | 19,580,658 | 1.1% | |||||||||
Other Securities | 59,815,050 | 3.3% | ||||||||||
TOTAL FRANCE | 162,598,881 | 8.9% | ||||||||||
GERMANY — (9.0%) | ||||||||||||
Allianz SE | 188,633 | 23,624,718 | 1.3% | |||||||||
Allianz SE Sponsored ADR | 716,588 | 8,978,848 | 0.5% | |||||||||
Bayerische Motoren Werke AG | 235,671 | 16,891,113 | 0.9% | |||||||||
*Daimler AG | 448,509 | 29,639,024 | 1.6% | |||||||||
#Deutsche Bank AG | 239,182 | 13,843,854 | 0.8% | |||||||||
Deutsche Telekom AG | 920,799 | 13,326,266 | 0.7% | |||||||||
Deutsche Telekom AG Sponsored ADR | 681,300 | 9,817,533 | 0.5% | |||||||||
E.ON AG | 395,718 | 12,408,174 | 0.7% | |||||||||
Munchener Rueckversicherungs-Gesellschaft AG | 109,310 | 17,085,233 | 0.9% | |||||||||
Other Securities | 26,921,126 | 1.5% | ||||||||||
TOTAL GERMANY | 172,535,889 | 9.4% | ||||||||||
GREECE — (0.1%) | ||||||||||||
Other Securities | 1,827,895 | 0.1% | ||||||||||
25
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||
HONG KONG — (2.0%) | ||||||||||||
Hutchison Whampoa, Ltd. | 1,741,000 | $ | 17,217,005 | 1.0% | ||||||||
Other Securities | 20,775,115 | 1.1% | ||||||||||
TOTAL HONG KONG | 37,992,120 | 2.1% | ||||||||||
IRELAND — (0.1%) | ||||||||||||
Other Securities | 2,862,712 | 0.2% | ||||||||||
ISRAEL — (0.3%) | ||||||||||||
Other Securities | 5,963,237 | 0.3% | ||||||||||
ITALY — (1.4%) | ||||||||||||
Other Securities | 26,017,015 | 1.4% | ||||||||||
JAPAN — (19.1%) | ||||||||||||
FUJIFILM Holdings Corp. | 363,000 | 12,110,263 | 0.7% | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 2,868,387 | 13,312,196 | 0.7% | |||||||||
#Sony Corp. Sponsored ADR | 643,747 | 21,784,398 | 1.2% | |||||||||
Sumitomo Corp. | 726,600 | 9,199,344 | 0.5% | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 342,327 | 10,217,689 | 0.6% | |||||||||
*Toyota Motor Corp. Sponsored ADR | 268,360 | 19,005,255 | 1.0% | |||||||||
Other Securities | 282,556,722 | 15.4% | ||||||||||
TOTAL JAPAN | 368,185,867 | 20.1% | ||||||||||
NETHERLANDS — (3.3%) | ||||||||||||
ArcelorMittal NV | 511,865 | 16,563,216 | 0.9% | |||||||||
Koninklijke Philips Electronics NV | 637,442 | 19,443,577 | 1.1% | |||||||||
Other Securities | 28,454,016 | 1.5% | ||||||||||
TOTAL NETHERLANDS | 64,460,809 | 3.5% | ||||||||||
NEW ZEALAND — (0.1%) | ||||||||||||
Other Securities | 1,589,321 | 0.1% | ||||||||||
NORWAY — (1.2%) | ||||||||||||
Other Securities | 23,608,778 | 1.3% | ||||||||||
PORTUGAL — (0.1%) | ||||||||||||
Other Securities | 2,119,369 | 0.1% | ||||||||||
SINGAPORE — (1.3%) | ||||||||||||
Other Securities | 25,955,210 | 1.4% | ||||||||||
SPAIN — (2.3%) | ||||||||||||
Repsol YPF SA | 391,406 | 10,853,896 | 0.6% | |||||||||
Other Securities | 33,257,894 | 1.8% | ||||||||||
TOTAL SPAIN | 44,111,790 | 2.4% | ||||||||||
SWEDEN — (2.9%) | ||||||||||||
Nordea Bank AB | 1,902,957 | 20,952,808 | 1.1% | |||||||||
Other Securities | 34,786,764 | 1.9% | ||||||||||
TOTAL SWEDEN | 55,739,572 | 3.0% | ||||||||||
SWITZERLAND — (6.0%) | ||||||||||||
Compagnie Financiere Richemont SA Series A | 317,832 | 15,852,890 | 0.9% | |||||||||
Holcim, Ltd. AG | 205,405 | 12,795,970 | 0.7% | |||||||||
Swiss Reinsurance Co., Ltd. AG | 263,053 | 12,638,940 | 0.7% | |||||||||
Zurich Financial Services AG | 121,786 | 29,803,157 | 1.6% | |||||||||
Other Securities | 43,728,179 | 2.4% | ||||||||||
TOTAL SWITZERLAND | 114,819,136 | 6.3% | ||||||||||
26
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||
UNITED KINGDOM — (16.7%) | ||||||||||||
Aviva P.L.C. | 1,853,237 | $ | 11,818,742 | 0.6% | ||||||||
Barclays P.L.C. Sponsored ADR | 526,711 | 9,296,449 | 0.5% | |||||||||
International Power P.L.C. | 1,504,089 | 10,035,658 | 0.5% | |||||||||
Kingfisher P.L.C. | 2,682,072 | 10,217,655 | 0.6% | |||||||||
Royal Dutch Shell P.L.C. ADR | 984,627 | 63,331,209 | 3.5% | |||||||||
Vodafone Group P.L.C. | 15,557,592 | 42,528,527 | 2.3% | |||||||||
Vodafone Group P.L.C. Sponsored ADR | 1,779,829 | 48,963,096 | 2.7% | |||||||||
William Morrison Supermarkets P.L.C. | 2,153,935 | 10,136,987 | 0.6% | |||||||||
Xstrata P.L.C. | 1,031,575 | 19,985,101 | 1.1% | |||||||||
Other Securities | 95,720,005 | 5.2% | ||||||||||
TOTAL UNITED KINGDOM | 322,033,429 | 17.6% | ||||||||||
TOTAL COMMON STOCKS | 1,818,971,208 | 99.2% | ||||||||||
Face Amount | Value† | |||||||||||
(000) | ||||||||||||
TEMPORARY CASH INVESTMENTS — (0.1%) | ||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, | $1,507 | 1,507,000 | 0.1% | |||||||||
Shares/ Face Amount | ||||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (5.3%) | ||||||||||||
§@DFA Short Term Investment Fund | 101,061,727 | 101,061,727 | 5.5% | |||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, | $1,920 | 1,920,204 | 0.1% | |||||||||
TOTAL SECURITIES LENDING COLLATERAL | 102,981,931 | 5.6% | ||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 1,923,460,139 | 104.9% | |||||||||
27
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Australia | $ | 431,611 | $ | 106,854,534 | — | $ | 107,286,145 | |||||||||||
Austria | — | 4,519,750 | — | 4,519,750 | ||||||||||||||
Belgium | 746,876 | 16,046,138 | — | 16,793,014 | ||||||||||||||
Canada | 209,230,301 | — | — | 209,230,301 | ||||||||||||||
Denmark | — | 28,047,996 | — | 28,047,996 | ||||||||||||||
Finland | — | 20,672,972 | — | 20,672,972 | ||||||||||||||
France | 8,021,263 | 154,577,618 | — | 162,598,881 | ||||||||||||||
Germany | 32,640,235 | 139,895,654 | — | 172,535,889 | ||||||||||||||
Greece | — | 1,827,895 | — | 1,827,895 | ||||||||||||||
Hong Kong | — | 37,992,120 | — | 37,992,120 | ||||||||||||||
Ireland | 2,862,712 | — | — | 2,862,712 | ||||||||||||||
Israel | 935,945 | 5,027,292 | — | 5,963,237 | ||||||||||||||
Italy | 3,148,138 | 22,868,877 | — | 26,017,015 | ||||||||||||||
Japan | 53,919,678 | 314,266,189 | — | 368,185,867 | ||||||||||||||
Netherlands | 2,240,192 | 62,220,617 | — | 64,460,809 | ||||||||||||||
New Zealand | — | 1,589,321 | — | 1,589,321 | ||||||||||||||
Norway | — | 23,608,778 | — | 23,608,778 | ||||||||||||||
Portugal | — | 2,119,369 | — | 2,119,369 | ||||||||||||||
Singapore | — | 25,955,210 | — | 25,955,210 | ||||||||||||||
Spain | 8,699,755 | 35,412,035 | — | 44,111,790 | ||||||||||||||
Sweden | 1,394,477 | 54,345,095 | — | 55,739,572 | ||||||||||||||
Switzerland | 14,957,488 | 99,861,648 | — | 114,819,136 | ||||||||||||||
United Kingdom | 145,201,050 | 176,832,379 | — | 322,033,429 | ||||||||||||||
Temporary Cash Investments | — | 1,507,000 | — | 1,507,000 | ||||||||||||||
Securities Lending Collateral | — | 102,981,931 | — | 102,981,931 | ||||||||||||||
TOTAL | $ | 484,429,721 | $ | 1,439,030,418 | — | $ | 1,923,460,139 | |||||||||||
See accompanying Notes to Financial Statements.
28
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value†† | Percentage | ||||||||||
COMMON STOCKS — (91.8%) | ||||||||||||
AUSTRALIA — (4.6%) | ||||||||||||
Australia & New Zealand Banking Group, Ltd. | 98,486 | $ | 2,402,731 | 0.2% | ||||||||
Commonwealth Bank of Australia NL | 51,776 | 2,489,035 | 0.3% | |||||||||
Other Securities | 42,803,240 | 4.4% | ||||||||||
TOTAL AUSTRALIA | 47,695,006 | 4.9% | ||||||||||
AUSTRIA — (0.4%) | ||||||||||||
Other Securities | 4,218,837 | 0.4% | ||||||||||
BELGIUM — (0.8%) | ||||||||||||
Other Securities | 7,911,471 | 0.8% | ||||||||||
BRAZIL — (2.2%) | ||||||||||||
Petroleo Brasileiro SA ADR | 79,891 | 2,725,881 | 0.3% | |||||||||
Other Securities | 20,292,478 | 2.1% | ||||||||||
TOTAL BRAZIL | 23,018,359 | 2.4% | ||||||||||
CANADA — (6.9%) | ||||||||||||
#Royal Bank of Canada | 39,374 | 2,099,766 | 0.2% | |||||||||
Suncor Energy, Inc. | 70,464 | 2,257,833 | 0.2% | |||||||||
Teck Resources, Ltd. Class B | 51,800 | 2,315,992 | 0.3% | |||||||||
#Toronto Dominion Bank | 37,400 | 2,693,431 | 0.3% | |||||||||
Other Securities | 62,011,625 | 6.4% | ||||||||||
TOTAL CANADA | 71,378,647 | 7.4% | ||||||||||
CHILE — (0.6%) | ||||||||||||
Other Securities | 5,916,367 | 0.6% | ||||||||||
CHINA — (5.3%) | ||||||||||||
Bank of China, Ltd. | 3,518,000 | 2,117,578 | 0.2% | |||||||||
China Construction Bank Corp. | 3,260,000 | 3,116,571 | 0.3% | |||||||||
#China Mobile, Ltd. Sponsored ADR | 58,300 | 2,994,871 | 0.3% | |||||||||
Other Securities | 46,196,609 | 4.8% | ||||||||||
TOTAL CHINA | 54,425,629 | 5.6% | ||||||||||
COLOMBIA — (0.0%) | ||||||||||||
Other Securities | 137,921 | 0.0% | ||||||||||
CZECH REPUBLIC — (0.1%) | ||||||||||||
Other Securities | 869,667 | 0.1% | ||||||||||
DENMARK — (0.7%) | ||||||||||||
Other Securities | 6,843,048 | 0.7% | ||||||||||
EGYPT — (0.0%) | ||||||||||||
Other Securities | 41,782 | 0.0% | ||||||||||
FINLAND — (1.0%) | ||||||||||||
Other Securities | 10,758,461 | 1.1% | ||||||||||
FRANCE — (5.6%) | ||||||||||||
BNP Paribas SA | 48,051 | 3,514,734 | 0.4% | |||||||||
GDF Suez SA | 60,687 | 2,424,881 | 0.2% | |||||||||
Schneider Electric SA | 15,365 | 2,183,086 | 0.2% | |||||||||
Societe Generale Paris SA | 30,461 | 1,826,591 | 0.2% | |||||||||
Total SA Sponsored ADR | 45,819 | 2,496,219 | 0.3% | |||||||||
Other Securities | 45,442,637 | 4.7% | ||||||||||
TOTAL FRANCE | 57,888,148 | 6.0% | ||||||||||
29
T.A. WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||
GERMANY — (4.2%) | ||||||||||||
Allianz SE | 16,512 | $ | 2,067,991 | 0.2% | ||||||||
Bayerische Motoren Werke AG | 25,204 | 1,806,432 | 0.2% | |||||||||
*Daimler AG | 32,217 | 2,129,011 | 0.2% | |||||||||
Deutsche Bank AG | 40,050 | 2,318,094 | 0.2% | |||||||||
E.ON AG | 93,334 | 2,926,590 | 0.3% | |||||||||
Other Securities | 32,383,858 | 3.4% | ||||||||||
TOTAL GERMANY | 43,631,976 | 4.5% | ||||||||||
GREECE — (0.4%) | ||||||||||||
Other Securities | 4,203,608 | 0.4% | ||||||||||
HONG KONG — (1.7%) | ||||||||||||
Other Securities | 17,821,167 | 1.8% | ||||||||||
HUNGARY — (0.1%) | ||||||||||||
Other Securities | 1,253,865 | 0.1% | ||||||||||
INDIA — (2.8%) | ||||||||||||
Other Securities | 28,930,704 | 3.0% | ||||||||||
INDONESIA — (0.8%) | ||||||||||||
Other Securities | 8,544,290 | 0.9% | ||||||||||
IRELAND — (0.4%) | ||||||||||||
Other Securities | 3,768,094 | 0.4% | ||||||||||
ISRAEL — (0.6%) | ||||||||||||
Other Securities | 5,632,811 | 0.6% | ||||||||||
ITALY — (1.9%) | ||||||||||||
UniCredit SpA | 767,057 | 1,999,769 | 0.2% | |||||||||
Other Securities | 17,065,275 | 1.8% | ||||||||||
TOTAL ITALY | 19,065,044 | 2.0% | ||||||||||
JAPAN — (12.9%) | ||||||||||||
Mitsubishi UFJ Financial Group, Inc. ADR | 441,377 | 2,056,817 | 0.2% | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 68,300 | 2,038,601 | 0.2% | |||||||||
*Toyota Motor Corp. Sponsored ADR | 41,264 | 2,922,316 | 0.3% | |||||||||
Other Securities | 126,292,497 | 13.1% | ||||||||||
TOTAL JAPAN | 133,310,231 | 13.8% | ||||||||||
MALAYSIA — (0.9%) | ||||||||||||
Other Securities | 8,737,555 | 0.9% | ||||||||||
MEXICO — (0.9%) | ||||||||||||
Other Securities | 9,661,711 | 1.0% | ||||||||||
NETHERLANDS — (1.8%) | ||||||||||||
*ING Groep NV Sponsored ADR | 263,004 | 2,835,183 | 0.3% | |||||||||
Philips Electronics NV ADR | 60,425 | 1,839,941 | 0.2% | |||||||||
Other Securities | 14,204,562 | 1.5% | ||||||||||
TOTAL NETHERLANDS | 18,879,686 | 2.0% | ||||||||||
NEW ZEALAND — (0.2%) | ||||||||||||
Other Securities | 1,867,013 | 0.2% | ||||||||||
NORWAY — (0.7%) | ||||||||||||
Other Securities | 7,329,693 | 0.8% | ||||||||||
PHILIPPINES — (0.2%) | ||||||||||||
Other Securities | 2,276,205 | 0.2% | ||||||||||
30
T.A. WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||||
POLAND — (0.4%) | ||||||||||||||
Other Securities | $ | 3,939,121 | 0.4% | |||||||||||
PORTUGAL — (0.3%) | ||||||||||||||
Other Securities | 2,878,584 | 0.3% | ||||||||||||
RUSSIA — (0.6%) | ||||||||||||||
Gazprom OAO Sponsored ADR | 100,400 | 2,198,262 | 0.2% | |||||||||||
Other Securities | 4,152,087 | 0.5% | ||||||||||||
TOTAL RUSSIA | 6,350,349 | 0.7% | ||||||||||||
SINGAPORE — (1.2%) | ||||||||||||||
Other Securities | 11,857,759 | 1.2% | ||||||||||||
SOUTH AFRICA — (1.8%) | ||||||||||||||
Other Securities | 18,589,217 | 1.9% | ||||||||||||
SOUTH KOREA — (3.4%) | ||||||||||||||
Samsung Electronics Co., Ltd. | 2,921 | 1,937,867 | 0.2% | |||||||||||
Other Securities | 32,687,796 | 3.4% | ||||||||||||
TOTAL SOUTH KOREA | 34,625,663 | 3.6% | ||||||||||||
SPAIN — (1.8%) | ||||||||||||||
Banco Bilbao Vizcaya Argentaria SA Sponsored ADR | 146,546 | 1,927,080 | 0.2% | |||||||||||
Banco Santander SA | 200,628 | 2,575,182 | 0.3% | |||||||||||
Banco Santander SA Sponsored ADR | 159,655 | 2,045,181 | 0.2% | |||||||||||
Other Securities | 11,641,875 | 1.2% | ||||||||||||
TOTAL SPAIN | 18,189,318 | 1.9% | ||||||||||||
SWEDEN — (2.0%) | ||||||||||||||
Other Securities | 20,189,735 | 2.1% | ||||||||||||
SWITZERLAND — (4.1%) | ||||||||||||||
Holcim, Ltd. AG | 31,260 | 1,947,382 | 0.2% | |||||||||||
Nestle SA | 33,903 | 1,857,020 | 0.2% | |||||||||||
#*Novartis AG ADR | 69,100 | 4,004,345 | 0.4% | |||||||||||
*UBS AG ADR | 128,000 | 2,178,560 | 0.2% | |||||||||||
Zurich Financial Services AG | 13,854 | 3,390,315 | 0.4% | |||||||||||
Other Securities | 28,773,910 | 3.0% | ||||||||||||
TOTAL SWITZERLAND | 42,151,532 | 4.4% | ||||||||||||
TAIWAN — (2.9%) | ||||||||||||||
Other Securities | 29,927,083 | 3.1% | ||||||||||||
THAILAND — (0.5%) | ||||||||||||||
Other Securities | 5,354,380 | 0.6% | ||||||||||||
TURKEY — (0.6%) | ||||||||||||||
Other Securities | 6,289,083 | 0.6% | ||||||||||||
UNITED KINGDOM — (13.5%) | ||||||||||||||
Anglo American P.L.C. | 83,163 | 3,874,831 | 0.4% | |||||||||||
Barclays P.L.C. | 504,400 | 2,216,568 | 0.2% | |||||||||||
*BP P.L.C. Sponsored ADR | 102,720 | 4,194,058 | 0.4% | |||||||||||
HSBC Holdings P.L.C. | 329,616 | 3,430,544 | 0.4% | |||||||||||
HSBC Holdings P.L.C. Sponsored ADR | 107,095 | 5,580,720 | 0.6% | |||||||||||
Royal Dutch Shell P.L.C. ADR | 122,437 | 7,875,148 | 0.8% | |||||||||||
Royal Dutch Shell P.L.C. Series B | 59,695 | 1,910,348 | 0.2% | |||||||||||
SABmiller P.L.C. | 64,455 | 2,091,158 | 0.2% | |||||||||||
Standard Chartered P.L.C. | 141,299 | 4,087,075 | 0.4% | |||||||||||
Tesco P.L.C. | 275,558 | 1,885,825 | 0.2% | |||||||||||
Vodafone Group P.L.C. Sponsored ADR | 259,999 | 7,152,572 | 0.7% |
31
T.A. WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Shares | Value†† | Percentage | ||||||||||
UNITED KINGDOM — (Continued) | ||||||||||||
Xstrata P.L.C. | 176,940 | $ | 3,427,927 | 0.4% | ||||||||
Other Securities | 91,656,636 | 9.5% | ||||||||||
TOTAL UNITED KINGDOM | 139,383,410 | 14.4% | ||||||||||
TOTAL COMMON STOCKS | 945,742,230 | 97.8% | ||||||||||
PREFERRED STOCKS — (1.6%) | ||||||||||||
AUSTRALIA — (0.0%) | ||||||||||||
Other Securities | 15,563 | 0.0% | ||||||||||
BRAZIL — (1.6%) | ||||||||||||
Petroleo Brasileiro SA ADR | 101,922 | 3,178,947 | 0.4% | |||||||||
Vale SA Sponsored ADR | 66,950 | 1,923,474 | 0.2% | |||||||||
Other Securities | 10,903,350 | 1.1% | ||||||||||
TOTAL BRAZIL | 16,005,771 | 1.7% | ||||||||||
GERMANY — (0.0%) | ||||||||||||
Other Securities | 308,861 | 0.0% | ||||||||||
TOTAL PREFERRED STOCKS | 16,330,195 | 1.7% | ||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||
AUSTRIA — (0.0%) | ||||||||||||
Other Securities | 178 | 0.0% | ||||||||||
BELGIUM — (0.0%) | ||||||||||||
Other Securities | 136 | 0.0% | ||||||||||
CHINA — (0.0%) | ||||||||||||
Other Securities | 7,254 | 0.0% | ||||||||||
FRANCE — (0.0%) | ||||||||||||
Other Securities | 3,116 | 0.0% | ||||||||||
HONG KONG — (0.0%) | ||||||||||||
Other Securities | 1,298 | 0.0% | ||||||||||
INDIA — (0.0%) | ||||||||||||
Other Securities | 979 | 0.0% | ||||||||||
MALAYSIA — (0.0%) | ||||||||||||
Other Securities | 209 | 0.0% | ||||||||||
SOUTH KOREA — (0.0%) | ||||||||||||
Other Securities | 6,506 | 0.0% | ||||||||||
TAIWAN — (0.0%) | ||||||||||||
Other Securities | 1,559 | 0.0% | ||||||||||
UNITED KINGDOM — (0.0%) | ||||||||||||
Other Securities | 511,385 | 0.0% | ||||||||||
TOTAL RIGHTS/WARRANTS | 532,620 | 0.0% | ||||||||||
Face | Value† | |||||||||||
(000) | ||||||||||||
TEMPORARY CASH INVESTMENTS — (0.4%) | ||||||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, | $3,643 | 3,643,000 | 0.4% | |||||||||
32
T.A. WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Shares/ Face Amount | Value† | Percentage | ||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (6.2%) | ||||||||||||
§@DFA Short Term Investment Fund | 62,458,696 | $ | 62,458,696 | 6.5% | ||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, | $1,207 | 1,206,726 | 0.1% | |||||||||
TOTAL SECURITIES LENDING COLLATERAL | 63,665,422 | 6.6% | ||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 1,029,913,467 | 106.5% | |||||||||
Summary of inputs used to value the Portfolio’s investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 1,608,002 | $ | 46,087,004 | — | $ | 47,695,006 | |||||||||
Austria | — | 4,218,837 | — | 4,218,837 | ||||||||||||
Belgium | 1,004,227 | 6,907,244 | — | 7,911,471 | ||||||||||||
Brazil | 23,018,359 | — | — | 23,018,359 | ||||||||||||
Canada | 71,378,647 | — | — | 71,378,647 | ||||||||||||
Chile | 5,916,367 | — | — | 5,916,367 | ||||||||||||
China | 9,582,320 | 44,843,309 | — | 54,425,629 | ||||||||||||
Colombia | 137,921 | — | — | 137,921 | ||||||||||||
Czech Republic | — | 869,667 | — | 869,667 | ||||||||||||
Denmark | 370,319 | 6,472,729 | — | 6,843,048 | ||||||||||||
Egypt | — | 41,782 | — | 41,782 | ||||||||||||
Finland | 325,222 | 10,433,239 | — | 10,758,461 | ||||||||||||
France | 6,741,009 | 51,147,139 | — | 57,888,148 | ||||||||||||
Germany | 6,852,478 | 36,779,498 | — | 43,631,976 | ||||||||||||
Greece | 732,037 | 3,471,571 | — | 4,203,608 | ||||||||||||
Hong Kong | 13,359 | 17,807,808 | — | 17,821,167 | ||||||||||||
Hungary | 68,256 | 1,185,609 | — | 1,253,865 | ||||||||||||
India | 1,502,095 | 27,428,609 | — | 28,930,704 | ||||||||||||
Indonesia | 133,780 | 8,410,510 | — | 8,544,290 | ||||||||||||
Ireland | 834,245 | 2,933,849 | — | 3,768,094 | ||||||||||||
Israel | 2,096,553 | 3,536,258 | — | 5,632,811 | ||||||||||||
Italy | 1,351,189 | 17,713,855 | — | 19,065,044 | ||||||||||||
Japan | 13,229,387 | 120,080,844 | — | 133,310,231 | ||||||||||||
Malaysia | 1,325 | 8,736,230 | — | 8,737,555 | ||||||||||||
Mexico | 9,661,711 | — | — | 9,661,711 | ||||||||||||
Netherlands | 7,079,205 | 11,800,481 | — | 18,879,686 | ||||||||||||
New Zealand | 28,152 | 1,838,861 | — | 1,867,013 | ||||||||||||
Norway | 176,328 | 7,153,365 | — | 7,329,693 | ||||||||||||
Philippines | 62,130 | 2,214,075 | — | 2,276,205 | ||||||||||||
Poland | 29,353 | 3,909,768 | — | 3,939,121 | ||||||||||||
Portugal | 18,325 | 2,860,259 | — | 2,878,584 |
33
T.A. WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Russia | $ | 74,688 | $ | 6,275,661 | — | $ | 6,350,349 | |||||||||||
Singapore | 5,007 | 11,852,752 | — | 11,857,759 | ||||||||||||||
South Africa | 2,723,989 | 15,865,228 | — | 18,589,217 | ||||||||||||||
South Korea | 3,527,066 | 31,098,597 | — | 34,625,663 | ||||||||||||||
Spain | 5,891,535 | 12,297,783 | — | 18,189,318 | ||||||||||||||
Sweden | 936,123 | 19,253,612 | — | 20,189,735 | ||||||||||||||
Switzerland | 8,812,584 | 33,338,948 | — | 42,151,532 | ||||||||||||||
Taiwan | 437,355 | 29,489,728 | — | 29,927,083 | ||||||||||||||
Thailand | 5,348,331 | 6,049 | — | 5,354,380 | ||||||||||||||
Turkey | 57,376 | 6,231,707 | — | 6,289,083 | ||||||||||||||
United Kingdom | 34,063,432 | 105,319,978 | — | 139,383,410 | ||||||||||||||
Preferred Stocks | ||||||||||||||||||
Australia | — | 15,563 | — | 15,563 | ||||||||||||||
Brazil | 16,005,771 | — | — | 16,005,771 | ||||||||||||||
Germany | — | 308,861 | — | 308,861 | ||||||||||||||
Rights/Warrants | ||||||||||||||||||
Austria | — | 178 | — | 178 | ||||||||||||||
Belgium | 74 | 62 | — | 136 | ||||||||||||||
China | 7,046 | 208 | — | 7,254 | ||||||||||||||
France | 3,116 | — | — | 3,116 | ||||||||||||||
Hong Kong | 1,282 | 16 | — | 1,298 | ||||||||||||||
India | — | 979 | — | 979 | ||||||||||||||
Malaysia | 209 | — | — | 209 | ||||||||||||||
South Korea | — | 6,506 | — | 6,506 | ||||||||||||||
Taiwan | — | 1,559 | — | 1,559 | ||||||||||||||
United Kingdom | — | 511,385 | — | 511,385 | ||||||||||||||
Temporary Cash Investments | — | 3,643,000 | — | 3,643,000 | ||||||||||||||
Securities Lending Collateral | — | 63,665,422 | — | 63,665,422 | ||||||||||||||
TOTAL | $ | 241,847,285 | $ | 788,066,182 | — | $ | 1,029,913,467 | |||||||||||
See accompanying Notes to Financial Statements.
34
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
Tax-Managed U.S. Marketwide Value Portfolio | Tax-Managed U.S. Equity Portfolio | Tax-Managed U.S. Targeted Value Portfolio | Tax-Managed U.S. Small Cap Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in Affiliated Investment Companies at Value | $ | 1,897,227 | $ | 1,286,422 | — | — | ||||||||||
Investments at Value (including $0, $0, $234,450 and $162,981 of securities on loan, respectively) | — | — | $ | 2,133,470 | $ | 1,133,782 | ||||||||||
Temporary Cash Investments at Value & Cost | — | — | 9,015 | 6,949 | ||||||||||||
Collateral Received from Securities on Loan at Value & Cost | — | — | 245,966 | 170,906 | ||||||||||||
Receivables: | ||||||||||||||||
Investment Securities Sold/Affiliated Investment Companies Sold | — | — | 8,719 | 2,374 | ||||||||||||
Dividends and Interest | — | — | 461 | 291 | ||||||||||||
Securities Lending Income | — | — | 113 | 145 | ||||||||||||
Fund Shares Sold | 1,289 | 664 | 1,238 | 446 | ||||||||||||
Prepaid Expenses and Other Assets | 25 | 27 | 27 | 24 | ||||||||||||
Total Assets | 1,898,541 | 1,287,113 | 2,399,009 | 1,314,917 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Upon Return of Securities Loaned | — | — | 245,966 | 170,906 | ||||||||||||
Investment Securities Purchased/Affiliated Investment Companies Purchased | 429 | 188 | 5,599 | 1,649 | ||||||||||||
Fund Shares Redeemed | 860 | 476 | 1,037 | 325 | ||||||||||||
Due to Advisor | 234 | 158 | 743 | 470 | ||||||||||||
Accrued Expenses and Other Liabilities | 77 | 55 | 118 | 73 | ||||||||||||
Total Liabilities | 1,600 | 877 | 253,463 | 173,423 | ||||||||||||
NET ASSETS | $ | 1,896,941 | $ | 1,286,236 | $ | 2,145,546 | $ | 1,141,494 | ||||||||
SHARES OUTSTANDING, $0.01 PAR VALUE (1) | 137,642,882 | 101,277,416 | 112,407,568 | 55,771,005 | ||||||||||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ | 13.78 | $ | 12.70 | $ | 19.09 | $ | 20.47 | ||||||||
Investments in Affiliated Investment Companies at Cost | $ | 1,690,492 | $ | 905,904 | $ | — | $ | — | ||||||||
Investments at Cost | $ | — | $ | — | $ | 1,778,089 | $ | 821,481 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-In Capital | $ | 1,928,540 | $ | 1,381,321 | $ | 2,000,549 | $ | 1,049,682 | ||||||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | 4,075 | 2,970 | 1,994 | 1,284 | ||||||||||||
Accumulated Net Realized Gain (Loss) | (242,409 | ) | (478,573 | ) | (212,378 | ) | (221,773 | ) | ||||||||
Net Unrealized Appreciation (Depreciation) | 206,735 | 380,518 | 355,381 | 312,301 | ||||||||||||
NET ASSETS | $ | 1,896,941 | $ | 1,286,236 | $ | 2,145,546 | $ | 1,141,494 | ||||||||
(1) NUMBER OF SHARES AUTHORIZED | 700,000,000 | 500,000,000 | 700,000,000 | 500,000,000 | ||||||||||||
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands, except share and per share amounts)
T.A. U.S. Core Equity 2 Portfolio | Tax-Managed DFA International Value Portfolio | T.A. World ex U.S. Core Equity Portfolio | ||||||||||
ASSETS: | ||||||||||||
Investments at Value (including $201,577, $98,454 and $58,989 of securities on loan, respectively) | $ | 2,010,118 | $ | 1,818,971 | $ | 962,605 | ||||||
Temporary Cash Investments at Value & Cost | 6,317 | 1,507 | 3,643 | |||||||||
Collateral Received from Securities on Loan at Value & Cost | 209,939 | 102,982 | 63,665 | |||||||||
Foreign Currencies at Value | — | 5,319 | 2,236 | |||||||||
Cash | — | 16 | 17 | |||||||||
Receivables: | ||||||||||||
Investment Securities Sold | — | 34,134 | 95 | |||||||||
Dividends, Interest and Tax Reclaims | 1,668 | 5,873 | 2,050 | |||||||||
Securities Lending Income | 123 | 45 | 57 | |||||||||
Fund Shares Sold | 729 | 1,423 | 476 | |||||||||
Unrealized Gain on Foreign Currency Contracts | — | 5 | 9 | |||||||||
Prepaid Expenses and Other Assets | 25 | 35 | 9 | |||||||||
Total Assets | 2,228,919 | 1,970,310 | 1,034,862 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Upon Return of Securities Loaned | 209,939 | 102,982 | 63,665 | |||||||||
Investment Securities Purchased | 3,029 | 31,952 | 3,231 | |||||||||
Fund Shares Redeemed | 883 | 453 | 229 | |||||||||
Due to Advisor | 363 | 759 | 318 | |||||||||
Unrealized Loss on Foreign Currency Contracts | — | 25 | 1 | |||||||||
Deferred Thailand Capital Gains Tax | — | — | 316 | |||||||||
Accrued Expenses and Other Liabilities | 121 | 136 | 103 | |||||||||
Total Liabilities | 214,335 | 136,307 | 67,863 | |||||||||
NET ASSETS | $ | 2,014,584 | $ | 1,834,003 | $ | 966,999 | ||||||
SHARES OUTSTANDING, $0.01 PAR VALUE (1) | 246,220,797 | 126,246,540 | 103,907,259 | |||||||||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE | $ | 8.18 | $ | 14.53 | $ | 9.31 | ||||||
Investments at Cost | $ | 1,684,341 | $ | 1,608,105 | $ | 746,335 | ||||||
Foreign Currencies at Cost | $ | — | $ | 5,278 | $ | 2,219 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-In Capital | $ | 1,723,830 | $ | 1,716,845 | $ | 753,403 | ||||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | 4,309 | 5,112 | 3,381 | |||||||||
Accumulated Net Realized Gain (Loss) | (39,332 | ) | (99,115 | ) | (5,824 | ) | ||||||
Deferred Thailand Capital Gains Tax | — | — | (316 | ) | ||||||||
Net Unrealized Foreign Exchange Gain (Loss) | — | 254 | 68 | |||||||||
Net Unrealized Appreciation (Depreciation) | 325,777 | 210,907 | 216,287 | |||||||||
NET ASSETS | $ | 2,014,584 | $ | 1,834,003 | $ | 966,999 | ||||||
(1) NUMBER OF SHARES AUTHORIZED | 1,000,000,000 | 700,000,000 | 500,000,000 | |||||||||
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
Tax-Managed U.S. Marketwide Value Portfolio* | Tax-Managed U.S. Equity Portfolio* | Tax-Managed U.S. Targeted Value Portfolio | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 27,939 | $ | 23,049 | $ | 19,901 | ||||||
Interest | 9 | 6 | 12 | |||||||||
Income from Securities Lending | 961 | 397 | 1,465 | |||||||||
Expenses Allocated from Affiliated Investment Companies | (3,876 | ) | (836 | ) | — | |||||||
Total Investment Income | 25,033 | 22,616 | 21,378 | |||||||||
Expenses | ||||||||||||
Investment Advisory Services Fees | — | — | 8,301 | |||||||||
Administrative Services Fees | 2,683 | 1,835 | — | |||||||||
Accounting & Transfer Agent Fees | 37 | 29 | 239 | |||||||||
Custodian Fees | — | — | 60 | |||||||||
Filing Fees | 59 | 64 | 73 | |||||||||
Shareholders’ Reports | 39 | 23 | 42 | |||||||||
Directors’/Trustees’ Fees & Expenses | 17 | 11 | 19 | |||||||||
Professional Fees | 34 | 26 | 62 | |||||||||
Other | 17 | 14 | 32 | |||||||||
Total Expenses | 2,886 | 2,002 | 8,828 | |||||||||
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) | — | (146 | ) | — | ||||||||
Net Expenses | 2,886 | 1,856 | 8,828 | |||||||||
Net Investment Income (Loss) | 22,147 | 20,760 | 12,550 | |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investment Securities Sold | 46,870 | 15,809 | 56,917 | |||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||
Investment Securities | 259,723 | 166,587 | 413,304 | |||||||||
Net Realized and Unrealized Gain (Loss) | 306,593 | 182,396 | 470,221 | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 328,740 | $ | 203,156 | $ | 482,771 | ||||||
* | Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio’s respective Master Fund (Affiliated Investment Company). |
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
Tax-Managed U.S. Small Cap Portfolio | T.A. U.S. Core Equity 2 Portfolio | Tax-Managed DFA International Value Portfolio | T.A. World ex U.S. Core Equity Portfolio | |||||||||||||
Investment Income | ||||||||||||||||
Dividends (Net of Foreign Taxes Withheld of $0, $0, $4,282 and $1,731, respectively) | $ | 9,833 | $ | 28,861 | $ | 46,475 | $ | 19,248 | ||||||||
Interest | 7 | 13 | 9 | 9 | ||||||||||||
Income from Securities Lending | 2,026 | 1,190 | 1,228 | 486 | ||||||||||||
Total Investment Income | 11,866 | 30,064 | 47,712 | 19,743 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Services Fees | 5,332 | 3,883 | 8,402 | 3,188 | ||||||||||||
Accounting & Transfer Agent Fees | 138 | 214 | 211 | 113 | ||||||||||||
Custodian Fees | 68 | 47 | 322 | 376 | ||||||||||||
Filing Fees | 39 | 131 | 65 | 44 | ||||||||||||
Shareholders’ Reports | 27 | 31 | 41 | 19 | ||||||||||||
Directors’/Trustees’ Fees & Expenses | 10 | 17 | 16 | 8 | ||||||||||||
Professional Fees | 35 | 55 | 72 | 25 | ||||||||||||
Other | 22 | 34 | 47 | 24 | ||||||||||||
Total Expenses | 5,671 | 4,412 | 9,176 | 3,797 | ||||||||||||
Net Investment Income (Loss) | 6,195 | 25,652 | 38,536 | 15,946 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities Sold | 10,163 | 10,530 | 70,344 | 6,739 | ||||||||||||
Foreign Currency Transactions | — | — | (238 | ) | (150 | )** | ||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||
Investment Securities and Foreign Currency | 232,642 | 294,945 | 62,443 | 107,287 | ||||||||||||
Translation of Foreign Currency Denominated Amounts | — | — | 180 | 43 | ||||||||||||
Change in Deferred Thailand Capital Gains Tax | — | — | — | (215 | ) | |||||||||||
Net Realized and Unrealized Gain (Loss) | 242,805 | 305,475 | 132,729 | 113,704 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 249,000 | $ | 331,127 | $ | 171,265 | $ | 129,650 | ||||||||
** | Net of foreign capital gain taxes withheld of $85. |
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Tax-Managed U.S. Marketwide Value Portfolio | Tax-Managed U.S. Equity Portfolio | Tax-Managed U.S. Targeted Value Portfolio | Tax-Managed U.S. Small Cap Portfolio | |||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 22,147 | $ | 28,859 | $ | 20,760 | $ | 23,106 | $ | 12,550 | $ | 15,084 | $ | 6,195 | $ | 7,642 | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||||||
Investment Securities Sold/Affiliated Investment Companies Sold | 46,870 | (170,564 | ) | 15,809 | (289,047 | ) | 56,917 | (225,418 | ) | 10,163 | (183,556 | ) | ||||||||||||||||||||
Futures | — | 1,628 | — | 2,732 | — | 1,204 | — | (1,022 | ) | |||||||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||||||||||
Investment Securities/Affiliated Investment Companies | 259,723 | 293,293 | 166,587 | 328,913 | 413,304 | 287,952 | 232,642 | 193,172 | ||||||||||||||||||||||||
Futures | — | (11 | ) | — | — | — | (13 | ) | — | (8 | ) | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 328,740 | 153,205 | 203,156 | 65,704 | 482,771 | 78,809 | 249,000 | 16,228 | ||||||||||||||||||||||||
Distributions From: | ||||||||||||||||||||||||||||||||
Net Investment Income | (21,400 | ) | (34,714 | ) | (20,546 | ) | (25,432 | ) | (11,978 | ) | (20,085 | ) | (5,779 | ) | (10,036 | ) | ||||||||||||||||
Total Distributions | (21,400 | ) | (34,714 | ) | (20,546 | ) | (25,432 | ) | (11,978 | ) | (20,085 | ) | (5,779 | ) | (10,036 | ) | ||||||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||||||||||||||
Shares Issued | 286,942 | 755,723 | 166,739 | 513,816 | 328,291 | 870,260 | 130,939 | 439,219 | ||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 20,721 | 33,539 | 18,269 | 22,376 | 11,860 | 19,909 | 5,630 | 9,806 | ||||||||||||||||||||||||
Shares Redeemed | (336,318 | ) | (866,254 | ) | (222,831 | ) | (703,345 | ) | (365,741 | ) | (911,324 | ) | (195,441 | ) | (575,467 | ) | ||||||||||||||||
Net Increase (Decrease) from Capital Share Transactions | (28,655 | ) | (76,992 | ) | (37,823 | ) | (167,153 | ) | (25,590 | ) | (21,155 | ) | (58,872 | ) | (126,442 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets | 278,685 | 41,499 | 144,787 | (126,881 | ) | 445,203 | 37,569 | 184,349 | (120,250 | ) | ||||||||||||||||||||||
Net Assets | ||||||||||||||||||||||||||||||||
Beginning of Period | 1,618,256 | 1,576,757 | 1,141,449 | 1,268,330 | 1,700,343 | 1,662,774 | 957,145 | 1,077,395 | ||||||||||||||||||||||||
End of Period | $ | 1,896,941 | $ | 1,618,256 | $ | 1,286,236 | $ | 1,141,449 | $ | 2,145,546 | $ | 1,700,343 | $ | 1,141,494 | $ | 957,145 | ||||||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||||||||||||||
Shares Issued | 22,307 | 81,360 | 14,029 | 54,781 | 18,930 | 71,153 | 7,077 | 32,424 | ||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1,652 | 3,525 | 1,572 | 2,355 | 718 | 1,600 | 316 | 703 | ||||||||||||||||||||||||
Shares Redeemed | (25,704 | ) | (94,446 | ) | (18,671 | ) | (75,273 | ) | (20,863 | ) | (74,530 | ) | (10,485 | ) | (42,310 | ) | ||||||||||||||||
Net Increase (Decrease) from Shares Issued and Redeemed | (1,745 | ) | (9,561 | ) | (3,070 | ) | (18,137 | ) | (1,215 | ) | (1,777 | ) | (3,092 | ) | (9,183 | ) | ||||||||||||||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | $ | 4,075 | $ | 3,335 | $ | 2,970 | $ | 2,759 | $ | 1,994 | $ | 1,429 | $ | 1,284 | $ | 868 |
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
T.A. U.S. Core Equity 2 Portfolio | Tax-Managed DFA International Value Portfolio | T.A. World ex U.S. Core Equity Portfolio | ||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 25,652 | $ | 19,903 | $ | 38,536 | $ | 39,126 | $ | 15,946 | $ | 11,410 | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||||||
Investment Securities Sold | 10,530 | (41,654 | ) | 70,344 | (153,420 | ) | 6,739 | (8,990 | ) | |||||||||||||||||||||||
Futures | — | (854 | ) | — | (264 | ) | — | (660 | ) | |||||||||||||||||||||||
Foreign Currency Transactions | — | — | (238 | ) | 875 | (150 | )** | 97 | ||||||||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||||||||||
Investment Securities and Foreign Currency | 294,945 | 211,836 | 62,443 | 509,093 | 107,287 | 196,743 | ||||||||||||||||||||||||||
Futures | — | (1 | ) | — | (2 | ) | — | (1 | ) | |||||||||||||||||||||||
Translation of Foreign Currency Denominated Amounts | — | — | 180 | 390 | 43 | (31 | ) | |||||||||||||||||||||||||
Change in Deferred Thailand Capital Gains Tax | — | — | — | — | (215 | ) | (101 | ) | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 331,127 | 189,230 | 171,265 | 395,798 | 129,650 | 198,467 | ||||||||||||||||||||||||||
Distributions From: | ||||||||||||||||||||||||||||||||
Net Investment Income | (24,397 | ) | (18,642 | ) | (37,438 | ) | (45,214 | ) | (14,761 | ) | (10,761 | ) | ||||||||||||||||||||
Total Distributions | (24,397 | ) | (18,642 | ) | (37,438 | ) | (45,214 | ) | (14,761 | ) | (10,761 | ) | ||||||||||||||||||||
Capital Share Transactions (1): | ||||||||||||||||||||||||||||||||
Shares Issued | 530,605 | 1,195,628 | 318,296 | 664,208 | 300,733 | 495,969 | ||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 24,091 | 18,449 | 36,536 | 43,924 | 14,432 | 10,580 | ||||||||||||||||||||||||||
Shares Redeemed | (291,728 | ) | (524,944 | ) | (292,490 | ) | (814,111 | ) | (131,783 | ) | (253,845 | ) | ||||||||||||||||||||
Net Increase (Decrease) from Capital Share Transactions | 262,968 | 689,133 | 62,342 | (105,979 | ) | 183,382 | 252,704 | |||||||||||||||||||||||||
Total Increase (Decrease) in Net Assets | 569,698 | 859,721 | 196,169 | 244,605 | 298,271 | 440,410 | ||||||||||||||||||||||||||
Net Assets | ||||||||||||||||||||||||||||||||
Beginning of Period | 1,444,886 | 585,165 | 1,637,834 | 1,393,229 | 668,728 | 228,318 | ||||||||||||||||||||||||||
End of Period | $ | 2,014,584 | $ | 1,444,886 | $ | 1,834,003 | $ | 1,637,834 | $ | 966,999 | $ | 668,728 | ||||||||||||||||||||
(1) Shares Issued and Redeemed: | ||||||||||||||||||||||||||||||||
Shares Issued | 69,805 | 209,711 | 23,586 | 66,593 | 35,502 | 85,214 | ||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 3,256 | 3,194 | 2,937 | 3,975 | 1,825 | 1,589 | ||||||||||||||||||||||||||
Shares Redeemed | (38,265 | ) | (94,288 | ) | (21,720 | ) | (81,205 | ) | (15,667 | ) | (43,612 | ) | ||||||||||||||||||||
Net Increase (Decrease) from Shares Issued and Redeemed | 34,796 | 118,617 | 4,803 | (10,637 | ) | 21,660 | 43,191 | |||||||||||||||||||||||||
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) | $ | 4,309 | $ | 3,080 | $ | 5,112 | $ | 4,253 | $ | 3,381 | $ | 1,772 |
** | Net of foreign capital gain taxes withheld of $85. |
See accompanying Notes to Financial Statements.
40
DFA INVESTMENT DIMENSIONS GROUP INC.
(for a share outstanding throughout each period)
Tax-Managed U.S. Marketwide Value Portfolio | Tax-Managed U.S. Equity Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, | Year Ended Oct. 31, | Period Dec. 1, 2007 to 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Oct. 31, | Year Ended Oct. 31, | Period Dec. 1, 2007 to 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.61 | $ | 10.59 | $ | 17.51 | $ | 17.67 | $ | 15.26 | $ | 13.27 | $ | 10.94 | $ | 10.36 | $ | 15.57 | $ | 14.75 | $ | 13.26 | $ | 12.23 | ||||||||||||||||||||||||||||||||
Income from Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.16 | (A) | 0.21 | (A) | 0.27 | (A) | 0.27 | (A) | 0.24 | (A) | 0.18 | 0.20 | (A) | 0.22 | (A) | 0.23 | (A) | 0.25 | (A) | 0.21 | (A) | 0.16 | ||||||||||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 2.17 | 1.06 | (6.66 | ) | (0.16 | ) | 2.39 | 1.96 | 1.76 | 0.60 | (5.19 | ) | 0.81 | 1.47 | 1.05 | |||||||||||||||||||||||||||||||||||||||||
Total from Investment Operations | 2.33 | 1.27 | (6.39 | ) | 0.11 | 2.63 | 2.14 | 1.96 | 0.82 | (4.96 | ) | 1.06 | 1.68 | 1.21 | ||||||||||||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.16 | ) | (0.25 | ) | (0.29 | ) | (0.27 | ) | (0.22 | ) | (0.15 | ) | (0.20 | ) | (0.24 | ) | (0.25 | ) | (0.24 | ) | (0.19 | ) | (0.18 | ) | ||||||||||||||||||||||||||||||||
Net Realized Gains | — | — | (0.24 | ) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
Total Distributions | (0.16 | ) | (0.25 | ) | (0.53 | ) | (0.27 | ) | (0.22 | ) | (0.15 | ) | (0.20 | ) | (0.24 | ) | (0.25 | ) | (0.24 | ) | (0.19 | ) | (0.18 | ) | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 13.78 | $ | 11.61 | $ | 10.59 | $ | 17.51 | $ | 17.67 | $ | 15.26 | $ | 12.70 | $ | 10.94 | $ | 10.36 | $ | 15.57 | $ | 14.75 | $ | 13.26 | ||||||||||||||||||||||||||||||||
Total Return | 20.17 | % | 12.54 | % | (37.53 | )%(C) | 0.54 | % | 17.45 | % | 16.27 | % | 18.10 | % | 8.30 | % | (32.30 | )%(C) | 7.23 | % | 12.84 | % | 9.97 | % | ||||||||||||||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 1,896,941 | $ | 1,618,256 | $ | 1,576,757 | $ | 2,747,843 | $ | 2,505,779 | $ | 1,754,320 | $ | 1,286,236 | $ | 1,141,449 | $ | 1,268,330 | $ | 1,823,812 | $ | 1,487,611 | $ | 999,215 | ||||||||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets (D) | 0.38 | % | 0.40 | % | 0.38 | %(B) | 0.37 | % | 0.38 | % | 0.40 | % | 0.22 | % | 0.22 | % | 0.22 | %(B) | 0.22 | % | 0.23 | % | 0.25 | % | ||||||||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D) | 0.38 | % | 0.40 | % | 0.38 | %(B) | 0.37 | % | 0.38 | % | 0.40 | % | 0.23 | % | 0.26 | % | 0.23 | %(B) | 0.23 | % | 0.24 | % | 0.26 | % | ||||||||||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.24 | % | 2.07 | % | 1.93 | %(B) | 1.45 | % | 1.47 | % | 1.35 | % | 1.70 | % | 2.24 | % | 1.76 | %(B) | 1.59 | % | 1.55 | % | 1.35 | % |
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
41
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Tax-Managed U.S. Targeted Value Portfolio | Tax-Managed U.S. Small Cap Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended 2010 | Year Ended 2009 | Period Dec. 1, 2007 to Oct. 31, | Year Ended Nov. 30, | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 14.96 | $ | 14.41 | $ | 23.09 | $ | 27.39 | $ | 25.60 | $ | 23.32 | $ | 16.26 | $ | 15.83 | $ | 25.86 | $ | 26.27 | $ | 22.95 | $ | 20.53 | ||||||||||||||||||||||||||||||||
Income from Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | 0.11 | (A) | 0.14 | (A) | 0.20 | (A) | 0.25 | (A) | 0.22 | (A) | 0.09 | 0.11 | (A) | 0.13 | (A) | 0.19 | (A) | 0.18 | (A) | 0.10 | (A) | 0.04 | ||||||||||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 4.13 | 0.60 | (7.29 | ) | (1.87 | ) | 3.90 | 2.68 | 4.20 | 0.47 | (7.87 | ) | (0.42 | ) | 3.30 | 2.42 | ||||||||||||||||||||||||||||||||||||||||
Total from Investment Operations | 4.24 | 0.74 | (7.09 | ) | (1.62 | ) | 4.12 | 2.77 | 4.31 | 0.60 | (7.68 | ) | (0.24 | ) | 3.40 | 2.46 | ||||||||||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.11 | ) | (0.19 | ) | (0.18 | ) | (0.24 | ) | (0.19 | ) | (0.10 | ) | (0.10 | ) | (0.17 | ) | (0.18 | ) | (0.17 | ) | (0.08 | ) | (0.04 | ) | ||||||||||||||||||||||||||||||||
Net Realized Gains | — | — | (1.41 | ) | (2.44 | ) | (2.14 | ) | (0.39 | ) | — | — | (2.17 | ) | — | — | — | |||||||||||||||||||||||||||||||||||||||
Total Distributions | (0.11 | ) | (0.19 | ) | (1.59 | ) | (2.68 | ) | (2.33 | ) | (0.49 | ) | (0.10 | ) | (0.17 | ) | (2.35 | ) | (0.17 | ) | (0.08 | ) | (0.04 | ) | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 19.09 | $ | 14.96 | $ | 14.41 | $ | 23.09 | $ | 27.39 | $ | 25.60 | $ | 20.47 | $ | 16.26 | $ | 15.83 | $ | 25.86 | $ | 26.27 | $ | 22.95 | ||||||||||||||||||||||||||||||||
Total Return | 28.43 | % | 5.41 | % | (32.85 | )%(C) | (6.58 | )% | 17.70 | % | 12.09 | % | 26.61 | % | 3.98 | % | (32.53 | )%(C) | (0.94 | )% | 14.88 | % | 11.98 | % | ||||||||||||||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 2,145,546 | $ | 1,700,343 | $ | 1,662,774 | $ | 2,905,694 | $ | 3,203,763 | $ | 2,634,891 | $ | 1,141,494 | $ | 957,145 | $ | 1,077,395 | $ | 1,779,245 | $ | 1,653,038 | $ | 1,242,288 | ||||||||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.45 | % | 0.47 | % | 0.45 | %(B) | 0.47 | % | 0.53 | % | 0.55 | % | 0.53 | % | 0.55 | % | 0.53 | %(B) | 0.53 | % | 0.53 | % | 0.55 | % | ||||||||||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.63 | % | 1.04 | % | 1.07 | %(B) | 0.98 | % | 0.85 | % | 0.39 | % | 0.58 | % | 0.88 | % | 0.98 | %(B) | 0.65 | % | 0.41 | % | 0.21 | % | ||||||||||||||||||||||||||||||||
Portfolio Turnover Rate | 26 | % | 34 | % | 40 | %(C) | 28 | % | 35 | % | 21 | % | 27 | % | 28 | % | 39 | %(C) | 31 | % | 22 | % | 15 | % |
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
T.A. U.S. Core Equity 2 Portfolio | Tax-Managed DFA International Value Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Period Oct. 4, 2007(a) to Nov. 30, 2007 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, | Year Ended Nov. 30, 2007 | Year Ended Nov. 30, 2006 | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 6.83 | $ | 6.31 | $ | 9.40 | $ | 10.00 | $ | 13.49 | $ | 10.55 | $ | 21.91 | $ | 19.96 | $ | 15.51 | $ | 13.63 | ||||||||||||||||||||||||||||||||||||
Income from Investment Operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss)(A) | 0.11 | 0.11 | 0.13 | 0.02 | 0.31 | 0.32 | 0.59 | 0.59 | 0.54 | 0.33 | ||||||||||||||||||||||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 1.35 | 0.52 | (3.12 | ) | (0.62 | ) | 1.03 | 3.00 | (9.60 | ) | 2.76 | 4.71 | 1.90 | |||||||||||||||||||||||||||||||||||||||||||
Total from Investment Operations | 1.46 | 0.63 | (2.99 | ) | (0.60 | ) | 1.34 | 3.32 | (9.01 | ) | 3.35 | 5.25 | 2.23 | |||||||||||||||||||||||||||||||||||||||||||
Less Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | (0.11 | ) | (0.11 | ) | (0.10 | ) | — | (0.30 | ) | (0.38 | ) | (0.64 | ) | (0.48 | ) | (0.59 | ) | (0.35 | ) | |||||||||||||||||||||||||||||||||||||
Net Realized Gains | — | — | — | — | — | — | (1.71 | ) | (0.92 | ) | (0.21 | ) | — | |||||||||||||||||||||||||||||||||||||||||||
Total Distributions | (0.11 | ) | (0.11 | ) | (0.10 | ) | — | (0.30 | ) | (0.38 | ) | (2.35 | ) | (1.40 | ) | (0.80 | ) | (0.35 | ) | |||||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 8.18 | $ | 6.83 | $ | 6.31 | $ | 9.40 | $ | 14.53 | $ | 13.49 | $ | 10.55 | $ | 21.91 | $ | 19.96 | $ | 15.51 | ||||||||||||||||||||||||||||||||||||
Total Return | 21.49 | % | 10.28 | % | (32.16 | )%(C) | (6.00 | )%(C) | 10.34 | % | 32.27 | % | (45.58 | )%(C) | 17.51 | % | 35.01 | % | 16.63 | % | ||||||||||||||||||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 2,014,584 | $ | 1,444,886 | $ | 585,165 | $ | 106,507 | $ | 1,834,003 | $ | 1,637,834 | $ | 1,393,229 | $ | 2,859,270 | $ | 2,370,683 | $ | 1,571,217 | ||||||||||||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.25 | % | 0.28 | % | 0.29 | %(B) | 0.30 | %(B)(E) | 0.55 | % | 0.56 | % | 0.54 | %(B) | 0.54 | % | 0.54 | % | 0.60 | % | ||||||||||||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) | 0.25 | % | 0.28 | % | 0.29 | %(B) | 0.60 | %(B)(E) | 0.55 | % | 0.56 | % | 0.54 | %(B) | 0.54 | % | 0.54 | % | 0.60 | % | ||||||||||||||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.45 | % | 1.82 | % | 1.75 | %(B) | 2.09 | %(B)(E) | 2.29 | % | 2.92 | % | 3.76 | %(B) | 2.77 | % | 3.04 | % | 2.23 | % | ||||||||||||||||||||||||||||||||||||
Portfolio Turnover Rate | 5 | % | 5 | % | 9 | %(C) | 0 | %(C) | 28 | % | 24 | % | 24 | %(C) | 20 | % | 13 | % | 11 | % |
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
43
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
T.A World ex U.S. Core Equity Portfolio | ||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period March 6, 2008(a) to Oct. 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 8.13 | $ | 5.85 | $ | 10.00 | ||||||
Income from Investment Operations | ||||||||||||
Net Investment Income (Loss)(A) | 0.17 | 0.16 | 0.15 | |||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 1.17 | 2.27 | (4.15 | ) | ||||||||
Total from Investment Operations | 1.34 | 2.43 | (4.00 | ) | ||||||||
Less Distributions | ||||||||||||
Net Investment Income | (0.16 | ) | (0.15 | ) | (0.15 | ) | ||||||
Total Distributions | (0.16 | ) | (0.15 | ) | (0.15 | ) | ||||||
Net Asset Value, End of Period | $ | 9.31 | $ | 8.13 | $ | 5.85 | ||||||
Total Return | 16.78 | % | 42.13 | % | (40.61 | )%(C) | ||||||
Net Assets, End of Period (thousands) | $ | 966,999 | $ | 668,728 | $ | 228,318 | ||||||
Ratio of Expenses to Average Net Assets | 0.48 | % | 0.54 | % | 0.60 | %(B)(E) | ||||||
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) | 0.48 | % | 0.51 | % | 0.85 | %(B)(E) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.00 | % | 2.38 | % | 3.27 | %(B)(E) | ||||||
Portfolio Turnover Rate | 2 | % | 5 | % | 2 | %(C) |
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
A. Organization:
DFA Investment Dimensions Group Inc. (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of fifty-eight operational portfolios, seven of which (the “Portfolios”) are included in this section of the report. The remaining fifty-one portfolios are presented in separate reports.
Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S. Equity Portfolio (the “Feeder Funds”) primarily invest their assets in The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (the “Series”), respectively, each a corresponding Series of the DFA Investment Trust Company. At October 31, 2010, Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S. Equity Portfolio owned 71% and 100% of their respective Series.
The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds.
Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2 Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio are organized as stand-alone registered investment companies.
At a regular meeting of the Board of Directors/Trustees (the “Board”) on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below:
• Level 1 – quoted prices in active markets for identical securities
• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 – significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments)
Securities held by Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S Small Cap Portfolio and T.A. U.S. Core Equity 2 Portfolio (the “Domestic Equity Portfolios”) and Tax-Managed DFA International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (the “International Equity Portfolios”), including over-the-counter securities, are valued at the last quoted sale price of the day. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices. Price information on listed securities is
45
taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These securities are generally categorized as Level 2 in the hierarchy. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges.
The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset value of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the International Equity Portfolios’ foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Fund have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilize data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the International Equity Portfolios use fair value pricing, the values assigned to the International Equity Portfolios’ foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. Certain foreign equity securities that are fair value adjusted through an independent pricing service which considers statistically relevant trading patterns may periodically move from input valuation Level 2 to input valuation Level 1 when not meeting the fair value adjustment trigger requirements.
Futures contracts held by the Portfolios are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy.
For Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S. Equity Portfolio, their investments reflect each of their proportionate interest in the net assets of their respective Series. These valuations are classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios’ investments by each major security type, industry and/or country is disclosed at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and Level 2 during the year ended October 31, 2010.
2. Foreign Currency Translation: Securities and other assets and liabilities of the International Equity Portfolios whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement.
46
The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/Trustees’ Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director shall have the right in a notice of election to defer compensation (the “Notice”) to elect to defer the receipt of the Director’s deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director’s first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board of the Fund (unless the Director files an amended Notice selecting a different distribution date). Robert C. Merton resigned from the Board of the Fund on December 1, 2009 and received a lump sum payment of the proceeds of his deferred fee account on January 4, 2010 in the amount of $241,764. As of October 31, 2010, no other Directors have requested or received a distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on the accrual basis. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets.
The Feeder Funds each recognize their pro-rata share of net investment income and realized and unrealized gains/losses of investment securities, on a daily basis, from their respective Series, which are treated as partnerships for federal income tax purposes.
The International Equity Portfolios may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The International Equity Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital abroad.
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T.A. World ex U.S. Core Equity Portfolio’s investments in Thailand are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. T.A. World ex U.S. Core Equity Portfolio accrues for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities. T.A. World ex U.S. Core Equity Portfolio is also subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are accrued when the capital gains are earned.
C. Investment Advisor:
Dimensional Fund Advisors LP (“Dimensional” or “the Advisor”) provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board of Directors/Trustees, and other administrative services. The Advisor provides investment advisory services to the Portfolios. The Advisor does not receive additional compensation for the investment advisory services it provides for the Feeder Funds. For the year ended October 31, 2010, the Portfolios’ administrative services fees or investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
Administrative Services Fees | Advisory Services Fees | |||
Tax-Managed U.S. Marketwide Value Portfolio | 0.15% | — | ||
Tax-Managed U.S. Equity Portfolio | 0.15% | — | ||
Tax-Managed U.S. Targeted Value Portfolio | — | 0.42% | ||
Tax-Managed U.S. Small Cap Portfolio | — | 0.50% | ||
T.A. U.S. Core Equity 2 Portfolio | — | 0.22% | ||
Tax-Managed DFA International Value Portfolio | — | 0.50% | ||
T.A. World ex U.S. Core Equity Portfolio | — | 0.40% |
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive certain fees, including administrative/advisory fees, and in certain instances assumes certain expenses of the Portfolio, as described in the notes below. The Fee Waiver and Expense Assumption Agreement for the Portfolios below will remain in effect through March 1, 2011, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2010, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The Portfolios listed are not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
Expense Limits | Recovery of Previously Waived Fees/ Expenses Assumed | Previously Waived Fees/ Expenses Assumed Subject to Future Recovery | ||||
Tax-Managed U.S. Equity Portfolio (1) | 0.22% | — | $688 | |||
T.A. U.S. Core Equity 2 Portfolio (2) | 0.30% | — | — | |||
T.A. World ex U.S. Core Equity Portfolio (3) | 0.60% | — | — |
(1) The Advisor has contractually agreed to waive its administration fee and assume the expenses of the Portfolio (up to the amount of fees paid to the Advisor based on the Portfolio’s assets invested in its Series) to the extent necessary to reduce the Portfolio’s expenses when its total operating expenses exceed the rate listed above of the average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than the rate listed above of the Portfolio’s average net assets on an annualized basis, the Advisor retains the right to recover any fees previously waived and/or any expenses previously assumed to the extent that such recovery will not cause the Portfolio’s annualized expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above.
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(2) The Advisor has contractually agreed to waive all or a portion of its advisory fee and assume the Portfolio’s ordinary operating expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses to the rate listed above as a percentage of average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of the Portfolio are less than the rate listed above of the Portfolio’s average net assets on an annualized basis, the Advisor retains the right to recover any fees previously waived and/or any expenses previously assumed to the extent that such recover will not cause the Portfolio’s annualized Portfolio Expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above.
(3) The Advisor has contractually agreed to waive all or a portion of the Portfolio’s advisory fee to the extent necessary to limit the total advisory fees paid by the Portfolio to the Advisor directly or indirectly (the proportionate share of the advisory fees paid by the Portfolio through its investment in other funds managed by the Advisor) to 0.40% of the Portfolio’s average net assets on an annualized basis. In addition, the Advisor has also contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above of the Portfolio’s average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of the Portfolio are less than the rate listed above of the Portfolio’s average net assets on an annualized basis, the Advisor retains the right to recover any fees previously waived and/or any expenses previously assumed to the extent that such recovery will not cause the Portfolio’s annualized Portfolio Expenses to exceed the applicable percentage of average net assets on an annualized basis, as listed above.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2010, the total related amounts paid to the CCO by the Fund were $211 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations.
D. Deferred Compensation:
At October 31, 2010, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands):
Tax-Managed U.S. Marketwide Value Portfolio | $ | 46 | ||
Tax-Managed U.S. Equity Portfolio | 34 | |||
Tax-Managed U.S. Targeted Value Portfolio | 49 | |||
Tax-Managed U.S. Small Cap Portfolio | 29 | |||
T.A. U.S. Core Equity 2 Portfolio | 38 | |||
Tax-Managed DFA International Value Portfolio | 45 | |||
T.A. World ex U.S. Core Equity Portfolio | 17 |
E. Purchases and Sales of Securities:
For the year ended October 31, 2010, the Portfolios made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases | Sales | |||||||
Tax-Managed U.S. Targeted Value Portfolio | $ | 508,320 | $ | 537,381 | ||||
Tax-Managed U.S. Small Cap Portfolio | $ | 281,473 | $ | 346,765 | ||||
T.A. U.S. Core Equity 2 Portfolio | 352,343 | 90,832 |
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Purchases | Sales | |||||||
Tax-Managed DFA International Value Portfolio | 515,803 | 456,451 | ||||||
T.A. World ex U.S. Core Equity Portfolio | 199,901 | 17,961 |
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2010, primarily attributable to net realized foreign currency gains/losses and net realized gains on securities considered to be “passive foreign investment companies” and the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase (Decrease) Paid-In Capital | Increase (Decrease) Undistributed Net Investment Income | Increase (Decrease) Accumulated Net Realized Gains (Losses) | ||||
Tax-Managed U.S. Marketwide Value Portfolio | — | $ (7) | $ 7 | |||
Tax Managed U.S. Equity Portfolio | — | (3) | 3 | |||
Tax-Managed U.S. Targeted Value Portfolio | — | (7) | 7 | |||
Tax Managed U.S. Small Cap Portfolio | — | — | — | |||
T.A. U.S. Core Equity 2 Portfolio | — | (26) | 26 | |||
Tax-Managed DFA International Value Portfolio | — | (239) | 239 | |||
T.A. World ex U.S. Core Equity Portfolio | $24 | 424 | (448) |
The tax character of dividends and distributions declared and paid during the years ended October 31, 2009 and October 31, 2010 were as follows (amounts in thousands):
Net Investment Income and Short-Term Capital Gains | Long-Term Capital Gain | Total | ||||||||||
Tax-Managed U.S. Marketwide Value Portfolio | ||||||||||||
2009 | $34,714 | — | $34,714 | |||||||||
2010 | 21,400 | — | 21,400 | |||||||||
Tax-Managed U.S. Equity Portfolio | ||||||||||||
2009 | 25,432 | — | 25,432 | |||||||||
2010 | 20,546 | — | 20,546 | |||||||||
Tax-Managed U.S. Targeted Value Portfolio | ||||||||||||
2009 | 20,085 | — | 20,085 | |||||||||
2010 | 11,978 | — | 11,978 | |||||||||
Tax-Managed U.S. Small Cap Portfolio | ||||||||||||
2009 | $10,036 | — | $10,036 |
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Net Investment Income and Short-Term Capital Gains | Long-Term Capital Gain | Total | ||||||
2010 | 5,779 | — | 5,779 | |||||
T.A. U.S. Core Equity 2 Portfolio | ||||||||
2009 | 18,642 | — | 18,642 | |||||
2010 | 24,397 | — | 24,397 | |||||
Tax-Managed DFA International Value Portfolio | ||||||||
2009 | 45,214 | — | 45,214 | |||||
2010 | 37,438 | — | 37,438 | |||||
T.A. World ex U.S. Core Equity Portfolio | ||||||||
2009 | 10,761 | — | 10,761 | |||||
2010 | 14,786 | — | 14,786 |
At October 31, 2010, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Capital Gains | Long-Term Capital Gains | Total | ||||||
T.A. World ex U.S. Core Equity Portfolio | $25 | — | $25 |
At October 31, 2010, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Net Investment Income and Short-Term Capital Gains | Capital Loss Carryforward | Total Net Distributable Earnings (Accumulated Losses) | ||||||||
Tax-Managed U.S. Marketwide Value Portfolio | $4,082 | $(241,851) | $(237,769) | |||||||
Tax-Managed U.S. Equity Portfolio | 3,014 | (478,120) | (475,106) | |||||||
Tax-Managed U.S. Targeted Value Portfolio | 1,925 | (211,929) | (210,004) | |||||||
Tax-Managed U.S. Small Cap Portfolio | 1,098 | (221,256) | (220,158) | |||||||
T.A. U.S. Core Equity 2 Portfolio | 4,344 | (35,921) | (31,577) | |||||||
Tax-Managed DFA International Value Portfolio | 5,156 | (94,464) | (89,308) | |||||||
T.A. World ex U.S. Core Equity Portfolio | 3,570 | (3,529) | 41 |
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of October 31, 2010, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
Expires on October 31, | Total | |||||||||||||||||||||||
2011 | 2013 | 2014 | 2016 | 2017 | ||||||||||||||||||||
Tax-Managed U.S. Marketwide Value Portfolio | — | — | — | $ | 73,054 | $ | 168,797 | $ | 241,851 | |||||||||||||||
Tax-Managed U.S. Equity Portfolio | $ | 8,734 | $ | 13,463 | $ | 27,199 | 142,158 | 286,566 | 478,120 | |||||||||||||||
Tax-Managed U.S. Targeted Value Portfolio | — | — | — | — | 211,929 | 211,929 | ||||||||||||||||||
Tax-Managed U.S. Small Cap Portfolio | — | — | — | 35,969 | 185,287 | 221,256 | ||||||||||||||||||
T.A. U.S. Core Equity 2 Portfolio | — | — | — | — | $ | 35,921 | $ | 35,921 | ||||||||||||||||
Tax-Managed DFA International Value Portfolio | — | — | — | — | 94,464 | 94,464 |
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Expires on October 31, | Total | |||||||||||||||
2011 | 2013 | 2014 | 2016 | 2017 | ||||||||||||
T.A. World ex U.S. Core Equity Portfolio | — | — | — | — | 3,529 | 3,529 |
During the year ended October 31, 2010, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes (amount in thousands):
Tax-Managed U.S. Marketwide Value Portfolio | $ | 47,346 | ||
Tax-Managed U.S. Equity Portfolio | 15,791 | |||
Tax Managed U.S. Targeted Value Portfolio | 56,995 | |||
Tax Managed U.S. Small Cap Portfolio | 10,032 | |||
T.A. U.S. Core Equity 2 Portfolio | 13,898 | |||
Tax-Managed DFA International Value Portfolio | 70,235 | |||
T.A. World ex U.S. Core Equity Portfolio | 6,151 |
Some of the investments held by T.A. World ex U.S. Core Equity Portfolio are in securities considered to be “passive foreign investment companies” for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains (losses) are required to be included in distributable net investment income for federal income tax purposes. At October 31, 2010, the Portfolio had cumulative unrealized appreciation (depreciation) (mark to market) to be included in distributable net investment income for federal tax purposes of $172 (in thousands). For the year ended October 31, 2010, realized gains on the sale of passive foreign investment companies totaling $599 (in thousands) have been reclassified from accumulated net realized gains to accumulated net investment income for federal tax purposes.
At October 31, 2010, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Tax-Managed U.S. Marketwide Value Portfolio | $1,691,010 | $413,227 | $(207,010) | $206,217 | ||||||||||||
Tax-Managed U.S. Equity Portfolio | 906,366 | 403,690 | (23,634) | 380,056 | ||||||||||||
Tax-Managed U.S. Targeted Value Portfolio | 2,033,401 | 540,440 | (185,390) | 355,050 | ||||||||||||
Tax-Managed U.S. Small Cap Portfolio | 999,642 | 368,936 | (56,941) | 311,995 | ||||||||||||
T.A. U.S. Core Equity 2 Portfolio | 1,904,006 | 418,752 | (96,384) | 322,368 | ||||||||||||
Tax-Managed DFA International Value Portfolio | 1,717,244 | 313,495 | (107,279) | 206,216 | ||||||||||||
T.A. World ex U.S. Core Equity Portfolio | 816,110 | 255,648 | (41,845) | 213,803 |
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken on a tax return. Management has analyzed each Portfolio’s tax position and has concluded that no provision for income tax is required in the Portfolios’ financial statements. The Portfolios are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each of the Portfolio’s federal tax returns for the prior three years remain subject to examination by the Internal Revenue Service.
G. Financial Instruments:
In accordance with the Portfolios’ investment objectives and policies, the Portfolios may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:
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1. Repurchase Agreements: The Portfolios may purchase certain U.S. Government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund’s custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on October 29, 2010.
2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the U.S. companies, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of securities by the Portfolios may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a fund uses derivatives, how derivatives are accounted for and how derivative instruments affect a Portfolio’s results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Portfolios.
3. Futures Contracts: The Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Portfolio deposits cash or pledges U.S. Government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio records a realized gain or loss, which is presented in the Statement of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolio could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments’ (i) location in the balance sheet and fair value at period end and (ii) the location in the Statements of Operations and the realized and change in unrealized gain or loss over the reporting period.
At October 31, 2010, the Portfolios had no outstanding futures contracts.
H. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011.
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For the year ended October 31, 2010, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Average Interest Rate | Weighted Average Loan Balance | Number of Days Outstanding | Interest Expense Incurred | Maximum Amount Borrowed During the Period | ||||||
Tax-Managed U.S. Targeted Value Portfolio | 1.98% | $1,569 | 17 | $1 | $4,197 | |||||
Tax-Managed U.S. Small Cap Portfolio | 1.94% | 3,438 | 7 | 1 | 5,813 | |||||
T.A. U.S. Core Equity 2 Portfolio | 1.99% | 4,805 | 3 | 1 | 6,209 |
There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2010.
The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2010 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 15, 2011.
For the year ended October 31, 2010, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Average Interest Rate | Weighted Average Loan Balance | Number of Days Outstanding | Interest Expense Incurred | Maximum Amount Borrowed During the Period | ||||||
Tax-Managed DFA International Value Portfolio | 0.92% | $1,284 | 29 | $1 | $7,924 | |||||
T.A. World ex U.S. Core Equity Portfolio | 0.94% | 3,097 | 8 | 1 | 4,718 |
There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2010.
I. Securities Lending:
As of October 31, 2010, some of the Portfolios had securities on loan to brokers/dealers, for which each Portfolio received cash collateral. Each Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios’ collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities.
Subject to their stated investment policies, the Portfolios will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolios also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Portfolio will be able to terminate the loan at any time and will receive reasonable
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interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates.
J. Indemnitees; Contractual Obligations:
Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund.
In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures.
L. Other:
At October 31, 2010, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Number of Shareholders | Approximate Percentage of Outstanding Shares | |||
Tax-Managed U.S. Marketwide Value Portfolio | 3 | 90% | ||
Tax-Managed U.S. Equity Portfolio | 2 | 75% | ||
Tax-Managed U.S. Targeted Value Portfolio | 3 | 96% | ||
Tax-Managed U.S. Small Cap Portfolio | 3 | 95% | ||
T.A. U.S. Core Equity 2 Portfolio | 3 | 93% | ||
Tax-Managed DFA International Value Portfolio | 3 | 94% | ||
T.A. World ex U.S. Core Equity Portfolio | 3 | 91% |
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed an action against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Portfolios and has determined that the following subsequent event requires recognition or disclosure in the financial statements.
A class action complaint (the “Complaint”) has been filed in the bankruptcy case of the Tribune Company (the “Tribune”) in the United States Bankruptcy Court for the District of Delaware. The Complaint is against The Tax Managed U.S. Marketwide Value Series and all other Tribune shareholders as a group, which includes hundreds of
55
mutual funds, institutional investors and others who sold shares of Tribune in 2007 when the Tribune became private in a leveraged buyout transaction (the “LBO Transaction”). The Tax Managed U.S. Marketwide Value Series, and all shareholders who participated in the LBO Transaction, received cash in the amount of $34 per share. The Complaint alleges that this transfer violated the rights of creditors and that the cash paid to shareholders in connection with the LBO Transaction should be paid back to the Tribune’s bankruptcy estate and used to pay creditors.
Litigation counsel to The Tax Managed U.S. Marketwide Value Series does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the lawsuit or quantify the potential ultimate exposure to The Tax Managed U.S. Marketwide Value Series. However, even if the plaintiff in the lawsuit were to obtain the recovery it seeks, the amount would be less than 1% of The Tax Managed U.S. Marketwide Value Series’ net asset value at this time. The Tax Managed U.S. Marketwide Value Series’ litigation counsel does not believe at this time that recovery of the full amount the plaintiff seeks is a likely outcome.
Since The Tax Managed U.S. Marketwide Value Series cannot predict with reasonable specificity what the actual outcome of the lawsuit may be or what the size of The Tax Managed U.S. Marketwide Value Series might be at the time the outcome of the lawsuit may be determined, no deduction from the net asset value of The Tax Managed U.S. Marketwide Value Series will be made at this time. Therefore, at this time, those buying or redeeming shares of The Tax Managed U.S. Marketwide Value Series will pay or receive, as the case may be, a price based on net asset value of The Tax Managed U.S. Marketwide Value Series, with no deduction relating to the lawsuit. The attorneys’ fees and costs relating to the lawsuit will be taken as expenses by The Tax Managed U.S. Marketwide Value Series as incurred and in a manner similar to any other expense incurred by The Tax Managed U.S. Marketwide Value Series.
56
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of DFA Investment Dimensions Group Inc.:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments/ summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2 Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the “Portfolios”) at October 31, 2010, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2010 by correspondence with the custodians, brokers and transfer agents of the investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2010
57
THE DFA INVESTMENT TRUST COMPANY
58
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT’S DISCUSSION AND ANALYSIS
U.S. Equity Market Review | 12 Months Ended October 31, 2010 |
The year ending October 31, 2010, was a relatively volatile period for U.S. equities. Broad market returns were positive, with the Russell 3000® Index returning 18.34%. Stocks represented by the Russell Midcap® Index outperformed those within both the Russell 2000® Index (small caps) and the Russell 1000® Index (large caps). Meanwhile, stocks represented by the Russell® 1000 Growth Index outperformed those represented by the Russell 1000® Value Index.
While market returns were positive through April 2010, stocks retreated in May and June, marking new lows for the fiscal year in early July. Then in September, stocks began a sharp rise which continued through October. Over the course of the fiscal year, the small company premium within the Russell 3000® Index was positive, while the value premium was negative as investors’ risk tolerance shifted, and general economic conditions evolved.
Among the most important factors explaining differences in the behavior of diversified equity portfolios are the company size and company value/growth characteristics of the portfolio’s holdings. Size is measured by market capitalization, and value classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks often have lower market value relative to their earnings, dividends, and book value.
For the 12 months ended October 31, 2010, the total return of the Russell Microcap® Index was 25.08%, the Russell 2000® Index was 26.57%, the CRSP 6-10 Index was 28.76%, and the MSCI US Small Cap 1750 Index was 28.35%. Large cap growth stocks outperformed large cap value stocks, as measured by the Russell 1000® Growth Index and Russell 1000® Value Index. Small cap growth stocks outperformed small cap value stocks as measured by the Russell 2000® Growth Index and Russell 2000® Value Index.
Total Return for 12 Months Ended October 31, 2010 | ||||
Russell 2000® Index (small cap companies) | 26.57 | % | ||
Russell Midcap® Index (mid cap companies) | 27.73 | % | ||
Russell 1000® Index (large cap companies) | 17.65 | % | ||
Russell 3000® Value Index | 16.41 | % | ||
Russell 3000® Growth Index | 20.32 | % |
Further dividing the large, mid, and small cap market segments by value and growth characteristics shows more detail in the performance differences over the period.
Total Return for 12 Months Ended October 31, 2010 | ||||
Russell 1000® Value Index (large cap value companies) | 15.72 | % | ||
Russell 1000® Growth Index (large cap growth companies) | 19.66 | % | ||
Russell Midcap® Value Index (mid cap value companies) | 27.50 | % | ||
Russell Midcap® Growth Index (mid cap growth companies) | 28.03 | % | ||
Russell 2500® Value Index (small/mid cap value companies) | 26.89 | % | ||
Russell 2500® Growth Index (small/mid cap growth companies) | 28.76 | % | ||
Russell 2000® Value Index (small cap value companies) | 24.43 | % | ||
Russell 2000® Growth Index (small cap growth companies) | 28.66 | % |
Source: Russell data copyright© Russell Investment Group 1995-2010, all rights reserved.
Differences in returns for the various Dimensional U.S. equity funds over the 12 months ended October 31, 2010 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios, except for the DFA Real Estate Securities Portfolio and the U.S. Large Company Portfolio. Moreover, the portfolio construction approach used by Dimensional Fund Advisors (the “Advisor”) generally resulted in portfolios with greater emphasis on value or small company characteristics relative to widely used index benchmarks.
59
Domestic Equity Series’ Performance Overview
The Tax-Managed U.S. Marketwide Value Series
The Tax-Managed U.S. Marketwide Value Series seeks to capture the returns of U.S. value stocks. The Series also seeks to maximize the after-tax value of a shareholder’s investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to U.S. value stocks, but does not attempt to track closely a specific equity index. As of October 31, 2010, the Series held 1,206 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Series’ assets.
As a result of the Series’ diversified investment approach, performance principally was determined by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 20.38% for the Series and 16.41% for the Russell 3000® Value Index. Relative to the Index, the Series’ higher concentration in securities with the most prominent value characteristics and somewhat greater exposure to small cap securities drove outperformance. The Series is more inclusive than the Index across the market capitalization segments in the micro cap range. This greater exposure to micro cap stocks and the composition of those stocks contributed to the Series’ outperformance. Overall, the Series holds nearly 800 fewer securities and therefore composition effects between the Series and the Index are common. During this period the composition effects contributed to outperformance. The Series’ exclusion of REITs had a negative impact of approximately 0.8% relative to the Index as REITs was the best-performing sector over the period.
The Tax-Managed U.S. Equity Series
The Tax-Managed U.S. Equity Series seeks to capture the returns associated with the broad universe of U.S. stocks. The Series also seeks to maximize the after-tax value of a shareholder’s investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to the U.S. equity universe, but does not attempt to track closely a specific equity index. As of October 31, 2010, the Series held 2,659 stocks and was mostly invested in equities throughout the year: the average cash level for the period was less than 1% of the Series’ assets.
As a result of the Series’ diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the 12 months ended October 31, 2010, total returns were 18.29% for the Series, 18.34% for the Russell 3000® Index and 19.04% for the Dow Jones US Total Stock Market IndexSM (Full Cap). Relative to the Russell 3000® Index, underperformance by the Series was attributable to small differences in allocations across the market capitalization segments. The Series’ exclusion of REITs had a negative impact of approximately 0.4% relative to the Index as REITs was the best-performing sector over the period.
As of January 4, 2010, the Russell 3000® Index was selected to replace the Dow Jones US Total Stock Market IndexSM as the appropriate benchmark for the Series.
60
THE DFA INVESTMENT TRUST COMPANY
(Unaudited)
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The Expense Tables below illustrate your fund’s costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.
Six Months Ended October 31, 2010
EXPENSE TABLES
Beginning Account Value 05/01/10 | Ending Account Value 10/31/10 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||
The Tax-Managed U.S. Marketwide Value Series | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 973.60 | 0.21% | $1.04 | ||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.15 | 0.21% | $1.07 | ||||||
The Tax-Managed U.S. Equity Series | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,009.00 | 0.07% | $0.35 | ||||||
Hypothetical 5% Annual Return | $ | 1,000.00 | $ | 1,024.85 | 0.07% | $0.36 |
* | Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. |
61
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on September 29, 2010. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.
DOMESTIC EQUITY PORTFOLIOS
The Tax-Managed U.S. Marketwide Value Series | The Tax-Managed U.S. Equity Series | |||||
Consumer Discretionary | 20.0% | Consumer Discretionary | 12.1% | |||
Consumer Staples | 7.3% | Consumer Staples | 10.2% | |||
Energy | 15.2% | Energy | 10.5% | |||
Financials | 22.0% | Financials | 12.9% | |||
Health Care | 5.9% | Health Care | 11.7% | |||
Industrials | 14.0% | Industrials | 11.7% | |||
Information Technology | 5.5% | Information Technology | 19.7% | |||
Materials | 3.5% | Materials | 4.4% | |||
Other | — | Other | — | |||
Telecommunication Services | 5.2% | Telecommunication Services | 2.9% | |||
Utilities | 1.4% | Utilities | 3.9% | |||
100.0% | 100.0% |
62
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||
COMMON STOCKS — (95.5%) | ||||||||||||
Consumer Discretionary — (19.1%) | ||||||||||||
*Carnival Corp. | 695,842 | $ | 30,039,499 | 1.1% | ||||||||
CBS Corp. Class B | 955,791 | 16,181,542 | 0.6% | |||||||||
*Comcast Corp. Class A | 3,570,978 | 73,490,727 | 2.7% | |||||||||
Comcast Corp. Special Class A | 1,432,185 | 27,684,136 | 1.0% | |||||||||
*Liberty Media Corp. Capital Class A | 217,289 | 12,502,809 | 0.5% | |||||||||
*Liberty Media Corp. Interactive Class A | 882,463 | 13,025,154 | 0.5% | |||||||||
*News Corp. Class A | 2,360,850 | 34,137,891 | 1.3% | |||||||||
News Corp. Class B | 937,272 | 15,071,334 | 0.6% | |||||||||
#*Royal Caribbean Cruises, Ltd. | 322,500 | 12,751,650 | 0.5% | |||||||||
*Time Warner Cable, Inc. | 693,942 | 40,158,424 | 1.5% | |||||||||
*Time Warner, Inc. | 1,534,860 | 49,898,299 | 1.9% | |||||||||
Walt Disney Co. (The) | 1,066,209 | 38,500,807 | 1.4% | |||||||||
Other Securities | 167,930,087 | 6.3% | ||||||||||
Total Consumer Discretionary | 531,372,359 | 19.9% | ||||||||||
Consumer Staples — (7.0%) | ||||||||||||
*Archer-Daniels-Midland Co. | 759,376 | 25,302,408 | 0.9% | |||||||||
*CVS Caremark Corp. | 1,510,745 | 45,503,639 | 1.7% | |||||||||
Kraft Foods, Inc. | 1,821,573 | 58,782,161 | 2.2% | |||||||||
Other Securities | 64,140,512 | 2.4% | ||||||||||
Total Consumer Staples | 193,728,720 | 7.2% | ||||||||||
Energy — (14.5%) | ||||||||||||
*Anadarko Petroleum Corp. | 845,068 | 52,030,837 | 2.0% | |||||||||
Chesapeake Energy Corp. | 818,200 | 17,754,940 | 0.7% | |||||||||
*ConocoPhillips | 1,766,829 | 104,949,643 | 3.9% | |||||||||
Hess Corp. | 378,130 | 23,833,534 | 0.9% | |||||||||
*Marathon Oil Corp. | 867,037 | 30,840,506 | 1.2% | |||||||||
National-Oilwell, Inc. | 468,812 | 25,203,333 | 0.9% | |||||||||
Other Securities | 150,451,534 | 5.6% | ||||||||||
Total Energy | 405,064,327 | 15.2% | ||||||||||
Financials — (21.0%) | ||||||||||||
*Bank of America Corp. | 7,159,212 | 81,901,385 | 3.1% | |||||||||
*Capital One Financial Corp. | 571,140 | 21,286,388 | 0.8% | |||||||||
*Citigroup, Inc. | 9,322,022 | 38,872,832 | 1.4% | |||||||||
CME Group, Inc. | 82,877 | 24,005,323 | 0.9% | |||||||||
*JPMorgan Chase & Co. | 494,504 | 18,608,186 | 0.7% | |||||||||
*Loews Corp. | 680,172 | 26,853,191 | 1.0% | |||||||||
*MetLife, Inc. | 1,000,002 | 40,330,081 | 1.5% | |||||||||
*Prudential Financial, Inc. | 501,027 | 26,344,000 | 1.0% | |||||||||
*SunTrust Banks, Inc. | 594,272 | 14,868,685 | 0.6% | |||||||||
Travelers Cos., Inc. (The) | 450,950 | 24,892,440 | 0.9% | |||||||||
Other Securities | 266,175,210 | 10.0% | ||||||||||
Total Financials | 584,137,721 | 21.9% | ||||||||||
Health Care — (5.6%) | ||||||||||||
*Aetna, Inc. | 503,313 | 15,028,926 | 0.6% | |||||||||
*Humana, Inc. | 236,814 | 13,803,888 | 0.5% | |||||||||
*Thermo Fisher Scientific, Inc. | 499,520 | 25,685,318 | 0.9% | |||||||||
*WellPoint, Inc. | 501,340 | 27,242,816 | 1.0% | |||||||||
Other Securities | 73,829,363 | 2.8% | ||||||||||
Total Health Care | 155,590,311 | 5.8% | ||||||||||
Industrials — (13.4%) | ||||||||||||
*CSX Corp. | 562,627 | 34,573,429 | 1.3% |
63
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | Percentage | ||||||||||
Industrials — (Continued) | ||||||||||||
FedEx Corp. | 164,882 | $ | 14,463,449 | 0.5% | ||||||||
General Electric Co. | 3,570,080 | 57,192,682 | 2.1% | |||||||||
*Norfolk Southern Corp. | 545,229 | 33,526,131 | 1.3% | |||||||||
*Northrop Grumman Corp. | 328,338 | 20,754,245 | 0.8% | |||||||||
*Southwest Airlines Co. | 1,077,730 | 14,829,565 | 0.5% | |||||||||
*Union Pacific Corp. | 660,982 | 57,954,902 | 2.2% | |||||||||
Other Securities | 139,185,749 | 5.2% | ||||||||||
Total Industrials | 372,480,152 | 13.9% | ||||||||||
Information Technology — (5.3%) | ||||||||||||
*Motorola, Inc. | 1,624,811 | 13,242,210 | 0.5% | |||||||||
Xerox Corp. | 1,791,473 | 20,960,234 | 0.8% | |||||||||
Other Securities | 113,277,262 | 4.2% | ||||||||||
Total Information Technology | 147,479,706 | 5.5% | ||||||||||
Materials — (3.3%) | ||||||||||||
*Alcoa, Inc. | 1,145,369 | 15,038,695 | 0.5% | |||||||||
Dow Chemical Co. (The) | 515,627 | 15,896,780 | 0.6% | |||||||||
*International Paper Co. | 493,615 | 12,478,587 | 0.5% | |||||||||
Other Securities | 49,854,798 | 1.9% | ||||||||||
Total Materials | 93,268,860 | 3.5% | ||||||||||
Other — (0.0%) | ||||||||||||
Other Securities | 54 | 0.0% | ||||||||||
Telecommunication Services — (5.0%) | ||||||||||||
*AT&T, Inc. | 4,065,906 | 115,878,321 | 4.3% | |||||||||
*Sprint Nextel Corp. | 3,820,377 | 15,739,953 | 0.6% | |||||||||
Other Securities | 7,038,681 | 0.3% | ||||||||||
Total Telecommunication Services | 138,656,955 | 5.2% | ||||||||||
Utilities — (1.3%) | ||||||||||||
*Public Service Enterprise Group, Inc. | 655,441 | 21,203,516 | 0.8% | |||||||||
Other Securities | 15,049,649 | 0.6% | ||||||||||
Total Utilities | 36,253,165 | 1.4% | ||||||||||
TOTAL COMMON STOCKS | 2,658,032,330 | 99.5% | ||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||
Other Securities | — | 0.0% | ||||||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio — Institutional Shares | 9,057,730 | 9,057,730 | 0.3% | |||||||||
Shares/ Face Amount | ||||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (4.2%) | ||||||||||||
§@DFA Short Term Investment Fund | 115,534,176 | 115,534,176 | 4.4% | |||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $550 | 549,952 | 0.0% | |||||||||
TOTAL SECURITIES LENDING COLLATERAL | 116,084,128 | 4.4% | ||||||||||
64
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Value† | Percentage | |||||||
TOTAL INVESTMENTS — (100.0%) | $ | 2,783,174,188 | 104.2% | |||||
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Consumer Discretionary | $ | 531,372,359 | — | — | $ | 531,372,359 | ||||||||||||
Consumer Staples | 193,728,720 | — | — | 193,728,720 | ||||||||||||||
Energy | 405,064,327 | — | — | 405,064,327 | ||||||||||||||
Financials | 584,137,721 | — | — | 584,137,721 | ||||||||||||||
Health Care | 155,590,311 | — | — | 155,590,311 | ||||||||||||||
Industrials | 372,480,152 | — | — | 372,480,152 | ||||||||||||||
Information Technology | 147,479,706 | — | — | 147,479,706 | ||||||||||||||
Materials | 93,268,860 | — | — | 93,268,860 | ||||||||||||||
Other | — | $ | 54 | — | 54 | |||||||||||||
Telecommunication Services | 138,656,955 | — | — | 138,656,955 | ||||||||||||||
Utilities | 36,253,165 | — | — | 36,253,165 | ||||||||||||||
Rights/Warrants | — | — | — | — | ||||||||||||||
Temporary Cash Investments | 9,057,730 | — | — | 9,057,730 | ||||||||||||||
Securities Lending Collateral | — | 116,084,128 | — | 116,084,128 | ||||||||||||||
TOTAL | $ | 2,667,090,006 | $ | 116,084,182 | — | $ | 2,783,174,188 | |||||||||||
See accompanying Notes to Financial Statements.
65
THE TAX-MANAGED U.S. EQUITY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2010
Shares | Value† | Percentage | ||||||||||
COMMON STOCKS — (94.0%) | ||||||||||||
Consumer Discretionary — (11.3%) | ||||||||||||
*Amazon.com, Inc. | 36,900 | $ | 6,093,666 | 0.5% | ||||||||
#*Ford Motor Co. | 324,140 | 4,580,098 | 0.3% | |||||||||
#*Home Depot, Inc. | 168,342 | 5,198,401 | 0.4% | |||||||||
*McDonald’s Corp. | 109,625 | 8,525,536 | 0.7% | |||||||||
Walt Disney Co. (The) | 196,592 | 7,098,937 | 0.5% | |||||||||
Other Securities | 123,109,599 | 9.6% | ||||||||||
Total Consumer Discretionary | 154,606,237 | 12.0% | ||||||||||
Consumer Staples — (9.6%) | ||||||||||||
Altria Group, Inc. | 213,900 | 5,437,338 | 0.4% | |||||||||
Coca-Cola Co. (The) | 218,236 | 13,382,232 | 1.1% | |||||||||
Kraft Foods, Inc. | 171,372 | 5,530,174 | 0.4% | |||||||||
*PepsiCo, Inc. | 160,129 | 10,456,424 | 0.8% | |||||||||
Philip Morris International, Inc. | 177,143 | 10,362,866 | 0.8% | |||||||||
*Procter & Gamble Co. (The) | 296,827 | 18,869,292 | 1.5% | |||||||||
*Wal-Mart Stores, Inc. | 214,602 | 11,624,990 | 0.9% | |||||||||
Other Securities | 55,344,996 | 4.3% | ||||||||||
Total Consumer Staples | 131,008,312 | 10.2% | ||||||||||
Energy — (9.9%) | ||||||||||||
*Chevron Corp. | 203,714 | 16,828,814 | 1.3% | |||||||||
*ConocoPhillips | 149,755 | 8,895,447 | 0.7% | |||||||||
*Exxon Mobil Corp. | 519,047 | 34,501,054 | 2.7% | |||||||||
Occidental Petroleum Corp. | 83,088 | 6,533,209 | 0.5% | |||||||||
*Schlumberger, Ltd. | 121,266 | 8,475,281 | 0.7% | |||||||||
Other Securities | 59,263,612 | 4.6% | ||||||||||
Total Energy | 134,497,417 | 10.5% | ||||||||||
Financials — (12.1%) | ||||||||||||
*American Express Co. | 111,405 | 4,618,851 | 0.4% | |||||||||
*Bank of America Corp. | 924,879 | 10,580,616 | 0.8% | |||||||||
*Berkshire Hathaway, Inc. | 62,164 | 4,945,768 | 0.4% | |||||||||
*Citigroup, Inc. | 1,913,088 | 7,977,577 | 0.6% | |||||||||
*Goldman Sachs Group, Inc. (The) | 50,300 | 8,095,785 | 0.6% | |||||||||
*JPMorgan Chase & Co. | 406,172 | 15,284,252 | 1.2% | |||||||||
U.S. Bancorp. | 203,215 | 4,913,739 | 0.4% | |||||||||
*Wells Fargo & Co. | 508,428 | 13,259,802 | 1.0% | |||||||||
Other Securities | 95,372,044 | 7.4% | ||||||||||
Total Financials | 165,048,434 | 12.8% | ||||||||||
Health Care — (11.0%) | ||||||||||||
*Abbott Laboratories | 153,600 | 7,882,752 | 0.6% | |||||||||
*Amgen, Inc. | 98,171 | 5,614,400 | 0.4% | |||||||||
Bristol-Myers Squibb Co. | 165,250 | 4,445,225 | 0.3% | |||||||||
*Johnson & Johnson | 274,184 | 17,457,295 | 1.4% | |||||||||
Merck & Co., Inc. | 318,253 | 11,546,219 | 0.9% | |||||||||
*Pfizer, Inc. | 823,503 | 14,328,952 | 1.1% | |||||||||
Other Securities | 88,119,931 | 6.9% | ||||||||||
Total Health Care | 149,394,774 | 11.6% | ||||||||||
Industrials — (11.0%) | ||||||||||||
*3M Co. | 66,923 | 5,636,255 | 0.4% | |||||||||
*Boeing Co. (The) | 65,850 | 4,651,644 | 0.4% | |||||||||
*Caterpillar, Inc. | 64,509 | 5,070,407 | 0.4% | |||||||||
General Electric Co. | 1,093,771 | 17,522,211 | 1.4% | |||||||||
*Union Pacific Corp. | 51,000 | 4,471,680 | 0.3% |
66
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | Percentage | ||||||||||
Industrials — (Continued) | ||||||||||||
*United Parcel Service, Inc. | 74,250 | $ | 4,999,995 | 0.4% | ||||||||
*United Technologies Corp. | 89,870 | 6,719,580 | 0.5% | |||||||||
Other Securities | 100,586,224 | 7.8% | ||||||||||
Total Industrials | 149,657,996 | 11.6% | ||||||||||
Information Technology — (18.5%) | ||||||||||||
*Apple, Inc. | 94,060 | 28,299,832 | 2.2% | |||||||||
*Cisco Sytems, Inc. | 553,000 | 12,624,990 | 1.0% | |||||||||
*EMC Corp. | 209,363 | 4,398,717 | 0.3% | |||||||||
*Google, Inc. | 23,437 | 14,366,647 | 1.1% | |||||||||
Hewlett-Packard Co. | 231,000 | 9,715,860 | 0.8% | |||||||||
*Intel Corp. | 567,470 | 11,389,123 | 0.9% | |||||||||
*International Business Machines Corp. | 124,703 | 17,907,351 | 1.4% | |||||||||
*Microsoft Corp. | 767,007 | �� | 20,433,066 | 1.6% | ||||||||
*Oracle Corp. | 402,316 | 11,828,090 | 0.9% | |||||||||
*QUALCOMM, Inc. | 162,070 | 7,314,219 | 0.6% | |||||||||
Other Securities | 113,682,689 | 8.8% | ||||||||||
Total Information Technology | 251,960,584 | 19.6% | ||||||||||
Materials — (4.2%) | ||||||||||||
Other Securities | 57,032,534 | 4.4% | ||||||||||
Other — (0.0%) | ||||||||||||
Other Securities | 6 | 0.0% | ||||||||||
Telecommunication Services — (2.8%) | ||||||||||||
*AT&T, Inc. | 583,080 | 16,617,780 | 1.3% | |||||||||
*Verizon Communications, Inc. | 289,775 | 9,408,994 | 0.7% | |||||||||
Other Securities | 11,638,562 | 0.9% | ||||||||||
Total Telecommunication Services | 37,665,336 | 2.9% | ||||||||||
Utilities — (3.6%) | ||||||||||||
Other Securities | 49,419,103 | 3.9% | ||||||||||
TOTAL COMMON STOCKS | 1,280,290,733 | 99.5% | ||||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||||
Other Securities | 5,354 | 0.0% | ||||||||||
TEMPORARY CASH INVESTMENTS — (0.5%) | ||||||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares | 6,782,405 | 6,782,405 | 0.5% | |||||||||
Shares/ Face Amount | ||||||||||||
(000) | ||||||||||||
SECURITIES LENDING COLLATERAL — (5.5%) | ||||||||||||
§@DFA Short Term Investment Fund | 74,215,068 | 74,215,068 | 5.8% | |||||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, | $353 | 353,270 | 0.0% | |||||||||
TOTAL SECURITIES LENDING COLLATERAL | 74,568,338 | 5.8% | ||||||||||
TOTAL INVESTMENTS — (100.0%) | $ | 1,361,646,830 | 105.8% | |||||||||
67
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Summary of inputs used to value the Series’ investments as of October 31, 2010 is as follows (See Security Valuation Note):
Valuation Inputs | ||||||||||||||||||
Investment in Securities (Market Value) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | ||||||||||||||||||
Consumer Discretionary | $ | 154,606,237 | — | — | $ | 154,606,237 | ||||||||||||
Consumer Staples | 131,008,312 | — | — | 131,008,312 | ||||||||||||||
Energy | 134,497,417 | — | — | 134,497,417 | ||||||||||||||
Financials | 165,048,434 | — | — | 165,048,434 | ||||||||||||||
Health Care | 149,385,314 | $ | 9,460 | — | 149,394,774 | |||||||||||||
Industrials | 149,657,996 | — | — | 149,657,996 | ||||||||||||||
Information Technology | 251,960,584 | — | — | 251,960,584 | ||||||||||||||
Materials | 57,032,534 | — | — | 57,032,534 | ||||||||||||||
Other | — | 6 | — | 6 | ||||||||||||||
Telecommunication Services | 37,665,336 | — | — | 37,665,336 | ||||||||||||||
Utilities | 49,419,103 | — | — | 49,419,103 | ||||||||||||||
Rights/Warrants | 5,354 | — | — | 5,354 | ||||||||||||||
Temporary Cash Investments | 6,782,405 | — | — | 6,782,405 | ||||||||||||||
Securities Lending Collateral | — | 74,568,338 | — | 74,568,338 | ||||||||||||||
TOTAL | $ | 1,287,069,026 | $ | 74,577,804 | — | $ | 1,361,646,830 | |||||||||||
See accompanying Notes to Financial Statements.
68
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2010
(Amounts in thousands)
The Tax-Managed U.S. Marketwide Value Series | The Tax-Managed U.S. Equity Series | |||||||
ASSETS: | ||||||||
Investments at Value (including $110,889 and $71,829 of securities on | $ | 2,658,032 | $ | 1,280,296 | ||||
Temporary Cash Investments at Value & Cost | 9,058 | 6,783 | ||||||
Collateral Received from Securities on Loan at Value & Cost | 116,084 | 74,568 | ||||||
Receivables: | ||||||||
Investment Securities Sold | 12,390 | 48 | ||||||
Dividends and Interest | 3,096 | 1,329 | ||||||
Securities Lending Income | 139 | 27 | ||||||
Fund Shares Sold | 1,068 | 188 | ||||||
Total Assets | 2,799,867 | 1,363,239 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Upon Return of Securities Loaned | 116,084 | 74,568 | ||||||
Investment Securities Purchased | 12,546 | 2,129 | ||||||
Due to Advisor | 439 | 53 | ||||||
Accrued Expenses and Other Liabilities | 125 | 66 | ||||||
Total Liabilities | 129,194 | 76,816 | ||||||
NET ASSETS | $ | 2,670,673 | $ | 1,286,423 | ||||
Investments at Cost | $ | 2,361,062 | $ | 899,777 | ||||
See accompanying Notes to Financial Statements.
69
THE DFA INVESTMENT TRUST COMPANY
FOR THE YEAR ENDED OCTOBER 31, 2010
(Amounts in thousands)
The Tax-Managed U.S. Marketwide Value Series | The Tax-Managed U.S. Equity Series | |||||||
Investment Income | ||||||||
Dividends | $ | 39,390 | $ | 23,049 | ||||
Interest | 13 | 6 | ||||||
Income from Securities Lending | 1,354 | 397 | ||||||
Total Investment Income | 40,757 | 23,452 | ||||||
Expenses | ||||||||
Investment Advisory Services Fees | 5,042 | 612 | ||||||
Accounting & Transfer Agent Fees | 265 | 139 | ||||||
Custodian Fees | 46 | 29 | ||||||
Shareholders’ Reports | 10 | 5 | ||||||
Directors’/Trustees’ Fees & Expenses | 24 | 11 | ||||||
Professional Fees | 50 | 24 | ||||||
Other | 27 | 16 | ||||||
Total Expenses | 5,464 | 836 | ||||||
Net Investment Income (Loss) | 35,293 | 22,616 | ||||||
Realized and Unrealized Gain (Loss) | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Investment Securities Sold | 76,239 | 15,808 | ||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||
Investment Securities | 353,972 | 166,588 | ||||||
Net Realized and Unrealized Gain (Loss) | 430,211 | 182,396 | ||||||
Net Increase (Decrease) in Net Assets Resulting from | $ | 465,504 | $ | 205,012 | ||||
See accompanying Notes to Financial Statements.
70
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Tax-Managed U.S. Marketwide Value Series | The Tax-Managed U.S. Equity Series | |||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | |||||||||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 35,293 | $ | 43,009 | $ | 22,616 | $ | 24,487 | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investment Securities Sold | 76,239 | (224,739 | ) | 15,808 | (289,047 | ) | ||||||||||||||||||
Futures | — | 2,063 | — | 2,732 | ||||||||||||||||||||
Change in Unrealized Appreciation | ||||||||||||||||||||||||
(Depreciation) of: | ||||||||||||||||||||||||
Investment Securities | 353,972 | 417,983 | 166,588 | 328,914 | ||||||||||||||||||||
Futures | — | (16 | ) | — | — | |||||||||||||||||||
Net Increase (Decrease) in Net Assets | 465,504 | 238,300 | 205,012 | 67,086 | ||||||||||||||||||||
Transactions in Interest: | ||||||||||||||||||||||||
Contributions | 111,014 | 347,943 | 49,823 | 111,879 | ||||||||||||||||||||
Withdrawals | (195,772 | ) | (487,040 | ) | (110,005 | ) | (305,880 | ) | ||||||||||||||||
Net Increase (Decrease) from Transactions | (84,758 | ) | (139,097 | ) | (60,182 | ) | (194,001 | ) | ||||||||||||||||
Total Increase (Decrease) in Net Assets | 380,746 | 99,203 | 144,830 | (126,915 | ) | |||||||||||||||||||
Net Assets | ||||||||||||||||||||||||
Beginning of Period | 2,289,927 | 2,190,724 | 1,141,593 | 1,268,508 | ||||||||||||||||||||
End of Period | $ | 2,670,673 | $ | 2,289,927 | $ | 1,286,423 | $ | 1,141,593 | ||||||||||||||||
See accompanying Notes to Financial Statements.
71
THE DFA INVESTMENT TRUST COMPANY
The Tax-Managed U.S. Marketwide Value Series | The Tax-Managed U.S. Equity Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Oct. 31, 2010 | Year Ended Oct. 31, 2009 | Period Dec. 1, 2007 to Oct. 31, 2008 | Year Ended Nov. 30, | Year Ended Nov. 30, | Year Ended Nov. 30, 2005 | |||||||||||||||||||||||||||||||||||||||||||||
Total Return | 20.38 | % | 12.76 | % | (37.44 | )%(C) | 0.67 | % | 17.70 | % | 16.44 | % | 18.29 | % | 8.56 | % | (32.28 | )%(C) | 7.38 | % | 13.06 | % | 10.15 | % | ||||||||||||||||||||||||||||||||
Net Assets, End of Period (thousands) | $ | 2,670,673 | $ | 2,289,927 | $ | 2,190,724 | $ | 3,858,580 | $ | 3,521,559 | $ | 2,476,387 | $ | 1,286,423 | $ | 1,141,593 | $ | 1,268,508 | $ | 1,824,033 | $ | 1,487,786 | $ | 999,348 | ||||||||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 0.22 | % | 0.23 | % | 0.22 | %(B) | 0.22 | % | 0.22 | % | 0.24 | % | 0.07 | % | 0.09 | % | 0.07 | %(B) | 0.07 | % | 0.07 | % | 0.09 | % | ||||||||||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.40 | % | 2.23 | % | 2.09 | %(B) | 1.61 | % | 1.63 | % | 1.52 | % | 1.85 | % | 2.37 | % | 1.91 | %(B) | 1.74 | % | 1.71 | % | 1.51 | % | ||||||||||||||||||||||||||||||||
Portfolio Turnover Rate | 25 | % | 28 | % | 40 | %(C) | 21 | % | 21 | % | 12 | % | 7 | % | 27 | % | 13 | %(C) | 6 | % | 21 | % | 10 | % |
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
72
THE DFA INVESTMENT TRUST COMPANY
A. Organization:
The DFA Investment Trust Company (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of twelve investment portfolios, of which The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (the “Series”) are presented in this section of the report.
At a regular meeting of the Board of Directors/Trustees (the “Board”) on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below:
— Level 1 – quoted prices in active markets for identical securities
— Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
— Level 3 – significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are valued at the last quoted sale price of the day. Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors/Trustees. These securities are generally categorized as Level 2 in the hierarchy. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Investment Committee of the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Series may differ from the quoted or published prices for the same securities on their primary markets or exchanges.
Futures contracts held by the Series are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy.
73
A summary of the inputs used to value the Series’ investments by each major security type, industry and/or country is disclosed at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Series did not have any significant transfers between Level 1 and Level 2 during the year ended October 31, 2010.
2. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the “Plan”). Under the Plan, effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/Trustees’ Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Trustee shall have the right in a notice of election to defer compensation (the “Notice”) to elect to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Trustee’s first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board of the Fund (unless the Trustee files an amended Notice selecting a different distribution date). Robert C. Merton resigned from the Board of the Fund on December 1, 2009 and received a lump sum payment of the proceeds of his deferred fee account on January 4, 2010 in the amount of $241,764. As of October 31, 2010, no other Trustees have requested or received a distribution of proceeds of a deferred fee account.
3. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on the accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets.
C. Investment Advisor:
Dimensional Fund Advisors LP (“Dimensional” or the “Advisor”) provides investment advisory services to the Series. For the year ended October 31, 2010, the Series’ investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
The Tax-Managed U.S. Marketwide Value Series | 0.20 | % | ||
The Tax-Managed U.S. Equity Series | 0.05 | % |
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Trust. For the year ended October 31, 2010, the total related amounts paid to the CCO by the Trust were $68 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations.
74
D. Deferred Compensation:
At October 31, 2010, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands):
The Tax-Managed U.S. Marketwide Value Series | $ | 65 | ||
The Tax-Managed U.S. Equity Series | 34 |
E. Purchases and Sales of Securities:
For the year ended October 31, 2010, the Series made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases | Sales | |||||||
The Tax-Managed U.S. Marketwide Value Series | $ | 615,740 | $ | 668,897 | ||||
The Tax-Managed U.S. Equity Series | 83,303 | 124,365 |
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series are treated as partnerships for federal income tax purposes and therefore, no provision for federal income taxes is required. Any net investment income and realized and unrealized gains and losses have been deemed to have been “passed down” to their respective partners.
At October 31, 2010, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
The Tax-Managed U.S. Marketwide Value Series | $ | 2,486,958 | $567,002 | $(270,786) | $296,216 | |||||||||||
The Tax-Managed U.S. Equity Series | 981,588 | 403,673 | (23,614) | 380,059 |
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Series’ tax position and has concluded that no provision for income tax is required in any Series’ financial statements. No Series is aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each of the Series’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G. Financial Instruments:
In accordance with the Series’ investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:
1. Repurchase Agreements: The Series may purchase certain U.S. Government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price
75
(including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Trust’s custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on October 29, 2010.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to improve financial reporting for derivative instruments by enabling investors to understand how and why a fund uses derivatives, how derivatives are accounted for and how derivative instruments affect a fund’s results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Series.
2. Futures Contracts: The Series may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Series deposits cash or pledges U.S. Government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series records a realized gain or loss, which is presented in the Statement of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. The Series entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
Additional disclosure on derivative instruments is required showing a summary by primary risk exposure of the derivatives instruments’ (i) location in the balance sheet and fair value at period end and (ii) the location in the Statements of Operations and the realized and change in unrealized gain or loss over the reporting period.
At October 31, 2010, the Series had no outstanding futures contracts.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, has entered into an amended and restated $250 million unsecured discretionary line of credit effective July 8, 2009 with an affiliate of its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on June 21, 2011.
For the year ended October 31, 2010, borrowings by the Series under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Average Interest Rate | Weighted Average Loan Balance | Number of Days Outstanding | Interest Expense Incurred | Maximum Amount Borrowed During the Period | ||||||||||||
The Tax-Managed U.S. Marketwide Value Series | 1.98% | $8,028 | 12 | $5 | $23,352 | |||||||||||
The Tax-Managed U.S. Equity Series | 1.97% | 2,701 | 14 | 2 | 5,601 |
There were no outstanding borrowings by the Series under this line of credit as of October 31, 2010.
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The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 15, 2010 with its international custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 15, 2011.
For the year ended October 31, 2010, borrowings by the Series under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Average Interest Rate | Weighted Average Loan Balance | Number of Days Outstanding | Interest Expense Incurred | Maximum Amount Borrowed During the Period | ||||||
The Tax-Managed U.S. Equity Series | 0.93% | $2,420 | 10 | $1 | $7,895 |
There were no outstanding borrowings by the Series under this line of credit as of October 31, 2010.
I. Securities Lending:
As of October 31, 2010, the Series had securities on loan to brokers/dealers, for which each Series received cash collateral. Each Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Series’ collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each Series also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each 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. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates.
J. Indemnitees; Contractual Obligations:
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust.
In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
77
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures in the roll forward of activity in Level 3 fair value measurements effective for interim and annual reporting periods beginning after December 15, 2010. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures.
L. Other
The Series are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed an action against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy out transaction, seeking the return of all proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series and has determined that the following subsequent event requires recognition or disclosure in the financial statements.
A class action complaint (the “Complaint”) has been filed in the bankruptcy case of the Tribune Company (the “Tribune”) in the United States Bankruptcy Court for the District of Delaware. The Complaint is against The Tax Managed U.S. Marketwide Value Series and all other Tribune shareholders as a group, which includes hundreds of mutual funds, institutional investors and others who sold shares of Tribune in 2007 when the Tribune became private in a leveraged buyout transaction (the “LBO Transaction”). The Tax Managed U.S. Marketwide Value Series, and all shareholders who participated in the LBO Transaction, received cash in the amount of $34 per share. The Complaint alleges that this transfer violated the rights of creditors and that the cash paid to shareholders in connection with the LBO Transaction should be paid back to the Tribune’s bankruptcy estate and used to pay creditors.
Litigation counsel to The Tax Managed U.S. Marketwide Value Series does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the lawsuit or quantify the potential ultimate exposure to The Tax Managed U.S. Marketwide Value Series. However, even if the plaintiff in the lawsuit were to obtain the recovery it seeks, the amount would be less than 1% of The Tax Managed U.S. Marketwide Value Series’ net asset value at this time. The Tax Managed U.S. Marketwide Value Series’ litigation counsel does not believe at this time that recovery of the full amount the plaintiff seeks is a likely outcome.
Since The Tax Managed U.S. Marketwide Value Series cannot predict with reasonable specificity what the actual outcome of the lawsuit may be or what the size of The Tax Managed U.S. Marketwide Value Series might be at the time the outcome of the lawsuit may be determined, no deduction from the net asset value of The Tax Managed U.S. Marketwide Value Series will be made at this time. Therefore, at this time, those buying or redeeming shares of The Tax Managed U.S. Marketwide Value Series will pay or receive, as the case may be, a price based on net asset value of The Tax Managed U.S. Marketwide Value Series, with no deduction relating to the lawsuit. The attorneys’ fees and costs relating to the lawsuit will be taken as expenses by The Tax Managed U.S. Marketwide Value Series as incurred and in a manner similar to any other expense incurred by The Tax Managed U.S. Marketwide Value Series.
78
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Series, as defined, and
Board of Trustees of The DFA Investment Trust Company:
In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the “Series”) at October 31, 2010, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2010 by correspondence with the custodian, brokers, and the transfer agent of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2010
79
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. (“DFAITC”), DFA Investment Dimensions Group Inc. (“DFAIDG”), Dimensional Investment Group Inc. (“DIG”) and Dimensional Emerging Markets Value Fund (“DEM”) (each, the “Fund” and collectively, the “Funds”) is responsible for establishing the Funds’ policies and for overseeing the management of the Funds. The Trustees/Directors of the Funds, including all of the disinterested Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the “Feeder Portfolios”) that invest in certain series of DFAITC or DEM (the “Master Funds”).
Each Board has two standing committees, an Audit Committee and a Portfolio Performance and Service Review Committee (the “Performance Committee”). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Director. The Audit Committee oversees the Fund’s accounting and financial reporting policies and practices, the Fund’s internal controls, the Fund’s financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund’s independent registered certified public accounting firm and also acts as a liaison between the Fund’s independent registered certified public accounting firm and the full Board. There were two Audit Committee meetings held during the fiscal year ended October 31, 2010.
Each Board’s Performance Committee is comprised of Messrs. Constantinides and Ibbotson, Ms. Smith, John P. Gould and Myron S. Scholes. Each member of the Fund’s Performance Committee is a disinterested Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund’s series and reviews the performance of the Fund’s service providers. There were seven Performance Committee meetings held during the fiscal year ended October 31, 2010.
Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director’s experience as a Trustee/ Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience.
The statements of additional information (together, “SAI”) of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by calling collect (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746. Prospectuses are also available at www.dimensional.com.
Name, Position with the Fund, Address and Age
| Term of Office1 and
|
Portfolios within the
| Principal Occupation(s) During Past 5 Years and
| |||||||
Disinterested Trustees/Directors
| ||||||||||
George M. Constantinides Director of DFAIDG, DIG and DEM. Trustee of DFAITC. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 63
|
DFAITC - since 1993 DIG - since 1993 DEM - since 1993 |
86 portfolios in 4 |
Leo Melamed Professor of Finance, The University of Chicago Booth School of Business. |
80
Name, Position with the Fund, Address and Age
| Term of Office1 and
|
Portfolios within the DFA Fund Complex2 Overseen
| Principal Occupation(s) During Past 5 Years and Other Directorships of Public Companies Held
| |||||||
John P. Gould Director of DFAIDG, DIG and DEM. Trustee of DFAITC. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 71
|
DFAITC -since 1993 DFAIDG -since 1986 DIG - since 1993 DEM - since 1993 |
86 portfolios in 4 investment companies |
Steven G. Rothmeier Distinguished Service Professor of Economics, The University of Chicago Booth School of Business (since 1965). Member of the Boards of Milwaukee Mutual Insurance Company (since 1997). Member and Chair, Competitive Markets Advisory Committee, Chicago Mercantile Exchange (futures trading exchange) (since 2004). Formerly, Director of UNext, Inc. (1999-2006). Formerly, Senior Vice-President, Lexecon Inc. (economics, law, strategy and finance consulting) (1994-2004). Trustee, Harbor Fund (registered investment company) (27 Portfolios) (since 1994). | |||||||
Roger G. Ibbotson Director of DFAIDG, DIG and DEM. Trustee of DFAITC. Yale School of Management 135 Prospect Street New Haven, CT 06520-8200 Age: 67
| DFAITC -since 1993
DFAIDG -since 1981 DIG - since 1993 DEM - since 1993 |
86 portfolios in 4 investment companies |
Professor in Practice of Finance, Yale School of Management (since 1984). Director, BIRR Portfolio Analysis, Inc. (software products) (since 1990). Chairman, CIO and Partner, Zebra Capital Management, LLC (hedge fund manager) (since 2001). Formerly, Chairman, Ibbotson Associates, Inc., Chicago, IL (software data publishing and consulting) (1977-2006). | |||||||
Myron S. Scholes Director of DFAIDG, DIG and DEM. Trustee of DFAITC. Platinum Grove Asset Management, L.P. Reckson Executive Park 1100 King Street Building 4 Rye Brook, NY 10573 Age: 69
|
DFAITC -since 1993 DFAIDG -since 1981 DIG - since 1993 DEM - since 1993 |
86 portfolios in 4 investment companies |
Frank E. Buck Professor Emeritus of Finance, Stanford University (since 1981). Chairman, Platinum Grove Asset Management, L.P. (hedge fund) (formerly, Oak Hill Platinum Partners) (since 1999). Formerly, Managing Partner, Oak Hill Capital Management (private equity firm) (until 2004). Formerly, Director, Chicago Mercantile Exchange (2001-2008). Director, American Century Fund Complex (registered investment companies) (37 Portfolios) (since 1981). | |||||||
Abbie J. Smith Director of DFAIDG, DIG and DEM. Trustee of DFAITC. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 57
|
DFAITC -since 2000 DFAIDG -since 2000 DIG - since 2000 DEM - since 2000 |
86 portfolios in 4 investment companies |
Boris and Irene Stern Professor of Accounting, The University of Chicago Booth School of Business (since 1980), and Co-Director Investment Research, Fundamental Investment Advisors (hedge fund) (since 2008). Director, HNI Corporation (formerly known as HON Industries Inc.) (office furniture) (since 2000). Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003). Director/ Trustee, UBS Funds (fund complex) (5 portfolios) (since 2008). |
81
Name, Position with the Fund, Address and Age
| Term of Office1 and
|
Portfolios within the
| Principal Occupation(s) During Past 5 Years and Other Directorships of Public Companies Held
| |||||||
Interested Trustees/Directors*
| ||||||||||
David G. Booth Chairman, Director, Co-Chief Executive Officer and President of DFAIDG, DIG and DEM. Chairman, Trustee, Co-Chief Executive Officer and President of DFAITC. 6300 Bee Cave Road, Building One Austin, Texas 78746 Age: 63 |
DFAITC -since 1993 DFAIDG -since 1981 DIG - since 1992 DEM - since 1993 |
86 portfolios in 4 investment companies |
Chairman, Director/Trustee, President, Co-Chief Executive Officer and, formerly, Chief Executive Officer (until 1/1/2010) and Chief Investment Officer (2003 to 3/30/2007) of the following companies: Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc. and The DFA Investment Trust Company. Chairman, Director, President and Co- Chief Executive Officer of Dimensional Holdings Inc. and formerly Chief Executive Officer (until 1/1/2010) and Chief Investment Officer (until 3/30/2007). Director of Dimensional Fund Advisors Ltd. and formerly, Chief Investment Officer. Director of DFA Australia Limited and formerly, President and Chief Investment Officer. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Limited Partner, Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director of Dimensional Cayman Commodity Fund I Ltd. Chairman, and President of Dimensional SmartNest LLC and Dimensional SmartNest (U.S.) LLC.
| |||||||
Eduardo A. Repetto Director, Co-Chief Executive Officer and Chief Investment Officer of DFAIDG, DIG and DEM. Trustee, Co-Chief Executive Officer, Chief Investment Officer and Vice President of DFAITC. 6300 Bee Cave Road, Building One Austin, TX 78746 Age: 43
|
DFAITC -since 2009 DFAIDG -since 2009 DIG - since 2009 DEM - since 2009 |
86 portfolios in 4 investment companies |
Co-Chief Executive Officer (beginning January 2010), Chief Investment Officer (beginning March 2007) and formerly, Vice President of Dimensional Fund Advisors LP, Dimensional Holdings Inc., DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company, and Dimensional Fund Advisors Canada ULC; Director of all such entities except Dimensional Fund Advisors LP and DFA Securities LLC. Chief Investment Officer, Vice President and Director of DFA Australia Limited. Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC and Dimensional Funds II PLC. Director of Dimensional Cayman Commodity Fund I Ltd. |
1 | Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. |
2 | Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. |
* | Interested Trustees/Directors are described as such because they are deemed to be “interested persons,” as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. |
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Officers
The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) (“Dimensional”), DFA Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the “DFA Entities”). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
Name, Position with the Fund and Age
|
Term of Office1 and Length of Service
| Principal Occupation(s) During Past 5 Years
| ||
Officers
| ||||
April A. Aandal Vice President and Chief Learning Officer Age: 47 |
Since 2008 |
Vice President of all the DFA Entities. Chief Learning Officer of Dimensional (since September 2008). Formerly, Regional Director of Dimensional (2004-2008); Vice President of Professional Development at Assante Asset Management (June 2002-January 2005).
| ||
Darryl D. Avery Vice President Age: 44
|
Since 2005 | Vice President of all the DFA Entities. From June 2002 to January 2005, institutional client service representative of Dimensional. | ||
Arthur H. Barlow Vice President Age: 54
|
Since 1993 |
Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Scott A. Bosworth Vice President Age: 41
|
Since 2007 |
Vice President of all the DFA Entities. Regional Director of Dimensional (since November 1997). | ||
Valerie A. Brown Vice President and Assistant Secretary Age: 43
|
Since 2001 |
Vice President and Assistant Secretary of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund Advisors Canada ULC.
| ||
David P. Butler Vice President Age: 46
|
Since 2007 |
Vice President of all the DFA Entities. Director of Global Financial Services of Dimensional (since 2008). Formerly, Regional Director of Dimensional Fund Advisors LP (January 1995 to January 2005).
| ||
Joseph H. Chi Vice President Age: 44
|
Since 2009 |
Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since October 2005). Prior to October 2005, Corporate Counsel at Hewitt Associates (July 2002-August 2005).
| ||
Stephen A. Clark Vice President Age: 38
|
Since 2004 |
Vice President of all the DFA Entities. Formerly, Portfolio Manager of Dimensional (April 2001-April 2004). | ||
Robert P. Cornell Vice President Age: 61
|
Since 2007 |
Vice President of all the DFA Entities. Regional Director of Financial Services Group of Dimensional (since August 1993). | ||
Christopher S. Crossan Vice President and Chief Compliance Officer Age: 44
|
Since 2004 |
Vice President and Chief Compliance Officer of all the DFA Entities. | ||
James L. Davis Vice President Age: 53
|
Since 1999 |
Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Robert T. Deere Vice President Age: 53
|
Since 1994 |
Vice President of all the DFA Entities and DFA Australia Limited. | ||
Peter F. Dillard Vice President Age: 38 |
Since 2010 |
Vice President of all the DFA Entities. Research Associate for Dimensional (since August 2008). Formerly, Research Assistant for Dimensional from April 2006-August 2008. Prior to April 2006, Manager at Hilton Hotels Corp. (September 2004-April 2006).
|
83
Name, Position with the Fund and Age
|
Term of Office1 and Length of Service
| Principal Occupation(s) During Past 5 Years
| ||
Robert W. Dintzner Vice President Age: 40
|
Since 2001 |
Vice President of all the DFA Entities. | ||
Beth Ann Dranguet Vice President Age: 40
|
Since 2010 |
Vice President of all the DFA Entities. Counsel for Dimensional (since July 2007). Formerly, Associate at Vinson & Elkins LLP (September 1999-July 2007).
| ||
Kenneth N. Elmgren Vice President Age: 56
|
Since 2007 |
Vice President of all the DFA Entities. Formerly, Managing Principal of Beverly Capital (May 2004 to September 2006). | ||
Richard A. Eustice Vice President and Assistant Secretary Age: 45
|
Since 1998 |
Vice President and Assistant Secretary of all the DFA Entities and DFA Australia Limited. Chief Operating Officer of Dimensional Fund Advisors Ltd. (since July 2008). Formerly, Vice President of Dimensional Fund Advisors Ltd. | ||
Eugene F. Fama, Jr. Vice President Age: 49
|
Since 1993 |
Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Gretchen A. Flicker Vice President Age: 39
|
Since 2004 |
Vice President of all the DFA Entities. Prior to April 2004, institutional client service representative of Dimensional. | ||
Jed S. Fogdall Vice President Age: 36
|
Since 2008 |
Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since September 2004). Prior to September 2004, Staff Engineer at the Boeing Company (1997-2004).
| ||
Jeremy P. Freeman Vice President Age: 39
|
Since 2009 |
Vice President of all the DFA Entities. Senior Technology Manager for Dimensional Fund Advisors LP (since June 2006). Formerly, Principal at AIM Investments/Amvescap PLC (now Invesco) (June 1998-June 2006).
| ||
Mark R. Gochnour Vice President Age: 43
|
Since 2007 |
Vice President of all the DFA Entities. Regional Director of Dimensional. | ||
Henry F. Gray Vice President Age: 43
|
Since 2000 |
Vice President of all the DFA Entities. Prior to July 2000, Portfolio Manager of Dimensional. Formerly, Vice President of DFA Australia Limited. | ||
John T. Gray Vice President Age: 36
|
Since 2007 |
Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (January 2005 to February 2007). | ||
Joel H. Hefner Vice President Age: 42
|
Since 2007 |
Vice President of all the DFA Entities. Regional Director of Dimensional (since June 1998). | ||
Julie C. Henderson Vice President and Fund Controller Age: 36
|
Since 2005 |
Vice President and Fund Controller of all the DFA Entities. Formerly, Senior Manager at PricewaterhouseCoopers LLP (July 1996 to April 2005). | ||
Kevin B. Hight Vice President Age: 42
|
Since 2005 |
Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (since March 2003 to March 2005). | ||
Christine W. Ho Vice President Age: 42
|
Since 2004 |
Vice President of all the DFA Entities. Prior to April 2004, Assistant Controller of Dimensional. | ||
Jeff J. Jeon Vice President Age: 36
|
Since 2004 |
Vice President of all the DFA Entities. Counsel for Dimensional (since September 2001). |
84
Name, Position with the Fund and Age
|
Term of Office1 and Length of Service
| Principal Occupation(s) During Past 5 Years
| ||
Patrick M. Keating Vice President Age: 55
|
Since 2003 |
Vice President of all the DFA Entities and Chief Operating Officer of Dimensional. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited.
| ||
David M. Kershner Vice President Age: 39
|
Since 2010 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since June 2004). | ||
Joseph F. Kolerich Vice President Age: 38
|
Since 2004 |
Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since April 2001). | ||
Michael F. Lane Vice President Age: 43
|
Since 2004 |
Vice President of all the DFA Entities. Formerly, Vice President of Advisor Services at TIAA-CREF (July 2001 to September 2004). | ||
Kristina M. LaRusso Vice President Age: 35
|
Since 2006 |
Vice President of all DFA Entities. Formerly, Operations Supervisor of Dimensional (March 2003 to December 2006). | ||
Juliet Lee Vice President Age: 39
|
Since 2005 |
Vice President of all the DFA Entities. Human Resources Manager of Dimensional (since January 2004). | ||
Apollo D. Lupescu Vice President Age: 41
|
Since 2009 |
Vice President of all the DFA Entities. Regional Director for Dimensional (since February 2004). | ||
Kenneth M. Manell Vice President Age: 37
|
Since 2010 |
Vice President of all the DFA Entities. Counsel for Dimensional (since September 2006). Formerly, Assistant General Counsel at Castle & Cooke (January 2004-September 2006). | ||
Aaron M. Marcus Vice President & Head of Global Human Resources Age: 40
|
Since 2008 |
Vice President and Head of Global Human Resources of Dimensional. Formerly, Global Head of Recruiting and Vice President of Goldman Sachs & Co. (June 2006 to January 2008); Global Co-Head of HR of the Equities & FICC Division, and Vice President of Goldman Sachs & Co. (May 2005 to May 2006); Head of Americas Campus Recruiting and Vice President of Goldman Sachs & Co. (April 2003 to May 2005).
| ||
David R. Martin Vice President, Chief Financial Officer and Treasurer Age: 53 |
Since 2007 | Vice President, Chief Financial Officer and Treasurer of all the DFA Entities. Director, Vice President, Chief Financial Officer and Treasurer of Dimensional Fund Advisors Ltd. and DFA Australia Limited. Chief Financial Officer, Treasurer, and Vice President of Dimensional Fund Advisors Canada ULC. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Formerly, Executive Vice President and Chief Financial Officer of Janus Capital Group Inc. (June 2005 to March 2007); Senior Vice President of Finance at Charles Schwab & Co., Inc. (March 1999 to May 2005).
| ||
Catherine L. Newell Vice President and Secretary Age: 46 |
Vice President since 1997 and Secretary since 2000 | Vice President and Secretary of all the DFA Entities. Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997 and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003). Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Formerly, Assistant Secretary of all DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd.
| ||
Christian A. Newton Vice President Age: 35
|
Since 2009 | Vice President of all DFA Entities. Web Services Manager for Dimensional Fund Advisors LP (Since January 2008). Formerly Design Manager (2005-2008) and Web Developer (2002-2005) of Dimensional Fund Advisors LP.
|
85
Name, Position with the Fund and Age
|
Term of Office1 and Length of Service
| Principal Occupation(s) During Past 5 Years
| ||
Carolyn L. O Vice President Age: 36
|
Since 2010 |
Vice President of all the DFA Entities. Counsel for Dimensional (since September 2007). Prior to September 2007, Associate at K&L Gates LLP (January 2004-September 2007).
| ||
Gerard K. O’Reilly Vice President Age: 33 |
Since 2007 | Vice President of all the DFA Entities. Formerly, Research Associate of Dimensional Fund Advisors LP (2004 to 2006); Research Assistant in PhD program, Aeronautics Department California Institute of Technology (1998 to 2004).
| ||
Daniel C. Ong Vice President Age: 36
|
Since 2009 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since July 2005). Prior to 2005, Graduate Student at the University of Chicago Booth School of Business (2003-2005).
| ||
Kyle K. Ozaki Vice President Age: 32 |
Since 2010 | Vice President of all the DFA Entities. Senior Compliance Officer for Dimensional (since January 2008). Formerly, Compliance Officer (February 2006-December 2007) and Compliance Analyst (August 2004-January 2006) for Dimensional.
| ||
Carmen E. Palafox Vice President Age: 36
|
Since 2006 | Vice President of all the DFA Entities. Operations Manager of Dimensional Fund Advisors LP (since May 1996). | ||
Sonya K. Park Vice President Age: 38
|
Since 2005 |
Vice President of all the DFA Entities. From February 2002 to January 2005, institutional client service representative of Dimensional. | ||
David A. Plecha Vice President Age: 49
|
Since 1993 |
Vice President of all the DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd | ||
Theodore W. Randall Vice President Age: 37
|
Since 2008 |
Vice President of all the DFA Entities. Formerly, Research Associate of Dimensional (2006-2008). Systems Developer of Dimensional (2001-2006). | ||
L. Jacobo Rodriguez Vice President Age: 39 |
Since 2005 |
Vice President of all the DFA Entities. From August 2004 to July 2005, institutional client service representative of Dimensional. Formerly, Financial Services Analyst, Cato Institute (September 2001 to June 2004); Book Review Editor, Cato Journal, Cato Institute (May 1996 to June 2004).
| ||
Julie A. Saft Vice President Age: 51
|
Since 2010 |
Vice President of all the DFA Entities. Client Systems Manager for Dimensional (since July 2008). Formerly, Senior Manager at Vanguard (November 1997-July 2008).
| ||
David E. Schneider Vice President Age: 64
|
Since 2001 |
Vice President of all the DFA Entities. Currently, Director of Institutional Services. | ||
Walid A. Shinnawi Vice President Age: 48
|
Since 2010 |
Vice President of all the DFA Entities. Regional Director for Dimensional (since March 2006). Formerly, Senior Manager at Moody’s KMV (1999-March 2006). | ||
Bruce A. Simmons Vice President Age: 45 |
Since 2009 |
Vice President of all the DFA Entities. Investment Operations Manager for Dimensional Fund Advisors LP (since May 2007). Formerly, Vice President Client and Fund Reporting at Mellon Financial (September 2005-May 2007); Vice President Business Development at CUADPRO Marketing (July 2003-September 2005).
| ||
Edward R. Simpson Vice President Age: 42
|
Since 2007 |
Vice President of all the DFA Entities. Regional Director of Dimensional (since December 2002). | ||
Bryce D. Skaff Vice President Age: 35
|
Since 2007 |
Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (December 1999 to January 2007). | ||
Grady M. Smith Vice President Age: 54
|
Since 2004 |
Vice President of all the DFA Entities. Prior to April 2004, Portfolio Manager of Dimensional. |
86
Name, Position with the Fund and Age |
Term of Office1 and Length of Service | Principal Occupation(s) During Past 5 Years
| ||
Carl G. Snyder Vice President Age: 47
|
Since 2000 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited. | ||
Lawrence R. Spieth Vice President Age: 62
|
Since 2004 |
Vice President of all the DFA Entities. Prior to April 2004, Regional Director of Dimensional. | ||
Bradley G. Steiman Vice President Age: 37
|
Since 2004 |
Vice President of all the DFA Entities and Director and Vice President of Dimensional Fund Advisors Canada ULC. | ||
Robert C. Trotter Vice President Age: 52
|
Since 2009 |
Vice President of all the DFA Entities. Senior Manager Technology for Dimensional Fund Advisors LP (since March 2007). Formerly, Director of Technology at AMVESCAP (2002-2007). | ||
Karen E. Umland Vice President Age: 44
|
Since 1997 |
Vice President of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. | ||
Brian J. Walsh Vice President Age: 40
|
Since 2009 |
Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since 2004). Formerly, Trader for Dimensional Fund Advisors LP (1997-2004).
| ||
Weston J. Wellington Vice President Age: 59
|
Since 1997 |
Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited. | ||
Ryan J. Wiley Vice President Age: 34
|
Since 2007 |
Vice President of all the DFA Entities. Senior Trader of Dimensional. Formerly, Portfolio Manager (2006 to 2007); Trader (2001 to 2006). | ||
Paul E. Wise Vice President Age: 55
|
Since 2005 |
Vice President of all the DFA Entities. Chief Technology Officer for Dimensional (since 2004). Formerly, Principal of Turnbuckle Management Group (January 2002 to August 2004).
|
1 | Each officer holds office for an indefinite term at the pleasure of the Boards of Trustees/Directors and until his or her successor is elected and qualified. |
87
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available without charge, upon request, by calling collect: (512) 306-7400. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC’s website at http://www.sec.gov and from the Advisor’s website at http://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th.
88
(Unaudited)
For shareholders that do not have an October 31, 2010 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2010 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2009 to October 31, 2010, each Portfolio is designating the following items with regard to distributions paid during the fiscal year. All designations are based on financial information available as of the date of this annual report and, accordingly are subject to change. For each item, it is the intention of the Portfolios to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
DFA Investment Dimensions Group Inc. | Net Investment Income Distributions | Short-Term Capital Gain Distributions | Long-Term Capital Gain Distributions | Total Distributions | Qualifying For Corporate Dividends Received Deduction(1) | Qualifying Dividend Income(2) | Foreign Tax Credit(3) | Foreign Source Income(4) | Qualifying Interest Income(5) | Qualifying Short-Term Capital Gain(6) | ||||||||||||||||||||||||||
Tax-Managed U.S. Marketwide Value Portfolio | 100% | — | — | 100% | 100% | 100% | — | — | 100% | 100% | ||||||||||||||||||||||||||
Tax-Managed U.S. Equity Portfolio | 100% | — | — | 100% | 100% | 100% | — | — | 100% | 100% | ||||||||||||||||||||||||||
Tax-Managed U.S. Targeted Value Portfolio | 100% | — | — | 100% | 100% | 100% | — | — | 100% | 100% | ||||||||||||||||||||||||||
Tax-Managed U.S. Small Cap Portfolio | 100% | — | — | 100% | 100% | 100% | — | — | 100% | 100% | ||||||||||||||||||||||||||
T.A. U.S. Core Equity 2 Portfolio | 100% | — | — | 100% | 100% | 100% | — | — | 100% | 100% | ||||||||||||||||||||||||||
Tax-Managed DFA International Value Portfolio | 100% | — | — | 100% | 100% | 100% | 8 | % | 136 | % | 100% | 100% | ||||||||||||||||||||||||
T.A. World ex U.S. Core Equity Portfolio | 100% | — | — | 100% | 100% | 100% | 8 | % | 142 | % | 100% | 100% |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actual qualified dividend income. |
(3) | “Foreign Tax Credit” represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income distributions). |
(4) | “Foreign Source Income” represents the portion of dividends derived from foreign sources, an is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income distributions). |
(5) | The percentage in this column represents the amount of “Qualifying Interest Income” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
(6) | The percentage in this column represents the amount of “Qualifying Short-Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
89
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DFA103110-002A |
THE DFA SHORT TERM INVESTMENT FUND
Annual Report
For the Period ended October 31, 2010
Table of Contents
Investment Summary | 1 | |||
Schedule of Portfolio Holdings | 2 | |||
Schedule of Investments | 3 | |||
Statement of Assets and Liabilities | 7 | |||
Statement of Operations | 8 | |||
Statement of Changes in Net Assets | 9 | |||
Financial Highlights | 10 | |||
Notes to Financial Statements | 11 | |||
Report of Independent Registered Public Accounting Firm | 15 | |||
Supplemental Information | 16 |
INVESTMENT SUMMARY
The graph represents a hypothetical investment in the Fund versus a similar investment in the Fund’s benchmark.
Aggregate Total Returns and 7-Day Yield as of 10/31/10
1 Month | 3 Months | 6 Months | Since Inception | 7-Day Yield | ||||||
The DFA Short Term Investment Fund | 0.02% | 0.06% | 0.13% | 0.17% | 0.22% | |||||
Citigroup One-Month U.S. Treasury Bill Index
| 0.01% | 0.04% | 0.08% | 0.09% | - |
The performance data quoted represents past performance and is no guarantee of future results. Current performance may be higher or lower than the performance data quoted.
An investment in a money market fund is not insured or guaranteed by the FDIC or any other government agency. Although the Fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the Fund.
Total return equals income return and assumes reinvestment of all net investment income and realized capital gain distributions. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. generally accepted accounting principles or the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Yields and returns fluctuate. The seven-day yield quotation more closely reflects current earnings of the Fund than the total return quotation.
The DFA Short Term Investment Fund
Schedule of Portfolio Holdings
October 31, 2010
The following table indicates the allocation of investments among the asset classes in the Fund as of October 31, 2010:
Security Allocation | Percentage of Investments | |||
Commercial Paper | 58.2% | |||
Repurchase Agreements | 21.3 | |||
Yankee Certificates of Deposit | 11.6 | |||
Corporate Bonds | 5.7 | |||
Other Investments | 2.5 | |||
U.S. Government Agency Securities | 0.7 | |||
Total Investments | 100.0% |
2
The DFA Short Term Investment Fund
Schedule of Investments
October 31, 2010
Security Description | Rate | Maturity | Face Amount $ | Amortized Value $ | ||||||||||||
Corporate Bonds— 5.7% | ||||||||||||||||
(r)Bear Stearns Cos. L.L.C. | 0.70% | 01/31/11 | 140,000,000 | 140,077,381 | ||||||||||||
(r)Bear Stearns Cos. L.L.C. | 0.59% | 08/15/11 | 71,970,000 | 72,073,318 | ||||||||||||
(r)General Electric Capital Corp. | 0.34% | 01/26/11 | 45,000,000 | 45,000,000 | ||||||||||||
(r)General Electric Capital Corp. | 0.92% | 02/01/11 | 72,515,000 | 72,595,805 | ||||||||||||
(r)General Electric Capital Corp. | 0.36% | 04/18/11 | 75,000,000 | 75,034,588 | ||||||||||||
(r)General Electric Capital Corp. | 0.38% | 04/28/11 | 25,000,000 | 24,976,838 | ||||||||||||
(r)General Electric Capital Corp. | 0.45% | 08/15/11 | 10,000,000 | 9,995,436 | ||||||||||||
(r)General Electric Capital Corp. | 0.54% | 10/21/11 | 40,000,000 | 40,090,602 | ||||||||||||
(r)JPMorgan Chase & Co. | 0.49% | 05/16/11 | 11,980,000 | 11,986,917 | ||||||||||||
(r)JPMorgan Chase & Co. | 1.04% | 06/13/11 | 50,900,000 | 51,116,865 | ||||||||||||
(r)Wachovia Bank NA | 0.37% | 12/02/10 | 90,100,000 | 90,095,330 | ||||||||||||
(r)Wells Fargo & Co. | 0.39% | 01/12/11 | 92,365,000 | 92,369,719 | ||||||||||||
(r)Wells Fargo & Co. | 0.74% | 01/24/11 | 55,203,000 | 55,250,380 | ||||||||||||
Total Corporate Bonds (Amortized Cost $780,663,179) | 780,033,000 | 780,663,179 | ||||||||||||||
Commercial Paper—58.2% | ||||||||||||||||
(y)Abbey National North America L.L.C. | 0.19% | 11/02/10 | 30,000,000 | 29,999,842 | ||||||||||||
(y)Abbey National North America L.L.C. | 0.55% | 11/08/10 | 15,000,000 | 14,998,396 | ||||||||||||
(y)Abbey National North America L.L.C. | 0.37% | 12/15/10 | 125,000,000 | 124,943,472 | ||||||||||||
(y)Abbey National North America L.L.C. | 0.37% | 12/22/10 | 100,000,000 | 99,947,583 | ||||||||||||
(y)Abbey National North America L.L.C. | 0.36% | 01/14/11 | 25,000,000 | 24,981,500 | ||||||||||||
(y)Abbey National North America L.L.C. | 0.37% | 01/21/11 | 50,000,000 | 49,958,375 | ||||||||||||
(y)Abbey National North America L.L.C. | 0.54% | 03/28/11 | 25,000,000 | 24,944,875 | ||||||||||||
(y)‡ANZ National International Ltd. | 0.50% | 11/03/10 | 25,000,000 | 24,999,306 | ||||||||||||
(y)‡ANZ National International Ltd. | 0.29% | 01/27/11 | 75,000,000 | 74,947,438 | ||||||||||||
(y)‡ANZ National International Ltd. | 0.45% | 01/31/11 | 50,000,000 | 49,943,125 | ||||||||||||
(y)‡ANZ National International Ltd. | 0.42% | 02/02/11 | 75,000,000 | 74,919,594 | ||||||||||||
(y)‡ANZ National International Ltd. | 0.31% | 03/03/11 | 75,000,000 | 74,921,208 | ||||||||||||
(y)‡ANZ National International Ltd. | 0.32% | 03/22/11 | 60,000,000 | 59,924,800 | ||||||||||||
(y)‡Archer Daniels Midland Co. | 0.21% | 11/09/10 | 25,000,000 | 24,998,833 | ||||||||||||
(y)‡Archer Daniels Midland Co. | 0.22% | 11/15/10 | 50,000,000 | 49,995,722 | ||||||||||||
(y)‡Archer Daniels Midland Co. | 0.22% | 12/02/10 | 42,373,000 | 42,364,973 | ||||||||||||
(y)‡Archer Daniels Midland Co. | 0.25% | 12/08/10 | 38,000,000 | 37,990,236 | ||||||||||||
(y)‡Archer Daniels Midland Co. | 0.25% | 12/17/10 | 44,750,000 | 44,735,705 | ||||||||||||
(y)‡Archer Daniels Midland Co. | 0.21% | 12/21/10 | 65,000,000 | 64,981,042 | ||||||||||||
(y)‡Archer Daniels Midland Co. | 0.27% | 01/14/11 | 50,000,000 | 49,972,250 | ||||||||||||
(y)Bank Of America Corp. | 0.21% | 11/01/10 | 169,950,000 | 169,950,000 | ||||||||||||
(y)Bank Of America Corp. | 0.21% | 11/02/10 | 50,000,000 | 49,999,708 | ||||||||||||
(y)Bank Of America Corp. | 0.22% | 11/09/10 | 180,000,000 | 179,991,200 | ||||||||||||
(y)Bank Of Nova Scotia | 0.25% | 01/06/11 | 35,000,000 | 34,983,958 | ||||||||||||
(y)Bank Of Nova Scotia | 0.30% | 02/16/11 | 40,000,000 | 39,964,333 | ||||||||||||
(y)Bank Of Nova Scotia | 0.30% | 02/18/11 | 75,000,000 | 74,932,253 | ||||||||||||
(y)Bank Of Nova Scotia | 0.30% | 03/03/11 | 50,000,000 | 49,950,014 | ||||||||||||
(y)Barclays U.S. Funding L.L.C. | 0.23% | 12/21/10 | 100,000,000 | 99,968,056 | ||||||||||||
(y)BNP Paribas Finance, Inc. | 0.51% | 11/22/10 | 40,000,000 | 39,988,100 | ||||||||||||
(y)BNP Paribas Finance, Inc. | 0.30% | 12/02/10 | 30,000,000 | 29,992,250 | ||||||||||||
(y)BNP Paribas Finance, Inc. | 0.70% | 01/14/11 | 50,000,000 | 49,928,261 | ||||||||||||
(y)‡Caisse centrale Desjardins | 0.24% | 12/07/10 | 25,000,000 | 24,994,000 | ||||||||||||
(y)‡Coca-Cola Co. | 0.23% | 12/21/10 | 75,000,000 | 74,976,042 | ||||||||||||
(y)‡Commonwealth Bank of Australia | 0.27% | 11/08/10 | 50,000,000 | 49,997,375 | ||||||||||||
(y)‡Commonwealth Bank of Australia | 0.27% | 11/09/10 | 25,000,000 | 24,998,500 | ||||||||||||
(y)‡Commonwealth Bank of Australia | 0.25% | 11/30/10 | 55,949,000 | 55,937,958 | ||||||||||||
(y)‡Commonwealth Bank of Australia | 0.25% | 12/20/10 | 26,000,000 | 25,991,153 | ||||||||||||
(y)‡Commonwealth Bank of Australia | 0.25% | 12/23/10 | 75,000,000 | 74,972,917 | ||||||||||||
(y)‡Commonwealth Bank of Australia | 0.26% | 01/10/11 | 50,000,000 | 49,974,722 | ||||||||||||
(y)‡Commonwealth Bank of Australia | 0.34% | 02/10/11 | 50,000,000 | 49,953,007 | ||||||||||||
(y)Credit Agricole North America, Inc. | 0.45% | 11/02/10 | 75,000,000 | 74,999,062 | ||||||||||||
(y)Credit Agricole North America, Inc. | 0.53% | 11/04/10 | 25,000,000 | 24,998,896 | ||||||||||||
(y)Credit Agricole North America, Inc. | 0.27% | 11/05/10 | 50,000,000 | 49,998,500 | ||||||||||||
(y)Credit Agricole North America, Inc. | 0.28% | 11/15/10 | 30,000,000 | 29,996,733 | ||||||||||||
(y)Credit Agricole North America, Inc. | 0.27% | 11/22/10 | 60,000,000 | 59,990,725 | ||||||||||||
(y)Credit Agricole North America, Inc. | 0.27% | 11/23/10 | 50,000,000 | 49,991,750 | ||||||||||||
(y)Credit Agricole North America, Inc. | 0.30% | 12/09/10 | 25,000,000 | 24,992,083 | ||||||||||||
(y)Credit Agricole North America, Inc. | 0.30% | 12/16/10 | 30,000,000 | 29,988,750 |
See notes to financial statements.
3
The DFA Short Term Investment Fund
Schedule of Investments, Continued
October 31, 2010
Security Description | Rate | Maturity | Face Amount $ | Amortized Value $ | ||||||||||||
Commercial Paper — Continued | ||||||||||||||||
(y)Credit Agricole North America, Inc. | 0.29% | 01/14/11 | 20,000,000 | 19,988,078 | ||||||||||||
(y)Credit Agricole North America, Inc. | 0.29% | 01/24/11 | 35,000,000 | 34,976,317 | ||||||||||||
(y)‡Eksportfinans ASA | 0.27% | 11/05/10 | 117,100,000 | 117,096,487 | ||||||||||||
(y)‡Eksportfinans ASA | 0.22% | 11/10/10 | 50,000,000 | 49,997,312 | ||||||||||||
(y)‡Eksportfinans ASA | 0.23% | 11/15/10 | 213,750,000 | 213,732,048 | ||||||||||||
(y)European Investment Bank | 0.19% | 11/05/10 | 100,000,000 | 99,997,889 | ||||||||||||
(y)European Investment Bank | 0.22% | 12/21/10 | 50,000,000 | 49,984,722 | ||||||||||||
(y)‡Fortis Funding L.L.C. | 0.21% | 11/02/10 | 25,000,000 | 24,999,854 | ||||||||||||
(y)‡Fortis Funding L.L.C. | 0.54% | 12/27/10 | 30,000,000 | 29,974,800 | ||||||||||||
(y)‡Fortis Funding L.L.C. | 0.42% | 03/07/11 | 50,000,000 | 49,926,500 | ||||||||||||
(y)‡Fortis Funding L.L.C. | 0.42% | 03/10/11 | 60,000,000 | 59,909,700 | ||||||||||||
(y)‡Fortis Funding L.L.C. | 0.41% | 03/21/11 | 50,000,000 | 49,920,278 | ||||||||||||
(y)‡Fortis Funding L.L.C. | 0.38% | 03/28/11 | 25,000,000 | 24,961,208 | ||||||||||||
(y)‡IBM Corp. | 0.18% | 11/02/10 | 158,000,000 | 157,999,210 | ||||||||||||
(y)‡KfW Bankengruppe | 0.19% | 11/03/10 | 18,000,000 | 17,999,810 | ||||||||||||
(y)‡KfW Bankengruppe | 0.29% | 11/10/10 | 20,000,000 | 19,998,550 | ||||||||||||
(y)‡KfW Bankengruppe | 0.29% | 11/19/10 | 100,000,000 | 99,985,500 | ||||||||||||
(y)‡KfW Bankengruppe | 0.21% | 12/29/10 | 25,000,000 | 24,991,542 | ||||||||||||
(y)‡KfW Bankengruppe | 0.23% | 01/18/11 | 50,000,000 | 49,975,083 | ||||||||||||
(y)‡KfW Bankengruppe | 0.47% | 01/20/11 | 50,000,000 | 49,947,778 | ||||||||||||
(y)‡National Australia Bank Ltd. | 0.26% | 11/08/10 | 50,000,000 | 49,997,521 | ||||||||||||
(y)‡National Australia Bank Ltd. | 0.26% | 11/09/10 | 50,000,000 | 49,997,111 | ||||||||||||
(y)‡National Australia Bank Ltd. | 0.24% | 12/01/10 | 25,000,000 | 24,995,000 | ||||||||||||
(y)‡National Australia Bank Ltd. | 0.25% | 12/13/10 | 22,400,000 | 22,393,467 | ||||||||||||
(y)‡National Australia Bank Ltd. | 0.37% | 01/03/11 | 55,000,000 | 54,964,869 | ||||||||||||
(y)‡National Australia Bank Ltd. | 0.33% | 01/05/11 | 50,000,000 | 49,970,208 | ||||||||||||
(y)‡National Australia Bank Ltd. | 0.31% | 02/07/11 | 130,000,000 | 129,890,294 | ||||||||||||
(y)National Rural Utilities Cooperative Finance Corp. | 0.22% | 11/04/10 | 14,055,000 | 14,054,742 | ||||||||||||
(y)National Rural Utilities Cooperative Finance Corp. | 0.27% | 11/08/10 | 50,000,000 | 49,997,375 | ||||||||||||
(y)National Rural Utilities Cooperative Finance Corp. | 0.27% | 11/09/10 | 35,000,000 | 34,997,900 | ||||||||||||
(y)National Rural Utilities Cooperative Finance Corp. | 0.22% | 11/10/10 | 38,500,000 | 38,497,882 | ||||||||||||
(y)National Rural Utilities Cooperative Finance Corp. | 0.24% | 11/12/10 | 27,500,000 | 27,497,983 | ||||||||||||
(y)National Rural Utilities Cooperative Finance Corp. | 0.24% | 11/15/10 | 16,425,000 | 16,423,556 | ||||||||||||
(y)National Rural Utilities Cooperative Finance Corp. | 0.26% | 11/17/10 | 37,000,000 | 36,995,828 | ||||||||||||
(y)National Rural Utilities Cooperative Finance Corp. | 0.24% | 11/29/10 | 26,200,000 | 26,195,109 | ||||||||||||
(y)National Rural Utilities Cooperative Finance Corp. | 0.24% | 12/06/10 | 18,125,000 | 18,120,771 | ||||||||||||
(y)‡Nestle Capital Corp. | 0.26% | 11/10/10 | 21,000,000 | 20,998,635 | ||||||||||||
(y)‡Nestle Capital Corp. | 0.26% | 11/12/10 | 75,000,000 | 74,994,042 | ||||||||||||
(y)Nestlé Finance International Ltd. | 0.18% | 11/01/10 | 12,750,000 | 12,750,000 | ||||||||||||
(y)Nordea North America, Inc. | 0.45% | 11/05/10 | 25,000,000 | 24,998,750 | ||||||||||||
(y)Nordea North America, Inc. | 0.28% | 12/09/10 | 80,000,000 | 79,977,622 | ||||||||||||
(y)Nordea North America, Inc. | 0.58% | 01/07/11 | 75,000,000 | 74,919,042 | ||||||||||||
(y)Nordea North America, Inc. | 0.50% | 01/14/11 | 50,000,000 | 49,948,611 | ||||||||||||
(y)Nordea North America, Inc. | 0.34% | 02/23/11 | 75,000,000 | 74,925,187 | ||||||||||||
(y)‡Novartis Finance Corp. | 0.26% | 12/10/10 | 35,000,000 | 34,990,142 | ||||||||||||
(y)‡Novartis Finance Corp. | 0.28% | 02/02/11 | 40,500,000 | 40,470,705 | ||||||||||||
(y)‡Novartis Finance Corp. | 0.32% | 03/30/11 | 16,260,000 | 16,238,465 | ||||||||||||
(y)‡NRW Bank AG | 0.39% | 11/05/10 | 48,000,000 | 47,997,920 | ||||||||||||
(y)‡NRW Bank AG | 0.23% | 11/18/10 | 38,000,000 | 37,995,873 | ||||||||||||
(y)‡NRW Bank AG | 0.50% | 12/13/10 | 75,000,000 | 74,956,250 | ||||||||||||
(y)‡NRW Bank AG | 0.34% | 01/21/11 | 50,000,000 | 49,961,750 | ||||||||||||
(y)‡NRW Bank AG | 0.26% | 01/25/11 | 80,000,000 | 79,950,889 | ||||||||||||
(y)‡NRW Bank AG | 0.30% | 03/28/11 | 75,000,000 | 74,908,125 | ||||||||||||
(y)‡NRW Bank AG | 0.36% | 04/01/11 | 35,000,000 | 34,947,150 | ||||||||||||
(y)Oesterreichische Kontrollbank AG | 0.23% | 12/15/10 | 16,370,000 | 16,365,398 | ||||||||||||
(y)Oesterreichische Kontrollbank AG | 0.26% | 12/30/10 | 6,900,000 | 6,897,060 | ||||||||||||
(y)‡Old Line Funding L.L.C. | 0.25% | 11/05/10 | 43,646,000 | 43,644,788 | ||||||||||||
(y)‡Old Line Funding L.L.C. | 0.25% | 11/09/10 | 95,000,000 | 94,994,944 | ||||||||||||
(y)‡Old Line Funding L.L.C. | 0.23% | 11/15/10 | 6,275,000 | 6,274,439 | ||||||||||||
(y)‡Old Line Funding L.L.C. | 0.25% | 11/19/10 | 50,233,000 | 50,226,819 | ||||||||||||
(y)‡Old Line Funding L.L.C. | 0.25% | 11/22/10 | 107,805,000 | 107,789,785 | ||||||||||||
(y)‡Old Line Funding L.L.C. | 0.27% | 12/03/10 | 40,475,000 | 40,465,286 | ||||||||||||
(y)‡Old Line Funding L.L.C. | 0.24% | 12/07/10 | 26,800,000 | 26,793,568 |
See notes to financial statements.
4
The DFA Short Term Investment Fund
Schedule of Investments, Continued
October 31, 2010
Security Description | Rate | Maturity | Face Amount $ | Amortized Value $ | ||||||||||||
Commercial Paper — Continued | ||||||||||||||||
(y)‡Old Line Funding L.L.C. | 0.26% | 12/08/10 | 25,019,000 | 25,012,314 | ||||||||||||
(y)‡Old Line Funding L.L.C. | 0.26% | 12/20/10 | 17,810,000 | 17,803,697 | ||||||||||||
(y)PACCAR Financial Corp. | 0.20% | 11/05/10 | 26,000,000 | 25,999,422 | ||||||||||||
(y)PACCAR Financial Corp. | 0.32% | 11/10/10 | 89,700,000 | 89,692,824 | ||||||||||||
(y)PACCAR Financial Corp. | 0.30% | 11/18/10 | 9,200,000 | 9,198,697 | ||||||||||||
(y)PACCAR Financial Corp. | 0.26% | 12/06/10 | 21,100,000 | 21,094,666 | ||||||||||||
(y)‡Procter & Gamble Co. | 0.27% | 11/15/10 | 20,800,000 | 20,797,816 | ||||||||||||
(y)‡Procter & Gamble Co. | 0.27% | 11/17/10 | 60,000,000 | 59,992,800 | ||||||||||||
(y)Rabobank USA Financial Corp. | 0.41% | 12/29/10 | 50,000,000 | 49,966,972 | ||||||||||||
(y)Rabobank USA Financial Corp. | 0.43% | 01/19/11 | 40,750,000 | 40,711,548 | ||||||||||||
(y)Rabobank USA Financial Corp. | 0.41% | 02/04/11 | 30,000,000 | 29,967,542 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.23% | 11/03/10 | 75,000,000 | 74,999,042 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.25% | 11/09/10 | 46,000,000 | 45,997,444 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.25% | 11/18/10 | 33,000,000 | 32,996,104 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.26% | 12/01/10 | 25,000,000 | 24,994,583 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.25% | 12/02/10 | 25,000,000 | 24,994,618 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.27% | 12/06/10 | 50,000,000 | 49,986,875 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.25% | 12/07/10 | 20,000,000 | 19,995,000 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.26% | 12/08/10 | 55,000,000 | 54,985,303 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.26% | 12/10/10 | 30,000,000 | 29,991,550 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.29% | 01/07/11 | 25,000,000 | 24,986,507 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.27% | 01/10/11 | 20,000,000 | 19,989,500 | ||||||||||||
(y)‡Sheffield Receivables Corp. | 0.27% | 01/25/11 | 10,000,000 | 9,993,625 | ||||||||||||
(y)‡Shell International Finance B.V. | 0.45% | 01/12/11 | 75,000,000 | 74,932,500 | ||||||||||||
(y)‡Shell International Finance B.V. | 0.33% | 03/16/11 | 28,000,000 | 27,965,350 | ||||||||||||
(y)‡Société de Prise de Participation de l’Etat | 0.24% | 12/01/10 | 8,750,000 | 8,748,250 | ||||||||||||
(y)‡Société de Prise de Participation de l’Etat | 0.25% | 02/07/11 | 80,000,000 | 79,945,556 | ||||||||||||
(y)‡Société de Prise de Participation de l’Etat | 0.32% | 03/29/11 | 162,000,000 | 161,786,880 | ||||||||||||
(y)Svenska Handelsbank, Inc. | 0.26% | 12/13/10 | 100,000,000 | 99,970,250 | ||||||||||||
(y)Svenska Handelsbank, Inc. | 0.26% | 12/17/10 | 69,946,000 | 69,923,209 | ||||||||||||
(y)Svenska Handelsbank, Inc. | 0.27% | 01/24/11 | 50,000,000 | 49,968,500 | ||||||||||||
(y)‡Total Capital Canada Ltd. | 0.43% | 01/13/11 | 17,800,000 | 17,784,479 | ||||||||||||
(y)‡Total Capital Canada Ltd. | 0.48% | 01/19/11 | 100,000,000 | 99,894,667 | ||||||||||||
(y)‡Total Capital Canada Ltd. | 0.30% | 02/25/11 | 51,025,000 | 50,975,676 | ||||||||||||
(y)‡Total Capital Canada Ltd. | 0.32% | 03/03/11 | 100,000,000 | 99,891,556 | ||||||||||||
(y)Toyota Motor Credit Corp. | 0.32% | 11/02/10 | 50,000,000 | 49,999,556 | ||||||||||||
(y)Toyota Motor Credit Corp. | 0.30% | 11/09/10 | 15,000,000 | 14,999,000 | ||||||||||||
(y)Toyota Motor Credit Corp. | 0.38% | 12/02/10 | 35,000,000 | 34,988,547 | ||||||||||||
(y)Toyota Motor Credit Corp. | 0.30% | 12/08/10 | 30,000,000 | 29,990,750 | ||||||||||||
(y)Toyota Motor Credit Corp. | 0.52% | 12/14/10 | 25,000,000 | 24,984,472 | ||||||||||||
(y)Toyota Motor Credit Corp. | 0.33% | 01/20/11 | 100,000,000 | 99,930,000 | ||||||||||||
(y)Toyota Motor Credit Corp. | 0.30% | 01/27/11 | 60,000,000 | 59,956,500 | ||||||||||||
(y)Toyota Motor Credit Corp. | 0.27% | 01/31/11 | 60,000,000 | 59,959,050 | ||||||||||||
(y)Toyota Motor Credit Corp. | 0.32% | 02/28/11 | 30,000,000 | 29,968,267 | ||||||||||||
(y)‡United Technologies Corp. | 0.19% | 11/17/10 | 43,200,000 | 43,196,352 | ||||||||||||
(y)‡Wal-Mart Stores, Inc. | 0.22% | 11/01/10 | 32,248,000 | 32,248,000 | ||||||||||||
(y)‡Westpac Banking Corp. | 0.32% | 02/14/11 | 50,000,000 | 49,953,333 | ||||||||||||
(y)‡Westpac Banking Corp. | 0.30% | 03/09/11 | 40,000,000 | 39,957,333 | ||||||||||||
Total Commercial Paper (Amortized Cost $8,047,668,590) | 8,051,439,000 | 8,047,668,590 | ||||||||||||||
Yankee Certificates of Deposit— 11.6% | ||||||||||||||||
(r)Bank Of Nova Scotia Houston | 0.26% | 10/18/11 | 100,000,000 | 100,000,000 | ||||||||||||
(r)Barclays Bank P.L.C. NY | 0.56% | 01/14/11 | 50,000,000 | 50,000,000 | ||||||||||||
(r)Barclays Bank P.L.C. NY | 0.56% | 03/25/11 | 50,000,000 | 50,000,000 | ||||||||||||
(r)BNP Paribas Finance, Inc. | 0.79% | 07/21/11 | 33,000,000 | 33,105,850 | ||||||||||||
Japan Finance Corp. | 2.00% | 06/24/11 | 18,350,000 | 18,535,014 | ||||||||||||
Nordea Bank Finland NY | 0.52% | 12/22/10 | 20,000,000 | 20,000,141 | ||||||||||||
(r)Nordea Bank Finland NY | 0.59% | 10/20/11 | 15,000,000 | 15,038,418 | ||||||||||||
Province of Quebec | 6.13% | 01/22/11 | 26,000,000 | 26,336,473 | ||||||||||||
Rabobank Nederland NV NY | 0.63% | 12/03/10 | 75,000,000 | 75,000,000 | ||||||||||||
Rabobank Nederland NV NY | 0.34% | 03/16/11 | 30,000,000 | 30,001,120 | ||||||||||||
(r)Rabobank Nederland NV NY | 0.32% | 04/26/11 | 10,000,000 | 10,001,509 | ||||||||||||
(r)Rabobank Nederland NV NY | 0.32% | 08/30/11 | 100,000,000 | 100,000,000 | ||||||||||||
(r)Rabobank Nederland NV NY | 0.33% | 10/07/11 | 75,000,000 | 75,000,000 |
See notes to financial statements.
5
The DFA Short Term Investment Fund
Schedule of Investments, Continued
October 31, 2010
Security Description | Rate | Maturity | Face Amount $ | Amortized Value $ | ||||||||||||
Yankee Certificates of Deposit — Continued | ||||||||||||||||
(r)Royal Bank Of Canada NY | 0.26% | 12/02/10 | 30,000,000 | 30,000,412 | ||||||||||||
(r)Royal Bank Of Canada NY | 0.26% | 03/23/11 | 150,000,000 | 150,000,000 | ||||||||||||
(r)Royal Bank Of Canada NY | 0.69% | 06/23/11 | 28,700,000 | 28,777,226 | ||||||||||||
Svenska Handelsbanken NY | 0.26% | 12/30/10 | 75,000,000 | 75,000,000 | ||||||||||||
Svenska Handelsbanken NY | 0.39% | 02/10/11 | 100,000,000 | 100,002,800 | ||||||||||||
(r)The Toronto-Dominion Bank Ltd. NY | 0.26% | 11/05/10 | 67,000,000 | 67,000,070 | ||||||||||||
(r)The Toronto-Dominion Bank Ltd. NY | 0.26% | 02/04/11 | 35,000,000 | 35,000,009 | ||||||||||||
The Toronto-Dominion Bank Ltd. NY | 0.32% | 02/16/11 | 75,000,000 | 75,000,000 | ||||||||||||
(r)The Toronto-Dominion Bank Ltd. NY | 0.26% | 03/10/11 | 5,000,000 | 4,999,647 | ||||||||||||
(r)The Toronto-Dominion Bank Ltd. NY | 0.33% | 10/28/11 | 215,000,000 | 215,000,000 | ||||||||||||
(r)Westpac Banking Corp NY | 0.30% | 11/04/10 | 75,000,000 | 75,000,000 | ||||||||||||
(r)Westpac Banking Corp NY | 0.31% | 10/04/11 | 150,000,000 | 150,000,000 | ||||||||||||
Total Yankee Certificates of Deposit (Amortized Cost $1,608,798,689) | 1,608,050,000 | 1,608,798,689 | ||||||||||||||
U.S. Government Agency Securities— 0.7% | ||||||||||||||||
(y)Federal Home Loan Bank | 0.19% | 11/03/10 | 50,000,000 | 49,999,486 | ||||||||||||
(y)Federal National Mortgage Association | 0.26% | 01/24/11 | 50,000,000 | 49,969,667 | ||||||||||||
Total U.S. Government Agency Securities (Amortized Cost $99,969,153) | 100,000,000 | 99,969,153 | ||||||||||||||
Repurchase Agreements— 21.3% | ||||||||||||||||
Bank Of America (Purchased on 10/29/10, Proceeds at maturity $500,009,167 collateralized by U.S. Government Backed Securities, 1.00% - 6.00%, 05/15/11 - 12/15/16, market value $510,000,974) | 0.22% | 11/01/10 | 500,000,000 | 500,000,000 | ||||||||||||
Barclays Bank (Purchased on 10/29/10, Proceeds at maturity $600,012,000 collateralized by U.S. Government Backed Securities, 0.29% - 3.00%, 12/02/10 - 10/22/12, market value $612,000,001) | 0.24% | 11/01/10 | 600,000,000 | 600,000,000 | ||||||||||||
Barclays Bank (Purchased on 10/29/10, Proceeds at maturity $80,001,400 collateralized by U.S. Government Backed Securities, 1.38%, 01/15/13, market value $81,600,008) | 0.21% | 11/01/10 | 80,000,000 | 80,000,000 | ||||||||||||
Deutsche Bank (Purchased on 10/29/10, Proceeds at maturity $685,011,988 collateralized by U.S. Government Backed Securities, 0.00% - 5.38%, 11/05/10 - 06/12/17, market value $698,701,005) | 0.21% | 11/01/10 | 685,000,000 | 685,000,000 | ||||||||||||
JPMorgan Chase Bank (Purchased on 10/29/10, Proceeds at maturity $685,011,988 collateralized by U.S. Government Backed Securities, 3.125% - 4.625%, 07/31/12 - 05/15/19, market value $698,700,453) | 0.21% | 11/01/10 | 685,000,000 | 685,000,000 | ||||||||||||
Morgan Stanley (Purchased on 10/29/10, Proceeds at maturity $400,006,667 collateralized by U.S. Government Backed Securities, 0.63% - 5.36%, 04/28/11 - 11/24/17, market value $408,000,388) | 0.20% | 11/01/10 | 400,000,000 | 400,000,000 | ||||||||||||
Total Repurchase Agreements (Amortized Cost $2,950,000,000) | 2,950,000,000 | 2,950,000,000 | ||||||||||||||
Other Investments – 2.5% | ||||||||||||||||
(r)Citibank Dollar on Deposit Cash Account | 0.23% | 12/31/99 | 347,047,060 | 347,047,060 | ||||||||||||
Total Investments (Amortized Cost $13,834,146,671) — 100.0% | $ 13,834,146,671 | |||||||||||||||
(r) | The adjustable/variable rate shown is effective as of 10/31/10. |
(y) | The rate shown is the effective yield. |
‡ | Rule 144A, Section 4(2), or other security which is restricted as to resale to institutional investors. The Fund’s Advisor has deemed this security to be liquid based upon procedures approved by Board of Trustees. The aggregate value of these securities at October 31, 2010 was $4,813,510,321 which represented 34.8% of the total investments of the Fund. |
AG | Aktiengesellschaft (German & Swiss stock corporation) |
ASA | Allmennaksjeselskap (Norwegian Stock company) |
B.V. | Besloten Vennootschap. (Netherlands and Belgium Limited Liability Company) |
L.L.C. | Limited Liability Company |
P.L.C. | Public Limited Company |
See notes to financial statements.
6
The DFA Short Term Investment Fund
Statement of Assets and Liabilities
October 31, 2010
Assets: | ||||
Investments, at value and cost | $ | 10,884,146,671 | ||
Repurchase agreements, at value and cost | 2,950,000,000 | |||
Total Investments | 13,834,146,671 | |||
Interest receivable | 2,015,246 | |||
Total Assets | 13,836,161,917 | |||
Liabilities: | ||||
Distributions payable | 2,791,418 | |||
Securities purchased payable | 17,503,764 | |||
Accrued expenses and other payables: | ||||
Investment advisory | 598,812 | |||
Administration | 59,886 | |||
CCO | 2,417 | |||
Professional | 88,633 | |||
Trustee | 65,762 | |||
Other | 1,894 | |||
Total Liabilities | 21,112,586 | |||
Net Assets | $ | 13,815,049,331 | ||
Net Assets consist of: | ||||
Capital | $ | 13,815,034,335 | ||
Undistributed net investment income | 14,996 | |||
Accumulated net realized gains from investment transactions | - | |||
Net Assets | $ | 13,815,049,331 | ||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 13,815,034,335 | |||
Net Asset Value (offering and redemption price per share) | $ | 1.00 |
See notes to financial statements.
7
The DFA Short Term Investment Fund
Statement of Operations
For the Period Ended October 31, 2010 (a)
Investment Income: | ||||
Interest | $ | 28,407,268 | ||
Dividend | 488,335 | |||
Total Investment Income | 28,895,603 | |||
Expenses: | ||||
Investment advisory fees | 5,047,682 | |||
Administration fees | 504,783 | |||
CCO fees | 22,164 | |||
Organization fees | 81,301 | |||
Professional fees | 259,028 | |||
Trustee fees | 104,999 | |||
Other fees | 69,062 | |||
Net Expenses | 6,089,019 | |||
Net Investment Income | 22,806,584 | |||
Net Realized Gains from Securities Transactions | 53,439 | |||
Change in Net Assets Resulting From Operations | $ | 22,860,023 | ||
(a) | For the period February 1, 2010 (commencement of operations) to October 31, 2010. |
See notes to financial statements.
8
The DFA Short Term Investment Fund
Statement of Changes in Net Assets
For the Period Ended October 31, 2010 (a) | ||||
Investment Activities: | ||||
Operations: | ||||
Net investment income | $ | 22,806,584 | ||
Net realized gains from investment transactions | 53,439 | |||
Change in net assets from operations | 22,860,023 | |||
Distributions to Shareholders: | ||||
From net investment income | (22,806,584) | |||
From net realized gains | (38,443) | |||
Changes in net assets from distributions to shareholders | (22,845,027) | |||
Capital Transactions: | ||||
Proceeds from shares issued | 54,043,859,889 | |||
Cost of shares redeemed | (40,228,825,554) | |||
Change in net assets from capital transactions | 13,815,034,335 | |||
Change in net assets | 13,815,049,331 | |||
Net Assets: | ||||
Beginning of period | - | |||
End of period | $ | 13,815,049,331 | ||
Undistributed net investment income | $ | 14,996 | ||
Shares Transactions: | ||||
Shares issued | 54,043,859,889 | |||
Shares redeemed | (40,228,825,554) | |||
Change in shares | 13,815,034,335 | |||
(a) | For the Period February 1, 2010 (commencement of operations) to October 31, 2010. |
See notes to financial statements.
9
The DFA Short Term Investment Fund
Financial Highlights
For the Period Ended October 31, 2010 (a) | ||||
Net Asset Value, Beginning of Period | $ | 1.00 | ||
Investment Activities: | ||||
Net Investment Income | — | (b) | ||
Net Realized and Unrealized Gains (Losses) on Investments | — | (b) | ||
Total from Investment Activities | — | |||
Distributions to shareholders from: | ||||
Net Investment Income | — | (b) | ||
Net Realized Gains | — | (b) | ||
Total Distributions | — | (b) | ||
Net Asset Value, End of Period | $ | 1.00 | ||
Total Return (c) | 0.17 | % | ||
Supplemental Data: | ||||
Net Assets, End of Period ($000’s) | $ | 13,815,049 | ||
Ratios to Average Net Assets: | ||||
Net Investment Income (d) | 0.23 | % | ||
Expenses (d ) | 0.06 | % |
(a) | For the Period February 1, 2010 (commencement of operations) to October 31, 2010. |
(b) | Amount less than $0.005. |
(c) | Not annualized. |
(d) | Annualized. |
See Accompanying Notes to Financial Statements.
10
The DFA Short Term Investment Fund
Notes to Financial Statements
October 31, 2010
A. Organization
The DFA Investment Trust Company (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940 (the “1940 Act”). The Trust consists of twelve investment portfolios of which one is included in this report, The DFA Short Term Investment Fund (the “Fund”), and eleven are presented in separate reports. Prior to February 1, 2010, the Fund was organized as a Delaware limited partnership.
The investment objective of the Fund is to seek to provide a high level of current income that the Advisor (as hereinafter defined) believes is consistent with stability of principal and the maintenance of liquidity. As a money market fund, the Fund will pursue its investment objective by investing in U.S. dollar-denominated short-term debt securities that meet the strict standards established by the Board of Trustees of the Trust (the “Board”), which are in accordance with Rule 2a-7 under the 1940 Act.
The Board is responsible for establishing the Trust’s policies and for overseeing the management of the Trust. Under the Trust’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
B. Significant Accounting Policies
The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material.
1. Security Valuation – The Fund seeks to maintain a constant net asset value of $1.00 per share by use of the amortized cost method of asset valuation, which approximates market value, pursuant to procedures adopted by the Board. If amortized cost no longer approximates market value, the Fund will use pricing and valuation procedures approved by the Board.
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below:
• | Level 1 – quoted prices in active markets for identical assets |
• | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Generally, amortized cost approximates the current fair value of a security, but since the valuation is not obtained from a quoted price in an active market, such securities are reflected as Level 2 in the fair value hierarchy.
When determining the fair value of the Fund’s investments, additional consideration is given to those assets or liabilities that have experienced a decrease in the volume or level of activity or have identified circumstances that indicate that a transaction is not orderly.
The Fund recognizes significant transfers between fair value hierarchy levels at the reporting period end. There were no significant transfers between Level 1 and 2 as of October 31, 2010.
11
The DFA Short Term Investment Fund
Notes to Financial Statements - Continued
October 31, 2010
The following table provides the fair value measurements of the Fund’s investments by level within the fair value hierarchy as of October 31, 2010:
LEVEL 1 Investments in Securities | LEVEL 2 Investments in Securities | LEVEL 3 Investments in Securities | ||||||||
The DFA Short Term Investment Fund | ||||||||||
Corporate Bonds | $ - | $ | 780,663,179 | $ - | ||||||
Commercial Paper | - | 8,047,668,590 | - | |||||||
Yankee Certificates of Deposit | - | 1,608,798,689 | - | |||||||
U.S. Government Agency Securities | - | 99,969,153 | - | |||||||
Repurchase Agreements | - | 2,950,000,000 | - | |||||||
Other Investments | - | 347,047,060 | - | |||||||
Total | $ - | $ | 13,834,146,671 | $ - | ||||||
2. Deferred Compensation Plan – Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the “Plan”). Under the Plan, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees’ Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Trustee shall have the right in a notice of election to defer compensation (the “Notice”) to elect to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Trustee’s first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee’s deferred compensation account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board of the Fund (unless the Trustee files an amended Notice selecting a different distribution date). Robert C. Merton resigned from the Board of the Fund on December 1, 2009 and received a lump sum payment of the proceeds of his deferred fee account on January 4, 2010 in the amount of $241,764. As of October 31, 2010, no other Trustees have requested or received a distribution of proceeds of a deferred fee account.
3. Security Transactions and Related Income - Investment transactions are accounted for on trade date. The Fund declares a distribution daily of its net income and normally distributes any net investment income monthly. Any capital gains will be distributed no less than annually. The Fund does not expect to realize any long-term capital gains and losses. Interest income is recognized on an accrual basis and includes amortization or accretion of a premium or discount. Costs used in determining net realized gains and losses on the sales of investment securities are those of the specific securities sold, adjusted for the accretion or amortization of purchase discounts or premiums during the respective holding period.
4. Allocations – Expenses directly attributable to the Fund are charged to the Fund. Expenses not directly attributable to the Fund are allocated among the respective Funds in the Trust based upon relative net assets or on another reasonable basis.
C. Federal Income Taxes
The Fund is classified as a regulated investment company for tax purposes. As a regulated investment company, the Fund generally pays no U.S. federal income tax on the income and gains that the Fund distributes to shareholders.
12
The DFA Short Term Investment Fund
Notes to Financial Statements - Continued
October 31, 2010
Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2010, attributable to distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net net assets or net asset value per share:
Increase in Undistributed Net Investment Income | Decrease in Accumulated Net Realized Gains | |||||||||||||
The DFA Short Term Investment Fund | $ 14,996 |
|
$ (14,996) |
| ||||||||||
As of October 31, 2010, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were equal to the amounts reported for financial reporting purposes.
For all open tax years and all major taxing jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the Fund’s financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally, the last four tax year ends and the interim tax period since then).
The tax character of distributions paid to shareholders during the period ended October 31, 2010 were as follows:
| ||||||||||||||
Distributions Paid From | ||||||||||||||
Net Investment Income |
Tax-Exempt | Total Distributions Paid | ||||||||||||
The DFA Short Term Investment Fund | $ | 22,845,027 | $ | - |
$ |
22,845,027 |
| |||||||
As of October 31, 2010, the components of distributable earnings (accumulated losses) on a tax basis were as follows: |
Undistributed | Accumulated | Unrealized | Total Accumulated | |||||||||||||||||||||||||
Ordinary Income | Tax-Exempt Income | Accumulated Earnings | Distributions Payable | Capital and Other Losses | Appreciation/ (Depreciation) | Earnings (Deficit) | ||||||||||||||||||||||
The DFA Short Term Investment Fund | $ | 138,258 | $ | - | $ | 138,258 | $ | - | $ | - | $ | - | $ | 138,258 |
D. Financial Instruments
Repurchase Agreements – The Fund may engage in repurchase agreement transactions with institutions that the Advisor has determined are creditworthy. The Fund, through its custodian, receives delivery of underlying securities collateralizing a repurchase agreement. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the Fund and the counterparty. The counterparty will be required at all times, to maintain collateral with a value at least equal, at all times, to the value of the repurchase obligation including interest. A repurchase agreement transaction involves certain risks in the event of default or insolvency of the counterparty. These risks include possible delay or restrictions upon the Fund’s ability to dispose of the underlying securities and a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights.
E. Related Party Transactions
Investment Manager – Dimensional Fund Advisors LP (the “Advisor” or “DFA”) serves as investment advisor to the Fund. Pursuant to an investment management agreement with the Trust with respect to the Fund (the “Investment Management Agreement”), the Advisor manages the investment and reinvestment of the Fund’s assets. DFA has served as the Fund’s investment manager since the Fund’s commencement of operations. Pursuant to the terms of the Investment Management Agreement, the Advisor receives a management fee calculated daily and payable monthly from the Fund at an annual rate of 0.05% of the average daily net assets.
13
The DFA Short Term Investment Fund
Notes to Financial Statements - Continued
October 31, 2010
Fees Paid to Officers – Certain officers of the Advisor are also officers of the Fund; however, such officers (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. Amounts paid to the Fund’s CCO are reflected on the Statement of Operations as “CCO fees”.
Administrator and Custodian – Citi Fund Services Ohio, Inc. serves as the Administrator and Citibank, N.A. serves as the Custodian of the Fund. Pursuant to the terms of the Master Services Agreement, the Administrator receives a fee payable monthly from the Fund at an annual rate of 0.005% of the average daily net assets.
F. Interest Rate and Credit Risks
The Fund invests primarily in money market instruments maturing in 397 days or less whose ratings are within one of the two highest ratings categories assigned by a nationally recognized statistical rating organization, or, if not rated, are believed by the Adviser to be of comparable quality. The ability of the issuers of the securities held by the Fund to meet their obligations may be affected by economic developments in a specific industry, state or region.
The Fund is subject to the risk that the Advisor’s security selection and expectations regarding interest rate trends will cause the yields of the Fund to lag the performance of other mutual funds with similar investment objectives or the performance of short-term debt instruments. The emphasis of the Fund on quality and liquidity also could cause the Fund to underperform when compared to other money market funds, particularly those that take greater maturity and credit risks.
G. Subsequent Events
Management has evaluated the impact of all subsequent events and transactions through the date this financial statement was issued and there are no subsequent events to report.
14
Report of Independent Registered Public Accounting Firm
To the Shareholders of The DFA Short Term Investment Fund and Board of Trustees of The DFA Investment Trust Company:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statement of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The DFA Short Term Investment Fund (one of the portfolios constituting The DFA Investment Trust Company, hereafter referred to as the “Fund”) at October 31, 2010 and the results of its operations, the changes in its net assets and the financial highlights for the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at October 31, 2010 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
December 22, 2010
The DFA Short Term Investment Fund
Supplemental Information (Unaudited)
October 31, 2010
Other Federal Income Tax Information
For the period ended October 31, 2010, certain distributions paid by the Fund may be subject to a maximum tax rate of 15% as provided by the Jobs and Growth Relief Reconciliation Act of 2003. The Fund intends to designate the maximum amount allowable as taxed at a maximum rate of 15%. Complete information will be reported in conjunction with the 2010 Form 1099-DIV.
For the period ended October 31, 2010, the Fund paid qualified interest income for purposes of a reduced individual federal income tax rate of:
Percentage | ||
The DFA Short Term Investment Fund | 98.49% |
For the period ended October 31, 2010, the Fund paid qualified short-term capital gains for purposes of a reduced individual federal income tax rate of:
Percentage | ||
The DFA Short Term Investment Fund | 100.00% |
For the period ended October 31, 2010, the Fund designated the following amount as a short term capital gain distribution in accordance with Sections 871(k)(2) and 881(e) of the Internal Revenue Code;
Amount | ||
The DFA Short Term Investment Fund | $ 53,439 |
Expense Example
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2010 to October 31, 2010.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 5/1/10 | Ending Account Value 10/31/10 | Expense Paid During Period * 5/1/10-10/31/10 | Expense Ratio 5/1/10-10/31/10 | |||||
The DFA Short Term Investment Fund | $ 1,000.00 | $ 1,001.30 | $0.30 | 0.06% |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from May 1, 2010 to October 31, 2010 divided by the number of days in the fiscal year.
16
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2010
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 5/1/09 | Ending Account Value 10/31/10 | Expense Paid During Period* 5/1/10-10/31/10 | Expense Ratio During Period 5/1/10-10/31/10 | |||||
The DFA Short Term Investment Fund | $ 1,000.00 | $ 1,024.90 | $ 0.31 |
0.06% |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from May 1, 2010 to October 31, 2010 divided by the number of days in the fiscal year.
Voting Proxies on Fund Portfolio Securities
A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available without charge, upon request, by calling collect: (512) 306-7400. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC’s website at http://www.sec.gov and from Advisor’s website at http://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th.
Portfolio Holding Information
The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc. or the Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the quarter. The schedule of Portfolio Holdings for the Fund in this report is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.goc, or the may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (call 1-800-732-0330 for the information on the operation of the Public Reference Room).
Fund Management
Trustees/Directors
Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. (“DFAITC”), DFA Investment Dimensions Group Inc. (“DFAIDG”), Dimensional Investment Group Inc. (“DIG”) and Dimensional Emerging Markets Value Fund (“DEM”) (each, the “Fund” and collectively, the “Funds”) is responsible for establishing the Funds’ policies and for overseeing the management of the Funds. The Trustees/Directors of the Funds, including all of the disinterested Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the “Feeder Portfolios”) that invest in certain series of DFAITC or DEM (the “Master Funds”).
Each Board has two standing committees, an Audit Committee and a Portfolio Performance and Service Review Committee (the “Performance Committee”). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Director. The Audit Committee oversees the Fund’s accounting and
17
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2010
financial reporting policies and practices, the Fund’s internal controls, the Fund’s financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund’s independent registered certified public accounting firm and also acts as a liaison between the Fund’s independent registered certified public accounting firm and the full Board. There were two Audit Committee meetings held during the fiscal year ended October 31, 2010.
Each Board’s Performance Committee is comprised of Messrs. Constantinides and Ibbotson, Ms. Smith, John P. Gould and Myron S. Scholes. Each member of the Fund’s Performance Committee is a disinterested Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund’s series and reviews the performance of the Fund’s service providers. There were seven Performance Committee meetings held during the fiscal year ended October 31, 2010.
Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director’s experience as a Trustee/ Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience.
The statements of additional information (together, “SAI”) of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by calling collect (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746. Prospectuses are also available at www.dimensional.com.
Name, Position with the Fund, Address and Age
| Term of Office1 and Length of
| Portfolios within the DFA
| Principal Occupation(s) During Past 5 Years and
| |||
Disinterested Trustees/Directors
| ||||||
George M. Constantinides Director of DFAIDG, DIG and DEM. Trustee of DFAITC. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 63
| DFAITC -since 1993 DFAIDG -since 1983 DIG -since 1993 DEM -since 1993 | 86 portfolios in 4 investment companies | Leo Melamed Professor of Finance, The University of Chicago Booth School of Business. | |||
John P. Gould Director of DFAIDG, DIG and DEM. Trustee of DFAITC. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 71 | DFAITC -since 1993 DFAIDG -since 1986 DIG -since 1993 DEM -since 1993 | 86 portfolios in 4 investment companies | Steven G. Rothmeier Distinguished Service Professor of Economics, The University of Chicago Booth School of Business (since 1965). Member of the Boards of Milwaukee Mutual Insurance Company (since 1997). Member and Chair, Competitive Markets Advisory Committee, Chicago Mercantile Exchange (futures trading exchange) (since 2004). Formerly, Director of UNext, Inc. (1999-2006). Formerly, Senior Vice-President, Lexecon Inc. (economics, law, strategy and finance consulting) (1994-2004). Trustee, Harbor Fund (registered investment company) (27 Portfolios) (since 1994). |
18
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2010
Name, Position with the Fund, Address and Age
|
Term of Office1 and Length of
|
Portfolios within the DFA Fund
|
Principal Occupation(s) During Past 5 Years and
| |||
Roger G. Ibbotson Director of DFAIDG, DIG and DEM. Trustee of DFAITC. Yale School of Management 135 Prospect Street New Haven, CT 06520-8200 Age: 67 | DFAITC -since 1993 DFAIDG -since 1981 DIG -since 1993 DEM -since 1993 | 86 portfolios in 4 investment companies | Professor in Practice of Finance, Yale School of Management (since 1984). Director, BIRR Portfolio Analysis, Inc. (software products) (since 1990). Chairman, CIO and Partner, Zebra Capital Management, LLC (hedge fund manager) (since 2001). Formerly, Chairman, Ibbotson Associates, Inc., Chicago, IL (software data publishing and consulting) (1977-2006).
| |||
Myron S. Scholes Director of DFAIDG, DIG and DEM. Trustee of DFAITC. Platinum Grove Asset Management, L.P. Reckson Executive Park 1100 King Street Building 4 Rye Brook, NY 10573 Age: 69 | DFAITC -since 1993 DFAIDG -since 1981 DIG -since 1993 DEM -since 1993 | 86 portfolios in 4 investment companies | Frank E. Buck Professor Emeritus of Finance, Stanford University (since 1981). Chairman, Platinum Grove Asset Management, L.P. (hedge fund) (formerly, Oak Hill Platinum Partners) (since 1999). Formerly, Managing Partner, Oak Hill Capital Management (private equity firm) (until 2004). Formerly, Director, Chicago Mercantile Exchange (2001-2008). Director, American Century Fund Complex (registered investment companies) (37 Portfolios) (since 1981). | |||
Abbie J. Smith Director of DFAIDG, DIG and DEM. Trustee of DFAITC. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 57 | DFAITC -since 2000 DFAIDG -since 2000 DIG -since 2000 DEM -since 2000 | 86 portfolios in 4 investment companies | Boris and Irene Stern Professor of Accounting, The University of Chicago Booth School of Business (since 1980), and Co-Director Investment Research, Fundamental Investment Advisors (hedge fund) (since 2008). Director, HNI Corporation (formerly known as HON Industries Inc.) (office furniture) (since 2000). Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003). Director/ Trustee, UBS Funds (fund complex) (5 portfolios) (since 2008). |
19
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2010
Name, Position with the Fund, Address and Age
|
Term of Office1 and Length of Service
|
Portfolios within the DFA Fund Complex2 Overseen
|
Principal Occupation(s) During Past 5 Years and
| |||
Interested Trustees/Directors*
| ||||||
David G. Booth Chairman, Director, Co-Chief Executive Officer and President of DFAIDG, DIG and DEM. Chairman, Trustee, Co-Chief Executive Officer and President of DFAITC. 6300 Bee Cave Road, Building One Austin, Texas 78746 Age: 63 | DFAITC -since 1993 DFAIDG -since 1981 DIG -since 1992 DEM -since 1993 | 86 portfolios in 4 investment companies | Chairman, Director/Trustee, President, Co-Chief Executive Officer and, formerly, Chief Executive Officer (until 1/1/2010) and Chief Investment Officer (2003 to 3/30/2007) of the following companies: Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc. and The DFA Investment Trust Company. Chairman, Director, President and Co- Chief Executive Officer of Dimensional Holdings Inc. and formerly Chief Executive Officer (until 1/1/2010) and Chief Investment Officer (until 3/30/2007). Director of Dimensional Fund Advisors Ltd. and formerly, Chief Investment Officer. Director of DFA Australia Limited and formerly, President and Chief Investment Officer. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Limited Partner, Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director of Dimensional Cayman Commodity Fund I Ltd. Chairman, and President of Dimensional SmartNest LLC and Dimensional SmartNest (U.S.) LLC.
| |||
Eduardo A. Repetto Director, Co-Chief Executive Officer and Chief Investment Officer of DFAIDG, DIG and DEM. Trustee, Co-Chief Executive Officer, Chief Investment Officer and Vice President of DFAITC. 6300 Bee Cave Road, Building One Austin, TX 78746 Age: 43 | DFAITC -since 2009 DFAIDG -since 2009 DIG -since 2009 DEM -since 2009 | 86 portfolios in 4 investment companies | Co-Chief Executive Officer (beginning January 2010), Chief Investment Officer (beginning March 2007) and formerly, Vice President of Dimensional Fund Advisors LP, Dimensional Holdings Inc., DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company, and Dimensional Fund Advisors Canada ULC; Director of all such entities except Dimensional Fund Advisors LP and DFA Securities LLC. Chief Investment Officer, Vice President and Director of DFA Australia Limited. Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC and Dimensional Funds II PLC. Director of Dimensional Cayman Commodity Fund I Ltd.
|
1 | Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. |
2 | Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. |
* | Interested Trustees/Directors are described as such because they are deemed to be “interested persons,” as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. |
20
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2010
Officers
The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) (“Dimensional”), DFA Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the “DFA Entities”). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
Name, Position with the Fund and Age | Term of Office1 and Length of Service | Principal Occupation(s) During Past 5 Years | ||
Officers | ||||
April A. Aandal Vice President and Chief Learning Officer Age: 47 | Since 2008 | Vice President of all the DFA Entities. Chief Learning Officer of Dimensional (since September 2008). Formerly, Regional Director of Dimensional (2004-2008); Vice President of Professional Development at Assante Asset Management (June 2002-January 2005).
| ||
Darryl D. Avery Vice President Age: 44 | Since 2005 | Vice President of all the DFA Entities. From June 2002 to January 2005, institutional client service representative of Dimensional. | ||
Arthur H. Barlow Vice President Age: 54 | Since 1993 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Scott A. Bosworth Vice President Age: 41 | Since 2007 | Vice President of all the DFA Entities. Regional Director of Dimensional (since November 1997). | ||
Valerie A. Brown Vice President and Assistant Secretary Age: 43 | Since 2001 | Vice President and Assistant Secretary of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund Advisors Canada ULC.
| ||
David P. Butler Vice President Age: 46 | Since 2007 | Vice President of all the DFA Entities. Director of Global Financial Services of Dimensional (since 2008). Formerly, Regional Director of Dimensional Fund Advisors LP (January 1995 to January 2005). | ||
Joseph H. Chi Vice President Age: 44 | Since 2009 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since October 2005). Prior to October 2005, Corporate Counsel at Hewitt Associates (July 2002-August 2005).
| ||
Stephen A. Clark Vice President Age: 38 | Since 2004 | Vice President of all the DFA Entities. Formerly, Portfolio Manager of Dimensional (April 2001-April 2004). | ||
Robert P. Cornell Vice President Age: 61 | Since 2007 | Vice President of all the DFA Entities. Regional Director of Financial Services Group of Dimensional (since August 1993). | ||
Christopher S. Crossan Vice President and Chief Compliance Officer Age: 44
| Since 2004 | Vice President and Chief Compliance Officer of all the DFA Entities. | ||
James L. Davis Vice President Age: 53 | Since 1999 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Robert T. Deere Vice President Age: 53 | Since 1994 | Vice President of all the DFA Entities and DFA Australia Limited. |
21
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2010
Name, Position with the Fund and Age | Term of Office1 and Length of Service | Principal Occupation(s) During Past 5 Years | ||
Peter F. Dillard Vice President Age: 38 | Since 2010 | Vice President of all the DFA Entities. Research Associate for Dimensional (since August 2008). Formerly, Research Assistant for Dimensional from April 2006-August 2008. Prior to April 2006, Manager at Hilton Hotels Corp. (September 2004-April 2006). | ||
Robert W. Dintzner Vice President Age: 40
| Since 2001 | Vice President of all the DFA Entities. | ||
Beth Ann Dranguet Vice President Age: 40 | Since 2010 | Vice President of all the DFA Entities. Counsel for Dimensional (since July 2007). Formerly, Associate at Vinson & Elkins LLP (September 1999-July 2007).
| ||
Kenneth N. Elmgren Vice President Age: 56 | Since 2007 | Vice President of all the DFA Entities. Formerly, Managing Principal of Beverly Capital (May 2004 to September 2006).
| ||
Richard A. Eustice Vice President and Assistant Secretary Age: 45 | Since 1998 | Vice President and Assistant Secretary of all the DFA Entities and DFA Australia Limited. Chief Operating Officer of Dimensional Fund Advisors Ltd. (since July 2008). Formerly, Vice President of Dimensional Fund Advisors Ltd.
| ||
Eugene F. Fama, Jr. Vice President Age: 49 | Since 1993 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd.
| ||
Gretchen A. Flicker Vice President Age: 39 | Since 2004 | Vice President of all the DFA Entities. Prior to April 2004, institutional client service representative of Dimensional.
| ||
Jed S. Fogdall Vice President Age: 36 | Since 2008 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since September 2004). Prior to September 2004, Staff Engineer at the Boeing Company (1997-2004). | ||
Jeremy P. Freeman Vice President Age: 39 | Since 2009 | Vice President of all the DFA Entities. Senior Technology Manager for Dimensional Fund Advisors LP (since June 2006). Formerly, Principal at AIM Investments/Amvescap PLC (now Invesco) (June 1998-June 2006).
| ||
Mark R. Gochnour Vice President Age: 43
| Since 2007 | Vice President of all the DFA Entities. Regional Director of Dimensional. | ||
Henry F. Gray Vice President Age: 43 | Since 2000 | Vice President of all the DFA Entities. Prior to July 2000, Portfolio Manager of Dimensional. Formerly, Vice President of DFA Australia Limited.
| ||
John T. Gray Vice President Age: 36
| Since 2007 | Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (January 2005 to February 2007).
| ||
Joel H. Hefner Vice President Age: 42
| Since 2007 | Vice President of all the DFA Entities. Regional Director of Dimensional (since June 1998).
| ||
Julie C. Henderson Vice President and Fund Controller Age: 36
| Since 2005 | Vice President and Fund Controller of all the DFA Entities. Formerly, Senior Manager at PricewaterhouseCoopers LLP (July 1996 to April 2005). | ||
Kevin B. Hight Vice President Age: 42
| Since 2005 | Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (since March 2003 to March 2005).
| ||
Christine W. Ho Vice President Age: 42
| Since 2004 | Vice President of all the DFA Entities. Prior to April 2004, Assistant Controller of Dimensional.
| ||
Jeff J. Jeon Vice President Age: 36
| Since 2004 | Vice President of all the DFA Entities. Counsel for Dimensional (since September 2001).
|
22
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2010
Name, Position with the Fund and Age
|
Term of Office1 and Length of Service
| Principal Occupation(s) During Past 5 Years
| ||
Patrick M. Keating Vice President Age: 55 | Since 2003 | Vice President of all the DFA Entities and Chief Operating Officer of Dimensional. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited. | ||
David M. Kershner Vice President Age: 39 | Since 2010 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since June 2004). | ||
Joseph F. Kolerich Vice President Age: 38 | Since 2004 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since April 2001). | ||
Michael F. Lane Vice President Age: 43 | Since 2004 | Vice President of all the DFA Entities. Formerly, Vice President of Advisor Services at TIAA-CREF (July 2001 to September 2004). | ||
Kristina M. LaRusso Vice President Age: 35 | Since 2006 | Vice President of all DFA Entities. Formerly, Operations Supervisor of Dimensional (March 2003 to December 2006). | ||
Juliet Lee Vice President Age: 39 | Since 2005 | Vice President of all the DFA Entities. Human Resources Manager of Dimensional (since January 2004). | ||
Apollo D. Lupescu Vice President Age: 41 | Since 2009 | Vice President of all the DFA Entities. Regional Director for Dimensional (since February 2004). | ||
Kenneth M. Manell Vice President Age: 37 | Since 2010 | Vice President of all the DFA Entities. Counsel for Dimensional (since September 2006). Formerly, Assistant General Counsel at Castle & Cooke (January 2004-September 2006). | ||
Aaron M. Marcus Vice President & Head of Global Human Resources Age: 40 | Since 2008 | Vice President and Head of Global Human Resources of Dimensional. Formerly, Global Head of Recruiting and Vice President of Goldman Sachs & Co. (June 2006 to January 2008); Global Co-Head of HR of the Equities & FICC Division, and Vice President of Goldman Sachs & Co. (May 2005 to May 2006); Head of Americas Campus Recruiting and Vice President of Goldman Sachs & Co. (April 2003 to May 2005). | ||
David R. Martin Vice President, Chief Financial Officer and Treasurer Age: 53 | Since 2007 | Vice President, Chief Financial Officer and Treasurer of all the DFA Entities. Director, Vice President, Chief Financial Officer and Treasurer of Dimensional Fund Advisors Ltd. and DFA Australia Limited. Chief Financial Officer, Treasurer, and Vice President of Dimensional Fund Advisors Canada ULC. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Formerly, Executive Vice President and Chief Financial Officer of Janus Capital Group Inc. (June 2005 to March 2007); Senior Vice President of Finance at Charles Schwab & Co., Inc. (March 1999 to May 2005). | ||
Catherine L. Newell Vice President and Secretary Age: 46 | Vice President since 1997 and Secretary since 2000 |
Vice President and Secretary of all the DFA Entities. Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997 and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003). Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Formerly, Assistant Secretary of all DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd. | ||
Christian A. Newton Vice President Age: 35 | Since 2009 | Vice President of all DFA Entities. Web Services Manager for Dimensional Fund Advisors LP (Since January 2008). Formerly Design Manager (2005-2008) and Web Developer (2002-2005) of Dimensional Fund Advisors LP. |
23
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2010
Name, Position with the Fund and Age
| Term of Office1 and Length of Service
| Principal Occupation(s) During Past 5 Years
| ||
Carolyn L. O Vice President Age: 36 | Since 2010 | Vice President of all the DFA Entities. Counsel for Dimensional (since September 2007). Prior to September 2007, Associate at K&L Gates LLP (January 2004-September 2007). | ||
Gerard K. O’Reilly Vice President Age: 33 | Since 2007 | Vice President of all the DFA Entities. Formerly, Research Associate of Dimensional Fund Advisors LP (2004 to 2006); Research Assistant in PhD program, Aeronautics Department California Institute of Technology (1998 to 2004). | ||
Daniel C. Ong Vice President Age: 36 | Since 2009 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since July 2005). Prior to 2005, Graduate Student at the University of Chicago Booth School of Business (2003-2005).
| ||
Kyle K. Ozaki Vice President Age: 32 | Since 2010 | Vice President of all the DFA Entities. Senior Compliance Officer for Dimensional (since Januay 2008). Formerly, Compliance Officer (February 2006-December 2007) and Compliance Analyst (August 2004-January 2006) for Dimensional. | ||
Carmen E. Palafox Vice President Age: 36 | Since 2006 | Vice President of all the DFA Entities. Operations Manager of Dimensional Fund Advisors LP (since May 1996). | ||
Sonya K. Park Vice President Age: 38 | Since 2005 | Vice President of all the DFA Entities. From February 2002 to January 2005, institutional client service representative of Dimensional. | ||
David A. Plecha Vice President Age: 49 | Since 1993 | Vice President of all the DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd | ||
Theodore W. Randall Vice President Age: 37 | Since 2008 | Vice President of all the DFA Entities. Formerly, Research Associate of Dimensional (2006-2008). Systems Developer of Dimensional (2001-2006). | ||
L. Jacobo Rodriguez Vice President Age: 39 | Since 2005 | Vice President of all the DFA Entities. From August 2004 to July 2005, institutional client service representative of Dimensional. Formerly, Financial Services Analyst, Cato Institute (September 2001 to June 2004); Book Review Editor, Cato Journal, Cato Institute (May 1996 to June 2004). | ||
Julie A. Saft Vice President Age: 51 | Since 2010 | Vice President of all the DFA Entities. Client Systems Manager for Dimensional (since July 2008). Formerly, Senior Manager at Vanguard (November 1997-July 2008). | ||
David E. Schneider Vice President Age: 64 | Since 2001 | Vice President of all the DFA Entities. Currently, Director of Institutional Services. | ||
Walid A. Shinnawi Vice President Age: 48 | Since 2010 | Vice President of all the DFA Entities. Regional Director for Dimensional (since March 2006). Formerly, Senior Manager at Moody’s KMV (1999-March 2006). | ||
Bruce A. Simmons Vice President Age: 45 | Since 2009 | Vice President of all the DFA Entities. Investment Operations Manager for Dimensional Fund Advisors LP (since May 2007). Formerly, Vice President Client and Fund Reporting at Mellon Financial (September 2005-May 2007); Vice President Business Development at CUADPRO Marketing (July 2003-September 2005).
| ||
Edward R. Simpson Vice President Age: 42 | Since 2007 | Vice President of all the DFA Entities. Regional Director of Dimensional (since December 2002). | ||
Bryce D. Skaff Vice President Age: 35 | Since 2007 | Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (December 1999 to January 2007). | ||
Grady M. Smith Vice President Age: 54 | Since 2004 | Vice President of all the DFA Entities. Prior to April 2004, Portfolio Manager of Dimensional. |
24
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2010
Name, Position with the Fund and Age
| Term of Office1 and Length of Service
| Principal Occupation(s) During Past 5 Years
| ||
Carl G. Snyder Vice President Age: 47
| Since 2000 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited. | ||
Lawrence R. Spieth Vice President Age: 62
| Since 2004 | Vice President of all the DFA Entities. Prior to April 2004, Regional Director of Dimensional. | ||
Bradley G. Steiman Vice President Age: 37
| Since 2004 | Vice President of all the DFA Entities and Director and Vice President of Dimensional Fund Advisors Canada ULC. | ||
Robert C. Trotter Vice President Age: 52
| Since 2009 | Vice President of all the DFA Entities. Senior Manager Technology for Dimensional Fund Advisors LP (since March 2007). Formerly, Director of Technology at AMVESCAP (2002-2007). | ||
Karen E. Umland Vice President Age: 44
| Since 1997 | Vice President of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. | ||
Brian J. Walsh Vice President Age: 40
| Since 2009 | Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since 2004). Formerly, Trader for Dimensional Fund Advisors LP (1997-2004). | ||
Weston J. Wellington Vice President Age: 59
| Since 1997 | Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia Limited. | ||
Ryan J. Wiley Vice President Age: 34
| Since 2007 | Vice President of all the DFA Entities. Senior Trader of Dimensional. Formerly, Portfolio Manager (2006 to 2007); Trader (2001 to 2006). | ||
Paul E. Wise Vice President Age: 55
| Since 2005 | Vice President of all the DFA Entities. Chief Technology Officer for Dimensional (since 2004). Formerly, Principal of Turnbuckle Management Group (January 2002 to August 2004). |
1 Each offer holds office for an indefinite term at the pleasure of the Boards of Trustees/Directors and until his or her successor is elected and qualified.
25
ITEM 2. | CODE OF ETHICS. |
The Registrant has adopted, as of the end of the period covered by this Form N-CSR (the “Report”), a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer (the “Code of Business Ethics”). The Registrant has not made any substantive amendments to the Code of Business Ethics during the period covered by this Report. The Registrant also has not granted any waiver from any provisions of the Code of Business Ethics during the period covered by this Report. A copy of the Code of Business Ethics is filed as an exhibit to this Report.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Registrant’s Board of Trustees has determined that Abbie J. Smith possesses the technical attributes to qualify as an “audit committee financial expert” serving on the Registrant’s Audit Committee and has designated Ms. Smith as the “audit committee financial expert.” Ms. Smith
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level since 1980. Ms. Smith’s education and career have provided her with an understanding of generally accepted accounting principles and financial statements; the ability to assess the general application of such principles in connection with the accounting for estimates, accruals and reserves; and experience preparing, analyzing and evaluating financial statements that present a breadth and level of complexity of issues that can reasonably be expected to be raised by the Registrant’s financial statements. In addition, Ms. Smith has served on the boards of directors and audit committees of entities other than the Registrant. Ms. Smith is independent under the standards set forth in Item 3 of Form N-CSR.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) | Audit Fees | |||||
Fiscal Year Ended October 31, 2010: $415,897 | ||||||
Fiscal Year Ended October 31, 2009: $388,560 | ||||||
(b) | Audit-Related Fees | |||||
Fees for Registrant – Fiscal Year Ended October 31, 2010: $27,315 | ||||||
Fiscal Year Ended October 31, 2009: $24,608 |
For fiscal years ended October 31, 2009 and October 31, 2010, Audited-Related Fees included fees for services related to limited procedures performed in connection with the production of the Registrant’s semi-annual financial statements.
Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X
| ||
Fiscal Year Ended October 31, 2010: $159,000 | ||
Fiscal Year Ended October 31, 2009: $158,695 |
For the fiscal years ended October 31, 2010 and October 31, 2009, Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X included fees for services rendered in connection with the issuance of a Type II SAS 70 over controls at the Registrant’s investment adviser.
(c) | Tax Fees | |||
Fees for Registrant – Fiscal Year Ended October 31, 2010: $92,833 | ||||
Fiscal Year Ended October 31, 2009: $89,278 |
Tax Fees included, for the fiscal years ended October 31, 2009 and October 31, 2010, fees for tax services in connection with the Registrant’s excise tax calculations, review of the Registrant’s applicable tax returns and capital gains tax services in India.
There were no Tax Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above.
(d) | All Other Fees
| |||
Fees for Registrant – Fiscal Year Ended October 31, 2010: $0 | ||||
Fiscal Year Ended October 31, 2009: $0 |
There were no “All Other Fees” required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above.
(e) (1) | Audit Committee’s Pre-Approval Policies and Procedures |
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the “Funds”)
The Sarbanes-Oxley Act of 2002 (the “Act”) and the rules (the “Rules”) adopted by the U.S. Securities and Exchange Commission (the “SEC”) require that the Funds’ Audit Committees (together, the “Committee”) pre-approve all audit services and non-audit services provided to the Funds by their independent registered public accounting firm (the “Auditor”). The Act and the Rules also require that the Committee pre-approve all non-audit services provided by the Auditor to Dimensional Fund Advisors LP (“Dimensional”), the Funds’ investment advisor, and to affiliates of Dimensional that provide ongoing services to the Funds (with Dimensional, together the “Service Affiliates”) if the services directly impact the Funds’ operations and financial reporting.
The following policies and procedures govern the ways in which the Committee will pre-approve audit and various types of non-audit services that the Auditor provides to the Funds and to Service Affiliates. These policies and procedures do not apply in the case of audit services that the Auditor provides to Service Affiliates, nor do they apply to services that an audit firm other than the Auditor provides to such entities.
These policies and procedures comply with the requirements for pre-approval, but also provide mechanisms by which management of the Funds may request and secure pre-approval of audit and non-audit services in an orderly manner with minimal disruption to normal business operations. Pre-approval of non-audit services may be achieved through a combination of the procedures described in Sections C and D below.
A. | General |
1. | The Committee must pre-approve all audit services and non-audit services that the Auditor provides to the Funds. |
2. | The Committee must pre-approve any engagement of the Auditor to provide non-audit services to any Service Affiliate during the period of the |
Auditor’s engagement to provide audit services to the Funds, if the non-audit services to the Service Affiliate directly impact the Funds’ operations and financial reporting. |
B. | Pre-Approval of Audit Services to the Funds |
1. | The Committee shall approve the engagement of an independent registered public accounting firm to certify the Funds’ financial statements for each fiscal year (the “Engagement”). The approval of the Engagement shall not be delegated to a Designated Member (as that term is defined in Section D below). In approving the Engagement, the Committee shall obtain, review and consider sufficient information concerning the proposed Auditor to enable the Committee to make a reasonable evaluation of the Auditor’s qualifications and independence. The Committee also shall consider the Auditor’s proposed fees for the Engagement, in light of the scope and nature of the audit services that the Funds will receive. |
2. | The Committee shall report to the Boards of Directors/Trustees of the Funds (together, the “Board”) regarding its approval of the Engagement and of the proposed fees for the Engagement, and the basis for such approval. |
3. | Unless otherwise in accordance with applicable law, the Engagement, in any event, shall require that the Auditor be selected by the vote, cast in person, of a majority of the members of the Board who are not “interested persons” of the Funds (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940) (the “Independent Directors”). |
C. | Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates—by Types of Services |
1. | The Committee may pre-approve types of non-audit services (including tax services) to the Funds and their Service Affiliates pursuant to this Section C. |
2. | Annually, at such time as the Committee considers the Engagement of the Auditor, management of the Funds, in consultation with the Auditor, shall provide to the Committee, for its consideration and action, the following: (a) a list of those types of non-audit services, if any, that the Funds may request from the Auditor during the fiscal year; and (b) a list of those types of non-audit services directly impacting the Funds’ operations and financial reporting that Service Affiliates may request from the Auditor during the fiscal year. |
3. | The lists submitted to the Committee shall describe the types of non-audit services in reasonable detail (which may include a range of tax services) and shall include an estimated budget (or budgeted range) of fees, where |
possible, and such other information as the Committee may request. If management and the Auditor desire the Committee to preapprove the furnishing of a range of tax services, the Auditor shall provide an estimated range of fees for such tax services for the consideration and approval by the Committee. |
4. | The Committee’s pre-approval of the types of non-audit services submitted pursuant to this Section C shall constitute authorization for management of the Funds to utilize the Auditor for the types of non-audit services so pre-approved, if needed or desired during the fiscal year. |
5. | A list of the types of non-audit services pre-approved by the Committee pursuant to this Section C will be distributed to management of the Service Affiliates and the appropriate partners of the Auditor. Periodically, the Auditor will discuss with the Committee those non-audit services that have been or are being provided pursuant to this Section C. |
D. | Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates—Project-by-Project Basis |
1. | The Committee also may pre-approve non-audit services on a project-by-project basis pursuant to this Section D. |
2. | Management of the Funds, in consultation with the Auditor, may submit either to the Committee or to the Designated Member, as provided in this Section D, for their consideration and action, a pre-approval request identifying one or more non-audit service projects. The request so submitted shall describe the project(s) in reasonable detail and shall include an estimated budget (or budgeted range) of fees and such other information as the Committee or the Designated Member, as appropriate, shall request. |
3. | The Committee, from time to time, shall designate one or more of its members who are Independent Directors (each a “Designated Member”) to consider, on the Committee’s behalf, any non-audit services, whether to the Funds or to any Service Affiliate, that have not been pre-approved by the Committee. The Designated Member also shall review, on the Committee’s behalf, any proposed material change in the nature or extent of any non-audit services previously approved. The Funds’ management, in consultation with the Auditor, shall explain why such non-audit services or material change in non-audit services are necessary and appropriate and the anticipated costs thereof. |
4. | The Designated Member will review the requested non-audit services or proposed material change in such services and will either: |
(a) | pre-approve, pre-approve subject to conditions, or disapprove any such requested services, or any proposed material change in services, whether to the Funds or to a Service Affiliate; or |
(b) | refer such matter to the full Committee for its consideration and action. |
In considering any requested non-audit services or proposed material change in such services, the Designated Member’s authority shall be limited to approving non-audit services or proposed material changes that do not exceed $10,000 in value.
5. | The Designated Member’s pre-approval (or pre-approval subject to conditions) of the requested non-audit services or proposed material change in services pursuant to this Section D shall constitute authorization for the management of the Funds or the Service Affiliate, as the case may be, to utilize the Auditor for the non-audit services so pre-approved. Any action by the Designated Member in approving a requested non-audit service shall be presented for ratification by the Committee not later than at its next scheduled meeting. If the Designated Member does not approve the Auditor providing the requested non-audit service, the matter may be presented to the full Committee for its consideration and action. |
E. | Amendment; Annual Review |
1. | The Committee may amend these procedures from time to time. |
2. | These procedures shall be reviewed annually by the Committee. |
F. | Recordkeeping |
1. | The Funds shall maintain a written record of all decisions made by the Committee or by a Designated Member pursuant to these procedures, together with appropriate supporting materials. |
2. | In connection with the approval of any non-audit service pursuant to the de minimis exception provided in the Rules, a record shall be made indicating that each of the conditions for this exception, as set forth in the Rules, has been satisfied. |
3. | A copy of these Procedures (and of any amendments to these Procedures) shall be maintained and preserved permanently in an easily accessible place. The written records referred to in paragraphs 1 and 2 of this Section F shall be maintained and preserved for six years from the end of the fiscal year in which the actions recorded were taken, for at least the first two years in an easily accessible location. |
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the Registrant’s Audit Committee but not pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. | ||||||
(f) The percentage of hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended October 31, 2010 that were attributed to work performed by persons other than the principal accountant’s full time, permanent employees was not greater than 50%. | ||||||
(g) | Aggregate Non-Audit Fees | |||||
Fiscal Year Ended October 31, 2010: $631,221 | ||||||
Fiscal Year Ended October 31, 2009: $627,111 | ||||||
(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. | INVESTMENTS. |
(a) Please see the schedules of investments contained in the reports to stockholders included under Item 1 of this Report except as discussed below. Provided below is a complete schedule of investments for each series of the Registrant that provided a summary schedule of portfolio holdings in its report to stockholders included under Item 1 in lieu of a complete schedule of investments. The schedules of investments for the following series are provided below:
Name of Entity for which Schedule of Investments is Provided |
The U.S. Large Cap Value Series |
The DFA International Value Series |
The Japanese Small Company Series |
The Asia Pacific Small Company Series |
The United Kingdom Small Company Series |
The Continental Small Company Series |
The Canadian Small Company Series |
The Emerging Markets Series |
The Emerging Markets Small Cap Series |
The Tax-Managed U.S. Marketwide Value Series |
The Tax-Managed U.S. Equity Series |
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments | ||
Investment Abbreviations | ||
ADR | American Depository Receipt | |
FHLMC | Federal Home Loan Mortgage Corporation | |
FNMA | Federal National Mortgage Association | |
GDR | Global Depository Receipt | |
NVDR | Non-Voting Depository Receipt | |
P.L.C. | Public Limited Company | |
STRIP | Separate Trading of Registered Interest and Principal of Securities | |
Investment Footnotes | ||
† | See Security Valuation Note within the Notes to Schedules of Investments. | |
†† | Securities have generally been fair valued. See Security Valuation Note within the Notes to Schedules | |
of Investments. | ||
* | Non-Income Producing Securities. | |
# | Total or Partial Securities on Loan. | |
@ | Security purchased with cash proceeds from securities on loan. | |
• | Security is being fair valued at October 31, 2010. | |
— | Amounts designated as — are either zero or rounded to zero. | |
§ | Affiliated Fund. | |
## | Par amount of collateral is a part of a pooled collateral facility. Value is indicative of the value | |
allocated to this Series as a part of this facility. |
1
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value† | |||||||
COMMON STOCKS — (90.0%) | ||||||||
Consumer Discretionary — (16.4%) | ||||||||
#*AutoNation, Inc. | 564,051 | $ | 13,097,264 | |||||
#*Carnival Corp. | 2,792,987 | 120,573,249 | ||||||
CBS Corp. | 6,824 | 116,008 | ||||||
CBS Corp. Class B | 3,870,469 | 65,527,040 | ||||||
*Clear Channel Outdoor Holdings, Inc. | 172,956 | 2,054,717 | ||||||
#*Comcast Corp. Class A | 11,535,742 | 237,405,570 | ||||||
Comcast Corp. Special Class A | 3,843,964 | 74,303,824 | ||||||
#*Discovery Communications, Inc. Class A | 620,976 | 27,701,739 | ||||||
*Discovery Communications, Inc. Class C | 579,219 | 22,508,450 | ||||||
*DR Horton, Inc. | 1,099,974 | 11,483,729 | ||||||
Foot Locker, Inc. | 605,369 | 9,643,528 | ||||||
#*Fortune Brands, Inc. | 719,091 | 38,866,869 | ||||||
#*GameStop Corp. Class A | 392,505 | 7,716,648 | ||||||
#*J.C. Penney Co., Inc. | 936,242 | 29,192,026 | ||||||
#*Lennar Corp. Class A | 740,452 | 10,743,959 | ||||||
Lennar Corp. Class B Voting | 3,891 | 46,381 | ||||||
#*Liberty Media Corp. Interactive Class A | 3,585,265 | 52,918,511 | ||||||
*Liberty Media-Starz Corp. Series A | 295,430 | 19,356,574 | ||||||
Macy’s, Inc. | 1,552,471 | 36,700,414 | ||||||
#*MGM Resorts International | 1,987,088 | 21,718,872 | ||||||
#*Mohawk Industries, Inc. | 392,417 | 22,501,191 | ||||||
#*News Corp. Class A | 8,601,307 | 124,374,899 | ||||||
#News Corp. Class B | 3,247,295 | 52,216,504 | ||||||
*Penn National Gaming, Inc. | 99,490 | 3,309,037 | ||||||
#*Pulte Group, Inc. | 1,235,184 | 9,696,194 | ||||||
#*Royal Caribbean Cruises, Ltd. | 980,080 | 38,752,363 | ||||||
#*Sears Holdings Corp. | 595,638 | 42,874,023 | ||||||
Service Corp. International | 82,222 | 680,798 | ||||||
*Signet Jewelers, Ltd. ADR | 72,520 | 2,551,254 | ||||||
*Stanley Black & Decker, Inc. | 109,013 | 6,755,536 | ||||||
*Time Warner Cable, Inc. | 2,004,056 | 115,974,721 | ||||||
*Time Warner, Inc. | 6,251,359 | 203,231,681 | ||||||
#*Toll Brothers, Inc. | 904,000 | 16,217,760 | ||||||
#Walt Disney Co. (The) | 3,195,385 | 115,385,352 | ||||||
#*Washington Post Co. | 35,803 | 14,398,176 | ||||||
Wendy’s/Arby’s Group, Inc. | 924,537 | 4,252,870 | ||||||
#*Wyndham Worldwide Corp. | 826,272 | 23,755,320 | ||||||
Total Consumer Discretionary | 1,598,603,051 | |||||||
Consumer Staples — (7.0%) | ||||||||
*Archer-Daniels-Midland Co. | 2,712,432 | 90,378,234 | ||||||
#Bunge, Ltd. | 338,628 | 20,341,384 | ||||||
#*Constellation Brands, Inc. Class A | 896,502 | 17,687,984 | ||||||
#Corn Products International, Inc. | 428,526 | 18,233,781 | ||||||
#*CVS Caremark Corp. | 6,345,280 | 191,119,834 | ||||||
#Del Monte Foods Co. | 861,445 | 12,353,121 | ||||||
*J.M. Smucker Co. | 554,366 | 35,634,646 | ||||||
#Kraft Foods, Inc. | 5,204,766 | 167,957,799 | ||||||
*Molson Coors Brewing Co. | 798,416 | 37,709,188 | ||||||
*Ralcorp Holdings, Inc. | 207,577 | 12,882,229 | ||||||
#Safeway, Inc. | 1,133,801 | 25,964,043 | ||||||
#*Smithfield Foods, Inc. | 705,699 | 11,820,458 | ||||||
#*SUPERVALU, Inc. | 1,327,679 | 14,325,656 | ||||||
*Tyson Foods, Inc. Class A | 1,926,959 | 29,964,212 | ||||||
Total Consumer Staples | 686,372,569 | |||||||
Energy — (14.0%) | ||||||||
#*Anadarko Petroleum Corp. | 2,760,568 | 169,968,172 |
2
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Energy — (Continued) | ||||||||
#*Baker Hughes, Inc. | 48,344 | $ | 2,239,778 | |||||
#Chesapeake Energy Corp. | 3,103,882 | 67,354,239 | ||||||
#*Chevron Corp. | 999,295 | 82,551,760 | ||||||
#Cimarex Energy Co. | 331,583 | 25,448,995 | ||||||
#*ConocoPhillips | 5,935,876 | 352,591,034 | ||||||
#*Denbury Resources, Inc. | 650,301 | 11,068,123 | ||||||
#*Helmerich & Payne, Inc. | 513,387 | 21,962,696 | ||||||
Hess Corp. | 1,348,669 | 85,006,607 | ||||||
*Marathon Oil Corp. | 3,475,819 | 123,634,882 | ||||||
*Murphy Oil Corp. | 325,077 | 21,182,017 | ||||||
*Nabors Industries, Ltd. | 1,248,076 | 26,084,788 | ||||||
National-Oilwell, Inc. | 1,945,893 | 104,611,208 | ||||||
*Noble Energy, Inc. | 520,528 | 42,412,621 | ||||||
#Patterson-UTI Energy, Inc. | 732,485 | 14,217,534 | ||||||
#Pioneer Natural Resources Co. | 652,290 | 45,529,842 | ||||||
*Plains Exploration & Production Co. | 609,480 | 16,986,208 | ||||||
*Pride International, Inc. | 773,802 | 23,461,677 | ||||||
*QEP Resources, Inc. | 207,166 | 6,842,693 | ||||||
#*Rowan Cos., Inc. | 519,916 | 17,105,236 | ||||||
*Sunoco, Inc. | 562,265 | 21,068,070 | ||||||
#*Tesoro Petroleum Corp. | 321,700 | 4,169,232 | ||||||
#Tidewater, Inc. | 273,715 | 12,626,473 | ||||||
*Valero Energy Corp. | 2,637,648 | 47,345,782 | ||||||
*Whiting Petroleum Corp. | 212,514 | 21,344,906 | ||||||
Total Energy | 1,366,814,573 | |||||||
Financials — (19.2%) | ||||||||
*Allegheny Corp. | 20,412 | 6,133,398 | ||||||
Allied World Assurance Co. Holdings, Ltd. | 183,389 | 10,491,685 | ||||||
*Allstate Corp. (The) | 22,924 | 698,953 | ||||||
*Alterra Capital Holdings, Ltd. | 1,381 | 27,896 | ||||||
American Financial Group, Inc. | 689,393 | 21,081,638 | ||||||
American National Insurance Co. | 92,588 | 7,262,603 | ||||||
#*Arch Capital Group, Ltd. | 58,839 | 5,083,101 | ||||||
Aspen Insurance Holdings, Ltd. | 210,068 | 5,959,629 | ||||||
#Associated Banc-Corp. | 303,356 | 3,843,521 | ||||||
*Assurant, Inc. | 491,891 | 19,449,370 | ||||||
Axis Capital Holdings, Ltd. | 597,336 | 20,315,397 | ||||||
*Bank of America Corp. | 19,776,300 | 226,240,872 | ||||||
#*Capital One Financial Corp. | 2,303,387 | 85,847,234 | ||||||
#Cincinnati Financial Corp. | 15,741 | 463,415 | ||||||
*Citigroup, Inc. | 66,697,025 | 278,126,594 | ||||||
CME Group, Inc. | 293,931 | 85,137,114 | ||||||
#*CNA Financial Corp. | 1,676,585 | 46,474,936 | ||||||
*E*Trade Financial Corp. | 41,389 | 591,863 | ||||||
Endurance Specialty Holdings, Ltd. | 12,831 | 531,203 | ||||||
#Everest Re Group, Ltd. | 211,514 | 17,826,400 | ||||||
First American Financial Corp. | 101,731 | 1,428,303 | ||||||
*Genworth Financial, Inc. | 2,218,170 | 25,154,048 | ||||||
#Hanover Insurance Group, Inc. | 304,654 | 13,785,594 | ||||||
#*Hartford Financial Services Group, Inc. | 1,998,882 | 47,933,190 | ||||||
HCC Insurance Holdings, Inc. | 226,015 | 5,984,877 | ||||||
*KeyCorp | 3,627,171 | 29,706,530 | ||||||
#*Legg Mason, Inc. | 753,274 | 23,374,092 | ||||||
#*Lincoln National Corp. | 1,555,660 | 38,082,557 | ||||||
*Loews Corp. | 2,592,160 | 102,338,477 | ||||||
*Marshall & Ilsley Corp. | 2,398,318 | 14,174,059 | ||||||
*MBIA, Inc. | 81,988 | 919,085 | ||||||
#*MetLife, Inc. | 4,397,300 | 177,343,109 | ||||||
*Morgan Stanley | 2,707,152 | 67,326,870 | ||||||
*NASDAQ OMX Group, Inc. (The) | 833,930 | 17,529,209 |
3
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
NYSE Euronext, Inc. | 784,660 | $ | 24,041,982 | |||||
#*Old Republic International Corp. | 1,432,884 | 18,914,069 | ||||||
PartnerRe, Ltd. | 104,759 | 8,309,484 | ||||||
*Popular, Inc. | 1,613,202 | 4,404,041 | ||||||
#*Prudential Financial, Inc. | 2,043,858 | 107,466,054 | ||||||
Regions Financial Corp. | 5,445,963 | 34,309,567 | ||||||
Reinsurance Group of America, Inc. | 509,512 | 25,511,266 | ||||||
#*SunTrust Banks, Inc. | 2,311,090 | 57,823,472 | ||||||
Transatlantic Holdings, Inc. | 313,333 | 16,481,316 | ||||||
#Travelers Cos., Inc. (The) | 1,196,594 | 66,051,989 | ||||||
*Unum Group | 1,898,589 | 42,566,365 | ||||||
Validus Holdings, Ltd. | 351,792 | 9,976,821 | ||||||
Wesco Financial Corp. | 19,766 | 7,182,964 | ||||||
White Mountains Insurance Group, Ltd. | 33,029 | 10,542,857 | ||||||
#Xl Group P.L.C. | 986,437 | 20,863,143 | ||||||
#*Zions Bancorporation | 816,554 | 16,870,006 | ||||||
Total Financials | 1,877,982,218 | |||||||
Health Care — (8.0%) | ||||||||
*Aetna, Inc. | 1,935,699 | 57,799,972 | ||||||
#*Alere, Inc. | 239,800 | 7,086,090 | ||||||
#*Boston Scientific Corp. | 4,237,207 | 27,033,381 | ||||||
*CareFusion Corp. | 709,837 | 17,135,465 | ||||||
*Community Health Systems, Inc. | 396,974 | 11,940,978 | ||||||
#Cooper Cos., Inc. | 9,942 | 490,538 | ||||||
*Coventry Health Care, Inc. | 581,413 | 13,616,692 | ||||||
*Health Net, Inc. | 73,886 | 1,986,795 | ||||||
#*Hologic, Inc. | 1,094,487 | 17,533,682 | ||||||
*Humana, Inc. | 749,133 | 43,666,963 | ||||||
*King Pharmaceuticals, Inc. | 1,215,010 | 17,180,241 | ||||||
Omnicare, Inc. | 582,523 | 14,050,455 | ||||||
*PerkinElmer, Inc. | 426,057 | 9,991,037 | ||||||
*Pfizer, Inc. | 10,541,551 | 183,422,987 | ||||||
#Teleflex, Inc. | 94,374 | 5,261,350 | ||||||
*Thermo Fisher Scientific, Inc. | 1,915,352 | 98,487,400 | ||||||
#UnitedHealth Group, Inc. | 2,647,609 | 95,446,304 | ||||||
#*Watson Pharmaceuticals, Inc. | 400,301 | 18,674,042 | ||||||
*WellPoint, Inc. | 2,580,122 | 140,203,829 | ||||||
Total Health Care | 781,008,201 | |||||||
Industrials — (12.7%) | ||||||||
#*AGCO Corp. | 279,980 | 11,890,751 | ||||||
#*Armstrong World Industries, Inc. | 24,351 | 1,016,654 | ||||||
Covanta Holding Corp. | 161,049 | 2,541,353 | ||||||
*CSX Corp. | 2,287,204 | 140,548,686 | ||||||
General Electric Co. | 19,264,818 | 308,622,384 | ||||||
#*Hertz Global Holdings, Inc. | 1,429,883 | 16,186,276 | ||||||
#Ingersoll-Rand P.L.C. | 635,764 | 24,991,883 | ||||||
*Kansas City Southern | 283,950 | 12,442,689 | ||||||
KBR, Inc. | 66,039 | 1,677,391 | ||||||
#*L-3 Communications Holdings, Inc. | 184,910 | 13,348,653 | ||||||
#*Masco Corp. | 937,149 | 9,990,008 | ||||||
#*Norfolk Southern Corp. | 2,186,220 | 134,430,668 | ||||||
#*Northrop Grumman Corp. | 1,926,678 | 121,785,316 | ||||||
#*Owens Corning, Inc. | 556,762 | 15,054,844 | ||||||
#Pentair, Inc. | 341,927 | 11,191,271 | ||||||
#*Quanta Services, Inc. | 121,117 | 2,381,160 | ||||||
#*R. R. Donnelley & Sons Co. | 705,088 | 13,008,874 | ||||||
Republic Services, Inc. | 722,259 | 21,530,541 | ||||||
#*Ryder System, Inc. | 319,005 | 13,956,469 | ||||||
*Southwest Airlines Co. | 4,316,432 | 59,394,104 |
4
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
#*Terex Corp. | 410,447 | $ | 9,214,535 | |||||
*Tyco International, Ltd. | 777,400 | 29,758,872 | ||||||
*Union Pacific Corp. | 2,835,808 | 248,643,645 | ||||||
*URS Corp. | 363,426 | 14,148,174 | ||||||
Total Industrials | 1,237,755,201 | |||||||
Information Technology — (2.9%) | ||||||||
Activision Blizzard, Inc. | 2,584,783 | 29,647,461 | ||||||
#*AOL, Inc. | 572,108 | 15,263,841 | ||||||
*Arrow Electronics, Inc. | 559,322 | 16,561,524 | ||||||
*Avnet, Inc. | 861,287 | 25,649,127 | ||||||
AVX Corp. | 275,699 | 3,953,524 | ||||||
*Brocade Communications Systems, Inc. | 138,418 | 874,802 | ||||||
*Computer Sciences Corp. | 946,932 | 46,447,015 | ||||||
*CoreLogic, Inc. | 450,708 | 7,918,940 | ||||||
Fidelity National Information Services, Inc. | 1,143,183 | 30,980,259 | ||||||
*IAC/InterActiveCorp | 815,025 | 22,739,198 | ||||||
*Ingram Micro, Inc. | 969,555 | 17,122,341 | ||||||
#*MEMC Electronic Materials, Inc. | 411,031 | 5,269,417 | ||||||
#*Micron Technology, Inc. | 2,429,855 | 20,094,901 | ||||||
*Tech Data Corp. | 28,682 | 1,233,039 | ||||||
*Tellabs, Inc. | 1,931,218 | �� | 13,170,907 | |||||
#Xerox Corp. | 2,615,181 | 30,597,618 | ||||||
Total Information Technology | 287,523,914 | |||||||
Materials — (3.1%) | ||||||||
#*Alcoa, Inc. | 5,082,514 | 66,733,409 | ||||||
Ashland, Inc. | 367,498 | 18,973,922 | ||||||
*CF Industries Holdings, Inc. | 10,001 | 1,225,423 | ||||||
Cytec Industries, Inc. | 32,945 | 1,631,436 | ||||||
#Domtar Corp. | 190,494 | 15,117,604 | ||||||
Huntsman Corp. | 281,950 | 3,905,008 | ||||||
*International Paper Co. | 2,298,491 | 58,105,852 | ||||||
#*MeadWestavco Corp. | 1,023,001 | 26,321,816 | ||||||
Reliance Steel & Aluminum Co. | 349,087 | 14,609,291 | ||||||
Steel Dynamics, Inc. | 638,785 | 9,275,158 | ||||||
#*United States Steel Corp. | 567,570 | 24,286,320 | ||||||
#*Vulcan Materials Co. | 532,452 | 19,439,823 | ||||||
#*Weyerhaeuser Co. | 2,701,312 | 43,815,281 | ||||||
Total Materials | 303,440,343 | |||||||
Telecommunication Services — (5.6%) | ||||||||
*AT&T, Inc. | 11,515,790 | 328,200,015 | ||||||
#*CenturyLink, Inc. | 1,178,012 | 48,746,137 | ||||||
#*MetroPCS Communications, Inc. | 1,255,595 | 13,070,744 | ||||||
#*Sprint Nextel Corp. | 13,734,331 | 56,585,444 | ||||||
#Telephone & Data Systems, Inc. | 309,373 | 10,775,462 | ||||||
Telephone & Data Systems, Inc. Special Shares | 251,163 | 7,492,192 | ||||||
*United States Cellular Corp. | 265,925 | 12,354,876 | ||||||
*Verizon Communications, Inc. | 2,096,010 | 68,057,445 | ||||||
Total Telecommunication Services | 545,282,315 | |||||||
Utilities — (1.1%) | ||||||||
*AES Corp. | 763,278 | 9,113,539 | ||||||
#*Calpine Corp. | 1,728,760 | 21,609,500 | ||||||
*NRG Energy, Inc. | 836,528 | 16,655,272 | ||||||
*Public Service Enterprise Group, Inc. | 1,668,763 | 53,984,483 |
5
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Utilities — (Continued) | ||||||||
Questar Corp. | 239,776 | $ | 4,068,999 | |||||
Total Utilities | 105,431,793 | |||||||
TOTAL COMMON STOCKS | 8,790,214,178 | |||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares | 32,140,674 | 32,140,674 | ||||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (9.7%) | ||||||||
§@DFA Short Term Investment Fund | 936,367,625 | 936,367,625 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, 11/01/10 (Collateralized by | $4,457 | 4,457,185 | ||||||
TOTAL SECURITIES LENDING COLLATERAL | 940,824,810 | |||||||
TOTAL INVESTMENTS — (100.0%) | $ | 9,763,179,662 | ||||||
6
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value†† | |||||||
COMMON STOCKS — (85.2%) | ||||||||
AUSTRALIA — (5.0%) | ||||||||
Alumina, Ltd. | 2,104,308 | $ | 4,204,833 | |||||
Alumina, Ltd. Sponsored ADR | 172,484 | 1,378,147 | ||||||
Amcor, Ltd. | 2,298,994 | 15,149,336 | ||||||
Amcor, Ltd. Sponsored ADR | 77,103 | 2,027,809 | ||||||
*Asciano Group, Ltd. | 1,652,988 | 2,539,432 | ||||||
Australia & New Zealand Banking Group, Ltd. | 2,206,006 | 53,819,204 | ||||||
Bank of Queensland, Ltd. | 187,920 | 1,916,453 | ||||||
#Bendigo Bank, Ltd. | 525,607 | 4,667,550 | ||||||
BlueScope Steel, Ltd. | 4,756,814 | 9,347,210 | ||||||
#Boral, Ltd. | 1,495,332 | 6,438,702 | ||||||
Caltex Australia, Ltd. | 265,507 | 3,024,586 | ||||||
#Crown, Ltd. | 1,072,628 | 8,784,205 | ||||||
CSR, Ltd. | 2,677,178 | 4,784,878 | ||||||
Downer EDI, Ltd. | 132,490 | 657,947 | ||||||
#Fairfax Media, Ltd. | 3,339,114 | 4,743,862 | ||||||
Goodman Fielder, Ltd. | 2,376,765 | 3,455,521 | ||||||
#Harvey Norman Holdings, Ltd. | 722,542 | 2,357,827 | ||||||
Incitec Pivot, Ltd. | 4,149,937 | 15,195,729 | ||||||
Insurance Australia Group, Ltd. | 2,620,594 | 9,801,061 | ||||||
Lend Lease Group NL | 755,364 | 5,332,740 | ||||||
Macquarie Group, Ltd. | 487,089 | 17,318,515 | ||||||
#National Australia Bank, Ltd. | 2,107,947 | 52,758,343 | ||||||
*New Hope Corp., Ltd. | 2,483 | 11,902 | ||||||
OneSteel, Ltd. | 1,841,739 | 4,888,354 | ||||||
Origin Energy, Ltd. | 1,366,223 | 21,388,600 | ||||||
OZ Minerals, Ltd. | 4,190,871 | 6,463,571 | ||||||
Primary Health Care, Ltd. | 28,910 | 88,465 | ||||||
*Qantas Airways, Ltd. | 2,850,317 | 7,957,865 | ||||||
Santos, Ltd. | 1,043,042 | 12,897,042 | ||||||
Sims Metal Management, Ltd. | 101,787 | 1,634,793 | ||||||
#Sims Metal Management, Ltd. Sponsored ADR | 124,013 | 1,978,007 | ||||||
Sonic Healthcare, Ltd. | 331,308 | 3,534,739 | ||||||
Suncorp-Metway, Ltd. | 2,664,601 | 24,054,786 | ||||||
TABCORP Holdings, Ltd. (6873262) | 1,277,891 | 9,244,988 | ||||||
*TABCORP Holdings, Ltd. (B59GPT7) | 141,988 | 1,026,439 | ||||||
Tatts Group, Ltd. | 1,988,655 | 4,870,316 | ||||||
Toll Holdings, Ltd. | 43,403 | 264,031 | ||||||
#Washington H. Soul Pattinson & Co., Ltd. | 113,801 | 1,458,969 | ||||||
Wesfarmers, Ltd. | 2,331,991 | 75,875,057 | ||||||
TOTAL AUSTRALIA | 407,341,814 | |||||||
AUSTRIA — (0.4%) | ||||||||
Erste Group Bank AG | 350,007 | 15,813,916 | ||||||
OMV AG | 292,950 | 10,956,810 | ||||||
Voestalpine AG | 80,262 | 3,187,168 | ||||||
TOTAL AUSTRIA | 29,957,894 | |||||||
BELGIUM — (0.6%) | ||||||||
Delhaize Group SA | 201,237 | 14,065,831 | ||||||
Delhaize Group SA Sponsored ADR | 52,900 | 3,727,334 | ||||||
#*Dexia SA | 155,441 | 692,660 | ||||||
*KBC Groep NV | 246,913 | 10,751,715 | ||||||
#Solvay SA | 62,335 | 6,605,666 | ||||||
#UCB SA | 278,888 | 10,818,631 | ||||||
TOTAL BELGIUM | 46,661,837 | |||||||
CANADA — (9.6%) | ||||||||
Astral Media, Inc. Class A | 40,138 | 1,609,613 |
7
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | |||||||
CANADA — (Continued) | ||||||||
#BCE, Inc. | 692,027 | $ | 23,212,319 | |||||
#Canadian Pacific Railway, Ltd. | 390,609 | 25,461,012 | ||||||
#Canadian Tire Corp. Class A | 214,347 | 12,523,716 | ||||||
Canadian Utilities, Ltd. Class A | 82,858 | 3,980,011 | ||||||
*CGI Group, Inc. | 400,789 | 6,165,682 | ||||||
Empire Co., Ltd. Class A | 65,500 | 3,748,637 | ||||||
#Encana Corp. | 2,051,015 | 57,936,800 | ||||||
Ensign Energy Services, Inc. | 128,319 | 1,592,821 | ||||||
Fairfax Financial Holdings, Ltd. | 54,722 | 22,384,029 | ||||||
#*Genworth MI Canada, Inc. | 58,728 | 1,569,113 | ||||||
George Weston, Ltd. | 141,700 | 11,385,739 | ||||||
Goldcorp, Inc. | 353,927 | 15,803,349 | ||||||
#Husky Energy, Inc. | 783,918 | 19,461,520 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. | 168,485 | 5,286,322 | ||||||
Inmet Mining Corp. | 121,900 | 7,288,422 | ||||||
Intact Financial Corp. | 128,700 | 5,828,663 | ||||||
#Loblaw Cos., Ltd. | 224,875 | 9,608,837 | ||||||
*Lundin Mining Corp. | 484,110 | 3,066,331 | ||||||
#Magna International, Inc. | 291,968 | 26,405,656 | ||||||
#Manitoba Telecom Services, Inc. | 40,500 | 1,156,746 | ||||||
#Manulife Financial Corp. | 2,171,383 | 27,485,591 | ||||||
#Metro, Inc. Class A | 137,300 | 6,300,265 | ||||||
#National Bank of Canada | 135,767 | 8,936,208 | ||||||
*New Gold, Inc. | 785,571 | 5,815,336 | ||||||
Nexen, Inc. | 1,212,377 | 25,795,255 | ||||||
#*PetroBakken Energy, Ltd. | 120,960 | 2,670,869 | ||||||
*Petrobank Energy & Resources, Ltd. | 96,762 | 3,850,936 | ||||||
#*Quadra FNX Mining, Ltd. | 397,631 | 5,614,164 | ||||||
Sears Canada, Inc. | 34,515 | 659,910 | ||||||
#*Sino-Forest Corp. | 521,532 | 10,308,937 | ||||||
#Sun Life Financial, Inc. | 1,367,335 | 38,691,331 | ||||||
#Suncor Energy, Inc. | 2,191,586 | 70,223,581 | ||||||
#Talisman Energy, Inc. | 2,353,184 | 42,661,410 | ||||||
*Teck Resources, Ltd. Class A | 3,615 | 161,982 | ||||||
Teck Resources, Ltd. Class B | 1,418,230 | 63,409,440 | ||||||
#Telus Corp. Non-Voting | 354,032 | 14,974,939 | ||||||
#Thomson Reuters Corp. | 1,832,184 | 69,971,141 | ||||||
#TransAlta Corp. | 602,148 | 12,191,741 | ||||||
#TransCanada Corp. | 1,941,948 | 71,725,837 | ||||||
#*Viterra, Inc. | 736,986 | 7,059,862 | ||||||
Yamana Gold, Inc. | 1,777,340 | 19,552,657 | ||||||
TOTAL CANADA | 773,536,730 | |||||||
DENMARK — (1.3%) | ||||||||
#A.P. Moller - Maersk A.S. | 3,634 | 31,533,726 | ||||||
Carlsberg A.S. Series B | 282,497 | 30,885,520 | ||||||
Danisco A.S. | 107,780 | 9,296,644 | ||||||
*Danske Bank A.S. | 1,125,595 | 29,900,026 | ||||||
*Jyske Bank A.S. | 111,779 | 5,010,044 | ||||||
*Rockwool International A.S. | 136 | 15,332 | ||||||
#*Sydbank A.S. | 60,841 | 1,601,713 | ||||||
TOTAL DENMARK | 108,243,005 | |||||||
FINLAND — (0.8%) | ||||||||
Kesko Oyj | 152,447 | 7,565,076 | ||||||
#Neste Oil Oyj | 302,274 | 5,014,314 | ||||||
#Outokumpu Oyj | 228,983 | 4,113,331 | ||||||
Sampo Oyj | 378,030 | 10,585,840 | ||||||
Stora Enso Oyj Series R | 1,304,065 | 12,957,370 | ||||||
Stora Enso Oyj Sponsored ADR | 91,500 | 905,850 | ||||||
UPM-Kymmene Oyj | 1,166,852 | 19,387,780 |
8
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | |||||||
FINLAND — (Continued) | ||||||||
UPM-Kymmene Oyj Sponsored ADR | 69,300 | $ | 1,148,994 | |||||
TOTAL FINLAND | 61,678,555 | |||||||
FRANCE — (7.0%) | ||||||||
*Air France-KLM SA | 320,673 | 5,854,860 | ||||||
AXA SA | 2,818,397 | 51,399,167 | ||||||
AXA SA Sponsored ADR | 140,900 | 2,568,607 | ||||||
BNP Paribas SA | 607,569 | 44,441,191 | ||||||
Capgemini SA | 259,094 | 13,226,361 | ||||||
Casino Guichard Perrachon SA | 97,010 | 9,126,824 | ||||||
Cie de Saint-Gobain SA | 875,747 | 41,144,800 | ||||||
#*Cie Generale de Geophysique-Veritas SA Sponsored ADR | 141,089 | 3,285,963 | ||||||
Cie Generale des Establissements Michelin SA Series B | 222,791 | 17,801,528 | ||||||
Ciments Francais SA | 26,702 | 2,462,101 | ||||||
CNP Assurances SA | 289,208 | 5,779,418 | ||||||
Credit Agricole SA | 2,072,574 | 33,991,686 | ||||||
*European Aeronautic Defence & Space Co. SA | 182,216 | 4,793,470 | ||||||
GDF Suez SA | 1,019,150 | 40,722,357 | ||||||
Groupe Eurotunnel SA | 545,525 | 5,427,082 | ||||||
Lafarge SA | 467,217 | 26,718,145 | ||||||
Lagardere SCA | 238,722 | 10,198,606 | ||||||
*Natixis SA | 1,614,867 | 9,920,187 | ||||||
*Peugeot SA | 325,797 | 13,032,226 | ||||||
PPR SA | 161,317 | 26,532,382 | ||||||
*Renault SA | 500,084 | 27,918,101 | ||||||
#*Rexel SA | 91,952 | 1,736,541 | ||||||
Safran SA | 13,761 | 436,573 | ||||||
#*Sanofi-Aventis SA ADR | 148,200 | 5,203,302 | ||||||
SCOR SE | 199,135 | 4,896,385 | ||||||
Societe Generale Paris SA | 1,074,333 | 64,422,284 | ||||||
STMicroelectronics NV | 1,542,301 | 13,524,716 | ||||||
Vivendi SA | 2,798,643 | 79,971,735 | ||||||
TOTAL FRANCE | 566,536,598 | |||||||
GERMANY — (7.9%) | ||||||||
Allianz SE | 481,474 | 60,300,624 | ||||||
Allianz SE Sponsored ADR | 2,834,240 | 35,513,027 | ||||||
Bayerische Motoren Werke AG | 915,762 | 65,634,885 | ||||||
Celesio AG | 16,596 | 397,150 | ||||||
#*Commerzbank AG | 1,163,573 | 10,487,110 | ||||||
*Daimler AG | 2,088,586 | 138,020,977 | ||||||
Deutsche Bank AG (5750355) | 987,090 | 56,862,241 | ||||||
#Deutsche Bank AG (D18190898) | 420,711 | 24,350,753 | ||||||
*Deutsche Lufthansa AG | 464,311 | 9,925,822 | ||||||
#*Deutsche Postbank AG | 124,712 | 4,341,018 | ||||||
Deutsche Telekom AG | 2,852,483 | 41,282,568 | ||||||
#Deutsche Telekom AG Sponsored ADR | 3,099,741 | 44,667,268 | ||||||
E.ON AG | 721,424 | 22,621,044 | ||||||
#Fraport AG | 41,329 | 2,621,793 | ||||||
#Generali Deutschland Holding AG | 14,907 | 1,950,018 | ||||||
Hannover Rueckversicherung AG | 74,974 | 3,776,578 | ||||||
Heidelberger Zement AG | 201,967 | 10,637,239 | ||||||
Linde AG | 21,240 | 3,057,365 | ||||||
*Merck KGaA | 39,031 | 3,249,674 | ||||||
Munchener Rueckversicherungs-Gesellschaft AG | 412,644 | 64,496,557 | ||||||
Porsche Automobil Holding SE | 190,907 | 9,771,980 | ||||||
Salzgitter AG | 79,216 | 5,678,315 | ||||||
SCA Hygiene Products SE | 3,195 | 1,601,185 | ||||||
Suedzucker AG | 25,238 | 594,841 | ||||||
ThyssenKrupp AG | 368,208 | 13,534,123 |
9
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | |||||||
GERMANY — (Continued) | ||||||||
Volkswagen AG | 42,905 | $ | 5,624,722 | |||||
TOTAL GERMANY | 640,998,877 | |||||||
GREECE — (0.1%) | ||||||||
*Alpha Bank A.E. | 278,473 | 1,839,587 | ||||||
*EFG Eurobank Ergasias | 385,650 | 2,380,323 | ||||||
Hellenic Petroleum S.A. | 334,517 | 2,679,312 | ||||||
#*National Bank of Greece S.A. ADR | 619,230 | 1,399,460 | ||||||
TOTAL GREECE | 8,298,682 | |||||||
HONG KONG — (1.5%) | ||||||||
Cathay Pacific Airways, Ltd. | 355,000 | 956,469 | ||||||
Cheung Kong Holdings, Ltd. | 237,000 | 3,629,182 | ||||||
Dah Sing Financial Holdings, Ltd. | 125,200 | 870,604 | ||||||
Great Eagle Holdings, Ltd. | 625,721 | 1,874,999 | ||||||
Hang Lung Group, Ltd. | 490,000 | 3,261,563 | ||||||
#Henderson Land Development Co., Ltd. | 2,033,114 | 14,490,838 | ||||||
Hong Kong & Shanghai Hotels, Ltd. | 1,271,837 | 2,243,392 | ||||||
Hopewell Holdings, Ltd. | 692,669 | 2,186,580 | ||||||
Hutchison Whampoa, Ltd. | 5,621,000 | 55,586,897 | ||||||
Hysan Development Co., Ltd. | 1,035,259 | 4,009,497 | ||||||
New World Development Co., Ltd. | 5,934,666 | 11,746,653 | ||||||
*Orient Overseas International, Ltd. | 155,000 | 1,363,161 | ||||||
Pacific Basin Shipping, Ltd. | 301,000 | 220,390 | ||||||
#Sino Land Co., Ltd. | 810,182 | 1,690,188 | ||||||
Sun Hung Kai Properties, Ltd. | 127,827 | 2,190,621 | ||||||
Wharf Holdings, Ltd. | 342,990 | 2,258,331 | ||||||
Wheelock & Co., Ltd. | 3,482,000 | 12,273,037 | ||||||
TOTAL HONG KONG | 120,852,402 | |||||||
IRELAND — (0.1%) | ||||||||
#Bank of Ireland P.L.C. Sponsored ADR | 184,942 | 569,621 | ||||||
CRH P.L.C. Sponsored ADR | 247,420 | 4,371,911 | ||||||
TOTAL IRELAND | 4,941,532 | |||||||
ISRAEL — (0.4%) | ||||||||
*Bank Hapoalim B.M. | 2,375,530 | 10,764,793 | ||||||
*Bank Leumi Le-Israel B.M. | 2,840,659 | 13,071,467 | ||||||
Elbit Systems, Ltd. | 10,995 | 583,833 | ||||||
*Israel Discount Bank, Ltd. | 708,867 | 1,438,198 | ||||||
#*NICE Systems, Ltd. Sponsored ADR | 107,741 | 3,608,246 | ||||||
TOTAL ISRAEL | 29,466,537 | |||||||
ITALY — (1.8%) | ||||||||
#*Banca Monte Dei Paschi di Siena SpA | 5,698,737 | 8,021,229 | ||||||
Banco Popolare Scarl | 426,228 | 2,290,723 | ||||||
#Fiat SpA | 284,123 | 4,811,420 | ||||||
Intesa Sanpaolo SpA | 10,656,633 | 37,481,113 | ||||||
Telecom Italia SpA | 5,476,933 | 8,405,842 | ||||||
#Telecom Italia SpA Sponsored ADR | 1,874,500 | 28,604,870 | ||||||
#UniCredit SpA | 15,858,749 | 41,344,820 | ||||||
Unione di Banche Italiane ScpA | 1,533,872 | 16,195,727 | ||||||
Unipol Gruppo Finanziario SpA | 1,822,774 | 1,433,116 | ||||||
TOTAL ITALY | 148,588,860 | |||||||
JAPAN — (17.3%) | ||||||||
77 Bank, Ltd. (The) | 737,372 | 3,472,354 | ||||||
#AEON Co., Ltd. | 1,886,800 | 22,221,293 | ||||||
Aisin Seiki Co., Ltd. | 346,600 | 10,860,102 | ||||||
#Ajinomoto Co., Inc. | 1,342,000 | 12,789,311 |
10
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | |||||||
JAPAN — (Continued) | ||||||||
Alfresa Holdings Corp. | 85,700 | $ | 3,603,219 | |||||
Amada Co., Ltd. | 821,000 | 5,402,262 | ||||||
Aozora Bank, Ltd. | 991,000 | 1,656,564 | ||||||
Asahi Kasei Corp. | 692,000 | 4,070,970 | ||||||
#Asatsu-DK, Inc. | 32,500 | 748,520 | ||||||
*Autobacs Seven Co., Ltd. | 5,600 | 209,784 | ||||||
Awa Bank, Ltd. (The) | 65,600 | 445,959 | ||||||
#Bank of Iwate, Ltd. (The) | 19,600 | 828,350 | ||||||
Bank of Kyoto, Ltd. (The) | 739,400 | 6,602,995 | ||||||
Bank of Yokohama, Ltd. (The) | 1,306,000 | 6,403,413 | ||||||
Bridgestone Corp. | 1,240,300 | 22,202,982 | ||||||
Canon Marketing Japan, Inc. | 124,900 | 1,555,799 | ||||||
#*Casio Computer Co., Ltd. | 249,300 | 1,748,483 | ||||||
Chiba Bank, Ltd. (The) | 881,000 | 5,439,156 | ||||||
Chugoku Bank, Ltd. (The) | 403,800 | 4,683,778 | ||||||
Chuo Mitsui Trust Holdings, Inc. | 1,696,689 | 6,120,893 | ||||||
Citizen Holdings Co., Ltd. | 511,000 | 2,936,873 | ||||||
Coca-Cola West Co., Ltd. | 109,007 | 1,668,045 | ||||||
#Comsys Holdings Corp. | 151,700 | 1,346,442 | ||||||
Cosmo Oil Co., Ltd. | 1,212,364 | 3,264,702 | ||||||
Credit Saison Co., Ltd. | 345,100 | 4,894,795 | ||||||
Dai Nippon Printing Co., Ltd. | 1,780,000 | 22,453,368 | ||||||
Daicel Chemical Industries, Ltd. | 515,000 | 3,577,471 | ||||||
Daido Steel Co., Ltd. | 398,000 | 2,028,078 | ||||||
#Dainippon Sumitomo Pharma Co., Ltd. | 374,800 | 3,384,895 | ||||||
Daishi Bank, Ltd. (The) | 573,932 | 1,773,880 | ||||||
Daiwa House Industry Co., Ltd. | 916,000 | 9,871,163 | ||||||
Daiwa Securities Group, Inc. | 3,871,000 | 15,782,929 | ||||||
#Denso Corp. | 416,588 | 12,955,094 | ||||||
DIC Corp. | 13,000 | 24,162 | ||||||
#*Elpida Memory, Inc. | 316,900 | 3,244,034 | ||||||
Fuji Heavy Industries, Ltd. | 1,318,000 | 9,082,983 | ||||||
Fuji Television Network, Inc. | 1,128 | 1,493,077 | ||||||
FUJIFILM Holdings Corp. | 1,327,000 | 44,270,853 | ||||||
Fujikura, Ltd. | 694,000 | 3,229,372 | ||||||
Fukuoka Financial Group, Inc. | 1,800,000 | 6,981,309 | ||||||
*Fukuyama Transporting Co., Ltd. | 71,000 | 351,495 | ||||||
Glory, Ltd. | 119,600 | 2,641,591 | ||||||
Gunma Bank, Ltd. (The) | 921,397 | 4,621,072 | ||||||
H2O Retailing Corp. | 198,000 | 1,297,031 | ||||||
Hachijuni Bank, Ltd. (The) | 993,231 | 5,096,907 | ||||||
Hakuhodo Dy Holdings, Inc. | 39,920 | 1,993,817 | ||||||
Hankyu Hanshin Holdings, Inc. | 475,000 | 2,277,042 | ||||||
#Higo Bank, Ltd. (The) | 376,000 | 1,754,994 | ||||||
#Hiroshima Bank, Ltd. (The) | 300,000 | 1,225,355 | ||||||
Hitachi Capital Corp. | 105,100 | 1,398,608 | ||||||
Hitachi High-Technologies Corp. | 159,200 | 3,093,843 | ||||||
Hitachi Transport System, Ltd. | 111,000 | 1,718,425 | ||||||
Hitachi, Ltd. | 5,329,000 | 24,085,220 | ||||||
#*Hitachi, Ltd. ADR | 144,840 | 6,533,732 | ||||||
Hokkoku Bank, Ltd. (The) | 512,409 | 2,062,845 | ||||||
Hokuhoku Financial Group, Inc. | 2,620,000 | 4,845,071 | ||||||
#House Foods Corp. | 148,300 | 2,189,997 | ||||||
Hyakugo Bank, Ltd. (The) | 475,028 | 1,999,701 | ||||||
Hyakujishi Bank, Ltd. (The) | 329,000 | 1,182,945 | ||||||
Idemitsu Kosan Co., Ltd. | 51,124 | 4,306,691 | ||||||
Inpex Corp. | 2,362 | 12,300,692 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 882,200 | 9,734,018 | ||||||
#ITOCHU Corp. | 1,449,200 | 12,701,199 | ||||||
Iyo Bank, Ltd. (The) | 548,000 | 4,079,766 | ||||||
J Front Retailing Co., Ltd. | 1,136,000 | 5,822,107 |
11
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | |||||||
JAPAN — (Continued) | ||||||||
Joyo Bank, Ltd. (The) | 1,518,000 | $ | 6,603,156 | |||||
JS Group Corp. | 561,100 | 11,027,734 | ||||||
JTEKT Corp. | 475,200 | 4,761,038 | ||||||
Juroku Bank, Ltd. | 400,000 | 1,208,358 | ||||||
JX Holdings, Inc. | 5,390,133 | 31,773,536 | ||||||
Kagoshima Bank, Ltd. (The) | 358,143 | 2,141,736 | ||||||
#Kajima Corp. | 1,830,000 | 4,291,198 | ||||||
Kamigumi Co., Ltd. | 519,000 | 4,053,817 | ||||||
Kandenko Co., Ltd. | 129,000 | 751,779 | ||||||
Kaneka Corp. | 653,542 | 4,042,522 | ||||||
#Kansai Paint Co., Ltd. | 64,000 | 597,014 | ||||||
#Kawasaki Kisen Kaisha, Ltd. | 1,166,087 | 4,527,937 | ||||||
Keiyo Bank, Ltd. (The) | 418,000 | 1,893,448 | ||||||
Kewpie Corp. | 131,300 | 1,670,383 | ||||||
Kinden Corp. | 285,000 | 2,449,850 | ||||||
#Kobe Steel, Ltd. | 3,785,000 | 8,318,544 | ||||||
Kuraray Co., Ltd. | 30,500 | 436,829 | ||||||
Kyocera Corp. | 327,900 | 32,679,245 | ||||||
#Kyocera Corp. Sponsored ADR | 13,600 | 1,356,328 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 604,000 | 5,922,712 | ||||||
Mabuchi Motor Co., Ltd. | 36,100 | 1,910,998 | ||||||
#Marui Group Co., Ltd. | 542,642 | 4,264,217 | ||||||
Maruichi Steel Tube, Ltd. | 104,400 | 2,067,876 | ||||||
Mazda Motor Corp. | 3,005,000 | 7,637,053 | ||||||
Medipal Holdings Corp. | 339,800 | 3,963,215 | ||||||
Meiji Holdings Co., Ltd. | 144,395 | 6,665,119 | ||||||
#Mitsubishi Chemical Holdings Corp. | 2,825,000 | 14,530,605 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 890,000 | 5,502,212 | ||||||
Mitsubishi Heavy Industries, Ltd. | 9,007,000 | 32,740,647 | ||||||
#Mitsubishi Logistics Corp. | 236,000 | 2,854,287 | ||||||
*Mitsubishi Materials Corp. | 2,533,000 | 7,929,523 | ||||||
#Mitsubishi Tanabe Pharma Corp. | 623,000 | 10,192,316 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 2,377,000 | 11,031,667 | ||||||
#Mitsubishi UFJ Financial Group, Inc. ADR | 4,781,372 | 22,281,194 | ||||||
Mitsui & Co., Ltd. | 644,200 | 10,131,598 | ||||||
*Mitsui & Co., Ltd. Sponsored ADR | 11,723 | 3,694,386 | ||||||
Mitsui Chemicals, Inc. | 1,861,800 | 5,453,796 | ||||||
#*Mitsui Engineering & Shipbuilding Co., Ltd. | 1,025,000 | 2,314,861 | ||||||
Mitsui Mining & Smelting Co., Ltd. | 359,000 | 1,094,899 | ||||||
Mitsui O.S.K. Lines, Ltd. | 582,000 | 3,722,093 | ||||||
Mitsumi Electric Co., Ltd. | 149,000 | 2,533,473 | ||||||
#*Mizuho Financial Group, Inc. ADR | 349,173 | 1,012,602 | ||||||
Mizuho Securities Co., Ltd. | 1,325,000 | 2,815,350 | ||||||
MS&AD Insurance Group Holdings, Inc. | 746,653 | 17,887,490 | ||||||
Nagase & Co., Ltd. | 235,889 | 2,761,706 | ||||||
Namco Bandai Holdings, Inc. | 441,300 | 4,066,346 | ||||||
Nanto Bank, Ltd. (The) | 323,000 | 1,690,368 | ||||||
NEC Corp. | 5,425,101 | 15,095,116 | ||||||
Nippon Express Co., Ltd. | 1,952,238 | 7,756,931 | ||||||
Nippon Kayaku Co., Ltd. | 6,000 | 58,360 | ||||||
Nippon Meat Packers, Inc. | 429,536 | 4,994,284 | ||||||
Nippon Paper Group, Inc. | 231,700 | 5,882,851 | ||||||
Nippon Sheet Glass Co., Ltd. | 1,171,739 | 2,571,354 | ||||||
Nippon Shokubai Co., Ltd. | 234,000 | 2,209,780 | ||||||
*Nippon Steel Corp. | 856,000 | 2,690,514 | ||||||
Nippon Television Network Corp. | 12,380 | 1,634,056 | ||||||
Nippon Yusen K.K. | 3,032,000 | 12,718,797 | ||||||
Nishi-Nippon Bank, Ltd. | 1,403,569 | 3,824,561 | ||||||
#Nissan Motor Co., Ltd. | 4,831,600 | 42,464,027 | ||||||
Nisshin Seifun Group, Inc. | 394,500 | 4,884,503 | ||||||
Nisshin Steel Co., Ltd. | 1,431,000 | 2,577,853 |
12
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | |||||||
JAPAN — (Continued) | ||||||||
Nisshinbo Holdings, Inc. | 305,000 | $ | 3,087,441 | |||||
*NKSJ Holdings, Inc. | 1,060,000 | 7,274,191 | ||||||
#NOK Corp. | 162,200 | 2,888,354 | ||||||
Nomura Real Estate Holdings, Inc. | 164,700 | 2,526,228 | ||||||
NTN Corp. | 651,000 | 2,944,604 | ||||||
Obayashi Corp. | 1,650,682 | 6,725,432 | ||||||
Ogaki Kyoritsu Bank, Ltd. (The) | 334,000 | 937,526 | ||||||
Oji Paper Co., Ltd. | 1,997,000 | 9,211,877 | ||||||
Ono Pharmaceutical Co., Ltd. | 92,600 | 3,905,986 | ||||||
Onward Holdings Co., Ltd. | 278,000 | 2,076,803 | ||||||
Panasonic Corp. | 302,700 | 4,412,544 | ||||||
*Panasonic Corp. Sponsored ADR | 302,421 | 4,385,104 | ||||||
Rengo Co., Ltd. | 428,000 | 2,722,738 | ||||||
Ricoh Co., Ltd. | 1,666,000 | 23,305,038 | ||||||
Rohm Co., Ltd. | 230,500 | 14,374,665 | ||||||
San-in Godo Bank, Ltd. (The) | 309,900 | 2,144,195 | ||||||
Sankyo Co., Ltd. | 57,500 | 3,063,539 | ||||||
Sapporo Hokuyo Holdings, Inc. | 529,800 | 2,184,456 | ||||||
#SBI Holdings, Inc. | 45,820 | 5,581,092 | ||||||
Seiko Epson Corp. | 296,800 | 4,732,415 | ||||||
Seino Holdings Co., Ltd. | 295,000 | 1,796,131 | ||||||
Sekisui Chemical Co., Ltd. | 988,000 | 6,276,851 | ||||||
Sekisui House, Ltd. | 1,354,000 | 12,725,409 | ||||||
Seven & I Holdings Co., Ltd. | 1,295,900 | 30,081,782 | ||||||
#Sharp Corp. | 2,725,000 | 26,918,565 | ||||||
Shiga Bank, Ltd. | 455,185 | 2,397,182 | ||||||
Shimizu Corp. | 1,371,000 | 5,292,532 | ||||||
#*Shinko Electric Industries Co., Ltd. | 88,300 | 859,559 | ||||||
#*Shinsei Bank, Ltd. | 1,642,000 | 1,301,309 | ||||||
Shizuoka Bank, Ltd. | 957,000 | 8,194,047 | ||||||
Showa Denko K.K. | 1,456,000 | 2,662,241 | ||||||
Showa Shell Sekiyu K.K. | 282,300 | 2,376,620 | ||||||
#SKY Perfect JSAT Holdings, Inc. | 3,029 | 1,001,197 | ||||||
Sohgo Security Services Co., Ltd. | 101,300 | 1,060,501 | ||||||
Sojitz Corp. | 2,578,100 | 4,738,842 | ||||||
Sony Corp. | 768,200 | 25,955,185 | ||||||
#Sony Corp. Sponsored ADR | 1,801,665 | 60,968,344 | ||||||
Sumitomo Bakelite Co., Ltd. | 347,000 | 1,879,780 | ||||||
#Sumitomo Chemical Co., Ltd. | 2,223,000 | 9,691,815 | ||||||
#Sumitomo Corp. | 3,241,900 | 41,045,075 | ||||||
Sumitomo Electric Industries, Ltd. | 2,278,500 | 28,993,356 | ||||||
Sumitomo Forestry Co., Ltd. | 158,000 | 1,167,086 | ||||||
Sumitomo Heavy Industries, Ltd. | 384,000 | 2,182,557 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 481,800 | 14,380,644 | ||||||
Sumitomo Rubber Industries, Ltd. | 230,300 | 2,475,245 | ||||||
Sumitomo Trust & Banking Co., Ltd. | 2,806,000 | 15,320,209 | ||||||
Suzuken Co., Ltd. | 150,000 | 4,715,750 | ||||||
#Suzuki Motor Corp. | 123,700 | 3,019,097 | ||||||
*Taiheiyo Cement Corp. | 1,638,800 | 1,768,937 | ||||||
#Taisei Corp. | 2,148,703 | 4,587,458 | ||||||
#Taisho Pharmaceutical Co., Ltd. | 285,000 | 6,001,280 | ||||||
#Taiyo Yuden Co., Ltd. | 112,000 | 1,438,940 | ||||||
Takashimaya Co., Ltd. | 615,634 | 4,634,286 | ||||||
Takata Corp. | 46,600 | 1,142,117 | ||||||
#TDK Corp. | 188,500 | 10,754,847 | ||||||
Teijin, Ltd. | 1,876,862 | 6,949,286 | ||||||
Toda Corp. | 385,000 | 1,297,207 | ||||||
Tokai Rika Co., Ltd. | 94,200 | 1,579,476 | ||||||
Tokuyama Corp. | 637,000 | 3,486,887 | ||||||
Tokyo Broadcasting System, Inc. | 85,300 | 1,050,903 | ||||||
Tokyo Steel Manufacturing Co., Ltd. | 224,500 | 2,221,726 |
13
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | |||||||
JAPAN — (Continued) | ||||||||
Tokyo Tatemono Co., Ltd. | 808,000 | $ | 3,255,753 | |||||
Tokyu Land Corp. | 38,000 | 173,173 | ||||||
Toppan Printing Co., Ltd. | 1,312,000 | 10,539,168 | ||||||
#Tosoh Corp. | 1,044,000 | 2,792,348 | ||||||
#TOTO, Ltd. | 17,000 | 112,945 | ||||||
#Toyo Seikan Kaisha, Ltd. | 346,349 | 5,910,012 | ||||||
Toyobo Co., Ltd. | 743,000 | 1,238,392 | ||||||
Toyota Auto Body Co., Ltd. | 105,100 | 1,579,344 | ||||||
#*Toyota Motor Corp. Sponsored ADR | 478,532 | 33,889,636 | ||||||
Toyota Tsusho Corp. | 482,400 | 7,468,184 | ||||||
TV Asahi Corp. | 755 | 1,064,082 | ||||||
UNY Co., Ltd. | 390,450 | 3,253,704 | ||||||
#Wacoal Corp. | 179,000 | 2,607,074 | ||||||
Yamaguchi Financial Group, Inc. | 492,148 | 4,455,605 | ||||||
Yamaha Corp. | 327,300 | 4,004,399 | ||||||
Yamato Holdings Co., Ltd. | 491,500 | 6,196,280 | ||||||
#Yamato Kogyo Co., Ltd. | 82,600 | 2,112,745 | ||||||
Yamazaki Baking Co., Ltd. | 152,000 | 1,854,048 | ||||||
Yokogawa Electric Corp. | 370,400 | 2,429,979 | ||||||
Yokohama Rubber Co., Ltd. | 437,000 | 2,184,413 | ||||||
TOTAL JAPAN | 1,399,259,697 | |||||||
MALAYSIA — (0.0%) | ||||||||
*Rekapacific Berhad | 691,000 | — | ||||||
NETHERLANDS — (3.3%) | ||||||||
*Aegon NV | 3,283,351 | 20,809,229 | ||||||
Akzo Nobel NV | 137,877 | 8,190,031 | ||||||
#ArcelorMittal NV | 2,446,831 | 79,175,937 | ||||||
*ING Groep NV | 3,356,113 | 35,906,230 | ||||||
#*ING Groep NV Sponsored ADR | 1,273,519 | 13,728,535 | ||||||
Koninklijke Ahold NV | 984,473 | 13,607,333 | ||||||
Koninklijke DSM NV | 443,200 | 23,719,378 | ||||||
Koninklijke Philips Electronics NV | 2,087,065 | 63,660,707 | ||||||
#Philips Electronics NV ADR | 137,395 | 4,183,678 | ||||||
TOTAL NETHERLANDS | 262,981,058 | |||||||
NEW ZEALAND — (0.1%) | ||||||||
*Auckland International Airport, Ltd. | 1,500 | 2,404 | ||||||
Contact Energy, Ltd. | 960,736 | 4,290,657 | ||||||
TOTAL NEW ZEALAND | 4,293,061 | |||||||
NORWAY — (1.0%) | ||||||||
*Aker ASA | 9,613 | 197,293 | ||||||
DnB NOR ASA Series A | 1,769,642 | 24,308,455 | ||||||
Marine Harvest ASA | 5,002,000 | 4,975,690 | ||||||
Norsk Hydro ASA | 2,611,753 | 16,031,846 | ||||||
Norsk Hydro ASA Sponsored ADR | 59,900 | 367,187 | ||||||
Orkla ASA | 2,700,350 | 26,170,155 | ||||||
*Petroleum Geo-Services ASA | 192,552 | 2,411,149 | ||||||
#*Renewable Energy Corp. ASA | 1,281,469 | 4,463,029 | ||||||
*Storebrand ASA | 713,900 | 5,204,693 | ||||||
TOTAL NORWAY | 84,129,497 | |||||||
PORTUGAL — (0.1%) | ||||||||
#Banco Comercial Portugues SA | 3,941,284 | 3,585,443 | ||||||
#Banco Espirito Santo SA | 747,704 | 3,713,190 | ||||||
Cimpor Cimentos de Portugal SA | 129,009 | 896,786 | ||||||
TOTAL PORTUGAL | 8,195,419 | |||||||
14
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | |||||||
SINGAPORE — (1.4%) | ||||||||
*Allgreen Properties, Ltd. | 896,000 | $ | 826,393 | |||||
CapitaLand, Ltd. | 4,942,000 | 14,907,457 | ||||||
#DBS Group Holdings, Ltd. | 3,012,202 | 32,443,269 | ||||||
Fraser & Neave, Ltd. | 2,023,450 | 9,778,097 | ||||||
Golden Agri-Resources, Ltd. | 13,950,000 | 7,043,456 | ||||||
#*Neptune Orient Lines, Ltd. | 1,079,004 | 1,793,491 | ||||||
#Oversea-Chinese Banking Corp., Ltd. | 865,726 | 6,047,448 | ||||||
#Overseas Union Enterprise, Ltd. | 405,000 | 1,027,865 | ||||||
SATS, Ltd. | 607,078 | 1,338,488 | ||||||
Singapore Airlines, Ltd. | 1,585,600 | 19,445,768 | ||||||
Singapore Land, Ltd. | 532,000 | 2,929,634 | ||||||
United Industrial Corp., Ltd. | 2,155,000 | 3,864,537 | ||||||
UOL Group, Ltd. | 1,376,600 | 4,851,468 | ||||||
Venture Corp., Ltd. | 307,000 | 2,153,817 | ||||||
Wheelock Properties, Ltd. | 870,000 | 1,312,730 | ||||||
TOTAL SINGAPORE | 109,763,918 | |||||||
SPAIN — (2.1%) | ||||||||
#Acciona SA | 93,126 | 8,198,668 | ||||||
#Acerinox SA | 86,085 | 1,412,061 | ||||||
#Banco de Sabadell SA | 3,378,296 | 16,442,793 | ||||||
#Banco Espanol de Credito SA | 400,117 | 4,015,317 | ||||||
#Banco Popular Espanol SA | 2,732,006 | 17,693,038 | ||||||
#Banco Santander SA Sponsored ADR | 1,242,485 | 15,916,233 | ||||||
#Cia Espanola de Petroleos SA | 15,060 | 358,612 | ||||||
Criteria Caixacorp SA | 2,313,414 | 13,070,077 | ||||||
#*EDP Renovaveis SA | 4,640 | 26,915 | ||||||
#Fomento de Construcciones y Contratas SA | 41,871 | 1,130,512 | ||||||
Gas Natural SDG SA | 681,277 | 9,979,697 | ||||||
Iberdrola Renovables SA | 2,287,013 | 7,726,723 | ||||||
*Iberdrola SA | 156,101 | 1,318,873 | ||||||
Mapfre SA | 37,323 | 124,023 | ||||||
Repsol YPF SA | 1,204,043 | 33,388,752 | ||||||
#Repsol YPF SA Sponsored ADR | 1,432,181 | 39,657,092 | ||||||
TOTAL SPAIN | 170,459,386 | |||||||
SWEDEN — (2.6%) | ||||||||
Boliden AB | 148,536 | 2,522,045 | ||||||
Holmen AB Series A | 6,300 | 196,888 | ||||||
#Nordea Bank AB | 5,498,608 | 60,543,289 | ||||||
#Skandinaviska Enskilda Banken AB Series A | 2,963,486 | 22,974,119 | ||||||
#Skandinaviska Enskilda Banken AB Series C | 9,800 | 75,807 | ||||||
#SSAB AB Series A | 507,586 | 7,118,015 | ||||||
SSAB AB Series B | 233,785 | 2,891,966 | ||||||
Svenska Cellulosa AB | 57,000 | 886,852 | ||||||
Svenska Cellulosa AB Series B | 1,586,671 | 24,598,116 | ||||||
Svenska Handelsbanken AB Series A | 42,890 | 1,403,093 | ||||||
#*Swedbank AB Series A | 1,162,643 | 16,257,884 | ||||||
Tele2 AB Series B | 542,039 | 11,912,446 | ||||||
*Telefonaktiebolaget LM Ericsson AB | 44,151 | 485,555 | ||||||
#Telefonaktiebolaget LM Ericsson AB Sponsored ADR | 952,162 | 10,464,260 | ||||||
TeliaSonera AB | 3,787,012 | 31,632,805 | ||||||
*Volvo AB Series A | 629,517 | 8,328,505 | ||||||
*Volvo AB Series B | 617,284 | 8,356,978 | ||||||
TOTAL SWEDEN | 210,648,623 | |||||||
SWITZERLAND — (5.7%) | ||||||||
#Adecco SA | 351,751 | 19,681,093 | ||||||
Baloise Holding AG | 200,163 | 18,494,467 | ||||||
Banque Cantonale Vaudoise AG | 5,839 | 2,838,172 |
15
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares | Value†† | |||||||
SWITZERLAND — (Continued) | ||||||||
Compagnie Financiere Richemont SA Series A | 897,817 | $ | 44,781,503 | |||||
Credit Suisse Group AG | 1,085,706 | 44,946,721 | ||||||
Credit Suisse Group AG Sponsored ADR | 840,377 | 34,875,645 | ||||||
Givaudan SA | 14,257 | 14,690,425 | ||||||
#Holcim, Ltd. AG | 739,477 | 46,066,677 | ||||||
*Lonza Group AG | 9,169 | 802,679 | ||||||
#*Novartis AG ADR | 276,392 | 16,016,916 | ||||||
PSP Swiss Property AG | 95,780 | 7,361,102 | ||||||
St. Galler Kantonalbank AG | 5,441 | 2,560,711 | ||||||
Swatch Group AG (The) | 24,693 | 9,438,486 | ||||||
Swiss Life Holding AG | 123,557 | 15,120,191 | ||||||
Swiss Reinsurance Co., Ltd. AG | 931,611 | 44,761,229 | ||||||
#*UBS AG | 3,710,052 | 63,024,671 | ||||||
Zurich Financial Services AG | 322,634 | 78,954,165 | ||||||
TOTAL SWITZERLAND | 464,414,853 | |||||||
UNITED KINGDOM — (15.1%) | ||||||||
Anglo American P.L.C. | 363,391 | 16,931,552 | ||||||
Associated British Foods P.L.C. | 1,497,803 | 25,120,980 | ||||||
Aviva P.L.C. | 7,396,866 | 47,172,407 | ||||||
#Barclays P.L.C. Sponsored ADR | 4,180,831 | 73,791,667 | ||||||
*BP P.L.C. Sponsored ADR | 72,482 | 2,959,440 | ||||||
#*British Airways P.L.C. | 3,077,641 | 13,336,735 | ||||||
Carnival P.L.C. | 658,867 | 28,466,707 | ||||||
#Carnival P.L.C. ADR | 241,674 | 10,529,736 | ||||||
*easyJet P.L.C. | 687,918 | 5,027,015 | ||||||
#HSBC Holdings P.L.C. Sponsored ADR | 369,273 | 19,242,816 | ||||||
International Power P.L.C. | 6,483,180 | 43,257,401 | ||||||
Investec P.L.C. | 482,475 | 3,850,631 | ||||||
Kazakhmys P.L.C. | 690,345 | 14,546,474 | ||||||
Kingfisher P.L.C. | 10,285,817 | 39,184,977 | ||||||
Legal & General Group P.L.C. | 13,449,151 | 21,622,271 | ||||||
*Lloyds Banking Group P.L.C. Sponsored ADR | 2,857,128 | 12,514,221 | ||||||
Mondi P.L.C. | 1,450,865 | 12,080,561 | ||||||
Old Mutual P.L.C. | 11,201,478 | 23,328,011 | ||||||
Pearson P.L.C. | 133,753 | 2,048,563 | ||||||
Pearson P.L.C. Sponsored ADR | 1,750,416 | 26,956,406 | ||||||
Resolution, Ltd. P.L.C. | 1,620,485 | 6,793,610 | ||||||
Rexam P.L.C. | 4,277,874 | 21,789,114 | ||||||
*Royal Bank of Scotland Group P.L.C. | 15,142,602 | 10,834,615 | ||||||
#*Royal Bank of Scotland Group P.L.C. Sponsored ADR | 377,000 | 5,421,260 | ||||||
#Royal Dutch Shell P.L.C. ADR | 3,170,896 | 203,952,031 | ||||||
RSA Insurance Group P.L.C. | 7,133,891 | 14,966,707 | ||||||
SABmiller P.L.C. | 16,330 | 529,805 | ||||||
Sainsbury (J.) P.L.C. | 5,529,939 | 34,527,053 | ||||||
Thomas Cook Group P.L.C. | 1,959,918 | 5,681,122 | ||||||
Vodafone Group P.L.C. | 34,976,333 | 95,611,963 | ||||||
#Vodafone Group P.L.C. Sponsored ADR | 8,066,329 | 221,904,711 | ||||||
Whitbread P.L.C. | 190,554 | 5,169,348 | ||||||
William Morrison Supermarkets P.L.C. | 8,127,143 | 38,248,483 | ||||||
*Wolseley P.L.C. | 889,796 | 23,668,278 | ||||||
WPP P.L.C. | 1,259,793 | 14,640,007 | ||||||
WPP P.L.C. Sponsored ADR | 30,101 | 1,747,062 | ||||||
Xstrata P.L.C. | 3,843,909 | 74,469,535 | ||||||
TOTAL UNITED KINGDOM | 1,221,923,275 | |||||||
TOTAL COMMON STOCKS | 6,883,172,110 | |||||||
16
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Face Amount | Value† | |||||||
(000) | ||||||||
TEMPORARY CASH INVESTMENTS — (0.2%) | ||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by | $19,298 | $19,298,000 | ||||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (14.6%) | ||||||||
§@DFA Short Term Investment Fund | 1,175,802,100 | 1,175,802,100 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized | $3,241 | 3,241,143 | ||||||
TOTAL SECURITIES LENDING COLLATERAL | 1,179,043,243 | |||||||
TOTAL INVESTMENTS — (100.0%) | $8,081,513,353 | |||||||
17
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value†† | |||||||
COMMON STOCKS — (87.6%) | ||||||||
Consumer Discretionary — (20.8%) | ||||||||
#*ABILIT Corp. | 310,400 | $ | 280,595 | |||||
*Accordia Golf Co., Ltd. | 1,990 | 1,818,948 | ||||||
Aeon Fantasy Co., Ltd. | 60,432 | 619,261 | ||||||
Aichi Machine Industry Co., Ltd. | 285,000 | 972,329 | ||||||
Aigan Co., Ltd. | 61,600 | 313,096 | ||||||
Aisan Industry Co., Ltd. | 126,600 | 950,559 | ||||||
#Akebono Brake Industry Co., Ltd. | 283,800 | 1,689,127 | ||||||
Alpen Co., Ltd. | 42,300 | 654,306 | ||||||
Alpha Corp. | 31,700 | 284,774 | ||||||
Alpine Electronics, Inc. | 197,100 | 2,470,211 | ||||||
Amiyaki Tei Co., Ltd. | 239 | 681,480 | ||||||
Amuse, Inc. | 29,999 | 335,296 | ||||||
#*Anrakutei Co., Ltd. | 50,000 | 249,974 | ||||||
AOI Advertising Promotion, Inc. | 39,000 | 190,727 | ||||||
AOKI Holdings, Inc. | 93,400 | 1,319,297 | ||||||
Aoyama Trading Co., Ltd. | 191,400 | 3,117,117 | ||||||
Arnest One Corp. | 130,200 | 1,374,129 | ||||||
#Asahi Co., Ltd. | 20,500 | 303,022 | ||||||
*Asahi Tec Corp. | 1,821,000 | 475,418 | ||||||
#Asatsu-DK, Inc. | 103,500 | 2,383,748 | ||||||
#ASKUL Corp. | 62,600 | 1,302,180 | ||||||
Asti Corp. | 46,000 | 122,917 | ||||||
#*Atom Corp. | 155,600 | 423,999 | ||||||
Atsugi Co., Ltd. | 701,000 | 888,474 | ||||||
*Autobacs Seven Co., Ltd. | 68,100 | 2,551,121 | ||||||
#Avex Group Holdings, Inc. | 145,800 | 2,099,847 | ||||||
Bals Corp. | 147 | 149,183 | ||||||
*Best Denki Co., Ltd. | 224,500 | 628,609 | ||||||
#Bic Camera, Inc. | 1,894 | 752,192 | ||||||
#Bookoff Corp. | 26,900 | 209,123 | ||||||
#*Calsonic Kansei Corp. | 513,000 | 1,721,407 | ||||||
#Can Do Co., Ltd. | 128 | 147,389 | ||||||
*Carchs Holdings Co., Ltd. | 710,600 | 264,877 | ||||||
*CHI Group Co., Ltd. | 8,500 | 28,882 | ||||||
Chiyoda Co., Ltd. | 115,900 | 1,401,593 | ||||||
Chofu Seisakusho Co., Ltd. | 93,500 | 1,885,762 | ||||||
Chori Co., Ltd. | 658,000 | 709,948 | ||||||
Chuo Spring Co., Ltd. | 205,000 | 685,201 | ||||||
#*Clarion Co., Ltd. | 470,000 | 729,764 | ||||||
Cleanup Corp. | 105,700 | 639,052 | ||||||
#Colowide Co., Ltd. | 200,450 | 1,041,445 | ||||||
Corona Corp. | 72,300 | 635,294 | ||||||
Cross Plus, Inc. | 22,000 | 205,592 | ||||||
#Culture Convenience Club Co., Ltd. | 373,800 | 1,661,076 | ||||||
Daido Metal Co., Ltd. | 144,000 | 703,089 | ||||||
#Daidoh, Ltd. | 107,500 | 865,165 | ||||||
#*Daiei, Inc. (The) | 252,400 | 913,363 | ||||||
Daikoku Denki Co., Ltd. | 36,900 | 415,851 | ||||||
Daimaruenawin Co., Ltd. | 400 | 3,135 | ||||||
Dainichi Co., Ltd. | 57,700 | 365,393 | ||||||
Daisyo Corp. | 57,600 | 648,567 | ||||||
#Daiwabo Holdings Co., Ltd. | 466,000 | 1,077,878 | ||||||
#DCM Holdings Co., Ltd. | 267,000 | 1,356,171 | ||||||
Descente, Ltd. | 232,000 | 1,175,070 | ||||||
#Doshisha Co., Ltd. | 52,400 | 1,281,430 | ||||||
Doutor Nichires Holdings Co., Ltd. | 134,186 | 1,816,596 | ||||||
*Dynic Corp. | 127,000 | 198,458 | ||||||
Eagle Industry Co., Ltd. | 102,000 | 851,627 |
18
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Consumer Discretionary — (Continued) | ||||||||
*Econach Holdings Co., Ltd. | 177,000 | $ | 65,857 | |||||
#Edion Corp. | 268,700 | 1,988,166 | ||||||
Exedy Corp. | 119,000 | 3,713,418 | ||||||
F&A Aqua Holdings, Inc. | 60,638 | 517,555 | ||||||
FCC Co., Ltd. | 102,400 | 2,193,745 | ||||||
Fine Sinter Co., Ltd. | 49,000 | 154,883 | ||||||
#Foster Electric Co., Ltd. | 81,900 | 1,887,996 | ||||||
France Bed Holdings Co., Ltd. | 715,000 | 905,834 | ||||||
#F-Tech, Inc. | 16,800 | 272,212 | ||||||
#Fuji Co., Ltd. | 93,300 | 1,830,813 | ||||||
Fuji Corp, Ltd. | 113,900 | 431,239 | ||||||
*Fuji Kiko Co., Ltd. | 151,000 | 396,328 | ||||||
#Fuji Kyuko Co., Ltd. | 332,000 | 1,709,419 | ||||||
Fuji Oozx, Inc. | 6,000 | 21,938 | ||||||
Fujibo Holdings, Inc. | 142,000 | 201,146 | ||||||
Fujikura Rubber, Ltd. | 74,000 | 275,484 | ||||||
Fujita Kanko, Inc. | 398,100 | 1,800,981 | ||||||
Fujitsu General, Ltd. | 273,000 | 1,314,361 | ||||||
#Funai Electric Co., Ltd. | 50,700 | 1,556,367 | ||||||
Furukawa Battery Co., Ltd. | 71,000 | 453,417 | ||||||
*Futaba Industrial Co., Ltd. | 118,600 | 630,276 | ||||||
#G-7 Holdings, Inc. | 29,200 | 166,146 | ||||||
*Gajoen Kanko Co. | 37,000 | — | ||||||
#Gakken Holdings Co., Ltd. | 322,000 | 541,174 | ||||||
#Genki Sushi Co., Ltd. | 19,200 | 169,722 | ||||||
#GEO Co., Ltd. | 1,255 | 1,321,307 | ||||||
#GLOBERIDE, Inc. | 433,000 | 429,803 | ||||||
#*Goldwin, Inc. | 175,000 | 324,168 | ||||||
#Gourmet Kineya Co., Ltd. | 67,000 | 300,369 | ||||||
#*GSI Creos Corp. | 194,000 | 233,825 | ||||||
#Gulliver International Co., Ltd. | 14,910 | 728,614 | ||||||
Gunze, Ltd. | 673,000 | 2,336,742 | ||||||
H2O Retailing Corp. | 276,000 | 1,807,983 | ||||||
Hakuyosha Co., Ltd. | 88,000 | 258,183 | ||||||
Happinet Corp. | 36,100 | 404,569 | ||||||
Haruyama Trading Co., Ltd. | 49,900 | 195,850 | ||||||
#*Haseko Corp. | 3,508,000 | 3,009,187 | ||||||
Heiwa Corp. | 138,100 | 1,737,999 | ||||||
Hiday Hidaka Corp. | 14,800 | 228,419 | ||||||
Hikari Tsushin, Inc. | 87,500 | 1,649,091 | ||||||
Himaraya Co., Ltd. | 35,900 | 156,796 | ||||||
HIS Co., Ltd. | 97,500 | 2,077,400 | ||||||
Hitachi Koki Co., Ltd. | 168,000 | 1,425,127 | ||||||
#Honeys Co., Ltd. | 28,160 | 391,321 | ||||||
Horipro, Inc. | 47,000 | 366,063 | ||||||
*Hoshizaki Electric Co., Ltd. | 55,000 | 1,082,728 | ||||||
*I Metal Technology Co., Ltd. | 150,000 | 244,057 | ||||||
#Ichibanya Co., Ltd. | 10,800 | 302,689 | ||||||
Ichikawa Co., Ltd. | 63,000 | 99,740 | ||||||
#*Ichikoh Industries, Ltd. | 289,000 | 525,403 | ||||||
#Ikyu Corp. | 406 | 158,762 | ||||||
#Imasen Electric Industrial Co., Ltd. | 54,400 | 664,074 | ||||||
Imperial Hotel, Ltd. | 10,250 | 241,822 | ||||||
*Impress Holdings, Inc. | 112,400 | 175,971 | ||||||
Intage, Inc. | 6,600 | 131,482 | ||||||
Ishizuka Glass Co., Ltd. | 109,000 | 181,395 | ||||||
*Izuhakone Railway Co., Ltd. | 300 | 20,132 | ||||||
#*Izutsuya Co., Ltd. | 350,000 | 229,922 | ||||||
*Janome Sewing Machine Co., Ltd. | 242,000 | 153,571 | ||||||
Japan Vilene Co., Ltd. | 132,000 | 639,611 | ||||||
Japan Wool Textile Co., Ltd. (The) | 295,000 | 2,256,324 |
19
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Consumer Discretionary — (Continued) | ||||||||
#Jeans Mate Corp. | 38,208 | $ | 74,296 | |||||
*Jidosha Buhin Kogyo Co., Ltd. | 82,000 | 318,823 | ||||||
#Joban Kosan Co., Ltd. | 221,000 | 302,330 | ||||||
Joshin Denki Co., Ltd. | 196,000 | 1,816,272 | ||||||
Juntendo Co., Ltd. | 31,000 | 45,182 | ||||||
#*JVC Kenwood Holdings, Inc. | 247,730 | 907,040 | ||||||
Kabuki-Za Co., Ltd. | 39,000 | 1,705,145 | ||||||
#Kadokawa Holdings, Inc. | 85,100 | 1,994,935 | ||||||
Kanto Auto Works, Ltd. | 160,600 | 1,031,042 | ||||||
#*Kappa Create Co., Ltd. | 21,700 | 479,334 | ||||||
Kasai Kogyo Co., Ltd. | 119,000 | 567,752 | ||||||
Kawai Musical Instruments Manufacturing Co., Ltd. | 256,000 | 369,135 | ||||||
#*Kawashima Selkon Textiles Co., Ltd. | 323,000 | 176,224 | ||||||
Kayaba Industry Co., Ltd. | 660,000 | 3,870,694 | ||||||
Keihin Corp. | 120,700 | 2,569,547 | ||||||
#Keiyo Co., Ltd. | 164,900 | 795,422 | ||||||
Kentucky Fried Chicken Japan, Ltd. | 78,000 | 1,717,730 | ||||||
#Kimoto Co., Ltd. | 19,400 | 142,782 | ||||||
#*Kinki Nippon Tourist Co., Ltd. | 104,000 | 91,647 | ||||||
#Kinugawa Rubber Industrial Co., Ltd. | 198,000 | 817,859 | ||||||
#Kisoji Co., Ltd. | 85,300 | 1,736,559 | ||||||
Koekisha Co., Ltd. | 13,600 | 211,472 | ||||||
Kohnan Shoji Co., Ltd. | 91,600 | 1,059,431 | ||||||
#Kojima Co., Ltd. | 103,700 | 500,567 | ||||||
Komatsu Seiren Co., Ltd. | 145,000 | 551,126 | ||||||
Komeri Co., Ltd. | 102,700 | 2,133,269 | ||||||
Konaka Co., Ltd. | 104,960 | 206,837 | ||||||
Kourakuen Corp. | 12,100 | 168,671 | ||||||
K’s Holdings Corp. | 156,927 | 3,899,809 | ||||||
KU Holdings Co., Ltd. | 68,200 | 254,230 | ||||||
Kura Corp. | 54,800 | 872,696 | ||||||
Kurabo Industries, Ltd. | 856,000 | 1,319,530 | ||||||
Kuraudia Co., Ltd. | 4,800 | 70,656 | ||||||
Kuroganeya Co., Ltd. | 14,000 | 54,274 | ||||||
#Kyoritsu Maintenance Co., Ltd. | 46,160 | 604,763 | ||||||
Kyoto Kimono Yuzen Co., Ltd. | 55,700 | 606,076 | ||||||
Kyowa Leather Cloth Co., Ltd. | 73,500 | 254,559 | ||||||
#*Laox Co., Ltd. | 706,000 | 508,885 | ||||||
#*Look, Inc. | 201,000 | 290,684 | ||||||
*Mamiya-Op Co., Ltd. | 285,000 | 243,636 | ||||||
Marche Corp. | 23,000 | 186,147 | ||||||
#Mars Engineering Corp. | 41,000 | 644,250 | ||||||
*Maruei Department Store Co., Ltd. | 142,000 | 132,458 | ||||||
Maruzen Co., Ltd. | 46,000 | 253,945 | ||||||
#*Matsuya Co., Ltd. | 151,800 | 820,141 | ||||||
Matsuya Foods Co., Ltd. | 50,900 | 789,806 | ||||||
Megane TOP Co., Ltd. | 35,100 | 386,490 | ||||||
Meiko Network Japan Co., Ltd. | 13,000 | 108,350 | ||||||
Meiwa Industry Co., Ltd. | 37,000 | 50,413 | ||||||
*Mikuni Corp. | 108,000 | 180,718 | ||||||
#*Misawa Homes Co., Ltd. | 99,100 | 372,334 | ||||||
#Misawa Resort Co., Ltd. | 187,000 | 348,624 | ||||||
*Mitsuba Corp. | 143,690 | 922,623 | ||||||
Mitsui Home Co., Ltd. | 146,000 | 654,955 | ||||||
#Mizuno Corp. | 414,000 | 1,770,545 | ||||||
#MOS Food Services, Inc. | 109,500 | 1,939,570 | ||||||
MR MAX Corp. | 123,800 | 397,442 | ||||||
#Musashi Seimitsu Industry Co., Ltd. | 69,200 | 1,650,097 | ||||||
*Naigai Co., Ltd. | 2,705,000 | 1,543,949 | ||||||
Nexyz Corp. | 1,920 | 69,332 | ||||||
Nice Holdings, Inc. | 327,000 | 684,633 |
20
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Consumer Discretionary — (Continued) | ||||||||
Nidec Copal Corp. | 85,500 | $ | 1,252,582 | |||||
#Nidec-Tosok Corp. | 122,000 | 1,238,797 | ||||||
#Nifco, Inc. | 162,700 | 4,093,473 | ||||||
Nihon Tokushu Toryo Co., Ltd. | 56,000 | 213,175 | ||||||
#*Nippon Columbia Co., Ltd. | 426,000 | 121,266 | ||||||
Nippon Felt Co., Ltd. | 67,200 | 309,813 | ||||||
#*Nippon Piston Ring Co., Ltd. | 277,000 | 548,446 | ||||||
Nippon Seiki Co., Ltd. | 148,400 | 1,500,027 | ||||||
Nishimatsuya Chain Co., Ltd. | 220,900 | 2,121,601 | ||||||
Nissan Shatai Co., Ltd. | 344,023 | 2,666,450 | ||||||
Nissen Holdings Co., Ltd. | 179,000 | 772,875 | ||||||
Nissin Kogyo Co., Ltd. | 123,700 | 2,103,995 | ||||||
Nittan Valve Co., Ltd. | 82,800 | 262,055 | ||||||
*Nitto Kako Co., Ltd. | 98,000 | 64,403 | ||||||
*Noritsu Koki Co., Ltd. | 85,400 | 484,769 | ||||||
Omikenshi Co., Ltd. | 127,000 | 72,419 | ||||||
Onward Holdings Co., Ltd. | 367,000 | 2,741,678 | ||||||
Pacific Industrial Co., Ltd. | 181,000 | 715,147 | ||||||
Pal Co., Ltd. | 10,050 | 292,957 | ||||||
PanaHome Corp. | 383,200 | 2,337,196 | ||||||
Parco Co., Ltd. | 258,500 | 1,990,581 | ||||||
#Paris Miki Holdings, Inc. | 152,500 | 1,221,244 | ||||||
PGM Holdings K.K. | 1,579 | 1,033,486 | ||||||
#*PIA Corp. | 28,800 | 237,755 | ||||||
Piolax, Inc. | 44,500 | 890,634 | ||||||
#*Pioneer Electronic Corp. | 771,500 | 2,661,869 | ||||||
Plenus Co., Ltd. | 62,900 | 908,894 | ||||||
Point, Inc. | 48,700 | 2,033,121 | ||||||
*Press Kogyo Co., Ltd. | 375,000 | 1,414,703 | ||||||
Resorttrust, Inc. | 129,308 | 2,003,515 | ||||||
#Rhythm Watch Co., Ltd. | 443,000 | 720,555 | ||||||
Right On Co., Ltd. | 67,325 | 282,599 | ||||||
Riken Corp. | 345,000 | 1,166,251 | ||||||
#Ringer Hut Co., Ltd. | 67,800 | 794,040 | ||||||
#Riso Kyoiku Co., Ltd. | 5,920 | 273,920 | ||||||
Roland Corp. | 88,300 | 914,398 | ||||||
#Round One Corp. | 120,700 | 448,695 | ||||||
#Royal Holdings Co., Ltd. | 130,600 | 1,310,467 | ||||||
#Ryohin Keikaku Co., Ltd. | 77,300 | 2,743,376 | ||||||
#*Sagami Chain Co., Ltd. | 77,000 | 447,052 | ||||||
#*Sagami Co., Ltd. | 225,000 | 304,245 | ||||||
Sagami Rubber Industries Co., Ltd. | 11,000 | 27,222 | ||||||
#Saizeriya Co., Ltd. | 139,800 | 2,644,010 | ||||||
#*Sakai Ovex Co., Ltd. | 205,000 | 286,950 | ||||||
#Sanden Corp. | 470,000 | 1,894,338 | ||||||
Sanei-International Co., Ltd. | 2,300 | 29,336 | ||||||
Sangetsu Co., Ltd. | 31,025 | 676,943 | ||||||
Sankyo Seiko Co., Ltd. | 21,000 | 63,714 | ||||||
Sanoh Industrial Co., Ltd. | 114,900 | 880,536 | ||||||
Sanrio Co., Ltd. | 181,700 | 3,871,427 | ||||||
Sanyo Housing Nagoya Co., Ltd. | 354 | 315,263 | ||||||
#Sanyo Shokai, Ltd. | 421,000 | 1,652,778 | ||||||
Scroll Corp. | 77,300 | 295,398 | ||||||
#*Seiko Holdings Corp. | 391,407 | 1,321,735 | ||||||
Seiren Co., Ltd. | 213,200 | 1,361,877 | ||||||
Senshukai Co., Ltd. | 157,800 | 881,525 | ||||||
*Seven Seas Holdings Co., Ltd. | 776,000 | 192,936 | ||||||
Shikibo, Ltd. | 497,000 | 635,995 | ||||||
Shimachu Co., Ltd. | 145,700 | 2,985,858 | ||||||
Shimojima Co., Ltd. | 7,600 | 105,133 | ||||||
Shinyei Kaisha | 96,000 | 150,596 |
21
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Consumer Discretionary — (Continued) | ||||||||
Shiroki Corp. | 285,000 | $ | 763,879 | |||||
Shobunsha Publications, Inc. | 342,100 | 2,405,904 | ||||||
#Shochiku Co., Ltd. | 385,400 | 2,423,986 | ||||||
Shoei Co., Ltd. | 1,600 | 14,482 | ||||||
*Showa Corp. | 230,200 | 1,531,786 | ||||||
#SKY Perfect JSAT Holdings, Inc. | 4,835 | 1,598,147 | ||||||
SNT Corp. | 93,800 | 272,117 | ||||||
Soft99 Corp. | 71,500 | 422,762 | ||||||
Sotoh Co., Ltd. | 49,700 | 511,490 | ||||||
SPK Corp. | 16,800 | 226,469 | ||||||
SRI Sports, Ltd. | 12 | 13,059 | ||||||
St Marc Holdings Co., Ltd. | 36,000 | 1,269,223 | ||||||
Studio Alice Co., Ltd. | 20,200 | 168,531 | ||||||
#Suminoe Textile Co., Ltd. | 257,000 | 417,665 | ||||||
Sumitomo Forestry Co., Ltd. | 313,466 | 2,315,454 | ||||||
*Suzutan Co., Ltd. | 9,500 | 16,380 | ||||||
*SxL Corp. | 493,000 | 238,723 | ||||||
T. RAD Co., Ltd. | 253,000 | 886,861 | ||||||
#Tac Co., Ltd. | 8,600 | 36,860 | ||||||
Tachikawa Corp. | 50,800 | 233,750 | ||||||
Tachi-S Co., Ltd. | 108,140 | 1,576,548 | ||||||
Tact Home Co., Ltd. | 173 | 140,215 | ||||||
#Taiho Kogyo Co., Ltd. | 94,600 | 734,208 | ||||||
Takamatsu Construction Group Co., Ltd. | 86,400 | 1,120,539 | ||||||
Taka-Q Co., Ltd. | 51,500 | 88,797 | ||||||
*Take & Give Needs Co., Ltd. | 1,380 | 86,658 | ||||||
Takihyo Co., Ltd. | 2,000 | 9,659 | ||||||
*Tamron Co., Ltd. | 36,400 | 717,445 | ||||||
#*TASAKI & CO., LTD. | 626,000 | 444,452 | ||||||
Taya Co., Ltd. | 5,000 | 41,082 | ||||||
TBK Co., Ltd. | 72,000 | 274,090 | ||||||
*TDF Corp. | 11,000 | 15,658 | ||||||
#Teikoku Piston Ring Co., Ltd. | 97,900 | 726,803 | ||||||
Teikoku Sen-I Co., Ltd. | 78,000 | 462,965 | ||||||
#Telepark Corp. | 562 | 822,485 | ||||||
*Ten Allied Co., Ltd. | 50,000 | 154,265 | ||||||
Tigers Polymer Corp. | 59,000 | 233,144 | ||||||
*Toabo Corp. | 130,000 | 96,896 | ||||||
Toei Co., Ltd. | 267,000 | 1,103,463 | ||||||
*Tokai Kanko Co., Ltd. | 505,999 | 132,473 | ||||||
Tokai Rubber Industries, Ltd. | 122,200 | 1,427,226 | ||||||
*Tokai Senko K.K. | 243,000 | 199,120 | ||||||
#Token Corp. | 11,740 | 360,529 | ||||||
Tokyo Dome Corp. | 638,200 | 1,592,862 | ||||||
#Tokyo Individualized Educational Institute, Inc. | 81,000 | 248,128 | ||||||
Tokyo Kaikan Co., Ltd. | 12,000 | 48,822 | ||||||
Tokyo Soir Co., Ltd. | 49,000 | 97,503 | ||||||
Tokyo Style Co., Ltd. | 262,700 | 2,089,303 | ||||||
Tokyotokeiba Co., Ltd. | 790,000 | 1,149,582 | ||||||
Tokyu Recreation Co., Ltd. | 77,000 | 487,366 | ||||||
#Tomy Co., Ltd. | 286,393 | 2,200,983 | ||||||
#*Tonichi Carlife Group, Inc. | 246,000 | 201,518 | ||||||
*Topre Corp. | 176,600 | 1,288,019 | ||||||
Toridoll.corp. | 151 | 205,769 | ||||||
*Totenko Co., Ltd. | 57,000 | 89,577 | ||||||
Touei Housing Corp. | 72,740 | 805,031 | ||||||
Tow Co., Ltd. | 5,400 | 30,849 | ||||||
Toyo Tire & Rubber Co., Ltd. | 706,000 | 1,453,180 | ||||||
Toyobo Co., Ltd. | 2,084,000 | 3,473,499 | ||||||
TS Tech Co., Ltd. | 154,200 | 2,523,133 | ||||||
*Tsukamoto Co., Ltd. | 52,000 | 47,816 |
22
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Consumer Discretionary — (Continued) | ||||||||
Tsutsumi Jewelry Co., Ltd. | 47,000 | $ | 1,106,090 | |||||
TV Asahi Corp. | 265 | 373,486 | ||||||
*TV Tokyo Holdings Corp. | 4,500 | 65,037 | ||||||
#Unipres Corp. | 85,800 | 1,481,853 | ||||||
#United Arrows, Ltd. | 60,000 | 820,545 | ||||||
*Unitika, Ltd. | 1,629,000 | 1,354,581 | ||||||
U-Shin, Ltd. | 94,500 | 719,596 | ||||||
*Watabe Wedding Corp. | 29,500 | 291,311 | ||||||
#Watami Food Service Co., Ltd. | 99,500 | 1,818,990 | ||||||
Xebio Co., Ltd. | 86,300 | 1,691,369 | ||||||
Yamatane Corp. | 54,000 | 65,731 | ||||||
Yamato International, Inc. | 29,800 | 126,034 | ||||||
Yellow Hat, Ltd. | 73,700 | 468,352 | ||||||
Yokohama Reito Co., Ltd. | 175,000 | 1,113,953 | ||||||
#Yomiuri Land Co., Ltd. | 229,000 | 770,366 | ||||||
Yonex Co., Ltd. | 40,000 | 289,523 | ||||||
#Yorozu Corp. | 69,500 | 1,181,616 | ||||||
#Yoshinoya Holdings Co., Ltd. | 2,072 | 2,537,083 | ||||||
#Zenrin Co., Ltd. | 124,700 | 1,284,020 | ||||||
#Zensho Co., Ltd. | 282,900 | 2,616,323 | ||||||
Total Consumer Discretionary | 284,909,994 | |||||||
Consumer Staples — (8.6%) | ||||||||
*Aeon Hokkaido Corp. | 400,200 | 1,335,583 | ||||||
Ahjikan Co., Ltd. | 10,500 | 95,539 | ||||||
*Ain Pharmaciez, Inc. | 17,500 | 576,825 | ||||||
Arcs Co., Ltd. | 18,000 | 232,915 | ||||||
#Ariake Japan Co., Ltd. | 99,600 | 1,506,811 | ||||||
Cawachi, Ltd. | 78,900 | 1,394,892 | ||||||
#Chubu Shiryo Co., Ltd. | 89,000 | 525,059 | ||||||
Chuo Gyorui Co., Ltd. | 93,000 | 200,807 | ||||||
Circle K Sunkus Co., Ltd. | 90,200 | 1,278,287 | ||||||
Coca-Cola Central Japan Co., Ltd. | 106,300 | 1,338,243 | ||||||
Cocokara fine, Inc. | 46,160 | 1,000,629 | ||||||
Cosmos Pharmaceutical Corp. | 23,000 | 722,867 | ||||||
CVS Bay Area, Inc. | 51,000 | 61,505 | ||||||
Daikokutenbussan Co., Ltd. | 800 | 28,010 | ||||||
#Dr Ci:Labo Co., Ltd. | 333 | 1,185,791 | ||||||
Dydo Drinco, Inc. | 47,800 | 1,586,843 | ||||||
Echo Trading Co., Ltd. | 11,000 | 105,349 | ||||||
Ensuiko Sugar Refining Co., Ltd. | 103,000 | 176,864 | ||||||
#Fancl Corp. | 152,800 | 2,348,577 | ||||||
#*First Baking Co., Ltd. | 183,000 | 186,841 | ||||||
Fuji Oil Co., Ltd. | 174,300 | 2,502,372 | ||||||
Fujicco Co., Ltd. | 117,600 | 1,440,649 | ||||||
#*Fujiya Co., Ltd. | 474,000 | 818,695 | ||||||
Hagoromo Foods Corp. | 40,000 | 552,049 | ||||||
Harashin Narus Holdings Co., Ltd. | 61,500 | 767,575 | ||||||
#*Hayashikane Sangyo Co., Ltd. | 299,000 | 278,554 | ||||||
#Heiwado Co., Ltd. | 146,600 | 1,805,148 | ||||||
Hohsui Corp. | 120,000 | 135,750 | ||||||
Hokkaido Coca-Cola Bottling Co., Ltd. | 87,000 | 432,849 | ||||||
Hokuto Corp. | 101,600 | 2,378,583 | ||||||
Inageya Co., Ltd. | 175,000 | 1,808,307 | ||||||
#ITO EN, Ltd. | 85,300 | 1,369,297 | ||||||
Itochu-Shokuhin Co., Ltd. | 26,500 | 876,879 | ||||||
Itoham Foods, Inc. | 642,800 | 2,077,231 | ||||||
Izumiya Co., Ltd. | 292,000 | 988,528 | ||||||
J-Oil Mills, Inc. | 457,000 | 1,208,286 | ||||||
#Kameda Seika Co., Ltd. | 70,000 | 1,439,192 | ||||||
Kasumi Co., Ltd. | 196,100 | 998,789 |
23
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Consumer Staples — (Continued) | ||||||||
Kato Sangyo Co., Ltd. | 104,800 | $ | 1,495,531 | |||||
#Key Coffee, Inc. | 75,000 | 1,281,948 | ||||||
Kirindo Co., Ltd. | 28,300 | 132,899 | ||||||
Kose Corp. | 43,500 | 1,044,096 | ||||||
Kyodo Shiryo Co., Ltd. | 330,000 | 369,566 | ||||||
Kyokuyo Co., Ltd. | 370,000 | 727,774 | ||||||
#Life Corp. | 183,400 | 2,633,128 | ||||||
#Lion Corp. | 3,000 | 16,192 | ||||||
#Mandom Corp. | 81,100 | 2,210,821 | ||||||
Marudai Food Co., Ltd. | 443,000 | 1,265,498 | ||||||
#Maruetsu, Inc. (The) | 362,000 | 1,281,409 | ||||||
Maruha Nichiro Holdings, Inc. | 1,589,069 | 2,612,024 | ||||||
*Maruya Co., Ltd. | 10,400 | 17,363 | ||||||
#Matsumotokiyoshi Holdings Co., Ltd. | 14,600 | 274,079 | ||||||
*Maxvalu Tohok Co., Ltd. | 18,200 | 136,206 | ||||||
Maxvalu Tokai Co., Ltd. | 59,400 | 756,570 | ||||||
#Megmilk Snow Brand Co., Ltd. | 178,400 | 3,151,536 | ||||||
#Meito Sangyo Co., Ltd. | 54,900 | 732,467 | ||||||
Mercian Corp. | 350,000 | 669,200 | ||||||
Mikuni Coca-Cola Bottling Co., Ltd. | 166,600 | 1,426,421 | ||||||
#Milbon Co., Ltd. | 42,740 | 1,214,578 | ||||||
Ministop Co., Ltd. | 66,700 | 985,952 | ||||||
#*Mitsui Sugar Co., Ltd. | 434,850 | 1,615,941 | ||||||
Miyoshi Oil & Fat Co., Ltd. | 261,000 | 388,814 | ||||||
Morinaga & Co., Ltd. | 886,000 | 2,025,094 | ||||||
Morinaga Milk Industry Co., Ltd. | 843,000 | 3,439,085 | ||||||
Morishita Jinton Co., Ltd. | 47,800 | 134,240 | ||||||
Morozoff, Ltd. | 108,000 | 332,538 | ||||||
#Nagatanien Co., Ltd. | 111,000 | 1,074,473 | ||||||
#Nakamuraya Co., Ltd. | 203,000 | 943,880 | ||||||
#Nichimo Co., Ltd. | 112,000 | 175,026 | ||||||
Nichirei Corp. | 531,000 | 2,312,728 | ||||||
#Nihon Chouzai Co., Ltd. | 22,380 | 780,260 | ||||||
Niitaka Co., Ltd. | 7,260 | 83,216 | ||||||
Nippon Beet Sugar Manufacturing Co., Ltd. | 513,000 | 1,180,031 | ||||||
Nippon Flour Mills Co., Ltd. | 557,000 | 2,664,872 | ||||||
*Nippon Formula Feed Manufacturing Co., Ltd. | 267,000 | 298,940 | ||||||
Nippon Suisan Kaisha, Ltd. | 660,200 | 2,100,206 | ||||||
Nisshin Oillio Group, Ltd. (The) | 525,000 | 2,310,539 | ||||||
Nissin Sugar Manufacturing Co., Ltd. | 149,000 | 320,096 | ||||||
Nitto Flour Milling Co., Ltd. | 64,000 | 234,939 | ||||||
Noevir Co., Ltd. | 1,900 | 21,797 | ||||||
#Oenon Holdings, Inc. | 247,000 | 534,151 | ||||||
#Oie Sangyo Co., Ltd. | 20,900 | 174,677 | ||||||
Okuwa Co., Ltd. | 111,000 | 1,044,803 | ||||||
Olympic Corp. | 65,000 | 469,783 | ||||||
Pietro Co., Ltd. | 10,300 | 105,298 | ||||||
Pigeon Corp. | 67,800 | 2,020,328 | ||||||
Poplar Co., Ltd. | 25,760 | 145,347 | ||||||
Prima Meat Packers, Ltd. | 671,000 | 691,226 | ||||||
#Riken Vitamin Co., Ltd. | 79,200 | 2,480,154 | ||||||
#Rock Field Co., Ltd. | 47,000 | 715,138 | ||||||
Ryoshoku, Ltd. | 96,400 | 2,075,159 | ||||||
S Foods, Inc. | 70,000 | 546,170 | ||||||
#Sakata Seed Corp. | 157,400 | 2,016,256 | ||||||
*San-A Co., Ltd. | 4,500 | 179,196 | ||||||
Shoei Foods Corp. | 44,000 | 274,457 | ||||||
Showa Sangyo Co., Ltd. | 502,000 | 1,347,761 | ||||||
#Sogo Medical Co., Ltd. | 23,000 | 590,693 | ||||||
Sonton Food Industry Co., Ltd. | 43,000 | 342,352 | ||||||
Starzen Co., Ltd. | 279,000 | 745,377 |
24
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Consumer Staples — (Continued) | ||||||||
Sugi Holdings Co., Ltd. | 60,500 | $ | 1,351,773 | |||||
Takara Holdings, Inc. | 459,000 | 2,614,592 | ||||||
Three F Co., Ltd. | 17,700 | 103,281 | ||||||
Tobu Store Co., Ltd. | 215,000 | 609,648 | ||||||
Toho Co., Ltd./Hyogo | 158,000 | 565,891 | ||||||
Tohto Suisan Co., Ltd. | 120,000 | 160,893 | ||||||
Torigoe Co., Ltd. (The) | 84,500 | 735,674 | ||||||
#Toyo Sugar Refining Co., Ltd. | 157,000 | 175,520 | ||||||
Tsukiji Uoichiba Co., Ltd. | 57,000 | 77,499 | ||||||
Tsuruha Holdings, Inc. | 46,100 | 1,981,650 | ||||||
*Unicafe, Inc. | 15,060 | 68,915 | ||||||
*Unihair Co., Ltd. | 133,550 | 1,563,485 | ||||||
UNY Co., Ltd. | 57,200 | 476,660 | ||||||
Uoriki Co., Ltd. | 400 | 4,948 | ||||||
Valor Co., Ltd. | 167,200 | 1,241,707 | ||||||
Warabeya Nichiyo Co., Ltd. | 51,360 | 605,668 | ||||||
Yaizu Suisankagaku Industry Co., Ltd. | 41,000 | 451,364 | ||||||
Yaoko Co., Ltd. | 39,500 | 1,080,385 | ||||||
Yomeishu Seizo Co., Ltd. | 100,000 | 909,459 | ||||||
Yonekyu Corp. | 96,000 | 717,821 | ||||||
Yuasa Funashoku Co., Ltd. | 112,000 | 260,689 | ||||||
#Yukiguni Maitake Co., Ltd. | 104,256 | 674,497 | ||||||
Yutaka Foods Corp. | 6,000 | 113,273 | ||||||
Total Consumer Staples | 117,682,561 | |||||||
Energy — (0.9%) | ||||||||
*AOC Holdings, Inc. | 139,600 | 613,410 | ||||||
BP Castrol K.K. | 69,800 | 267,477 | ||||||
#*Fuji Kosan Co., Ltd. | 264,000 | 195,844 | ||||||
Itochu Enex Co., Ltd. | 290,000 | 1,332,307 | ||||||
Japan Oil Transportation Co., Ltd. | 79,000 | 175,620 | ||||||
Kanto Natural Gas Development Co., Ltd. | 147,000 | 764,480 | ||||||
Kyoei Tanker Co., Ltd. | 115,000 | 189,457 | ||||||
Mitsuuroko Co., Ltd. | 167,500 | 913,517 | ||||||
#Modec, Inc. | 73,200 | 1,044,594 | ||||||
#Nippon Gas Co., Ltd. | 148,900 | 1,997,779 | ||||||
Nippon Seiro Co., Ltd. | 64,000 | 193,337 | ||||||
Sala Corp. | 129,500 | 655,095 | ||||||
San-Ai Oil Co., Ltd. | 259,000 | 1,092,340 | ||||||
#Shinko Plantech Co., Ltd. | 154,000 | 1,427,674 | ||||||
Sinanen Co., Ltd. | 239,000 | 910,328 | ||||||
*Toa Oil Co., Ltd. | 360,000 | 407,058 | ||||||
Toyo Kanetsu K.K. | 466,000 | 716,613 | ||||||
Total Energy | 12,896,930 | |||||||
Financials — (9.1%) | ||||||||
Aichi Bank, Ltd. (The) | 35,900 | 2,009,632 | ||||||
#Airport Facilities Co., Ltd. | 120,570 | 474,986 | ||||||
Akita Bank, Ltd. (The) | 685,400 | 1,932,691 | ||||||
Aomori Bank, Ltd. (The) | 628,000 | 1,529,155 | ||||||
*Arealink Co., Ltd. | 2,544 | 93,409 | ||||||
#Awa Bank, Ltd. (The) | 227,000 | 1,543,182 | ||||||
Bank of Iwate, Ltd. (The) | 57,200 | 2,417,429 | ||||||
Bank of Nagoya, Ltd. (The) | 503,297 | 1,522,771 | ||||||
Bank of Okinawa, Ltd. (The) | 88,100 | 3,389,540 | ||||||
Bank of Saga, Ltd. (The) | 591,000 | 1,554,746 | ||||||
Bank of the Ryukyus, Ltd. | 126,180 | 1,464,278 | ||||||
#*Cedyna Financial Corp. | 589,850 | 818,536 | ||||||
Century Tokyo Leasing Corp. | 260,590 | 3,759,430 | ||||||
*Chiba Kogyo Bank, Ltd. (The) | 169,600 | 942,808 | ||||||
Chukyo Bank, Ltd. (The) | 667,000 | 1,970,300 |
25
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Financials — (Continued) | ||||||||
Daibiru Corp. | 178,000 | $ | 1,375,406 | |||||
Daiko Clearing Services Corp. | 49,700 | 153,853 | ||||||
#*Daikyo, Inc. | 948,000 | 1,472,575 | ||||||
Daisan Bank, Ltd. (The) | 621,000 | 1,516,623 | ||||||
#Daishi Bank, Ltd. (The) | 717,000 | 2,216,067 | ||||||
Daito Bank, Ltd. (The) | 485,000 | 301,226 | ||||||
Ehime Bank, Ltd. (The) | 608,000 | 1,585,774 | ||||||
Eighteenth Bank, Ltd. (The) | 628,000 | 1,555,573 | ||||||
FIDEA Holdings Co., Ltd. | 97,400 | 203,286 | ||||||
*Fuji Fire & Marine Insurance Co., Ltd. | 547,000 | 676,692 | ||||||
Fukui Bank, Ltd. (The) | 841,000 | 2,593,369 | ||||||
Fukushima Bank, Ltd. | 836,000 | 445,652 | ||||||
Fuyo General Lease Co., Ltd. | 80,800 | 2,293,027 | ||||||
Goldcrest Co., Ltd. | 64,820 | 1,400,115 | ||||||
Heiwa Real Estate Co., Ltd. | 252,500 | 667,231 | ||||||
Higashi-Nippon Bank, Ltd. | 626,000 | 1,123,907 | ||||||
#Higo Bank, Ltd. (The) | 365,000 | 1,703,651 | ||||||
Hokkoku Bank, Ltd. (The) | 714,000 | 2,874,405 | ||||||
Hokuetsu Bank, Ltd. (The) | 875,000 | 1,540,221 | ||||||
Hyakugo Bank, Ltd. (The) | 656,609 | 2,764,094 | ||||||
Hyakujishi Bank, Ltd. (The) | 587,000 | 2,110,605 | ||||||
IBJ Leasing Co., Ltd. | 82,100 | 1,725,512 | ||||||
Ichiyoshi Securities Co., Ltd. | 156,000 | 883,046 | ||||||
Iida Home Max | 48,100 | 370,131 | ||||||
*Japan Asia Investment Co., Ltd. | 4,000 | 2,286 | ||||||
Juroku Bank, Ltd. | 582,000 | 1,758,161 | ||||||
#*kabu.com Securities Co., Ltd. | 272,400 | 941,927 | ||||||
Kagoshima Bank, Ltd. (The) | 206,000 | 1,231,903 | ||||||
Keihanshin Real Estate Co., Ltd. | 13,700 | 59,531 | ||||||
Keiyo Bank, Ltd. (The) | 98,000 | 443,918 | ||||||
#*Kenedix, Inc. | 3,527 | 712,510 | ||||||
Kirayaka Bank, Ltd. | 98,000 | 87,797 | ||||||
Kita-Nippon Bank, Ltd. (The) | 29,706 | 712,327 | ||||||
Kiyo Holdings, Inc. | 2,168,900 | 2,917,101 | ||||||
#Kobayashi Yoko Co., Ltd. | 265,200 | 645,444 | ||||||
#Kosei Securities Co., Ltd. | 295,000 | 244,663 | ||||||
#Kyokuto Securities Co., Ltd. | 44,500 | 320,730 | ||||||
#*Leopalace21 Corp. | 391,985 | 441,461 | ||||||
Marusan Securities Co., Ltd. | 256,000 | 1,294,355 | ||||||
Michinoku Bank, Ltd. (The) | 524,000 | 1,065,548 | ||||||
Minato Bank, Ltd. (The) | 1,025,000 | 1,512,157 | ||||||
Mito Securities Co., Ltd. | 254,000 | 368,185 | ||||||
Miyazaki Bank, Ltd. (The) | 540,000 | 1,368,936 | ||||||
*Mizuho Investors Securities Co., Ltd. | 1,433,500 | 1,314,701 | ||||||
#*Monex Group, Inc. | 4,629 | 1,098,037 | ||||||
Musashino Bank, Ltd. | 105,600 | 3,066,201 | ||||||
Nagano Bank, Ltd. (The) | 314,000 | 554,243 | ||||||
Nanto Bank, Ltd. (The) | 63,000 | 329,700 | ||||||
*New Real Property K.K. | 43,900 | — | ||||||
#*NIS Group Co., Ltd. | 1,015,125 | 75,587 | ||||||
Nisshin Fudosan Co. | 99,000 | 698,933 | ||||||
Ogaki Kyoritsu Bank, Ltd. (The) | 845,000 | 2,371,885 | ||||||
Oita Bank, Ltd. (The) | 529,900 | 1,669,101 | ||||||
Okasan Securities Group, Inc. | 604,000 | 1,955,357 | ||||||
Ricoh Leasing Co., Ltd. | 75,300 | 1,871,358 | ||||||
#Risa Partners, Inc. | 491 | 177,360 | ||||||
San-in Godo Bank, Ltd. (The) | 303,000 | 2,096,454 | ||||||
Sankei Building Co., Ltd. | 165,300 | 902,810 | ||||||
Shikoku Bank, Ltd. | 750,000 | 2,101,589 | ||||||
#Shimizu Bank, Ltd. | 32,100 | 1,309,975 | ||||||
#Sumitomo Real Estate Sales Co., Ltd. | 33,200 | 1,487,638 |
26
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Financials — (Continued) | ||||||||
#*Sun Frontier Fudousan Co., Ltd. | 208 | $ | 22,759 | |||||
Takagi Securities Co., Ltd. | 206,000 | 207,859 | ||||||
TOC Co., Ltd. | 417,650 | 1,722,432 | ||||||
Tochigi Bank, Ltd. | 424,000 | 1,757,197 | ||||||
#Toho Bank, Ltd. | 808,200 | 2,145,473 | ||||||
Toho Real Estate Co., Ltd. | 140,700 | 805,573 | ||||||
Tohoku Bank, Ltd. (The) | 389,000 | 624,390 | ||||||
Tokai Tokyo Financial Holdings, Inc. | 898,000 | 3,120,888 | ||||||
Tokyo Rakutenchi Co., Ltd. | 222,000 | 777,647 | ||||||
Tokyo Tatemono Co., Ltd. | 908,000 | 3,658,692 | ||||||
*Tokyo Tatemono Real Estate Sales Co., Ltd. | 2,300 | 6,212 | ||||||
Tokyo Theatres Co, Inc. | 290,000 | 360,870 | ||||||
Tokyo Tomin Bank, Ltd. | 110,100 | 1,038,866 | ||||||
#Tokyu Livable, Inc. | 98,500 | 1,135,745 | ||||||
Tomato Bank, Ltd. | 397,000 | 690,090 | ||||||
*TOMONY Holdings, Inc. | 536,550 | 1,865,150 | ||||||
Tottori Bank, Ltd. | 328,000 | 684,898 | ||||||
Towa Bank, Ltd. | 884,000 | 809,779 | ||||||
#Toyo Securities Co., Ltd. | 307,000 | 449,682 | ||||||
*Tsukuba Bank, Ltd. | 188,800 | 565,526 | ||||||
Yachiyo Bank, Ltd. (The) | 1,400 | 31,361 | ||||||
Yamagata Bank, Ltd. | 584,500 | 2,535,077 | ||||||
#Yamanashi Chuo Bank, Ltd. | 457,000 | 1,762,821 | ||||||
Total Financials | 124,963,790 | |||||||
Health Care — (3.9%) | ||||||||
Aloka Co., Ltd. | 83,300 | 491,051 | ||||||
As One Corp. | 68,868 | 1,262,057 | ||||||
#*Asia Alliance Holdings Co., Ltd. | 380,800 | 42,325 | ||||||
ASKA Pharmaceutical Co., Ltd. | 101,000 | 640,609 | ||||||
BML, Inc. | 33,200 | 826,200 | ||||||
CMIC Co., Ltd. | 710 | 203,017 | ||||||
Create Medic Co., Ltd. | 28,000 | 280,524 | ||||||
Eiken Chemical Co., Ltd. | 78,900 | 800,923 | ||||||
#EPS Co., Ltd. | 158 | 388,904 | ||||||
FALCO SD HOLDINGS Co., Ltd. | 34,300 | 255,766 | ||||||
#Fuso Pharmaceutical Industries, Ltd. | 320,000 | 827,024 | ||||||
Hitachi Medical Corp. | 81,000 | 518,731 | ||||||
Hogy Medical Co., Ltd. | 49,000 | 2,230,441 | ||||||
Iwaki & Co., Ltd. | 55,000 | 117,598 | ||||||
Japan Medical Dynamic Marketing, Inc. | 44,900 | 94,462 | ||||||
#Jeol, Ltd. | 258,000 | 727,643 | ||||||
JMS Co., Ltd. | 126,000 | 455,824 | ||||||
Kaken Pharmaceutical Co., Ltd. | 335,000 | 3,670,535 | ||||||
Kawanishi Holdings, Ltd. | 7,400 | 67,252 | ||||||
Kawasumi Laboratories, Inc. | 45,000 | 271,581 | ||||||
#Kissei Pharmaceutical Co., Ltd. | 87,100 | 1,733,702 | ||||||
#KYORIN Holdings, Inc. | 178,000 | 2,764,121 | ||||||
#*M3, Inc. | 297 | 1,360,379 | ||||||
#Mochida Pharmaceutical Co., Ltd. | 167,000 | 1,813,170 | ||||||
Nagaileben Co., Ltd. | 6,200 | 146,946 | ||||||
#Nichii Gakkan Co. | 218,400 | 1,880,401 | ||||||
Nihon Kohden Corp. | 151,200 | 2,874,009 | ||||||
Nikkiso Co., Ltd. | 237,000 | 1,661,367 | ||||||
#Nippon Chemiphar Co., Ltd. | 131,000 | 371,343 | ||||||
Nippon Shinyaku Co., Ltd. | 229,000 | 3,248,584 | ||||||
Nipro Corp. | 180,100 | 3,671,774 | ||||||
Nissui Pharmaceutical Co., Ltd. | 66,100 | 542,668 | ||||||
#Paramount Bed Co., Ltd. | 82,000 | 2,087,522 | ||||||
Rion Co., Ltd. | 5,000 | 29,540 | ||||||
Rohto Pharmaceutical Co., Ltd. | 80,000 | 991,106 |
27
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Health Care — (Continued) | ||||||||
#Sawai Pharmaceutical Co., Ltd. | 41,500 | $ | 3,627,965 | |||||
Seikagaku Corp. | 173,000 | 1,804,738 | ||||||
#Shin Nippon Biomedical Laboratories, Ltd. | 24,700 | 110,141 | ||||||
Ship Healthcare Holdings, Inc. | 94,000 | 961,466 | ||||||
Toho Holdings Co., Ltd. | 132,000 | 1,847,158 | ||||||
#Torii Pharmaceutical Co., Ltd. | 62,700 | 1,236,002 | ||||||
#Towa Pharmaceutical Co., Ltd. | 42,300 | 2,302,224 | ||||||
Vital KSK Holdings, Inc. | 142,400 | 1,087,349 | ||||||
#Wakamoto Pharmaceutical Co., Ltd. | 100,000 | 267,744 | ||||||
#ZERIA Pharmaceutical Co., Ltd. | 105,000 | 1,294,336 | ||||||
Total Health Care | 53,888,222 | |||||||
Industrials — (22.7%) | ||||||||
*A&A Material Corp. | 235,000 | 119,278 | ||||||
Advan Co., Ltd. | 99,400 | 688,919 | ||||||
*Advanex, Inc. | 73,000 | 70,656 | ||||||
Aeon Delight Co., Ltd. | 81,100 | 1,503,950 | ||||||
Aica Kogyo Co., Ltd. | 233,500 | 2,623,516 | ||||||
#Aichi Corp. | 132,000 | 472,076 | ||||||
Aida Engineering, Ltd. | 261,000 | 864,165 | ||||||
Airtech Japan, Ltd. | 19,900 | 95,106 | ||||||
Alps Logistics Co., Ltd. | 52,500 | 566,232 | ||||||
#Altech Co., Ltd. | 23,000 | 62,337 | ||||||
Altech Corp. | 37,150 | 287,701 | ||||||
#Amano Corp. | 268,700 | 2,211,986 | ||||||
Ando Corp. | 257,000 | 323,029 | ||||||
Anest Iwata Corp. | 149,000 | 410,554 | ||||||
#Asahi Diamond Industrial Co., Ltd. | 228,000 | 4,025,736 | ||||||
Asahi Holdings, Inc. | 110,750 | 2,435,127 | ||||||
Asahi Kogyosha Co., Ltd. | 99,000 | 411,179 | ||||||
*Asanuma Corp. | 977,000 | 595,072 | ||||||
Asia Air Survey Co., Ltd. | 32,000 | 83,590 | ||||||
Asunaro Aoki Construction Co., Ltd. | 166,500 | 743,879 | ||||||
Ataka Construction & Engineering Co., Ltd. | 60,000 | 158,438 | ||||||
Bando Chemical Industries, Ltd. | 332,000 | 1,116,887 | ||||||
Benefit One, Inc. | 3 | 2,336 | ||||||
Biken Techno Corp. | 14,100 | 69,918 | ||||||
Bunka Shutter Co., Ltd. | 227,000 | 496,235 | ||||||
*C&I Holdings Co., Ltd. | 405,500 | 20,344 | ||||||
Central Glass Co., Ltd. | 601,000 | 2,588,334 | ||||||
#Central Security Patrols Co., Ltd. | 44,700 | 422,180 | ||||||
Chudenko Corp. | 130,500 | 1,339,628 | ||||||
Chugai Ro Co., Ltd. | 327,000 | 1,036,950 | ||||||
CKD Corp. | 229,700 | 1,620,333 | ||||||
#Comsys Holdings Corp. | 195,000 | 1,730,759 | ||||||
#Cosel Co., Ltd. | 104,700 | 1,372,719 | ||||||
CTI Engineering Co., Ltd. | 44,000 | 229,135 | ||||||
Dai-Dan Co., Ltd. | 156,000 | 676,488 | ||||||
Daido Kogyo Co., Ltd. | 145,000 | 259,153 | ||||||
#Daifuku Co., Ltd. | 258,500 | 1,228,029 | ||||||
Daihen Corp. | 428,000 | 1,924,027 | ||||||
Daiho Corp. | 878,000 | 676,883 | ||||||
#*Daiichi Chuo K.K. | 367,000 | 832,840 | ||||||
Daiichi Jitsugyo Co., Ltd. | 180,000 | 531,694 | ||||||
#Daiseki Co., Ltd. | 143,463 | 2,713,201 | ||||||
*Daisue Construction Co., Ltd. | 271,500 | 108,203 | ||||||
Daiwa Industries, Ltd. | 169,000 | 743,558 | ||||||
Daiwa Odakyu Construction Co., Ltd. | 63,500 | 149,777 | ||||||
*Danto Holdings Corp. | 475,000 | 430,087 | ||||||
Denyo Co., Ltd. | 90,600 | 546,461 | ||||||
*Dijet Industrial Co., Ltd. | 80,000 | 94,466 |
28
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Industrials — (Continued) | ||||||||
DMW Corp. | 4,800 | $ | 95,886 | |||||
#*Dream Incubator, Inc. | 168 | 110,938 | ||||||
*Duskin Co., Ltd. | 184,400 | 3,241,457 | ||||||
#*Enshu, Ltd. | 142,000 | 117,966 | ||||||
Freesia Macross Corp. | 1,355,000 | 202,331 | ||||||
*Fujisash Co., Ltd. | 49,300 | 18,854 | ||||||
*Fujitec Co., Ltd. | 304,000 | 1,364,590 | ||||||
#Fukuda Corp. | 657,000 | 1,275,490 | ||||||
*Fukusima Industries Corp. | 29,700 | 259,857 | ||||||
#*Fukuyama Transporting Co., Ltd. | 431,400 | 2,135,701 | ||||||
Funai Consulting Co., Ltd. | 99,300 | 609,878 | ||||||
*Furukawa Co., Ltd. | 1,317,000 | 1,359,799 | ||||||
#Furusato Industries, Ltd. | 50,600 | 257,606 | ||||||
Futaba Corp. | 146,800 | 2,579,422 | ||||||
Gecoss Corp. | 113,600 | 410,350 | ||||||
*Hamai Co., Ltd. | 92,000 | 131,257 | ||||||
Hanwa Co., Ltd. | 697,000 | 2,753,079 | ||||||
*Hazama Corp. | 285,800 | 213,020 | ||||||
Hibiya Engineering, Ltd. | 120,300 | 968,506 | ||||||
#Hitachi Cable, Ltd. | 447,000 | 1,065,926 | ||||||
Hitachi Metals Techno, Ltd. | 57,500 | 255,875 | ||||||
Hitachi Tool Engineering, Ltd. | 94,000 | 1,108,152 | ||||||
Hitachi Transport System, Ltd. | 27,400 | 424,188 | ||||||
#Hitachi Zosen Corp. | 2,175,500 | 3,134,938 | ||||||
Hokuetsu Industries Co., Ltd. | 85,000 | 125,720 | ||||||
Hokuriku Electrical Construction Co., Ltd. | 56,000 | 142,161 | ||||||
Hosokawa Micron Corp. | 133,000 | 424,345 | ||||||
#*Howa Machinery, Ltd. | 379,000 | 310,626 | ||||||
Ichiken Co., Ltd. | 87,000 | 103,779 | ||||||
ICHINEN HOLDINGS CO., Ltd. | 71,100 | 317,914 | ||||||
Idec Corp. | 130,900 | 1,098,003 | ||||||
IHI Transport Machinery Co., Ltd. | 73,000 | 299,275 | ||||||
#Iino Kaiun Kaisha, Ltd. | 334,300 | 1,490,238 | ||||||
Inaba Denki Sangyo Co., Ltd. | 82,100 | 2,068,329 | ||||||
Inaba Seisakusho Co., Ltd. | 60,800 | 491,926 | ||||||
Inabata & Co., Ltd. | 195,600 | 978,241 | ||||||
#Inui Steamship Co., Ltd. | 80,800 | 406,039 | ||||||
#*Iseki & Co., Ltd. | 718,000 | 1,746,974 | ||||||
#Ishii Iron Works Co., Ltd. | 110,000 | 174,728 | ||||||
#*Ishikawa Seisakusho, Ltd. | 101,000 | 77,687 | ||||||
Ishikawajima Construction Materials Co., Ltd. | 202,000 | 195,715 | ||||||
Itoki Corp. | 174,200 | 406,203 | ||||||
#Iwatani International Corp. | 847,000 | 2,453,580 | ||||||
#*Jalux, Inc. | 43,300 | 329,639 | ||||||
Jamco Corp. | 82,000 | 626,605 | ||||||
Japan Airport Terminal Co., Ltd. | 111,200 | 1,823,955 | ||||||
#*Japan Bridge Corp. | 25,900 | 48,044 | ||||||
Japan Foundation Engineering Co., Ltd. | 95,600 | 190,958 | ||||||
Japan Kenzai Co., Ltd. | 93,440 | 373,421 | ||||||
Japan Pulp & Paper Co., Ltd. | 449,000 | 1,514,432 | ||||||
Japan Transcity Corp. | 231,000 | 681,688 | ||||||
JFE Shoji Holdings, Inc. | 321,000 | 1,244,261 | ||||||
Kamei Corp. | 118,000 | 483,635 | ||||||
Kanaden Corp. | 118,000 | 632,656 | ||||||
Kanagawa Chuo Kotsu Co., Ltd. | 192,000 | 971,021 | ||||||
Kanamoto Co., Ltd. | 112,000 | 580,912 | ||||||
Kandenko Co., Ltd. | 187,000 | 1,089,788 | ||||||
*Kanematsu Corp. | 1,442,625 | 1,181,115 | ||||||
#*Kanematsu-NNK Corp. | 113,000 | 122,200 | ||||||
Katakura Industries Co., Ltd. | 109,900 | 1,013,284 | ||||||
Kato Works Co., Ltd. | 197,000 | 354,045 |
29
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Industrials — (Continued) | ||||||||
KAWADA TECHNOLOGIES, Inc. | 104,500 | $ | 1,622,374 | |||||
Kawagishi Bridge Works Co., Ltd. | 38,000 | 105,181 | ||||||
Kawasaki Kinkai Kisen Kaisha, Ltd. | 100,000 | 321,096 | ||||||
Keihin Co., Ltd. (The) | 199,000 | 197,716 | ||||||
#Kimura Chemical Plants Co., Ltd. | 59,400 | 372,429 | ||||||
Kinki Sharyo Co., Ltd. | 176,000 | 722,610 | ||||||
Kintetsu World Express, Inc. | 75,700 | 1,756,936 | ||||||
#*Kitagawa Iron Works Co., Ltd. | 335,000 | 466,889 | ||||||
Kitano Construction Corp. | 252,000 | 521,678 | ||||||
Kitazawa Sangyo Co., Ltd. | 54,500 | 96,547 | ||||||
Kitz Corp. | 397,000 | 1,754,186 | ||||||
Kodensha Co., Ltd. (The) | 25,000 | 56,656 | ||||||
Koike Sanso Kogyo Co., Ltd. | 152,000 | 385,716 | ||||||
*Koito Industries, Ltd. | 102,000 | 155,875 | ||||||
Kokuyo Co., Ltd. | 211,325 | 1,615,394 | ||||||
Komai Tekko, Inc. | 109,000 | 186,810 | ||||||
Komatsu Wall Industry Co., Ltd. | 32,900 | 283,862 | ||||||
Komori Corp. | 158,500 | 1,556,292 | ||||||
Kondotec, Inc. | 40,500 | 287,613 | ||||||
*Kosaido Co., Ltd. | 364,000 | 573,914 | ||||||
KRS Corp. | 38,200 | 430,861 | ||||||
*Kumagai Gumi Co., Ltd. | 583,800 | 361,581 | ||||||
#Kuroda Electric Co., Ltd. | 109,900 | 1,275,647 | ||||||
Kyodo Printing Co., Ltd. | 303,000 | 649,037 | ||||||
Kyoei Sangyo Co., Ltd. | 97,000 | 177,011 | ||||||
Kyokuto Boeki Kaisha, Ltd. | 58,000 | 86,380 | ||||||
Kyokuto Kaihatsu Kogyo Co., Ltd. | 146,400 | 504,724 | ||||||
Kyosan Electric Manufacturing Co., Ltd. | 213,000 | 892,715 | ||||||
Kyowa Exeo Corp. | 301,100 | 2,646,568 | ||||||
#Kyudenko Corp. | 195,000 | 1,003,654 | ||||||
*Lonseal Corp. | 116,000 | 104,984 | ||||||
Maeda Corp. | 587,000 | 1,590,426 | ||||||
Maeda Road Construction Co., Ltd. | 274,000 | 1,899,306 | ||||||
*Maezawa Industries, Inc. | 35,700 | 60,582 | ||||||
Maezawa Kasei Industries Co., Ltd. | 50,700 | 418,996 | ||||||
Maezawa Kyuso Industries Co., Ltd. | 50,400 | 565,662 | ||||||
*Makino Milling Machine Co., Ltd. | 338,000 | 2,326,602 | ||||||
Marubeni Construction Material Lease Co., Ltd. | 75,000 | 80,959 | ||||||
Maruka Machinery Co., Ltd. | 28,100 | 208,711 | ||||||
Maruwn Corp. | 66,000 | 167,201 | ||||||
#Maruyama Manufacturing Co, Inc. | 150,000 | 264,124 | ||||||
Maruzen Showa Unyu Co., Ltd. | 296,000 | 924,785 | ||||||
#Matsuda Sangyo Co., Ltd. | 77,482 | 1,337,712 | ||||||
Matsui Construction Co., Ltd. | 98,600 | 339,994 | ||||||
Max Co., Ltd. | 181,000 | 1,997,271 | ||||||
#*Meidensha Corp. | 732,050 | 2,607,877 | ||||||
#*Meiji Machine Co., Ltd. | 63,000 | 15,679 | ||||||
#Meiji Shipping Co., Ltd. | 106,100 | 369,413 | ||||||
*Meitec Corp. | 130,100 | 2,596,407 | ||||||
Meito Transportation Co., Ltd. | 22,000 | 159,550 | ||||||
#*Meiwa Trading Co., Ltd. | 140,000 | 360,263 | ||||||
Mesco, Inc. | 30,000 | 193,365 | ||||||
*Mirait Holdings Corp. | 274,685 | 1,805,746 | ||||||
Mitani Corp. | 52,600 | 417,526 | ||||||
Mitsubishi Kakoki Kaisha, Ltd. | 229,000 | 440,231 | ||||||
Mitsubishi Pencil Co., Ltd. | 100,600 | 1,758,420 | ||||||
Mitsuboshi Belting, Ltd. | 274,000 | 1,129,113 | ||||||
#Mitsui Matsushima Co., Ltd. | 338,000 | 617,494 | ||||||
Mitsui-Soko Co., Ltd. | 463,000 | 1,740,776 | ||||||
Mitsumura Printing Co., Ltd. | 93,000 | 276,171 | ||||||
#Miura Co., Ltd. | 131,300 | 2,967,570 |
30
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Industrials — (Continued) | ||||||||
Miura Printing Corp. | 19,000 | $ | 28,340 | |||||
*Miyaji Engineering Group, Inc. | 1,524,175 | 1,249,500 | ||||||
#*Miyakoshi Corp. | 48,400 | 178,994 | ||||||
*Mori Denki Mfg. Co., Ltd. | 625,000 | 54,830 | ||||||
#Mori Seiki Co., Ltd. | 282,900 | 2,755,676 | ||||||
Morita Holdings Corp. | 156,000 | 840,866 | ||||||
#Moshi Moshi Hotline, Inc. | 104,400 | 2,434,264 | ||||||
Mystar Engineering Corp. | 15,600 | 63,823 | ||||||
Nac Co., Ltd. | 28,900 | 324,739 | ||||||
Nachi-Fujikoshi Corp. | 588,000 | 1,757,837 | ||||||
Naikai Zosen Corp. | 75,000 | 291,765 | ||||||
*Nakano Corp. | 103,000 | 241,402 | ||||||
Narasaki Sangyo Co., Ltd. | 56,000 | 69,589 | ||||||
NEC Capital Solutions, Ltd. | 45,100 | 579,881 | ||||||
#NEC Networks & System Integration Corp. | 104,600 | 1,220,191 | ||||||
New Tachikawa Aircraft Co., Ltd. | 9,900 | 614,409 | ||||||
Nichias Corp. | 416,000 | 1,793,707 | ||||||
Nichiban Co., Ltd. | 122,000 | 403,173 | ||||||
*Nichiden Corp. | 1,000 | 28,846 | ||||||
Nichiha Corp. | 92,880 | 731,553 | ||||||
Nichireki Co., Ltd. | 96,000 | 340,863 | ||||||
#Nihon M&A Center, Inc. | 27 | 97,598 | ||||||
Nikko Co., Ltd. | 127,000 | 359,302 | ||||||
Nippo Corp. | 244,000 | 1,510,747 | ||||||
Nippon Carbon Co., Ltd. | 396,000 | 1,264,150 | ||||||
Nippon Conveyor Co., Ltd. | 168,000 | 140,076 | ||||||
Nippon Densetsu Kogyo Co., Ltd. | 183,000 | 1,652,730 | ||||||
Nippon Denwa Shisetu Co., Ltd. | 203,000 | 571,824 | ||||||
Nippon Filcon Co., Ltd. | 73,100 | 358,001 | ||||||
Nippon Hume Corp. | 91,000 | 266,835 | ||||||
Nippon Jogesuido Sekkei Co., Ltd. | 289 | 351,005 | ||||||
#Nippon Kanzai Co., Ltd. | 46,200 | 725,967 | ||||||
Nippon Koei Co., Ltd. | 272,000 | 713,374 | ||||||
Nippon Konpo Unyu Soko Co., Ltd. | 247,000 | 2,676,716 | ||||||
#Nippon Seisen Co., Ltd. | 107,000 | 546,805 | ||||||
#Nippon Sharyo, Ltd. | 216,000 | 950,676 | ||||||
Nippon Shindo Co., Ltd. | 8,000 | 13,722 | ||||||
Nippon Signal Co., Ltd. | 206,800 | 1,448,305 | ||||||
Nippon Steel Trading Co., Ltd. | 280,000 | 789,445 | ||||||
Nippon Thompson Co., Ltd. | 255,000 | 1,767,555 | ||||||
*Nippon Tungsten Co., Ltd. | 81,000 | 125,711 | ||||||
*Nippon Yusoki Co., Ltd. | 138,000 | 296,963 | ||||||
Nishimatsu Construction Co., Ltd. | 954,000 | 1,016,363 | ||||||
Nishishiba Electric Co., Ltd. | 101,000 | 144,174 | ||||||
Nissei Corp. | 104,600 | 777,080 | ||||||
*Nissei Plastic Industrial Co., Ltd. | 378,800 | 1,076,857 | ||||||
#Nissha Printing Co., Ltd. | 72,600 | 1,600,995 | ||||||
Nissin Corp. | 336,000 | 732,162 | ||||||
Nissin Electric Co., Ltd. | 109,000 | 566,962 | ||||||
Nitchitsu Co., Ltd. | 58,000 | 133,347 | ||||||
Nitta Corp. | 101,200 | 1,597,404 | ||||||
#Nitto Boseki Co., Ltd. | 847,000 | 1,967,458 | ||||||
Nitto Kogyo Corp. | 143,400 | 1,301,817 | ||||||
#Nitto Kohki Co., Ltd. | 65,600 | 1,548,935 | ||||||
Nitto Seiko Co., Ltd. | 122,000 | 347,409 | ||||||
*Nittoc Construction Co., Ltd. | 316,000 | 179,802 | ||||||
*Noda Corp. | 169,300 | 378,549 | ||||||
Nomura Co., Ltd. | 205,000 | 544,011 | ||||||
Noritake Co., Ltd. | 510,000 | 1,601,694 | ||||||
Noritz Corp. | 83,000 | 1,524,021 | ||||||
#NS United Kaiun Kaisha, Ltd. | 403,000 | 1,023,388 |
31
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Industrials — (Continued) | ||||||||
#*Oak Capital Corp. | 55,735 | $ | 81,571 | |||||
Obayashi Road Corp. | 106,000 | 174,993 | ||||||
Oiles Corp. | 117,242 | 1,830,344 | ||||||
*Okamoto Machine Tool Works, Ltd. | 163,000 | 202,127 | ||||||
#Okamura Corp. | 273,900 | 1,442,110 | ||||||
Okano Valve Manufacturing Co. | 58,000 | 468,023 | ||||||
#*Oki Electric Cable Co., Ltd. | 90,000 | 138,298 | ||||||
#*OKK Corp. | 255,000 | 333,790 | ||||||
#*OKUMA Corp. | 383,000 | 2,271,831 | ||||||
Okumura Corp. | 716,400 | 2,502,034 | ||||||
O-M, Ltd. | 105,000 | 323,269 | ||||||
Onoken Co., Ltd. | 58,900 | 441,804 | ||||||
#Organo Corp. | 155,000 | 1,025,371 | ||||||
*Original Engineering Consultants Co., Ltd. | 61,500 | 88,242 | ||||||
OSG Corp. | 189,800 | 1,977,127 | ||||||
Oyo Corp. | 101,300 | 810,401 | ||||||
#*P.S. Mitsubishi Construction Co., Ltd. | 76,800 | 195,635 | ||||||
#Park24 Co., Ltd. | 118,700 | 1,146,964 | ||||||
Pasco Corp. | 23,000 | 54,657 | ||||||
Pasona Group, Inc. | 18 | 13,260 | ||||||
Penta-Ocean Construction Co., Ltd. | 841,000 | 1,263,774 | ||||||
Pilot Corp. | 730 | 1,127,742 | ||||||
Pronexus, Inc. | 133,200 | 660,119 | ||||||
Raito Kogyo Co., Ltd. | 193,700 | 424,060 | ||||||
Rheon Automatic Machinery Co., Ltd. | 64,000 | 152,024 | ||||||
*Ryobi, Ltd. | 548,200 | 2,008,051 | ||||||
*Sailor Pen Co., Ltd. | 110,000 | 60,086 | ||||||
Sakai Heavy Industries, Ltd. | 126,000 | 182,040 | ||||||
*Sakurada Co., Ltd. | 57,000 | 9,911 | ||||||
#*Sanix, Inc. | 157,400 | 291,006 | ||||||
Sanki Engineering Co., Ltd. | 245,000 | 1,527,328 | ||||||
#Sanko Metal Industrial Co., Ltd. | 118,000 | 222,663 | ||||||
*Sankyo-Tateyama Holdings, Inc. | 1,095,000 | 1,254,488 | ||||||
*Sankyu, Inc. | 717,000 | 3,006,844 | ||||||
Sanritsu Corp. | 16,700 | 115,038 | ||||||
Sanwa Holdings Corp. | 543,000 | 1,544,819 | ||||||
Sanyo Denki Co., Ltd. | 201,000 | 859,746 | ||||||
Sanyo Engineering & Construction, Inc. | 48,000 | 154,130 | ||||||
Sanyo Industries, Ltd. | 79,000 | 90,343 | ||||||
Sasebo Heavy Industries Co., Ltd. | 546,000 | 964,971 | ||||||
Sato Corp. | 104,900 | 1,200,090 | ||||||
Sato Shoji Corp. | 65,300 | 340,701 | ||||||
*Sawafuji Electric Co., Ltd. | 42,000 | 87,148 | ||||||
Secom Joshinetsu Co., Ltd. | 33,900 | 873,545 | ||||||
Secom Techno Service Co., Ltd. | 37,500 | 1,111,507 | ||||||
Seibu Electric Industry Co., Ltd. | 67,000 | 242,370 | ||||||
Seika Corp. | 267,000 | 576,668 | ||||||
#*Seikitokyu Kogyo Co., Ltd. | 388,000 | 173,726 | ||||||
Seino Holdings Co., Ltd. | 203,000 | 1,235,982 | ||||||
Sekisui Jushi Co., Ltd. | 135,000 | 1,299,740 | ||||||
#Senko Co., Ltd. | 362,000 | 1,103,656 | ||||||
#Senshu Electric Co., Ltd. | 37,300 | 333,466 | ||||||
#Shibusawa Warehouse Co., Ltd. | 231,000 | 753,765 | ||||||
Shibuya Kogyo Co., Ltd. | 82,300 | 797,353 | ||||||
Shima Seiki Manufacturing Co., Ltd. | 79,200 | 1,512,842 | ||||||
Shin Nippon Air Technologies Co., Ltd. | 84,280 | 477,477 | ||||||
Shin-Keisei Electric Railway Co., Ltd. | 174,000 | 726,152 | ||||||
#Shin-Kobe Electric Machinery Co., Ltd. | 97,000 | 992,529 | ||||||
Shinmaywa Industries, Ltd. | 399,000 | 1,388,404 | ||||||
Shinnihon Corp. | 215,900 | 496,802 | ||||||
Shinsho Corp. | 202,000 | 416,051 |
32
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Industrials — (Continued) | ||||||||
Sho-Bond Corp. | 95,300 | $ | 2,039,647 | |||||
#Shoko Co., Ltd. | 316,000 | 426,779 | ||||||
#Showa Aircraft Industry Co., Ltd. | 112,000 | 792,223 | ||||||
#Sinfonia Technology Co., Ltd. | 474,000 | 934,595 | ||||||
Sintokogio, Ltd. | 191,800 | 1,454,113 | ||||||
Soda Nikka Co., Ltd. | 67,000 | 264,011 | ||||||
Sohgo Security Services Co., Ltd. | 208,400 | 2,181,721 | ||||||
Sotetsu Holdings, Inc. | 111,000 | 351,911 | ||||||
#Space Co., Ltd. | 73,420 | 455,264 | ||||||
Subaru Enterprise Co., Ltd. | 59,000 | 159,762 | ||||||
Sugimoto & Co., Ltd. | 34,100 | 265,562 | ||||||
Sumitomo Densetsu Co., Ltd. | 104,600 | 363,901 | ||||||
*Sumitomo Mitsui Construction Co., Ltd. | 256,200 | 175,016 | ||||||
#Sumitomo Precision Products Co., Ltd. | 150,000 | 563,344 | ||||||
Sumitomo Warehouse Co., Ltd. | 348,000 | 1,805,224 | ||||||
*Suzuki Metal Industry Co., Ltd. | 71,000 | 124,421 | ||||||
*SWCC Showa Holdings Co., Ltd. | 831,000 | 649,466 | ||||||
*Tadano, Ltd. | 306,579 | 1,370,092 | ||||||
Taihei Dengyo Kaisha, Ltd. | 138,000 | 963,522 | ||||||
Taihei Kogyo Co., Ltd. | 244,000 | 1,035,431 | ||||||
Taiheiyo Kouhatsu, Inc. | 95,000 | 63,325 | ||||||
#Taikisha, Ltd. | 124,300 | 1,667,747 | ||||||
#Takada Kiko Co., Ltd. | 289,000 | 545,118 | ||||||
Takano Co., Ltd. | 52,000 | 244,611 | ||||||
#Takara Printing Co., Ltd. | 38,055 | 299,643 | ||||||
Takara Standard Co., Ltd. | 483,000 | 2,970,009 | ||||||
#Takasago Thermal Engineering Co., Ltd. | 279,000 | 1,971,552 | ||||||
#Takashima & Co., Ltd. | 137,000 | 196,877 | ||||||
Takigami Steel Construction Co., Ltd. | 50,000 | 128,766 | ||||||
*Takisawa Machine Tool Co., Ltd. | 191,000 | 178,652 | ||||||
*Takuma Co., Ltd. | 297,000 | 725,801 | ||||||
*Tanseisha Co., Ltd. | 74,000 | 157,039 | ||||||
Tatsuta Electric Wire & Cable Co., Ltd. | 215,000 | 496,071 | ||||||
TECHNO ASSOCIE Co., Ltd. | 58,400 | 456,778 | ||||||
Techno Ryowa, Ltd. | 71,390 | 346,396 | ||||||
#Teikoku Electric Manufacturing Co., Ltd. | 31,800 | 609,555 | ||||||
*Tekken Corp. | 521,000 | 433,649 | ||||||
#Temp Holdings Co., Ltd. | 21,000 | 185,982 | ||||||
Teraoka Seisakusho Co., Ltd. | 53,600 | 237,814 | ||||||
Toa Corp. | 744,000 | 628,511 | ||||||
TOA ROAD Corp. | 155,000 | 225,724 | ||||||
#*Tobishima Corp. | 1,548,500 | 385,148 | ||||||
Tocalo Co., Ltd. | 51,600 | 875,732 | ||||||
Toda Corp. | 656,000 | 2,210,306 | ||||||
Toenec Corp. | 204,000 | 1,042,886 | ||||||
Tokai Lease Co., Ltd. | 86,000 | 149,671 | ||||||
#Toko Electric Corp. | 88,000 | 445,200 | ||||||
Tokyo Energy & Systems, Inc. | 126,000 | 736,435 | ||||||
TOKYO KEIKI, Inc. | 265,000 | 349,776 | ||||||
#*Tokyo Kikai Seisakusho, Ltd. | 300,000 | 241,949 | ||||||
Tokyo Sangyo Co., Ltd. | 78,000 | 230,591 | ||||||
#Tokyu Community Corp. | 31,200 | 845,437 | ||||||
Toli Corp. | 207,000 | 323,257 | ||||||
#Tomoe Corp. | 115,500 | 359,570 | ||||||
Tonami Holdings Co., Ltd. | 331,000 | 517,903 | ||||||
Toppan Forms Co., Ltd. | 124,900 | 1,108,421 | ||||||
*Tori Holdings Co., Ltd. | 217,700 | 48,610 | ||||||
#Torishima Pump Manufacturing Co., Ltd. | 80,500 | 1,328,139 | ||||||
Toshiba Machine Co., Ltd. | 340,000 | 1,395,743 | ||||||
#Toshiba Plant Kensetsu Co., Ltd. | 182,450 | 2,398,417 | ||||||
*Tosho Printing Co., Ltd. | 243,000 | 361,733 |
33
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Industrials — (Continued) | ||||||||
Totetsu Kogyo Co., Ltd. | 122,000 | $ | 710,547 | |||||
#*Totoku Electric Co., Ltd. | 66,000 | 55,625 | ||||||
#Toyo Electric Manufacturing Co., Ltd. | 149,000 | 639,827 | ||||||
Toyo Engineering Corp. | 556,400 | 1,774,092 | ||||||
Toyo Machinery & Metal Co., Ltd. | 42,400 | 118,193 | ||||||
*Toyo Shutter Co., Ltd. | 7,100 | 21,736 | ||||||
#Toyo Tanso Co, Ltd. | 32,400 | 1,854,056 | ||||||
#Toyo Wharf & Warehouse Co., Ltd. | 274,000 | 436,057 | ||||||
Trinity Industrial Corp. | 56,000 | 170,931 | ||||||
Trusco Nakayama Corp. | 95,200 | 1,387,435 | ||||||
Tsubakimoto Chain Co. | 555,700 | 2,456,404 | ||||||
Tsubakimoto Kogyo Co., Ltd. | 97,000 | 239,149 | ||||||
#Tsugami Corp. | 252,000 | 1,584,152 | ||||||
Tsukishima Kikai Co., Ltd. | 121,000 | 764,093 | ||||||
Tsurumi Manufacturing Co., Ltd. | 94,000 | 560,045 | ||||||
Tsuzuki Denki Co., Ltd. | 75,000 | 327,298 | ||||||
TTK Co., Ltd. | 62,000 | 248,834 | ||||||
Uchida Yoko Co., Ltd. | 171,000 | 566,637 | ||||||
Ueki Corp. | 453,000 | 684,909 | ||||||
Union Tool Co. | 56,900 | 1,456,770 | ||||||
Utoc Corp. | 96,400 | 248,483 | ||||||
#*Wakachiku Construction Co., Ltd. | 1,710,000 | 808,696 | ||||||
Weathernews, Inc. | 26,700 | 401,094 | ||||||
#Yahagi Construction Co., Ltd. | 136,000 | 771,847 | ||||||
Yamabiko Corp. | 28,782 | 213,696 | ||||||
Yamato Corp. | 82,000 | 281,660 | ||||||
Yamaura Corp. | 40,500 | 91,319 | ||||||
#Yamazen Co., Ltd. | 294,000 | 1,199,991 | ||||||
Yasuda Warehouse Co., Ltd. (The) | 98,200 | 594,916 | ||||||
Yokogawa Bridge Holdings Corp. | 139,400 | 743,907 | ||||||
Yondenko Corp. | 133,800 | 493,953 | ||||||
*Yuasa Trading Co., Ltd. | 779,000 | 646,944 | ||||||
Yuken Kogyo Co., Ltd. | 156,000 | 305,588 | ||||||
Yurtec Corp. | 221,000 | 769,112 | ||||||
Yusen Logistics Co., Ltd. | 55,500 | 767,753 | ||||||
#Yushin Precision Equipment Co., Ltd. | 53,334 | 963,386 | ||||||
Total Industrials | 311,327,102 | |||||||
Information Technology — (9.8%) | ||||||||
Ai Holdings Corp. | 182,600 | 617,392 | ||||||
Aichi Tokei Denki Co., Ltd. | 113,000 | 311,903 | ||||||
#Aiphone Co., Ltd. | 70,900 | 1,034,205 | ||||||
Allied Telesis Holdings K.K. | 470,700 | 609,438 | ||||||
#Alpha Systems, Inc. | 27,300 | 533,818 | ||||||
#Alps Electric Co., Ltd. | 281,695 | 2,524,047 | ||||||
#Anritsu Corp. | 435,000 | 2,805,777 | ||||||
AOI Electronic Co., Ltd. | 37,400 | 358,607 | ||||||
*Apic Yamada Corp. | 36,000 | 100,750 | ||||||
Arisawa Manufacturing Co., Ltd. | 18,600 | 91,280 | ||||||
Asahi Net, Inc. | 21,000 | 73,824 | ||||||
CAC Corp. | 68,700 | 479,318 | ||||||
Canon Electronics, Inc. | 68,200 | 1,790,151 | ||||||
Capcom Co., Ltd. | 167,200 | 2,628,070 | ||||||
Chino Corp. | 151,000 | 346,670 | ||||||
CMK Corp. | 74,300 | 293,006 | ||||||
Computer Engineering & Consulting, Ltd. | 61,500 | 265,723 | ||||||
Core Corp. | 45,700 | 323,477 | ||||||
Cresco, Ltd. | 23,200 | 108,654 | ||||||
#*CSK Corp. | 431,900 | 1,447,429 | ||||||
Cybernet Systems Co., Ltd. | 85 | 21,839 | ||||||
#Cybozu, Inc. | 895 | 229,914 |
34
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Information Technology — (Continued) | ||||||||
*Daiko Denshi Tsushin, Ltd. | 12,000 | $ | 16,116 | |||||
*Dainippon Screen Manufacturing Co., Ltd. | 731,000 | 4,159,684 | ||||||
Denki Kogyo Co., Ltd. | 234,000 | 938,657 | ||||||
DKK TOA Corp. | 31,000 | 90,459 | ||||||
DTS Corp. | 84,900 | 903,186 | ||||||
#*Dwango Co., Ltd. | 231 | 466,642 | ||||||
#Eizo Nanao Corp. | 73,100 | 1,490,171 | ||||||
Elematec Corp. | 1,700 | 21,460 | ||||||
*Elna Co., Ltd. | 97,000 | 97,409 | ||||||
Enplas Corp. | 14,400 | 184,083 | ||||||
ESPEC Corp. | 79,800 | 448,680 | ||||||
Faith, Inc. | 54 | 3,881 | ||||||
#*FDK Corp. | 409,000 | 558,613 | ||||||
*Fuji Electronics Co., Ltd. | 1,200 | 15,412 | ||||||
#Fuji Soft, Inc. | 96,400 | 1,426,897 | ||||||
*Fujitsu Component, Ltd. | 139 | 46,573 | ||||||
Fujitsu Frontech, Ltd. | 78,600 | 581,610 | ||||||
Fuso Dentsu Co., Ltd. | 16,000 | 62,361 | ||||||
Future Architect, Inc. | 1,206 | 438,290 | ||||||
GMO Internet, Inc. | 61,200 | 218,851 | ||||||
Hakuto Co., Ltd. | 69,100 | 584,797 | ||||||
*Hioki EE Corp. | 6,000 | 114,321 | ||||||
Hitachi Business Solution Co., Ltd. | 43,200 | 376,413 | ||||||
Hitachi Kokusai Electric, Inc. | 239,500 | 2,175,861 | ||||||
#Hochiki Corp. | 97,000 | 436,312 | ||||||
Hokuriku Electric Industry Co., Ltd. | 289,000 | 545,057 | ||||||
Horiba, Ltd. | 120,500 | 2,959,345 | ||||||
#Hosiden Corp. | 241,300 | 2,394,303 | ||||||
#Icom, Inc. | 47,600 | 1,280,082 | ||||||
#*Ikegami Tsushinki Co., Ltd. | 174,000 | 105,798 | ||||||
#Ines Corp. | 153,900 | 929,592 | ||||||
I-Net Corp. | 47,800 | 249,832 | ||||||
Information Services International-Dentsu, Ltd. | 76,700 | 488,207 | ||||||
Innotech Corp. | 2,000 | 9,929 | ||||||
Internet Initiative Japan, Inc. | 407 | 876,869 | ||||||
Ishii Hyoki Co., Ltd. | 23,700 | 195,429 | ||||||
IT Holdings Corp. | 262,401 | 2,897,221 | ||||||
#*ITC Networks Corp. | 35,700 | 172,656 | ||||||
Itfor, Inc. | 1,900 | 5,531 | ||||||
*Iwatsu Electric Co., Ltd. | 303,000 | 218,532 | ||||||
Japan Aviation Electronics Industry, Ltd. | 240,600 | 1,596,769 | ||||||
Japan Business Computer Co., Ltd. | 73,200 | 450,211 | ||||||
#Japan Cash Machine Co., Ltd. | 84,315 | 625,370 | ||||||
#Japan Digital Laboratory Co., Ltd. | 104,900 | 1,049,307 | ||||||
Japan Radio Co., Ltd. | 376,000 | 848,200 | ||||||
#Jastec Co., Ltd. | 61,400 | 385,007 | ||||||
JBIS Holdings, Inc. | 79,600 | 283,989 | ||||||
JIEC Co., Ltd. | 199 | 176,413 | ||||||
Kaga Electronics Co., Ltd. | 95,100 | 1,017,528 | ||||||
#Kakaku.com, Inc. | 573 | 2,765,044 | ||||||
Kanematsu Electronics, Ltd. | 83,100 | 798,674 | ||||||
Kawatetsu Systems, Inc. | 174 | 131,356 | ||||||
Koa Corp. | 144,800 | 1,474,022 | ||||||
*Kubotek Corp. | 370 | 89,274 | ||||||
Kyoden Co., Ltd. | 160,000 | 223,699 | ||||||
Kyowa Electronic Instruments Co., Ltd. | 52,000 | 155,731 | ||||||
Macnica, Inc. | 47,900 | 920,211 | ||||||
*Macromill, Inc. | 127 | 195,936 | ||||||
Marubun Corp. | 96,100 | 444,651 | ||||||
Maruwa Co., Ltd. | 36,500 | 883,425 | ||||||
Maspro Denkoh Corp. | 61,000 | 571,861 |
35
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Information Technology — (Continued) | ||||||||
#Megachips Corp. | 81,300 | $ | 1,426,126 | |||||
*Meisei Electric Co., Ltd. | 359,000 | 249,448 | ||||||
Melco Holdings, Inc. | 41,100 | 1,332,099 | ||||||
Mimasu Semiconductor Industry Co., Ltd. | 82,881 | 813,774 | ||||||
Miroku Jyoho Service Co., Ltd. | 107,000 | 278,635 | ||||||
*Mitsui High-Tec, Inc. | 131,600 | 662,253 | ||||||
Mitsui Knowledge Industry Co., Ltd. | 3,688 | 583,157 | ||||||
Mitsumi Electric Co., Ltd. | 71,100 | 1,208,926 | ||||||
#*Mutoh Holdings Co., Ltd. | 160,000 | 338,175 | ||||||
*Nagano Japan Radio Co., Ltd. | 85,000 | 106,769 | ||||||
Nagano Keiki Co., Ltd. | 600 | 4,612 | ||||||
Nakayo Telecommunications, Inc. | 542,000 | 996,217 | ||||||
NEC Fielding, Ltd. | 91,200 | 979,548 | ||||||
NEC Mobiling, Ltd. | 45,100 | 1,131,042 | ||||||
#Net One Systems Co., Ltd. | 1,889 | 2,630,500 | ||||||
#*New Japan Radio Co., Ltd. | 37,000 | 91,519 | ||||||
Nichicon Corp. | 258,800 | 2,877,646 | ||||||
Nidec Copal Electronics Corp. | 21,100 | 147,154 | ||||||
#Nidec Sankyo Corp. | 191,000 | 1,352,910 | ||||||
#Nihon Dempa Kogyo Co., Ltd. | 66,900 | 1,211,340 | ||||||
#*Nihon Inter Electronics Corp. | 104,700 | 149,009 | ||||||
Nihon Unisys, Ltd. | 202,175 | 1,286,501 | ||||||
*Nippon Avionics Co., Ltd. | 78,000 | 133,153 | ||||||
#Nippon Ceramic Co., Ltd. | 83,100 | 1,403,212 | ||||||
#*Nippon Chemi-Con Corp. | 472,000 | 1,891,394 | ||||||
Nippon Systemware Co., Ltd. | 27,900 | 105,461 | ||||||
Nohmi Bosai, Ltd. | 116,000 | 666,840 | ||||||
#NS Solutions Corp. | 66,700 | 1,241,684 | ||||||
#NSD Co., Ltd. | 170,300 | 1,811,988 | ||||||
Obic Business Consultants Co., Ltd. | 18,800 | 943,580 | ||||||
Okaya Electric Industries Co., Ltd. | 73,000 | 274,742 | ||||||
*Oki Electric Industry Co., Ltd. | 2,162,000 | 1,877,603 | ||||||
ONO Sokki Co., Ltd. | 103,000 | 250,842 | ||||||
Optex Co., Ltd. | 10,400 | 125,296 | ||||||
*Origin Electric Co., Ltd. | 105,000 | 363,683 | ||||||
#Osaki Electric Co., Ltd. | 116,000 | 859,793 | ||||||
*Panasonic Electric Works Information Systems Co., Ltd. | 9,800 | 267,113 | ||||||
PCA Corp. | 17,500 | 184,877 | ||||||
#*Pixela Corp. | 18,400 | 44,264 | ||||||
Riken Keiki Co., Ltd. | 77,800 | 486,172 | ||||||
Roland DG Corp. | 51,500 | 714,849 | ||||||
Ryoden Trading Co., Ltd. | 141,000 | 754,691 | ||||||
Ryosan Co., Ltd. | 122,000 | 3,004,852 | ||||||
Ryoyo Electro Corp. | 108,000 | 998,207 | ||||||
Sanken Electric Co., Ltd. | 338,000 | 1,208,514 | ||||||
Sanko Co., Ltd. | 22,000 | 61,667 | ||||||
Sanshin Electronics Co., Ltd. | 108,100 | 874,708 | ||||||
Satori Electric Co., Ltd. | 56,380 | 394,170 | ||||||
*Saxa Holdings, Inc. | 194,000 | 269,525 | ||||||
*Sekonic Corp. | 15,000 | 18,498 | ||||||
*Shibaura Mechatronics Corp. | 138,000 | 441,750 | ||||||
*Shindengen Electric Manufacturing Co., Ltd. | 296,000 | 1,191,696 | ||||||
#Shinkawa, Ltd. | 68,300 | 663,651 | ||||||
*Shinko Electric Industries Co., Ltd. | 11,700 | 113,894 | ||||||
Shinko Shoji Co., Ltd. | 75,900 | 561,580 | ||||||
Shizuki Electric Co., Inc. | 103,000 | 355,656 | ||||||
Siix Corp. | 82,100 | 736,092 | ||||||
#*Simplex Holdings, Inc. | 686 | 311,755 | ||||||
#SMK Corp. | 263,000 | 1,127,376 | ||||||
Softbank Technology Corp. | 100 | 696 | ||||||
So-net Entertainment Corp. | 426 | 1,102,896 |
36
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Information Technology — (Continued) | ||||||||
SRA Holdings | 49,700 | $ | 471,806 | |||||
Star Micronics Co., Ltd. | 137,200 | 1,308,662 | ||||||
Sumida Corp. | 61,549 | 509,247 | ||||||
Sumisho Computer Systems Corp. | 103,400 | 1,531,648 | ||||||
Sun-Wa Technos Corp. | 500 | 3,032 | ||||||
#Sunx, Ltd. | 109,000 | 608,721 | ||||||
#*Systena Corp. | 1,096 | 863,346 | ||||||
Tachibana Eletech Co., Ltd. | 62,400 | 443,648 | ||||||
Taiyo Yuden Co., Ltd. | 113,000 | 1,451,788 | ||||||
#Tamura Corp. | 249,000 | 615,445 | ||||||
*Teac Corp. | 292,000 | 134,056 | ||||||
Tecmo Koei Holdings Co., Ltd. | 143,730 | 899,346 | ||||||
Teikoku Tsushin Kogyo Co., Ltd. | 172,000 | 392,031 | ||||||
#TKC, Corp. | 83,700 | 1,662,548 | ||||||
#*Toko, Inc. | 304,000 | 458,659 | ||||||
Tokyo Denpa Co., Ltd. | 24,900 | 131,262 | ||||||
Tokyo Electron Device, Ltd. | 352 | 562,169 | ||||||
Tokyo Seimitsu Co., Ltd. | 138,200 | 1,787,470 | ||||||
Tomen Electronics Corp. | 50,600 | 626,899 | ||||||
#Topcon Corp. | 160,500 | 617,307 | ||||||
Tose Co., Ltd. | 22,100 | 127,758 | ||||||
Toshiba TEC Corp. | 404,000 | 1,587,034 | ||||||
Toukei Computer Co., Ltd. | 27,710 | 386,002 | ||||||
#*Towa Corp. | 41,900 | 277,274 | ||||||
#Toyo Corp. | 110,600 | 1,030,272 | ||||||
Trans Cosmos, Inc. | 116,900 | 919,047 | ||||||
Ulvac, Inc. | 130,200 | 2,621,267 | ||||||
*Uniden Corp. | 121,000 | 241,791 | ||||||
#*Wacom Co., Ltd. | 1,310 | 1,495,590 | ||||||
XNET Corp. | 21 | 33,522 | ||||||
#*Yamaichi Electronics Co., Ltd. | 96,500 | 260,929 | ||||||
*Yaskawa Information Systems Corp. | 40,000 | 118,375 | ||||||
Yokowo Co., Ltd. | 69,500 | 354,656 | ||||||
Zuken, Inc. | 94,600 | 640,216 | ||||||
Total Information Technology | 134,135,695 | |||||||
Materials — (11.2%) | ||||||||
Achilles Corp. | 670,000 | 874,422 | ||||||
Adeka Corp. | 331,700 | 3,535,829 | ||||||
Agro-Kanesho Co., Ltd. | 7,000 | 69,582 | ||||||
Aichi Steel Corp. | 367,000 | 2,038,495 | ||||||
Arakawa Chemical Industries, Ltd. | 67,700 | 706,476 | ||||||
Araya Industrial Co., Ltd. | 204,000 | 303,396 | ||||||
Aronkasei Co., Ltd. | 124,000 | 501,826 | ||||||
Asahi Organic Chemicals Industry Co., Ltd. | 325,000 | 752,616 | ||||||
Chuetsu Pulp & Paper Co., Ltd. | 395,000 | 643,394 | ||||||
*Chugai Mining Co., Ltd. | 852,400 | 318,360 | ||||||
Chugoku Marine Paints, Ltd. | 230,000 | 1,665,972 | ||||||
*Chugokukogyo Co., Ltd. | 62,000 | 62,200 | ||||||
Chuo Denki Kogyo Co., Ltd. | 90,000 | 514,523 | ||||||
#*Co-Op Chemical Co., Ltd. | 159,000 | 188,340 | ||||||
#*Dai Nippon Toryo, Ltd. | 488,000 | 467,369 | ||||||
#Daiichi Kigenso Kagaku-Kyogyo Co., Ltd. | 14,300 | 504,557 | ||||||
Daiichi Kogyo Seiyaku Co., Ltd. | 121,000 | 298,701 | ||||||
Daiken Corp. | 382,000 | 878,462 | ||||||
Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. | 306,000 | 1,290,074 | ||||||
Daio Paper Corp. | 201,500 | 1,308,682 | ||||||
Daiso Co., Ltd. | 343,000 | 903,368 | ||||||
DC Co., Ltd. | 113,900 | 168,435 | ||||||
DIC Corp. | 629,000 | 1,169,046 | ||||||
Dynapac Co., Ltd. | 25,000 | 70,966 |
37
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Materials — (Continued) | ||||||||
*Earth Chemical Co., Ltd. | 17,700 | $ | 600,938 | |||||
FP Corp. | 58,500 | 3,229,497 | ||||||
#Fuji Seal International, Inc. | 56,100 | 1,137,546 | ||||||
Fujikura Kasei Co., Ltd. | 94,500 | 566,365 | ||||||
Fujimi, Inc. | 1,800 | 25,642 | ||||||
Fumakilla, Ltd. | 85,000 | 380,622 | ||||||
Furukawa-Sky Aluminum Corp. | 161,000 | 426,291 | ||||||
Geostar Corp. | 38,000 | 44,225 | ||||||
Godo Steel, Ltd. | 521,000 | 980,134 | ||||||
#Gun Ei Chemical Industry Co., Ltd. | 262,000 | 678,218 | ||||||
Harima Chemicals, Inc. | 78,000 | 436,517 | ||||||
#Hodogaya Chemical Co., Ltd. | 265,000 | 763,716 | ||||||
Hokkan Holdings, Ltd. | 210,000 | 520,410 | ||||||
Hokko Chemical Industry Co., Ltd. | 90,000 | 264,141 | ||||||
#Hokuetsu Kishu Paper Co., Ltd. | 551,199 | 2,549,239 | ||||||
*Hokushin Co., Ltd. | 61,400 | 71,810 | ||||||
Honshu Chemical Industry Co., Ltd. | 35,000 | 222,727 | ||||||
Ihara Chemical Industry Co., Ltd. | 155,000 | 436,953 | ||||||
Ise Chemical Corp. | 86,000 | 549,457 | ||||||
*Ishihara Sangyo Kaisha, Ltd. | 1,292,500 | 931,605 | ||||||
*Japan Carlit Co., Ltd. | 59,800 | 284,684 | ||||||
JSP Corp. | 100,100 | 1,152,415 | ||||||
#Kanto Denka Kogyo Co., Ltd. | 186,000 | 1,397,257 | ||||||
Katakura Chikkarin Co., Ltd. | 43,000 | 127,335 | ||||||
Kawakin Holdings Co., Ltd. | 11,000 | 36,776 | ||||||
Kawasaki Kasei Chemicals, Ltd. | 121,000 | 151,976 | ||||||
#Koatsu Gas Kogyo Co., Ltd. | 161,000 | 884,732 | ||||||
Kohsoku Corp. | 62,800 | 565,709 | ||||||
Konishi Co., Ltd. | 66,900 | 779,816 | ||||||
#Kumiai Chemical Industry Co., Ltd. | 224,000 | 726,726 | ||||||
#Kureha Corp. | 545,500 | 3,096,346 | ||||||
Kurosaki Harima Corp. | 210,000 | 695,594 | ||||||
Kyoei Steel, Ltd. | 47,300 | 576,052 | ||||||
Lintec Corp. | 52,600 | 1,181,255 | ||||||
MEC Co., Ltd. | 61,200 | 225,486 | ||||||
*Mitsubishi Paper Mills, Ltd. | 1,094,000 | 1,113,988 | ||||||
Mitsubishi Steel Manufacturing Co., Ltd. | 523,000 | 1,246,724 | ||||||
Mitsui Mining & Smelting Co., Ltd. | 350,000 | 1,067,450 | ||||||
Mory Industries, Inc. | 154,000 | 506,713 | ||||||
Nakabayashi Co., Ltd. | 181,000 | 357,386 | ||||||
*Nakayama Steel Works, Ltd. | 413,000 | 512,155 | ||||||
Neturen Co., Ltd. | 145,200 | 1,051,486 | ||||||
Nichia Steel Works, Ltd. | 175,900 | 396,773 | ||||||
Nihon Kagaku Sangyo Co., Ltd. | 79,000 | 571,003 | ||||||
#Nihon Nohyaku Co., Ltd. | 216,000 | 1,243,722 | ||||||
Nihon Parkerizing Co., Ltd. | 230,000 | 3,013,274 | ||||||
Nihon Seiko Co., Ltd. | 18,000 | 50,159 | ||||||
Nihon Yamamura Glass Co., Ltd. | 360,000 | 913,176 | ||||||
#*Nippon Carbide Industries Co., Inc. | 201,000 | 513,302 | ||||||
Nippon Chemical Industrial Co., Ltd. | 281,000 | 638,054 | ||||||
Nippon Chutetsukan K.K. | 50,000 | 66,960 | ||||||
Nippon Chuzo K.K. | 111,000 | 104,562 | ||||||
#Nippon Coke & Engineering Co., Ltd. | 772,500 | 1,259,483 | ||||||
#Nippon Concrete Industries Co., Ltd. | 157,000 | 239,601 | ||||||
Nippon Denko Co., Ltd. | 372,000 | 2,756,092 | ||||||
Nippon Fine Chemical Co., Ltd. | 85,600 | 487,604 | ||||||
#Nippon Kasei Chemical Co., Ltd. | 355,000 | 797,866 | ||||||
#*Nippon Kinzoku Co., Ltd. | 222,000 | 369,315 | ||||||
*Nippon Koshuha Steel Co., Ltd. | 366,000 | 359,028 | ||||||
*Nippon Light Metal Co., Ltd. | 1,548,000 | 2,600,679 | ||||||
#*Nippon Metal Industry Co., Ltd. | 556,000 | 676,687 |
38
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Materials — (Continued) | ||||||||
Nippon Paint Co., Ltd. | 691,200 | $ | 5,107,460 | |||||
Nippon Pigment Co., Ltd. | 43,000 | 110,344 | ||||||
Nippon Pillar Packing Co., Ltd. | 83,000 | 473,104 | ||||||
Nippon Soda Co., Ltd. | 515,000 | 2,222,897 | ||||||
#Nippon Synthetic Chemical Industry Co., Ltd. (The) | 245,000 | 1,434,660 | ||||||
Nippon Valqua Industries, Ltd. | 313,000 | 890,031 | ||||||
#*Nippon Yakin Kogyo Co., Ltd. | 395,500 | 1,159,118 | ||||||
Nittetsu Mining Co., Ltd. | 273,000 | 1,027,098 | ||||||
Nitto FC Co., Ltd. | 72,000 | 384,177 | ||||||
#NOF Corp. | 673,000 | 3,103,136 | ||||||
Okabe Co., Ltd. | 186,900 | 718,544 | ||||||
Okamoto Industries, Inc. | 384,000 | 1,609,218 | ||||||
*Okura Industrial Co., Ltd. | 211,000 | 516,145 | ||||||
#Osaka Organic Chemical Industry, Ltd. | 66,000 | 383,029 | ||||||
Osaka Steel Co., Ltd. | 73,900 | 1,100,939 | ||||||
#Osaka Titanium Technologies Co., Ltd. | 13,900 | 649,118 | ||||||
#Pacific Metals Co., Ltd. | 341,000 | 2,835,502 | ||||||
#Pack Corp. (The) | 66,200 | 1,221,280 | ||||||
Riken Technos Corp. | 197,000 | 520,357 | ||||||
*S Science Co., Ltd. | 3,183,000 | 79,110 | ||||||
#S.T. Chemical Co., Ltd. | 78,500 | 857,959 | ||||||
Sakai Chemical Industry Co., Ltd. | 355,000 | 1,466,523 | ||||||
Sakata INX Corp. | 208,000 | 901,139 | ||||||
Sanyo Chemical Industries, Ltd. | 292,000 | 2,176,516 | ||||||
#Sanyo Special Steel Co., Ltd. | 459,300 | 2,260,510 | ||||||
Sekisui Plastics Co., Ltd. | 209,000 | 852,809 | ||||||
Shikoku Chemicals Corp. | 177,000 | 973,511 | ||||||
Shinagawa Refractories Co., Ltd. | 224,000 | 489,214 | ||||||
Shin-Etsu Polymer Co., Ltd. | 214,700 | 1,134,931 | ||||||
Shinko Wire Co., Ltd. | 185,000 | 268,517 | ||||||
Somar Corp. | 43,000 | 109,619 | ||||||
#Stella Chemifa Corp. | 40,800 | 1,753,326 | ||||||
Sumitomo Bakelite Co., Ltd. | 441,000 | 2,389,000 | ||||||
*Sumitomo Light Metal Industries, Ltd. | 1,248,000 | 1,380,765 | ||||||
Sumitomo Osaka Cement Co., Ltd. | 1,143,000 | 2,215,102 | ||||||
Sumitomo Pipe & Tube Co., Ltd. | 108,100 | 619,449 | ||||||
Sumitomo Seika Chemicals Co., Ltd. | 214,000 | 832,836 | ||||||
T. Hasegawa Co., Ltd. | 116,800 | 1,831,002 | ||||||
#*Taiheiyo Cement Corp. | 2,740,000 | 2,957,582 | ||||||
#Taisei Lamick Co., Ltd. | 18,500 | 474,758 | ||||||
Taiyo Holdings Co., Ltd. | 36,100 | 1,023,197 | ||||||
Takasago International Corp. | 339,000 | 1,637,428 | ||||||
Takiron Co., Ltd. | 202,000 | 620,452 | ||||||
Tayca Corp. | 151,000 | 481,718 | ||||||
Tenma Corp. | 87,000 | 828,442 | ||||||
#*Titan Kogyo K.K. | 59,000 | 153,127 | ||||||
Toagosei Co., Ltd. | 897,000 | 3,933,092 | ||||||
#Toda Kogyo Corp. | 155,000 | 1,363,940 | ||||||
#*Toho Titanium Co., Ltd. | 77,300 | 1,989,848 | ||||||
Toho Zinc Co., Ltd. | 425,000 | 1,787,662 | ||||||
Tokai Carbon Co., Ltd. | 556,000 | 3,278,348 | ||||||
Tokushu Tokai Paper Co., Ltd. | 501,580 | 1,070,833 | ||||||
Tokyo Ohka Kogyo Co., Ltd. | 129,100 | 2,382,426 | ||||||
#Tokyo Rope Manufacturing Co., Ltd. | 532,000 | 1,427,029 | ||||||
#*Tomoegawa Paper Co., Ltd. | 125,000 | 284,389 | ||||||
Tomoku Co., Ltd. | 294,000 | 698,056 | ||||||
Topy Industries, Ltd. | 737,000 | 1,811,986 | ||||||
Toyo Ink Manufacturing Co., Ltd. | 591,000 | 2,410,964 | ||||||
Toyo Kohan Co., Ltd. | 237,000 | 1,193,539 | ||||||
TYK Corp. | 142,000 | 318,732 | ||||||
Ube Material Industries, Ltd. | 266,000 | 629,830 |
39
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Materials — (Continued) | ||||||||
Wood One Co., Ltd. | 169,000 | $ | 456,983 | |||||
Yodogawa Steel Works, Ltd. | 562,500 | 2,080,296 | ||||||
Yuki Gosei Kogyo Co., Ltd. | 64,000 | 160,544 | ||||||
Yushiro Chemical Industry Co., Ltd. | 51,000 | 611,789 | ||||||
Total Materials | 152,971,530 | |||||||
Real Estate Investment Trusts — (0.0%) | ||||||||
*Tosei Corp. | 72 | 25,319 | ||||||
Telecommunication Services — (0.0%) | ||||||||
*Invoice, Inc. | 38,630 | 481,027 | ||||||
Utilities — (0.6%) | ||||||||
Hokkaido Gas Co., Ltd. | 210,000 | 631,733 | ||||||
Hokuriku Gas Co., Ltd. | 99,000 | 252,304 | ||||||
Okinawa Electric Power Co., Ltd. | 41,371 | 1,900,963 | ||||||
#Saibu Gas Co., Ltd. | 1,268,000 | 3,614,327 | ||||||
Shizuoka Gas Co., Ltd. | 241,500 | 1,412,277 | ||||||
#Tokai Corp. | 221,000 | 896,157 | ||||||
Total Utilities | 8,707,761 | |||||||
TOTAL COMMON STOCKS | 1,201,989,931 | |||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||
*Oak Capital Corp. Warrants 11/30/11 | 55,735 | — | ||||||
Face Amount | Value† | |||||||
(000) | ||||||||
TEMPORARY CASH INVESTMENTS — (0.2%) | ||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by | $2,483 | 2,483,000 | ||||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (12.2%) | ||||||||
§@DFA Short Term Investment Fund | 165,468,050 | 165,468,050 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by | $ | 2,740 | 2,740,419 | |||||
TOTAL SECURITIES LENDING COLLATERAL | 168,208,469 | |||||||
TOTAL INVESTMENTS — (100.0%) | $ | 1,372,681,400 | ||||||
40
THE ASIA PACIFIC SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value†† | |||||||
COMMON STOCKS — (86.2%) | ||||||||
AUSTRALIA — (51.7%) | ||||||||
#*Acrux, Ltd. | 129,491 | $ | 379,868 | |||||
*Adacel Technologies, Ltd. | 113,249 | 39,951 | ||||||
#*Adamus Resources, Ltd. | 1,326,467 | 794,855 | ||||||
*ADCorp Australia, Ltd. | 212,402 | 42,288 | ||||||
Adelaide Brighton, Ltd. | 1,781,776 | 6,244,398 | ||||||
*Aditya Birla Minerals, Ltd. | 841,658 | 1,002,725 | ||||||
Adtrans Group, Ltd. | 38,110 | 130,248 | ||||||
*ADX Energy, Ltd. | 473,905 | 44,644 | ||||||
#*AED Oil, Ltd. | 325,115 | 151,646 | ||||||
Aevum, Ltd. | 452,176 | 783,453 | ||||||
*Agenix, Ltd. | 707,478 | 17,325 | ||||||
*AGL Energy, Ltd. | 22,311 | 352,270 | ||||||
*Ainsworth Game Technology, Ltd. | 290,243 | 42,361 | ||||||
*AJ Lucas Group, Ltd. | 320,999 | 750,549 | ||||||
#*Alchemia, Ltd. | 724,903 | 372,334 | ||||||
#Alesco Corp., Ltd. | 457,971 | 1,117,546 | ||||||
#*Alkane Resources, Ltd. | 938,520 | 716,761 | ||||||
#*Alliance Resources, Ltd. | 415,578 | 175,877 | ||||||
*Allied Medical, Ltd. | 11,745 | — | ||||||
*Altium, Ltd. | 30,000 | 4,989 | ||||||
*Amadeus Energy, Ltd. | 819,137 | 200,893 | ||||||
Amalgamated Holdings, Ltd. | 460,930 | 2,832,858 | ||||||
*Amcom Telecommunications, Ltd. | 1,315,204 | 436,968 | ||||||
Ammtec, Ltd. | 22,534 | 93,097 | ||||||
*Andean Resources, Ltd. | 1,464,837 | 9,136,669 | ||||||
Ansell, Ltd. | 473,632 | 6,295,905 | ||||||
#*Antares Energy, Ltd. | 934,515 | 434,816 | ||||||
AP Eagers, Ltd. | 37,790 | 481,895 | ||||||
APA Group, Ltd. | 1,702,846 | 6,518,392 | ||||||
*Apex Minerals NL | 1,895,791 | 34,956 | ||||||
#APN News & Media, Ltd. | 1,520,163 | 2,882,895 | ||||||
#*Arafura Resources, Ltd. | 726,751 | 993,895 | ||||||
*ARB Corp., Ltd. | 324,213 | 2,279,358 | ||||||
Ariadne Australia, Ltd. | 267,324 | 79,479 | ||||||
#Aristocrat Leisure, Ltd. | 983,123 | 3,387,383 | ||||||
*Arturus Capital, Ltd. | 86,152 | 6,751 | ||||||
ASG Group, Ltd. | 303,152 | 379,998 | ||||||
*Astron, Ltd. | 87,221 | 176,604 | ||||||
#*Atlas Iron, Ltd. | 1,051,157 | 2,595,391 | ||||||
*Aurora Oil & Gas, Ltd. | 768,019 | 980,612 | ||||||
Ausdrill, Ltd. | 884,082 | 2,072,160 | ||||||
#*Ausenco, Ltd. | 132,519 | 332,260 | ||||||
Austal, Ltd. | 558,220 | 1,341,121 | ||||||
*Austar United Communications, Ltd. | 2,751,397 | 2,635,731 | ||||||
Austbrokers Holdings, Ltd. | 81,996 | 401,008 | ||||||
Austereo Group, Ltd. | 1,001,750 | 1,611,351 | ||||||
#Austin Engineering, Ltd. | 116,008 | 525,863 | ||||||
*Austpac Resources NL | 1,052,545 | 36,035 | ||||||
#*Australian Agricultural Co., Ltd. | 801,009 | 1,256,069 | ||||||
Australian Infrastructure Fund NL | 3,018,033 | 5,854,222 | ||||||
Australian Pharmaceutical Industries, Ltd. | 8,248,388 | 4,170,326 | ||||||
*Australian Worldwide Exploration, Ltd. | 1,952,017 | 2,887,032 | ||||||
*Autodom, Ltd. | 170,874 | 11,047 | ||||||
Automotive Holdings Group NL | 408,367 | 913,939 | ||||||
*Autron Corporation, Ltd. | 989,247 | 12,597 | ||||||
#AVJennings, Ltd. | 5,350,378 | 2,974,677 | ||||||
*Avoca Resources, Ltd. | 656,313 | 2,034,329 | ||||||
*AWB, Ltd. | 3,807,619 | 5,542,901 |
41
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
AUSTRALIA — (Continued) | ||||||||
*Ballarat South Gold, Ltd. | 1,996 | $ | 17,644 | |||||
*Bandanna Energy, Ltd. | 522 | 625 | ||||||
Bank of Queensland, Ltd. | 73,597 | 750,560 | ||||||
#*Bannerman Resources, Ltd. | 287,019 | 141,729 | ||||||
*BC Iron, Ltd. | 236,493 | 542,155 | ||||||
Beach Petroleum, Ltd. | 4,219,558 | 2,771,327 | ||||||
*Berkeley Resources, Ltd. | 152,268 | 237,765 | ||||||
Beyond International, Ltd. | 61,256 | 45,002 | ||||||
Billabong International, Ltd. | 327,739 | 2,611,718 | ||||||
*Biota Holdings, Ltd. | 931,131 | 884,522 | ||||||
*Bisalloy Steel Group, Ltd. | 469,001 | 82,733 | ||||||
Blackmores, Ltd. | 76,842 | 2,071,496 | ||||||
#*BMA Gold, Ltd. | 630,072 | 207,943 | ||||||
Boart Longyear Group | 1,686,718 | 5,985,737 | ||||||
*Boom Logistics, Ltd. | 51,533 | 25,238 | ||||||
*Boulder Steel, Ltd. | 1,667,795 | 185,577 | ||||||
#*Bow Energy, Ltd. | 675,655 | 764,964 | ||||||
Bradken, Ltd. | 589,828 | 4,743,303 | ||||||
Breville Group, Ltd. | 598,466 | 1,537,406 | ||||||
Brickworks, Ltd. | 132,797 | 1,480,345 | ||||||
#*Brockman Resources, Ltd. | 653,924 | 2,590,102 | ||||||
BSA, Ltd. | 617,134 | 154,312 | ||||||
BT Investment Management, Ltd. | 147,529 | 381,975 | ||||||
Cabcharge Australia, Ltd. | 449,774 | 2,528,701 | ||||||
Calliden Group, Ltd. | 633,393 | 163,161 | ||||||
#Campbell Brothers, Ltd. | 290,863 | 10,019,193 | ||||||
Cape Lambert Iron Ore, Ltd. | 35,404 | 14,187 | ||||||
*Cape Range Wireless, Ltd. | 7,260 | — | ||||||
*Capral, Ltd. | 58,499 | 8,060 | ||||||
#Cardno, Ltd. | 288,741 | 1,355,665 | ||||||
*Carnarvon Petroleum, Ltd. | 3,731,313 | 1,796,544 | ||||||
*Carnegie Wave Energy, Ltd. | 1,008,948 | 138,820 | ||||||
#Cash Converters International, Ltd. | 1,160,309 | 651,934 | ||||||
*Catalpa Resources, Ltd. | 373,770 | 731,607 | ||||||
*CDS Technologies, Ltd. | 13,276 | — | ||||||
Cedar Woods Properties, Ltd. | 105,205 | 317,906 | ||||||
Cellestis, Ltd. | 387,333 | 902,450 | ||||||
*Cellnet Group, Ltd. | 899,404 | 315,963 | ||||||
#*Centaurus Metals, Ltd. | 867,512 | 80,407 | ||||||
Centrebet International, Ltd. | 36,892 | 56,307 | ||||||
*Centrex Metals, Ltd. | 51,889 | 19,580 | ||||||
#*Ceramic Fuel Cells, Ltd. | 2,622,070 | 460,850 | ||||||
*CGA Mining, Ltd. | 5,702 | 16,365 | ||||||
Challenger Financial Services Group, Ltd. | 1,750,037 | 7,893,293 | ||||||
Chandler Macleod Group, Ltd. | 88,156 | 31,025 | ||||||
*Chemeq, Ltd. | 166,742 | 13,557 | ||||||
#*ChemGenex Pharmaceuticals, Ltd. (6273635) | 621,179 | 328,647 | ||||||
*ChemGenex Pharmaceuticals, Ltd. (B298LK5) | 115,291 | 2,823 | ||||||
*Citadel Resource Group, Ltd. | 5,540,627 | 2,631,178 | ||||||
*Citigold Corp., Ltd. | 3,765,806 | 365,331 | ||||||
Clarius Group, Ltd. | 1,033,818 | 725,783 | ||||||
#*Clinuvel Pharmaceuticals, Ltd. | 1,184,356 | 208,334 | ||||||
Clough, Ltd. | 1,462,308 | 952,835 | ||||||
Clover Corp., Ltd. | 269,348 | 93,856 | ||||||
*CO2 Group, Ltd. | 844,559 | 140,425 | ||||||
*Coal of Africa, Ltd. | 452,906 | 629,348 | ||||||
#*Coalspur Mines, Ltd. | 953,101 | 1,081,314 | ||||||
#*Cockatoo Coal, Ltd. | 2,444,203 | 1,308,881 | ||||||
Codan, Ltd. | 150,672 | 226,135 | ||||||
#Coffey International, Ltd. | 587,435 | 609,319 | ||||||
Collection House, Ltd. | 1,758,898 | 1,276,336 |
42
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
AUSTRALIA — (Continued) | ||||||||
*Comet Ridge, Ltd. | 65,567 | $ | 9,579 | |||||
#ConnectEast Group, Ltd. | 13,951,937 | 5,936,849 | ||||||
#*Conquest Mining, Ltd. | 1,082,609 | 579,985 | ||||||
Consolidated Media Holdings, Ltd. | 1,225,674 | 4,026,953 | ||||||
*Cooper Energy, Ltd. | 226,428 | 99,591 | ||||||
#Count Financial, Ltd. | 798,391 | 1,023,407 | ||||||
Coventry Group, Ltd. | 144,778 | 333,520 | ||||||
#Crane Group, Ltd. | 362,759 | 2,698,262 | ||||||
#Credit Corp. Group, Ltd. | 34,961 | 107,561 | ||||||
*Crescent Gold, Ltd. | 1,124,856 | 171,281 | ||||||
#CSG, Ltd. | 574,628 | 1,009,491 | ||||||
*CudeCo., Ltd. | 316,283 | 742,174 | ||||||
*Cue Energy Resources, Ltd. | 956,173 | 371,159 | ||||||
#*Customers, Ltd. | 477,130 | 868,792 | ||||||
Data#3, Ltd. | 7,813 | 74,899 | ||||||
#David Jones, Ltd. | 1,447,885 | 6,744,051 | ||||||
#*Decmil Group, Ltd. | 207,545 | 527,096 | ||||||
*Deep Yellow, Ltd. | 125,252 | 27,733 | ||||||
Devine, Ltd. | 2,006,856 | 548,304 | ||||||
*Discovery Metals, Ltd. | 869,311 | 997,108 | ||||||
Dominion Mining, Ltd. | 382,377 | 1,125,547 | ||||||
Domino’s Pizza Enterprises, Ltd. | 802 | 4,465 | ||||||
#Downer EDI, Ltd. | 735,244 | 3,651,232 | ||||||
*Dragon Mining, Ltd. | 1,665,100 | 262,142 | ||||||
*Drillsearch Energy, Ltd. | 742,367 | 43,590 | ||||||
DUET Group, Ltd. | 3,300,250 | 5,624,843 | ||||||
*DuluxGroup, Ltd. | 27,501 | 72,734 | ||||||
#DWS Advanced Business Solutions, Ltd. | 158,745 | 258,751 | ||||||
#*Dyesol, Ltd. | 308,239 | 234,755 | ||||||
#*Eastern Star Gas, Ltd. | 3,104,121 | 2,570,998 | ||||||
#*Elders, Ltd. | 1,322,394 | 834,629 | ||||||
*Elementos, Ltd. | 1,039 | 225 | ||||||
*Ellect Holdings, Ltd. | 482 | 1,700 | ||||||
*Ellex Medical Lasers, Ltd. | 197,605 | 53,748 | ||||||
Emeco Holdings, Ltd. | 1,240,388 | 1,083,831 | ||||||
*Energy World Corp., Ltd. | 3,752,842 | 1,425,283 | ||||||
#Envestra, Ltd. | 4,552,356 | 2,323,369 | ||||||
Envirozel, Ltd. | 283,266 | 20,825 | ||||||
Euroz, Ltd. | 13,500 | 17,821 | ||||||
#*Extract Resources, Ltd. | 255,209 | 1,916,891 | ||||||
#Fantastic Holdings, Ltd. | 355,613 | 783,946 | ||||||
*FAR, Ltd. | 414,263 | 28,811 | ||||||
#*Ferraus, Ltd. | 148,325 | 107,688 | ||||||
*Finbar Group, Ltd. | 39,320 | 53,956 | ||||||
FKP Property Group, Ltd. | 1,498,249 | 1,378,928 | ||||||
#Fleetwood Corp., Ltd. | 257,179 | 3,079,229 | ||||||
#FlexiGroup, Ltd. | 597,372 | 877,212 | ||||||
#Flight Centre, Ltd. | 192,954 | 4,317,514 | ||||||
#*Flinders Mines, Ltd. | 6,798,057 | 799,954 | ||||||
*Focus Minerals, Ltd. | 4,358,835 | 218,152 | ||||||
*Forest Enterprises Australia, Ltd. | 2,849,173 | 125,590 | ||||||
Forge Group, Ltd. | 208,416 | 878,578 | ||||||
*Forte Energy NL | 1,022,518 | 83,209 | ||||||
*FTD Corp., Ltd. | 20,365 | 199 | ||||||
#*Galaxy Resources, Ltd. | 437,642 | 625,383 | ||||||
Gazal Corp., Ltd. | 104,542 | 210,952 | ||||||
*Geodynamics, Ltd. | 1,015,653 | 586,458 | ||||||
#*Gindalbie Metals, Ltd. | 1,817,381 | 1,871,950 | ||||||
#*Giralia Resources NL | 625,030 | 1,684,876 | ||||||
*Golden Rim Resources, Ltd. | 105,937 | 18,674 | ||||||
Goodman Fielder, Ltd. | 4,757,757 | 6,917,187 |
43
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
AUSTRALIA — (Continued) | ||||||||
Gowing Bros., Ltd. | 92,437 | $ | 212,701 | |||||
Graincorp, Ltd. Series A | 634,518 | 4,678,450 | ||||||
#*Grange Resources, Ltd. | 1,179,696 | 785,385 | ||||||
#*Great Southern, Ltd. | 9,302,784 | — | ||||||
*Greenland Minerals & Energy, Ltd. | 280,924 | 208,424 | ||||||
#GUD Holdings, Ltd. | 387,740 | 3,972,190 | ||||||
#*Gunns, Ltd. | 2,872,620 | 1,913,292 | ||||||
GWA International, Ltd. | 973,932 | 2,932,647 | ||||||
Hastie Group, Ltd. | 810,423 | 1,229,834 | ||||||
*Havilah Resources NL | 258,836 | 172,716 | ||||||
#*HFA Holdings, Ltd. | 563,939 | 88,642 | ||||||
HGL, Ltd. | 108,137 | 138,225 | ||||||
#*Highlands Pacific, Ltd. | 2,651,500 | 1,055,341 | ||||||
Hills Industries, Ltd. | 936,401 | 1,981,284 | ||||||
#*Horizon Oil, Ltd. | 3,273,068 | 1,151,204 | ||||||
*Hutchison Telecommunications Australia, Ltd. | 7,909,751 | 813,089 | ||||||
#*Icon Energy, Ltd. | 641,396 | 115,944 | ||||||
IDT Australia, Ltd. | 80,953 | 41,494 | ||||||
#iiNet, Ltd. | 390,161 | 1,090,647 | ||||||
*Iluka Resources, Ltd. | 1,472,781 | 9,747,906 | ||||||
#*Imdex, Ltd. | 812,684 | 978,655 | ||||||
IMF Australia, Ltd. | 299,313 | 431,531 | ||||||
*IMX Resources, Ltd. | 594,082 | 261,968 | ||||||
Independence Group NL | 552,303 | 3,801,187 | ||||||
*Indophil Resources NL | 1,738,038 | 1,724,326 | ||||||
Industrea, Ltd. | 3,947,387 | 1,777,133 | ||||||
Infigen Energy, Ltd. | 1,556,089 | 1,124,390 | ||||||
Infomedia, Ltd. | 1,458,074 | 329,623 | ||||||
*Innamincka Petroleum, Ltd. | 172,297 | 22,763 | ||||||
*Integra Mining, Ltd. | 1,988,072 | 997,998 | ||||||
Integrated Research, Ltd. | 261,513 | 87,237 | ||||||
#*Intrepid Mines, Ltd. | 1,275,220 | 2,074,192 | ||||||
#Invocare, Ltd. | 539,854 | 3,462,628 | ||||||
#IOOF Holdings, Ltd. | 950,183 | 6,692,291 | ||||||
Iress Market Technology, Ltd. | 362,582 | 3,111,184 | ||||||
#*Iron Ore Holdings, Ltd. | 329,441 | 553,469 | ||||||
#*iSOFT Group, Ltd. | 2,688,547 | 253,051 | ||||||
#*Ivanhoe Australia, Ltd. | 154,383 | 478,801 | ||||||
*Ixla, Ltd. | 89,921 | 2,026 | ||||||
#*Jabiru Metals, Ltd. | 1,999,578 | 1,096,186 | ||||||
#JB Hi-Fi, Ltd. | 379,557 | 7,396,694 | ||||||
K&S Corp., Ltd. | 168,916 | 409,848 | ||||||
#*Kagara, Ltd. | 1,628,074 | 1,218,365 | ||||||
#*Kangaroo Resources, Ltd. | 1,638,444 | 169,441 | ||||||
#*Karoon Gas Australia, Ltd. | 667,086 | 6,155,517 | ||||||
#*Kimberley Metals, Ltd. | 204,110 | 52,116 | ||||||
#*Kings Minerals NL | 1,961,035 | 250,257 | ||||||
#Kingsgate Consolidated, Ltd. | 409,970 | 4,028,563 | ||||||
#*Kingsrose Mining, Ltd. | 319,536 | 339,430 | ||||||
*Lednium, Ltd. | 195,019 | 15,282 | ||||||
Lemarne Corp., Ltd. | 25,882 | 100,626 | ||||||
#Linc Energy, Ltd. | 1,125,898 | 2,145,054 | ||||||
*Liquefied Natural Gas, Ltd. | 516,898 | 315,376 | ||||||
Lycopodium, Ltd. | 53,127 | 231,134 | ||||||
*Lynas Corp., Ltd. | 6,385,207 | 9,202,825 | ||||||
#M2 Telecommunications Group, Ltd. | 113,950 | 285,782 | ||||||
#MAC Services Group, Ltd. | 203,673 | 766,413 | ||||||
#MacMahon Holdings, Ltd. | 3,283,150 | 1,596,876 | ||||||
Macquarie Telecom Group, Ltd. | 35,019 | 246,176 | ||||||
#*Magma Metals, Ltd. | 240,771 | 137,019 | ||||||
*Manhattan Corp., Ltd. | 7,972 | 7,788 |
44
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
AUSTRALIA — (Continued) | ||||||||
*Mantra Resources, Ltd. | 138,423 | $ | 787,265 | |||||
*Marion Energy, Ltd. | 451,508 | 12,987 | ||||||
Maryborough Sugar Factory, Ltd. | 3,384 | 9,049 | ||||||
MaxiTRANS Industries, Ltd. | 942,578 | 267,185 | ||||||
*McGuigan Simeon Wines, Ltd. | 2,238,544 | 906,983 | ||||||
#McMillan Shakespeare, Ltd. | 217,612 | 1,515,313 | ||||||
#McPherson’s, Ltd. | 303,441 | 925,612 | ||||||
#*Medusa Mining, Ltd. | 388,790 | 2,122,270 | ||||||
#Melbourne IT, Ltd. | 429,792 | 755,802 | ||||||
*MEO Australia, Ltd. | 601,533 | 277,551 | ||||||
#Mermaid Marine Australia, Ltd. (6156941) | 787,337 | 2,200,275 | ||||||
*Mermaid Marine Australia, Ltd. (61569RR) | 55,274 | 154,309 | ||||||
*Mesoblast, Ltd. | 102,927 | 255,868 | ||||||
#*Metgasco, Ltd. | 440,223 | 221,672 | ||||||
*Mikoh Corp., Ltd. | 813,548 | 38,057 | ||||||
*Minara Resources, Ltd. | 1,046,783 | 779,313 | ||||||
Mincor Resources NL | 946,204 | 1,657,455 | ||||||
*Mineral Deposits, Ltd. | 508,287 | 573,266 | ||||||
#Mineral Resources, Ltd. | 371,021 | 3,608,973 | ||||||
#*Mirabela Nickel, Ltd. | 1,199,419 | 1,861,147 | ||||||
#*Mitchell Communications Group, Ltd. | 1,333,070 | 1,573,811 | ||||||
#*Molopo Energy, Ltd. | 1,131,021 | 1,128,469 | ||||||
Monadelphous Group, Ltd. | 302,955 | 4,963,891 | ||||||
*Morning Star Gold NL | 94,805 | 38,626 | ||||||
Mortgage Choice, Ltd. | 641,387 | 753,321 | ||||||
*Mount Gibson Iron, Ltd. | 2,962,399 | 5,885,580 | ||||||
*Murchison Metals, Ltd. | 1,158,607 | 1,771,135 | ||||||
Namoi Cotton Cooperative, Ltd. | 196,490 | 96,193 | ||||||
*Nanosonics, Ltd. | 16,308 | 14,328 | ||||||
National Can Industries, Ltd. | 97,017 | 133,046 | ||||||
Navitas, Ltd. | 1,205,167 | 4,521,704 | ||||||
#*Neptune Marine Services, Ltd. | 698,838 | 150,668 | ||||||
*Nexbis, Ltd. | 580,630 | 41,582 | ||||||
#*Nexus Energy, Ltd. | 2,957,188 | 1,355,353 | ||||||
NIB Holdings, Ltd. | 339,801 | 415,657 | ||||||
#*Nido Petroleum, Ltd. (6165732) | 5,312,071 | 702,462 | ||||||
*Nido Petroleum, Ltd. (61657RR) | 781,083 | 103,290 | ||||||
*Norfolk Group, Ltd. | 196,437 | 219,582 | ||||||
*North Australian Diamonds, Ltd. | 333,270 | 11,521 | ||||||
*Northern Energy Corp., Ltd. | 136,245 | 214,871 | ||||||
*Northern Iron, Ltd. | 222,692 | 335,675 | ||||||
*Norton Gold Fields, Ltd. | 276,468 | 53,978 | ||||||
*Novogen, Ltd. | 391,119 | 47,580 | ||||||
*NRW Holdings, Ltd. | 308,387 | 539,968 | ||||||
#Nufarm, Ltd. | 561,415 | 2,502,399 | ||||||
Oakton, Ltd. | 378,695 | 1,151,169 | ||||||
*Orbital Corp., Ltd. | 492,642 | 13,604 | ||||||
#*Orocobre, Ltd. | 244,317 | 583,957 | ||||||
OrotonGroup, Ltd. | 79,968 | 620,300 | ||||||
*Otto Energy, Ltd. | 1,486,012 | 119,138 | ||||||
*Pacific Brands, Ltd. | 4,412,120 | 4,698,942 | ||||||
*Pacific Niugini, Ltd. | 20,702 | 7,924 | ||||||
#*Pan Pacific Petroleum NL | 1,094,343 | 203,921 | ||||||
*PanAust, Ltd. | 8,757,197 | 6,425,678 | ||||||
Panoramic Resources, Ltd. | 901,883 | 2,083,741 | ||||||
*Paperlinx, Ltd. | 2,771,649 | 1,209,195 | ||||||
Patties Foods, Ltd. | 22,996 | 29,749 | ||||||
*Payce Consolidated, Ltd. | 29,670 | 43,595 | ||||||
#Peet, Ltd. | 1,039,078 | 1,931,596 | ||||||
*Perilya, Ltd. | 677,251 | 359,029 | ||||||
#Perpetual Trustees Australia, Ltd. | 145,492 | 5,401,823 |
45
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
AUSTRALIA — (Continued) | ||||||||
#*Perseus Mining, Ltd. | 1,377,405 | $ | 4,047,188 | |||||
#*Pharmaxis, Ltd. | 815,846 | 2,253,128 | ||||||
Photon Group, Ltd. | 240,874 | 16,025 | ||||||
*Planet Gas, Ltd. | 55,177 | 4,030 | ||||||
*Plantcorp NL | 4,329 | — | ||||||
#*Platinum Australia, Ltd. | 983,731 | 636,617 | ||||||
PMP, Ltd. | 1,813,797 | 1,360,587 | ||||||
#*Port Bouvard, Ltd. | 270,578 | 27,830 | ||||||
*Poseidon Nickel, Ltd. | 425,525 | 75,086 | ||||||
#Premier Investments, Ltd. | 198,655 | 1,345,032 | ||||||
*Prima Biomed, Ltd. | 1,575,197 | 200,794 | ||||||
Primary Health Care, Ltd. | 1,717,450 | 5,255,394 | ||||||
Prime Media Group, Ltd. | 1,001,480 | 639,414 | ||||||
#*PrimeAg Australia, Ltd. | 18,825 | 26,320 | ||||||
Probiotec, Ltd. | 8,144 | 7,368 | ||||||
Programmed Maintenance Service, Ltd. | 549,269 | 1,052,882 | ||||||
*QRxPharma, Ltd. | 6,876 | 6,254 | ||||||
*Quickstep Holdings, Ltd. | 271,165 | 105,769 | ||||||
Ramelius Resources, Ltd. | 147,307 | 104,730 | ||||||
RCR Tomlinson, Ltd. | 1,082,680 | 1,476,211 | ||||||
#REA Group, Ltd. | 192,233 | 2,026,400 | ||||||
Reckon, Ltd. | 168,787 | 380,590 | ||||||
*Red Fork Energy, Ltd. | 62,243 | 24,706 | ||||||
Redflex Holdings, Ltd. | 377,855 | 952,501 | ||||||
#Reece Australia, Ltd. | 238,457 | 5,205,510 | ||||||
*Regis Resources, Ltd. | 955,707 | 1,499,351 | ||||||
Reject Shop, Ltd. (The) | 112,300 | 2,023,427 | ||||||
#*Resolute Mining, Ltd. | 1,442,710 | 1,861,353 | ||||||
*Resource Generation, Ltd. | 94,910 | 53,806 | ||||||
#Retail Food Group, Ltd. | 28,518 | 70,484 | ||||||
Reverse Corp., Ltd. | 120,559 | 14,216 | ||||||
#*Rex Minerals, Ltd. | 208,529 | 510,483 | ||||||
*RHG, Ltd. | 518,226 | 359,482 | ||||||
Ridley Corp., Ltd. | 1,283,068 | 1,546,683 | ||||||
#*RiverCity Motorway Group, Ltd. | 1,563,354 | 19,834 | ||||||
*Riversdale Mining, Ltd. | 816,637 | 8,595,557 | ||||||
*Roc Oil Co., Ltd. | 1,448,827 | 590,333 | ||||||
Rock Building Society, Ltd. | 30,256 | 77,032 | ||||||
Ross Human Directions, Ltd. | 138,330 | 94,331 | ||||||
RP Data, Ltd. | 10,477 | 12,191 | ||||||
*Runge, Ltd. | 30,702 | 15,360 | ||||||
#Ruralco Holdings, Ltd. | 88,146 | 215,194 | ||||||
#SAI Global, Ltd. | 992,324 | 4,250,991 | ||||||
*Salinas Energy, Ltd. | 637,362 | 96,214 | ||||||
#Salmat, Ltd. | 690,131 | 2,777,769 | ||||||
#*Samson Oil & Gas, Ltd. | 2,064,909 | 121,313 | ||||||
*Sandfire Resources NL | 337,052 | 2,651,661 | ||||||
*Saracen Mineral Holdings, Ltd. | 1,181,452 | 708,846 | ||||||
Schaffer Corp., Ltd. | 33,766 | 151,939 | ||||||
SDI, Ltd. | 169,883 | 38,830 | ||||||
#Sedgman, Ltd. | 241,918 | 491,542 | ||||||
#Seek, Ltd. | 666,916 | 4,729,187 | ||||||
Select Harvests, Ltd. | 281,832 | 887,511 | ||||||
#Servcorp, Ltd. | 307,866 | 912,914 | ||||||
*Service Stream, Ltd. | 1,432,710 | 689,769 | ||||||
*Seven Group Holdings, Ltd. | 723,898 | 5,239,495 | ||||||
Sigma Pharmaceuticals, Ltd. | 4,862,235 | 2,152,431 | ||||||
*Sihayo Gold, Ltd. | 169,168 | 32,359 | ||||||
#*Silex System, Ltd. | 459,090 | 2,362,981 | ||||||
*Silver Lake Resources, Ltd. | 429,217 | 979,166 | ||||||
#Sirtex Medical, Ltd. | 218,417 | 1,293,397 |
46
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
AUSTRALIA — (Continued) | ||||||||
#*Skilled Group, Ltd. | 391,751 | $ | 563,253 | |||||
*Slater & Gordon, Ltd. | 12,760 | 23,398 | ||||||
SMS Management & Technology, Ltd. | 302,811 | 2,031,414 | ||||||
Southern Cross Electrical Engineering, Ltd. | 16,785 | 19,765 | ||||||
Southern Cross Media Group, Ltd. | 1,517,898 | 3,339,134 | ||||||
SP Ausnet, Ltd. | 852,696 | 775,481 | ||||||
#SP Telemedia, Ltd. | 1,407,243 | 2,148,819 | ||||||
Spark Infrastructure Group, Ltd. | 4,454,005 | 4,887,344 | ||||||
#Specialty Fashion Group, Ltd. | 766,728 | 1,000,786 | ||||||
*Sphere Minerals, Ltd. | 71,932 | 174,730 | ||||||
Spotless Group, Ltd. | 1,144,847 | 2,563,185 | ||||||
*St. Barbara, Ltd. | 9,348,675 | 3,822,176 | ||||||
*Starpharma Holdings, Ltd. | 652,875 | 449,314 | ||||||
Straits Resources, Ltd. | 878,069 | 1,609,691 | ||||||
Structural Systems, Ltd. | 138,772 | 113,411 | ||||||
Stuart Petroleum, Ltd. | 169,387 | 102,764 | ||||||
STW Communications Group, Ltd. | 770,830 | 724,112 | ||||||
*Sundance Resources, Ltd. | 6,460,379 | 1,827,895 | ||||||
*Sunland Group, Ltd. | 741,191 | 576,672 | ||||||
Super Cheap Auto Group, Ltd. | 832,879 | 5,437,284 | ||||||
#*Swick Mining Services, Ltd. | 49,595 | 17,918 | ||||||
Symex Holdings, Ltd. | 355,611 | 201,813 | ||||||
Talent2 International, Ltd. | 474,826 | 696,657 | ||||||
*Tanami Gold NL | 261,083 | 215,865 | ||||||
#*Tap Oil, Ltd. | 2,094,148 | 1,628,947 | ||||||
Tassal Group, Ltd. | 592,464 | 801,318 | ||||||
Technology One, Ltd. | 1,332,269 | 1,294,265 | ||||||
#*Ten Network Holdings, Ltd. | 3,318,272 | 4,685,349 | ||||||
*Terramin Australia, Ltd. | 155,209 | 75,969 | ||||||
*TFS Corp., Ltd. | 1,042,607 | 975,827 | ||||||
*Thakral Holdings Group, Ltd. | 2,559,697 | 1,121,289 | ||||||
Thorn Group, Ltd. | 265,186 | 430,719 | ||||||
#*Tiger Resources, Ltd. | 728,441 | 260,269 | ||||||
*TNG, Ltd. | 207,823 | 9,763 | ||||||
*Toro Energy, Ltd. | 49,742 | 6,103 | ||||||
Tower Australia Group, Ltd. | 1,514,406 | 3,582,796 | ||||||
#Tox Free Solutions, Ltd. | 355,104 | 866,369 | ||||||
Transfield Services, Ltd. | 1,322,886 | 4,492,942 | ||||||
#Transfield Services, Ltd. Infrastructure Fund | 1,358,856 | 890,064 | ||||||
#*Transpacific Industries Group, Ltd. | 1,480,862 | 1,792,909 | ||||||
#*Troy Resources NL | 346,695 | 1,143,814 | ||||||
#Trust Co., Ltd. (The) | 82,756 | 494,343 | ||||||
UGL, Ltd. | 332,576 | 4,807,541 | ||||||
#UXC, Ltd. | 1,169,545 | 576,341 | ||||||
*Victoria Petroleum NL | 321,962 | 115,042 | ||||||
*View Resources, Ltd. | 1,283,369 | 163,426 | ||||||
Village Roadshow, Ltd. | 588,365 | 1,353,030 | ||||||
*Virgin Blue Holdings, Ltd. | 5,609,863 | 2,369,348 | ||||||
Warrnambool Cheese & Butter Factory Co. Holding, Ltd. | 1,022 | 2,941 | ||||||
#Watpac, Ltd. | 683,114 | 1,113,946 | ||||||
#*WDS, Ltd. | 375,342 | 249,365 | ||||||
#Webjet, Ltd. | 373,212 | 945,320 | ||||||
*Webster, Ltd. | 144,737 | 63,857 | ||||||
#West Australian Newspapers Holdings, Ltd. | 756,808 | 5,306,719 | ||||||
#Western Areas NL | 529,359 | 3,054,037 | ||||||
*Westgold Resources, Ltd. | 26,150 | 9,924 | ||||||
#*White Energy Co., Ltd. | 507,234 | 1,888,860 | ||||||
*White Rock Minerals, Ltd. | 1,968 | 694 | ||||||
*Whitehaven Coal, Ltd. | 54,591 | 371,851 | ||||||
#WHK Group, Ltd. | 1,202,433 | 1,288,573 | ||||||
#Wide Bay Australia, Ltd. | 75,049 | 746,525 |
47
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
AUSTRALIA — (Continued) | ||||||||
Willmott Forests, Ltd. | 17,224 | $ | 5,399 | |||||
#*Windimurra Vanadium, Ltd. | 537,429 | 89,494 | ||||||
Wotif.com Holdings, Ltd. | 477,282 | 2,190,473 | ||||||
TOTAL AUSTRALIA | 555,384,968 | |||||||
HONG KONG — (19.2%) | ||||||||
*ABC Communications Holdings, Ltd. | 726,000 | 121,228 | ||||||
Aeon Credit Service (Asia) Co., Ltd. | 580,000 | 490,395 | ||||||
Aeon Stores Hong Kong Co., Ltd. | 234,000 | 510,839 | ||||||
Alco Holdings, Ltd. | 1,468,000 | 635,752 | ||||||
Allan International Holdings, Ltd. | 720,000 | 336,445 | ||||||
Allied Group, Ltd. | 683,200 | 2,534,956 | ||||||
Allied Properties, Ltd. | 12,177,857 | 2,521,662 | ||||||
*Amax Holdings, Ltd. | 1,650,000 | 30,417 | ||||||
*Apac Resources, Ltd. | 10,240,000 | 662,039 | ||||||
*APT Satellite Holdings, Ltd. | 850,000 | 295,722 | ||||||
#*Artel Solutions Group Holdings, Ltd. | 7,885,000 | 437,890 | ||||||
*Artini China Co., Ltd. | 2,530,000 | 166,982 | ||||||
Arts Optical International Holdings, Ltd. | 730,000 | 321,780 | ||||||
Asia Commercial Holdings, Ltd. | 131,040 | 50,772 | ||||||
Asia Financial Holdings, Ltd. | 2,474,908 | 1,059,137 | ||||||
Asia Satellite Telecommunications Holdings, Ltd. | 962,000 | 1,723,959 | ||||||
Asia Standard Hotel Group, Ltd. | 13,607,218 | 880,424 | ||||||
Asia Standard International Group, Ltd. | 14,555,281 | 2,693,284 | ||||||
*Asia TeleMedia, Ltd. | 2,832,000 | 36,536 | ||||||
*Associated International Hotels, Ltd. | 954,000 | 2,010,767 | ||||||
Aupu Group Holding Co., Ltd. | 2,336,000 | 419,070 | ||||||
*Automated Systems Holdings, Ltd. | 394,000 | 87,099 | ||||||
Bauhaus International Holdings, Ltd. | 308,000 | 134,567 | ||||||
*Beijing Enterprises Water Group, Ltd. | 1,779,779 | 622,555 | ||||||
*Beijing Properties Holdings, Ltd. | 5,972 | 587 | ||||||
*Bel Global Resources Holdings, Ltd. | 2,576,000 | 55,161 | ||||||
*Bio-Dynamic Group, Ltd. | 2,432,000 | 398,167 | ||||||
*Birmingham International Holdings, Ltd. | 5,828,000 | 153,437 | ||||||
Bonjour Holdings, Ltd. | 4,128,000 | 697,750 | ||||||
Bossini International Holdings, Ltd. | 3,871,500 | 410,493 | ||||||
*Burwill Holdings, Ltd. | 7,782,960 | 432,252 | ||||||
C C Land Holdings, Ltd. | 5,365,000 | 2,061,520 | ||||||
Cafe de Coral Holdings, Ltd. | 662,000 | 1,863,856 | ||||||
*Capital Estate, Ltd. | 4,211,000 | 217,733 | ||||||
*Capital Publications, Ltd. | 20,847,170 | 512,219 | ||||||
CASH Financial Services Group, Ltd. | 119,565 | 29,874 | ||||||
Celestial Asia Securities Holdings, Ltd. | 5,709,720 | 405,141 | ||||||
#Century City International Holdings, Ltd. | 5,171,460 | 413,370 | ||||||
Century Sunshine Group Holdings, Ltd. | 3,655,000 | 143,844 | ||||||
Champion Technology Holdings, Ltd. | 7,334,000 | 232,324 | ||||||
Chen Hsong Holdings, Ltd. | 728,000 | 340,790 | ||||||
Cheuk Nang Holdings, Ltd. | 196,840 | 69,258 | ||||||
Chevalier International Holdings, Ltd. | 733,482 | 794,799 | ||||||
Chevalier Pacific Holdings, Ltd. | 5,112,500 | 191,931 | ||||||
*China Best Group Holding, Ltd. | 3,721,400 | 61,469 | ||||||
*China Boon Holdings, Ltd. | 4,540,000 | 243,060 | ||||||
*China Digicontent Co., Ltd. | 2,710,000 | 3,496 | ||||||
*China Digital Licensing Group, Ltd. | 900,000 | 47,648 | ||||||
*China Electronics Corp. Holdings Co., Ltd. | 2,888,250 | 396,061 | ||||||
*China Energy Development Holdings, Ltd. | 15,736,000 | 966,051 | ||||||
*China Flavors & Fragrances Co., Ltd. | 138,711 | 35,696 | ||||||
*China Glass Holdings, Ltd. | 120,000 | 80,772 | ||||||
*China Infrastructure Investment, Ltd. | 8,680,000 | 375,845 | ||||||
*China Investments Holdings, Ltd. | 210,000 | 6,754 | ||||||
*China LotSynergy Holdings, Ltd. | 3,217,032 | 124,755 |
48
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
HONG KONG — (Continued) | ||||||||
*China Mandarin Holdings, Ltd. | 30,864,000 | $ | 158,465 | |||||
China Metal International Holdings, Ltd. | 2,582,000 | 661,268 | ||||||
*China Motion Telecom International, Ltd. | 5,080,000 | 105,182 | ||||||
China Motor Bus Co., Ltd. | 70,200 | 604,460 | ||||||
*China Ocean Shipbuilding Industry Group, Ltd. | 4,137,500 | 98,609 | ||||||
*China Pipe Group, Ltd. | 100,000 | 993 | ||||||
*China Properties Investment Holdings, Ltd. | 3,520 | 797 | ||||||
#*China Public Procurement, Ltd. | 5,352,000 | 469,519 | ||||||
*China Renji Medical Group, Ltd. | 12,784,000 | 98,957 | ||||||
*China Solar Energy Holdings, Ltd. | 15,590,000 | 361,978 | ||||||
*China Sonangol Resources Enterprise, Ltd. | 330,000 | 63,659 | ||||||
*China Strategic Holdings, Ltd. | 8,030,000 | 280,162 | ||||||
China Sunshine Paper Holdings Co., Ltd. | 391,500 | 237,257 | ||||||
China Taisan Technology Group Holdings, Ltd. | 545,000 | 86,750 | ||||||
*China Timber Resources Group, Ltd. | 22,700,000 | 307,298 | ||||||
China Ting Group Holdings, Ltd. | 1,329,151 | 218,168 | ||||||
#*China WindPower Group, Ltd. | 13,470,000 | 1,392,758 | ||||||
*China Yunnan Tin Minerals Group, Ltd. | 8,800,000 | 104,588 | ||||||
China-Hongkong Photo Products Holdings, Ltd. | 1,909,000 | 162,142 | ||||||
#*Chinasoft International, Ltd. | 2,020,000 | 571,806 | ||||||
*ChinaVision Media Group, Ltd. | 4,320,000 | 386,243 | ||||||
Chinney Investments, Ltd. | 1,144,000 | 176,006 | ||||||
#Chong Hing Bank, Ltd. | 880,000 | 2,179,566 | ||||||
Chow Sang Sang Holdings, Ltd. | 1,167,680 | 3,074,479 | ||||||
Chu Kong Shipping Development Co., Ltd. | 2,068,000 | 459,476 | ||||||
*Chuang’s China Investments, Ltd. | 1,548,000 | 104,229 | ||||||
Chuang’s Consortium International, Ltd. | 3,676,317 | 475,660 | ||||||
Chun Wo Development Holdings, Ltd. | 2,002,926 | 155,324 | ||||||
#Citic 1616 Holdings, Ltd. | 4,173,000 | 1,445,757 | ||||||
*City e-Solutions, Ltd. | 186,000 | 20,391 | ||||||
#City Telecom, Ltd. | 1,430,751 | 920,915 | ||||||
*CK Life Sciences International Holdings, Inc. | 9,896,000 | 588,346 | ||||||
*Climax International Co., Ltd. | 40,700 | 131 | ||||||
*CNT Group, Ltd. | 8,315,264 | 376,402 | ||||||
COL Capital, Ltd. | 2,725,840 | 450,392 | ||||||
Computer & Technologies Holdings, Ltd. | 432,000 | 96,689 | ||||||
Continental Holdings, Ltd. | 5,148,250 | 114,276 | ||||||
Convenience Retail Asia, Ltd. | 64,000 | 24,802 | ||||||
*Cosmos Machinery Enterprises, Ltd. | 1,616,400 | 168,950 | ||||||
Cosway Corp., Ltd. | 380,000 | 45,798 | ||||||
*CP Lotus Corp. | 9,430,000 | 316,731 | ||||||
CP Pokphand Co., Ltd. | 286,233 | 25,133 | ||||||
#Cross-Harbour Holdings, Ltd. (The) | 618,520 | 529,299 | ||||||
CSI Properties, Ltd. | 18,589,625 | 507,391 | ||||||
*CST Mining Group, Ltd. | 45,616,000 | 1,362,623 | ||||||
*Culture Landmark Investment, Ltd. | 10,196,000 | 320,999 | ||||||
Dah Chong Hong Holdings, Ltd. | 2,273,000 | 2,688,672 | ||||||
Dah Sing Banking Group, Ltd. | 974,400 | 1,668,573 | ||||||
Dah Sing Financial Holdings, Ltd. | 311,600 | 2,166,774 | ||||||
*Daisho Microline Holdings, Ltd. | 752,000 | 54,565 | ||||||
*Dan Form Holdings Co., Ltd. | 3,427,260 | 459,992 | ||||||
*DBA Telecommunication Asia Holdings, Ltd. | 812,000 | 151,116 | ||||||
#*Dejin Resources Group Co., Ltd. | 14,674,000 | 493,607 | ||||||
Dickson Concepts International, Ltd. | 849,000 | 721,508 | ||||||
*Dragon Hill Wuling Automobile Holdings, Ltd. | 112,500 | 20,523 | ||||||
DVN Holdings, Ltd. | 2,183,000 | 152,655 | ||||||
*Dynamic Energy Holdings, Ltd. | 3,980,000 | 169,444 | ||||||
Dynamic Holdings, Ltd. | 374,000 | 75,635 | ||||||
Eagle Nice International Holdings, Ltd. | 1,046,000 | 363,382 | ||||||
EcoGreen Fine Chemicals Group, Ltd. | 1,112,000 | 402,696 | ||||||
*Eforce Holdings, Ltd. | 5,402,000 | 77,420 |
49
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
HONG KONG — (Continued) | ||||||||
*EganaGoldpfeil Holdings, Ltd. | 4,121,757 | $ | — | |||||
*E-Kong Group, Ltd. | 620,000 | 40,351 | ||||||
Emperor Capital Group, Ltd. | 749,672 | 46,010 | ||||||
Emperor Entertainment Hotel, Ltd. | 2,410,000 | 410,738 | ||||||
Emperor International Holdings, Ltd. | 4,514,360 | 973,736 | ||||||
Emperor Watch & Jewellery, Ltd. | 8,200,000 | 1,178,024 | ||||||
#*ENM Holdings, Ltd. | 15,112,000 | 1,702,634 | ||||||
*EPI Holdings, Ltd. | 24,960,000 | 260,981 | ||||||
*eSun Holdings, Ltd. | 594,000 | 76,628 | ||||||
EVA Precision Industrial Holdings, Ltd. | 1,828,000 | 1,525,324 | ||||||
*Ezcom Holdings, Ltd. | 72,576 | 449 | ||||||
Fairwood, Ltd. | 316,600 | 435,986 | ||||||
#Far East Consortium International, Ltd. | 4,138,766 | 1,128,379 | ||||||
*Far East Technology International, Ltd. | 179,520 | 17,833 | ||||||
*First Natural Foods Holdings, Ltd. | 2,365,000 | — | ||||||
*Fong’s Industries Co., Ltd. | 220,000 | 124,123 | ||||||
*Foundation Group, Ltd. | 2,350,000 | 35,472 | ||||||
*Fountain SET Holdings, Ltd. | 958,000 | 170,856 | ||||||
Four Seas Mercantile Holdings, Ltd. | 592,000 | 171,972 | ||||||
*Frasers Property China, Ltd. | 16,477,000 | 409,106 | ||||||
#Fubon Bank Hong Kong, Ltd. | 1,336,000 | 616,048 | ||||||
*Fujian Holdings, Ltd. | 117,800 | 7,988 | ||||||
Fujikon Industrial Holdings, Ltd. | 912,000 | 204,246 | ||||||
*Genting Hong Kong, Ltd. | 20,000 | 9,156 | ||||||
Get Nice Holdings, Ltd. | 11,372,000 | 721,487 | ||||||
Giordano International, Ltd. | 6,824,000 | 4,100,503 | ||||||
*Global Green Tech Group, Ltd. | 4,876,000 | 85,130 | ||||||
*Global Tech Holdings, Ltd. | 5,612,000 | 63,377 | ||||||
Glorious Sun Enterprises, Ltd. | 2,526,000 | 1,150,388 | ||||||
Gold Peak Industries Holding, Ltd. | 3,176,642 | 469,617 | ||||||
*Golden Resorts Group, Ltd. | 15,408,000 | 666,402 | ||||||
Golden Resources Development International, Ltd. | 3,076,500 | 226,863 | ||||||
*Goldin Financial Holdings, Ltd. | 480,000 | 51,499 | ||||||
#*Goldin Properties Holdings, Ltd. | 2,002,000 | 1,126,399 | ||||||
Golik Holdings, Ltd. | 250,500 | 22,016 | ||||||
*Good Fellow Resources Holdings, Ltd. | 1,670,000 | 145,705 | ||||||
*GR Vietnam Holdings, Ltd. | 620,000 | 12,627 | ||||||
*Grande Holdings, Ltd. | 882,000 | 72,788 | ||||||
Great Eagle Holdings, Ltd. | 885,499 | 2,653,435 | ||||||
*G-Resources Group, Ltd. | 37,692,000 | 2,314,120 | ||||||
*Group Sense International, Ltd. | 2,448,000 | 78,018 | ||||||
Guangnan Holdings, Ltd. | 2,093,600 | 472,788 | ||||||
*Hang Fung Gold Technology, Ltd. | 1,972,482 | — | ||||||
Hang Ten Group Holdings, Ltd. | 2,164,000 | 401,530 | ||||||
*Hannstar Board International Holdings, Ltd. | 1,446,000 | 265,939 | ||||||
Hanny Holdings, Ltd. | 831,090 | 56,862 | ||||||
*Hans Energy Co., Ltd. | 7,556,000 | 303,476 | ||||||
Harbour Centre Development, Ltd. | 889,500 | 1,078,520 | ||||||
Henderson Investment, Ltd. | 4,187,000 | 432,864 | ||||||
High Fashion International, Ltd. | 268,000 | 106,829 | ||||||
HKR International, Ltd. | 2,385,536 | 1,224,955 | ||||||
Hon Kwok Land Investment Co., Ltd. | 280,800 | 103,387 | ||||||
*Hong Fok Land, Ltd. | 1,210,000 | 1,561 | ||||||
Hong Kong & Shanghai Hotels, Ltd. | 65,794 | 116,054 | ||||||
*Hong Kong Catering Management, Ltd. | 542,796 | 122,302 | ||||||
Hong Kong Ferry Holdings, Ltd. | 809,300 | 795,537 | ||||||
Hong Kong Food Investment Holdings, Ltd. | 202,184 | 34,544 | ||||||
#Hong Kong Resources Holdings Co., Ltd. | 4,377,450 | 753,170 | ||||||
*Hongkong Chinese, Ltd. | 4,482,000 | 631,530 | ||||||
Hop Fung Group Holdings, Ltd. | 888,000 | 152,835 | ||||||
Hsin Chong Construction Group, Ltd. | 1,569,658 | 237,566 |
50
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
HONG KONG — (Continued) | ||||||||
Huafeng Group Holdings, Ltd. | 6,997,325 | $ | 429,215 | |||||
Hung Hing Printing Group, Ltd. | 950,000 | 297,959 | ||||||
*Huscoke Resources Holdings, Ltd. | 9,120,000 | 565,222 | ||||||
*Hutchison Harbour Ring, Ltd. | 9,038,000 | 1,003,624 | ||||||
*Hybrid Kinetic Group, Ltd. | 14,884,000 | 443,910 | ||||||
*HyComm Wireless, Ltd. | 89,090 | 57,008 | ||||||
*I-Cable Communications, Ltd. | 531,000 | 75,475 | ||||||
*IDT International, Ltd. | 6,240,183 | 161,931 | ||||||
#Integrated Distribution Services Group, Ltd. | 759,000 | 2,506,744 | ||||||
*iOne Holdings, Ltd. | 860,000 | 55,449 | ||||||
IPE Group, Ltd. | 1,865,000 | 281,742 | ||||||
#IT, Ltd. | 2,734,000 | 2,306,374 | ||||||
*ITC Corp., Ltd. | 893,645 | 47,729 | ||||||
*ITC Properties Group, Ltd. | 3,672,747 | 1,016,045 | ||||||
*Jackin International Holdings, Ltd. | 2,334,000 | 101,498 | ||||||
*Jinhui Holdings, Ltd. | 302,000 | 94,108 | ||||||
*Jiuzhou Development Co., Ltd. | 2,558,000 | 228,346 | ||||||
*JLF Investment Co., Ltd. | 2,903,500 | 225,418 | ||||||
Johnson Electric Holdings, Ltd. | 1,814,500 | 956,004 | ||||||
Joyce Boutique Holdings, Ltd. | 1,530,000 | 76,072 | ||||||
Junefield Department Store Group, Ltd. | 384,000 | 19,403 | ||||||
#K Wah International Holdings, Ltd. | 4,484,405 | 1,689,414 | ||||||
Kam Hing International Holdings, Ltd. | 794,000 | 139,924 | ||||||
Kantone Holdings, Ltd. | 10,351,685 | 195,018 | ||||||
*Karl Thomson Holdings, Ltd. | 1,188,000 | 118,263 | ||||||
Karrie International Holdings, Ltd. | 1,383,600 | 91,060 | ||||||
Keck Seng Investments | 904,600 | 472,880 | ||||||
Kee Shing Holdings, Ltd. | 886,000 | 192,669 | ||||||
*Kee Shing Investment, Ltd. | 886,000 | 22,861 | ||||||
Kin Yat Holdings, Ltd. | 586,000 | 224,484 | ||||||
King Fook Holdings, Ltd. | 812,000 | 253,765 | ||||||
*King Pacific International Holdings, Ltd. | 1,404,200 | 22,101 | ||||||
*King Stone Energy Group, Ltd. | 39,780,000 | 1,206,038 | ||||||
Kingmaker Footwear Holdings, Ltd. | 1,476,955 | 307,311 | ||||||
Kith Holdings, Ltd. | 204,000 | 42,416 | ||||||
*Kiu Hung Energy Holdings, Ltd. | 10,810,000 | 477,118 | ||||||
*Ko Yo Ecological Agrotech Group, Ltd. | 13,000,000 | 286,979 | ||||||
*Kong Sun Holdings, Ltd. | 164,850 | 6,829 | ||||||
*Kowloon Development Co., Ltd. | 1,509,000 | 1,677,784 | ||||||
*KPI Co., Ltd. | 954,000 | 44,561 | ||||||
*KTP Holdings, Ltd. | 560,400 | 94,128 | ||||||
Kwoon Chung Bus Holdings, Ltd. | 556,000 | 110,390 | ||||||
*Lai Sun Development Co., Ltd. | 73,481,800 | 1,949,723 | ||||||
*Lai Sun Garment International, Ltd. | 614,000 | 56,307 | ||||||
Lam Soon Hong Kong, Ltd. | 302,310 | 296,141 | ||||||
Le Saunda Holdings, Ltd. | 1,448,000 | 862,767 | ||||||
*Leading Spirit High-Tech Holdings Co., Ltd. | 2,310,000 | 2,980 | ||||||
#Lee & Man Holdings, Ltd. | 1,780,000 | 1,744,085 | ||||||
Lerado Group Holdings Co., Ltd. | 1,742,000 | 330,452 | ||||||
#Li Heng Chemical Fibre Technologies, Ltd. | 1,528,000 | 255,660 | ||||||
Lippo China Resources, Ltd. | 2,708,000 | 82,244 | ||||||
Lippo, Ltd. | 1,195,700 | 456,226 | ||||||
*Lisi Group Holdings, Ltd. | 2,534,000 | 237,479 | ||||||
Liu Chong Hing Investment, Ltd. | 733,200 | 858,747 | ||||||
*Longrun Tea Group Co., Ltd. | 1,210,000 | 126,526 | ||||||
Luen Thai Holdings, Ltd. | 1,345,000 | 137,274 | ||||||
#Luk Fook Holdings International, Ltd. | 1,166,000 | 2,870,194 | ||||||
#Luks Industrial Group, Ltd. | 386,913 | 143,873 | ||||||
*Lung Cheong International Holdings, Ltd. | 6,790,000 | 303,642 | ||||||
Lung Kee (Bermuda) Holdings, Ltd. | 1,597,875 | 929,900 | ||||||
*Madex International Holdings, Ltd. | 3,522,000 | 64,582 |
51
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
HONG KONG — (Continued) | ||||||||
Magnificent Estates, Ltd. | 13,184,000 | $ | 426,022 | |||||
Mainland Headwear Holdings, Ltd. | 765,600 | 92,919 | ||||||
Man Yue International Holdings, Ltd. | 1,064,000 | 319,694 | ||||||
*Mascotte Holdings, Ltd. | 1,064,000 | 54,928 | ||||||
Matrix Holdings, Ltd. | 1,067,414 | 216,433 | ||||||
*Mei Ah Entertainment Group, Ltd. | 10,920,000 | 229,696 | ||||||
Melbourne Enterprises, Ltd. | 45,500 | 610,761 | ||||||
#*Melco International Development, Ltd. | 3,145,000 | 1,800,892 | ||||||
*Midas International Holdings, Ltd. | 2,752,000 | 80,165 | ||||||
#Midland Holdings, Ltd. | 2,784,000 | 2,811,834 | ||||||
*Ming Fai International Holdings, Ltd. | 1,264,000 | 504,985 | ||||||
*Ming Fung Jewellery Group, Ltd. | 4,800,000 | 452,945 | ||||||
Miramar Hotel & Investment Co., Ltd. | 772,000 | 905,272 | ||||||
Nanyang Holdings, Ltd. | 137,500 | 310,627 | ||||||
National Electronics Holdings, Ltd. | 2,156,000 | 206,301 | ||||||
Natural Beauty Bio-Technology, Ltd. | 4,310,000 | 1,280,860 | ||||||
#Neo-Neon Holdings, Ltd. | 1,633,000 | 994,887 | ||||||
New Century Group Hong Kong, Ltd. | 13,351,464 | 279,720 | ||||||
*New Focus Auto Tech Holdings, Ltd. | 60,000 | 17,210 | ||||||
*New Times Energy Corp, Ltd. | 19,074,000 | 595,801 | ||||||
Neway Group Holdings, Ltd. | 19,910,000 | 848,727 | ||||||
Newocean Green Energy Holdings, Ltd. | 2,704,000 | 667,205 | ||||||
*Next Media, Ltd. | 3,823,183 | 567,412 | ||||||
*Ngai Lik Industrial Holdings, Ltd. | 2,426,000 | 53,207 | ||||||
*Norstar Founders Group, Ltd. | 3,256,000 | — | ||||||
#*North Asia Resources Holdings, Ltd. | 1,968,600 | 348,654 | ||||||
*Omnicorp, Ltd. | 1,070,000 | 319,713 | ||||||
*Orange Sky Golden Harvest Entertainment Holdings, Ltd. | 5,689,706 | 381,860 | ||||||
*Orient Power Holdings, Ltd. | 804,000 | 19,500 | ||||||
Oriental Watch Holdings, Ltd. | 821,000 | 424,864 | ||||||
#*Pacific Andes International Holdings, Ltd. | 4,642,919 | 811,051 | ||||||
Pacific Basin Shipping, Ltd. | 6,240,000 | 4,568,892 | ||||||
Pacific Century Premium Developments, Ltd. | 4,160,000 | 795,432 | ||||||
Pacific Textile Holdings, Ltd. | 1,480,000 | 839,006 | ||||||
#Paliburg Holdings, Ltd. | 2,198,830 | 775,732 | ||||||
Pan Asia Environmental Protection Group, Ltd. | 1,144,432 | 248,168 | ||||||
Paul Y Engineering Group, Ltd. | 77,759 | 6,218 | ||||||
#*Peace Mark Holdings, Ltd. | 2,738,022 | — | ||||||
*Pearl Oriental Innovation, Ltd. | 3,799,000 | 764,579 | ||||||
Pegasus International Holdings, Ltd. | 226,000 | 35,876 | ||||||
#*PetroAsian Energy Holdings, Ltd. | 2,680,000 | 169,128 | ||||||
#Phoenix Satellite Television Holdings, Ltd. | 2,164,000 | 776,039 | ||||||
Pico Far East Holdings, Ltd. | 3,670,000 | 721,354 | ||||||
*PME Group, Ltd. | 3,030,000 | 332,269 | ||||||
*PNG Resources Holdings, Ltd. | 14,682,362 | 606,047 | ||||||
Pokfulam Development Co., Ltd. | 234,000 | 236,464 | ||||||
*Polytec Asset Holdings, Ltd. | 4,773,526 | 831,514 | ||||||
*Premium Land, Ltd. | 4,950,000 | 86,932 | ||||||
Public Financial Holdings, Ltd. | 1,848,000 | 1,233,451 | ||||||
*PYI Corp., Ltd. | 8,962,000 | 336,765 | ||||||
*Pyxis Group, Ltd. | 1,936,000 | 42,460 | ||||||
*QPL International Holdings, Ltd. | 992,000 | 52,707 | ||||||
Raymond Industrial, Ltd. | 1,383,400 | 178,686 | ||||||
Regal Hotels International Holdings, Ltd. | 2,253,800 | 897,084 | ||||||
*Rising Development Holdings, Ltd. | 2,278,000 | 556,007 | ||||||
Rivera Holdings, Ltd. | 5,710,000 | 240,611 | ||||||
Roadshow Holdings, Ltd. | 1,456,000 | 119,866 | ||||||
Royale Furniture Holdings, Ltd. | 644,000 | 234,483 | ||||||
S.A.S. Dragon Holdings, Ltd. | 1,440,000 | 324,784 | ||||||
#Sa Sa International Holdings, Ltd. | 1,906,000 | 1,743,007 | ||||||
Safety Godown Co., Ltd. | 408,000 | 262,328 |
52
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
HONG KONG — (Continued) | ||||||||
*Samling Global, Ltd. | 3,470,000 | $ | 278,322 | |||||
Samson Paper Holdings, Ltd. | 900,000 | 150,035 | ||||||
*San Miguel Brewery Hong Kong, Ltd. | 612,800 | 101,587 | ||||||
*Sanyuan Group, Ltd. | 415,000 | 8,031 | ||||||
Sea Holdings, Ltd. | 1,138,000 | 762,799 | ||||||
*SEEC Media Group, Ltd. | 2,550,000 | 47,789 | ||||||
*Sewco International Holdings, Ltd. | 2,396,000 | 319,811 | ||||||
*Sheng Yuan Holdings, Ltd. | 150,000 | 28,488 | ||||||
#Shenyin Wanguo, Ltd. | 1,212,500 | 623,004 | ||||||
*Shenzhen High-Tech Holdings, Ltd. | 660,000 | 42,187 | ||||||
*Shougang Concord Grand Group, Ltd. | 2,451,000 | 177,679 | ||||||
*Shougang Concord Technology Holdings, Ltd. | 4,107,809 | 244,522 | ||||||
#Shui On Construction & Materials, Ltd. | 944,000 | 1,159,796 | ||||||
*Shun Ho Resources Holdings, Ltd. | 483,000 | 68,027 | ||||||
*Shun Ho Technology Holdings, Ltd. | 1,037,452 | 141,531 | ||||||
#Shun Tak Holdings, Ltd. | 3,879,941 | 2,563,754 | ||||||
#Sing Tao News Corp., Ltd. | 1,974,000 | 625,044 | ||||||
*Singamas Container Holdings, Ltd. | 5,270,000 | 1,192,208 | ||||||
*Sino Dragon New Energy Holdings, Ltd. | 3,744,000 | 229,604 | ||||||
*Sino Gas Group, Ltd. | 4,160,000 | 198,823 | ||||||
*Sino Prosper State Gold Resources Holdings, Ltd. | 8,170,000 | 417,835 | ||||||
*Sinocan Holdings, Ltd. | 350,000 | 1,761 | ||||||
*Sino-Tech International Holdings, Ltd. | 14,650,000 | 785,568 | ||||||
#*Sinotel Technologies, Ltd. | 543,000 | 141,138 | ||||||
*Skyfame Realty Holdings, Ltd. | 2,737,750 | — | ||||||
#Smartone Telecommunications Holdings, Ltd. | 1,248,500 | 1,773,688 | ||||||
*SMI Publishing Group, Ltd. | 250,511 | 485 | ||||||
Solomon Systech International, Ltd. | 5,778,000 | 373,311 | ||||||
South China (China), Ltd. | 6,744,000 | 458,207 | ||||||
South China Financial Holdings, Ltd. | 4,872,000 | 64,931 | ||||||
Southeast Asia Properties & Finance, Ltd. | 289,891 | 77,603 | ||||||
*Starlight International Holdings, Ltd. | 3,125,325 | 155,512 | ||||||
#Stella International Holdings, Ltd. | 657,574 | 1,382,717 | ||||||
Styland Holdings, Ltd. | 135,506 | 432 | ||||||
*Success Universe Group, Ltd. | 5,552,000 | 236,393 | ||||||
Sun Hing Vision Group Holdings, Ltd. | 358,000 | 156,979 | ||||||
#Sun Hung Kai & Co., Ltd. | 1,164,621 | 882,234 | ||||||
*Sun Innovation Holdings, Ltd. | 8,905,655 | 231,595 | ||||||
*Sunway International Holdings, Ltd. | 866,000 | 29,463 | ||||||
*Superb Summit International Timber Co., Ltd. | 6,696,600 | 343,011 | ||||||
*Sustainable Forest Holdings, Ltd. | 7,657,500 | 342,025 | ||||||
SW Kingsway Capitol Holdings, Ltd. | 4,650,000 | 139,090 | ||||||
Synergis Holdings, Ltd. | 350,033 | 38,396 | ||||||
#*Tack Fat Group International, Ltd. | 4,448,000 | — | ||||||
*Tack Hsin Holdings, Ltd. | 682,000 | 158,262 | ||||||
Tai Cheung Holdings, Ltd. | 1,799,000 | 1,267,012 | ||||||
Tai Sang Land Development, Ltd. | 576,984 | 236,927 | ||||||
TaiFook Securities Group, Ltd. | 1,013,586 | 777,267 | ||||||
Tan Chong International, Ltd. | 1,212,000 | 293,806 | ||||||
#Techtronic Industries Co., Ltd. | 4,614,000 | 4,679,234 | ||||||
*Termbray Industries International | 2,304,900 | 280,200 | ||||||
Tern Properties Co., Ltd. | 61,200 | 25,660 | ||||||
*Texhong Textile Group, Ltd. | 1,930,000 | 1,526,408 | ||||||
Texwinca Holdings, Ltd. | 1,954,000 | 2,130,847 | ||||||
*Theme International Holdings, Ltd. | 2,020,000 | 229,176 | ||||||
*Tian Teck Land, Ltd. | 1,076,000 | 848,602 | ||||||
#*Titan Petrochemicals Group, Ltd. | 11,160,000 | 924,112 | ||||||
*Tom Group, Ltd. | 970,000 | 97,441 | ||||||
*Tomorrow International Holdings, Ltd. | 4,521,420 | 287,689 | ||||||
Tongda Group Holdings, Ltd. | 9,060,000 | 405,285 | ||||||
Top Form International, Ltd. | 2,760,000 | 223,738 |
53
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
HONG KONG — (Continued) | ||||||||
*Topsearch International Holdings, Ltd. | 3,860,000 | $ | 183,723 | |||||
*Town Health International Investments, Ltd. | 232,000 | 34,750 | ||||||
*Tradelink Electronic Commerce, Ltd. | 32,000 | 3,843 | ||||||
Transport International Holdings, Ltd. | 478,400 | 1,546,665 | ||||||
Tristate Holdings, Ltd. | 188,000 | 53,820 | ||||||
*TSC Offshore Group, Ltd. | 1,353,000 | 251,617 | ||||||
*Tse Sui Luen Jewellery International, Ltd. | 112,000 | 109,081 | ||||||
Tungtex Holdings Co., Ltd. | 910,000 | 163,828 | ||||||
Tysan Holdings, Ltd. | 1,040,773 | 185,222 | ||||||
*U-Right International Holdings, Ltd. | 4,746,000 | 8,572 | ||||||
*Value Convergence Holdings, Ltd. | 672,000 | 202,396 | ||||||
Value Partners Group, Ltd. | 1,399,000 | 1,104,761 | ||||||
Van Shung Chong Holdings, Ltd. | 2,205,335 | 259,449 | ||||||
*Vantage International Holdings, Ltd. | 2,724,000 | 309,030 | ||||||
#Varitronix International, Ltd. | 877,293 | 335,769 | ||||||
Vedan International Holdings, Ltd. | 3,272,000 | 280,155 | ||||||
Veeko International Holdings, Ltd. | 4,362,776 | 208,649 | ||||||
Victory City International Holdings, Ltd. | 2,831,076 | 715,482 | ||||||
*Vision Values Holdings, Ltd. | 281,400 | 16,285 | ||||||
*Vital Group Holdings, Ltd. | 470,000 | 14,008 | ||||||
#Vitasoy International Holdings, Ltd. | 3,437,000 | 2,999,196 | ||||||
*Vongroup, Ltd. | 10,865,000 | 149,392 | ||||||
*VST Holdings, Ltd. | 2,060,000 | 527,331 | ||||||
Wah Ha Realty Co., Ltd. | 278,600 | 106,000 | ||||||
#*Wah Nam International Holdings, Ltd. | 892,000 | 183,869 | ||||||
Wai Kee Holdings, Ltd. | 8,176,738 | 1,897,408 | ||||||
*Wai Yuen Tong Medicine Holdings, Ltd. | 2,714,341 | 62,278 | ||||||
Wang On Group, Ltd. | 42,175 | 1,017 | ||||||
*Warderly International Holdings, Ltd. | 520,000 | 32,201 | ||||||
Water Oasis Group, Ltd. | 1,546,000 | 249,352 | ||||||
Win Hanverky Holdings, Ltd. | 1,586,000 | 259,952 | ||||||
*Winfoong International, Ltd. | 1,331,000 | 28,858 | ||||||
*Wing Hing International Holdings, Ltd. | 4,090,000 | 327,212 | ||||||
Wing On Company International, Ltd. | 781,000 | 1,439,415 | ||||||
Wing Tai Properties, Ltd. | 1,937,331 | 699,780 | ||||||
*Winteam Pharmaceutical Group, Ltd. | 3,322,000 | 471,468 | ||||||
Wong’s International Holdings, Ltd. | 737,641 | 136,286 | ||||||
Wong’s Kong King International Holdings, Ltd. | 120,000 | 12,517 | ||||||
Xingye Copper International Group, Ltd. | 1,516,000 | 405,945 | ||||||
Y. T. Realty Group, Ltd. | 865,000 | 176,235 | ||||||
Yangtzekiang Garment, Ltd. | 606,500 | 141,393 | ||||||
Yau Lee Holdings, Ltd. | 534,000 | 79,463 | ||||||
YGM Trading, Ltd. | 284,000 | 655,276 | ||||||
*Yueshou Environmental Holdings, Ltd. | 510,800 | 8,256 | ||||||
Yugang International, Ltd. | 96,156,000 | 1,017,526 | ||||||
Yunnan Enterprises Holdings, Ltd. | 480,000 | 30,862 | ||||||
*ZZNode Technologies Co., Ltd. | 3,420,000 | 420,110 | ||||||
TOTAL HONG KONG | 206,203,328 | |||||||
MALAYSIA — (0.0%) | ||||||||
*Autoways Holdings Berhad | 10,000 | 4,146 | ||||||
*Rekapacific Berhad | 473,000 | — | ||||||
TOTAL MALAYSIA | 4,146 | |||||||
NEW ZEALAND — (5.0%) | ||||||||
Abano Healthcare Group, Ltd. | 35,022 | 140,083 | ||||||
Air New Zealand, Ltd. | 1,408,860 | 1,452,956 | ||||||
*Auckland International Airport, Ltd. | 1,355,191 | 2,171,558 | ||||||
Cavalier Corp., Ltd. | 283,674 | 667,792 | ||||||
CDL Investments (New Zealand), Ltd. | 395,965 | 81,390 | ||||||
Colonial Motor Co., Ltd. | 148,846 | 274,605 |
54
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
NEW ZEALAND — (Continued) | ||||||||
Ebos Group, Ltd. | 169,863 | $ | 952,272 | |||||
*Fisher & Paykel Appliances Holdings, Ltd. | 2,945,492 | 1,348,816 | ||||||
Fisher & Paykel Healthcare Corp., Ltd. | 2,402,700 | 5,939,087 | ||||||
Freightways, Ltd. | 717,330 | 1,664,388 | ||||||
Hallenstein Glasson Holdings, Ltd. | 242,461 | 834,573 | ||||||
Hellaby Holdings, Ltd. | 344,804 | 535,860 | ||||||
Infratil, Ltd. | 2,114,735 | 2,953,814 | ||||||
Mainfreight, Ltd. | 378,330 | 2,077,451 | ||||||
Methven, Ltd. | 70,490 | 93,439 | ||||||
Michael Hill International, Ltd. | 1,534,152 | 948,791 | ||||||
Millennium & Copthorne Hotels (New Zealand), Ltd. | 1,387,344 | 432,144 | ||||||
New Zealand Exchange, Ltd. | 285,516 | 345,022 | ||||||
New Zealand Oil & Gas, Ltd. | 1,810,156 | 1,751,123 | ||||||
New Zealand Refining Co., Ltd. | 600,961 | 1,696,267 | ||||||
Northland Port Corp. (New Zealand), Ltd. | 217,513 | 282,707 | ||||||
#Nuplex Industries, Ltd. | 963,733 | 2,495,583 | ||||||
*Pike River Coal, Ltd. | 457,821 | 363,022 | ||||||
Port of Tauranga, Ltd. | 528,512 | 3,000,117 | ||||||
#Pumpkin Patch, Ltd. | 606,913 | 902,238 | ||||||
*Pyne Gould Corp., Ltd. | 330,217 | 110,890 | ||||||
*Pyne Gould Guinness, Ltd. | 1,576,514 | 649,838 | ||||||
*Rakon, Ltd. | 94,696 | 91,184 | ||||||
#Restaurant Brands New Zealand, Ltd. | 369,175 | 779,791 | ||||||
*Richina Pacific, Ltd. | 274,180 | 75,248 | ||||||
*Rubicon, Ltd. | 1,113,829 | 766,175 | ||||||
#Ryman Healthcare, Ltd. | 1,753,323 | 2,891,680 | ||||||
Sanford, Ltd. | 393,618 | 1,382,953 | ||||||
Scott Technology, Ltd. | 25,933 | 27,220 | ||||||
*Seafresh Fisheries, Ltd. | 80,520 | 1,719 | ||||||
Skellerup Holdings, Ltd. | 263,479 | 191,019 | ||||||
Sky City Entertainment Group, Ltd. | 2,560,206 | 5,904,284 | ||||||
Sky Network Television, Ltd. | 666,707 | 2,762,224 | ||||||
South Port (New Zealand), Ltd. | 30,744 | 64,688 | ||||||
#Steel & Tube Holdings, Ltd. | 393,011 | 730,878 | ||||||
*Tenon, Ltd. | 19,132 | 15,277 | ||||||
Tourism Holdings, Ltd. | 274,867 | 161,016 | ||||||
Tower, Ltd. | 782,696 | 1,118,208 | ||||||
TrustPower, Ltd. | 9,392 | 54,463 | ||||||
Vector, Ltd. | 389,611 | 723,084 | ||||||
*Warehouse Group, Ltd. | 469,712 | 1,432,343 | ||||||
TOTAL NEW ZEALAND | 53,339,280 | |||||||
SINGAPORE — (10.3%) | ||||||||
*Abterra, Ltd. | 60,800 | 63,824 | ||||||
*Addvalue Technologies, Ltd. | 1,043,000 | 36,270 | ||||||
Advanced Holdings, Ltd. | 691,000 | 134,297 | ||||||
*AFP Properties, Ltd. | 3,437,000 | 1,652,614 | ||||||
*Allgreen Properties, Ltd. | 2,604,000 | 2,401,705 | ||||||
Armstrong Industrial Corp., Ltd. | 1,236,000 | 412,044 | ||||||
*Asia Environment Holdings, Ltd. | 528,793 | 73,790 | ||||||
*Asia-Pacific Strategic Investments, Ltd. | 141 | 181 | ||||||
*Asiasons Capital, Ltd. | 286,000 | 38,783 | ||||||
*ASL Marine Holdings, Ltd. | 497,000 | 347,221 | ||||||
*A-Sonic Aerospace, Ltd. | 437,996 | 20,322 | ||||||
*Ausgroup, Ltd. | 260,000 | 91,766 | ||||||
#Baker Technology, Ltd. | 1,236,000 | 393,988 | ||||||
*Ban Joo & Co., Ltd. | 1,654,000 | 57,332 | ||||||
*Banyan Tree Holdings, Ltd. | 643,000 | 462,852 | ||||||
#*Beng Kuang Marine, Ltd. | 835,000 | 141,619 | ||||||
Best World International, Ltd. | 221,500 | 52,339 | ||||||
*Beyonics Technology, Ltd. | 6,949,300 | 1,293,755 |
55
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
SINGAPORE — (Continued) | ||||||||
*BH Global Marine, Ltd. | 529,000 | $ | 131,385 | |||||
*Biosensors International Group, Ltd. | 1,982,000 | 1,719,835 | ||||||
Bonvests Holdings, Ltd. | 978,000 | 839,221 | ||||||
Boustead Singapore, Ltd. | 171,000 | 150,951 | ||||||
Breadtalk Group, Ltd. | 257,800 | 125,857 | ||||||
Broadway Industrial Group, Ltd. | 461,000 | 397,538 | ||||||
*Brothers Holdings, Ltd. | 504,628 | 67,791 | ||||||
Bukit Sembawang Estates, Ltd. | 390,003 | 1,433,975 | ||||||
*Bund Center Investment, Ltd. | 848,000 | 327,590 | ||||||
CEI Contract Manufacturing, Ltd. | 432,000 | 41,340 | ||||||
Cerebos Pacific, Ltd. | 528,000 | 1,964,836 | ||||||
CH Offshore, Ltd. | 1,393,400 | 571,392 | ||||||
*Changjiang Fertilizer Holdings, Ltd. | 515 | 102 | ||||||
Chemical Industries Far East, Ltd. | 91,910 | 33,730 | ||||||
China Aviation Oil Singapore Corp., Ltd. | 682,000 | 811,931 | ||||||
China Dairy Group, Ltd. | 1,502,000 | 150,702 | ||||||
*China Energy, Ltd. | 3,110,000 | 433,499 | ||||||
China Merchants Holdings Pacific, Ltd. | 809,000 | 440,888 | ||||||
*China Sunsine Chemical Holdings, Ltd. | 16,000 | 3,348 | ||||||
#China XLX Fertiliser, Ltd. | 714,000 | 327,383 | ||||||
*Chip Eng Seng Corp., Ltd. | 1,612,800 | 499,508 | ||||||
Chosen Holdings, Ltd. | 1,202,000 | 168,033 | ||||||
*Chuan Hup Holdings, Ltd. | 3,967,000 | 719,598 | ||||||
*Compact Metal Industries, Ltd. | 643,000 | 4,968 | ||||||
#Creative Technology Co., Ltd. | 257,350 | 838,706 | ||||||
CSC Holdings, Ltd. | 1,829,000 | 234,741 | ||||||
*CSE Global, Ltd. | 1,814,000 | 1,487,441 | ||||||
#*CWT, Ltd. | 891,700 | 656,747 | ||||||
*Datapulse Technology, Ltd. | 11,000 | 2,085 | ||||||
#*Delong Holdings, Ltd. | 1,287,000 | 628,727 | ||||||
*Digiland International, Ltd. | 11,763,000 | 45,442 | ||||||
*Eagle Brand Holdings, Ltd. | 14,387,000 | 111,948 | ||||||
*Eastern Asia Technology, Ltd. | 1,034,000 | 100,034 | ||||||
*Ellipsiz, Ltd. | 123,000 | 15,255 | ||||||
EnGro Corp, Ltd. | 354,000 | 248,826 | ||||||
*Enviro-Hub Holdings, Ltd. | 1,445,666 | 126,189 | ||||||
*Etika International Holdings, Ltd. | 106,000 | 35,748 | ||||||
Eu Yan Sang International, Ltd. | 250,000 | 175,254 | ||||||
*Eucon Holdings, Ltd. | 3,096,000 | 119,105 | ||||||
#*Ezion Holdings, Ltd. | 1,171,000 | 641,235 | ||||||
#Ezra Holdings, Ltd. | 1,740,000 | 2,369,185 | ||||||
F.J. Benjamin Holdings, Ltd. | 1,095,000 | 360,913 | ||||||
#*Falcon Energy Group, Ltd. | 1,007,000 | 359,721 | ||||||
*Federal International 2000, Ltd. | 1,675,350 | 116,866 | ||||||
#First Resources, Ltd. | 2,223,000 | 2,174,324 | ||||||
Food Empire Holdings, Ltd. | 1,094,400 | 351,982 | ||||||
Fragrance Group, Ltd. | 85,000 | 50,728 | ||||||
#Freight Links Express Holdings, Ltd. | 4,140,737 | 240,234 | ||||||
*Fu Yu Corp., Ltd. | 3,955,750 | 381,344 | ||||||
*Gallant Venture, Ltd. | 1,505,000 | 310,034 | ||||||
GK Goh Holdings, Ltd. | 1,458,000 | 664,584 | ||||||
Global Yellow Pages, Ltd. | 299,000 | 41,659 | ||||||
Goodpack, Ltd. | 1,065,000 | 1,685,456 | ||||||
GP Batteries International, Ltd. | 343,000 | 515,587 | ||||||
GP Industries, Ltd. | 2,872,209 | 1,340,254 | ||||||
*Grand Banks Yachts, Ltd. | 250,000 | 81,125 | ||||||
#*Guocoland, Ltd. | 501,500 | 924,087 | ||||||
Healthway Medical Corp., Ltd. | 2,669,480 | 309,881 | ||||||
Hersing Corp., Ltd. | 1,285,000 | 283,296 | ||||||
Hiap Seng Engineering, Ltd. | 538,000 | 285,438 | ||||||
Hi-P International, Ltd. | 1,152,000 | 939,225 |
56
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
SINGAPORE — (Continued) | ||||||||
Ho Bee Investment, Ltd. | 965,000 | $ | 1,261,795 | |||||
*Hong Fok Corp., Ltd. | 2,796,700 | 1,334,428 | ||||||
Hong Leong Asia, Ltd. | 484,000 | 1,292,833 | ||||||
Hotel Grand Central, Ltd. | 1,119,926 | 710,099 | ||||||
Hotel Properties, Ltd. | 1,359,400 | 2,945,672 | ||||||
Hour Glass, Ltd. | 622,744 | 427,653 | ||||||
#HTL International Holdings, Ltd. | 1,063,843 | 569,605 | ||||||
*Huan Hsin Holdings, Ltd. | 1,106,400 | 238,418 | ||||||
HupSteel, Ltd. | 1,572,875 | 287,459 | ||||||
Hwa Hong Corp., Ltd. | 2,279,000 | 976,467 | ||||||
#Hyflux, Ltd. | 1,057,000 | 2,579,924 | ||||||
*IDT Holdings, Ltd. | 693,000 | 285,448 | ||||||
IFS Capital, Ltd. | 421,080 | 165,324 | ||||||
*Informatics Education, Ltd. | 1,928,000 | 186,798 | ||||||
InnoTek, Ltd. | 561,000 | 224,247 | ||||||
Intraco, Ltd. | 599,500 | 138,746 | ||||||
IPC Corp., Ltd. | 724,000 | 67,026 | ||||||
Isetan (Singapore), Ltd. | 122,500 | 333,153 | ||||||
Jadason Enterprises, Ltd. | 728,000 | 54,066 | ||||||
*Jasper Investments, Ltd. | 90,680 | 5,241 | ||||||
#*Jaya Holdings, Ltd. | 1,468,000 | 803,814 | ||||||
#*JES International Holdings, Ltd. | 2,016,000 | 486,917 | ||||||
#*Jiutian Chemical Group, Ltd. | 681,000 | 47,657 | ||||||
JK Yaming International Holdings, Ltd. | 906,000 | 286,997 | ||||||
#*Jurong Technologies Industrial Corp., Ltd. | 2,227,680 | — | ||||||
K1 Ventures, Ltd. | 3,349,500 | 392,106 | ||||||
#Keppel Telecommunications & Transportation, Ltd. | 1,509,600 | 1,495,583 | ||||||
Khong Guan Flour Milling, Ltd. | 38,000 | 43,892 | ||||||
Kian Ann Engineering, Ltd. | 1,276,000 | 217,900 | ||||||
Kian Ho Bearings, Ltd. | 781,500 | 114,366 | ||||||
#Kim Eng Holdings, Ltd. | 1,299,620 | 1,771,763 | ||||||
Koh Brothers Group, Ltd. | 1,312,000 | 218,693 | ||||||
*KS Energy Services, Ltd. | 615,825 | 495,810 | ||||||
*Lafe Corp., Ltd. | 1,234,800 | 85,338 | ||||||
*LanTroVision (Singapore), Ltd. | 5,028,750 | 119,529 | ||||||
LC Development, Ltd. | 2,041,254 | 284,895 | ||||||
Lee Kim Tah Holdings, Ltd. | 1,600,000 | 649,270 | ||||||
Lion Asiapac, Ltd. | 473,000 | 94,924 | ||||||
Lum Chang Holdings, Ltd. | 1,042,030 | 270,968 | ||||||
M1, Ltd. | 1,623,000 | 2,788,185 | ||||||
#*Manhattan Resources, Ltd. | 668,000 | 567,651 | ||||||
*Manufacturing Integration Technology, Ltd. | 264,000 | 28,453 | ||||||
*Marco Polo Marine, Ltd. | 529,000 | 176,476 | ||||||
*Memstar Technology, Ltd. | 1,019,000 | 55,228 | ||||||
Memtech International, Ltd. | 1,322,000 | 109,808 | ||||||
Mercator Lines Singapore, Ltd. | 386,000 | 80,475 | ||||||
Metro Holdings, Ltd. | 1,657,160 | 1,046,621 | ||||||
#Midas Holdings, Ltd. | 1,530,000 | 1,162,776 | ||||||
*Mirach Energy, Ltd. | 460,000 | 28,277 | ||||||
Miyoshi Precision, Ltd. | 353,500 | 35,635 | ||||||
*Multi-Chem, Ltd. | 1,263,000 | 149,568 | ||||||
Nera Telecommunications, Ltd. | 1,125,000 | 295,886 | ||||||
New Toyo International Holdings, Ltd. | 1,624,000 | 287,868 | ||||||
*Novo Group, Ltd. | 222,000 | 31,098 | ||||||
NSL, Ltd. | 414,000 | 445,091 | ||||||
#*Oceanus Group, Ltd. | 3,243,000 | 802,246 | ||||||
*OKP Holdings, Ltd. | 27,000 | 11,300 | ||||||
Orchard Parade Holdings, Ltd. | 952,022 | 1,107,691 | ||||||
OSIM International, Ltd. | 964,000 | 867,185 | ||||||
*Ossia International, Ltd. | 627,554 | 62,223 | ||||||
#*Otto Marine, Ltd. | 2,451,000 | 646,769 |
57
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
SINGAPORE — (Continued) | ||||||||
Pan Pacific Hotels Group, Ltd. | 1,669,500 | $ | 2,118,028 | |||||
Pan-United Corp., Ltd. | 2,006,000 | 876,934 | ||||||
PCI, Ltd. | 575,000 | 202,399 | ||||||
*Penguin International, Ltd. | 400,000 | 35,612 | ||||||
Pertama Holdings, Ltd. | 459,750 | 152,653 | ||||||
#Petra Foods, Ltd. | 881,000 | 1,093,599 | ||||||
Popular Holdings, Ltd. | 2,763,650 | 342,548 | ||||||
PSC Corp., Ltd. | 1,823,419 | 394,501 | ||||||
QAF, Ltd. | 881,000 | 406,355 | ||||||
Qian Hu Corp., Ltd. | 674,600 | 65,327 | ||||||
#*Raffles Education Corp., Ltd. | 5,755,781 | 1,250,829 | ||||||
Raffles Medical Group, Ltd. | 520,000 | 876,756 | ||||||
Rotary Engineering, Ltd. | 1,083,600 | 835,701 | ||||||
*Roxy-Pacific Holdings, Ltd. | 112,000 | 32,034 | ||||||
San Teh, Ltd. | 1,006,087 | 299,850 | ||||||
SBS Transit, Ltd. | 953,500 | 1,366,709 | ||||||
#*SC Global Developments, Ltd. | 174,000 | 213,946 | ||||||
*Seroja Investments, Ltd. | 17,767 | 4,692 | ||||||
Sim Lian Group, Ltd. | 1,380,000 | 854,264 | ||||||
Sing Holdings, Ltd. | 36,666 | 9,512 | ||||||
Sing Investments & Finance, Ltd. | 198,450 | 242,679 | ||||||
Singapore Land, Ltd. | 131,000 | 721,395 | ||||||
Singapore Post, Ltd. | 3,225,120 | 2,941,494 | ||||||
Singapore Reinsurance Corp., Ltd. | 1,514,530 | 321,119 | ||||||
Singapore Shipping Corp., Ltd. | 1,689,000 | 334,321 | ||||||
Singapura Finance, Ltd. | 174,062 | 220,288 | ||||||
*Sinomem Technology, Ltd. | 416,000 | 156,470 | ||||||
*Sinostar PEC Holdings, Ltd. | 127,000 | 17,288 | ||||||
Sinwa, Ltd. | 388,500 | 60,358 | ||||||
SMB United, Ltd. | 1,224,000 | 270,471 | ||||||
Soilbuild Group Holdings, Ltd. | 272,000 | 167,806 | ||||||
#*Sound Global, Ltd. | 1,432,000 | 968,607 | ||||||
#Spice I2I, Ltd. | 6,323,000 | 614,420 | ||||||
*Stamford Land Corp., Ltd. | 2,803,000 | 1,215,579 | ||||||
Straco Corp., Ltd. | 130,000 | 12,806 | ||||||
Straits Asia Resources, Ltd. | 3,021 | 5,375 | ||||||
Sunningdale Tech, Ltd. | 2,086,000 | 308,606 | ||||||
*Sunvic Chemical Holdings, Ltd. | 769,000 | 365,450 | ||||||
Super Group, Ltd. | 718,000 | 695,182 | ||||||
Superbowl Holdings, Ltd. | 522,000 | 86,202 | ||||||
Superior Multi-Packaging, Ltd. | 319,500 | 20,957 | ||||||
#*Swiber Holdings, Ltd. | 1,032,000 | 817,473 | ||||||
*Swissco Holdings, Ltd. | 266,000 | 83,684 | ||||||
#Tat Hong Holdings, Ltd. | 1,054,800 | 872,794 | ||||||
*Technics Oil & Gas, Ltd. | 108,000 | 70,831 | ||||||
Thakral Corp., Ltd. | 6,028,000 | 137,985 | ||||||
Thomson Medical Centre, Ltd. | 75,000 | 62,589 | ||||||
*Tiong Woon Corp. Holding, Ltd. | 901,000 | 307,291 | ||||||
*Transcu Group, Ltd. | 2,043,000 | 205,661 | ||||||
Trek 2000 International, Ltd. | 973,000 | 331,467 | ||||||
Tuan Sing Holdings, Ltd. | 338,000 | 64,125 | ||||||
UMS Holdings, Ltd. | 841,000 | 309,746 | ||||||
United Engineers, Ltd. | 579,666 | 1,109,234 | ||||||
United Envirotech, Ltd. | 707,000 | 244,150 | ||||||
United Industrial Corp., Ltd. | 302,000 | 541,573 | ||||||
United Overseas Insurance, Ltd. | 187,250 | 490,977 | ||||||
UOB-Kay Hian Holdings, Ltd. | 1,427,400 | 1,846,933 | ||||||
Venture Corp., Ltd. | 535,000 | 3,753,395 | ||||||
Vicom, Ltd. | 120,000 | 259,404 | ||||||
WBL Corp., Ltd. | 597,000 | 1,963,224 | ||||||
Wee Hur Holdings, Ltd. | 383,000 | 160,205 |
58
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
SINGAPORE — (Continued) | ||||||||
#Wheelock Properties, Ltd. | 1,147,000 | $ | 1,730,691 | |||||
Wing Tai Holdings, Ltd. | 1,619,000 | 2,197,256 | ||||||
Xpress Holdings, Ltd. | 3,079,000 | 167,147 | ||||||
YHI International, Ltd. | 1,174,000 | 245,109 | ||||||
*Yoma Strategic Holdings, Ltd. | 132,000 | 7,619 | ||||||
Yongnam Holdings, Ltd. | 1,970,000 | 458,200 | ||||||
TOTAL SINGAPORE | 110,662,728 | |||||||
TOTAL COMMON STOCKS | 925,594,450 | |||||||
PREFERRED STOCKS — (0.1%) | ||||||||
AUSTRALIA — (0.1%) | ||||||||
Village Roadshow, Ltd. Series A | 334,417 | 780,533 | ||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||
AUSTRALIA — (0.0%) | ||||||||
*Agenix, Ltd. Rights 11/19/10 | 51,791 | — | ||||||
*Havilah Resources NL Warrants 10/30/13 | 64,709 | 16,480 | ||||||
*IDT Australia, Ltd. Warrants 03/31/11 | 8,220 | — | ||||||
#*Ivanhoe Australia, Ltd. Warrants 09/20/11 | 11,851 | 4,411 | ||||||
TOTAL AUSTRALIA | 20,891 | |||||||
HONG KONG — (0.0%) | ||||||||
*Chun Wo Development Holdings, Ltd. Warrants 09/12/13 | 375,548 | 8,866 | ||||||
*Lippo, Ltd. Warrants 07/04/11 | 82,470 | 942 | ||||||
*Pacific Andes International Holdings, Ltd. Warrants 06/15/11 | 641,359 | 5,957 | ||||||
TOTAL HONG KONG | 15,765 | |||||||
SINGAPORE — (0.0%) | ||||||||
*A-Sonic Aerospace, Ltd. Warrants 12/30/10 | 218,998 | 4,230 | ||||||
*Best World International, Ltd. Warrants 07/05/13 | 44,300 | 2,225 | ||||||
*Goodpack, Ltd. Warrants 11/30/12 | 169,000 | 176,273 | ||||||
TOTAL SINGAPORE | 182,728 | |||||||
TOTAL RIGHTS/WARRANTS | 219,384 | |||||||
Face Amount | Value† | |||||||
(000) | ||||||||
TEMPORARY CASH INVESTMENTS — (0.0%) | ||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by | $ | 77 | 77,000 | |||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (13.7%) | ||||||||
§@DFA Short Term Investment Fund | 146,838,427 | 146,838,427 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized | $ | 363 | 362,828 | |||||
TOTAL SECURITIES LENDING COLLATERAL | 147,201,255 | |||||||
TOTAL INVESTMENTS — (100.0%) | $ | 1,073,872,622 | ||||||
59
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value†† | |||||||
COMMON STOCKS — (98.0%) | ||||||||
Consumer Discretionary — (21.1%) | ||||||||
4imprint Group P.L.C. | 96,735 | $ | 400,790 | |||||
Aegis Group P.L.C. | 3,149,142 | 6,347,400 | ||||||
*Aga Rangemaster Group P.L.C. | 288,143 | 401,330 | ||||||
Arena Leisure P.L.C. | 1,372,024 | 715,362 | ||||||
*Barratt Developments P.L.C. | 1,829,500 | 2,286,713 | ||||||
Bellway P.L.C. | 423,813 | 3,625,029 | ||||||
*Berkeley Group Holdings P.L.C. (The) | 438,352 | 5,911,962 | ||||||
Bloomsbury Publishing P.L.C. | 271,841 | 553,985 | ||||||
*Bovis Homes Group P.L.C. | 474,842 | 2,646,806 | ||||||
Carpetright P.L.C. | 167,232 | 1,896,111 | ||||||
*Carphone Warehouse Group P.L.C. | 506,951 | 2,466,164 | ||||||
Centaur Media P.L.C. | 556,967 | 476,708 | ||||||
Chime Communications P.L.C. | 210,455 | 701,928 | ||||||
*Chrysalis Group P.L.C. | 107,232 | 189,532 | ||||||
Churchill China P.L.C. | 30,000 | 144,320 | ||||||
Cineworld Group P.L.C. | 3,286 | 11,753 | ||||||
*Clinton Cards P.L.C. | 740,506 | 379,962 | ||||||
Creston P.L.C. | 5,389 | 7,642 | ||||||
Daily Mail & General Trust P.L.C. Series A | 939,198 | 8,093,650 | ||||||
*Debenhams P.L.C. | 3,237,295 | 3,962,221 | ||||||
Dignity P.L.C. | 214,913 | 2,262,355 | ||||||
*Dixons Retail P.L.C. | 10,540,418 | 4,522,230 | ||||||
Domino’s Pizza UK & IRL P.L.C. | 50,018 | 390,795 | ||||||
Dunelm Group P.L.C. | 43,456 | 335,697 | ||||||
*eaga P.L.C. | 140,286 | 139,352 | ||||||
*Enterprise Inns P.L.C. | 1,573,332 | 2,877,240 | ||||||
Euromoney Institutional Investor P.L.C. | 308,341 | 3,198,672 | ||||||
*Findel P.L.C. | 1,283,962 | 344,609 | ||||||
*Forminster P.L.C. | 43,333 | 2,604 | ||||||
French Connection Group P.L.C. | 373,475 | 320,235 | ||||||
Fuller Smith & Turner P.L.C. | 129,026 | 1,225,547 | ||||||
Future P.L.C. | 1,324,863 | 446,645 | ||||||
Game Group P.L.C. | 1,441,697 | 1,629,214 | ||||||
Games Workshop Group P.L.C. | 101,889 | 691,889 | ||||||
GKN P.L.C. | 3,830,675 | 10,884,024 | ||||||
Greene King P.L.C. | 784,151 | 5,255,391 | ||||||
Halfords Group P.L.C. | 752,842 | 5,109,220 | ||||||
Haynes Publishing Group P.L.C. | 14,703 | 47,347 | ||||||
Headlam Group P.L.C. | 330,383 | 1,697,814 | ||||||
Henry Boot P.L.C. | 426,786 | 620,714 | ||||||
#HMV Group P.L.C. | 1,545,882 | 1,118,141 | ||||||
Holidaybreak P.L.C. | 206,890 | 977,904 | ||||||
*Home Retail Group P.L.C. | 1,340,606 | 4,701,169 | ||||||
Hornby P.L.C. | 154,220 | 399,092 | ||||||
*Howden Joinery Group P.L.C. | 1,040,019 | 1,294,702 | ||||||
Huntsworth P.L.C. | 809,019 | 1,040,668 | ||||||
*Inchcape P.L.C. | 1,428,910 | 7,985,145 | ||||||
Informa P.L.C. | 1,449,124 | 10,132,278 | ||||||
*ITV P.L.C. | 6,035,176 | 6,610,726 | ||||||
JD Sports Fashion P.L.C. | 120,013 | 1,542,799 | ||||||
JD Wetherspoon P.L.C. | 437,012 | 2,872,658 | ||||||
*JJB Sports P.L.C. | 1,560,131 | 242,387 | ||||||
John Menzies P.L.C. | 244,534 | 1,892,396 | ||||||
*Johnston Press P.L.C. | 507,412 | 103,634 | ||||||
Kesa Electricals P.L.C. | 1,982,633 | 5,040,868 | ||||||
Ladbrokes P.L.C. | 2,698,997 | 5,695,988 | ||||||
Laura Ashley Holdings P.L.C. | 2,800,394 | 790,527 | ||||||
*Lookers P.L.C. | 1,037,969 | 1,013,712 |
60
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Consumer Discretionary — (Continued) | ||||||||
Marston’s P.L.C. | 1,774,434 | $ | 2,861,234 | |||||
*Mecom Group P.L.C. | 86,858 | 343,598 | ||||||
Millennium & Copthorne Hotels P.L.C. | 612,514 | 5,348,823 | ||||||
*Mitchells & Butlers P.L.C. | 856,886 | 4,422,598 | ||||||
#Mothercare P.L.C. | 324,479 | 2,733,242 | ||||||
N Brown Group P.L.C. | 828,543 | 3,990,232 | ||||||
Pace P.L.C. | 772,437 | 2,533,793 | ||||||
#*PartyGaming P.L.C. | 666,311 | 2,687,355 | ||||||
*Pendragon P.L.C. | 2,285,154 | 789,023 | ||||||
*Persimmon P.L.C. | 770,373 | 4,208,256 | ||||||
#Pinewood Shepperton P.L.C. | 182,105 | 476,060 | ||||||
*Punch Taverns P.L.C. | 1,983,299 | 2,277,521 | ||||||
Rank Group P.L.C. | 915,711 | 1,873,531 | ||||||
*Redrow P.L.C. | 727,898 | 1,287,951 | ||||||
Restaurant Group P.L.C. | 732,507 | 3,312,890 | ||||||
Rightmove P.L.C. | 261,219 | 3,330,256 | ||||||
Smiths News P.L.C. | 682,576 | 1,264,200 | ||||||
*Sportech P.L.C. | 329,794 | 225,015 | ||||||
*Sports Direct International P.L.C. | 456,794 | 1,024,620 | ||||||
St. Ives Group P.L.C. | 436,379 | 580,719 | ||||||
*Stylo P.L.C. | 64,096 | 4,878 | ||||||
*Tandem Group P.L.C. Non-Voting Shares | 327,365 | — | ||||||
*Taylor Wimpey P.L.C. | 5,622,251 | 2,006,706 | ||||||
Ted Baker P.L.C. | 149,926 | 1,479,436 | ||||||
Thomas Cook Group P.L.C. | 2,420,264 | 7,015,506 | ||||||
*Topps Tiles P.L.C. | 743,669 | 759,220 | ||||||
*Trinity Mirror P.L.C. | 648,287 | 1,104,616 | ||||||
United Business Media P.L.C. | 864,643 | 9,112,387 | ||||||
UTV Media P.L.C. | 217,432 | 483,984 | ||||||
Vitec Group P.L.C. (The) | 160,303 | 1,465,278 | ||||||
*Wagon P.L.C. | 237,979 | 4,767 | ||||||
WH Smith P.L.C. | 588,205 | 4,562,927 | ||||||
Whitbread P.L.C. | 103,235 | 2,800,558 | ||||||
William Hill P.L.C. | 2,360,431 | 6,072,504 | ||||||
Wilmington Group P.L.C. | 346,234 | 972,601 | ||||||
#*Yell Group P.L.C. | 6,166,762 | 1,397,400 | ||||||
Total Consumer Discretionary | 221,489,441 | |||||||
Consumer Staples — (4.4%) | ||||||||
#A.G. Barr P.L.C. | 128,920 | 2,528,394 | ||||||
Anglo-Eastern Plantations P.L.C. | 108,153 | 1,043,202 | ||||||
Britvic P.L.C. | 834,762 | 6,452,199 | ||||||
Cranswick P.L.C. | 178,057 | 2,554,312 | ||||||
Dairy Crest Group P.L.C. | 520,119 | 3,093,355 | ||||||
Devro P.L.C. | 605,749 | 2,187,898 | ||||||
*European Home Retail P.L.C. | 109,256 | — | ||||||
Fiberweb P.L.C. | 180,360 | 231,609 | ||||||
Greggs P.L.C. | 371,068 | 2,722,025 | ||||||
McBride P.L.C. | 776,269 | 2,223,670 | ||||||
Northern Foods P.L.C. | 1,842,840 | 1,396,919 | ||||||
*Premier Foods P.L.C. | 5,738,177 | 1,620,586 | ||||||
PZ Cussons P.L.C. | 1,298,024 | 8,383,476 | ||||||
R.E.A. Holdings P.L.C. | 49,233 | 541,053 | ||||||
Robert Wiseman Dairies P.L.C. | 221,312 | 1,162,163 | ||||||
Tate & Lyle P.L.C. | 1,062,662 | 8,557,114 | ||||||
Thorntons P.L.C. | 313,060 | 486,585 | ||||||
Young & Co.’s Brewery P.L.C. | 40,000 | 270,799 | ||||||
Young & Co.’s Brewery P.L.C. Series A | 20,936 | 178,221 | ||||||
Total Consumer Staples | 45,633,580 | |||||||
61
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Energy — (4.9%) | ||||||||
*Afren P.L.C. | 2,941,143 | $ | 6,098,310 | |||||
Anglo Pacific Group P.L.C. | 426,647 | 2,258,403 | ||||||
*EnQuest P.L.C. | 1,089,302 | 2,251,957 | ||||||
*Fortune Oil P.L.C. | 5,889,851 | 707,464 | ||||||
*Hardy Oil & Gas P.L.C. | 49,802 | 148,637 | ||||||
Heritage Oil P.L.C. | 392,979 | 2,168,188 | ||||||
Hunting P.L.C. | 439,386 | 4,535,477 | ||||||
#James Fisher & Sons P.L.C. | 170,822 | 1,402,970 | ||||||
JKX Oil & Gas P.L.C. | 431,945 | 1,944,035 | ||||||
John Wood Group P.L.C. | 1,070,261 | 7,467,982 | ||||||
Lamprell P.L.C. | 157,534 | 848,101 | ||||||
Melrose Resources P.L.C. | 336,039 | 1,761,982 | ||||||
*Premier Oil P.L.C. | 380,328 | 10,244,418 | ||||||
*Salamander Energy P.L.C. | 448,596 | 1,570,393 | ||||||
*Soco International P.L.C. | 892,380 | 4,484,663 | ||||||
*UK Coal P.L.C. | 889,073 | 526,617 | ||||||
Wellstream Holdings P.L.C. | 213,033 | 2,524,874 | ||||||
Total Energy | 50,944,471 | |||||||
Financials — (13.2%) | ||||||||
Aberdeen Asset Management P.L.C. | 2,558,118 | 7,286,080 | ||||||
Amlin P.L.C. | 1,697,546 | 11,055,901 | ||||||
Arbuthnot Banking Group P.L.C. | 67,329 | 428,689 | ||||||
Ashmore Group P.L.C. | 612,152 | 3,757,142 | ||||||
*BCB Holdings, Ltd. | 5,979 | 6,802 | ||||||
Beazley P.L.C. | 1,787,659 | 3,455,912 | ||||||
BlueBay Asset Management P.L.C. | 171,410 | 1,341,037 | ||||||
Brewin Dolphin Holdings P.L.C. | 870,024 | 1,931,702 | ||||||
Brit Insurance Holdings NV | 322,309 | 5,394,616 | ||||||
*Capital & Regional P.L.C. | 814,788 | 446,739 | ||||||
Catlin Group, Ltd. P.L.C. | 1,219,427 | 6,808,962 | ||||||
Charles Stanley Group P.L.C. | 125,182 | 498,787 | ||||||
Charles Taylor Consulting P.L.C. | 139,215 | 430,756 | ||||||
Chaucer Holdings P.L.C. | 649,297 | 530,078 | ||||||
Chesnara P.L.C. | 203,181 | 705,545 | ||||||
Close Brothers Group P.L.C. | 504,375 | 6,234,621 | ||||||
Collins Stewart P.L.C. | 246,937 | 316,814 | ||||||
Daejan Holdings P.L.C. | 33,216 | 1,362,169 | ||||||
Development Securities P.L.C. | 457,283 | 1,722,301 | ||||||
*DTZ Holdings P.L.C. | 224,770 | 164,151 | ||||||
Evolution Group P.L.C. | 1,028,900 | 1,456,035 | ||||||
F&C Asset Management P.L.C. | 1,156,965 | 1,243,100 | ||||||
*Full Circle Future, Ltd. | 135,600 | — | ||||||
Hansard Global P.L.C. | 4,765 | 13,346 | ||||||
Hardy Underwriting Group P.L.C. | 153,854 | 729,247 | ||||||
Hargreaves Lansdown P.L.C. | 514,677 | 3,865,500 | ||||||
Helical Bar P.L.C. | 373,868 | 1,947,203 | ||||||
#Henderson Group P.L.C. | 2,936,019 | 6,179,402 | ||||||
Hiscox, Ltd. P.L.C. | 1,517,006 | 8,610,598 | ||||||
IG Group Holdings P.L.C. | 1,241,907 | 10,506,913 | ||||||
*Industrial & Commercial Holdings P.L.C. | 5,000 | 120 | ||||||
Intermediate Capital Group P.L.C. | 1,098,101 | 5,677,410 | ||||||
International Personal Finance P.L.C. | 930,623 | 4,639,272 | ||||||
*IP Group P.L.C. | 261,406 | 121,663 | ||||||
Jardine Lloyd Thompson Group P.L.C. | 603,449 | 5,720,471 | ||||||
Lancashire Holdings, Ltd. P.L.C. | 418,102 | 3,801,291 | ||||||
Liontrust Asset Management P.L.C. | 129,935 | 181,983 | ||||||
*London Stock Exchange Group P.L.C. | 493,712 | 5,803,230 | ||||||
LSL Property Services P.L.C. | 134,125 | 463,144 | ||||||
*MWB Group Holdings P.L.C. | 379,622 | 217,852 | ||||||
*Novae Group P.L.C. | 234,907 | 1,378,187 |
62
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Financials — (Continued) | ||||||||
Provident Financial P.L.C. | 469,891 | $ | 5,771,826 | |||||
*Puma Brandenburg, Ltd. Capital Shares | 1,193,004 | 149,439 | ||||||
*Puma Brandenburg, Ltd. Income Shares | 1,193,004 | 78,040 | ||||||
*Quintain Estates & Development P.L.C. | 488,561 | 309,812 | ||||||
Rathbone Brothers P.L.C. | 159,131 | 2,269,698 | ||||||
*Rutland Trust P.L.C. | 85,288 | — | ||||||
S&U P.L.C. | 21,140 | 202,834 | ||||||
Savills P.L.C. | 501,321 | 2,642,414 | ||||||
Shore Capital Group, Ltd. P.L.C. | 1,193,004 | 544,444 | ||||||
St. James’s Place P.L.C. | 718,698 | 3,187,166 | ||||||
St. Modwen Properties P.L.C. | 591,267 | 1,532,853 | ||||||
Tullett Prebon P.L.C. | 767,415 | 4,880,707 | ||||||
*Unite Group P.L.C. | 192,038 | 641,085 | ||||||
Total Financials | 138,645,089 | |||||||
Health Care — (3.1%) | ||||||||
#*Alizyme P.L.C. | 660,805 | 42,354 | ||||||
*Antisoma P.L.C. | 2,024,536 | 204,877 | ||||||
*Assura Group, Ltd. P.L.C. | 55,610 | 39,144 | ||||||
*Axis-Shield P.L.C. | 223,338 | 928,074 | ||||||
Biocompatibles International P.L.C. | 63,286 | 369,120 | ||||||
Bioquell P.L.C. | 90,893 | 140,906 | ||||||
*BTG P.L.C. | 730,460 | 2,829,825 | ||||||
Consort Medical P.L.C. | 116,271 | 932,035 | ||||||
Corin Group P.L.C. | 126,637 | 99,478 | ||||||
Dechra Pharmaceuticals P.L.C. | 203,835 | 1,732,578 | ||||||
Genus P.L.C. | 157,057 | 2,125,869 | ||||||
Hikma Pharmaceuticals P.L.C. | 442,387 | 5,577,736 | ||||||
Nestor Healthcare Group P.L.C. | 443,850 | 697,411 | ||||||
*Oxford Biomedica P.L.C. | 2,123,042 | 330,404 | ||||||
*Prostrakan Group P.L.C. | 38,359 | 45,511 | ||||||
*Renovo Group P.L.C. | 95,255 | 50,314 | ||||||
*Southern Cross Healthcare, Ltd. P.L.C. | 195,059 | 90,756 | ||||||
SSL International P.L.C. | 753,239 | 13,988,081 | ||||||
*Synergy Health P.L.C. | 46,796 | 589,991 | ||||||
*Vectura Group P.L.C. | 1,218,161 | 1,179,468 | ||||||
Total Health Care | 31,993,932 | |||||||
Industrials — (30.2%) | ||||||||
*AEA Technology P.L.C. | 539,970 | 49,236 | ||||||
Air Partner P.L.C. | 37,086 | 233,343 | ||||||
Alumasc Group P.L.C. | 124,366 | 251,369 | ||||||
Ashtead Group P.L.C. | 1,976,882 | 3,979,615 | ||||||
Atkins WS P.L.C. | 425,663 | 5,139,568 | ||||||
*Autologic Holdings P.L.C. | 80,000 | 32,047 | ||||||
*Avis Europe P.L.C. | 42,037 | 152,018 | ||||||
Babcock International Group P.L.C. | 1,286,052 | 11,951,794 | ||||||
Balfour Beatty P.L.C. | 2,390,347 | 10,598,680 | ||||||
BBA Aviation P.L.C. | 1,264,939 | 4,078,300 | ||||||
Bodycote P.L.C. | 722,295 | 3,060,643 | ||||||
Braemar Shipping Services P.L.C. | 81,108 | 688,248 | ||||||
#Brammer P.L.C. | 185,266 | 577,875 | ||||||
#*British Airways P.L.C. | 92,560 | 401,102 | ||||||
#BSS Group P.L.C. | 489,152 | 3,470,425 | ||||||
Camellia P.L.C. | 2,437 | 376,437 | ||||||
Carillion P.L.C. | 1,523,518 | 8,415,082 | ||||||
Carr’s Milling Industries P.L.C. | 35,330 | 360,390 | ||||||
Castings P.L.C. | 162,757 | 667,278 | ||||||
Charter International P.L.C. | 614,873 | 7,280,103 | ||||||
Chemring Group P.L.C. | 128,869 | 6,190,604 | ||||||
Clarkson P.L.C. | 64,187 | 1,093,039 |
63
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Industrials — (Continued) | ||||||||
Communisis P.L.C. | 561,133 | $ | 264,340 | |||||
#Connaught P.L.C. | 319,006 | 85,108 | ||||||
*Cookson Group P.L.C. | 963,139 | 7,951,358 | ||||||
Costain Group P.L.C. | 126,958 | 426,699 | ||||||
*Danka Business Systems P.L.C. | 1,029,605 | — | ||||||
Davis Service Group P.L.C. | 670,430 | 4,464,749 | ||||||
De La Rue P.L.C. | 387,017 | 3,955,190 | ||||||
*easyJet P.L.C. | 590,927 | 4,318,246 | ||||||
Eleco P.L.C. | 80,000 | 21,792 | ||||||
Fenner P.L.C. | 671,987 | 2,812,636 | ||||||
Firstgroup P.L.C. | 1,591,971 | 10,410,372 | ||||||
Forth Ports P.L.C. | 175,092 | 3,700,035 | ||||||
Galliford Try P.L.C. | 167,176 | 816,948 | ||||||
Go-Ahead Group P.L.C. | 164,629 | 3,596,987 | ||||||
Hampson Industries P.L.C. | 591,932 | 303,502 | ||||||
Hays P.L.C. | 4,753,935 | 8,419,027 | ||||||
#*Helphire P.L.C. | 1,050,597 | 365,202 | ||||||
Hogg Robinson Group P.L.C. | 103,893 | 51,584 | ||||||
Homeserve P.L.C. | 1,100,525 | 7,992,806 | ||||||
Hyder Consulting P.L.C. | 168,297 | 1,036,375 | ||||||
IMI P.L.C. | 1,191,221 | 15,063,796 | ||||||
*Impellam Group P.L.C. | 35,258 | 101,596 | ||||||
Interserve P.L.C. | 498,625 | 1,604,032 | ||||||
Intertek Group P.L.C. | 539,854 | 16,045,765 | ||||||
Invensys P.L.C. | 486,722 | 2,248,499 | ||||||
ITE Group P.L.C. | 1,009,264 | 2,987,626 | ||||||
Keller Group P.L.C. | 262,639 | 2,659,140 | ||||||
Kier Group P.L.C. | 137,718 | 2,922,407 | ||||||
Latchways P.L.C. | 41,288 | 525,732 | ||||||
Lavendon Group P.L.C. | 460,763 | 517,050 | ||||||
Lincat Group P.L.C. | 14,452 | 143,575 | ||||||
Low & Bonar P.L.C. | 763,541 | 586,134 | ||||||
*Management Consulting Group P.L.C. | 1,150,534 | 459,576 | ||||||
Mears Group P.L.C. | 86,645 | 416,475 | ||||||
Meggitt P.L.C. | 2,289,633 | 12,104,196 | ||||||
Melrose P.L.C. | 1,598,881 | 7,213,870 | ||||||
Michael Page International P.L.C. | 1,235,568 | 9,325,627 | ||||||
Mitie Group P.L.C. | 1,211,510 | 3,943,861 | ||||||
MJ Gleeson Group P.L.C. | 195,875 | 361,670 | ||||||
Morgan Crucible Co. P.L.C. | 1,174,108 | 4,303,961 | ||||||
Morgan Sindall P.L.C. | 161,485 | 1,743,806 | ||||||
Mouchel Group P.L.C. | 469,006 | 637,712 | ||||||
*National Express Group P.L.C. | 1,470,296 | 5,874,927 | ||||||
*Northgate P.L.C. | 340,977 | 1,338,610 | ||||||
PayPoint P.L.C. | 89,092 | 455,219 | ||||||
PV Crystalox Solar P.L.C. | 757,444 | 643,752 | ||||||
Qinetiq P.L.C. | 2,180,065 | 3,751,185 | ||||||
#Regus P.L.C. | 3,178,152 | 4,401,305 | ||||||
*Rentokil Initial P.L.C. | 3,510,664 | 5,570,923 | ||||||
Ricardo P.L.C. | 217,815 | 1,033,172 | ||||||
*Richmond Oil & Gas P.L.C. | 220,000 | — | ||||||
Robert Walters P.L.C. | 387,999 | 2,101,971 | ||||||
ROK P.L.C. | 723,316 | 232,022 | ||||||
Rotork P.L.C. | 348,025 | 9,332,212 | ||||||
RPS Group P.L.C. | 788,615 | 2,592,699 | ||||||
Senior P.L.C. | 1,671,692 | 3,547,308 | ||||||
Severfield-Rowen P.L.C. | 351,952 | 1,358,712 | ||||||
Shanks Group P.L.C. | 1,642,693 | 2,925,933 | ||||||
*SIG P.L.C. | 1,846,767 | 3,355,800 | ||||||
Smart (J) & Co. (Contractors) | 22,500 | 149,369 | ||||||
Speedy Hire P.L.C. | 324,898 | 128,631 |
64
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Industrials — (Continued) | ||||||||
Spice P.L.C. | 4,494 | $ | 5,015 | |||||
Spirax-Sarco Engineering P.L.C. | 301,608 | 8,735,351 | ||||||
Stagecoach Group P.L.C. | 1,737,648 | 5,820,259 | ||||||
Sthree P.L.C. | 299,337 | 1,400,403 | ||||||
#T Clarke P.L.C. | 148,717 | 281,229 | ||||||
Tarsus Group P.L.C. | 212,372 | 429,161 | ||||||
*Travis Perkins P.L.C. | 667,086 | 8,842,161 | ||||||
Tribal Group P.L.C. | 132,810 | 131,713 | ||||||
*Trifast P.L.C. | 359,985 | 233,277 | ||||||
UK Mail Group P.L.C. | 198,089 | 1,235,797 | ||||||
Ultra Electronics Holdings P.L.C. | 267,145 | 7,961,510 | ||||||
Umeco P.L.C. | 196,406 | 1,362,716 | ||||||
*Volex Group P.L.C. | 229,354 | 1,042,427 | ||||||
Vp P.L.C. | 167,463 | 448,026 | ||||||
Weir Group P.L.C. (The) | 362,747 | 9,053,724 | ||||||
Wincanton P.L.C. | 479,763 | 1,827,695 | ||||||
WSP Group P.L.C. | 262,651 | 1,661,767 | ||||||
XP Power, Ltd. P.L.C. | 73,546 | 1,195,963 | ||||||
Total Industrials | 316,418,202 | |||||||
Information Technology — (10.9%) | ||||||||
Acal P.L.C. | 104,729 | 386,066 | ||||||
Alphameric P.L.C. | 127,141 | 46,979 | ||||||
*Alterian P.L.C. | 179,139 | 605,565 | ||||||
Anite P.L.C. | 1,166,924 | 952,734 | ||||||
Aveva Group P.L.C. | 274,171 | 6,542,840 | ||||||
Computacenter P.L.C. | 423,790 | 2,483,595 | ||||||
*CSR P.L.C. | 547,295 | 2,793,708 | ||||||
Dialight P.L.C. | 111,362 | 762,136 | ||||||
Diploma P.L.C. | 455,202 | 1,892,756 | ||||||
Domino Printing Sciences P.L.C. | 455,803 | 3,850,851 | ||||||
*E2V Technologies P.L.C. | 247,588 | 388,479 | ||||||
Electrocomponents P.L.C. | 1,576,293 | 6,166,758 | ||||||
Fidessa Group P.L.C. | 129,875 | 3,332,347 | ||||||
Halma P.L.C. | 1,461,044 | 7,648,991 | ||||||
#*Imagination Technologies Group P.L.C. | 882,944 | 6,142,602 | ||||||
*Innovation Group P.L.C. | 3,117,664 | 675,185 | ||||||
Intec Telecom Systems P.L.C. | 1,128,823 | 1,300,503 | ||||||
Kewill P.L.C. | 368,863 | 624,078 | ||||||
*Kofax P.L.C. | 317,667 | 1,453,439 | ||||||
Laird P.L.C. | 844,551 | 2,016,741 | ||||||
Logica P.L.C. | 5,706,484 | 11,833,154 | ||||||
Micro Focus International P.L.C. | 520,037 | 3,181,608 | ||||||
*Misys P.L.C. | 1,833,430 | 8,254,976 | ||||||
Moneysupermarket.com Group P.L.C. | 125,063 | 167,532 | ||||||
Oxford Instruments P.L.C. | 193,856 | 1,683,245 | ||||||
Phoenix IT Group, Ltd. P.L.C. | 201,507 | 794,984 | ||||||
Premier Farnell P.L.C. | 1,379,926 | 6,011,301 | ||||||
Psion P.L.C. | 499,513 | 740,148 | ||||||
#*Raymarine P.L.C. | 249,080 | 71,841 | ||||||
Renishaw P.L.C. | 180,171 | 3,341,247 | ||||||
RM P.L.C. | 363,499 | 989,002 | ||||||
*SDL P.L.C. | 316,996 | 3,052,706 | ||||||
Spectris P.L.C. | 490,382 | 8,864,013 | ||||||
Spirent Communications P.L.C. | 2,461,978 | 5,667,180 | ||||||
*Telecity Group P.L.C. | 392,405 | 3,132,465 | ||||||
*TT electronics P.L.C. | 595,193 | 1,518,141 | ||||||
#Vislink P.L.C. | 588,460 | 190,762 | ||||||
*Wolfson Microelectronics P.L.C. | 481,057 | 1,963,139 | ||||||
Xaar P.L.C. | 220,887 | 851,560 |
65
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Information Technology — (Continued) | ||||||||
Xchanging P.L.C. | 677,924 | $ | 1,410,573 | |||||
Total Information Technology | 113,785,930 | |||||||
Materials — (5.5%) | ||||||||
British Polythene Industries P.L.C. | 102,332 | 400,056 | ||||||
Carclo P.L.C. | 214,230 | 748,523 | ||||||
Croda International P.L.C. | 484,717 | 11,168,074 | ||||||
DS Smith P.L.C. | 1,591,931 | 4,294,371 | ||||||
Elementis P.L.C. | 1,858,096 | 3,406,951 | ||||||
Ferrexpo P.L.C. | 577,641 | 3,001,243 | ||||||
Filtrona P.L.C. | 704,266 | 2,812,199 | ||||||
*Gem Diamonds, Ltd. P.L.C. | 382,110 | 1,214,997 | ||||||
Hill & Smith Holdings P.L.C. | 275,101 | 1,337,451 | ||||||
#Hochschild Mining P.L.C. | 411,329 | 3,191,019 | ||||||
*Inveresk P.L.C. | 125,000 | 3,305 | ||||||
Marshalls P.L.C. | 658,597 | 1,138,028 | ||||||
Mondi P.L.C. | 1,078,021 | 8,976,093 | ||||||
Petropavlovsk P.L.C. | 303,440 | 4,703,004 | ||||||
Porvair P.L.C. | 146,460 | 180,549 | ||||||
RPC Group P.L.C. | 383,195 | 1,883,917 | ||||||
Victrex P.L.C. | 321,880 | 6,661,744 | ||||||
*Yule Catto & Co. P.L.C. | 505,169 | 2,086,886 | ||||||
Zotefoams P.L.C. | 96,852 | 228,460 | ||||||
Total Materials | 57,436,870 | |||||||
Telecommunication Services — (2.0%) | ||||||||
*Cable & Wireless Communications P.L.C. | 8,687,193 | 7,446,715 | ||||||
Cable & Wireless Worldwide P.L.C. | 4,550,163 | 5,113,145 | ||||||
*Colt Group SA | 1,213,428 | 2,353,487 | ||||||
Kcom Group P.L.C. | 2,504,455 | 1,970,410 | ||||||
*TalkTalk Telecom Group P.L.C. | 1,366,075 | 2,887,097 | ||||||
Telecom Plus P.L.C. | 254,695 | 1,589,684 | ||||||
Total Telecommunication Services | 21,360,538 | |||||||
Utilities — (2.7%) | ||||||||
Dee Valley Group P.L.C. | 12,109 | 194,931 | ||||||
*Drax Group P.L.C. | 1,259,220 | 7,673,881 | ||||||
Northumbrian Water Group P.L.C. | 1,699,783 | 9,642,375 | ||||||
Pennon Group P.L.C. | 1,133,145 | 11,308,526 | ||||||
Total Utilities | 28,819,713 | |||||||
TOTAL COMMON STOCKS | 1,026,527,766 | |||||||
PREFERRED STOCKS — (0.0%) | ||||||||
Consumer Staples — (0.0%) | ||||||||
Rea Holdings P.L.C. | 2,461 | 4,351 | ||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||
*Management Consulting Group P.L.C. Warrants 12/31/11 | 52,718 | 2,534 | ||||||
*SFI Holdings, Ltd. Litigation Certificate | 26,713 | — | ||||||
*Ultraframe P.L.C. Litigation Notes | 319,285 | — | ||||||
*Xaar P.L.C. Rights 11/05/10 | 30,703 | 39,358 | ||||||
TOTAL RIGHTS/WARRANTS | 41,892 | |||||||
Face Amount | Value† | |||||||
(000) | ||||||||
TEMPORARY CASH INVESTMENTS — (0.0%) | ||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $5,000 FHLMC 5.00%, 10/15/19, valued at $5,656) to be repurchased at $3,000 | $3 | 3,000 | ||||||
66
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares/ | Value† | |||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (2.0%) | ||||||||
§@DFA Short Term Investment Fund | 19,629,803 | $ | 19,629,803 | |||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $1,711,232)## to be repurchased at $1,677,709 | $ | 1,678 | 1,677,678 | |||||
TOTAL SECURITIES LENDING COLLATERAL | 21,307,481 | |||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||
(Cost $953,563,812) | $ | 1,047,884,490 | ||||||
67
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value†† | |||||||
COMMON STOCKS — (85.5%) | ||||||||
AUSTRIA — (2.3%) | ||||||||
#Agrana Beteiligungs AG | 17,168 | $ | 1,683,139 | |||||
Andritz AG | 116,739 | 8,946,425 | ||||||
#*A-TEC Industries AG | 21,828 | 118,493 | ||||||
Austria Email AG | 715 | 8,211 | ||||||
*Austria Technologie & Systemtechnik AG | 4,045 | 74,780 | ||||||
*Austriamicrosystems AG | 30,470 | 1,215,042 | ||||||
BKS Bank AG | 3,120 | 72,084 | ||||||
#BWIN Interactive Entertainment AG | 82,345 | 3,941,722 | ||||||
BWT AG | 27,601 | 770,197 | ||||||
#*CA Immobilien Anlagen AG | 130,641 | 1,964,103 | ||||||
CAT Oil AG | 36,702 | 329,774 | ||||||
*EAG-Beteiligungs AG | 1,650 | 8,466 | ||||||
#EVN AG | 48,671 | 772,606 | ||||||
Flughafen Wien AG | 40,598 | 2,518,064 | ||||||
*Frauenthal Holding AG | 12,084 | 169,681 | ||||||
*Intercell AG | 104,732 | 2,561,417 | ||||||
Josef Manner & Co. AG | 870 | 52,370 | ||||||
Kapsch TrafficCom AG | 5,666 | 326,837 | ||||||
Lenzing AG | 4,701 | 2,333,914 | ||||||
Mayr-Melnhof Karton AG | 31,265 | 3,381,081 | ||||||
Oberbank AG | 37,973 | 2,320,407 | ||||||
#Oesterreichischen Post AG | 98,332 | 2,976,476 | ||||||
*Palfinger AG | 45,976 | 1,402,518 | ||||||
*Polytec Holding AG | 9,404 | 60,162 | ||||||
*RHI AG | 93,231 | 3,094,010 | ||||||
Rosenbauer International AG | 11,816 | 507,570 | ||||||
*S&T System Integration & Technology Distribution AG | 6,404 | 60,028 | ||||||
Schoeller-Bleckmann Oilfield Equipment AG | 32,197 | 2,374,383 | ||||||
Semperit AG Holding | 24,088 | 1,055,358 | ||||||
*Sparkassen Immobilien AG | 58,185 | 461,135 | ||||||
Strabag SE | 95,319 | 2,465,545 | ||||||
UBM Realitaetenentwicklung AG | 1,440 | 55,567 | ||||||
#Uniqa Versicherungen AG | 183,530 | 3,797,480 | ||||||
*Warimpex Finanz und Beteiligungs AG | 10,047 | 31,864 | ||||||
*Wienerberger AG | 157,841 | 2,660,097 | ||||||
#Wolford AG | 11,165 | 315,933 | ||||||
Zumtobel AG | 78,928 | 1,615,429 | ||||||
TOTAL AUSTRIA | 56,502,368 | |||||||
BELGIUM — (3.4%) | ||||||||
#*Ablynx NV | 13,590 | 156,193 | ||||||
Ackermans & van Haaren NV | 81,854 | 7,061,891 | ||||||
#*Agfa-Gevaert NV | 491,806 | 2,872,136 | ||||||
*Arseus NV | 2,491 | 35,672 | ||||||
*Atenor Group | 236 | 10,860 | ||||||
Banque Nationale de Belgique SA | 952 | 4,798,996 | ||||||
*Barco NV | 53,143 | 3,147,848 | ||||||
Bekaert SA | 32,765 | 10,044,157 | ||||||
Co.Br.Ha Societe Commerciale de Brasserie SA | 115 | 261,134 | ||||||
Compagnie d’Entreprises SA | 41,428 | 2,584,468 | ||||||
*Compagnie du Bois Sauvage SA | 87 | 12 | ||||||
Compagnie Immobiliere de Belgique SA | 10,535 | 444,728 | ||||||
Compagnie Maritime Belge SA | 61,365 | 1,856,310 | ||||||
*Deceuninck NV | 247,412 | 615,296 | ||||||
*Devgen NV | 10,607 | 110,788 | ||||||
D’Ieteren SA | 12,906 | 7,043,989 | ||||||
Duvel Moorgat SA | 8,799 | 855,729 | ||||||
Econocom Group SA | 65,485 | 916,258 |
68
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
BELGIUM — (Continued) | ||||||||
#Elia System Operator SA NV | 124,286 | $ | 4,703,444 | |||||
#Euronav SA | 86,554 | 1,447,035 | ||||||
#EVS Broadcast Equipment SA | 16,542 | 1,038,881 | ||||||
Exmar NV | 127,551 | 954,401 | ||||||
Floridienne SA | 2,033 | 370,346 | ||||||
*Galapagos NV | 38,107 | 626,495 | ||||||
Gimv NV | 13,874 | 767,907 | ||||||
Hamon & Compagnie International SA | 3,754 | 135,846 | ||||||
Henex SA | 7,487 | 458,617 | ||||||
Image Recognition Integrated Systems (I.R.I.S.) SA | 6,284 | 275,400 | ||||||
*Ion Beam Applications SA | 74,962 | 917,807 | ||||||
Jensen-Group NV | 12,030 | 175,965 | ||||||
Kinepolis Group NV | 5,432 | 392,233 | ||||||
Lotus Bakeries NV | 1,361 | 769,431 | ||||||
#*Melexis NV | 88,696 | 1,568,298 | ||||||
#Nyrstar NV | 220,706 | 3,255,659 | ||||||
Omega Pharma SA | 82,044 | 3,837,687 | ||||||
*Option NV | 38,430 | 34,782 | ||||||
*Picanol NV | 16,620 | 268,572 | ||||||
*RealDolmen NV | 6,066 | 117,796 | ||||||
Recticel SA | 52,387 | 549,392 | ||||||
Resilux SA | 4,095 | 321,221 | ||||||
Rosier SA | 655 | 282,707 | ||||||
*Roularta Media Group NV | 5,864 | 185,474 | ||||||
*SAPEC SA | 3,531 | 240,403 | ||||||
Sioen Industries NV | 52,140 | 432,178 | ||||||
Sipef NV | 24,100 | 1,925,017 | ||||||
#*Spector Photo Group SA | 11,235 | 10,673 | ||||||
*Systemat-Datarelay SA | 26,232 | 191,025 | ||||||
Telenet Group Holding NV | 148,890 | 6,235,028 | ||||||
Ter Beke NV | 2,281 | 194,723 | ||||||
Tessenderlo Chemie NV | 94,781 | 3,243,436 | ||||||
#*ThromboGenics NV | 38,712 | 1,002,910 | ||||||
#*TiGenix NV | 22,164 | 59,626 | ||||||
Van de Velde NV | 27,539 | 1,442,486 | ||||||
VPK Packaging Group SA | 12,084 | 498,452 | ||||||
TOTAL BELGIUM | 81,747,818 | |||||||
DENMARK — (2.5%) | ||||||||
*Aarhus Lokalbank A.S. | 8,030 | 74,282 | ||||||
*Aktieselskabet Skjern Bank A.S. | 3,276 | 89,465 | ||||||
#Alk-Abello A.S. | 18,126 | 1,149,254 | ||||||
*Alm. Brand A.S. | 27,560 | 215,343 | ||||||
*Amagerbanken A.S. | 647,900 | 363,085 | ||||||
#*Ambu A.S. | 22,100 | 571,314 | ||||||
Arkil Holdings A.S. Series B | 780 | 83,641 | ||||||
Auriga Industries A.S. Series B | 49,725 | 974,839 | ||||||
#*Bang & Olufsen Holdings A.S. | 105,352 | 1,143,267 | ||||||
*Bavarian Nordic A.S. | 29,869 | 1,217,910 | ||||||
#*BoConcept Holding A.S. | 5,650 | 187,932 | ||||||
Brodrene Hartmann A.S. Series B | 11,730 | 149,986 | ||||||
*Brondbyernes IF Fodbold A.S. Series B | 15,450 | 73,354 | ||||||
D/S Norden A.S. | 81,294 | 3,156,846 | ||||||
*Dalhoff, Larson & Horneman A.S. Series B | 32,000 | 128,281 | ||||||
*Dantherm Holding A.S. | 8,615 | 29,079 | ||||||
*DFDS A.S. | 11,236 | 810,871 | ||||||
*DiBa Bank A.S. | 2,300 | 24,763 | ||||||
*Djursland Bank A.S. | 8,970 | 237,691 | ||||||
#East Asiatic Co., Ltd. A.S. | 52,687 | 1,430,498 | ||||||
F.E. Bording A.S. | 600 | 52,631 | ||||||
*Fionia Holding A.S. | 17,880 | — |
69
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
DENMARK — (Continued) | ||||||||
Fluegger A.S. Series B | 4,198 | $ | 324,934 | |||||
#*Genmab A.S. | 113,251 | 1,502,245 | ||||||
*GN Store Nord A.S. | 688,298 | 5,747,522 | ||||||
*GPV Industi A.S. | 2,200 | 12,318 | ||||||
#*Greentech Energy Systems A.S. | 149,206 | 560,082 | ||||||
*Gronlandsbanken A.S. | 768 | 59,747 | ||||||
#*H&H International A.S. Series B | 17,280 | 209,821 | ||||||
#Harboes Bryggeri A.S. | 12,252 | 325,918 | ||||||
Hojgaard Holding A.S. Series B | 2,750 | 95,482 | ||||||
#IC Companys A.S. | 33,305 | 1,505,500 | ||||||
*Incentive A.S. | 3,575 | 12,343 | ||||||
Jeudan A.S. | 4,620 | 345,426 | ||||||
*Jyske Bank A.S. | 87,656 | 3,928,827 | ||||||
*Lan & Spar Bank A.S. | 5,150 | 254,649 | ||||||
*Lastas A.S. Series B | 11,200 | 75,675 | ||||||
*Lollands Bank A.S. | 750 | 23,841 | ||||||
#*Mols-Linien A.S. | 27,490 | 210,101 | ||||||
*NeuroSearch A.S. | 69,661 | 1,260,861 | ||||||
#NKT Holding A.S. | 82,627 | 4,450,265 | ||||||
*Nordjyske Bank A.S. | 17,600 | 348,015 | ||||||
*Norresundby Bank A.S. | 7,350 | 242,594 | ||||||
North Media A.S. | 36,665 | 281,471 | ||||||
*Ostjydsk Bank A.S. | 2,554 | 182,679 | ||||||
#*Parken Sport & Entertainment A.S. | 32,936 | 525,548 | ||||||
Per Aarsleff A.S. Series B | 5,975 | 484,371 | ||||||
*Ringkjoebing Landbobank A.S. | 15,120 | 1,957,513 | ||||||
Roblon A.S. Series B | 540 | 62,460 | ||||||
#*Rockwool International A.S. | 8,151 | 918,935 | ||||||
#*Royal Unibrew A.S. | 29,990 | 1,663,899 | ||||||
*Salling Bank A.S. | 430 | 25,700 | ||||||
*Sanistal A.S. Series B | 1,341 | 13,528 | ||||||
#*Satair A.S. | 8,771 | 489,572 | ||||||
Schouw & Co. A.S. | 70,768 | 1,511,678 | ||||||
SimCorp A.S. | 16,997 | 2,957,158 | ||||||
*Sjaelso Gruppen A.S. | 29,228 | 44,129 | ||||||
*SKAKO A.S. | 5,130 | 22,021 | ||||||
Solar Holdings A.S. Series B | 10,225 | 672,384 | ||||||
*Spar Nord Bank A.S. | 117,343 | 1,367,979 | ||||||
*Sparbank A.S. | 10,930 | 181,845 | ||||||
*Sparekassen Faaborg A.S. | 1,972 | 309,009 | ||||||
*Sydbank A.S. | 214,972 | 5,659,398 | ||||||
Thrane & Thrane A.S. | 11,563 | 521,244 | ||||||
Tivoli A.S. | 969 | 581,472 | ||||||
#*TK Development A.S. | 137,522 | 638,499 | ||||||
#*Topdanmark A.S. | 40,675 | 4,872,760 | ||||||
#*TopoTarget A.S. | 378,484 | 265,840 | ||||||
*Torm A.S. | 88,510 | 666,307 | ||||||
*Vestfyns Bank A.S. | 680 | 74,986 | ||||||
*Vestjysk Bank A.S. | 24,162 | 328,665 | ||||||
TOTAL DENMARK | 60,941,548 | |||||||
FINLAND — (5.7%) | ||||||||
Ahlstrom Oyj | 6,388 | 130,584 | ||||||
#*Aldata Solutions Oyj | 194,535 | 154,161 | ||||||
Alma Media Oyj | 277,852 | 2,871,290 | ||||||
*Amanda Capital Oyj | 67,120 | 137,402 | ||||||
Amer Sports Oyj Series A | 308,476 | 4,159,417 | ||||||
Aspo Oyj | 68,141 | 776,547 | ||||||
#Atria P.L.C. | 5,611 | 78,253 | ||||||
Bank of Aland P.L.C. | 17,663 | 470,016 | ||||||
BasWare Oyj | 34,550 | 1,080,199 |
70
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
FINLAND — (Continued) | ||||||||
*Biotie Therapies Corp. Oyj | 265,590 | $ | 136,827 | |||||
#Cargotec Oyj Series B | 109,737 | 4,990,453 | ||||||
*Componenta Oyj | 34,400 | 286,232 | ||||||
#Comptel P.L.C. | 324,863 | 356,337 | ||||||
*Cramo Oyj | 119,766 | 2,495,748 | ||||||
#Digia P.L.C. | 55,020 | 395,159 | ||||||
*Efore Oyj | 114,965 | 115,211 | ||||||
*Elcoteq SE | 3,041 | 5,710 | ||||||
*Elektrobit Corp. Oyj | 2,476 | 2,342 | ||||||
#Elisa Oyj | 276,614 | 5,915,786 | ||||||
Etteplan Oyj | 62,600 | 254,287 | ||||||
#*Finnair Oyj | 199,282 | 1,504,811 | ||||||
*Finnlines Oyj | 124,906 | 1,404,170 | ||||||
Fiskars Oyj Abp Series A | 181,663 | 3,695,485 | ||||||
#F-Secure Oyj | 444,369 | 1,354,026 | ||||||
*GeoSentric Oyj | 244,900 | 10,223 | ||||||
#*Glaston Oyj Abp | 131,940 | 218,346 | ||||||
HKScan Oyj | 75,317 | 761,863 | ||||||
Huhtamaki Oyj | 345,189 | 4,375,974 | ||||||
#Ilkka-Yhtyma Oyj | 60,256 | 582,857 | ||||||
KCI Konecranes Oyj | 232,703 | 9,278,182 | ||||||
Kemira Oyj | 259,072 | 3,813,881 | ||||||
Kesko Oyj | 138,078 | 6,852,025 | ||||||
Laennen Tehtaat Oyj | 18,920 | 474,147 | ||||||
Lassila & Tikanoja Oyj | 117,954 | 2,230,282 | ||||||
*Lemminkainen Oyj | 14,946 | 518,822 | ||||||
*M-Real Oyj Series B | 1,549,706 | 5,303,530 | ||||||
Neo Industrial Oyj | 16,652 | 135,779 | ||||||
Nokian Renkaat Oyj | 163,412 | 5,665,562 | ||||||
Nordic Aluminium Oyj | 10,440 | 418,449 | ||||||
Okmetic Oyj | 54,904 | 419,237 | ||||||
Olvi Oyj Series A | 31,354 | 1,344,221 | ||||||
Oriola-KD Oyj Series A | 12,844 | 68,629 | ||||||
Oriola-KD Oyj Series B | 148,242 | 786,041 | ||||||
Orion Oyj Series A | 101,720 | 2,153,772 | ||||||
#Orion Oyj Series B | 253,721 | 5,396,431 | ||||||
#Outokumpu Oyj | 188,979 | 3,394,720 | ||||||
Outotec Oyj | 36,018 | 1,681,830 | ||||||
PKC Group Oyj | 48,390 | 819,296 | ||||||
Pohjola Bank P.L.C. | 372,375 | 4,711,128 | ||||||
#Ponsse Oyj | 22,814 | 345,606 | ||||||
#Poyry Oyj | 179,728 | 2,185,100 | ||||||
Raisio P.L.C. | 462,617 | 1,847,784 | ||||||
#Ramirent Oyj | 299,709 | 3,371,824 | ||||||
Rapala VMC Oyj | 113,258 | 945,110 | ||||||
#*Rautaruukki Oyj Series K | 233,148 | 4,633,296 | ||||||
*Raute Oyj Series A | 10,390 | 121,384 | ||||||
#Ruukki Group Oyj | 306,166 | 763,188 | ||||||
Sanoma Oyj | 162,312 | 3,662,299 | ||||||
Scanfil Oyj | 123,479 | 513,374 | ||||||
*SRV Group P.L.C. | 2,008 | 18,605 | ||||||
Stockmann Oyj Abp Series A | 43,914 | 1,741,946 | ||||||
#Stockmann Oyj Abp Series B | 99,920 | 3,549,127 | ||||||
*Tecnomen Lifetree Oyj | 2,061 | 2,009 | ||||||
Teleste Oyj | 53,559 | 359,828 | ||||||
Tieto Oyj | 277,638 | 5,309,747 | ||||||
#*Tikkurila Oyj | 62,217 | 1,340,695 | ||||||
#*Trainers’ House P.L.C. | 107,200 | 56,633 | ||||||
Tulikivi Oyj | 79,440 | 139,245 | ||||||
Turkistuottajat Oyj | 8,490 | 133,724 | ||||||
#Uponor Oyj Series A | 206,241 | 3,698,902 |
71
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
FINLAND — (Continued) | ||||||||
Vacon Oyj | 42,777 | $ | 2,231,114 | |||||
Vaisala Oyj Series A | 39,132 | 1,203,909 | ||||||
Viking Line Abp | 10,400 | 477,790 | ||||||
Yit Oyj | 207,318 | 5,012,228 | ||||||
TOTAL FINLAND | 137,850,147 | |||||||
FRANCE — (11.0%) | ||||||||
Akka Technologies SA | 6,655 | 129,933 | ||||||
Ales Groupe SA | 32,239 | 533,786 | ||||||
#*Altamir Amboise | 2,730 | 21,414 | ||||||
ALTEN SA | 64,193 | 2,147,188 | ||||||
#*Altran Technologies SA | 343,804 | 1,476,374 | ||||||
April Group SA | 70,725 | 2,126,258 | ||||||
#*Archos SA | 18,355 | 105,617 | ||||||
Arkema SA | 199,362 | 12,882,495 | ||||||
Assystem SA | 52,519 | 969,979 | ||||||
#*Atari SA | 14,902 | 79,339 | ||||||
*Atos Origin SA | 143,571 | 6,644,029 | ||||||
Aubay SA | 10,285 | 74,348 | ||||||
Audika SA | 21,251 | 519,726 | ||||||
*Baccarat SA | 1,090 | 229,348 | ||||||
Banque Tarneaud SA | 1,430 | 249,295 | ||||||
#*Beneteau SA | 172,729 | 3,713,000 | ||||||
#Bigben Interactive | 8,718 | 122,825 | ||||||
Boiron SA | 27,525 | 1,040,964 | ||||||
Boizel Chanoine Champagne SA | 6,606 | 545,670 | ||||||
Bonduelle SCA | 12,909 | 1,157,117 | ||||||
Bongrain SA | 14,735 | 1,187,640 | ||||||
#Bourbon SA | 155,755 | 7,098,282 | ||||||
*Boursorama SA | 10,781 | 131,210 | ||||||
#*Bull SA | 289,386 | 1,370,888 | ||||||
Burelle SA | 3,894 | 916,657 | ||||||
*Cafom SA | 5,092 | 111,969 | ||||||
Canal Plus SA | 290,570 | 2,142,598 | ||||||
CBo Territoria | 28,320 | 175,957 | ||||||
Cegedim SA | 16,591 | 1,040,813 | ||||||
CEGID Group SA | 1,992 | 67,041 | ||||||
#*Cie Generale de Geophysique-Veritas SA | 219,970 | 5,138,239 | ||||||
Ciments Francais SA | 754 | 69,524 | ||||||
*Club Mediterranee SA | 63,302 | 1,239,256 | ||||||
Compagnie Industrielle et Financiere D’Entreprises SA | 1,200 | 100,501 | ||||||
*CS Communication & Systemes SA | 7,938 | 61,881 | ||||||
Damartex SA | 21,101 | 603,302 | ||||||
Delachaux SA | 26,973 | 2,202,807 | ||||||
#*Derichebourg SA | 548,515 | 2,714,506 | ||||||
*Devoteam SA | 4,275 | 118,015 | ||||||
*Dynaction SA | 14,655 | 173,308 | ||||||
#EDF Energies Nouvelles SA | 17,468 | 758,506 | ||||||
Electricite de Strasbourg SA | 22,124 | 3,533,878 | ||||||
Entrepose Contracting SA | 117 | 13,567 | ||||||
Esso S.A.F. | 8,945 | 1,202,006 | ||||||
Establissements Maurel et Prom SA | 305,061 | 4,498,910 | ||||||
*Etam Developpement SA | 386 | 18,360 | ||||||
*Euler Hermes SA | 36,906 | 3,475,927 | ||||||
*Euro Disney SCA | 48,370 | 282,812 | ||||||
*Eurofins Scientific SA | 4,524 | 280,369 | ||||||
#Exel Industries SA | 10,525 | 458,523 | ||||||
Faiveley Transport SA | 3,574 | 302,193 | ||||||
*Faurecia SA | 87,585 | 2,375,979 | ||||||
Fimalac SA | 29,963 | 1,289,484 | ||||||
Fleury Michon SA | 4,694 | 207,994 |
72
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
FRANCE — (Continued) | ||||||||
*Flo Groupe SA | 29,358 | $ | 187,024 | |||||
*GameLoft SA | 20,003 | 124,388 | ||||||
*Gascogne SA | 6,907 | 391,163 | ||||||
Gaumont SA | 14,184 | 1,014,194 | ||||||
#*GECI International SA | 59,392 | 281,139 | ||||||
Gemalto NV | 149,247 | 6,801,849 | ||||||
Gevelot SA | 3,584 | 198,789 | ||||||
*GFI Informatique SA | 122,870 | 527,105 | ||||||
#GIFI SA | 7,360 | 574,020 | ||||||
GL Events SA | 14,161 | 492,221 | ||||||
#GPE Groupe Pizzorno SA | 5,200 | 130,932 | ||||||
Groupe Crit SA | 24,255 | 640,753 | ||||||
Groupe Eurotunnel SA | 6,188 | 61,560 | ||||||
*Groupe Go Sport SA | 2,297 | 34,364 | ||||||
Groupe Gorge SA | 18,510 | 179,476 | ||||||
Groupe Guillin SA | 1,200 | 113,166 | ||||||
#*Groupe Open SA | 27,590 | 214,463 | ||||||
Groupe Steria SCA | 66,505 | 1,793,288 | ||||||
#Guerbet SA | 5,824 | 624,497 | ||||||
#Guyenne et Gascogne SA | 25,083 | 2,769,366 | ||||||
*Haulotte Group SA | 59,734 | 775,622 | ||||||
Havas SA | 1,165,955 | 6,143,380 | ||||||
#*Hi-Media SA | 10,913 | 53,857 | ||||||
#*Idsud SA | 2,227 | 82,405 | ||||||
Ingenico SA | 109,546 | 3,306,504 | ||||||
*Inter Parfums SA | 1,373 | 51,954 | ||||||
Ipsen SA | 25,125 | 885,406 | ||||||
Ipsos SA | 84,878 | 4,091,814 | ||||||
*Kaufman & Broad SA | 4,383 | 125,981 | ||||||
Korian SA | 5,663 | 134,462 | ||||||
#Laurent-Perrier SA | 11,943 | 1,344,451 | ||||||
*LDC SA | 19 | 1,826 | ||||||
#*Lectra SA | 83,499 | 487,659 | ||||||
Lisi SA | 16,055 | 1,129,135 | ||||||
#LVL Medical Groupe SA | 18,785 | 426,849 | ||||||
M6 Metropole Television SA | 148,116 | 3,625,710 | ||||||
#Maisons France Confort SA | 2,426 | 105,699 | ||||||
#*Manitou BF SA | 46,187 | 974,576 | ||||||
Manutan International SA | 13,379 | 898,272 | ||||||
*Meetic SA | 3,575 | 106,799 | ||||||
#Mersen SA | 58,913 | 2,585,614 | ||||||
MGI Coutier SA | 2,753 | 123,528 | ||||||
#Mr. Bricolage SA | 23,846 | 487,419 | ||||||
#Naturex SA | 8,725 | 529,599 | ||||||
#Neopost SA | 86,402 | 7,177,299 | ||||||
Nexans SA | 92,377 | 6,588,947 | ||||||
Nexity SA | 73,484 | 3,262,937 | ||||||
Norbert Dentressangle SA | 12,330 | 1,003,926 | ||||||
NRJ Group SA | 2,533 | 26,526 | ||||||
#*Oeneo SA | 102,487 | 295,125 | ||||||
#Orpea SA | 96,748 | 4,878,575 | ||||||
Osiatis SA | 1,400 | 10,945 | ||||||
#*PagesJaunes Groupe SA | 384,634 | 4,240,358 | ||||||
Paris Orleans et Cie SA | 2,478 | 67,295 | ||||||
*Parrot SA | 6,162 | 157,922 | ||||||
Pierre & Vacances SA | 15,567 | 1,133,671 | ||||||
Plastic Omnium SA | 29,952 | 1,813,476 | ||||||
*Plastivaloire SA | 4,552 | 125,731 | ||||||
PSB Industries SA | 8,438 | 278,961 | ||||||
Rallye SA | 85,476 | 3,343,576 | ||||||
#*Recylex SA | 39,995 | 363,097 |
73
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
FRANCE — (Continued) | ||||||||
#Remy Cointreau SA | 77,795 | $ | 5,477,945 | |||||
*Rexel SA | 66,479 | 1,255,476 | ||||||
*Rhodia SA | 311,738 | 8,691,016 | ||||||
Robertet SA | 3,167 | 467,745 | ||||||
*Rodriguez Group SA | 31,298 | 243,069 | ||||||
Rougier SA | 6,115 | 255,053 | ||||||
Rubis SA | 33,838 | 3,751,770 | ||||||
*S.T. Dupont SA | 39,440 | 11,001 | ||||||
*Sa des Ciments Vicat SA | 9,335 | 733,070 | ||||||
Sabeton SA | 13,500 | 247,560 | ||||||
Saft Groupe SA | 60,919 | 2,328,288 | ||||||
SAMSE SA | 8,342 | 729,002 | ||||||
*Sartorius Stedim Biotech SA | 866 | 39,737 | ||||||
SEB SA | 87,918 | 8,430,197 | ||||||
*Seche Environnement SA | 332 | 26,784 | ||||||
#Sechilienne SA | 56,504 | 1,641,836 | ||||||
Securidev SA | 2,500 | 81,458 | ||||||
SeLoger.com SA | 21,482 | 1,078,333 | ||||||
#*Sequana SA | 30,915 | 448,159 | ||||||
Signaux Girod SA | 894 | 73,369 | ||||||
*Societe Anonyme d’Explosifs et de Produits Chimiques SA | 524 | 193,701 | ||||||
Societe BIC SA | 84,787 | 7,526,006 | ||||||
Societe des Bains de Mer et du Cercle des Etrangers a Monaco SA | 46,150 | 3,019,311 | ||||||
Societe Pour l’Informatique Industrielle SA | 40,908 | 245,466 | ||||||
Societe Television Francaise 1 SA | 171,170 | 2,805,497 | ||||||
#*Soitec SA | 365,404 | 3,772,032 | ||||||
#Somfy SA | 21,738 | 4,770,129 | ||||||
Sopra Group SA | 22,982 | 1,914,509 | ||||||
Stallergenes SA | 33,074 | 2,818,986 | ||||||
#*Ste Industrielle d’Aviation Latecoere SA | 3,517 | 33,091 | ||||||
Stef-TFE SA | 28,838 | 1,606,256 | ||||||
Sucriere de Pithiviers Le Vieil SA | 1,745 | 1,698,478 | ||||||
*Sword Group SA | 4,053 | 149,330 | ||||||
Synergie SA | 32,941 | 871,372 | ||||||
#*Technicolor SA | 304,125 | 1,915,679 | ||||||
Teleperformance SA | 158,000 | 4,992,930 | ||||||
Tessi SA | 5,050 | 458,789 | ||||||
#*Theolia SA | 215,705 | 380,568 | ||||||
#Tonnellerie Francois Freres SA | 3,839 | 160,474 | ||||||
*Total Gabon | 35 | 14,047 | ||||||
Touax SA | 378 | 13,776 | ||||||
Toupargel Groupe SA | 75 | 1,425 | ||||||
*Transgene SA | 1,214 | 26,186 | ||||||
*Trigano SA | 12,263 | 315,913 | ||||||
#*UbiSoft Entertainment SA | 196,028 | 2,553,866 | ||||||
#Union Financiere de France Banque SA | 15,895 | 684,333 | ||||||
*Valeo SA | 232,962 | 12,592,625 | ||||||
Viel et Compagnie SA | 158,130 | 636,265 | ||||||
#Vilmorin & Cie SA | 18,821 | 2,000,471 | ||||||
Virbac SA | 16,426 | 2,643,640 | ||||||
VM Materiaux SA | 6,914 | 428,408 | ||||||
Vranken Pommery Monopole SA | 12,131 | 581,253 | ||||||
Zodiac Aerospace SA | 105,911 | 7,489,218 | ||||||
*Zueblin Immobiliere France SA | 1,285 | 6,729 | ||||||
TOTAL FRANCE | 265,863,879 | |||||||
GERMANY — (12.7%) | ||||||||
A.S. Creation Tapeton AG | 6,853 | 299,090 | ||||||
*AAP Implantate AG | 47,250 | 80,188 | ||||||
*Aareal Bank AG | 302,222 | 7,378,490 | ||||||
*Abwicklungsgesellschaft Roesch AG Medizintechnik | 7,300 | 406 |
74
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
GERMANY — (Continued) | ||||||||
*ADVA AG Optical Networking | 120,254 | $ | 975,785 | |||||
Agrob Immobilien AG | 5,800 | 75,276 | ||||||
#*Air Berlin P.L.C. | 107,677 | 509,541 | ||||||
#Aixtron AG | 314,748 | 10,249,247 | ||||||
*Aligna AG | 318,087 | 78,049 | ||||||
Amadeus Fire AG | 16,192 | 624,630 | ||||||
Andreae-Noris Zahn AG | 26,412 | 1,043,706 | ||||||
#*Arques Industries AG | 21,373 | 63,144 | ||||||
*Arques Industries AG I-10 Shares | 8,997 | 26,572 | ||||||
#Asian Bamboo AG | 26,935 | 1,382,795 | ||||||
Augusta Technologie AG | 26,396 | 545,656 | ||||||
#Aurubis AG | 144,707 | 7,460,677 | ||||||
Baader Bank AG | 132,511 | 581,090 | ||||||
#*Balda AG | 120,860 | 1,057,981 | ||||||
#Bauer AG | 19,385 | 893,112 | ||||||
BayWa AG | 10,824 | 452,200 | ||||||
Bechtle AG | 39,024 | 1,454,122 | ||||||
#*Bertrandt AG | 22,607 | 1,467,454 | ||||||
*Beta Systems Software AG | 8,550 | 34,514 | ||||||
Bilfinger Berger SE | 162,980 | 11,946,841 | ||||||
*Biolitec AG | 26,843 | 147,382 | ||||||
Biotest AG | 20,784 | 1,119,184 | ||||||
*BKN International AG | 33,408 | 2,278 | ||||||
*BMP AG | 44,099 | 54,354 | ||||||
#*Borussia Dortmund GmbH & Co. KGaA | 208,512 | 492,714 | ||||||
Carl Zeiss Meditec AG | 58,224 | 1,008,073 | ||||||
CENIT AG | 470 | 3,440 | ||||||
*Centrosolar Group AG | 19,292 | 136,717 | ||||||
*Centrotec Sustainable AG | 41,054 | 968,349 | ||||||
#*Centrotherm Photovoltaics AG | 26,061 | 1,073,033 | ||||||
Cewe Color Holding AG | 13,917 | 593,960 | ||||||
#Comdirect Bank AG | 131,903 | 1,305,689 | ||||||
CompuGroup Medical AG | 11,917 | 156,766 | ||||||
#*Conergy AG | 370,951 | 274,213 | ||||||
#*Constantin Medien AG | 314,299 | 715,963 | ||||||
CropEnergies AG | 12,945 | 87,933 | ||||||
CTS Eventim AG | 50,168 | 2,793,430 | ||||||
*Curanum AG | 83,165 | 265,211 | ||||||
*D. Logistics AG | 113,203 | 265,857 | ||||||
DAB Bank AG | 130,043 | 769,951 | ||||||
*Data Modul AG | 11,455 | 189,012 | ||||||
*Delticom AG | 1,235 | 98,387 | ||||||
*Demag Cranes AG | 48,370 | 2,411,185 | ||||||
*Deutsche Beteiligungs AG | 10,507 | 303,805 | ||||||
*Deutsche Wohnen AG | 68,918 | 828,825 | ||||||
*Deutz AG | 249,610 | 2,135,743 | ||||||
#*Dialog Semiconductor P.L.C. | 151,843 | 2,767,333 | ||||||
*Dierig Holding AG | 10,500 | 125,480 | ||||||
Douglas Holding AG | 100,341 | 5,601,173 | ||||||
*Dr. Hoenle AG | 14,858 | 152,848 | ||||||
Drillisch AG | 148,359 | 1,271,357 | ||||||
#*Duerr AG | 34,299 | 1,040,464 | ||||||
DVB Bank SE | 173,470 | 5,939,540 | ||||||
Eckert & Ziegler AG | 6,924 | 247,635 | ||||||
#Elexis AG | 32,938 | 553,560 | ||||||
*Elmos Semiconductor AG | 34,592 | 391,176 | ||||||
#ElreingKlinger AG | 96,945 | 3,240,427 | ||||||
*Epigenomics AG | 27,680 | 86,659 | ||||||
Erlus AG | 2,970 | 121,981 | ||||||
*Euromicron AG | 4,746 | 154,164 | ||||||
#Euwax AG | 17,978 | 1,251,133 |
75
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
GERMANY — (Continued) | ||||||||
*Evotec AG | 1,165,338 | $ | 3,889,148 | |||||
#Fielmann AG | 56,670 | 5,746,279 | ||||||
Freenet AG | 346,365 | 4,419,738 | ||||||
Fuchs Petrolub AG | 46,541 | 5,987,309 | ||||||
GBW AG | 28,417 | 534,012 | ||||||
*Gerresheimer AG | 82,421 | 3,253,954 | ||||||
#Gerry Weber International AG | 42,943 | 2,042,510 | ||||||
Gesco AG | 9,182 | 564,093 | ||||||
GFK SE | 68,806 | 2,869,257 | ||||||
#GFT Technologies AG | 66,050 | 320,396 | ||||||
#Gildemeister AG | 99,621 | 1,775,541 | ||||||
*Grammer AG | 25,920 | 675,020 | ||||||
Grenkeleasing AG | 31,484 | 1,672,497 | ||||||
#*H&R WASAG AG | 15,594 | 463,770 | ||||||
#Hamborner REIT AG | 31,350 | 321,311 | ||||||
#Hamburger Hafen und Logistik AG | 50,236 | 2,197,937 | ||||||
*Hansa Group AG | 146,815 | 606,956 | ||||||
Hawesko Holding AG | 19,463 | 768,895 | ||||||
*Heidelberger Druckmaschinen AG | 693,936 | 3,192,652 | ||||||
*Homag Group AG | 5,600 | 120,323 | ||||||
*IKB Deutsche Industriebank AG | 21,843 | 21,215 | ||||||
Indus Holding AG | 41,674 | 1,108,186 | ||||||
Innovation in Traffic Systems AG | 23,949 | 469,111 | ||||||
Interseroh SE | 21,642 | 1,143,018 | ||||||
#*Intershop Communications AG | 62,598 | 180,076 | ||||||
Isra Vision Systems AG | 10,917 | 232,040 | ||||||
*IVG Immobilien AG | 480,972 | 3,691,390 | ||||||
*Jenoptik AG | 153,250 | 1,022,657 | ||||||
*Kampa AG | 35,505 | 7,897 | ||||||
*Kloeckner & Co. SE | 189,620 | 4,251,207 | ||||||
*Koenig & Bauer AG | 4,664 | 93,567 | ||||||
Kontron AG | 176,510 | 1,714,500 | ||||||
#*Krones AG | 69,323 | 3,848,263 | ||||||
KSB AG | 3,809 | 2,968,171 | ||||||
#*Kuka AG | 97,095 | 2,015,564 | ||||||
#KWS Saat AG | 17,224 | 3,077,061 | ||||||
Leifheit AG | 12,500 | 337,542 | ||||||
*Leoni AG | 108,940 | 3,975,651 | ||||||
#Loewe AG | 25,187 | 222,979 | ||||||
LPKF Laser & Electronics AG | 20,347 | 400,287 | ||||||
#*Manz Automation AG | 2,066 | 154,384 | ||||||
*MasterFlex AG | 7,812 | 39,033 | ||||||
*Maxdata Computer AG | 94,120 | 15,851 | ||||||
Mediclin AG | 119,554 | 637,164 | ||||||
#*Medigene AG | 87,499 | 215,375 | ||||||
Medion AG | 81,672 | 1,290,624 | ||||||
*Mensch und Maschine Software AG | 27,532 | 151,299 | ||||||
#MLP AG | 205,563 | 2,184,507 | ||||||
*Mologen AG | 22,062 | 269,985 | ||||||
*Morphosys AG | 57,456 | 1,368,826 | ||||||
MTU Aero Engines Holding AG | 165,906 | 10,009,105 | ||||||
Muehlbauer Holding & Co. AG | 14,905 | 580,858 | ||||||
#MVV Energie AG | 114,055 | 4,652,124 | ||||||
Nemetschek AG | 23,340 | 936,194 | ||||||
*Nexus AG | 33,813 | 170,726 | ||||||
#*Nordex SE | 104,915 | 1,015,728 | ||||||
#OHB Technology AG | 35,659 | 646,705 | ||||||
Oldenburgische Landesbank AG | 4,234 | 239,839 | ||||||
P&I Personal & Informatik AG | 17,889 | 620,840 | ||||||
*Patrizia Immobilien AG | 10,090 | 51,410 | ||||||
Pfeiffer Vacuum Technology AG | 32,328 | 3,091,655 |
76
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
GERMANY — (Continued) | ||||||||
#*Pfleiderer AG | 158,664 | $ | 805,586 | |||||
#*Phoenix Solar AG | 6,374 | 248,256 | ||||||
*PNE Wind AG | 167,451 | 384,137 | ||||||
Praktiker Bau-und Heimwerkermaerkte Holding AG | 152,387 | 1,444,977 | ||||||
*Progress-Werk Oberkirch AG | 6,250 | 305,020 | ||||||
PSI AG fuer Produkte und Systeme der Informationstechnologie | 28,359 | 617,363 | ||||||
PVA TePla AG | 46,019 | 281,285 | ||||||
*Q-Cells SE | 226,583 | 970,002 | ||||||
*QSC AG | 287,340 | 733,275 | ||||||
R. Stahl AG | 14,410 | 542,267 | ||||||
Rational AG | 14,646 | 3,248,740 | ||||||
REALTECH AG | 13,541 | 150,497 | ||||||
Renk AG | 18,838 | 1,640,045 | ||||||
#*Repower Systems AG | 5,276 | 870,626 | ||||||
Rheinmetall AG | 111,360 | 8,031,101 | ||||||
Rhoen-Klinikum AG | 379,608 | 8,894,423 | ||||||
*Roth & Rau AG | 15,929 | 374,527 | ||||||
Ruecker AG | 18,949 | 326,573 | ||||||
S.A.G. Solarstrom AG | 8,882 | 46,158 | ||||||
Sartorius AG | 30,837 | 986,017 | ||||||
*Schaltbau Holding AG | 1,059 | 80,305 | ||||||
*Sedo Holding AG | 69,691 | 340,972 | ||||||
*Sektkellerei Schloss Wachenheim AG | 14,520 | 176,694 | ||||||
*SER Systems AG | 9,400 | 681 | ||||||
#*SGL Carbon SE | 217,830 | 8,077,263 | ||||||
*Silicon Sensor International AG | 182 | 2,106 | ||||||
#*Singulus Technologies AG | 189,731 | 881,027 | ||||||
Sinner AG | 2,660 | 59,601 | ||||||
#Sixt AG | 37,664 | 1,459,885 | ||||||
#*SKW Stahl-Metallurgie Holding AG | 12,802 | 311,119 | ||||||
*Sky Deutschland AG | 388,970 | 624,584 | ||||||
*SM Wirtschaftsberatungs AG | 18,841 | 131,067 | ||||||
Software AG | 70,053 | 9,809,297 | ||||||
#*Solar Millennium AG | 34,471 | 948,466 | ||||||
*Solar-Fabrik AG | 6,039 | 45,757 | ||||||
#*Solarworld AG | 285,203 | 4,133,883 | ||||||
#*Solon SE | 25,350 | 107,143 | ||||||
Stada Arzneimittel AG | 173,213 | 5,338,789 | ||||||
STINAG Stuttgarter Invest AG | 35,003 | 886,604 | ||||||
*Stoehr & Co. AG | 6,000 | 26,952 | ||||||
#Stratec Biomedical Systems AG | 26,506 | 997,272 | ||||||
Sued-Chemie AG | 28,301 | 4,058,938 | ||||||
Suedzucker AG | 7,437 | 175,285 | ||||||
*Sunways AG | 15,188 | 100,766 | ||||||
*Suss Microtec AG | 59,969 | 504,302 | ||||||
Symrise AG | 278,877 | 8,494,967 | ||||||
Syzygy AG | 30,656 | 144,514 | ||||||
*TAG Immobilien AG | 10,306 | 86,388 | ||||||
Takkt AG | 126,507 | 1,667,964 | ||||||
TDS Informationstechnologie AG | 89,063 | 515,743 | ||||||
Telegate AG | 20,500 | 196,447 | ||||||
*Tipp24 SE | 3,229 | 129,664 | ||||||
Tognum AG | 190,869 | 4,647,584 | ||||||
#*Tomorrow Focus AG | 113,715 | 569,824 | ||||||
#*TUI AG | 468,655 | 5,478,056 | ||||||
UMS United Medical Systems International AG | 22,300 | 203,249 | ||||||
Umweltbank AG | 17,805 | 421,355 | ||||||
#United Internet AG | 167,408 | 3,005,427 | ||||||
VBH Holding AG | 9,415 | 56,342 | ||||||
*Verbio AG | 45,505 | 298,456 | ||||||
#*Versatel AG | 12,209 | 68,534 |
77
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
GERMANY — (Continued) | ||||||||
#Vossloh AG | 35,932 | $ | 4,187,288 | |||||
*VTG AG | 14,769 | 288,837 | ||||||
*Wacker Neuson SE | 30,872 | 567,359 | ||||||
*Wanderer-Werke AG | 7,903 | 1,647 | ||||||
*Washtec AG | 926 | 10,724 | ||||||
Wincor Nixdorf AG | 112,151 | 8,204,044 | ||||||
Wirecard AG | 264,258 | 3,940,089 | ||||||
Wuerttembergische Lebensversicherung AG | 27,308 | 792,670 | ||||||
Wuerttembergische Metallwarenfabrik AG | 29,451 | 1,147,746 | ||||||
*XING AG | 2,088 | 91,727 | ||||||
Zhongde Waste Technology AG | 2,889 | 53,201 | ||||||
TOTAL GERMANY | 305,820,641 | |||||||
GREECE — (2.4%) | ||||||||
Aegean Airlines S.A. | 5,746 | 18,434 | ||||||
*Aegek S.A. | 120,000 | 51,586 | ||||||
*Agricultural Bank of Greece S.A. | 608,736 | 735,246 | ||||||
Alapis Holding Industrial & Commercial S.A. of Pharmaceutical Chemical Products | 439,886 | 771,301 | ||||||
*Alfa Alfa Energy S.A. | 3,810 | 7,371 | ||||||
*Altec Holdings S.A. IT & Communication Systems | 80,278 | 8,896 | ||||||
*Alumil Aluminum Industry S.A. | 52,526 | 45,336 | ||||||
*Alysida S.A. | 2,376 | 6,584 | ||||||
*Anek Lines S.A. | 605,331 | 176,492 | ||||||
*Astir Palace Hotels S.A. | 93,886 | 287,163 | ||||||
*Athens Medical Center S.A. | 150,874 | 123,972 | ||||||
*Atlantic Supermarkets S.A. | 35,080 | 11,718 | ||||||
*Attica Bank S.A. | 181,970 | 260,796 | ||||||
*Atti-Kat S.A. | 56,554 | 7,886 | ||||||
Autohellas S.A. | 83,520 | 165,456 | ||||||
*Babis Vovos International Construction S.A. | 59,807 | 203,641 | ||||||
*Balafas S.A. | 15,200 | 4,020 | ||||||
*Balkan Real Estate S.A. | 41,970 | 26,297 | ||||||
#Bank of Cyprus Public Co., Ltd. S.A. | 1,161,048 | 5,410,020 | ||||||
Bank of Greece S.A. | 74,025 | 3,318,355 | ||||||
Centric Multimedia S.A. | 29,538 | 20,552 | ||||||
*Daios Plastics S.A. | 16,350 | 147,628 | ||||||
Diagnostic & Therapeutic Center of Athens Hygeia S.A. | 207,001 | 224,627 | ||||||
*EFG Eurobank Ergasias | 110,382 | 681,304 | ||||||
*Elastron S.A. | 110,793 | 125,376 | ||||||
*Elbisco Holding S.A. | 28,098 | �� | 14,470 | |||||
Elektrak S.A. | 38,037 | 113,498 | ||||||
*Elektroniki Athinon S.A. | 34,490 | 22,973 | ||||||
Ellaktor S.A. | 522,735 | 2,424,716 | ||||||
*Emporiki Bank of Greece S.A. | 5,563 | 15,217 | ||||||
*Etma Rayon S.A. | 11,242 | 22,062 | ||||||
Euro Reliance General Insurance Co. S.A. | 54,730 | 45,588 | ||||||
*Euromedica S.A. | 67,698 | 166,684 | ||||||
EYDAP Athens Water Supply & Sewage Co. S.A. | 77,620 | 522,242 | ||||||
F.G. Europe S.A. | 4,536 | 3,804 | ||||||
Folli-Follie S.A. | 32,922 | 800,177 | ||||||
*Forthnet S.A. | 254,703 | 222,884 | ||||||
Fourlis Holdings S.A. | 131,153 | 1,249,933 | ||||||
Frigoglass S.A. | 89,562 | 1,209,540 | ||||||
GEK Terna S.A. | 271,328 | 1,477,093 | ||||||
*Geniki Bank S.A. | 31,074 | 114,562 | ||||||
*Halkor S.A. | 226,556 | 204,761 | ||||||
*Hellenic Cables S.A. | 65,236 | 105,679 | ||||||
*Hellenic Duty Free Shops S.A. | 98,334 | 648,696 | ||||||
Hellenic Exchanges S.A. | 204,708 | 1,622,680 | ||||||
Hellenic Petroleum S.A. | 302,750 | 2,424,875 | ||||||
*Hellenic Sugar Industry S.A. | 78,005 | 90,900 |
78
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
GREECE — (Continued) | ||||||||
Heracles General Cement Co. S.A. | 77,436 | $ | 506,596 | |||||
Iaso S.A. | 206,042 | 499,111 | ||||||
Inform P. Lykos S.A. | 35,570 | 50,363 | ||||||
*Informatics S.A. | 3,778 | 1,630 | ||||||
*Intracom Holdings S.A. | 197,993 | 156,742 | ||||||
*Intracom Technical & Steel Constructions S.A. | 86,337 | 92,574 | ||||||
Intralot SA-Integrated Lottery Systems & Services S.A. | 297,518 | 1,300,853 | ||||||
*Ionian Hotel Enterprises S.A. | 16,914 | 329,575 | ||||||
*Ipirotiki Software & Publications S.A. | 22,110 | 59,699 | ||||||
*JUMBO S.A. | 128,050 | 986,917 | ||||||
Karelia Tobacco Co., Inc. S.A. | 5,787 | 494,010 | ||||||
*Kathimerini Publishing S.A. | 47,170 | 328,343 | ||||||
*Lambrakis Press S.A. | 115,149 | 120,122 | ||||||
*Lamda Development S.A. | 905 | 5,037 | ||||||
*Lan-Net S.A. | 12,688 | 21,191 | ||||||
*Lavipharm S.A. | 96,324 | 71,073 | ||||||
Loulis Mills S.A. | 41,702 | 92,866 | ||||||
Marfin Investment Group S.A. | 1,665,622 | 1,875,632 | ||||||
Marfin Popular Bank Public Co., Ltd. S.A. | 881,222 | 1,813,054 | ||||||
Metka S.A. | 97,586 | 1,171,506 | ||||||
Michaniki S.A. | 165,545 | 101,221 | ||||||
Motor Oil (Hellas) Corinth Refineries S.A. | 141,859 | 1,556,995 | ||||||
*Mytilineos Holdings S.A. | 324,571 | 1,987,291 | ||||||
*Neorion Holdings S.A. | 17,993 | 17,530 | ||||||
*Pegasus Publishing S.A. | 95,510 | 127,614 | ||||||
#*Piraeus Bank S.A. | 1,030,246 | 5,350,415 | ||||||
*Piraeus Port Authority S.A. | 17,752 | 301,125 | ||||||
*Promota Hellas S.A. | 8,860 | 2,836 | ||||||
*Proton Bank S.A. | 141,214 | 184,389 | ||||||
*Real Estate Development & Services S.A. | 94,497 | 101,478 | ||||||
S&B Industrial Minerals S.A. | 68,336 | 334,688 | ||||||
*Sanyo Hellas S.A. | 23,637 | 5,063 | ||||||
Sarantis S.A. | 74,884 | 394,478 | ||||||
*Selected Textile S.A. | 87,690 | 39,182 | ||||||
*Sfakianakis S.A. | 91,320 | 64,676 | ||||||
*Sidenor Steel Products Manufacturing Co. S.A. | 3,844 | 13,606 | ||||||
*Spyroy Agricultural Products S.A. | 61,348 | 48,716 | ||||||
*T Bank S.A. | 228,007 | 113,944 | ||||||
*Technical Olympic S.A. | 2,237 | 4,533 | ||||||
*Teletypos S.A. Mega Channel | 77,669 | 345,256 | ||||||
Terna Energy S.A. | 94,920 | 407,797 | ||||||
*Themeliodomi S.A. | 37,422 | 19,271 | ||||||
Thessaloniki Port Authority S.A. | 6,936 | 108,684 | ||||||
Thessaloniki Water Supply & Sewage Co S.A. | 8,309 | 48,633 | ||||||
Thrace Plastics Co. S.A. | 109,280 | 79,169 | ||||||
Titan Cement Co. S.A. | 152,737 | 3,266,758 | ||||||
*TT Hellenic Postbank S.A. | 695,353 | 3,721,670 | ||||||
*Varvaressos S.A.-European Spinning Mills | 36,350 | 6,577 | ||||||
*Viohalco S.A. | 409,999 | 2,317,209 | ||||||
TOTAL GREECE | 57,410,789 | |||||||
IRELAND — (2.4%) | ||||||||
*Abbey P.L.C. | 84,370 | 511,271 | ||||||
*Aer Lingus Group P.L.C. | 725,316 | 1,159,600 | ||||||
*Allied Irish Banks P.L.C. | 1,323,599 | 628,596 | ||||||
*Aminex P.L.C. | 496,086 | 67,459 | ||||||
C&C Group P.L.C. (B010DT8) | 399,607 | 1,838,264 | ||||||
C&C Group P.L.C. (B011Y09) | 938,559 | 4,351,116 | ||||||
DCC P.L.C. | 308,989 | 8,941,049 | ||||||
Donegal Creameries P.L.C. | 26,085 | 152,579 | ||||||
*Dragon Oil P.L.C. | 1,347,570 | 9,665,121 |
79
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
IRELAND — (Continued) | ||||||||
*Elan Corp. P.L.C. | 74,754 | $ | 414,855 | |||||
FBD Holdings P.L.C. | 125,728 | 1,071,234 | ||||||
Fyffes P.L.C. | 1,020,533 | 433,218 | ||||||
Glanbia P.L.C. (0066950) | 700,613 | 3,337,143 | ||||||
Glanbia P.L.C. (4058629) | 49,518 | 234,325 | ||||||
Grafton Group P.L.C. | 342,327 | 1,461,391 | ||||||
Greencore Group P.L.C. (0386410) | 615,927 | 933,067 | ||||||
*Greencore Group P.L.C. (5013832) | 134,759 | 204,600 | ||||||
IFG Group P.L.C. | 337,495 | 614,336 | ||||||
*Independent News & Media P.L.C. (B59HWB1) | 282,831 | 242,482 | ||||||
*Independent News & Media P.L.C. (B5TR5N4) | 318,060 | 274,280 | ||||||
Irish Continental Group P.L.C. | 91,000 | 1,923,304 | ||||||
*Irish Life & Permanent Group Holdings P.L.C. | 117,549 | 248,735 | ||||||
*Kenmare Resources P.L.C. | 4,136,548 | 1,309,357 | ||||||
Kingspan Group P.L.C. (0492793) | 351,640 | 2,943,347 | ||||||
Kingspan Group P.L.C. (4491235) | 29,305 | 245,060 | ||||||
*McInerney Holdings P.L.C. | 697,135 | 38,423 | ||||||
Paddy Power P.L.C. | 180,573 | 7,291,136 | ||||||
*Providence Resources P.L.C. | 62,580 | 178,743 | ||||||
*Smurfit Kappa Group P.L.C. | 425,485 | 4,554,903 | ||||||
Total Produce P.L.C. | 871,395 | 448,111 | ||||||
United Drug P.L.C. (3302480) | 820,214 | 2,604,974 | ||||||
*United Drug P.L.C. (3335969) | 2,500 | 7,930 | ||||||
TOTAL IRELAND | 58,330,009 | |||||||
ISRAEL — (2.5%) | ||||||||
*Africa Israel Investments, Ltd. | 141,264 | 986,198 | ||||||
*Alon Holdings Blue Square, Ltd. | 44,917 | 408,169 | ||||||
*AL-ROV Israel, Ltd. | 13,740 | 474,978 | ||||||
*Alvarion, Ltd. | 175,598 | 455,116 | ||||||
*AudioCodes, Ltd. | 103,436 | 491,740 | ||||||
*Avgol Industries 1953, Ltd. | 35,000 | 23,140 | ||||||
*Biocell, Ltd. | 19,162 | 276,263 | ||||||
*BioLine RX, Ltd. | 535,468 | 508,415 | ||||||
*Clal Biotechnology Industries, Ltd. | 146,663 | 810,958 | ||||||
Clal Industries & Investments, Ltd. | 265,185 | 1,987,830 | ||||||
*Clal Insurance Enterprise Holdings, Ltd. | 79,102 | 2,125,162 | ||||||
*Compugen, Ltd. | 19,609 | 89,047 | ||||||
*Delek Automotive Systems, Ltd. | 102,954 | 1,263,565 | ||||||
Delta-Galil Industries, Ltd. | 6,589 | 54,665 | ||||||
*El Al Israel Airlines | 262,749 | 97,596 | ||||||
*Elbit Medical Imaging, Ltd. | 53,265 | 756,901 | ||||||
Electra (Israel), Ltd. | 4,633 | 485,263 | ||||||
*Elron Electronic Industries, Ltd. | 57,768 | 325,778 | ||||||
*Evogene, Ltd. | 34,949 | 179,197 | ||||||
*EZchip Semiconductor, Ltd. | 26,234 | 648,297 | ||||||
First International Bank Of Israel, Ltd. | 95,487 | 1,345,678 | ||||||
*FMS Enterprises Migun, Ltd. | 10,300 | 294,770 | ||||||
Formula Systems, Ltd. | 27,112 | 382,313 | ||||||
*Frutarom Industries, Ltd. | 150,986 | 1,509,261 | ||||||
*Fundtech, Ltd. | 6,299 | 87,312 | ||||||
*Gilat Satellite Networks, Ltd. | 27,147 | 145,411 | ||||||
*Given Imaging, Ltd. | 16,590 | 294,038 | ||||||
*Golf & Co., Ltd. | 52,551 | 358,681 | ||||||
Granite Hacarmel Investments, Ltd. | 144,714 | 321,238 | ||||||
*Hadera Paper, Ltd. | 8,920 | 765,383 | ||||||
Harel Insurance Investments & Finances, Ltd. | 32,355 | 1,837,344 | ||||||
*Hot Telecommunications Systems, Ltd. | 80,968 | 1,067,491 | ||||||
*Israel Discount Bank, Ltd. | 594,075 | 1,205,300 | ||||||
*Israel Land Development Co., Ltd. (The) | 4,737 | 57,304 | ||||||
*Ituran Location & Control, Ltd. | 77,478 | 1,173,589 |
80
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
ISRAEL — (Continued) | ||||||||
*Jerusalem Oil Exploration | 19,608 | $ | 469,963 | |||||
*Kamada, Ltd. | 110,315 | 828,471 | ||||||
Maabarot Products, Ltd. | 21,999 | 347,965 | ||||||
*Makhteshim-Agan Industries, Ltd. | 650,561 | 3,282,549 | ||||||
*Matrix IT, Ltd. | 101,398 | 539,931 | ||||||
*Mellanox Technologies, Ltd. | 38,649 | 874,950 | ||||||
*Menorah Mivtachim Holdings, Ltd. | 96,261 | 1,291,510 | ||||||
*Migdal Insurance & Financial Holding, Ltd. | 934,324 | 1,940,403 | ||||||
Mizrahi Tefahot Bank, Ltd. | 196,548 | 1,834,847 | ||||||
*Naphtha Israel Petroleum Corp., Ltd. | 103,666 | 503,338 | ||||||
*Neto ME Holdings, Ltd. | 5,411 | 260,006 | ||||||
NetVision, Ltd. | 29,667 | 379,490 | ||||||
*NICE Systems, Ltd. | 41,874 | 1,382,365 | ||||||
*NICE Systems, Ltd. Sponsored ADR | 119,492 | 4,001,787 | ||||||
*Oil Refineries, Ltd. | 3,060,156 | 1,818,592 | ||||||
*Orckit Communications, Ltd. | 38,290 | 131,185 | ||||||
*Ormat Industries, Ltd. | 280,242 | 2,223,750 | ||||||
Osem Investments, Ltd. | 94,881 | 1,493,192 | ||||||
*Paz Oil Co., Ltd. | 11,507 | 1,816,110 | ||||||
*Phoenix Holdings, Ltd. (The) | 172,005 | 594,287 | ||||||
Plasson Industries, Ltd. | 3,076 | 75,540 | ||||||
*RADVision, Ltd. | 17,688 | 124,221 | ||||||
Rami Levi Chain Stores Hashikma Marketing 2006, Ltd. | 26,405 | 719,190 | ||||||
*Retalix, Ltd. | 62,414 | 778,023 | ||||||
Scailex Corp, Ltd. | 23,057 | 446,421 | ||||||
Shikun & Binui, Ltd. | 737,677 | 1,796,867 | ||||||
*Space Communication, Ltd. | 5,403 | 103,983 | ||||||
*Strauss Group, Ltd. | 114,730 | 1,807,490 | ||||||
*Suny Electronic, Ltd. | 27,923 | 315,264 | ||||||
Super-Sol, Ltd. Series B | 348,812 | 2,140,099 | ||||||
*Tower Semiconductor, Ltd. | 1,261,189 | 1,725,928 | ||||||
*Union Bank of Israel, Ltd. | 103,064 | 496,847 | ||||||
TOTAL ISRAEL | 59,837,955 | |||||||
ITALY — (7.4%) | ||||||||
#*A.S. Roma SpA | 293,436 | 502,379 | ||||||
#*ACEA SpA | 237,397 | 2,832,556 | ||||||
Acegas-APS SpA | 110,973 | 649,076 | ||||||
*Acotel Group SpA | 810 | 48,000 | ||||||
Actelios SpA | 58,406 | 180,076 | ||||||
*Aedes SpA | 1,017,693 | 298,119 | ||||||
Aeroporto de Firenze SpA | 17,399 | 288,426 | ||||||
#Alerion Cleanpower SpA | 546,906 | 399,927 | ||||||
Amplifon SpA | 169,528 | 913,568 | ||||||
Ansaldo STS SpA | 209,641 | 2,891,935 | ||||||
#*Arnoldo Mondadori Editore SpA | 361,989 | 1,277,132 | ||||||
Ascopiave SpA | 24,029 | 55,324 | ||||||
Astaldi SpA | 216,415 | 1,594,341 | ||||||
*Autogrill SpA | 274,792 | 3,664,922 | ||||||
Azimut Holding SpA | 431,543 | 4,401,272 | ||||||
Banca Finnat Euramerica SpA | 685,945 | 494,025 | ||||||
#Banca Generali SpA | 101,336 | 1,313,217 | ||||||
Banca Ifis SpA | 96,129 | 714,431 | ||||||
*Banca Intermobiliare SpA | 58,955 | 343,276 | ||||||
#Banca Piccolo Credito Valtellinese Scarl | 633,240 | 3,212,252 | ||||||
#Banca Popolare dell’Emilia Romagna Scrl | 312,328 | 3,858,625 | ||||||
*Banca Popolare dell’Etruria e del Lazio Scarl | 51,573 | 239,220 | ||||||
Banca Popolare di Milano Scarl | 1,092,906 | 5,109,912 | ||||||
#*Banca Popolare di Sondrio Scarl | 657,187 | 6,213,903 | ||||||
*Banca Profilo SpA | 373,887 | 246,501 | ||||||
Banco di Desio e della Brianza SpA | 232,296 | 1,333,589 |
81
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
ITALY — (Continued) | ||||||||
BasicNet SpA | 90,945 | $ | 364,431 | |||||
#Beghelli SpA | 427,981 | 379,011 | ||||||
Benetton Group SpA | 209,290 | 1,700,792 | ||||||
#*Biesse SpA | 54,004 | 408,867 | ||||||
*Bonifica Terreni Ferraresi e Imprese Agricole SpA | 10,867 | 454,012 | ||||||
Brembo SpA | 155,005 | 1,702,904 | ||||||
*Brioschi Sviluppo Immobiliare SpA | 135,663 | 30,772 | ||||||
#Bulgari SpA | 410,278 | 4,393,986 | ||||||
*Buongiorno SpA | 369,672 | 615,668 | ||||||
#Buzzi Unicem SpA | 201,739 | 2,320,830 | ||||||
*C.I.R. SpA - Compagnie Industriali Riunite | 1,432,967 | 3,257,013 | ||||||
*Cairo Communication SpA | 2,303 | 8,650 | ||||||
Caltagirone Editore SpA | 6,045 | 14,733 | ||||||
Caltagirone SpA | 246,310 | 669,688 | ||||||
*Cam Finanziaria SpA | 36,527 | 21,558 | ||||||
#*Carraro SpA | 113,633 | 443,709 | ||||||
Cembre SpA | 40,330 | 306,693 | ||||||
Cementir Holding SpA | 277,058 | 963,636 | ||||||
Class Editore SpA | 165,655 | 112,727 | ||||||
Credito Artigiano SpA | 361,183 | 668,317 | ||||||
Credito Bergamasco SpA | 130,539 | 3,911,012 | ||||||
Credito Emiliano SpA | 239,017 | 1,699,533 | ||||||
CSP International Fashion Group SpA | 13,481 | 23,457 | ||||||
*Dada SpA | 6,181 | 46,898 | ||||||
#*d’Amico International Shipping SA | 126,574 | 191,096 | ||||||
Danieli & Co. SpA | 54,740 | 1,444,520 | ||||||
*Datalogic SpA | 6,397 | 47,150 | ||||||
Davide Campari - Milano SpA | 914,018 | 5,797,156 | ||||||
De Longhi SpA | 305,654 | 1,766,138 | ||||||
*DeA Capital SpA | 95,232 | 173,669 | ||||||
DiaSorin SpA | 45,014 | 1,849,095 | ||||||
*Digital Multimedia Technologies SpA | 28,443 | 553,786 | ||||||
#*EEMS Italia SpA | 90,607 | 186,608 | ||||||
*Elica SpA | 44,844 | 94,258 | ||||||
Emak SpA | 57,399 | 355,766 | ||||||
Engineering Ingegneria Informatica SpA | 5,313 | 160,592 | ||||||
#*ERG Renew SpA | 191,121 | 222,548 | ||||||
#ERG SpA | 209,772 | 2,897,579 | ||||||
#*ErgyCapital SpA | 5,992 | 4,205 | ||||||
Esprinet SpA | 98,188 | 976,853 | ||||||
#*Eurotech SpA | 72,555 | 231,393 | ||||||
#*Fastweb SpA | 42,134 | 1,054,013 | ||||||
#*Fiera Milano SpA | 37,863 | 255,807 | ||||||
#Fondiaria - SAI SpA | 172,525 | 2,050,131 | ||||||
Gas Plus SpA | 975 | 6,372 | ||||||
*Gefran SpA | 31,849 | 162,880 | ||||||
*Gemina SpA | 1,579,114 | 1,268,076 | ||||||
#Geox SpA | 202,270 | 1,217,236 | ||||||
#GranitiFiandre SpA | 79,737 | 350,394 | ||||||
*Gruppo Ceramiche Ricchetti SpA | 127,131 | 47,295 | ||||||
*Gruppo Coin SpA | 92,474 | 972,539 | ||||||
#*Gruppo Editoriale L’Espresso SpA | 639,121 | 1,697,801 | ||||||
Hera SpA | 1,720,734 | 3,641,881 | ||||||
*I Grandi Viaggi SpA | 98,547 | 114,544 | ||||||
#Immsi SpA | 696,806 | 853,715 | ||||||
#*Impregilo SpA | 1,180,326 | 3,786,315 | ||||||
#Indesit Co. SpA | 177,464 | 2,194,312 | ||||||
Industria Macchine Automatiche SpA | 58,626 | 1,239,563 | ||||||
Industria Romagnola Conduttori Elettrici SpA | 43,452 | 84,635 | ||||||
*Intek SpA | 247,971 | 143,968 | ||||||
#*Interpump Group SpA | 241,525 | 1,575,265 |
82
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
ITALY — (Continued) | ||||||||
Iren SpA | 1,381,922 | $ | 2,428,639 | |||||
*Isagro SpA | 10,591 | 45,227 | ||||||
#Italcementi SpA | 196,458 | 1,656,910 | ||||||
Italmobiliare SpA | 23,493 | 831,799 | ||||||
#*Kerself SpA | 17,741 | 78,330 | ||||||
*KME Group SpA | 476,414 | 220,763 | ||||||
#Landi Renzo SpA | 203,171 | 983,314 | ||||||
#Lottomatica SpA | 164,158 | 2,740,532 | ||||||
Maire Tecnimont SpA | 575,375 | 2,488,442 | ||||||
#*Marcolin SpA | 57,928 | 279,748 | ||||||
#*Mariella Burani SpA | 32,721 | 114,878 | ||||||
Marr SpA | 127,201 | 1,381,753 | ||||||
#Mediolanum SpA | 592,750 | 2,786,166 | ||||||
Milano Assicurazioni SpA | 850,055 | 1,838,383 | ||||||
*Monrif SpA | 315,834 | 183,303 | ||||||
*Montefibre SpA | 172,887 | 37,108 | ||||||
Nice SpA | 21,188 | 82,892 | ||||||
*Pagnossin SpA | 9,000 | — | ||||||
*PanariaGroup Industrie Ceramiche SpA | 42,000 | 94,798 | ||||||
#Piaggio & C. SpA | 353,619 | 1,289,628 | ||||||
*Pininfarina SpA | 82,321 | 383,742 | ||||||
#Pirelli & Co. SpA | 782,291 | 6,684,015 | ||||||
#*Prelios SpA | 2,108,288 | 1,238,234 | ||||||
#*Premafin Finanziaria SpA | 961,257 | 1,437,612 | ||||||
Prysmian SpA | 542,696 | 10,518,765 | ||||||
Recordati SpA | 390,377 | 3,845,733 | ||||||
Reply SpA | 4,020 | 95,942 | ||||||
*Retelit SpA | 15,691 | 7,882 | ||||||
*Richard-Ginori 1735 SpA | 140,800 | 10,013 | ||||||
Sabaf SpA | 22,649 | 724,450 | ||||||
#*SAES Getters SpA | 30,068 | 293,269 | ||||||
#*Safilo Group SpA | 108,207 | 1,707,449 | ||||||
#*Saras SpA | 1,207,744 | 2,673,136 | ||||||
Screen Service Broadcasting Technologies SpA | 152,715 | 132,767 | ||||||
#*Seat Pagine Gialle SpA | 2,988,837 | 546,013 | ||||||
#*Snai SpA | 178,681 | 709,324 | ||||||
Societa Iniziative Autostradali e Servizi SpA | 195,451 | 1,849,232 | ||||||
#Societe Cattolica di Assicurazoni Scrl SpA | 166,478 | 4,529,945 | ||||||
*Sogefi SpA | 173,096 | 599,583 | ||||||
Sol SpA | 166,511 | 1,100,403 | ||||||
*Sorin SpA | 1,079,611 | 2,624,576 | ||||||
*Stefanel SpA | 112,528 | 108,352 | ||||||
#*Telecom Italia Media SpA | 272,520 | 103,818 | ||||||
#*Tiscali SpA | 3,437,478 | 509,821 | ||||||
Tod’s SpA | 45,421 | 4,406,446 | ||||||
#Trevi Finanziaria SpA | 132,607 | 1,762,750 | ||||||
*Uni Land SpA | 51,835 | 39,585 | ||||||
Unipol Gruppo Finanziario SpA | 2,008,552 | 1,579,180 | ||||||
Vianini Industria SpA | 59,070 | 110,058 | ||||||
Vianini Lavori SpA | 175,180 | 976,367 | ||||||
*Vincenzo Zucchi SpA | 11,754 | 8,615 | ||||||
Vittoria Assicurazioni SpA | 121,346 | 619,837 | ||||||
Zignago Vetro SpA | 11,414 | 76,087 | ||||||
TOTAL ITALY | 178,839,669 | |||||||
NETHERLANDS — (4.9%) | ||||||||
Aalberts Industries NV | 355,012 | 6,511,800 | ||||||
Accell Group NV | 36,396 | 1,873,173 | ||||||
*AFC Ajax NV | 18,134 | 162,494 | ||||||
*AMG Advanced Metallurgical Group NV | 51,742 | 480,637 | ||||||
Amsterdam Commodities NV | 58,056 | 769,648 |
83
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
NETHERLANDS — (Continued) | ||||||||
Arcadis NV | 182,658 | $ | 4,076,013 | |||||
#*ASM International NV | 196,173 | 5,010,318 | ||||||
*Atag Group NV | 4,630 | 1,869 | ||||||
Batenburg Beheer NV | 10,306 | 281,139 | ||||||
#*BE Semiconductor Industries NV | 38,765 | 231,032 | ||||||
Beter Bed Holding NV | 67,391 | 1,799,049 | ||||||
BinckBank NV | 110,874 | 1,962,570 | ||||||
Brunel International NV | 49,814 | 1,530,597 | ||||||
Crown Van Gelder NV | 18,307 | 182,491 | ||||||
*Crucell NV | 230,971 | 7,476,179 | ||||||
#*Crucell NV ADR | 45,768 | 1,483,341 | ||||||
*CSM NV | 205,019 | 6,496,219 | ||||||
DOCdata NV | 22,463 | 275,080 | ||||||
*Draka Holding NV | 86,217 | 1,838,493 | ||||||
Exact Holding NV | 58,417 | 1,638,394 | ||||||
Fornix Biosciences NV | 29,890 | 96,523 | ||||||
*Gamma Holding NV | 3,628 | 110,013 | ||||||
Grontmij NV | 74,782 | 1,594,936 | ||||||
*Heijmans NV | 14,493 | 273,503 | ||||||
Hunter Douglas NV | 214 | 10,727 | ||||||
#Imtech NV | 249,209 | 8,372,256 | ||||||
#*InnoConcepts NV | 237,971 | 62,625 | ||||||
#*Kardan NV | 43,112 | 246,293 | ||||||
KAS Bank NV | 47,193 | 825,667 | ||||||
*Kendrion NV | 39,829 | 623,955 | ||||||
Koninklijke Bam Groep NV | 786,435 | 5,326,989 | ||||||
Koninklijke Ten Cate NV | 98,297 | 3,245,180 | ||||||
Koninklijke Vopak NV | 15,145 | 757,696 | ||||||
#*Koninklijke Wessanen NV | 175,479 | 660,726 | ||||||
#*LBi International NV | 136,637 | 275,750 | ||||||
#Macintosh Retail Group NV | 45,811 | 1,044,808 | ||||||
Mediq NV | 208,313 | 3,988,269 | ||||||
Nederlandsche Apparatenfabriek NV | 28,810 | 802,230 | ||||||
Nutreco NV | 136,273 | 9,927,338 | ||||||
*Ordina NV | 150,761 | 657,515 | ||||||
*Punch Graphix NV | 49,509 | 223,213 | ||||||
*Qurius NV | 335,655 | 129,116 | ||||||
#*Roto Smeets Group NV | 12,418 | 237,893 | ||||||
Royal Reesink NV | 1,784 | 177,648 | ||||||
SBM Offshore NV | 556,537 | 11,359,298 | ||||||
Sligro Food Group NV | 92,887 | 3,045,320 | ||||||
*SNS Reaal Groep NV | 453,703 | 2,100,193 | ||||||
*Stern Groep NV | 1,258 | 33,841 | ||||||
Telegraaf Media Groep NV | 163,704 | 3,167,880 | ||||||
*Textielgroep Twenthe NV | 1,000 | 3,480 | ||||||
TKH Group NV | 101,503 | 2,530,344 | ||||||
#*TomTom NV | 478,473 | 4,202,297 | ||||||
Unit 4 NV | 74,403 | 2,231,559 | ||||||
*USG People NV | 203,344 | 3,778,523 | ||||||
#*Wavin NV | 119,108 | 1,646,870 | ||||||
TOTAL NETHERLANDS | 117,851,010 | |||||||
NORWAY — (2.9%) | ||||||||
ABG Sundal Collier Holding ASA | 200,306 | 250,622 | ||||||
#*Acta Holding ASA | 465,022 | 227,297 | ||||||
#*Aker ASA | 6,773 | 139,006 | ||||||
*Aktiv Kapital ASA | 78,617 | 581,503 | ||||||
Arendals Fosse Kompani ASA | 100 | 27,808 | ||||||
Atea ASA | 222,782 | 1,884,550 | ||||||
#Austevoll Seafood ASA | 83,693 | 610,676 | ||||||
#*Blom ASA | 80,567 | 50,018 |
84
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
NORWAY — (Continued) | ||||||||
Bonheur ASA | 50,200 | $ | 1,244,872 | |||||
#*BW Offshore, Ltd. ASA | 709,991 | 1,540,900 | ||||||
#*BWG Homes ASA | 66,520 | 254,330 | ||||||
*Camillo Eitze & Co. ASA | 58,200 | 94,976 | ||||||
Cermaq ASA | 222,505 | 2,829,558 | ||||||
#*Copeinca ASA | 54,030 | 497,372 | ||||||
#*Deep Sea Supply P.L.C. | 307,190 | 574,334 | ||||||
#*Det Norske Oljeselskap ASA | 53,277 | 227,597 | ||||||
#*DNO International ASA | 3,050,200 | 4,800,121 | ||||||
#*Dockwise, Ltd. ASA | 17,255 | 438,928 | ||||||
*DOF ASA | 119,493 | 900,594 | ||||||
#*EDB ErgoGroup ASA | 164,034 | 500,915 | ||||||
#*Eitzen Chemical ASA | 527,035 | 108,385 | ||||||
#Ekornes ASA | 109,590 | 2,842,012 | ||||||
*Electromagnetic GeoServices ASA | 208,954 | 329,385 | ||||||
*Eltek ASA | 205,379 | 94,357 | ||||||
#Farstad Shipping ASA | 59,440 | 1,506,387 | ||||||
Ganger Rolf ASA | 54,510 | 1,276,050 | ||||||
*Golar LNG Energy, Ltd. ASA | 2,424 | 4,346 | ||||||
Golar LNG, Ltd. ASA | 16,969 | 226,007 | ||||||
#Golden Ocean Group, Ltd. ASA | 863,548 | 1,253,745 | ||||||
Grieg Seafood ASA | 77,889 | 227,519 | ||||||
#*Havila Shipping ASA | 22,400 | 216,426 | ||||||
#*Kongsberg Automotive Holding ASA | 1,418,094 | 1,067,440 | ||||||
Kongsberg Gruppen ASA | 94,763 | 1,973,314 | ||||||
*Kverneland ASA | 258,080 | 176,149 | ||||||
#Leroy Seafood Group ASA | 27,442 | 726,758 | ||||||
#Nordic Semiconductor ASA | 537,446 | 1,833,615 | ||||||
#*Norse Energy Corp. ASA | 1,425,846 | 323,607 | ||||||
*Norske Skogindustrier ASA Series A | 331,283 | 676,664 | ||||||
#*Norwegian Air Shuttle ASA | 56,541 | 868,178 | ||||||
*Norwegian Energy Co. ASA | 534,763 | 1,565,322 | ||||||
*Odfjell ASA Series A | 92,300 | 555,980 | ||||||
Olav Thon Eiendomsselskap ASA | 12,960 | 1,737,665 | ||||||
#Opera Software ASA | 280,421 | 1,362,201 | ||||||
#*Panoro Energy ASA | 122,537 | 113,819 | ||||||
*PCI Biotech AS | 3,357 | 21,970 | ||||||
#*Petrolia Drilling ASA | 728,610 | 188,582 | ||||||
#Photocure ASA | 33,562 | 256,224 | ||||||
#*Pronova BioPharma ASA | 406,796 | 681,394 | ||||||
Prosafe ASA | 567,470 | 3,742,396 | ||||||
#*Q-Free ASA | 80,000 | 244,322 | ||||||
Salmar ASA | 5,309 | 52,629 | ||||||
Scana Industrier ASA | 299,618 | 321,402 | ||||||
*Seabird Exploration, Ltd. ASA | 106,000 | 50,882 | ||||||
*Sevan Marine ASA | 2,385,768 | 3,222,249 | ||||||
#*Siem Offshore, Inc. ASA | 149,462 | 238,705 | ||||||
Solstad Offshore ASA | 57,000 | 1,029,381 | ||||||
*Songa Offshore SE | 487,407 | 2,244,972 | ||||||
SpareBanken 1 SMN | 221,027 | 2,001,473 | ||||||
*Subsea 7, Inc. ASA | 84,896 | 1,789,793 | ||||||
#TGS Nopec Geophysical Co. ASA | 404,241 | 7,005,340 | ||||||
Tomra Systems ASA | 587,328 | 3,578,991 | ||||||
#*TTS Marine ASA | 41,000 | 61,121 | ||||||
Veidekke ASA | 310,230 | 2,571,148 | ||||||
Wilh Wilhelmsen Holding ASA | 60,550 | 1,311,187 | ||||||
TOTAL NORWAY | 69,355,469 | |||||||
PORTUGAL — (0.9%) | ||||||||
#*Altri SGPS SA | 119,537 | 657,956 | ||||||
#Banco BPI SA | 885,923 | 1,964,107 |
85
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
PORTUGAL — (Continued) | ||||||||
Banif SGPS SA | 422,821 | $ | 623,718 | |||||
*Corticeira Amorim SGPS SA | 223,729 | 329,958 | ||||||
Finibanco Holdings SGPS SA | 291,186 | 786,494 | ||||||
Ibersol SGPS SA | 20,401 | 232,879 | ||||||
#*Impresa SGPS SA | 369,303 | 761,550 | ||||||
#*Investimentos Participacoes e Gestao SA | 319,480 | 191,420 | ||||||
#Mota-Engil SGPS SA | 341,524 | 1,020,697 | ||||||
Novabase SGPS SA | 65,729 | 305,426 | ||||||
*ParaRede SGPS SA | 94,525 | 64,451 | ||||||
Portucel-Empresa Produtora de Pasta de Papel SA | 806,718 | 2,686,281 | ||||||
Redes Energeticas Nacionais SA | 389,775 | 1,463,190 | ||||||
*Sag Gest—Solucoes Automovel Globais SGPS SA | 251,556 | 265,259 | ||||||
Sociedade de Investimento e Gestao SGPS SA | 256,388 | 3,030,508 | ||||||
*Sonae Capital SGPS SA | 13,627 | 8,778 | ||||||
*Sonae Industria SGPS SA | 264,159 | 815,710 | ||||||
#Sonae SGPS SA | 2,142,715 | 2,541,746 | ||||||
*Sonaecom SGPS SA | 453,482 | 1,025,463 | ||||||
*Sumol + Compal SA | 67,967 | 109,294 | ||||||
Teixeira Duarte SA | 734,737 | 1,012,387 | ||||||
Toyota Caetano Portugal SA | 53,308 | 274,520 | ||||||
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA | 413,096 | 2,205,535 | ||||||
TOTAL PORTUGAL | 22,377,327 | |||||||
SPAIN — (5.2%) | ||||||||
#Abengoa SA | 138,479 | 3,837,222 | ||||||
Adolfo Dominguez SA | 20,351 | 271,180 | ||||||
Almirall SA | 147,491 | 1,398,468 | ||||||
*Amper SA | 88,114 | 482,195 | ||||||
Antena 3 de Television SA | 256,811 | 2,631,114 | ||||||
*Azkoyen SA | 70,532 | 235,177 | ||||||
#*Banco de Valencia SA | 343,509 | 1,938,891 | ||||||
Banco Guipuzcoano SA | 339,914 | 1,865,203 | ||||||
#Banco Pastor SA | 300,653 | 1,469,689 | ||||||
#Bankinter SA | 504,285 | 3,364,030 | ||||||
*Baron de Ley SA | 13,910 | 863,740 | ||||||
#Bolsas y Mercados Espanoles SA | 198,085 | 5,405,039 | ||||||
Caja de Ahorros del Mediterraneo SA | 72,359 | 739,832 | ||||||
Campofrio Food Group SA | 95,179 | 974,808 | ||||||
#Cementos Portland Valderrivas SA | 42,135 | 865,615 | ||||||
*Cie Automotive SA | 20,734 | 112,272 | ||||||
*Codere SA | 46,336 | 515,415 | ||||||
Compania Vinicola del Norte de Espana SA | 16,119 | 325,015 | ||||||
Construcciones y Auxiliar de Ferrocarriles SA | 7,518 | 4,240,233 | ||||||
#*Corporacion Dermoestetica SA | 30,628 | 82,576 | ||||||
Dinamia SA | 14,882 | 180,674 | ||||||
#Duro Felguera SA | 276,209 | 2,372,345 | ||||||
Ebro Foods SA | 312,280 | 6,867,586 | ||||||
Elecnor SA | 198,254 | 2,758,626 | ||||||
#*Ercros SA | 226,105 | 257,431 | ||||||
#Faes Farma SA | 524,403 | 2,178,970 | ||||||
#Fluidra SA | 36,768 | 131,934 | ||||||
#*Gamesa Corp Tecnologica SA | 651,029 | 4,534,611 | ||||||
#*General de Alquiler de Maquinaria SA | 32,241 | 87,053 | ||||||
#*Gestevision Telec, Inc. SA | 328,012 | 4,185,699 | ||||||
#Grifols SA | 354,910 | 5,753,292 | ||||||
Grupo Catalana Occidente SA | 162,080 | 3,381,219 | ||||||
*Grupo Empresarial Ence SA | 528,684 | 1,926,877 | ||||||
#*Grupo Ezentis SA | 867,482 | 702,852 | ||||||
*Grupo Tavex SA | 244,131 | 160,841 | ||||||
*Iberia Lineas Aereas de Espana SA | 1,381,661 | 6,069,228 | ||||||
Iberpapel Gestion SA | 25,850 | 497,649 |
86
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
SPAIN — (Continued) | ||||||||
#Indra Sistemas SA | 308,241 | $ | 6,039,885 | |||||
Inmobiliaria del Sur SA | 2,902 | 58,466 | ||||||
#*Jazztel P.L.C. | 686,205 | 3,154,846 | ||||||
*La Seda de Barcelona SA | 10,928,289 | 1,064,521 | ||||||
Laboratorios Farmaceuticos Rovi SA | 18,975 | 142,605 | ||||||
Miquel y Costas & Miquel SA | 26,111 | 744,702 | ||||||
#*Natra SA | 109,456 | 318,968 | ||||||
*Natraceutical SA | 645,689 | 342,588 | ||||||
#*NH Hoteles SA | 421,083 | 2,211,091 | ||||||
*Nicolas Correa SA | 26,994 | 53,485 | ||||||
*NYESA Valores Corp SA | 6,960 | 19,984 | ||||||
#Obrascon Huarte Lain SA | 134,539 | 4,405,726 | ||||||
#*Papeles y Cartones de Europa SA | 209,482 | 1,123,392 | ||||||
#Pescanova SA | 36,768 | 1,199,474 | ||||||
#Prim SA | 39,424 | 317,399 | ||||||
#*Promotora de Informaciones SA | 303,496 | 784,994 | ||||||
Prosegur Cia de Seguridad SA | 87,574 | 5,242,523 | ||||||
*Realia Business SA | 177,306 | 373,825 | ||||||
*Renta Corp Real Estate SA | 20,828 | 49,743 | ||||||
#*Reyal Urbis SA. | 24,393 | 54,659 | ||||||
#*Sacyr Vallehermoso SA | 38,212 | 250,941 | ||||||
*Service Point Solutions SA | 553,372 | 416,512 | ||||||
#*Sociedad Nacional Inds. Aplicaciones Celulosa Espanola SA | 220,774 | 352,774 | ||||||
#Sol Melia SA | 206,682 | 2,061,799 | ||||||
Solaria Energia y Medio Ambiente SA | 59,008 | 128,806 | ||||||
#*SOS Corp Alimentaria SA | 294,272 | 647,442 | ||||||
#Tecnicas Reunidas SA | 77,864 | 4,843,975 | ||||||
#Telecomunicaciones y Energia SA | 146,125 | 518,523 | ||||||
#*Tubacex SA | 427,191 | 1,501,225 | ||||||
*Tubos Reunidos SA | 416,951 | 1,116,415 | ||||||
Unipapel SA | 47,385 | 725,513 | ||||||
#*Vertice Trescientos Sesenta Grados SA | 57,183 | 17,056 | ||||||
Vidrala SA | 64,706 | 1,906,255 | ||||||
Viscofan SA | 183,430 | 6,390,899 | ||||||
#*Vocento SA | 196,477 | 1,010,799 | ||||||
*Vueling Airlines SA | 7,307 | 102,352 | ||||||
#*Zeltia SA | 637,268 | 2,855,189 | ||||||
TOTAL SPAIN | 126,213,952 | |||||||
SWEDEN — (6.3%) | ||||||||
Aarhuskarlshamn AB | 70,114 | 1,651,679 | ||||||
#Acando AB | 160,086 | 274,379 | ||||||
#*Active Biotech AB | 104,812 | 1,823,788 | ||||||
#Addtech AB Series B | 59,000 | 1,381,730 | ||||||
AF AB | 94,400 | 1,644,219 | ||||||
#*Anoto Group AB | 43,594 | 25,144 | ||||||
Aros Quality Group AB | 41,400 | 329,252 | ||||||
Atrium Ljungberg AB Series B | 15,200 | 180,986 | ||||||
Avanza Bank Holding AB | 49,711 | 1,635,660 | ||||||
Axfood AB | 89,350 | 3,134,659 | ||||||
#Axis Communications AB | 174,894 | 2,751,145 | ||||||
B&B Tools AB | 77,850 | 1,177,524 | ||||||
#*BE Group AB | 124,598 | 755,802 | ||||||
Beiger Electronics AB | 14,700 | 377,879 | ||||||
Beijer Alma AB | 57,200 | 1,180,632 | ||||||
*Bergs Timber AB Series B | 17,000 | 62,271 | ||||||
*Betsson AB | 75,474 | 1,167,898 | ||||||
Bilia AB Series A | 113,425 | 2,021,797 | ||||||
Billerud AB | 326,600 | 2,628,508 | ||||||
*BioGaia AB Series B | 38,000 | 523,352 | ||||||
*BioInvent International AB | 110,696 | 431,783 |
87
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
SWEDEN — (Continued) | ||||||||
Biotage AB | 141,240 | $ | 149,078 | |||||
#Bjoern Borg AB | 45,200 | 412,043 | ||||||
Bong Ljungdahl AB | 24,800 | 104,126 | ||||||
*Boras Waefveri AB Series B | 6,564 | 1,306 | ||||||
*Bure Equity AB | 236,901 | 1,156,187 | ||||||
#Cantena AB | 56,762 | 1,187,800 | ||||||
Cardo AB | 61,615 | 2,377,419 | ||||||
Castellum AB | 408,700 | 5,354,847 | ||||||
#Clas Ohlson AB Series B | 87,068 | 1,494,346 | ||||||
*Cloetta AB | 55,296 | 320,180 | ||||||
Concordia Maritime AB Series B | 70,300 | 203,466 | ||||||
*Connecta AB | 3,210 | 36,804 | ||||||
Consilium AB Series B | 16,994 | 61,189 | ||||||
*CyberCom Group AB | 3,506 | 12,239 | ||||||
#*Diamyd Medical AB | 45,279 | 906,162 | ||||||
*DORO AB | 26,023 | 98,138 | ||||||
Duni AB | 54,964 | 523,881 | ||||||
*East Capital Explorer AB | 51,309 | 568,315 | ||||||
#Elekta AB Series B | 302,500 | 11,441,870 | ||||||
Enea AB | 56,200 | 392,431 | ||||||
#*Eniro AB | 275,520 | 178,660 | ||||||
#Fabege AB | 391,400 | 4,094,341 | ||||||
Fagerhult AB | 16,800 | 353,909 | ||||||
Fenix Outdoor AB | 1,090 | 26,815 | ||||||
G & L Beijer AB Series B | 27,400 | 950,400 | ||||||
*Gunnebo AB | 120,231 | 773,569 | ||||||
#Hakon Invest AB | 129,449 | 2,377,665 | ||||||
*Haldex AB | 81,125 | 971,046 | ||||||
Heba Fastighets AB Series B | 43,500 | 427,006 | ||||||
#Hexagon AB | 8,630 | 175,606 | ||||||
Hexpol AB | 32,737 | 656,154 | ||||||
*HIQ International AB | 123,289 | 642,508 | ||||||
*HMS Networks AB | 2,195 | 34,176 | ||||||
Hoganas AB Series B | 85,800 | 3,021,022 | ||||||
Holmen AB | 77,242 | 2,452,007 | ||||||
#HQ AB | 19,037 | 20,225 | ||||||
*Industrial & Financial Systems AB Series B | 50,260 | 714,919 | ||||||
Indutrade AB | 18,804 | 563,225 | ||||||
Intrum Justitia AB | 188,754 | 2,603,154 | ||||||
JM AB | 267,473 | 5,806,257 | ||||||
#KappAhl AB | 160,543 | 1,441,957 | ||||||
#*Karo Bio AB | 324,071 | 201,419 | ||||||
Klovern AB | 294,976 | 1,337,532 | ||||||
#KNOW IT AB | 26,153 | 256,354 | ||||||
Kungsleden AB | 412,300 | 3,267,928 | ||||||
Lagercrantz Group AB Series B | 64,300 | 406,846 | ||||||
Lammhults Design Group AB | 19,547 | 121,560 | ||||||
*LBi International NV | 12,288 | 24,872 | ||||||
Lennart Wallenstam Byggnads AB Series B | 120,400 | 3,067,261 | ||||||
*Lindab International AB | 63,558 | 903,475 | ||||||
*Loomis AB | 163,057 | 2,043,690 | ||||||
*Lundin Petroleum AB | 699,240 | 6,622,573 | ||||||
Meda AB Series A | 581,240 | 4,779,855 | ||||||
*Medivir AB | 57,404 | 1,065,042 | ||||||
Mekonomen AB | 47,480 | 1,497,855 | ||||||
*Micronic Mydata AB | 62,658 | 114,428 | ||||||
*Midelfart Sonesson AB Series B | 1,733 | 3,636 | ||||||
#Munters AB | 181,900 | 2,091,237 | ||||||
NCC AB Series B | 230,705 | 4,922,623 | ||||||
*Net Entertainment NE AB | 8,935 | 97,277 | ||||||
#*Net Insight AB | 1,012,579 | 601,059 |
88
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
SWEDEN — (Continued) | ||||||||
New Wave Group AB Series B | 92,632 | $ | 595,628 | |||||
NIBE Industrier AB | 192,620 | 2,372,474 | ||||||
Niscayah Group AB | 471,315 | 812,632 | ||||||
#*Nobia AB | 423,989 | 3,305,707 | ||||||
Nolato AB Series B | 66,440 | 849,121 | ||||||
*Nordnet AB | 105,236 | 366,423 | ||||||
OEM International AB Series B | 44,400 | 335,404 | ||||||
#*Opcon AB | 11,134 | 31,579 | ||||||
#*ORC Software AB | 58,850 | 988,454 | ||||||
#*Orexo AB | 45,227 | 286,502 | ||||||
*PA Resources AB | 705,123 | 564,535 | ||||||
#*Partnertech AB | 28,800 | 103,022 | ||||||
#Peab AB Series B | 447,174 | 3,564,183 | ||||||
Poolia AB Series B | 33,150 | 173,906 | ||||||
*Pricer AB | 1,711,500 | 197,262 | ||||||
ProAct IT Group AB | 29,000 | 438,704 | ||||||
*Proffice AB | 215,400 | 834,562 | ||||||
*Profilgruppen AB | 13,582 | 106,868 | ||||||
#Q-Med AB | 154,800 | 1,274,737 | ||||||
RaySearch Laboratories AB | 45,598 | 259,018 | ||||||
*Rederi AB Transatlantic | 93,000 | 371,253 | ||||||
*Rezidor Hotel Group AB | 213,587 | 1,229,720 | ||||||
*rnb Retail & Brands AB | 250,484 | 286,989 | ||||||
Saab AB | 86,569 | 1,354,470 | ||||||
#*SAS AB | 258,449 | 981,539 | ||||||
*Scribona AB Series B | 226,140 | 385,797 | ||||||
#*Seco Tools AB | 58,163 | 855,243 | ||||||
*Sectra AB | 15,998 | 74,007 | ||||||
#*Semcon AB | 39,900 | 173,546 | ||||||
Sigma AB Series B | 25,800 | 20,870 | ||||||
#*Sintercast AB | 11,800 | 90,568 | ||||||
Skistar AB | 92,100 | 1,834,214 | ||||||
*Studsvik AB | 21,900 | 224,060 | ||||||
Sweco AB | 183,300 | 1,565,035 | ||||||
#*Swedish Orphan Biovitrum AB | 314,444 | 1,889,298 | ||||||
#*TradeDoubler AB | 28,124 | 133,583 | ||||||
Trelleborg AB Series B | 878,565 | 8,280,093 | ||||||
Uniflex AB Series B | 3,630 | 91,862 | ||||||
VBG AB Series B | 1,084 | 16,689 | ||||||
Vitrolife AB | 41,500 | 215,243 | ||||||
Wihlborgs Fastigheter AB | 63,858 | 1,796,195 | ||||||
TOTAL SWEDEN | 153,004,052 | |||||||
SWITZERLAND — (13.0%) | ||||||||
Acino Holding AG | 8,398 | 745,401 | ||||||
*Addex Pharmaceuticals, Ltd. | 1,491 | 16,472 | ||||||
Advanced Digital Broadcast Holdings SA | 730 | 20,726 | ||||||
*Affichage Holding SA | 5,703 | 793,136 | ||||||
*AFG Arbonia-Forster Holding AG | 32,169 | 768,980 | ||||||
Allreal Holding AG | 27,146 | 3,743,175 | ||||||
Also Holding AG | 16,195 | 904,500 | ||||||
Aryzta AG | 289,080 | 12,810,535 | ||||||
*Ascom Holding AG | 160,822 | 2,133,741 | ||||||
#Bachem Holdings AG | 24,136 | 1,374,552 | ||||||
Bank Coop AG | 31,292 | 2,147,303 | ||||||
Bank Sarasin & Cie AG Series B | 175,095 | 6,407,423 | ||||||
Banque Cantonale de Geneve SA | 4,021 | 882,200 | ||||||
Banque Cantonale du Jura SA | 4,500 | 273,945 | ||||||
#Banque Cantonale Vaudoise AG | 8,999 | 4,374,159 | ||||||
Banque Privee Edmond de Rothschild SA | 157 | 3,780,074 | ||||||
Barry Callebaut AG | 5,651 | 4,555,417 |
89
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
SWITZERLAND — (Continued) | ||||||||
Basellandschaftliche Kantonalbank AG | 582 | $ | 745,198 | |||||
*Basilea Pharmaceutica AG | 6,293 | 441,456 | ||||||
Basler Kantonalbank AG | 3,114 | 449,937 | ||||||
Belimo Holdings AG | 1,830 | 3,152,432 | ||||||
Bell Holding AG | 47 | 77,038 | ||||||
Bellevue Group AG | 26,737 | 819,484 | ||||||
Berner Kantonalbank AG | 23,122 | 5,615,550 | ||||||
BKW FMB Energie AG | 13,618 | 928,031 | ||||||
*Bobst Group AG | 35,619 | 1,594,823 | ||||||
Bossard Holding AG | 8,386 | 893,918 | ||||||
Bucher Industries AG | 31,723 | 4,871,912 | ||||||
Burckhardt Compression Holding AG | 5,193 | 1,235,857 | ||||||
Calida Holding AG | 396 | 205,226 | ||||||
Carlo Gavazzi Holding AG | 1,065 | 184,098 | ||||||
Centralschweizerische Kraftwerke AG | 133 | 44,576 | ||||||
Cham Paper Holding AG | 490 | 104,436 | ||||||
*Charles Voegele Holding AG | 29,686 | 1,570,086 | ||||||
*Cicor Technologies, Ltd. | 489 | 17,106 | ||||||
*Cie Financiere Tradition SA | 5,758 | 631,688 | ||||||
*Clariant AG | 877,755 | 14,844,717 | ||||||
Coltene Holding AG | 12,876 | 725,144 | ||||||
Conzzeta AG | 1,348 | 2,463,949 | ||||||
*Cytos Biotechnology AG | 3,034 | 43,758 | ||||||
Daetwyler Holding AG | 26,077 | 1,935,043 | ||||||
Datacolor AG | 458 | 155,902 | ||||||
*Dufry AG | 54,547 | 6,347,199 | ||||||
Edipresse SA | 1,527 | 414,317 | ||||||
#EFG International AG | 155,388 | 1,912,439 | ||||||
#EGL AG | 3,062 | 2,093,017 | ||||||
*ELMA Electronic AG | 472 | 205,401 | ||||||
Emmi AG | 13,244 | 2,204,955 | ||||||
EMS-Chemie Holding AG | 26,344 | 4,096,153 | ||||||
Energiedienst Holding AG | 71,249 | 3,685,594 | ||||||
*Feintol International Holding AG | 1,601 | 536,642 | ||||||
Flughafen Zuerich AG | 13,157 | 4,850,728 | ||||||
Forbo Holding AG | 6,003 | 3,233,262 | ||||||
#Galenica Holding AG | 17,786 | 8,595,752 | ||||||
*GAM Holding AG | 664,563 | 10,499,380 | ||||||
*George Fisher AG | 14,433 | 6,184,801 | ||||||
Gurit Holding AG | 1,288 | 703,189 | ||||||
Helvetia Holding AG | 16,812 | 5,921,704 | ||||||
Implenia AG | 48,298 | 1,450,928 | ||||||
*Interroll-Holding AG | 2,404 | 831,840 | ||||||
Intershop Holding AG | 3,345 | 1,017,281 | ||||||
Kaba Holding AG | 11,299 | 3,789,509 | ||||||
*Kardex AG | 17,464 | 492,322 | ||||||
*Komax Holding AG | 9,262 | 860,714 | ||||||
Kudelski SA | 107,664 | 2,753,742 | ||||||
Kuoni Reisen Holding AG | 12,526 | 5,372,434 | ||||||
*LEM Holding SA | 3,546 | 1,562,190 | ||||||
Liechtensteinische Landesbank AG | 3,094 | 209,857 | ||||||
#*LifeWatch AG | 55,532 | 593,249 | ||||||
#*Logitech International SA | 590,988 | 11,204,264 | ||||||
*Lonza Group AG | 22,188 | 1,942,398 | ||||||
Luzerner Kantonalbank AG | 17,399 | 5,536,312 | ||||||
Metall Zug AG | 211 | 663,860 | ||||||
*Meyer Burger Technology AG | 111,976 | 3,560,463 | ||||||
*Micronas Semiconductor Holding AG | 95,471 | 854,436 | ||||||
Mobilezone Holding AG | 112,258 | 1,196,170 | ||||||
Mobimo Holding AG | 6,827 | 1,308,343 | ||||||
Nobel Biocare Holding AG | 439,153 | 7,260,518 |
90
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
SWITZERLAND — (Continued) | ||||||||
*OC Oerlikon Corp. AG | 288,012 | $ | 1,505,969 | |||||
Orascom Development Holding AG | 2,311 | 140,274 | ||||||
Orell Fuessli Holding AG | 4,930 | 717,139 | ||||||
*Panalpina Welttransport Holding AG | 41,551 | 5,190,280 | ||||||
*Parco Industriale e Immobiliare SA | 600 | 2,134 | ||||||
Partners Group Holding AG | 25,837 | 4,726,679 | ||||||
Petroplus Holdings AG | 276,230 | 3,263,087 | ||||||
Phoenix Mecano AG | 2,953 | 1,919,809 | ||||||
PSP Swiss Property AG | 141,111 | 10,844,983 | ||||||
*PubliGroupe SA | 891 | 87,501 | ||||||
#*Rieters Holdings AG | 15,236 | 4,411,226 | ||||||
#Romande Energie Holding SA | 2,714 | 4,231,677 | ||||||
*Schaffner Holding AG | 1,830 | 405,914 | ||||||
#*Schmolz + Bickenbach AG | 5,152 | 95,518 | ||||||
#Schulthess Group AG | 14,148 | 538,033 | ||||||
Schweiter Technologies AG | 4,006 | 2,720,018 | ||||||
Schweizerische National-Versicherungs-Gesellschaft AG | 40,290 | 1,305,891 | ||||||
*Siegfried Holding AG | 8,312 | 801,716 | ||||||
Sika AG | 2,097 | 4,158,171 | ||||||
Societa Elettrica Sopracenerina SA | 2,340 | 555,481 | ||||||
#St. Galler Kantonalbank AG | 9,259 | 4,357,585 | ||||||
Straumann Holding AG | 14,121 | 2,956,235 | ||||||
Sulzer AG | 76,216 | 9,279,827 | ||||||
Swiss Life Holding AG | 66,645 | 8,155,630 | ||||||
Swisslog Holding AG | 775,803 | 693,197 | ||||||
*Swissmetal Holding AG | 13,504 | 105,417 | ||||||
Swissquote Group Holding SA | 40,025 | 1,894,367 | ||||||
Tamedia AG | 14,878 | 1,600,435 | ||||||
Tecan Group AG | 39,557 | 2,753,269 | ||||||
#*Temenos Group AG | 198,827 | 6,664,445 | ||||||
*Tornos SA | 38,028 | 437,004 | ||||||
*U-Blox AG | 728 | 39,196 | ||||||
Valartis Group AG | 936 | 22,714 | ||||||
#Valiant Holding AG | 45,484 | 7,107,562 | ||||||
Valora Holding AG | 11,488 | 3,034,250 | ||||||
Vaudoise Assurances Holding SA | 3,163 | 734,889 | ||||||
#Verwaltungs und Privat-Bank AG | 5,142 | 558,347 | ||||||
Villars Holding SA | 150 | 80,407 | ||||||
#Von Roll Holding AG | 82,018 | 434,836 | ||||||
#Vontobel Holdings AG | 102,548 | 3,539,837 | ||||||
VZ Holding AG | 266 | 28,245 | ||||||
Walliser Kantonalbank AG | 1,416 | 997,072 | ||||||
Winterthur Technologie AG | 515 | 26,095 | ||||||
WMH Walter Meier Holding AG | 4,738 | 832,737 | ||||||
#Ypsomed Holdings AG | 5,531 | 306,363 | ||||||
Zehnder Group AG | 764 | 1,560,211 | ||||||
#*Zueblin Immobilien Holding AG | 76,620 | 288,033 | ||||||
Zuger Kantonalbank AG | 611 | 3,141,385 | ||||||
TOTAL SWITZERLAND | 312,679,557 | |||||||
TOTAL COMMON STOCKS | 2,064,626,190 | |||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||
AUSTRIA — (0.0%) | ||||||||
*EVN AG Rights 11/12/10 | 48,671 | 2,777 | ||||||
BELGIUM — (0.0%) | ||||||||
*Agfa-Gevaert NV STRIP VVPR | 122,951 | — | ||||||
*Deceuninck NV STRIP VVPR | 247,412 | 1,033 | ||||||
*RealDolmen NV STRIP VVPR | 6,067 | 17 | ||||||
*SAPEC SA STRIP VVPR | 75 | 84 |
91
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
BELGIUM — (Continued) | ||||||||
*Zenitel NV STRIP VVPR | 8,654 | $24 | ||||||
TOTAL BELGIUM | 1,158 | |||||||
ITALY — (0.0%) | ||||||||
*Intek SpA Warrants 12/30/11 | 62,985 | 3,051 | ||||||
*KME Group SpA Warrants 12/30/11 | 197,550 | 6,076 | ||||||
*Tiscali SpA Warrants 12/15/14 | 3,437,478 | 11,961 | ||||||
TOTAL ITALY | 21,088 | |||||||
TOTAL RIGHTS/WARRANTS | 25,023 | |||||||
Face Amount | Value† | |||||||
(000) | ||||||||
TEMPORARY CASH INVESTMENTS — (0.2%) | ||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by | $4,298 | 4,298,000 | ||||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (14.3%) | ||||||||
§@DFA Short Term Investment Fund | 339,465,423 | 339,465,423 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized | $5,021 | 5,021,224 | ||||||
TOTAL SECURITIES LENDING COLLATERAL | 344,486,647 | |||||||
TOTAL INVESTMENTS — (100.0%) | $ | 2,413,435,860 | ||||||
92
THE CANADIAN SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value†† | |||||||
COMMON STOCKS — (79.4%) | ||||||||
Consumer Discretionary — (8.3%) | ||||||||
*AlarmForce Industries, Inc. | 4,310 | $ | 31,694 | |||||
Astral Media, Inc. Class A | 186,347 | 7,472,882 | ||||||
*Azure Dynamics Corp. | 439,923 | 125,088 | ||||||
#*Ballard Power Systems, Inc. | 376,152 | 674,927 | ||||||
BMTC Group, Inc. | 10,443 | 239,701 | ||||||
#*Coastal Contacts, Inc. | 204,045 | 314,100 | ||||||
Cogeco Cable, Inc. | 62,961 | 2,407,568 | ||||||
*Cogeco, Inc. | 1,001 | 32,781 | ||||||
Corus Entertainment, Inc. Class B | 278,300 | 6,008,595 | ||||||
*Dollarama, Inc. | 26,800 | 706,328 | ||||||
Dorel Industries, Inc. Class B | 107,500 | 3,623,738 | ||||||
easyhome, Ltd. | 3,600 | 32,297 | ||||||
Forzani Group, Ltd. Class A | 130,900 | 1,958,559 | ||||||
*Glacier Media, Inc. | 137,300 | 316,359 | ||||||
Glentel, Inc. | 22,000 | 485,342 | ||||||
#*Great Canadian Gaming Corp. | 286,100 | 2,263,778 | ||||||
#Groupe Aeroplan, Inc. | 593,776 | 7,219,161 | ||||||
#*Imax Corp. | 270,137 | 5,861,488 | ||||||
Indigo Books & Music, Inc. | 100 | 1,501 | ||||||
#Le Chateau, Inc. Class A | 79,200 | 970,683 | ||||||
Leon’s Furniture, Ltd. | 133,912 | 1,798,798 | ||||||
Linamar Corp. | 179,780 | 3,960,836 | ||||||
#*Martinrea International, Inc. | 240,610 | 2,028,871 | ||||||
#MDC Partners, Inc. | 71,000 | 987,832 | ||||||
#*MEGA Brands, Inc. | 470,100 | 267,338 | ||||||
#Quebecor, Inc. Class B | 159,493 | 5,753,258 | ||||||
Reitmans Canada, Ltd. | 7,468 | 133,778 | ||||||
Reitmans Canada, Ltd. Class A | 193,400 | 3,712,886 | ||||||
*RONA, Inc. | 442,375 | 5,638,666 | ||||||
Sears Canada, Inc. | 10,108 | 193,260 | ||||||
#Torstar Corp. Class B | 204,377 | 2,581,014 | ||||||
TVA Group, Inc. Class B | 7,000 | 87,577 | ||||||
Uni-Select, Inc. | 56,056 | 1,461,446 | ||||||
Total Consumer Discretionary | 69,352,130 | |||||||
Consumer Staples — (2.0%) | ||||||||
#Alliance Grain Traders, Inc. | 38,780 | 1,203,439 | ||||||
*Atrium Innovations, Inc. | 145,836 | 2,123,409 | ||||||
#*BioExx Specialty Proteins, Ltd. | 186,617 | 466,588 | ||||||
Canada Bread Co., Ltd. | 14,021 | 603,512 | ||||||
#*Coolbrands International, Inc. | 10,430 | 41,826 | ||||||
Corby Distilleries, Ltd. | 60,932 | 955,890 | ||||||
*Cott Corp. | 486,800 | 4,004,561 | ||||||
*GLG Life Tech Corp. | 20,670 | 179,360 | ||||||
#Jean Coutu Group (PJC), Inc. Class A (The) | 286,261 | 2,573,795 | ||||||
Maple Leaf Foods, Inc. | 254,000 | 3,080,675 | ||||||
Premium Brands Holdings Corp. | 33,805 | 472,322 | ||||||
*SunOpta, Inc. | 187,529 | 1,230,090 | ||||||
*Sun-Rype Products, Ltd. | 100 | 858 | ||||||
Total Consumer Staples | 16,936,325 | |||||||
Energy — (14.2%) | ||||||||
*Advantage Oil & Gas, Ltd. | 558,431 | 3,460,422 | ||||||
Akita Drilling, Ltd. | 42,000 | 366,507 | ||||||
*AltaGas, Ltd. | 5,683 | 113,504 | ||||||
*Alter Nrg Corp. | 14,390 | 28,218 | ||||||
*Anderson Energy, Ltd. | 482,579 | 515,748 | ||||||
*Angle Energy, Inc. | 182,566 | 1,364,009 |
93
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Energy — (Continued) | ||||||||
#*Antrim Energy, Inc. | 487,500 | $ | 511,447 | |||||
*Arsenal Energy, Inc. | 388,950 | 331,784 | ||||||
#*Bankers Petroleum, Ltd. | 759,182 | 5,322,239 | ||||||
*Bellatrix Exploration, Ltd. | 273,540 | 984,304 | ||||||
#*Birchcliff Energy, Ltd. | 336,400 | 2,816,802 | ||||||
#*BlackPearl Resources, Inc. | 872,869 | 3,680,103 | ||||||
#Bonterra Energy Corp. | 14,002 | 594,869 | ||||||
Calfrac Well Services, Ltd. | 107,264 | 2,696,587 | ||||||
*Calmena Energy Services, Inc. | 79,771 | 51,622 | ||||||
*Calvalley Petroleum, Inc. | 302,339 | 1,191,688 | ||||||
#Canadian Energy Services & Technology Corp. | 33,361 | 676,117 | ||||||
*Canyon Services Group, Inc. | 58,402 | 475,279 | ||||||
*CE Franklin, Ltd. | 20,400 | 137,213 | ||||||
*Celtic Exploration, Ltd. | 245,200 | 2,952,305 | ||||||
*Cequence Energy, Ltd. | 35,096 | 61,252 | ||||||
*Chinook Energy, Inc. | 92,783 | 161,931 | ||||||
*CIC Energy Corp. | 31,465 | 183,564 | ||||||
*Cinch Energy Corp. | 131,081 | 154,228 | ||||||
*Compton Petroleum Corp. | 779,146 | 378,152 | ||||||
*Connacher Oil & Gas, Ltd. | 1,371,226 | 1,559,586 | ||||||
*Corridor Resources, Inc. | 348,780 | 2,294,650 | ||||||
*Crew Energy, Inc. | 268,096 | 5,183,698 | ||||||
*Crocotta Energy, Inc. | 49,690 | 72,106 | ||||||
#Daylight Energy, Ltd. | 131,299 | 1,278,360 | ||||||
*Delphi Energy Corp. | 326,516 | 662,700 | ||||||
#*Denison Mines Corp. | 942,269 | 1,977,111 | ||||||
Ensign Energy Services, Inc. | 316,120 | 3,923,992 | ||||||
*Epsilon Energy, Ltd. | 180,811 | 443,208 | ||||||
*Essential Energy Services, Ltd. | 76,570 | 123,875 | ||||||
*Fairborne Energy, Ltd. | 271,329 | 1,074,781 | ||||||
*Flint Energy Services, Ltd. | 139,000 | 2,171,066 | ||||||
#*Galleon Energy, Inc. Class A | 279,437 | 1,068,540 | ||||||
*Geomark Exploration, Ltd. | 82,540 | 84,167 | ||||||
#*Ivanhoe Energy, Inc. | 874,385 | 2,263,336 | ||||||
*Legacy Oil + Gas, Inc. | 320,311 | 3,856,671 | ||||||
*Mega Uranium, Ltd. | 717,094 | 548,420 | ||||||
#*MGM Energy Corp. | 14,000 | 2,677 | ||||||
*Midway Energy, Ltd. | 187,768 | 677,504 | ||||||
#Mullen Group, Ltd. | 210,105 | 3,151,884 | ||||||
#*North American Energy Partners, Inc. | 31,226 | 270,958 | ||||||
Nuvista Energy, Ltd. | 293,825 | 2,659,089 | ||||||
*Open Range Energy Corp. | 71,142 | 89,285 | ||||||
*OPTI Canada, Inc. | 926,355 | 635,796 | ||||||
#*Orleans Energy, Ltd. | 180,380 | 362,564 | ||||||
#*Pace Oil & Gas, Ltd. | 106,734 | 775,467 | ||||||
*Paramount Resources, Ltd. Class A | 127,639 | 2,561,791 | ||||||
Pason Systems, Inc. | 222,900 | 2,605,126 | ||||||
*Perpetual Energy, Inc. | 197,793 | 831,976 | ||||||
*Petrolifera Petroleum, Ltd. | 195,038 | 128,126 | ||||||
#Petrominerales, Ltd. | 93,623 | 2,398,636 | ||||||
*Precision Drilling Corp. | 158,549 | 1,243,643 | ||||||
#Progress Energy Resources Corp. | 387,604 | 4,115,846 | ||||||
*ProspEx Resources, Ltd. | 87,537 | 108,145 | ||||||
*Pulse Seismic, Inc. | 156,524 | 219,462 | ||||||
#*Questerre Energy Corp. | 700,260 | 1,187,812 | ||||||
*Ram Power Corp. | 10,723 | 22,815 | ||||||
*Rock Energy, Inc. | 93,933 | 406,162 | ||||||
Savanna Energy Services Corp. | 260,300 | 1,493,043 | ||||||
ShawCor, Ltd. | 209,500 | 6,445,838 | ||||||
*SilverBirch Energy Corp. | 165,119 | 1,052,332 | ||||||
*Sonde Resources Corp. | 400 | 1,275 |
94
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Energy — (Continued) | ||||||||
#*SouthGobi Resources, Ltd. | 64,923 | $ | 696,399 | |||||
*Strateco Resources, Inc. | 143,143 | 89,824 | ||||||
*Terra Energy Corp. | 86,885 | 97,968 | ||||||
Total Energy Services, Inc. | 89,596 | 807,322 | ||||||
*Transglobe Energy Corp. | 216,240 | 2,266,502 | ||||||
Trican Well Service, Ltd. | 494,693 | 8,575,519 | ||||||
#Trilogy Energy Corp. | 172,810 | 1,779,101 | ||||||
#Trinidad Drilling, Ltd. | 405,500 | 2,027,699 | ||||||
#*Twin Butte Energy, Ltd. | 280,026 | 444,791 | ||||||
#*UEX Corp. | 608,088 | 882,410 | ||||||
#*Uranium One, Inc. | 1,819,900 | 7,440,909 | ||||||
*Ur-Energy, Inc. | 197,407 | 274,848 | ||||||
*Vero Energy, Inc. | 189,256 | 1,174,616 | ||||||
*Winstar Resources, Ltd. | 13,680 | 43,592 | ||||||
*Xtreme Coil Drilling Corp. | 86,700 | 327,282 | ||||||
*ZCL Composite, Inc. | 90,700 | 262,344 | ||||||
Total Energy | 118,434,539 | |||||||
Financials — (5.4%) | ||||||||
AGF Management, Ltd. Class B | 330,879 | 5,375,689 | ||||||
Canaccord Capital, Inc. | 270,153 | 2,799,801 | ||||||
#Canadian Western Bank | 226,200 | 5,624,504 | ||||||
Clairvest Group, Inc. | 1,900 | 25,056 | ||||||
DundeeWealth, Inc. | 189,580 | 3,067,036 | ||||||
*EGI Financial Holdings, Inc. | 14,650 | 116,350 | ||||||
E-L Financial Corp., Ltd. | 68 | 26,671 | ||||||
Equitable Group, Inc. | 49,361 | 1,133,962 | ||||||
*Fiera Sceptre, Inc. | 36,300 | 265,870 | ||||||
*FirstService Corp. | 107,679 | 2,745,028 | ||||||
*Genesis Land Development Corp. | 68,751 | 209,644 | ||||||
Gluskin Shef & Associates, Inc. | 40,000 | 772,625 | ||||||
GMP Capital, Inc. | 101,759 | 1,147,395 | ||||||
Guardian Capital Group, Ltd. | 1,532 | 12,543 | ||||||
#Home Capital Group, Inc. | 113,700 | 5,354,457 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. | 77,092 | 2,418,810 | ||||||
#*Kingsway Financial Services, Inc. | 244,847 | 360,104 | ||||||
Laurentian Bank of Canada | 92,400 | 4,008,922 | ||||||
*Pacific and Western Credit Corp. | 9,000 | 26,473 | ||||||
Parkbridge Lifestyles Communities, Inc. | 92,400 | 658,641 | ||||||
#*Quest Capital Corp. | 743,003 | 1,347,736 | ||||||
Rentcash, Inc. | 33,670 | 518,965 | ||||||
Sprott, Inc. | 17,292 | 95,793 | ||||||
#TMX Group, Inc. | 194,874 | 6,481,151 | ||||||
*Westaim Corp. | 145,481 | 71,321 | ||||||
Western Financial Group, Inc. | 200,315 | 491,016 | ||||||
Total Financials | 45,155,563 | |||||||
Health Care — (3.6%) | ||||||||
#*AEterna Zentaris, Inc. | 175,100 | 219,755 | ||||||
*Angiotech Pharmaceuticals, Inc. | 61,300 | 30,052 | ||||||
#*Burcon NutraScience Corp. | 47,403 | 503,358 | ||||||
*Cangene Corp. | 163,800 | 513,933 | ||||||
*Cardiome Pharma Corp. | 298,200 | 1,517,461 | ||||||
#*Helix BioPharma Corp. | 13,153 | 32,757 | ||||||
*Imris, Inc. | 18,865 | 95,259 | ||||||
#*Labopharm, Inc. | 282,600 | 296,482 | ||||||
#*MDS, Inc. | 464,108 | 5,196,699 | ||||||
*Noveko International, Inc. | 9,300 | 5,745 | ||||||
*Nuvo Research, Inc. | 410,600 | 66,427 | ||||||
#*Oncolytics Biotech, Inc. | 128,727 | 586,901 | ||||||
#*Paladin Labs, Inc. | 47,500 | 1,302,652 |
95
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Health Care — (Continued) | ||||||||
*Patheon, Inc. | 3,100 | $ | 7,295 | |||||
*ProMetic Life Sciences, Inc. | 861,300 | 101,339 | ||||||
*QLT, Inc. | 226,048 | 1,274,415 | ||||||
#*Resverlogix Corp. | 95,720 | 506,803 | ||||||
*SXC Health Solutions Corp. | 184,318 | 7,196,336 | ||||||
*Tekmira Pharmaceuticals Corp. | 24,367 | 28,909 | ||||||
#*Theratechnologies, Inc. | 288,200 | 1,404,406 | ||||||
*Transition Therapeutics, Inc. | 74,633 | 218,799 | ||||||
*TSO3, Inc. | 121,152 | 166,303 | ||||||
#Valeant Pharmaceuticals International, Inc. | 302,138 | 8,359,971 | ||||||
#*YM Biosciences, Inc. | 156,270 | 317,167 | ||||||
Total Health Care | 29,949,224 | |||||||
Industrials — (7.6%) | ||||||||
Aecon Group, Inc. | 204,400 | 2,432,999 | ||||||
#AG Growth International, Inc. | 24,729 | 1,003,805 | ||||||
#*Air Canada | 19,800 | 73,384 | ||||||
#*Alexco Resource Corp. | 145,550 | 904,782 | ||||||
Algoma Central Corp. | 100 | 8,854 | ||||||
*ATS Automation Tooling System, Inc. | 304,017 | 2,143,232 | ||||||
#Black Diamond Group, Ltd. | 39,009 | 706,821 | ||||||
#CAE, Inc. | 358,590 | 4,022,227 | ||||||
#*Churchill Corp. (The) Class A | 66,413 | 1,306,902 | ||||||
#*Clarke, Inc. | 98,238 | 379,506 | ||||||
#Contrans Group, Inc. | 69,009 | 592,047 | ||||||
#*Electrovaya, Inc. | 190,525 | 569,763 | ||||||
Exco Technologies, Ltd. | 9,700 | 33,288 | ||||||
*Garda World Security Corp. | 106,440 | 895,436 | ||||||
#*GLV, Inc. | 35,863 | 248,604 | ||||||
*Heroux-Devtek, Inc. | 85,400 | 500,728 | ||||||
*Horizon North Logistics, Inc. | 26,145 | 61,267 | ||||||
*Hydrogenics Corp. | 6,615 | 25,814 | ||||||
IESI-BFC, Ltd. | 293,935 | 6,879,330 | ||||||
Marsulex, Inc. | 54,617 | 612,627 | ||||||
Newalta Corp. | 146,218 | 1,323,259 | ||||||
Richelieu Hardware, Ltd. | 59,273 | 1,711,530 | ||||||
#Ritchie Brothers Auctioneers, Inc. | 158,300 | 3,363,429 | ||||||
Rocky Mountain Dealerships, Inc. | 17,451 | 159,983 | ||||||
Russel Metals, Inc. | 229,900 | 4,526,318 | ||||||
*Stantec, Inc. | 159,195 | 4,400,144 | ||||||
#Student Transportation, Inc. | 162,674 | 934,670 | ||||||
#Superior Plus Corp. | 367,830 | 4,381,934 | ||||||
Toromont Industries, Ltd. | 262,959 | 7,495,066 | ||||||
Transcontinental, Inc. Class A. | 256,564 | 3,851,353 | ||||||
TransForce, Inc. | 295,297 | 3,497,586 | ||||||
*Vector Aerospace Corp. | 92,184 | 629,986 | ||||||
WaterFurnace Renewable Energy, Inc. | 22,008 | 571,617 | ||||||
*Westjet Airlines, Ltd. | 1,420 | 17,501 | ||||||
#*Westport Innovations, Inc. | 189,501 | 3,444,797 | ||||||
Total Industrials | 63,710,589 | |||||||
Information Technology — (4.5%) | ||||||||
*5N Plus, Inc. | 106,838 | 707,085 | ||||||
Aastra Technologies, Ltd. | 21,627 | 451,667 | ||||||
#*Absolute Software Corp. | 159,900 | 620,849 | ||||||
*AXIA NetMedia Corp. | 182,767 | 261,633 | ||||||
*Bridgewater Systems Corp. | 63,029 | 543,833 | ||||||
Calian Technologies, Ltd. | 10,929 | 203,492 | ||||||
*Celestica, Inc. | 797,607 | 6,717,761 | ||||||
#*COM DEV International, Ltd. | 235,300 | 489,103 | ||||||
Computer Modelling Group, Ltd. | 44,284 | 842,781 |
96
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Information Technology — (Continued) | ||||||||
Constellation Software, Inc. | 22,677 | $ | 989,659 | |||||
*Cyberplex, Inc. | 8,444 | 3,891 | ||||||
Dalsa Corp. | 59,800 | 673,109 | ||||||
*Descartes Systems Group, Inc. (The) | 154,000 | 972,409 | ||||||
*DragonWave, Inc. | 24,500 | 200,343 | ||||||
Enghouse Systems, Ltd. | 27,550 | 236,359 | ||||||
Evertz Technologies, Ltd. | 123,177 | 1,939,624 | ||||||
*EXFO, Inc. | 39,040 | 231,201 | ||||||
Gennum Corp. | 112,000 | 789,568 | ||||||
*Hemisphere GPS, Inc. | 161,501 | 144,098 | ||||||
*MacDonald Dettweiler & Associates, Ltd. | 143,020 | 7,125,058 | ||||||
*March Networks Corp. | 29 | 122 | ||||||
*Miranda Technologies, Inc. | 84,301 | 379,392 | ||||||
MKS, Inc. | 11,460 | 137,871 | ||||||
Mosaid Technologies, Inc. | 35,600 | 947,681 | ||||||
#*Open Text Corp. | 135,242 | 5,983,056 | ||||||
*Points International, Ltd. | 372,081 | 291,857 | ||||||
*Redknee Solutions, Inc. | 122,828 | 168,604 | ||||||
*Ruggedcom, Inc. | 25,966 | 380,363 | ||||||
*Sandvine Corp. | 337,170 | 707,465 | ||||||
*Sierra Wireless, Inc. | 127,100 | 1,540,304 | ||||||
*Softchoice Corp. | 600 | 5,236 | ||||||
#*Tranzeo Wireless Technologies, Inc. | 21,440 | 10,090 | ||||||
*Vecima Network, Inc. | 39,308 | 146,841 | ||||||
*Webtech Wireless, Inc. | 243,004 | 88,157 | ||||||
Wi-Lan, Inc. | 334,144 | 1,585,702 | ||||||
#*Zarlink Semiconductor, Inc. | 326,156 | 661,970 | ||||||
Total Information Technology | 37,178,234 | |||||||
Materials — (32.8%) | ||||||||
*Ainsworth Lumber Co., Ltd. | 205,932 | 468,440 | ||||||
#Alamos Gold, Inc. | 396,920 | 6,145,080 | ||||||
#*Almaden Minerals, Ltd. | 108,300 | 313,251 | ||||||
*Altius Minerals Corp. | 112,600 | 1,162,543 | ||||||
*Amerigo Resources, Ltd. | 472,500 | 421,585 | ||||||
#*Anatolia Minerals Development, Ltd. | 359,258 | 2,655,952 | ||||||
#*Anvil Mining, Ltd. | 349,330 | 1,606,391 | ||||||
*Atna Resource, Ltd. | 126,947 | 85,884 | ||||||
*AuEx Ventures, Inc. | 69,020 | 420,251 | ||||||
#*Augusta Resource Corp. | 308,545 | 1,222,200 | ||||||
#*Aura Minerals, Inc. | 434,269 | 1,886,275 | ||||||
*Aurizon Mines, Ltd. | 574,680 | 3,842,845 | ||||||
#*Avalon Rare Metals, Inc. | 218,496 | 974,759 | ||||||
#*B2Gold Corp. | 723,831 | 1,618,134 | ||||||
*Baffinland Iron Mines Corp. | 740,086 | 682,107 | ||||||
#*Baja Mining Corp. | 165,829 | 188,608 | ||||||
#*Breakwater Resources, Ltd. | 137,833 | 770,319 | ||||||
#*Brigus Gold Corp. | 101,229 | 159,799 | ||||||
Canam Group, Inc. Class A | 158,700 | 1,254,164 | ||||||
*Canfor Corp. | 349,055 | 3,295,813 | ||||||
*Capstone Mining Corp. | 656,169 | 2,303,250 | ||||||
*Cardero Resource Corp. | 185,860 | 225,970 | ||||||
#*Carpathian Gold, Inc. | 188,000 | 101,382 | ||||||
Cascades, Inc. | 265,176 | 1,747,213 | ||||||
#*Catalyst Paper Corp. | 1,675,887 | 353,285 | ||||||
CCL Industries, Inc. Class B | 95,640 | 2,803,840 | ||||||
#*China Gold International Resources Corp., Ltd. | 465,500 | 2,291,215 | ||||||
*Claude Resources, Inc. | 934,700 | 1,493,834 | ||||||
*Colossus Minerals, Inc. | 260,366 | 2,118,872 | ||||||
#*Consolidated Thompson Iron Mines, Ltd. | 656,633 | 6,360,951 | ||||||
*Copper Mountain Mining Corp. | 248,915 | 1,200,767 |
97
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Materials — (Continued) | ||||||||
#*Corvus Gold, Inc. | 82,916 | $ | 79,672 | |||||
*Crew Gold Corp. | 1,930 | 8,894 | ||||||
#*Crystallex International Corp. | 1,355,025 | 471,648 | ||||||
*Detour Gold Corp. | 237,256 | 6,929,950 | ||||||
*Duluth Metals, Ltd. | 276,376 | 758,754 | ||||||
#*Dundee Precious Metals, Inc. | 316,452 | 1,877,179 | ||||||
#*Dynasty Metals & Mining, Inc. | 70,733 | 267,009 | ||||||
#*Eastern Platinum, Ltd. | 2,845,360 | 5,189,106 | ||||||
*Eastmain Resources, Inc. | 241,317 | 380,940 | ||||||
#*ECU Silver Mining, Inc. | 980,737 | 721,201 | ||||||
#*Endeavour Silver Corp. | 171,999 | 833,096 | ||||||
*Entree Gold, Inc. | 286,898 | 742,632 | ||||||
#*Equinox Minerals, Ltd. | 1,652,990 | 8,978,885 | ||||||
#*Euro Goldfields, Ltd. | 494,960 | 6,687,468 | ||||||
*Excellon Resources, Inc. | 640,200 | 520,998 | ||||||
*Exeter Resource Corp. | 74,037 | 428,295 | ||||||
*Far West Mining, Ltd. | 157,285 | 848,189 | ||||||
*Farallon Mining, Ltd. | 1,319,100 | 737,216 | ||||||
#*First Majestic Silver Corp. | 265,983 | 2,039,403 | ||||||
#*First Uranium Corp. | 51,430 | 39,837 | ||||||
#*Formation Capital Corp. | 20,100 | 28,576 | ||||||
#*Forsys Metals Corp. | 199,402 | 389,068 | ||||||
*Fortress Paper, Ltd. | 31,288 | 1,422,823 | ||||||
*Fortuna Silver Mines, Inc. | 342,168 | 1,281,578 | ||||||
#*Fortune Minerals, Ltd. | 9,000 | 7,060 | ||||||
#*Fronteer Gold, Inc. | 344,600 | 2,740,176 | ||||||
*Gammon Gold, Inc. | 411,890 | 2,814,858 | ||||||
*Globestar Mining Corp. | 296,306 | 479,366 | ||||||
*Gold Wheaton Gold Corp. | 41,632 | 140,420 | ||||||
#*Golden Star Resources, Ltd. | 870,710 | 4,567,407 | ||||||
#*Grande Cache Coal Corp. | 310,814 | 2,133,246 | ||||||
#*Great Basin Gold, Ltd. | 1,082,630 | 3,035,907 | ||||||
#*Great Panther Silver, Ltd. | 297,898 | 353,423 | ||||||
#*Greystar Resources, Ltd. | 194,145 | 820,438 | ||||||
*Guyana Goldfields, Inc. | 230,342 | 2,500,133 | ||||||
*Hanfeng Evergreen, Inc. | 142,791 | 957,634 | ||||||
*Harry Winston Diamond Corp. | 226,443 | 2,892,982 | ||||||
*High River Gold Mines, Ltd. | 110,866 | 143,488 | ||||||
#HudBay Minerals, Inc. | 498,098 | 7,862,906 | ||||||
*Imperial Metals Corp. | 78,090 | 1,898,845 | ||||||
#*Inter-Citic Minerals, Inc. | 283,484 | 478,079 | ||||||
#*International Forest Products, Ltd. Class A | 166,200 | 811,527 | ||||||
#*International Tower Hill Mines, Ltd. | 165,832 | 1,238,984 | ||||||
*Intertape Polymer Group, Inc. | 141,352 | 146,910 | ||||||
*Ivernia, Inc. | 58,343 | 24,312 | ||||||
#*Jaguar Mining, Inc. | 260,326 | 1,687,180 | ||||||
*Katanga Mining, Ltd. | 891,700 | 1,276,480 | ||||||
*Keegan Resources, Inc. | 123,583 | 965,738 | ||||||
*Kimber Resources, Inc. | 21,200 | 19,955 | ||||||
#*Kirkland Lake Gold, Inc. | 187,280 | 2,067,627 | ||||||
*La Mancha Resources, Inc. | 354,999 | 929,353 | ||||||
*Labrador Iron Mines Holdings, Ltd. | 123,133 | 736,456 | ||||||
#*Lake Shore Gold Corp. | 981,331 | 3,329,155 | ||||||
*Laramide Resources, Ltd. | 184,500 | 354,564 | ||||||
*Lundin Mining Corp. | 1,147,100 | 7,265,679 | ||||||
*MAG Silver Corp. | 134,396 | 1,118,759 | ||||||
*MagIndustries Corp. | 241,665 | 78,193 | ||||||
Major Drilling Group International, Inc. | 101,500 | 3,474,228 | ||||||
#*MDN, Inc. | 242,980 | 115,546 | ||||||
#*Mercator Minerals, Ltd. | 501,221 | 1,567,698 | ||||||
Methanex Corp. | 359,200 | 10,002,236 |
98
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Materials — (Continued) | ||||||||
#*Migao Corp. | 160,400 | $ | 1,140,210 | |||||
*Minco Base Metals Corp. | 2,780 | — | ||||||
*Minco Silver Corp. | 114,524 | 435,683 | ||||||
#*Minefinders Corp. | 207,877 | 1,826,236 | ||||||
#*Minera Andes, Inc. | 654,544 | 1,264,292 | ||||||
#*Nautilus Minerals, Inc. | 89,354 | 167,336 | ||||||
*Neo Material Technologies, Inc. | 384,000 | 2,228,924 | ||||||
*Nevada Copper Corp. | 144,891 | 595,248 | ||||||
*New Gold, Inc. | 908,957 | 6,728,724 | ||||||
*NGEx Resources, Inc. | 2,000 | 1,902 | ||||||
#*Norbord, Inc. | 70,210 | 801,299 | ||||||
*Norsemont Mining, Inc. | 135,739 | 397,941 | ||||||
#*North American Palladium, Ltd. | 343,990 | 1,602,071 | ||||||
#*Northern Dynasty Minerals, Ltd. | 189,998 | 1,713,875 | ||||||
#*Northgate Minerals Corp. | 987,071 | 2,796,975 | ||||||
*Northland Resources SA | 8,583 | 22,301 | ||||||
#*Novagold Resources, Inc. | 499,855 | 5,606,767 | ||||||
#*OceanaGold Corp. | 10,571 | 35,240 | ||||||
#*Oromin Explorations, Ltd. | 103,312 | 131,685 | ||||||
*Orvana Minerals Corp. | 289,052 | 756,710 | ||||||
#Pan Amer Silver Corp. | 220,900 | 7,067,327 | ||||||
#*Peregrine Diamonds, Ltd. | 240,972 | 614,303 | ||||||
#*Petaquilla Minerals, Ltd. | 52,550 | 42,765 | ||||||
*Phoscan Chemical Corp. | 336,451 | 146,799 | ||||||
#*Platinum Group Metals, Ltd. | 241,887 | 479,078 | ||||||
*Platmin, Ltd. | 108,562 | 117,088 | ||||||
*Polaris Miner Corp. | 45,838 | 49,887 | ||||||
#*PolyMet Mining Corp. | 423,377 | 776,267 | ||||||
#*Potash One, Inc. | 226,260 | 811,954 | ||||||
#*Quadra FNX Mining, Ltd. | 543,917 | 7,679,581 | ||||||
*Queenston Mining, Inc. | 188,369 | 978,876 | ||||||
*Richmont Mines, Inc. | 75,011 | 353,763 | ||||||
#*Rubicon Minerals Corp. | 508,405 | 1,879,289 | ||||||
*Sabina Gold & Silver Corp. | 233,672 | 1,028,716 | ||||||
*Scorpio Mining Corp. | 482,668 | 411,728 | ||||||
#*Seabridge Gold, Inc. | 121,852 | 3,310,637 | ||||||
#*SEMAFO, Inc. | 867,985 | 10,416,841 | ||||||
Sherritt International Corp. | 888,402 | 6,907,567 | ||||||
*Shore Gold, Inc. | 837,013 | 582,684 | ||||||
#*Silver Standard Resources, Inc. | 266,867 | 6,489,167 | ||||||
Silvercorp Metals, Inc. | 528,430 | 4,942,859 | ||||||
#*Sprott Resource Corp. | 269,846 | 1,150,927 | ||||||
#*St. Andrew Goldfields, Ltd. | 414,753 | 626,257 | ||||||
*Starfield Resources, Inc. | 884,115 | 47,678 | ||||||
Stella-Jones, Inc. | 29,600 | 774,899 | ||||||
*Stornoway Diamond Corp. | 80,268 | 44,073 | ||||||
#*Tanzanian Royalty Exploration Corp. | 316,139 | 2,185,293 | ||||||
#*Taseko Mines, Ltd. | 649,000 | 4,104,373 | ||||||
#*Thompson Creek Metals Co., Inc. | 474,700 | 5,715,576 | ||||||
#*Timminco, Ltd. | 194,700 | 55,361 | ||||||
#*Ventana Gold Corp. | 68,276 | 610,528 | ||||||
*Virginia Mines, Inc. | 79,962 | 582,525 | ||||||
*Wesdome Gold Mines, Ltd. | 264,964 | 714,434 | ||||||
#West Fraser Timber Co., Ltd. | 123,716 | 5,373,683 | ||||||
#*Western Coal Corp. | 688,705 | 4,659,344 | ||||||
Winpak, Ltd. | 63,110 | 708,510 | ||||||
*Yukon-Nevada Gold Corp. | 404,632 | 305,487 | ||||||
Total Materials | 273,873,887 | |||||||
Telecommunication Services — (0.3%) | ||||||||
#Manitoba Telecom Services, Inc. | 74,717 | 2,134,039 |
99
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Shares | Value†† | |||||||
Telecommunication Services — (Continued) | ||||||||
*Wireless Matrix Corp. | 127,500 | $ | 126,262 | |||||
Total Telecommunication Services | 2,260,301 | |||||||
Utilities — (0.7%) | ||||||||
Algonquin Power & Utilities Corp. | 365,147 | 1,654,063 | ||||||
ATCO, Ltd. | 7,874 | 402,617 | ||||||
#*Atlantic Power Corp. | 172,975 | 2,313,343 | ||||||
*BioteQ Environmental Technologies, Inc. | 58,602 | 50,564 | ||||||
*Boralex, Inc. Class A | 89,733 | 739,050 | ||||||
#*Innergex Renewable Energy, Inc. | 20,280 | 191,685 | ||||||
*Maxim Power Corp. | 89,500 | 241,323 | ||||||
Pacific Northern Gas, Ltd. | 8,605 | 231,008 | ||||||
*Plutonic Power Corp. | 129,360 | 279,039 | ||||||
Total Utilities | 6,102,692 | |||||||
TOTAL COMMON STOCKS | 662,953,484 | |||||||
Face Amount | Value† | |||||||
(000) | ||||||||
TEMPORARY CASH INVESTMENTS — (0.1%) | ||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by | $649 | 649,000 | ||||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (20.5%) | ||||||||
§@DFA Short Term Investment Fund | 168,636,615 | 168,636,615 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by | $2,812 | 2,811,806 | ||||||
TOTAL SECURITIES LENDING COLLATERAL | 171,448,421 | |||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||
(Cost $792,036,344) | $ | 835,050,905 | ||||||
100
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value†† | |||||||
COMMON STOCKS — (84.7%) | ||||||||
BRAZIL — (3.1%) | ||||||||
*All America Latina Logistica SA | 6,100 | $ | 57,689 | |||||
Banco Bradesco SA | 5,000 | 79,692 | ||||||
Banco do Brasil SA | 14,235 | 275,608 | ||||||
BM&F Bovespa SA | 57,500 | 479,533 | ||||||
*Brasil Telecom SA | 38,241 | 355,354 | ||||||
*Brasil Telecom SA ADR | 8,140 | 74,888 | ||||||
BRF - Brasil Foods SA ADR | 590,060 | 8,632,578 | ||||||
Cia de Bebidas das Americas | 62,744 | 7,094,725 | ||||||
Cia de Concessoes Radoviarias | 7,800 | 211,022 | ||||||
*Cia Energetica de Minas Gerais SA | 1,800 | 23,512 | ||||||
*Cia Energetica de Sao Paulo SA | 11,400 | 178,345 | ||||||
Cia Siderurgica Nacional SA | 734,552 | 12,161,171 | ||||||
Cosan SA Industria e Comercio | 10,700 | 169,974 | ||||||
CPFL Energia SA | 1,935 | 45,533 | ||||||
*Cyrela Brazil Realty SA Empreendimentos e Participacoes | 2,300 | 31,626 | ||||||
Duratex SA | 15,700 | 180,980 | ||||||
*Fibria Celulose SA | 13,825 | 246,692 | ||||||
*Fibria Celulose SA Sponsored ADR | 18,180 | 326,513 | ||||||
*Hypermarcas SA | 19,200 | 317,309 | ||||||
*Lojas Renner SA | 6,200 | 245,987 | ||||||
Natura Cosmeticos SA | 16,800 | 480,198 | ||||||
*OGX Petroleo e Gas Participacoes SA | 149,800 | 1,958,510 | ||||||
Petroleo Brasilerio SA ADR | 1,009,389 | 34,440,353 | ||||||
Porto Seguro SA | 7,100 | 103,600 | ||||||
*Redecard SA | 14,200 | 183,649 | ||||||
Souza Cruz SA | 86,274 | 4,513,364 | ||||||
Tele Norte Leste Participacoes SA | 59,254 | 1,186,265 | ||||||
*Tim Participacoes SA | 11,900 | 47,872 | ||||||
Tractebel Energia SA | 140,100 | 2,109,369 | ||||||
#Vale SA Sponsored ADR | 134,000 | 4,306,760 | ||||||
Vivo Participacoes SA | 16,288 | 1,110,933 | ||||||
Weg Industrias SA | 278,866 | 3,641,019 | ||||||
TOTAL BRAZIL | 85,270,623 | |||||||
CHILE — (2.0%) | ||||||||
AES Gener SA | 1,034,630 | 570,881 | ||||||
#Banco de Chile SA Series F ADR | 47,992 | 4,127,312 | ||||||
Banco de Credito e Inversiones SA Series A | 14,693 | 887,798 | ||||||
Banco Santander Chile SA ADR | 59,216 | 5,485,770 | ||||||
CAP SA | 34,560 | 1,765,411 | ||||||
Centros Comerciales Sudamericanos SA | 295,910 | 2,305,394 | ||||||
Cia Cervecerias Unidas SA ADR | 14,357 | 807,581 | ||||||
Colbun SA | 4,884,083 | 1,335,672 | ||||||
Corpbanca SA | 24,534,433 | 385,960 | ||||||
Embotelladora Andina SA Series A ADR | 23,068 | 555,477 | ||||||
#Embotelladora Andina SA Series B ADR | 17,106 | 500,864 | ||||||
Empresa Nacional de Electricidad SA Sponsored ADR | 159,551 | 8,513,641 | ||||||
Empresas CMPC SA | 18,465 | 992,803 | ||||||
Empresas Copec SA | 12,626 | 237,673 | ||||||
Enersis SA Sponsored ADR | 384,857 | 8,778,588 | ||||||
ENTEL Chile SA | 52,839 | 839,731 | ||||||
#Lan Airlines SA Sponsored ADR | 217,871 | 6,697,355 | ||||||
S.A.C.I. Falabella SA | 124,985 | 1,250,335 | ||||||
#Sociedad Quimica y Minera de Chile SA Sponsored ADR | 123,517 | 6,398,181 | ||||||
#Vina Concha Y Toro SA Sponsored ADR | 25,742 | 1,234,844 | ||||||
TOTAL CHILE | 53,671,271 | |||||||
101
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
CHINA — (11.3%) | ||||||||
Agile Property Holdings, Ltd. | 568,000 | $ | 749,206 | |||||
*Air China, Ltd. | 574,000 | 772,590 | ||||||
#*Alibaba.com, Ltd. | 420,000 | 817,956 | ||||||
#*Aluminum Corp. of China, Ltd. ADR | 57,300 | 1,373,481 | ||||||
#Angang Steel Co., Ltd. | 458,000 | 719,556 | ||||||
#*Anhui Conch Cement Co., Ltd. | 298,000 | 1,254,288 | ||||||
Anta Sports Products, Ltd. | 310,000 | 641,183 | ||||||
Bank of China, Ltd. | 36,691,000 | 22,085,287 | ||||||
Bank of Communications Co., Ltd. | 2,787,650 | 3,061,434 | ||||||
*BBMG Corp. | 360,500 | 519,153 | ||||||
Beijing Capital International Airport Co., Ltd. | 352,000 | 194,230 | ||||||
Beijing Enterprises Holdings, Ltd. | 223,972 | 1,531,821 | ||||||
Belle International Holdings, Ltd. | 1,948,000 | 3,508,169 | ||||||
#*Brilliance China Automotive Holdings, Ltd. | 952,000 | 837,592 | ||||||
#BYD Co., Ltd. | 395,886 | 2,420,244 | ||||||
#Chaoda Modern Agriculture Holdings, Ltd. | 762,000 | 621,848 | ||||||
#China Agri-Industries Holdings, Ltd. | 608,202 | 890,404 | ||||||
China BlueChemical, Ltd. | 692,000 | 548,374 | ||||||
China Citic Bank Corp., Ltd. | 2,441,928 | 1,777,295 | ||||||
China Coal Energy Co., Ltd. | 1,357,777 | 2,360,810 | ||||||
China Communications Construction Co., Ltd. | 1,754,000 | 1,679,766 | ||||||
China Communications Services Corp., Ltd. | 770,000 | 447,437 | ||||||
China Construction Bank Corp. | 21,737,000 | 20,780,648 | ||||||
#*China COSCO Holdings Co., Ltd. | 1,017,000 | 1,191,817 | ||||||
China Dongxiang Group Co. | 1,061,000 | 598,922 | ||||||
#*China Eastern Airlines Corp., Ltd. | 382,000 | 242,084 | ||||||
China Everbright, Ltd. | 334,000 | 870,897 | ||||||
#China Life Insurance Co., Ltd. ADR | 250,705 | 16,488,868 | ||||||
China Mengniu Dairy Co., Ltd. | 386,000 | 1,108,444 | ||||||
#China Merchants Bank Co., Ltd. | 1,430,534 | 4,057,714 | ||||||
China Merchants Holdings International Co., Ltd. | 433,145 | 1,520,382 | ||||||
#China Mobile, Ltd. Sponsored ADR | 696,697 | 35,789,325 | ||||||
#China Molybdenum Co., Ltd. | 511,322 | 490,866 | ||||||
#China National Building Material Co., Ltd. | 451,958 | 1,107,969 | ||||||
China Oilfield Services, Ltd. | 582,000 | 942,905 | ||||||
China Overseas Land & Investment, Ltd. | 1,550,000 | 3,263,328 | ||||||
*China Pacific Insurance Group Co., Ltd. | 296,200 | 1,230,246 | ||||||
China Petroleum & Chemical Corp. | 1,958,000 | 1,857,868 | ||||||
China Petroleum & Chemical Corp. ADR | 46,300 | 4,412,853 | ||||||
China Power International Development, Ltd. | 266,000 | 60,445 | ||||||
China Railway Construction Corp., Ltd. | 786,000 | 984,131 | ||||||
China Railway Group, Ltd. | 1,575,000 | 1,272,060 | ||||||
#China Resources Enterprise, Ltd. | 1,617,000 | 6,812,654 | ||||||
China Resources Land, Ltd. | 784,000 | 1,547,411 | ||||||
China Resources Power Holdings Co., Ltd. | 920,000 | 1,769,001 | ||||||
China Shenhua Energy Co., Ltd. Series H | 1,971,500 | 8,826,794 | ||||||
#*China Shipping Container Lines Co., Ltd. | 1,473,907 | 601,855 | ||||||
China Shipping Development Co., Ltd. | 548,000 | 801,087 | ||||||
*China Southern Airlines Co., Ltd. | 226,000 | 153,948 | ||||||
#*China Southern Airlines Co., Ltd. ADR | 8,400 | 289,380 | ||||||
*China Taiping Insurance Holdings Co., Ltd. | 273,200 | 1,001,854 | ||||||
#China Telecom Corp., Ltd. | 1,560,000 | 816,719 | ||||||
China Telecom Corp., Ltd. ADR | 37,571 | 1,958,952 | ||||||
*China Travel International Investment Hong Kong, Ltd. | 768,000 | 183,727 | ||||||
China Unicom Hong Kong, Ltd. ADR | 241,400 | 3,379,600 | ||||||
China Yurun Food Group, Ltd. | 462,000 | 1,794,101 | ||||||
#*China Zhongwang Holdings, Ltd. | 709,600 | 424,282 | ||||||
CITIC Pacific, Ltd. | 1,473,000 | 3,919,390 | ||||||
*CITIC Resources Holdings, Ltd. | 740,000 | 189,768 | ||||||
CNOOC, Ltd. | 45,000 | 93,713 | ||||||
#CNOOC, Ltd. ADR | 68,756 | 14,364,504 |
102
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
CHINA — (Continued) | ||||||||
COSCO Pacific, Ltd. | 706,000 | $ | 1,100,103 | |||||
Country Garden Holdings Co. | 2,232,000 | 787,701 | ||||||
*CSR Corp., Ltd. | 685,000 | 697,360 | ||||||
#Datang International Power Generation Co., Ltd. | 614,000 | 247,715 | ||||||
#Dongfang Electric Co., Ltd. | 90,600 | 440,318 | ||||||
Dongfeng Motor Corp. | 684,000 | 1,485,998 | ||||||
Fosun International, Ltd. | 692,000 | 572,428 | ||||||
Fushan International Energy Group, Ltd. | 1,274,000 | 858,965 | ||||||
*GCL Poly Energy Holdings, Ltd. | 720,814 | 231,006 | ||||||
Geely Automobile Holdings, Ltd. | 1,410,000 | 799,062 | ||||||
Golden Eagle Retail Group, Ltd. | 241,000 | 639,423 | ||||||
*GOME Electrical Appliances Holdings, Ltd. | 4,013,000 | 1,354,405 | ||||||
Guangdong Investment, Ltd. | 792,000 | 397,977 | ||||||
#Guangshen Railway Co., Ltd. Sponsored ADR | 12,500 | 254,250 | ||||||
Guangzhou Automobile Group Co., Ltd. | 360,259 | 553,083 | ||||||
#Guangzhou R&F Properties Co., Ltd. | 405,669 | 579,880 | ||||||
Harbin Power Equipment Co., Ltd. | 104,000 | 140,744 | ||||||
Hengan International Group Co., Ltd. | 162,000 | 1,535,785 | ||||||
*HKC Holdings, Ltd. | 2,641,797 | 163,999 | ||||||
#*Hong Kong Energy Holdings, Ltd. | 31,116 | 2,619 | ||||||
#*Hopson Development Holdings, Ltd. | 186,000 | 207,718 | ||||||
Huabao International Holdings, Ltd. | 536,000 | 810,281 | ||||||
#Huadian Power International Corp. | 494,000 | 113,458 | ||||||
Huaneng Power International, Inc. | 136,000 | 77,624 | ||||||
Huaneng Power International, Inc. ADR | 12,000 | 274,680 | ||||||
Industrial & Commercial Bank of China, Ltd. Series H | 34,093,000 | 27,543,516 | ||||||
Jiangsu Express Co., Ltd. | 764,000 | 911,938 | ||||||
#Jiangxi Copper Co., Ltd. | 511,000 | 1,420,344 | ||||||
Kingboard Chemical Holdings, Ltd. | 249,682 | 1,213,583 | ||||||
Kunlun Energy Co., Ltd. | 940,000 | 1,196,050 | ||||||
Lee & Man Paper Manufacturing, Ltd. | 405,000 | 338,249 | ||||||
#Lenovo Group, Ltd. | 1,827,278 | 1,191,668 | ||||||
#Li Ning Co., Ltd. | 169,500 | 482,340 | ||||||
#Maanshan Iron & Steel Co., Ltd. | 758,000 | 437,720 | ||||||
Nine Dragons Paper Holdings, Ltd. | 624,000 | 1,009,576 | ||||||
Parkson Retail Group, Ltd. | 448,000 | 809,881 | ||||||
PetroChina Co., Ltd. ADR | 115,210 | 14,165,070 | ||||||
*PICC Property & Casualty Co., Ltd. | 824,000 | 1,212,374 | ||||||
Ping An Insurance Group Co. of China, Ltd. | 586,000 | 6,309,087 | ||||||
#Poly Hong Kong Investment, Ltd. | 799,000 | 825,887 | ||||||
*Renhe Commercial Holdings Co., Ltd. | 2,864,000 | 547,827 | ||||||
#*Semiconductor Manufacturing International Corp. ADR | 204,090 | 840,851 | ||||||
Shanghai Electric Group Co., Ltd. | 2,392,000 | 1,602,497 | ||||||
Shanghai Industrial Holdings, Ltd. | 233,484 | 1,081,090 | ||||||
Shenzhen Expressway Co., Ltd. | 110,000 | 60,771 | ||||||
Shenzhen International Holdings, Ltd. | 2,350,000 | 185,222 | ||||||
Shimao Property Holdings, Ltd. | 659,871 | 1,093,287 | ||||||
Sichuan Expressway Co., Ltd. | 100,000 | 65,068 | ||||||
*Sinofert Holdings, Ltd. | 864,000 | 459,122 | ||||||
#Sino-Ocean Land Holdings, Ltd. | 1,301,600 | 898,236 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd. | 738,000 | 331,107 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR | 1,188 | 53,472 | ||||||
*Sinopec Yizheng Chemical Fibre Co., Ltd. | 408,000 | 152,382 | ||||||
Sinotrans, Ltd. | 564,000 | 153,237 | ||||||
#Soho China, Ltd. | 861,000 | 733,078 | ||||||
Tencent Holdings, Ltd. | 700,600 | 16,123,103 | ||||||
Tingyi (Cayman Islands) Holding Corp. | 1,072,000 | 2,922,465 | ||||||
Tsingtao Brewery Co., Ltd. | 104,000 | 559,020 | ||||||
Want Want China Holdings, Ltd. | 1,310,000 | 1,210,808 | ||||||
Weichai Power Co., Ltd. | 52,000 | 682,766 | ||||||
#Yanzhou Coal Mining Co., Ltd. Sponsored ADR | 35,986 | 1,039,276 |
103
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
CHINA — (Continued) | ||||||||
Zhaojin Mining Industry Co., Ltd. | 156,000 | $ | 486,900 | |||||
Zhejiang Expressway Co., Ltd. | 240,000 | 243,516 | ||||||
Zhuzhou CSR Times Electric Co., Ltd. | 48,000 | 146,659 | ||||||
Zijin Mining Group Co., Ltd. | 910,000 | 859,063 | ||||||
#ZTE Corp. | 629,232 | 2,349,081 | ||||||
TOTAL CHINA | 304,286,405 | |||||||
COLOMBIA — (0.3%) | ||||||||
Bancolombia SA Sponsored ADR | 39,824 | 2,686,129 | ||||||
#*Ecopetrol SA Sponsored ADR | 100,257 | 4,786,269 | ||||||
TOTAL COLOMBIA | 7,472,398 | |||||||
CZECH REPUBLIC — (0.7%) | ||||||||
CEZ A.S. | 254,916 | 11,272,835 | ||||||
Komercni Banka A.S. | 14,663 | 3,328,598 | ||||||
Telefonica 02 Czech Republic A.S. | 178,190 | 3,916,672 | ||||||
TOTAL CZECH REPUBLIC | 18,518,105 | |||||||
EGYPT — (0.1%) | ||||||||
*Commercial International Bank Egypt S.A.E. Sponsored GDR | 128,815 | 986,006 | ||||||
*Egyptian Financial Group-Hermes Holding GDR | 451 | 4,699 | ||||||
Orascom Construction Industries GDR | 35,382 | 1,642,591 | ||||||
*Orascom Telecom Holding S.A.E. GDR | 246,435 | 956,200 | ||||||
TOTAL EGYPT | 3,589,496 | |||||||
HUNGARY — (1.0%) | ||||||||
ELMU NYRT | 185 | 25,922 | ||||||
Magyar Telekom Telecommunications P.L.C. | 665,618 | 1,919,409 | ||||||
#*MOL Hungarian Oil & Gas P.L.C. | 72,823 | 7,737,822 | ||||||
#*OTP Bank P.L.C. | 371,753 | 11,040,304 | ||||||
Richter Gedeon NYRT | 21,924 | 5,224,611 | ||||||
*Tisza Chemical Group P.L.C. | 26,052 | 453,730 | ||||||
TOTAL HUNGARY | 26,401,798 | |||||||
INDIA — (10.8%) | ||||||||
ACC, Ltd. | 43,053 | 955,960 | ||||||
Adani Enterprises, Ltd. | 108,375 | 1,721,515 | ||||||
Ambuja Cements, Ltd. | 953,115 | 3,005,187 | ||||||
Asea Brown Boveri India, Ltd. | 39,249 | 727,237 | ||||||
Asian Paints, Ltd. | 53,741 | 3,246,926 | ||||||
Axis Bank, Ltd. | 292,667 | 9,687,349 | ||||||
Bajaj Auto, Ltd. | 135,564 | 4,629,695 | ||||||
Bajaj Finserv, Ltd. | 29,842 | 316,123 | ||||||
Bajaj Holdings & Investment, Ltd. | 8,068 | 159,216 | ||||||
Bharat Electronics, Ltd. | 7,300 | 268,561 | ||||||
Bharat Heavy Electricals, Ltd. | 19,249 | 1,061,971 | ||||||
Bharat Petroleum Corp., Ltd. | 13,384 | 219,981 | ||||||
Bharti Airtel, Ltd. | 852,924 | 6,275,699 | ||||||
Bosch, Ltd. | 16,788 | 2,365,488 | ||||||
*Cairn India, Ltd. | 61,194 | 442,494 | ||||||
Cipla, Ltd. | 476,959 | 3,786,315 | ||||||
Colgate-Palmolive (India), Ltd. | 6,437 | 126,747 | ||||||
Container Corp. of India | 595 | 17,599 | ||||||
Crompton Greaves, Ltd. | 247,206 | 1,773,195 | ||||||
Cummins India, Ltd. | 12,348 | 220,998 | ||||||
Dabur India, Ltd. | 616,506 | 1,383,759 | ||||||
Dr Reddy’s Laboratories, Ltd. | 61,671 | 2,308,175 | ||||||
#Dr Reddy’s Laboratories, Ltd. ADR | 83,498 | 3,158,729 | ||||||
EIH, Ltd. | 40,981 | 114,962 | ||||||
Exide Industries, Ltd. | 52,639 | 183,707 |
104
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
INDIA — (Continued) | ||||||||
*Future Mall Management, Ltd. | 388 | $ | — | |||||
GAIL India, Ltd. | 57,000 | 630,030 | ||||||
GAIL India, Ltd. Sponsored GDR | 28,791 | 1,911,386 | ||||||
GlaxoSmithKline Pharmaceuticals, Ltd. | 38,937 | 1,953,143 | ||||||
Godrej Consumer Products, Ltd. | 23,579 | 220,854 | ||||||
Grasim Industries, Ltd. | 6,300 | 318,821 | ||||||
HCL Technologies, Ltd. | 261,864 | 2,389,549 | ||||||
HDFC Bank, Ltd. | 378,035 | 19,427,251 | ||||||
Hero Honda Motors, Ltd. Series B | 110,973 | 4,666,536 | ||||||
Hindustan Unilever, Ltd. | 1,164,529 | 7,731,844 | ||||||
ICICI Bank, Ltd. Sponsored ADR | 88,726 | 4,665,213 | ||||||
*Idea Cellular, Ltd. | 29,450 | 44,586 | ||||||
Indian Bank | 10,779 | 71,134 | ||||||
Infosys Technologies, Ltd. | 398,967 | 26,735,874 | ||||||
#Infosys Technologies, Ltd. Sponsored ADR | 233,496 | 15,746,970 | ||||||
Infrastructure Development Finance Co., Ltd. | 68,765 | 311,196 | ||||||
ITC, Ltd. | 3,212,684 | 12,399,207 | ||||||
*Jaiprakash Power Ventures, Ltd. | 20,194 | 28,408 | ||||||
Jindal Steel & Power, Ltd. | 507,918 | 7,989,435 | ||||||
JSW Steel, Ltd. | 106,526 | 3,216,856 | ||||||
Jubilant Organosys, Ltd. | 34,862 | 247,354 | ||||||
*Kotak Mahindra Bank, Ltd. | 53,518 | 560,972 | ||||||
Larsen & Toubro, Ltd. | 282,173 | 12,860,404 | ||||||
LIC Housing Finance, Ltd. | 10,727 | 323,581 | ||||||
*Mahanagar Telephone Nigam, Ltd. | 64,598 | 98,192 | ||||||
Mahindra & Mahindra, Ltd. | 386,581 | 6,375,299 | ||||||
Mangalore Refinery & Petrochemicals, Ltd. | 399,619 | 732,796 | ||||||
Maruti Suzuki India, Ltd. | 101,304 | 3,543,877 | ||||||
Mundra Port & Special Economic Zone, Ltd. | 22,230 | 76,207 | ||||||
Nirma, Ltd. | 38,799 | 202,534 | ||||||
Oil & Natural Gas Corp, Ltd. | 52,307 | 1,537,407 | ||||||
*Oracle Financial Services Software, Ltd. | 14,000 | 697,696 | ||||||
Pantaloon Retail India, Ltd. | 7,460 | 79,304 | ||||||
Pantaloon Retail India, Ltd. Class B | 305 | 2,575 | ||||||
Piramal Healthcare, Ltd. | 21,029 | 226,252 | ||||||
Power Grid Corp of India, Ltd. | 21,633 | 48,876 | ||||||
Proctor & Gamble Hygiene & Health Care, Ltd. | 8,517 | 391,685 | ||||||
*Ranbaxy Laboratories, Ltd. | 160,997 | 2,105,933 | ||||||
Reliance Capital, Ltd. | 101,317 | 1,862,736 | ||||||
Reliance Communications, Ltd. | 783,625 | 3,171,195 | ||||||
Reliance Energy, Ltd. | 156,563 | 3,661,211 | ||||||
Reliance Industries, Ltd. | 1,898,511 | 46,866,998 | ||||||
*Reliance Power, Ltd. | 143,889 | 509,395 | ||||||
Sesa Goa, Ltd. | 481,490 | 3,497,926 | ||||||
Shriram Transport Finance Co., Ltd. | 3,821 | 75,914 | ||||||
Siemens India, Ltd. | 120,916 | 2,222,776 | ||||||
State Bank of India | 14,211 | 1,011,372 | ||||||
Sterlite Industries (India), Ltd. Series A | 1,725,980 | 6,607,980 | ||||||
Sun Pharmaceuticals Industries, Ltd. | 98,435 | 4,676,912 | ||||||
Sun TV Network, Ltd. | 10,627 | 119,202 | ||||||
Tata Consultancy Services, Ltd. | 641,575 | 15,223,695 | ||||||
Tata Power Co., Ltd. | 144,515 | 4,543,401 | ||||||
Tata Steel, Ltd. | 88,889 | 1,182,345 | ||||||
Thermax India, Ltd. | 6,201 | 121,021 | ||||||
*Torrent Power, Ltd. | 5,014 | 33,023 | ||||||
*Ultratech Cement, Ltd. | 3,600 | 88,971 | ||||||
United Spirits, Ltd. | 21,912 | 737,880 | ||||||
Wipro, Ltd. | 702,292 | 6,643,326 | ||||||
Zee Entertainment Enterprises, Ltd. | 56,254 | 351,888 | ||||||
*Zee Learn, Ltd. | 14,064 | 1,646 |
105
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
INDIA — (Continued) | ||||||||
Zydus Wellness, Ltd. | 11,485 | $ | 138,502 | |||||
TOTAL INDIA | 292,076,140 | |||||||
INDONESIA — (2.8%) | ||||||||
PT Adaro Energy Tbk | 5,833,000 | 1,376,136 | ||||||
PT Astra Agro Lestari Tbk | 222,000 | 620,719 | ||||||
PT Astra International Tbk | 2,821,561 | 18,065,369 | ||||||
*PT Bakrie & Brothers Tbk | 8,273,000 | 50,152 | ||||||
PT Bank Central Asia Tbk | 9,187,000 | 7,217,846 | ||||||
PT Bank Danamon Indonesia Tbk | 2,719,740 | 2,045,467 | ||||||
PT Bank Mandiri Persero Tbk | 3,631,000 | 2,854,379 | ||||||
PT Bank Negara Indonesia Persero Tbk | 87,000 | 38,039 | ||||||
*PT Bank Pan Indonesia Tbk | 8,080,000 | 1,013,495 | ||||||
PT Bank Rakyat Indonesia Persero Tbk | 3,283,000 | 4,203,140 | ||||||
*PT Bayan Resources Tbk | 13,000 | 18,336 | ||||||
PT Bumi Resources Tbk | 15,481,000 | 3,876,322 | ||||||
PT Gudang Garam Tbk | 225,500 | 1,206,451 | ||||||
PT Indo Tambangraya Megah Tbk | 195,500 | 991,392 | ||||||
PT Indocement Tunggal Prakarsa Tbk | 834,500 | 1,713,420 | ||||||
PT Indofood Sukses Makmur Tbk | 1,529,500 | 892,039 | ||||||
PT Indosat Tbk | 437,000 | 294,082 | ||||||
PT International Nickel Indonesia Tbk | 1,647,500 | 880,125 | ||||||
PT Kalbe Farma Tbk | 1,161,000 | 348,724 | ||||||
*PT Lippo Karawaci Tbk | 6,121,750 | 424,886 | ||||||
*PT Panasia Indosyntec Tbk | 75,100 | 1,975 | ||||||
PT Perusahaan Gas Negara Tbk | 6,456,000 | 2,936,748 | ||||||
PT Semen Gresik Persero Tbk | 2,263,000 | 2,488,030 | ||||||
PT Sinar Mas Agro Resources & Technology Tbk | 1,151,000 | 671,972 | ||||||
PT Tambang Batubara Bukit Asam Tbk | 502,000 | 1,106,140 | ||||||
PT Telekomunikasi Indonesia Tbk | 13,911,140 | 14,122,335 | ||||||
PT Unilever Indonesia Tbk | 2,195,000 | 4,299,114 | ||||||
PT United Tractors Tbk | 921,500 | 2,296,871 | ||||||
TOTAL INDONESIA | 76,053,704 | |||||||
ISRAEL — (0.0%) | ||||||||
IDB Holding Corp., Ltd. | — | 14 | ||||||
Koor Industries, Ltd. | 1 | 13 | ||||||
*Makhteshim-Agan Industries, Ltd. | 1 | 3 | ||||||
Osem Investments, Ltd. | 1 | 8 | ||||||
TOTAL ISRAEL | 38 | |||||||
MALAYSIA — (4.5%) | ||||||||
Affin Holdings Berhad | 312,600 | 323,835 | ||||||
Alliance Financial Group Berhad | 301,700 | 318,532 | ||||||
AMMB Holdings Berhad | 874,959 | 1,778,990 | ||||||
*Axiata Group Berhad | 3,534,575 | 5,111,758 | ||||||
Batu Kawan Berhad | 15,000 | 72,895 | ||||||
Berjaya Corp. Berhad | 734,800 | 255,757 | ||||||
*Berjaya Media Berhad | 18,300 | 3,019 | ||||||
*Berjaya Retail Berhad | 73,480 | 10,037 | ||||||
Berjaya Sports Toto Berhad | 803,464 | 1,078,358 | ||||||
Boustead Holdings Berhad | 159,460 | 288,354 | ||||||
British American Tobacco Malaysia Berhad | 182,600 | 2,731,784 | ||||||
CIMB Group Holdings Berhad | 5,354,954 | 14,300,384 | ||||||
Digi.Com Berhad | 460,862 | 3,756,327 | ||||||
*EON Capital Berhad | 175,500 | 394,060 | ||||||
Fraser & Neave Holdings Berhad | 61,000 | 284,128 | ||||||
Gamuda Berhad | 805,700 | 985,637 | ||||||
Genting Berhad | 2,860,800 | 9,617,406 | ||||||
Genting Malaysia Berhad | 4,155,100 | 4,684,840 |
106
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
MALAYSIA — (Continued) | ||||||||
Genting Plantations Berhad | 276,600 | $ | 764,113 | |||||
Hong Leong Bank Berhad | 681,850 | 2,004,807 | ||||||
Hong Leong Financial Group Berhad | 249,329 | 731,559 | ||||||
IJM Corp. Berhad | 336,560 | 609,700 | ||||||
IOI Corp. Berhad | 4,390,805 | 8,224,198 | ||||||
KLCC Property Holdings Berhad | 50,600 | 53,642 | ||||||
Kuala Lumpur Kepong Berhad | 631,400 | 4,021,407 | ||||||
Lafarge Malayan Cement Berhad | 259,580 | 668,504 | ||||||
Malayan Banking Berhad | 729,253 | 2,113,174 | ||||||
*Malaysian Airlines System Berhad | 1,198,734 | 848,918 | ||||||
MISC Berhad | 2,078,798 | 5,872,695 | ||||||
MMC Corp. Berhad | 1,087,200 | 1,077,521 | ||||||
Nestle (Malaysia) Berhad | 207,400 | 2,921,970 | ||||||
Oriental Holdings Berhad | 279,480 | 471,613 | ||||||
Parkson Holdings Berhad | 184,476 | 352,335 | ||||||
Petronas Dagangan Berhad | 360,700 | 1,267,066 | ||||||
Petronas Gas Berhad | 673,800 | 2,437,247 | ||||||
Plus Expressways Berhad | 2,201,100 | 3,116,166 | ||||||
PPB Group Berhad | 576,900 | 3,561,426 | ||||||
Public Bank Berhad | 67,739 | 277,162 | ||||||
Public Bank Berhad Foreign Market Shares | 1,377,501 | 5,653,359 | ||||||
RHB Capital Berhad | 525,900 | 1,358,593 | ||||||
Shell Refining Co. Federation of Malaysia Berhad | 225,400 | 771,098 | ||||||
Sime Darby Berhad | 3,457,620 | 9,829,409 | ||||||
SP Setia Berhad | 917,950 | 1,530,947 | ||||||
Star Publications (Malaysia) Berhad | 401,300 | 532,965 | ||||||
Telekom Malaysia Berhad | 1,623,900 | 1,777,893 | ||||||
Tenaga Nasional Berhad | 2,121,000 | 6,009,227 | ||||||
*UEM Land Holdings Berhad | 1,050,937 | 752,624 | ||||||
UMW Holdings Berhad | 729,066 | 1,588,386 | ||||||
YTL Corp. Berhad | 1,232,485 | 3,133,024 | ||||||
YTL Power International Berhad | 283,040 | 213,038 | ||||||
TOTAL MALAYSIA | 120,541,887 | |||||||
MEXICO — (6.7%) | ||||||||
America Movil S.A.B. de C.V. Series L | 23,307,621 | 66,725,332 | ||||||
America Movil S.A.B. de C.V. Series L ADR | 11,264 | 644,977 | ||||||
*Cementos de Mexico S.A.B de C.V. Series B | 278,511 | 244,723 | ||||||
*Cemex S.A.B. de C.V. Sponsored ADR | 13,000 | 114,010 | ||||||
#Coca-Cola Femsa S.A.B. de C.V. Series L | 375,300 | 2,993,768 | ||||||
*Corporacion Interamericana de Entramiento S.A.B. de C.V. Series B | 28,827 | 14,708 | ||||||
Corporativo Fragua S.A.B. de C.V. Series B | 21 | 204 | ||||||
El Puerto de Liverpool S.A.B. de C.V. | 247,800 | 1,424,629 | ||||||
#Fomento Economico Mexicano S.A.B. de C.V. Series B & D | 2,109,900 | 11,602,058 | ||||||
*Gruma S.A.B. de C.V. ADR | 43,594 | 342,213 | ||||||
#Grupo Carso S.A.B. de C.V. Series A-1 | 813,232 | 4,686,556 | ||||||
#Grupo Elektra S.A. de C.V. | 97,675 | 3,584,106 | ||||||
Grupo Financiero Banorte S.A.B. de C.V. | 1,923,829 | 8,230,959 | ||||||
#Grupo Financiero Inbursa S.A.B. de C.V. Series O | 908,264 | 3,927,867 | ||||||
#Grupo Industrial Bimbo S.A.B. de C.V. Series A | 529,400 | 4,089,688 | ||||||
Grupo Industrial Maseca S.A.B. de C.V. Series B | 229,000 | 239,793 | ||||||
Grupo Mexico S.A.B. de C.V. Series B | 4,075,517 | 13,426,630 | ||||||
Grupo Modelo S.A.B. de C.V. Series C | 790,400 | 4,429,517 | ||||||
*Grupo Nutrisa S.A. de C.V. | 129 | 404 | ||||||
*Grupo Qumma S.A. de C.V. Series B | 1,591 | 23 | ||||||
#Grupo Televisa S.A. de C.V. | 1,704,800 | 7,651,443 | ||||||
Grupo Televisa S.A. de C.V. Sponsored ADR | 109,820 | 2,465,459 | ||||||
#*Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. | 2,524,776 | 3,275,584 | ||||||
Industrias Penoles S.A.B. de C.V. | 136,138 | 3,858,346 | ||||||
Kimberly Clark de Mexico S.A.B. de C.V. Series A | 690,100 | 4,328,494 | ||||||
#Organizacion Soriana S.A.B. de C.V. Series B | 1,463,300 | 4,456,974 |
107
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
MEXICO — (Continued) | ||||||||
*Savia S.A. de C.V. | 120,000 | $ | 7,775 | |||||
Telefonos de Mexico S.A.B. de C.V. Series A | 200,000 | 150,632 | ||||||
Telefonos de Mexico S.A.B. de C.V. Series L | 6,919,800 | 5,363,013 | ||||||
#Wal-Mart de Mexico S.A.B. de C.V. Series V | 8,551,980 | 23,402,284 | ||||||
TOTAL MEXICO | 181,682,169 | |||||||
PERU — (0.4%) | ||||||||
*Cia de Minas Buenaventura S.A. ADR | 75,507 | 4,004,891 | ||||||
*Credicorp, Ltd. | 45,918 | 5,780,158 | ||||||
TOTAL PERU | 9,785,049 | |||||||
PHILIPPINES — (0.6%) | ||||||||
Aboitiz Equity Ventures, Inc. | 884,000 | 689,300 | ||||||
Aboitiz Power Corp. | 1,073,000 | 685,130 | ||||||
Ayala Corp. Series A | 252,483 | 2,360,435 | ||||||
Ayala Land, Inc. | 7,440,518 | 2,900,979 | ||||||
Banco de Oro Unibank, Inc. | 1,164,108 | 1,650,705 | ||||||
Bank of the Philippine Islands | 2,001,124 | 2,730,184 | ||||||
Energy Development Corp. | 1,212,500 | 169,217 | ||||||
*Filipina Water Bottling Corp. | 2,006,957 | — | ||||||
Manila Electric Co. | 15,000 | 77,159 | ||||||
Metro Bank & Trust Co. | 317,900 | 578,071 | ||||||
Philippine Long Distance Telephone Co. | 57,920 | 3,601,151 | ||||||
SM Prime Holdings, Inc. | 508,168 | 141,435 | ||||||
TOTAL PHILIPPINES | 15,583,766 | |||||||
POLAND — (1.4%) | ||||||||
Asseco Poland SA | 32,672 | 603,855 | ||||||
Bank Handlowy w Warszawie SA | 17,748 | 560,298 | ||||||
*Bank Millennium SA | 247,309 | 438,591 | ||||||
Bank Pekao SA | 163,030 | 10,641,315 | ||||||
*Bank Przemyslowo Handlowy BPH SA | 2,029 | 43,131 | ||||||
Bank Zackodni WBK SA | 35,352 | 2,613,027 | ||||||
*BRE Bank SA | 6,551 | 661,177 | ||||||
Browary Zywiec SA | 13,634 | 2,685,009 | ||||||
Cyfrowy Polsat SA | 10,560 | 51,877 | ||||||
*Getin Holdings SA | 155,860 | 584,348 | ||||||
*Grupa Lotos SA | 16,547 | 175,756 | ||||||
*ING Bank Slaski SA | 1,541 | 469,320 | ||||||
KGHM Polska Miedz SA | 61,000 | 2,739,490 | ||||||
*Kredyt Bank SA | 73,612 | 386,966 | ||||||
*Mondi Packaging Paper Swiecie SA | 12,683 | 348,977 | ||||||
PBG SA | 2,049 | 155,965 | ||||||
*Polski Koncern Naftowy Orlen SA | 267,237 | 3,768,063 | ||||||
Polskie Gornictwo Naftowe I Gazownictwo SA | 718,661 | 932,945 | ||||||
*Powszechna Kasa Oszczednosci Bank Polski SA | 267,637 | 4,222,504 | ||||||
Telekomunikacja Polska SA | 1,025,852 | 6,532,281 | ||||||
TVN SA | 91,082 | 572,903 | ||||||
TOTAL POLAND | 39,187,798 | |||||||
RUSSIA — (4.0%) | ||||||||
*Evraz Group SA GDR | 74,992 | 2,275,106 | ||||||
Gazprom OAO Sponsored ADR | 1,743,505 | 38,174,119 | ||||||
Gazpromneft JSC Sponsored ADR | 47,396 | 920,670 | ||||||
Lukoil OAO Sponsored ADR | 354,178 | 19,750,701 | ||||||
Magnitogorsk Iron & Steel Works Sponsored GDR | 111,820 | 1,395,299 | ||||||
MMC Norilsk Nickel JSC ADR | 597,703 | 11,123,431 | ||||||
Novolipetsk Steel OJSC GDR | 83,762 | 2,859,347 | ||||||
Novorossiysk Sea Trade Port GDR | 12,856 | 115,024 | ||||||
*Polymetal GDR | 64,567 | 1,020,308 |
108
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
RUSSIA — (Continued) | ||||||||
*Rosneft Oil Co. GDR | 1,184,101 | $ | 8,239,134 | |||||
*RusHydro Sponsored ADR | 773,445 | 3,997,220 | ||||||
*Severstal OAO GDR | 106,027 | 1,427,437 | ||||||
Surgutneftegas Sponsonsored ADR | 544,495 | 5,331,830 | ||||||
Tatneft Sponsored ADR | 29,354 | 924,302 | ||||||
*TMK OAO GDR | 43,610 | 856,760 | ||||||
Uralkali Sponsored GDR | 111,980 | 2,767,025 | ||||||
*VimpelCom, Ltd. Sponsored ADR | 10,000 | 153,300 | ||||||
VTB Bank OJSC GDR | 582,346 | 3,849,655 | ||||||
*X5 Retail Group NV GDR | 59,942 | 2,515,087 | ||||||
TOTAL RUSSIA | 107,695,755 | |||||||
SOUTH AFRICA — (7.9%) | ||||||||
ABSA Group, Ltd. | 362,514 | 7,022,910 | ||||||
Adcock Ingram Holdings, Ltd. | 1,836 | 17,018 | ||||||
African Bank Investments, Ltd. | 318,206 | 1,630,927 | ||||||
African Rainbow Minerals, Ltd. | 170,896 | 4,324,689 | ||||||
*Anglo American Platinum Corp., Ltd. | 86,386 | 8,242,335 | ||||||
#AngloGold Ashanti, Ltd. Sponsored ADR | 197,922 | 9,324,105 | ||||||
ArcelorMittal South Africa, Ltd. | 265,133 | 3,042,007 | ||||||
*Aspen Pharmacare Holdings, Ltd. | 72,465 | 965,336 | ||||||
Bidvest Group, Ltd. | 182,111 | 3,878,812 | ||||||
Data Tec, Ltd. | 6,420 | 31,888 | ||||||
Discovery Holdings, Ltd. | 391,199 | 2,203,542 | ||||||
Exxaro Resources, Ltd. | 83,898 | 1,578,461 | ||||||
FirstRand, Ltd. | 1,540,707 | 4,516,980 | ||||||
Freeworld Coatings, Ltd. | 88,329 | 128,011 | ||||||
Gold Fields, Ltd. Sponsored ADR | 425,086 | 6,703,606 | ||||||
Harmony Gold Mining Co., Ltd. | 255,844 | 2,938,075 | ||||||
#Harmony Gold Mining Co., Ltd. Sponsored ADR | 331,569 | 3,826,306 | ||||||
Impala Platinum Holdings, Ltd. | 478,692 | 13,514,497 | ||||||
Imperial Holdings, Ltd. | 9,026 | 147,498 | ||||||
Investec, Ltd. | 118,615 | 975,521 | ||||||
Kumba Iron Ore, Ltd. | 15,092 | 856,798 | ||||||
Liberty Holdings, Ltd. | 163,900 | 1,752,525 | ||||||
Massmart Holdings, Ltd. | 83,456 | 1,699,423 | ||||||
Mondi, Ltd. | 32,757 | 272,435 | ||||||
Mr. Price Group, Ltd. | 37,628 | 339,987 | ||||||
MTN Group, Ltd. | 1,659,950 | 29,395,910 | ||||||
Naspers, Ltd. Series N | 324,237 | 16,882,139 | ||||||
Nedbank Group, Ltd. | 55,383 | 1,034,275 | ||||||
Network Healthcare Holdings, Ltd. | 251,159 | 522,483 | ||||||
Pick’n Pay Stores, Ltd. | 288,558 | 1,898,360 | ||||||
Pretoria Portland Cement Co., Ltd. | 753,899 | 3,590,056 | ||||||
#PSG Group, Ltd. | 164,207 | 835,901 | ||||||
Sanlam, Ltd. | 961,639 | 3,600,520 | ||||||
#Sasol, Ltd. Sponsored ADR | 920,291 | 41,643,168 | ||||||
Shoprite Holdings, Ltd. | 596,920 | 8,440,689 | ||||||
Standard Bank Group, Ltd. | 861,864 | 12,676,857 | ||||||
Steinhoff International Holdings, Ltd. | 722,272 | 2,266,281 | ||||||
*Super Group, Ltd. | 2,619,768 | 223,978 | ||||||
Telkom South Africa, Ltd. | 374,552 | 1,935,150 | ||||||
Tiger Brands, Ltd. | 79,054 | 2,119,200 | ||||||
Truworths International, Ltd. | 186,043 | 1,834,088 | ||||||
Vodacom Group, Ltd. | 521,362 | 5,008,342 | ||||||
Woolworths Holdings, Ltd. | 130,252 | 510,354 | ||||||
TOTAL SOUTH AFRICA | 214,351,443 | |||||||
SOUTH KOREA — (12.0%) | ||||||||
Amorepacific Corp. | 3,527 | 3,263,178 | ||||||
#Cheil Industrial, Inc. | 20,690 | 1,740,051 |
109
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH KOREA — (Continued) | ||||||||
#Daewoo Engineering & Construction Co., Ltd. | 161,378 | $ | 1,512,554 | |||||
#Daewoo International Corp. | 48,663 | 1,517,389 | ||||||
Daewoo Securities Co., Ltd. | 103,195 | 2,243,609 | ||||||
*Daewoo Shipbuilding & Marine Engineering Co., Ltd. | 135,170 | 3,597,467 | ||||||
Doosan Heavy Industries & Construction Co., Ltd. | 14,950 | 1,178,291 | ||||||
*Doosan Infracore Co., Ltd. | 82,000 | 2,029,201 | ||||||
Glovis Co., Ltd. | 6,360 | 901,786 | ||||||
GS Engineering & Construction Corp. | 27,320 | 2,321,724 | ||||||
GS Holdings Corp. | 42,945 | 2,254,590 | ||||||
Hana Financial Group, Inc. | 112,261 | 3,189,988 | ||||||
#Hankook Tire Manufacturing Co., Ltd. | 84,420 | 2,198,880 | ||||||
Hite Brewery Co., Ltd. | 671 | 74,825 | ||||||
#*Hynix Semiconductor, Inc. | 163,310 | 3,363,376 | ||||||
Hyundai Department Store Co., Ltd. | 979 | 108,495 | ||||||
*Hyundai Development Co. | 12,558 | 353,186 | ||||||
#Hyundai Heavy Industries Co., Ltd. | 47,395 | 15,460,234 | ||||||
#Hyundai Merchant Marine Co., Ltd. | 24,600 | 870,635 | ||||||
Hyundai Mobis | 53,070 | 13,216,066 | ||||||
Hyundai Motor Co., Ltd. | 95,919 | 14,520,680 | ||||||
Hyundai Steel Co. | 58,560 | 5,686,192 | ||||||
Industrial Bank of Korea, Ltd. | 78,210 | 1,123,802 | ||||||
Kangwon Land, Inc. | 134,910 | 3,177,062 | ||||||
KB Financial Group, Inc. | 139,085 | 6,192,774 | ||||||
KCC Corp. | 6,489 | 2,151,809 | ||||||
Kia Motors Corp. | 225,130 | 9,007,785 | ||||||
*Korea Electric Power Corp. | 295,290 | 7,772,156 | ||||||
Korea Exchange Bank | 200,200 | 2,386,496 | ||||||
Korea Gas Corp. | 33,003 | 1,352,147 | ||||||
KT Corp. | 164,040 | 6,463,188 | ||||||
KT&G Corp. | 103,590 | 6,368,452 | ||||||
#LG Chemical, Ltd. | 32,392 | 10,023,148 | ||||||
LG Corp. | 122,942 | 8,795,477 | ||||||
LG Display Co., Ltd. ADR | 128,466 | 2,210,900 | ||||||
#*LG Electronics, Inc. | 88,910 | 7,829,137 | ||||||
#LG Household & Healthcare Co., Ltd. | 5,120 | 1,710,478 | ||||||
LS Industrial Systems Co., Ltd. | 1,000 | 80,274 | ||||||
#NCsoft Corp. | 4,529 | 997,644 | ||||||
OCI Co., Ltd. | 780 | 229,727 | ||||||
#POSCO | 46,060 | 19,010,253 | ||||||
Samsung Card Co., Ltd. | 23,720 | 1,135,103 | ||||||
Samsung Corp. | 100,930 | 5,927,363 | ||||||
#Samsung Electro-Mechanics Co., Ltd. | 37,767 | 4,149,006 | ||||||
Samsung Electronics Co., Ltd. | 97,139 | 64,444,531 | ||||||
Samsung Electronics Co., Ltd. GDR | 49,372 | 16,479,096 | ||||||
Samsung Engineering Co., Ltd. | 6,628 | 1,059,239 | ||||||
Samsung Fire & Marine Insurance, Ltd. | 35,022 | 6,006,021 | ||||||
Samsung Heavy Industries Co., Ltd. | 126,000 | 3,540,789 | ||||||
Samsung SDI Co., Ltd. | 20,352 | 2,795,515 | ||||||
Samsung Securities Co., Ltd. | 33,780 | 1,934,812 | ||||||
#Samsung Techwin Co., Ltd. | 7,702 | 720,016 | ||||||
Shinhan Financial Group Co., Ltd. | 218,686 | 8,471,941 | ||||||
Shinhan Financial Group Co., Ltd. ADR | 16,770 | 1,304,203 | ||||||
Shinsegae Co., Ltd. | 12,596 | 6,385,555 | ||||||
SK Co., Ltd. | 21,194 | 2,208,364 | ||||||
SK Energy Co., Ltd. | 51,889 | 6,982,563 | ||||||
SK Telecom Co., Ltd. | 49,971 | �� | 7,605,864 | |||||
S-Oil Corp. | 47,310 | 2,921,026 | ||||||
STX Pan Ocean Co., Ltd. | 30,480 | 324,603 | ||||||
Woongjin Coway Co., Ltd. | 13,260 | 481,177 | ||||||
TOTAL SOUTH KOREA | 323,361,893 | |||||||
110
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (10.8%) | ||||||||
#Acer, Inc. | 2,805,040 | $ | 8,168,584 | |||||
#Advanced Semiconductor Engineering, Inc. | 3,289,702 | 2,862,674 | ||||||
Advantech Co., Ltd. | 132,000 | 360,413 | ||||||
#Asia Cement Corp. | 2,513,316 | 2,589,050 | ||||||
#Asustek Computer, Inc. | 445,230 | 3,613,006 | ||||||
*AU Optronics Corp. | 1,332,873 | 1,329,796 | ||||||
*AU Optronics Corp. Sponsored ADR | 353,406 | 3,544,662 | ||||||
#Catcher Technology Co., Ltd. | 302,429 | 805,407 | ||||||
Cathay Financial Holdings Co., Ltd. | 3,891,738 | 5,948,773 | ||||||
#Chang Hwa Commercial Bank | 2,229,000 | 1,472,826 | ||||||
#Cheng Shin Rubber Industry Co., Ltd. | 1,348,486 | 3,005,740 | ||||||
Chicony Electronics Co., Ltd. | 232,436 | 511,848 | ||||||
*Chimei Innolux Corp. | 3,192,818 | 4,284,446 | ||||||
*China Airlines, Ltd. | 1,086,000 | 846,919 | ||||||
China Development Financial Holding Corp. | 4,762,150 | 1,415,336 | ||||||
China Life Insurance Co., Ltd. | 671,420 | 544,841 | ||||||
China Steel Corp. | 9,036,342 | 9,152,632 | ||||||
Chinatrust Financial Holdings Co., Ltd. | 3,493,931 | 2,181,221 | ||||||
Chunghwa Telecom Co., Ltd. ADR | 245,647 | 5,748,140 | ||||||
*Chungwa Picture Tubes Co., Ltd. | 2,091,415 | 315,748 | ||||||
Clevo Co. | 258,643 | 569,658 | ||||||
#Compal Electronics, Inc. | 3,781,541 | 4,824,575 | ||||||
Delta Electronics, Inc. | 1,812,366 | 7,487,315 | ||||||
E.Sun Financial Holding Co., Ltd. | 1,957,668 | 1,005,506 | ||||||
#Epistar Corp. | 396,000 | 1,267,353 | ||||||
*Eva Airways Corp. | 856,000 | 865,152 | ||||||
*Evergreen Marine Corp., Ltd. | 751,869 | 626,614 | ||||||
#Everlight Electronics Co., Ltd. | 163,942 | 453,569 | ||||||
Far Eastern Department Stores Co., Ltd. | 390,525 | 484,694 | ||||||
#Far Eastern New Century Corp. | 4,246,987 | 6,108,363 | ||||||
Far EasTone Telecommunications Co., Ltd. | 815,000 | 1,173,701 | ||||||
#Farglory Land Development Co., Ltd. | 134,229 | 333,088 | ||||||
First Financial Holding Co., Ltd. | 5,340,838 | 3,522,457 | ||||||
Formosa Chemicals & Fiber Co., Ltd. | 4,232,445 | 12,103,668 | ||||||
Formosa Plastics Corp. | 5,051,648 | 14,473,970 | ||||||
Formosa Taffeta Co., Ltd. | 605,000 | 550,193 | ||||||
#Foxconn Technology Co., Ltd. | 780,661 | 2,434,815 | ||||||
Fubon Financial Holding Co., Ltd. | 6,236,758 | 7,629,915 | ||||||
Giant Manufacture Co., Ltd. | 86,506 | 339,743 | ||||||
#*HannStar Display Corp. | 1,381,000 | 276,139 | ||||||
#Highwealth Construction Corp. | 213,000 | 380,379 | ||||||
Hon Hai Precision Industry Co., Ltd. | 5,190,997 | 19,632,544 | ||||||
Hotai Motor Co., Ltd. | 387,000 | 1,126,012 | ||||||
#HTC Corp. | 553,558 | 12,553,253 | ||||||
Hua Nan Financial Holding Co., Ltd. | 5,681,066 | 3,745,086 | ||||||
#*Inotera Memories, Inc. | 674,976 | 330,763 | ||||||
Inventec Corp. | 1,819,358 | 956,769 | ||||||
Kinsus Interconnect Technology Corp. | 120,000 | 326,552 | ||||||
Largan Precision Co., Ltd. | 52,860 | 1,049,039 | ||||||
Lite-On Technology Corp. | 1,210,798 | 1,599,330 | ||||||
#Macronix International Co., Ltd. | 2,074,825 | 1,275,917 | ||||||
#Media Tek, Inc. | 736,995 | 9,271,650 | ||||||
Mega Financial Holding Co., Ltd. | 4,782,000 | 3,315,348 | ||||||
Nan Ya Plastic Corp. | 6,817,564 | 15,144,810 | ||||||
#Nan Ya Printed Circuit Board Corp. | 200,940 | 820,722 | ||||||
#*Nanya Technology Corp. | 185,000 | 110,686 | ||||||
#Novatek Microelectronics Corp., Ltd. | 276,000 | 804,728 | ||||||
*Pegatron Corp. | 1,198,345 | 1,622,109 | ||||||
Polaris Securities Co., Ltd. | 465,000 | 258,252 | ||||||
Pou Chen Corp. | 2,047,487 | 1,940,216 | ||||||
Powertech Technology, Inc. | 339,836 | 1,123,128 |
111
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (Continued) | ||||||||
#President Chain Store Corp. | 834,831 | $ | 3,311,242 | |||||
*Qisda Corp. | 728,000 | 507,995 | ||||||
#Realtek Semiconductor Corp. | 223,210 | 529,255 | ||||||
#Richtek Technology Corp. | 74,550 | 586,024 | ||||||
Ruentex Development Co., Ltd. | 251,000 | 415,384 | ||||||
#Ruentex Industries, Ltd. | 239,000 | 683,146 | ||||||
*Shin Kong Financial Holding Co., Ltd. | 2,815,657 | 1,035,282 | ||||||
#Siliconware Precision Industries Co. | 2,347,324 | 2,581,701 | ||||||
SinoPac Holdings Co., Ltd. | 3,524,000 | 1,327,783 | ||||||
#Synnex Technology International Corp. | 1,019,756 | 2,497,594 | ||||||
*Taishin Financial Holdings Co., Ltd. | 2,099,122 | 918,099 | ||||||
*Taiwan Business Bank | 826,800 | 275,300 | ||||||
Taiwan Cement Corp. | 2,415,895 | 2,568,825 | ||||||
Taiwan Cooperative Bank | 3,297,397 | 2,355,231 | ||||||
Taiwan Fertilizer Co., Ltd. | 421,000 | 1,435,503 | ||||||
Taiwan Glass Industrial Corp. | 1,310,476 | 1,584,985 | ||||||
Taiwan Mobile Co., Ltd. | 47,000 | 104,776 | ||||||
#Taiwan Semiconductor Manufacturing Co., Ltd. | 22,386,808 | 46,056,661 | ||||||
#*Tatung Co., Ltd. | 619,000 | 145,899 | ||||||
Transcend Information, Inc. | 131,181 | 325,915 | ||||||
#Tripod Technology Corp. | 217,000 | 832,626 | ||||||
Tung Ho Steel Enterprise Corp. | 7,000 | 6,545 | ||||||
U-Ming Marine Transport Corp. | 648,860 | 1,335,962 | ||||||
Unimicron Technology Corp. | 769,896 | 1,307,270 | ||||||
Uni-President Enterprises Corp. | 3,845,980 | 4,998,171 | ||||||
United Microelectronics Corp. | 7,733,000 | 3,709,399 | ||||||
*Walsin Lihwa Corp. | 1,287,000 | 770,860 | ||||||
*Wan Hai Lines Co., Ltd. | 202,000 | 148,239 | ||||||
#*Wintek Corp. | 528,000 | 890,119 | ||||||
Wistron Corp. | 1,314,716 | 2,704,886 | ||||||
#WPG Holdings Co., Ltd. | 461,349 | 857,780 | ||||||
*Yang Ming Marine Transport Corp. | 748,000 | 569,206 | ||||||
#Young Fast Optoelectronics Co., Ltd. | 50,295 | 592,189 | ||||||
Yuanta Financial Holding Co., Ltd. | 3,090,885 | 1,941,045 | ||||||
Yulon Motor Co., Ltd. | 310,000 | 607,169 | ||||||
TOTAL TAIWAN | 293,137,909 | |||||||
THAILAND — (1.9%) | ||||||||
Advance Info Service PCL (Foreign) | 1,464,700 | 4,397,031 | ||||||
Bangkok Bank PCL (Foreign) | 329,000 | 1,695,480 | ||||||
Bangkok Bank PCL (Foreign) NVDR | 286,400 | 1,423,402 | ||||||
Bangkok Dusit Medical Services PCL (Foreign) | 82,900 | 111,298 | ||||||
Bank of Ayudhya PCL (Foreign) | 2,590,200 | 2,082,182 | ||||||
Banpu PCL (Foreign) | 115,100 | 2,994,596 | ||||||
BEC World PCL (Foreign) | 1,032,600 | 1,145,228 | ||||||
C.P. ALL PCL (Foreign) | 2,198,700 | 3,263,581 | ||||||
Charoen Pokphand Foods PCL (Foreign) | 3,734,900 | 2,902,707 | ||||||
Delta Electronics (Thailand) PCL (Foreign) | 167,810 | 177,717 | ||||||
Glow Energy PCL (Foreign) | 119,000 | 197,473 | ||||||
IRPC PCL (Foreign) | 4,240,300 | 599,696 | ||||||
Kasikornbank PCL (Foreign) | 1,612,200 | 6,775,757 | ||||||
Krung Thai Bank PCL (Foreign) | 4,726,870 | 2,664,580 | ||||||
Land & Houses PCL (Foreign) NVDR | 790,000 | 184,456 | ||||||
PTT Aromatics & Refining PCL (Foreign) | 1,287,137 | 1,277,262 | ||||||
PTT Chemical PCL (Foreign) | 517,460 | 2,433,684 | ||||||
PTT Exploration & Production PCL (Foreign) | 592,000 | 3,376,651 | ||||||
PTT PCL (Foreign) | 649,900 | 6,568,369 | ||||||
Ratchaburi Electricity Generating Holding PCL (Foreign) | 864,300 | 1,052,267 | ||||||
Siam Cement PCL (Foreign) (The) | 117,100 | 1,285,053 | ||||||
Siam Cement PCL (Foreign) NVDR (The) | 41,600 | 438,479 | ||||||
Siam City Cement PCL (Foreign) | 123,813 | 953,996 |
112
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
THAILAND — (Continued) | ||||||||
Siam Commercial Bank PCL (Foreign) | 1,001,366 | $ | 3,423,616 | |||||
Siam Makro PCL (Foreign) | 42,900 | 194,610 | ||||||
Thai Oil PCL (Foreign) | 196,000 | 346,498 | ||||||
*TMB Bank PCL (Foreign) | 3,780,000 | 284,950 | ||||||
TOTAL THAILAND | 52,250,619 | |||||||
TURKEY — (2.4%) | ||||||||
Akbank T.A.S. | 1,429,079 | 8,858,638 | ||||||
Anadolu Efes Biracilik ve Malt Sanayi A.S. | 298,953 | 4,712,972 | ||||||
Asya Katilim Bankasi A.S. | 151,578 | 386,226 | ||||||
BIM BirlesikMagazalar A.S. | 35,088 | 1,204,296 | ||||||
*Dogan Sirketler Grubu Holdings A.S. | 399,572 | 286,034 | ||||||
*Dogan Yayin Holding A.S. | 3 | 3 | ||||||
Enka Insaat ve Sanayi A.S. | 373,689 | 1,686,705 | ||||||
*Eregli Demir ve Celik Fabrikalari Turk A.S. | 581,062 | 2,149,895 | ||||||
Ford Otomotiv Sanayi A.S. | 114,792 | 1,006,121 | ||||||
Koc Holding A.S. Series B | 775,171 | 3,648,873 | ||||||
Tupras Turkiye Petrol Rafinerileri A.S. | 172,862 | 4,595,995 | ||||||
*Turk Hava Yollari A.S. | 150,171 | 616,429 | ||||||
Turkcell Iletisim Hizmetleri A.S. | 240,093 | 1,718,123 | ||||||
Turkiye Garanti Bankasi A.S. | 2,842,585 | 17,159,207 | ||||||
Turkiye Halk Bankasi A.S. | 139,950 | 1,390,208 | ||||||
Turkiye Is Bankasi A.S. | 2,088,220 | 9,246,296 | ||||||
Turkiye Vakiflar Bankasi T.A.O. | 385,861 | 1,224,849 | ||||||
*Yapi ve Kredi Bankasi A.S. | 1,249,137 | 4,711,526 | ||||||
TOTAL TURKEY | 64,602,396 | |||||||
TOTAL COMMON STOCKS | 2,289,520,662 | |||||||
PREFERRED STOCKS — (8.7%) | ||||||||
BRAZIL — (8.7%) | ||||||||
*AES Tiete SA | 7,400 | 102,711 | ||||||
Banco Bradesco SA | 1,584,132 | 32,459,659 | ||||||
*Brasil Telecom SA | 436,993 | 3,210,047 | ||||||
*Brasil Telecom SA ADR | 14,349 | 316,395 | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar SA Sponsored ADR Series A | 70,200 | 2,780,622 | ||||||
Cia de Bebidas das Americas SA | 83 | 11,375 | ||||||
Cia de Bebidas das Americas SA Preferred ADR | 151,600 | 21,108,784 | ||||||
*Cia de Transmissao de Energia Electrica Paulista Series A | 2,300 | 71,206 | ||||||
Cia Energetica de Minas Gerais SA | 450,721 | 7,899,480 | ||||||
Empresa Nasional de Comercio Redito e Participacoes SA | 480 | 4,727 | ||||||
Gerdau SA | 756,268 | 9,714,105 | ||||||
Itau Unibanco Holding SA | 1,765,755 | 42,682,192 | ||||||
#Itau Unibanco Holding SA ADR | 271,346 | 6,664,258 | ||||||
Lojas Americanas SA | 16,500 | 176,519 | ||||||
Petroleo Brasilerio SA ADR | 1,376,550 | 42,934,594 | ||||||
Tele Norte Leste Participacoes SA | 180,034 | 2,756,152 | ||||||
Tele Norte Leste Participacoes SA ADR | 127,600 | 1,957,384 | ||||||
Telecomunicacoes de Sao Paulo SA | 96,700 | 2,316,978 | ||||||
*Telemar Norte Leste SA | 33,612 | 952,831 | ||||||
Ultrapar Participacoes SA Sponsored ADR | 63,577 | 3,944,953 | ||||||
Usinas Siderurgicas de Minas Gerais SA Series A | 387,924 | 4,864,165 | ||||||
Vale SA Series A | 1,412,691 | 39,672,996 | ||||||
*Vale SA Series B | 81,160 | — | ||||||
Vale SA Sponsored ADR | 166,500 | 4,783,545 | ||||||
Vivo Participacoes SA | 134,958 | 3,865,468 | ||||||
TOTAL BRAZIL | 235,251,146 | |||||||
TOTAL PREFERRED STOCKS | 235,251,146 | |||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||
CHINA — (0.0%) | ||||||||
#*HKC Holdings, Ltd. Warrants 06/09/11 | 240,163 | 1,797 |
113
THE EMERGING MARKETS SERIES
CONTINUED
Shares | Value†† | |||||||
CHINA — (Continued) | ||||||||
#*Hong Kong Energy Holdings, Ltd. Warrants 06/09/11 | 14,555 | $ | 135 | |||||
TOTAL CHINA | 1,932 | |||||||
TAIWAN — (0.0%) | ||||||||
*Shin Kong Financial Holding Co., Ltd. Rights 11/25/10 | 161,687 | 6,600 | ||||||
TOTAL RIGHTS/WARRANTS | 8,532 | |||||||
Face Amount | Value† | |||||||
(000) | ||||||||
TEMPORARY CASH INVESTMENTS — (0.6%) | ||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by $13,610,000 FHLMC 5.00%, 10/15/19, valued at $15,396,313) to be repurchased at $15,165,240 | $15,165 | 15,165,000 | ||||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (6.0%) | ||||||||
§@DFA Short Term Investment Fund | 162,574,034 | 162,574,034 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by $42,295,271 FNMA 7.000%, 08/01/38, valued at $906,014)## to be repurchased at $888,265 | $ | 888 | 888,249 | |||||
TOTAL SECURITIES LENDING COLLATERAL | 163,462,283 | |||||||
TOTAL INVESTMENTS — (100.0%) | $ | 2,703,407,623 | ||||||
114
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value†† | |||||||
COMMON STOCKS — (88.0%) | ||||||||
ARGENTINA — (0.0%) | ||||||||
Ferrum SA de Ceramica y Metalurgica Series B | 1 | $ | — | |||||
BRAZIL — (7.5%) | ||||||||
Acos Villares SA | 2,342,500 | 1,157,266 | ||||||
AES Tiete SA | 53,900 | 629,885 | ||||||
*All America Latina Logistica SA | 68,850 | 651,125 | ||||||
*Amil Participacoes SA | 204,808 | 2,059,764 | ||||||
Anhanguera Educacional Participacoes SA | 168,300 | 3,286,220 | ||||||
B2W Cia Global Do Varejo | 123,200 | 2,238,221 | ||||||
Banco ABC Brasil SA | 95,764 | 881,437 | ||||||
Banco Alfa de Investimento SA | 700 | 3,141 | ||||||
Banco Daycoval SA | 42,300 | 298,536 | ||||||
Banco Industrial e Comercial SA | 123,220 | 1,159,513 | ||||||
*Banco Mercantil do Brasil SA | 1,327 | 11,434 | ||||||
Banco Panamericano SA | 111,500 | 497,727 | ||||||
Banco Pine SA | 62,500 | 534,832 | ||||||
Banco Sofisa SA | 92,600 | 288,643 | ||||||
Bematech SA | 68,200 | 399,100 | ||||||
*Bombril SA | 17,600 | 93,160 | ||||||
BR Malls Participacoes SA | 567,258 | 5,327,948 | ||||||
Brasil Brokers Participacoes SA | 162,800 | 889,497 | ||||||
*Brasil Ecodiesel Industria e Comercio de Biocombustiveis e Oleos Vegetais SA | 1,047,720 | 665,493 | ||||||
Brookfield Incorporacoes SA | 461,562 | 2,489,280 | ||||||
Camargo Correa Desenvolvimento Imobiliario SA | 89,936 | 430,559 | ||||||
Cia de Gas de Sao Paulo SA | 36,300 | 774,975 | ||||||
#Cia de Saneamento Basico do Estado de Sao Paulo ADR | 33,100 | 1,521,276 | ||||||
Cia de Saneamento de Minas Gerais-Copasa | 89,800 | 1,376,866 | ||||||
Cia de Saneamento do Parana | 176,900 | 305,879 | ||||||
*Cia Energetica de Sao Paulo SA | 159,900 | 2,501,523 | ||||||
Cia Hering SA | 45,750 | 2,253,194 | ||||||
Contax Participacoes SA | 2,500 | 47,051 | ||||||
Cosan SA Industria e Comercio | 62,800 | 997,605 | ||||||
CR2 Empreendimentos Imobiliarios SA | 6,600 | 25,774 | ||||||
Cremer SA | 56,596 | 600,477 | ||||||
*Cyrela Brazil Realty SA Empreendimentos e Participacoes | 123,033 | 1,691,767 | ||||||
Diagnosticos Da America SA | 507,200 | 6,159,901 | ||||||
Drogasil SA | 51,616 | 1,329,333 | ||||||
Duratex SA | 624,462 | 7,198,409 | ||||||
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA | 162,200 | 2,814,150 | ||||||
Energias do Brazil SA | 71,502 | 1,553,002 | ||||||
*Equatorial Energia SA | 71,300 | 493,561 | ||||||
*Estacio Participacoes SA | 39,200 | 583,285 | ||||||
Eternit SA | 188,589 | 1,134,662 | ||||||
Even Construtora e Incorporadora SA | 253,250 | 1,420,929 | ||||||
EZ Tec Empreendimentos e Participacoes SA | 103,758 | 738,383 | ||||||
*Fertilizantes Fosfatados SA | 123,100 | 1,387,165 | ||||||
Gafisa SA | 377,400 | 3,109,671 | ||||||
#Gafisa SA ADR | 180,131 | 3,024,399 | ||||||
*General Shopping Brasil SA | 53,917 | 398,915 | ||||||
*Globex Utilidades SA | 58,737 | 514,722 | ||||||
#*Gol Linhas Aereas Inteligentes SA ADR | 137,727 | 2,429,504 | ||||||
Grendene SA | 201,494 | 1,045,214 | ||||||
Guararapes Confeccoes SA | 12,300 | 643,828 | ||||||
Helbor Empreendimentos SA | 50,524 | 573,495 | ||||||
*IdeiasNet SA | 234,800 | 521,993 | ||||||
Iguatemi Empresa de Shopping Centers SA | 64,800 | 1,515,671 | ||||||
Industrias Romi SA | 77,500 | 643,592 | ||||||
*Inepar SA Industria e Construcoes | 32,940 | 102,290 | ||||||
*Inpar SA | 525,100 | 1,003,691 |
115
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
BRAZIL — (Continued) | ||||||||
*Iochpe-Maxion SA | 69,580 | $ | 1,006,686 | |||||
JHSF Participacoes SA | 178,500 | 323,343 | ||||||
*Joao Fortes Engenharia SA | 37,300 | 269,829 | ||||||
*Kepler Weber SA | 1,804,000 | 392,566 | ||||||
*Kroton Educacional SA | 52,867 | 545,678 | ||||||
Light SA | 199,200 | 2,509,477 | ||||||
*LLX Logistica SA | 488,125 | 2,675,601 | ||||||
Localiza Rent a Car SA | 232,600 | 3,850,903 | ||||||
*Lojas Renner SA | 273,700 | 10,859,144 | ||||||
*LPS Brasil Consultoria de Imoveis SA | 52,324 | 1,145,693 | ||||||
*Lupatech SA | 34,700 | 428,571 | ||||||
M Dias Branco SA | 44,100 | 1,115,274 | ||||||
*M&G Poliester SA | 640,780 | 56,529 | ||||||
*Magnesita Refratarios SA | 538,604 | 3,554,159 | ||||||
Marfrig Alimentos SA | 210,300 | 1,875,050 | ||||||
Marisa Lojas SA | 63,775 | 1,027,722 | ||||||
Metalfrio Solutions SA | 1,900 | 13,946 | ||||||
*Minerva SA | 73,658 | 263,822 | ||||||
*MMX Mineracao e Metalicos SA | 330,084 | 2,655,737 | ||||||
*MPX Energia SA | 69,700 | 1,166,654 | ||||||
MRV Engenharia e Participacoes SA | 300,000 | 2,920,073 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 82,900 | 1,925,378 | ||||||
Natura Cosmeticos SA | 64,136 | 1,833,212 | ||||||
Obrascon Huarte Lain Brasil SA | 45,600 | 1,545,835 | ||||||
OdontoPrev SA | 192,800 | 2,834,794 | ||||||
Parana Banco SA | 29,200 | 211,062 | ||||||
*Paranapanema SA | 355,521 | 1,124,921 | ||||||
PDG Realty SA Empreendimentos e Participacoes | 459,817 | 5,692,612 | ||||||
*Plascar Participacoes Industriais SA | 155,200 | 350,508 | ||||||
Porto Seguro SA | 261,800 | 3,820,066 | ||||||
Positivo Informatica SA | 50,900 | 483,465 | ||||||
Profarma Distribuidora de Produtos Farmaceuticos SA | 17,400 | 169,876 | ||||||
*Redentor Energia SA | 32,500 | 148,518 | ||||||
*Restoque Comercio e Confeccoes de Roupas SA | 13,800 | 116,062 | ||||||
Rodobens Negocios Imobiliarios SA | 31,840 | 329,579 | ||||||
Rossi Residencial SA | 352,090 | 3,451,944 | ||||||
Santos Brasil Participacoes SA | 23,500 | 315,121 | ||||||
Sao Carlos Empreendimentos e Participacoes SA | 52,700 | 552,942 | ||||||
Sao Martinho SA | 83,812 | 1,005,074 | ||||||
Sao Paulo Alpargatas SA | 102,000 | 692,578 | ||||||
SLC Agricola SA | 99,300 | 1,226,431 | ||||||
Springs Global Participacoes SA | 94,700 | 231,139 | ||||||
Sul America SA | 344,448 | 4,049,589 | ||||||
TAM SA Sponsored ADR | 38,100 | 939,927 | ||||||
Tecnisa SA | 36,600 | 223,866 | ||||||
Tegma Gestao Logistica | 32,935 | 406,385 | ||||||
*Tempo Participacoes SA | 41,700 | 141,019 | ||||||
*Tereos Internacional SA | 91,900 | 225,386 | ||||||
Terna Participacoes SA | 3,800 | 75,964 | ||||||
Totvs SA | 49,764 | 4,516,018 | ||||||
Trisul SA | 8,038 | 37,346 | ||||||
Universo Online SA | 72,700 | 438,261 | ||||||
Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao SA | 77,400 | 866,272 | ||||||
TOTAL BRAZIL | 155,066,540 | |||||||
CHILE — (2.5%) | ||||||||
AFP Cuprum SA | 1,398 | 69,021 | ||||||
Aguas Andinas SA Series A | 748,702 | 371,175 | ||||||
Almendral SA | 1,445,104 | 171,350 | ||||||
Banmedica SA | 1,312,094 | 2,078,857 | ||||||
Besalco SA | 270,428 | 414,640 |
116
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
CHILE — (Continued) | ||||||||
Cementos Bio-Bio SA | 452,622 | $ | 1,313,959 | |||||
Cia Cervecerias Unidas SA | 204,100 | 2,282,256 | ||||||
Cia Cervecerias Unidas SA ADR | 11,200 | 630,000 | ||||||
Cia General de Electricidad SA | 72,464 | 456,131 | ||||||
*Cia SudAmericana de Vapores SA | 2,745,213 | 3,659,947 | ||||||
Cintac SA | 324,650 | 258,844 | ||||||
Corpbanca SA | 285,638,523 | 4,493,486 | ||||||
#Corpbanca SA ADR | 31,658 | 2,470,590 | ||||||
Cristalerias de Chile SA | 156,836 | 2,118,080 | ||||||
*E.CL SA | 410,964 | 1,098,929 | ||||||
Embotelladora Andina SA Series A ADR | 248 | 5,972 | ||||||
Embotelladora Andina SA Series B | 431,663 | 2,136,121 | ||||||
Embotelladora Andina SA Series B ADR | 900 | 26,352 | ||||||
Empresa Electrica Pilmaiquen SA | 60,267 | 268,075 | ||||||
*Empresas Iansa SA | 6,287,667 | 717,397 | ||||||
*Empresas La Polar SA | 801,254 | 5,715,006 | ||||||
ENTEL Chile SA | 85,352 | 1,356,436 | ||||||
Farmacias Ahumada SA | 249,596 | 735,240 | �� | |||||
Forus SA | 69,630 | 173,666 | ||||||
Gasco SA | 76,171 | 487,407 | ||||||
*Grupo Security SA | 136,267 | 67,138 | ||||||
Industrias Forestales SA | 20,000 | 4,825 | ||||||
Inversiones Aguas Metropolitanas SA | 1,598,644 | 2,483,838 | ||||||
*Invertec Pesquera Mar de Chiloe SA | 87,162 | 59,974 | ||||||
Madeco SA | 27,103,448 | 1,578,610 | ||||||
*Masisa SA | 8,936,076 | 1,469,707 | ||||||
*Multiexport Foods SA | 1,414,508 | 633,442 | ||||||
Parque Arauco SA | 1,055,338 | 2,233,869 | ||||||
*PAZ Corp. SA | 125,784 | 107,745 | ||||||
Ripley Corp SA | 1,237,107 | 1,728,131 | ||||||
Salfacorp SA | 354,454 | 1,033,109 | ||||||
Sigdo Koppers SA | 259,627 | 528,383 | ||||||
Socovesa SA | 1,370,698 | 865,545 | ||||||
Sonda SA | 951,577 | 2,060,923 | ||||||
Soquimic Comercial SA | 562,478 | 274,817 | ||||||
Vina Concha Y Toro SA | 1,210,803 | 2,943,651 | ||||||
Vina Concha Y Toro SA Sponsored ADR | 1,725 | 82,748 | ||||||
Vina San Pedro Tarapaca SA | 40,113,498 | 360,009 | ||||||
TOTAL CHILE | 52,025,401 | |||||||
CHINA — (12.2%) | ||||||||
#*361 Degrees International, Ltd. | 1,054,000 | 1,023,897 | ||||||
#A8 Digital Music Holdings, Ltd. | 392,000 | 159,177 | ||||||
#Agile Property Holdings, Ltd. | 1,580,000 | 2,084,058 | ||||||
#Ajisen China Holdings, Ltd. | 563,000 | 1,013,695 | ||||||
AMVIG Holdings, Ltd. | 538,000 | 436,601 | ||||||
Anhui Expressway Co., Ltd. | 834,000 | 631,450 | ||||||
Anhui Tianda Oil Pipe Co., Ltd. | 492,000 | 216,528 | ||||||
#Anta Sports Products, Ltd. | 467,000 | 965,911 | ||||||
#Anton Oilfield Services Group | 948,000 | 96,844 | ||||||
Asia Cement China Holdings Corp. | 596,000 | 269,868 | ||||||
*AVIC International Holding HK, Ltd. | 4,778,000 | 250,130 | ||||||
#*AviChina Industry & Technology Co., Ltd. Series H | 2,636,000 | 1,429,653 | ||||||
Baoye Group Co., Ltd. | 1,802,000 | 1,185,322 | ||||||
#Beijing Capital International Airport Co., Ltd. | 2,508,000 | 1,383,885 | ||||||
#Beijing Capital Land, Ltd. | 4,358,500 | 1,601,291 | ||||||
*Beijing Development HK, Ltd. | 507,000 | 101,172 | ||||||
*Beijing Enterprises Water Group, Ltd. | 3,621,107 | 1,266,639 | ||||||
Beijing Jingkelong Co., Ltd. | 281,749 | 338,083 | ||||||
#Beijing North Star Co., Ltd. Series H | 1,168,000 | 317,234 | ||||||
*Beijing Properties Holdings, Ltd. | 4,007,061 | 393,852 |
117
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
CHINA — (Continued) | ||||||||
Bosideng International Holdings, Ltd. | 3,452,000 | $ | 1,747,733 | |||||
#*Brilliance China Automotive Holdings, Ltd. | 12,088,000 | 10,635,308 | ||||||
BYD Electronic International Co., Ltd. | 1,358,075 | 722,626 | ||||||
Central China Real Estate, Ltd. | 851,000 | 193,250 | ||||||
Centron Telecom International Holdings, Ltd. | 375,100 | 89,718 | ||||||
#Chaoda Modern Agriculture Holdings, Ltd. | 4,569,245 | 3,728,840 | ||||||
#China Aerospace International Holdings, Ltd. | 8,318,500 | 1,204,649 | ||||||
#China Agri-Industries Holdings, Ltd. | 4,000 | 5,856 | ||||||
#China Aoyuan Property Group, Ltd. | 1,681,000 | 291,041 | ||||||
#China Automation Group, Ltd. | 729,000 | 573,962 | ||||||
China BlueChemical, Ltd. | 1,416,000 | 1,122,106 | ||||||
#*China Chengtong Development Group, Ltd. | 1,800,000 | 108,123 | ||||||
China Communications Services Corp., Ltd. | 1,956,000 | 1,136,607 | ||||||
China Dongxiang Group Co. | 2,075,000 | 1,171,312 | ||||||
*China Energine International Holdings, Ltd. | 1,982,000 | 200,082 | ||||||
#China Everbright International, Ltd. | 5,281,800 | 2,814,196 | ||||||
China Everbright, Ltd. | 650,000 | 1,694,859 | ||||||
#China Foods, Ltd. | 1,270,000 | 1,055,586 | ||||||
#China Gas Holdings, Ltd. | 5,115,500 | 2,931,088 | ||||||
*China Grand Forestry Green Resources Group, Ltd. | 10,756,000 | 382,305 | ||||||
#China Green Holdings, Ltd. | 777,000 | 799,657 | ||||||
#China Haidian Holdings, Ltd. | 1,480,000 | 246,957 | ||||||
#China High Speed Transmission Equipment Group Co., Ltd. | 1,762,422 | 3,609,486 | ||||||
#China Huiyuan Juice Group, Ltd. | 727,500 | 488,461 | ||||||
*China Metal Recycling Holdings, Ltd. | 574,686 | 640,481 | ||||||
*China Mining Resources Group, Ltd. | 20,164,900 | 568,363 | ||||||
#China Molybdenum Co., Ltd. | 1,135,000 | 1,089,592 | ||||||
#China National Building Material Co., Ltd. | 734,000 | 1,799,391 | ||||||
China National Materials Co., Ltd. | 1,706,000 | 1,522,884 | ||||||
China Nickel Resources Holding Co., Ltd. | 716,000 | 133,278 | ||||||
#*China Oil & Gas Group, Ltd. | 5,780,000 | 763,692 | ||||||
China Pharmaceutical Group, Ltd. | 1,148,000 | 644,310 | ||||||
#China Power International Development, Ltd. | 5,805,200 | 1,319,159 | ||||||
#*China Power New Energy Development Co., Ltd. | 6,140,000 | 612,320 | ||||||
*China Precious Metal Resources Holdings Co., Ltd. | 1,968,318 | 460,327 | ||||||
*China Properties Group, Ltd. | 1,021,000 | 330,027 | ||||||
#*China Qinfa Group, Ltd. | 464,000 | 239,684 | ||||||
#*China Rare Earth Holdings, Ltd. | 1,324,000 | 723,866 | ||||||
China Resources Gas Group, Ltd. | 542,000 | 806,438 | ||||||
*China Resources Microelectronics, Ltd. | 3,875,000 | 178,084 | ||||||
*China Seven Star Shopping, Ltd. | 5,840,000 | 101,498 | ||||||
*China Shanshui Cement Group, Ltd. | 1,275,000 | 907,967 | ||||||
China Shineway Pharmaceutical Group, Ltd. | 521,200 | 1,777,288 | ||||||
*China Singyes Solar Technologies Holdings, Ltd. | 418,000 | 227,481 | ||||||
China Starch Holdings, Ltd. | 2,805,000 | 253,942 | ||||||
China State Construction International Holdings, Ltd. | 3,580,800 | 2,742,693 | ||||||
*China Travel International Investment Hong Kong, Ltd. | 13,617,900 | 3,257,784 | ||||||
China Water Affairs Group, Ltd. | 1,746,000 | 667,697 | ||||||
#China Wireless Technologies, Ltd. | 1,100,000 | 591,777 | ||||||
China Yurun Food Group, Ltd. | 1,688,000 | 6,555,071 | ||||||
*China Zenith Chemical Group, Ltd. | 2,050,000 | 68,936 | ||||||
*Chinese People Holdings Co., Ltd. | 168,000 | 5,653 | ||||||
#*Chongqing Iron & Steel Co., Ltd. | 1,681,400 | 476,129 | ||||||
Chongqing Machinery & Electric Co., Ltd. | 1,286,000 | 437,923 | ||||||
*CIMC Enric Holdings, Ltd. | 256,000 | 117,750 | ||||||
#*Citic 21CN Co., Ltd. | 4,363,200 | 655,750 | ||||||
*CITIC Resources Holdings, Ltd. | 8,560,600 | 2,195,308 | ||||||
*Clear Media, Ltd. | 77,000 | 46,070 | ||||||
*CNNC International, Ltd. | 360,042 | 321,088 | ||||||
*Coastal Greenland, Ltd. | 1,096,000 | 62,381 | ||||||
#Comba Telecom Systems Holdings, Ltd. | 990,479 | 1,126,527 |
118
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
CHINA — (Continued) | ||||||||
COSCO International Holdings, Ltd. | 3,287,000 | $ | 2,001,654 | |||||
COSCO Pacific, Ltd. | 1,232,000 | 1,919,726 | ||||||
#Coslight Technology International Group, Ltd. | 162,000 | 117,730 | ||||||
CP Pokphand Co., Ltd. | 3,792,594 | 333,015 | ||||||
Dachan Food Asia, Ltd. | 401,000 | 78,811 | ||||||
Dalian Port PDA Co., Ltd. | 1,210,000 | 524,179 | ||||||
Daphne International Holdings, Ltd. | 1,354,000 | 1,521,984 | ||||||
Dawnrays Pharmaceutical Holdings, Ltd. | 906,943 | 404,582 | ||||||
Digital China Holdings, Ltd. | 886,800 | 1,605,432 | ||||||
#Dongfang Electric Co., Ltd. | 13,200 | 64,152 | ||||||
Dongyue Group | 1,468,000 | 648,459 | ||||||
Dynasty Fine Wines Group, Ltd. | 582,000 | 360,446 | ||||||
Embry Holdings, Ltd. | 190,000 | 183,909 | ||||||
*Enerchina Holdings, Ltd. | 10,646,167 | 181,842 | ||||||
ENN Energy Holdings, Ltd. | 2,178,000 | 6,519,695 | ||||||
*Extrawell Pharmaceutical Holdings, Ltd. | 2,217,921 | 200,348 | ||||||
#First Tractor Co., Ltd. | 523,176 | 504,222 | ||||||
*Founder Holdings, Ltd. | 1,548,900 | 106,254 | ||||||
#Franshion Properties China, Ltd. | 5,056,000 | 1,634,937 | ||||||
#Fufeng Group, Ltd. | 852,000 | 762,164 | ||||||
Fushan International Energy Group, Ltd. | 3,236,000 | 2,181,798 | ||||||
*GCL Poly Energy Holdings, Ltd. | 2,687,680 | 861,345 | ||||||
Geely Automobile Holdings, Ltd. | 4,175,000 | 2,366,017 | ||||||
*Global Bio-Chem Technology Group Co., Ltd. | 2,684,800 | 437,012 | ||||||
*Global Sweeteners Holdings, Ltd. | 486,951 | 102,460 | ||||||
Goldbond Group Holdings, Ltd. | 1,150,000 | 67,709 | ||||||
#Golden Eagle Retail Group, Ltd. | 564,000 | 1,496,410 | ||||||
#*Golden Meditech Holdings, Ltd. | 2,052,000 | 381,563 | ||||||
Goldlion Holdings, Ltd. | 366,962 | 153,983 | ||||||
Good Friend International Holdings, Inc. | 196,667 | 127,230 | ||||||
#Great Wall Motor Co., Ltd. | 698,500 | 2,197,076 | ||||||
Great Wall Technology Co., Ltd. | 698,950 | 335,640 | ||||||
Greentown China Holdings, Ltd. | 794,500 | 917,635 | ||||||
Guangdong Investment, Ltd. | 5,402,000 | 2,714,485 | ||||||
#Guangshen Railway Co., Ltd. Sponsored ADR | 26,271 | 534,352 | ||||||
Guangzhou Automobile Group Co., Ltd. | 1,641,078 | 2,519,442 | ||||||
#*Guangzhou Investment Co., Ltd. | 8,156,800 | 1,951,241 | ||||||
Guangzhou Pharmaceutical Co., Ltd. | 362,000 | 386,101 | ||||||
#Guangzhou R&F Properties Co., Ltd. | 742,400 | 1,061,218 | ||||||
#Guangzhou Shipyard International Co., Ltd. | 280,000 | 571,849 | ||||||
#GZI Transportation, Ltd. | 2,038,018 | 1,066,245 | ||||||
#*Haier Electronics Group Co., Ltd. | 1,062,000 | 989,169 | ||||||
Hainan Meilan International Airport Co., Ltd. | 175,000 | 202,071 | ||||||
#Haitian International Holdings, Ltd. | 557,000 | 567,849 | ||||||
Harbin Power Equipment Co., Ltd. | 804,000 | 1,088,062 | ||||||
#*Heng Tai Consumables Group, Ltd. | 3,425,000 | 633,157 | ||||||
#Hengdeli Holdings, Ltd. | 2,246,000 | 1,246,088 | ||||||
#*Hi Sun Technology (China), Ltd. | 1,962,000 | 822,006 | ||||||
#Hidili Industry International Development, Ltd. | 1,599,000 | 1,704,866 | ||||||
#*HKC Holdings, Ltd. | 14,610,447 | 906,997 | ||||||
*Hong Kong Energy Holdings, Ltd. | 172,095 | 14,483 | ||||||
#*Honghua Group, Ltd. | 2,081,000 | 311,860 | ||||||
#*Hopson Development Holdings, Ltd. | 3,476,000 | 3,881,871 | ||||||
#Hua Han Bio-Pharmaceutical Holdings, Ltd. | 1,124,000 | 378,795 | ||||||
Huabao International Holdings, Ltd. | 1,127,014 | 1,703,727 | ||||||
#*Hunan Non-Ferrous Metal Corp., Ltd. | 8,774,000 | 3,944,343 | ||||||
#*Inspur International, Ltd. | 2,850,000 | 254,277 | ||||||
*Interchina Holdings Co. | 780,000 | 88,575 | ||||||
Intime Department Store Group Co., Ltd. | 927,000 | 1,424,246 | ||||||
*Jingwei Textile Machinery Co., Ltd. | 232,000 | 89,947 | ||||||
Ju Teng International Holdings, Ltd. | 1,087,856 | 541,643 |
119
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
CHINA — (Continued) | ||||||||
*Kai Yuan Holdings, Ltd. | 5,500,000 | $ | 185,129 | |||||
*Kasen International Holdings, Ltd. | 222,000 | 43,045 | ||||||
Kingboard Chemical Holdings, Ltd. | 351,500 | 1,708,471 | ||||||
Kingboard Laminates Holdings, Ltd. | 1,418,000 | 1,372,031 | ||||||
#Kingdee International Software Group Co., Ltd. | 1,676,000 | 885,376 | ||||||
#Kingsoft Corp., Ltd. | 990,000 | 501,757 | ||||||
*Kingway Brewery Holdings, Ltd. | 4,396,800 | 1,043,724 | ||||||
KWG Property Holding, Ltd. | 2,013,267 | 1,594,606 | ||||||
Lai Fung Holdings, Ltd. | 5,173,000 | 183,900 | ||||||
#Lee & Man Paper Manufacturing, Ltd. | 1,626,800 | 1,358,675 | ||||||
#Li Ning Co., Ltd. | 1,026,335 | 2,920,602 | ||||||
Lianhua Supermarket Holdings Co., Ltd. | 326,000 | 1,399,318 | ||||||
Lijun International Pharmaceutical Holding, Ltd. | 2,413,826 | 831,129 | ||||||
Lingbao Gold Co., Ltd. | 1,384,000 | 972,602 | ||||||
#Little Sheep Group, Ltd. | 601,000 | 391,643 | ||||||
#Lonking Holdings, Ltd. | 6,648,000 | 3,576,366 | ||||||
*Loudong General Nice Resources China Holdings, Ltd. | 2,152,117 | 334,031 | ||||||
Lumena Resources Corp. | 1,028,000 | 388,588 | ||||||
#Maoye International Holdings, Ltd. | 1,559,000 | 673,056 | ||||||
*Media China Corp, Ltd. | 2,600,000 | 14,799 | ||||||
MIN XIN Holdings, Ltd. | 240,000 | 128,272 | ||||||
#Mingyuan Medicare Development Co., Ltd. | 2,910,000 | 406,067 | ||||||
*Minmetals Land, Ltd. | 2,292,000 | 462,359 | ||||||
#*Minmetals Resources, Ltd. | 4,398,000 | 3,381,568 | ||||||
Minth Group, Ltd. | 813,000 | 1,521,174 | ||||||
*Nan Hai Corp, Ltd. | 19,200,000 | 168,482 | ||||||
*Nanjing Panda Electronics Co., Ltd. | 404,000 | 112,454 | ||||||
NetDragon Websoft, Inc. | 207,044 | 94,906 | ||||||
#New World China Land, Ltd. | 2,703,367 | 1,014,026 | ||||||
New World Department Store China, Ltd. | 585,462 | 543,221 | ||||||
*Northeast Electric Development Co., Ltd. | 338,000 | 69,383 | ||||||
#*Oriental Ginza Holdings, Ltd. | 149,000 | 29,593 | ||||||
Overseas Chinese Town Asia Holdings, Ltd. | 388,183 | 208,196 | ||||||
Pacific Online, Ltd. | 213,150 | 90,340 | ||||||
#*PetroAsian Energy Holdings, Ltd. | 3,344,000 | 211,031 | ||||||
#Poly Hong Kong Investment, Ltd. | 1,632,932 | 1,687,881 | ||||||
Ports Design, Ltd. | 551,500 | 1,341,020 | ||||||
*Pou Sheng International Holdings, Ltd. | 1,652,000 | 262,640 | ||||||
#Prosperity International Holdings HK, Ltd. | 1,800,000 | 120,754 | ||||||
Qin Jia Yuan Media Services Co., Ltd. | 572,000 | 100,530 | ||||||
Qingling Motors Co., Ltd. Series H | 1,110,000 | 412,950 | ||||||
*Qunxing Paper Holdings Co., Ltd. | 446,609 | 190,568 | ||||||
Regent Manner International, Ltd. | 464,000 | 222,254 | ||||||
REXLot Holdings, Ltd. | 9,575,000 | 888,057 | ||||||
*Richly Field China Development, Ltd. | 4,440,000 | 146,168 | ||||||
Road King Infrastructure, Ltd. | 30,000 | 27,190 | ||||||
Samson Holding, Ltd. | 1,097,000 | 201,227 | ||||||
#*Semiconductor Manufacturing International Corp. | 93,483,000 | 7,834,980 | ||||||
#Shandong Chenming Paper Holdings, Ltd. Series H | 370,000 | 311,183 | ||||||
Shandong Molong Petroleum Machinery Co., Ltd. | 203,068 | 248,654 | ||||||
*Shandong Xinhua Pharmaceutical Co., Ltd. | 204,000 | 90,959 | ||||||
#Shanghai Forte Land Co., Ltd. | 1,260,000 | 375,687 | ||||||
*Shanghai Industrial Urban Development Group, Ltd. | 1,594,025 | 824,646 | ||||||
#Shanghai Jin Jiang International Hotels Group Co., Ltd. | 1,868,000 | 470,916 | ||||||
Shanghai Prime Machinery Co., Ltd. | 4,280,000 | 1,023,305 | ||||||
Shanghai Zendai Property, Ltd. | 6,715,000 | 290,274 | ||||||
Shenji Group Kunming Machine Tool Co., Ltd. | 176,250 | 113,814 | ||||||
Shenzhen Expressway Co., Ltd. | 1,724,400 | 952,667 | ||||||
Shenzhen International Holdings, Ltd. | 42,344,300 | 3,337,480 | ||||||
Shenzhen Investment, Ltd. | 10,080,000 | 3,634,244 | ||||||
Shenzhou International Group | 429,000 | 499,349 |
120
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
CHINA — (Continued) | ||||||||
Shougang Concord Century Holdings, Ltd. | 1,659,153 | $ | 218,805 | |||||
*Shougang Concord International Enterprises Co., Ltd. | 11,314,100 | 1,903,805 | ||||||
#Shui On Land, Ltd. | 4,303,077 | 2,157,074 | ||||||
Sichuan Expressway Co., Ltd. | 1,552,000 | 1,009,849 | ||||||
#Silver base Group Holdings, Ltd. | 297,000 | 217,600 | ||||||
Silver Grant International Industries, Ltd. | 2,260,000 | 762,147 | ||||||
SIM Technology Group, Ltd. | 674,000 | 144,912 | ||||||
#Sino Biopharmaceutical, Ltd. | 3,092,000 | 1,219,119 | ||||||
#*Sino Oil & Gas Holdings, Ltd. | 6,905,000 | 442,596 | ||||||
*Sino Union Energy Investment Group, Ltd. | 3,990,000 | 355,657 | ||||||
SinoCom Software Group, Ltd. | 1,550,200 | 181,684 | ||||||
*Sinofert Holdings, Ltd. | 2,267,327 | 1,204,837 | ||||||
*Sino-i Technology, Ltd. | 1,970,000 | 12,212 | ||||||
Sinolink Worldwide Holdings, Ltd. | 10,218,800 | 1,492,535 | ||||||
SinoMedia Holding, Ltd. | 328,000 | 121,157 | ||||||
Sinopec Kantons Holdings, Ltd. | 524,000 | 277,231 | ||||||
*Sinopec Yizheng Chemical Fibre Co., Ltd. | 1,540,000 | 575,168 | ||||||
Sinotrans Shipping, Ltd. | 1,871,000 | 757,613 | ||||||
Sinotrans, Ltd. | 2,061,000 | 559,966 | ||||||
#Sinotruk Hong Kong, Ltd. | 924,500 | 1,066,522 | ||||||
#Skyworth Digital Holdings, Ltd. | 6,672,815 | 3,915,246 | ||||||
#Soho China, Ltd. | 2,320,083 | 1,975,381 | ||||||
#*Solargiga Energy Holdings, Ltd. | 772,000 | 177,578 | ||||||
#*Sparkle Roll Group, Ltd. | 768,000 | 147,078 | ||||||
SPG Land Holdings, Ltd. | 559,425 | 305,502 | ||||||
#SRE Group, Ltd. | 11,833,053 | 1,209,750 | ||||||
Sunny Optical Technology Group Co., Ltd. | 400,000 | 96,764 | ||||||
Tak Sing Alliance Holdings, Ltd. | 955,257 | 123,387 | ||||||
TCC International Holdings, Ltd. | 659,503 | 272,268 | ||||||
TCL Communication Technology Holdings, Ltd. | 1,938,198 | 1,553,746 | ||||||
TCL Multimedia Technology Holdings, Ltd. | 2,068,510 | 867,659 | ||||||
Tian An China Investments Co., Ltd. | 618,000 | 473,963 | ||||||
Tiangong International Co., Ltd. | 242,000 | 118,554 | ||||||
#Tianjin Capital Environmental Protection Group Co., Ltd. | 1,542,000 | 531,503 | ||||||
#*Tianjin Development Holdings, Ltd. | 1,515,800 | 1,170,621 | ||||||
#Tianjin Port Development Holdings, Ltd. | 3,016,800 | 670,080 | ||||||
*Tianneng Power International, Ltd. | 840,000 | 378,430 | ||||||
#Tomson Group, Ltd. | 974,443 | 381,076 | ||||||
Towngas China Co., Ltd. | 2,893,000 | 1,320,127 | ||||||
TPV Technology, Ltd. | 487,964 | 301,518 | ||||||
Travelsky Technology, Ltd. | 945,727 | 918,151 | ||||||
#Truly International Holdings, Ltd. | 426,286 | 606,140 | ||||||
#*Uni-President China Holdings, Ltd. | 1,580,000 | 1,125,538 | ||||||
*United Energy Group, Ltd. | 4,512,450 | 517,947 | ||||||
*United Gene High-Tech Group, Ltd. | 6,880,000 | 150,323 | ||||||
#Vinda International Holdings, Ltd. | 495,000 | 644,164 | ||||||
#VODone, Ltd. | 2,906,000 | 841,813 | ||||||
#*Wasion Group Holdings, Ltd. | 718,000 | 524,044 | ||||||
Weichai Power Co., Ltd. | 600 | 7,878 | ||||||
Weiqiao Textile Co., Ltd. | 2,212,000 | 1,745,563 | ||||||
Welling Holding, Ltd. | 7,036,000 | 346,401 | ||||||
Wuyi International Pharmaceutical Co., Ltd. | 540,000 | 50,204 | ||||||
Xiamen International Port Co., Ltd. | 5,166,000 | 967,552 | ||||||
#Xingda International Holdings, Ltd. | 1,056,000 | 1,103,848 | ||||||
Xinhua Winshare Publishing & Media Co., Ltd. | 609,103 | 364,138 | ||||||
#Xinjiang Xinxin Mining Industry Co., Ltd. | 966,000 | 653,607 | ||||||
#Xiwang Sugar Holdings Co., Ltd. | 1,803,178 | 610,172 | ||||||
#XTEP International Holdings, Ltd. | 813,000 | 676,686 | ||||||
Yip’s Chemical Holdings, Ltd. | 382,000 | 454,969 | ||||||
Yorkey Optical International Cayman, Ltd. | 95,774 | 17,241 | ||||||
Zhaojin Mining Industry Co., Ltd. | 394,167 | 1,230,255 |
121
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
CHINA — (Continued) | ||||||||
Zhejiang Expressway Co., Ltd. | 1,064,000 | $ | 1,079,587 | |||||
#*Zhejiang Glass Co., Ltd. | 445,000 | 142,377 | ||||||
*Zhong An Real Estate, Ltd. | 824,400 | 195,912 | ||||||
#Zhuzhou CSR Times Electric Co., Ltd. | 641,000 | 1,958,514 | ||||||
TOTAL CHINA | 251,479,152 | |||||||
HUNGARY — (0.2%) | ||||||||
*Danubius Hotel & Spa NYRT | 45,091 | 842,357 | ||||||
Egis Gyogyszergyar NYRT | 197 | 23,134 | ||||||
#*FHB Mortgage Bank NYRT | 75,102 | 450,891 | ||||||
*Fotex Holding SE Co., Ltd. | 119,895 | 257,836 | ||||||
*PannErgy P.L.C. | 127,046 | 646,419 | ||||||
*RABA Automotive Holding NYRT | 233,233 | 1,112,606 | ||||||
Zwack Unicum NYRT | 1,100 | 89,026 | ||||||
TOTAL HUNGARY | 3,422,269 | |||||||
INDIA — (12.0%) | ||||||||
*3M India, Ltd. | 4,978 | 432,142 | ||||||
Aban Offshore, Ltd. | 22,774 | 404,954 | ||||||
ABG Shipyard, Ltd. | 2,377 | 24,403 | ||||||
*Abhishek Industries, Ltd. | 172,482 | 73,301 | ||||||
Adhunik Metaliks, Ltd. | 54,118 | 129,979 | ||||||
Aditya Birla Nuvo, Ltd. | 25,024 | 461,717 | ||||||
Ador Welding, Ltd. | 8,088 | 39,484 | ||||||
*Advanta India, Ltd. | 2,743 | 28,124 | ||||||
AGC Networks, Ltd. | 132 | 683 | ||||||
Agro Tech Foods, Ltd. | 39,674 | 279,813 | ||||||
AIA Engineering, Ltd. | 41,778 | 389,668 | ||||||
Ajmera Realty & Infra India, Ltd. | 33,510 | 191,618 | ||||||
Akzo Nobel India, Ltd. | 50,985 | 998,829 | ||||||
Alembic, Ltd. | 265,727 | 445,874 | ||||||
Allahabad Bank, Ltd. | 141,663 | 790,511 | ||||||
Allcargo Global Logistics, Ltd. | 2,424 | 7,952 | ||||||
Alok Industries, Ltd. | 669,944 | 410,025 | ||||||
Alstom Projects India, Ltd. | 31,063 | 531,207 | ||||||
Amara Raja Batteries, Ltd. | 36,531 | 163,251 | ||||||
Amtek Auto, Ltd. | 124,386 | 445,472 | ||||||
Anant Raj Industries, Ltd. | 202,815 | 594,285 | ||||||
Andhra Bank | 190,475 | 765,248 | ||||||
Ansal Properties & Infrastructure, Ltd. | 196,315 | 385,641 | ||||||
Apollo Hospitals Enterprise, Ltd. | 249,642 | 2,935,811 | ||||||
Apollo Tyres, Ltd. | 663,125 | 1,070,335 | ||||||
Aptech, Ltd. | 69,254 | 231,435 | ||||||
*Areva T&D India, Ltd. | 110,817 | 734,850 | ||||||
*Arvind Mills, Ltd. | 279,573 | 363,858 | ||||||
*Asahi India Glass, Ltd. | 220,013 | 535,231 | ||||||
*Ashapura Minechem, Ltd. | 62,965 | 72,205 | ||||||
Ashok Leyland, Ltd. | 473,432 | 807,255 | ||||||
Asian Hotels East, Ltd. | 13,104 | 123,592 | ||||||
Asian Hotels West, Ltd. | 13,104 | 70,055 | ||||||
Asian Hotels, Ltd. | 13,104 | 89,161 | ||||||
Aurobindo Pharma, Ltd. | 108,294 | 2,879,248 | ||||||
Automotive Axles, Ltd. | 19,185 | 224,690 | ||||||
Aventis Pharma, Ltd. | 23,466 | 951,995 | ||||||
*Bajaj Electricals, Ltd. | 42,264 | 258,639 | ||||||
Bajaj Finance, Ltd. | 54,772 | 970,319 | ||||||
Bajaj Finserv, Ltd. | 90,300 | 956,569 | ||||||
Bajaj Hindusthan, Ltd. | 81,444 | 226,759 | ||||||
Bajaj Holdings & Investment, Ltd. | 61,220 | 1,208,132 | ||||||
Balaji Telefilms, Ltd. | 131,073 | 144,662 | ||||||
Balkrishna Industries, Ltd. | 2,306 | 38,974 |
122
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
INDIA — (Continued) | ||||||||
Ballarpur Industries, Ltd. | 910,052 | $ | 823,035 | |||||
Balmer Lawrie & Co., Ltd. | 23,290 | 341,333 | ||||||
Balrampur Chini Mills, Ltd. | 745,160 | 1,420,246 | ||||||
Bank of Maharashtra, Ltd. | 437,791 | 768,806 | ||||||
Bannari Amman Sugars, Ltd. | 15,919 | 311,603 | ||||||
*BASF India, Ltd. | 7,345 | 110,785 | ||||||
Bata India, Ltd. | 86,199 | 652,722 | ||||||
BEML, Ltd. | 8,967 | 226,015 | ||||||
Bengal & Assam Co., Ltd. | 3,943 | 33,388 | ||||||
Berger Paints India, Ltd. | 531,407 | 1,212,445 | ||||||
BGR Energy Systems, Ltd. | 46,890 | 794,903 | ||||||
Bharat Electronics, Ltd. | 3,242 | 119,271 | ||||||
Bharat Forge, Ltd. | 192,920 | 1,643,818 | ||||||
Bharati Shipyard, Ltd. | 44,652 | 265,840 | ||||||
Bhushan Steel, Ltd. | 391,545 | 4,382,078 | ||||||
Binani Cement, Ltd. | 19,970 | 40,823 | ||||||
Biocon, Ltd. | 56,399 | 524,191 | ||||||
Birla Corp., Ltd. | 104,359 | 922,737 | ||||||
Bl Kashyap & Sons, Ltd. | 9,220 | 7,488 | ||||||
Blue Dart Express, Ltd. | 16,011 | 389,165 | ||||||
Blue Star, Ltd. | 119,701 | 1,225,327 | ||||||
Bombay Burmah Trading Co. | 10,000 | 117,766 | ||||||
Bombay Dyeing & Manufacturing Co., Ltd. | 56,142 | 775,737 | ||||||
Bombay Rayon Fashions, Ltd. | 78,213 | 386,634 | ||||||
Brigade Enterprises, Ltd. | 19,335 | 58,934 | ||||||
Britannia Industries, Ltd. | 151,875 | 1,423,801 | ||||||
Cadila Healthcare, Ltd. | 109,401 | 1,726,007 | ||||||
Carborundum Universal, Ltd. | 152,175 | 882,932 | ||||||
Central Bank of India | 261,889 | 1,336,207 | ||||||
Centum Electronics, Ltd. | 15,720 | 46,604 | ||||||
Century Enka, Ltd. | 7,619 | 41,695 | ||||||
Century Plyboards India, Ltd. | 137,796 | 212,884 | ||||||
Century Textiles & Industries, Ltd. | 6,028 | 68,271 | ||||||
CESC, Ltd. | 164,998 | 1,380,662 | ||||||
Chambal Fertilizers & Chemicals, Ltd. | 539,201 | 976,356 | ||||||
*Chemplast Sanmar, Ltd. | 79,745 | 15,875 | ||||||
Chennai Petroleum Corp., Ltd. | 155,542 | 845,634 | ||||||
Cholamandalam Investment & Finance Co., Ltd. | 71,956 | 292,666 | ||||||
City Union Bank, Ltd. | 630,312 | 718,109 | ||||||
Clariant Chemicals (India), Ltd. | 25,417 | 437,388 | ||||||
CMC, Ltd. | 27,821 | 1,312,375 | ||||||
Core Projects & Technologies, Ltd. | 63,381 | 410,570 | ||||||
Coromandel International, Ltd. | 218,053 | 3,152,273 | ||||||
Corp. Bank | 47,850 | 808,709 | ||||||
Crisil, Ltd | 10,145 | 1,406,462 | ||||||
Crompton Greaves, Ltd. | 90,237 | 647,265 | ||||||
Cummins India, Ltd. | 54,392 | 973,479 | ||||||
*Dalmia Bharat Enterprises, Ltd. | 60,289 | 238,849 | ||||||
Dalmia Cement (Bharat), Ltd. | 60,289 | 65,708 | ||||||
DCM Shriram Consolidated, Ltd. | 258,455 | 271,457 | ||||||
Deccan Chronicle Holdings, Ltd. | 65,585 | 190,639 | ||||||
Deepak Fertilizers & Petrochemicals Corp., Ltd. | 143,664 | 576,194 | ||||||
*Development Credit Bank, Ltd. | 102,463 | 160,274 | ||||||
Dewan Housing Finance Corp., Ltd. | 97,731 | 686,370 | ||||||
Dhanalakshmi Bank, Ltd. | 100,005 | 418,837 | ||||||
*Dish TV (India), Ltd. | 422,780 | 535,036 | ||||||
Dishman Pharmaceuticals & Chemicals, Ltd. | 109,719 | 451,935 | ||||||
Divi’s Laboratories, Ltd. | 48,396 | 754,168 | ||||||
Dredging Corp. of India, Ltd. | 1,727 | 20,158 | ||||||
E.I.D. - Parry (India), Ltd. | 142,978 | 1,599,197 | ||||||
eClerx Services, Ltd. | 11,129 | 150,997 |
123
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
INDIA — (Continued) | ||||||||
Edelweiss Capital, Ltd. | 294,950 | $ | 414,937 | |||||
Eicher Motors, Ltd. | 44,035 | 1,277,127 | ||||||
EIH, Ltd. | 212,144 | 595,120 | ||||||
Elder Pharmaceuticals, Ltd. | 41,972 | 376,441 | ||||||
Electrosteel Casings, Ltd. | 384,060 | 359,232 | ||||||
Elgi Equipments, Ltd. | 112,237 | 465,501 | ||||||
Era Infra Engineering, Ltd. | 90,179 | 454,208 | ||||||
Esab India, Ltd. | 26,438 | 334,778 | ||||||
Escorts, Ltd. | 105,268 | 523,273 | ||||||
*Ess Dee Aluminium, Ltd. | 10,956 | 116,320 | ||||||
*Essar Shipping Ports & Logistics, Ltd. | 309,083 | 762,626 | ||||||
Essel Propack, Ltd. | 229,455 | 267,705 | ||||||
Eveready Industries (India), Ltd. | 108,836 | 167,893 | ||||||
Everest Kanto Cylinder, Ltd. | 35,000 | 99,623 | ||||||
*Everonn Education, Ltd. | 7,600 | 113,293 | ||||||
Exide Industries, Ltd. | 923,744 | 3,223,812 | ||||||
FAG Bearings (India), Ltd. | 26,817 | 556,576 | ||||||
FDC, Ltd. | 245,896 | 574,324 | ||||||
Federal Bank, Ltd. | 279,298 | 2,966,879 | ||||||
Financial Technologies (India), Ltd. | 42,153 | 938,377 | ||||||
Finolex Cables, Ltd. | 253,437 | 335,883 | ||||||
Finolex Industries, Ltd. | 229,394 | 601,403 | ||||||
*Fortis Healthcare, Ltd. | 71,508 | 258,495 | ||||||
*Fresenius Kabi Oncology, Ltd. | 11,883 | 34,284 | ||||||
*Future Capital Holdings, Ltd. | 16,270 | 88,250 | ||||||
*Future Mall Management, Ltd. | 142 | — | ||||||
Gammon India, Ltd. | 141,799 | 651,679 | ||||||
*Gammon Infrastructure Projects, Ltd. | 50,558 | 26,350 | ||||||
*Ganesh Housing Corp., Ltd. | 4,380 | 24,111 | ||||||
Gateway Distriparks, Ltd. | 16,891 | 42,100 | ||||||
Geodesic, Ltd. | 144,811 | 381,318 | ||||||
*Geojit BNP Paribas Financial Services, Ltd. | 60,986 | 48,182 | ||||||
GHCL, Ltd. | 159,986 | 172,328 | ||||||
*GIC Housing Finance, Ltd. | 21,467 | 72,546 | ||||||
Gillette India, Ltd. | 9,020 | 387,479 | ||||||
Gitanjali Gems, Ltd. | 51,190 | 341,102 | ||||||
GlaxoSmithKline Consumer Healthcare, Ltd. | 56,286 | 2,784,045 | ||||||
Glenmark Pharmaceuticals, Ltd. | 157,157 | 1,204,999 | ||||||
Godfrey Phillips India, Ltd. | 2,778 | 106,172 | ||||||
Godrej Consumer Products, Ltd. | 295,660 | 2,769,315 | ||||||
Godrej Industries, Ltd. | 146,574 | 704,278 | ||||||
*Goetze (India), Ltd. | 60,504 | 238,615 | ||||||
*Gokul Refoils & Solvent, Ltd. | 32,178 | 70,821 | ||||||
Graphite India, Ltd. | 221,802 | 467,881 | ||||||
Great Eastern Shipping Co., Ltd. | 123,717 | 882,789 | ||||||
Great Offshore, Ltd. | 42,090 | 356,922 | ||||||
Greaves Cotton, Ltd. | 92,367 | 977,957 | �� | |||||
Grindwell Norton, Ltd. | 18,171 | 94,209 | ||||||
Gruh Finance, Ltd. | 21,586 | 199,707 | ||||||
*GTL Infrastructure, Ltd. | 516,486 | 519,565 | ||||||
GTL, Ltd. | 172,195 | 1,618,660 | ||||||
Gujarat Alkalies & Chemicals, Ltd. | 135,835 | 399,804 | ||||||
Gujarat Ambuja Exports, Ltd. | 180,510 | 172,665 | ||||||
Gujarat Fluorochemicals, Ltd. | 145,154 | 604,005 | ||||||
Gujarat Gas Co., Ltd. | 171,320 | 1,475,253 | ||||||
*Gujarat Industries Power Co., Ltd. | 44,878 | 116,073 | ||||||
Gujarat Mineral Development Corp., Ltd. | 19,959 | 60,808 | ||||||
Gujarat Narmada Valley Fertilizers Co., Ltd. | 190,388 | 533,977 | ||||||
Gujarat State Fertilizers & Chemicals, Ltd. | 97,061 | 786,596 | ||||||
Gujarat State Petronet, Ltd. | 275,996 | 700,724 | ||||||
Gulf Oil Corp., Ltd. | 16,535 | 47,637 |
124
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
INDIA — (Continued) | ||||||||
*GVK Power & Infrastructure, Ltd. | 1,143,587 | $ | 1,096,615 | |||||
H.E.G., Ltd. | 58,975 | 362,017 | ||||||
HCL Infosystems, Ltd. | 280,963 | 718,684 | ||||||
*HeidelbergCement India, Ltd. | 274,729 | 283,284 | ||||||
Hexaware Technologies, Ltd. | 166,745 | 330,121 | ||||||
Hikal, Ltd. | 17,498 | 168,009 | ||||||
*Himachal Futuristic Communications, Ltd. | 705,174 | 171,696 | ||||||
Hinduja Global Solutions, Ltd. | 36,075 | 315,689 | ||||||
Hinduja Ventures, Ltd. | 36,075 | 362,992 | ||||||
Hindustan Construction Co., Ltd. | 1,024,402 | 1,411,949 | ||||||
*Hindustan Dorr Oliver, Ltd. | 32,328 | 95,295 | ||||||
Hindustan Oil Exploration Co., Ltd. | 68,772 | 393,511 | ||||||
Hindustan Petroleum Corp, Ltd. | 10,181 | 111,831 | ||||||
*Hitachi Home & Life Solutions India, Ltd. | 3,997 | 26,974 | ||||||
Honeywell Automation India, Ltd. | 6,781 | 390,194 | ||||||
Hotel Leelaventure, Ltd. | 513,732 | 597,433 | ||||||
*Housing Development & Infrastructure, Ltd. | 112,538 | 629,004 | ||||||
HSIL, Ltd. | 69,904 | 220,725 | ||||||
HT Media, Ltd. | 41,211 | 147,491 | ||||||
*IBN18 Broadcast, Ltd. | 98,351 | 258,015 | ||||||
ICSA (India), Ltd. | 8,443 | 24,683 | ||||||
IDBI Bank, Ltd. | 245,091 | 998,289 | ||||||
IFCI, Ltd. | 869,319 | 1,356,848 | ||||||
India Cements, Ltd. | 148,839 | 371,851 | ||||||
India Infoline, Ltd. | 282,536 | 741,358 | ||||||
Indiabulls Financial Services, Ltd. | 394,273 | 1,964,911 | ||||||
*Indiabulls Real Estate, Ltd. | 631,185 | 2,730,244 | ||||||
Indian Bank | 116,452 | 768,499 | ||||||
Indian Hotels Co., Ltd. | 640,595 | 1,445,329 | ||||||
Indian Overseas Bank | 210,586 | 757,911 | ||||||
*Indo Rama Synthetics (India), Ltd. | 136,867 | 208,404 | ||||||
Indoco Remedies, Ltd. | 12,300 | 138,648 | ||||||
*Indraprastha Gas, Ltd. | 52,999 | 392,354 | ||||||
IndusInd Bank, Ltd. | 447,357 | 2,668,821 | ||||||
INEIS ABS India, Ltd. | 23,441 | 199,680 | ||||||
Info Edge India, Ltd. | 15,737 | 237,835 | ||||||
*Infomedia 18, Ltd. | 59,475 | 34,888 | ||||||
Infotech Enterprises, Ltd. | 174,836 | 640,355 | ||||||
ING Vysya Bank, Ltd. | 21,126 | 191,687 | ||||||
Ipca Laboratories, Ltd. | 163,730 | 1,200,734 | ||||||
IRB Infrastructure Developers, Ltd. | 235,476 | 1,379,165 | ||||||
*IVRCL Assets & Holdings, Ltd. | 42,772 | 107,922 | ||||||
IVRCL Infrastructures & Projects, Ltd. | 493,562 | 1,663,788 | ||||||
J.B. Chemicals & Pharmaceuticals, Ltd. | 136,681 | 375,895 | ||||||
Jagran Prakashan, Ltd. | 188,073 | 566,850 | ||||||
Jai Balaji Industries, Ltd. | 13,224 | 93,170 | ||||||
Jain Irrigation Systems, Ltd. | 556,840 | 2,916,727 | ||||||
*Jaiprakash Power Ventures, Ltd. | 236,636 | 332,894 | ||||||
Jammu & Kashmir Bank, Ltd. | 74,481 | 1,530,220 | ||||||
JBF Industries, Ltd. | 99,101 | 477,857 | ||||||
*Jet Airways (India), Ltd. | 15,491 | 283,511 | ||||||
*Jindal Drilling & Industries, Ltd. | 15,564 | 195,340 | ||||||
Jindal Poly Films, Ltd. | 58,808 | 832,534 | ||||||
Jindal Saw, Ltd. | 367,590 | 1,800,473 | ||||||
*Jindal South West Holdings, Ltd. | 5,008 | 225,494 | ||||||
JK Cement, Ltd. | 900 | 3,527 | ||||||
JK Lakshmi Cement, Ltd. | 17,485 | 24,243 | ||||||
JK Tyre & Industries, Ltd. | 16,997 | 62,525 | ||||||
JM Financial, Ltd. | 485,867 | 425,277 | ||||||
*JSL Stainless, Ltd. | 207,228 | 570,128 | ||||||
Jubilant Organosys, Ltd. | 91,504 | 649,243 |
125
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
INDIA — (Continued) | ||||||||
*Jyothy Laboratories, Ltd. | 36,822 | $ | 228,648 | |||||
Jyoti Structures, Ltd. | 116,466 | 347,559 | ||||||
K.S.B. Pumps, Ltd. | 15,895 | 180,294 | ||||||
Kalpataru Power Transmission, Ltd. | 9,420 | 36,829 | ||||||
*Kansai Nerolac Paints, Ltd. | 198 | 4,011 | ||||||
Karnataka Bank, Ltd. | 198,190 | 824,732 | ||||||
Karur Vysya Bank, Ltd. | 114,037 | 1,375,830 | ||||||
Karuturi Global, Ltd. | 85,939 | 67,501 | ||||||
KEC International, Ltd. | 50,258 | 549,809 | ||||||
Kesoram Industries, Ltd. | 83,108 | 554,572 | ||||||
*Kingfisher Airlines, Ltd. | 151,449 | 260,382 | ||||||
Kiri Dyes & Chemicals, Ltd. | 8,514 | 114,986 | ||||||
Kirloskar Brothers, Ltd. | 817 | 4,032 | ||||||
*Kirloskar Eng India, Ltd. | 267,264 | 1,233,132 | ||||||
Kirloskar Industries, Ltd. | 17,817 | 152,330 | ||||||
Koutons Retail India, Ltd. | 6,600 | 15,014 | ||||||
KPIT Cummins Infosystems, Ltd. | 107,009 | 378,399 | ||||||
KS Oils, Ltd. | 254,017 | 327,965 | ||||||
*KSK Energy Ventures, Ltd. | 75,248 | 282,732 | ||||||
*Lakshmi Energy & Foods, Ltd. | 11,641 | 18,548 | ||||||
Lakshmi Machine Works, Ltd. | 5,560 | 335,416 | ||||||
Lakshmi Vilas Bank, Ltd. | 38,651 | 112,951 | ||||||
*Lanco Infratech, Ltd. | 142,510 | 204,482 | ||||||
LIC Housing Finance, Ltd. | 148,431 | 4,477,435 | ||||||
Madhucon Projects, Ltd. | 1,879 | 6,227 | ||||||
Madras Cements, Ltd. | 51,240 | 134,081 | ||||||
*Mahanagar Telephone Nigam, Ltd. | 344,165 | 523,149 | ||||||
Maharashtra Scooters, Ltd. | 4,550 | 42,618 | ||||||
Maharashtra Seamless, Ltd. | 99,628 | 937,161 | ||||||
Mahindra & Mahindra Financial Services, Ltd. | 68,277 | 1,133,420 | ||||||
Mahindra Lifespace Developers, Ltd. | 56,900 | 609,401 | ||||||
Mangalam Cement, Ltd. | 18,450 | 62,087 | ||||||
Mangalore Refinery & Petrochemicals, Ltd. | 70,797 | 129,823 | ||||||
Marico, Ltd. | 788,109 | 2,420,083 | ||||||
Mastek, Ltd. | 59,764 | 276,142 | ||||||
*MAX India, Ltd. | 261,485 | 934,156 | ||||||
*Maytas Infra, Ltd. | 19,818 | 89,568 | ||||||
McLeod Russel India, Ltd. | 45,525 | 236,314 | ||||||
*Megasoft, Ltd. | 21,301 | 15,675 | ||||||
Mercator Lines, Ltd. | 350,017 | 508,306 | ||||||
Merck, Ltd. | 20,256 | 348,502 | ||||||
MindTree, Ltd. | 4,544 | 52,309 | ||||||
*Monnet Ispat, Ltd. | 67,091 | 903,749 | ||||||
Monsanto India, Ltd. | 11,378 | 515,926 | ||||||
Moser Baer (India), Ltd. | 372,370 | 543,857 | ||||||
Motherson Sumi Systems, Ltd. | 628,155 | 2,602,517 | ||||||
*Motilal Oswal Financial Services, Ltd. | 23,147 | 101,138 | ||||||
Mphasis, Ltd. | 112,005 | 1,542,347 | ||||||
MPS, Ltd. | 479 | 587 | ||||||
MRF, Ltd. | 5,580 | 1,169,737 | ||||||
*Mukta Arts, Ltd. | 672 | 757 | ||||||
Nagarjuna Construction Co., Ltd. | 309,858 | 1,031,907 | ||||||
Nagarjuna Fertilizers & Chemicals, Ltd. | 575,408 | 438,328 | ||||||
Nahar Capital & Financial Services, Ltd. | 31,896 | 78,272 | ||||||
Nahar Poly Films, Ltd. | 45,938 | 47,763 | ||||||
Nahar Spinning Mills, Ltd. | 67,990 | 208,935 | ||||||
*Natco Pharma, Ltd. | 8,524 | 52,068 | ||||||
Navneet Publications (India), Ltd. | 169,970 | 233,945 | ||||||
NESCO, Ltd. | 1,134 | 14,730 | ||||||
NIIT Technologies, Ltd. | 114,330 | 562,867 | ||||||
NIIT, Ltd. | 340,635 | 503,886 |
126
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
INDIA — (Continued) | ||||||||
Nirma, Ltd. | 77,849 | $ | 406,379 | |||||
NOCIL, Ltd. | 201,948 | 102,147 | ||||||
*Noida Toll Bridge Co., Ltd. | 42,494 | 30,402 | ||||||
Nucleus Software Exports, Ltd. | 42,062 | 119,856 | ||||||
OCL India, Ltd. | 56,194 | 166,965 | ||||||
*OCL Iron & Steel, Ltd. | 8,906 | 15,305 | ||||||
Omax Autos, Ltd. | 17,939 | 24,334 | ||||||
*OMAXE, Ltd. | 88,610 | 298,933 | ||||||
*OnMobile Global, Ltd. | 15,514 | 116,873 | ||||||
Opto Circuits India, Ltd. | 347,144 | 2,239,890 | ||||||
*Orbit Corp., Ltd. | 99,256 | 259,748 | ||||||
Orchid Chemicals & Pharmaceuticals, Ltd. | 113,459 | 732,908 | ||||||
Orient Paper & Industries, Ltd. | 238,530 | 316,298 | ||||||
Oriental Bank of Commerce | 70,294 | 790,649 | ||||||
Panacea Biotec, Ltd. | 104,341 | 470,433 | ||||||
Pantaloon Retail India, Ltd. | 2,575 | 27,374 | ||||||
Pantaloon Retail India, Ltd. Class B | 257 | 2,170 | ||||||
*Parsvnath Developers, Ltd. | 86,774 | 130,400 | ||||||
Patel Engineering, Ltd. | 73,297 | 601,627 | ||||||
Patni Computer Systems, Ltd. | 88,721 | 922,083 | ||||||
Patni Computer Systems, Ltd. ADR | 27,061 | 565,034 | ||||||
Peninsula Land, Ltd. | 144,659 | 200,106 | ||||||
Petronet LNG, Ltd. | 641,661 | 1,607,054 | ||||||
*Phillips Carbon Black, Ltd. | 6,115 | 27,384 | ||||||
Pidilite Industries, Ltd. | 856,406 | 2,790,293 | ||||||
Piramal Healthcare, Ltd. | 103,288 | 1,111,282 | ||||||
Plethico Pharmaceuticals, Ltd. | 2,391 | 21,201 | ||||||
Polaris Software Lab, Ltd. | 125,423 | 458,843 | ||||||
Praj Industries, Ltd. | 237,984 | 369,717 | ||||||
*Prakash Industries, Ltd. | 35,972 | 116,959 | ||||||
Pratibha Industries, Ltd. | 3,920 | 6,842 | ||||||
Pricol, Ltd. | 86,536 | 50,678 | ||||||
Prism Cement, Ltd. | 411,116 | 546,403 | ||||||
Proctor & Gamble Hygiene & Health Care, Ltd. | 1,788 | 82,228 | ||||||
Provogue India, Ltd. | 64,760 | 109,085 | ||||||
PSL, Ltd. | 63,467 | 157,119 | ||||||
PTC India, Ltd. | 323,705 | 978,888 | ||||||
Punj Lloyd, Ltd. | 191,267 | 509,143 | ||||||
*PVP Ventures, Ltd. | 43,697 | 11,689 | ||||||
Radico Khaitan, Ltd. | 133,619 | 535,792 | ||||||
Rain Commodities, Ltd. | 76,883 | 278,827 | ||||||
Rajesh Exports, Ltd. | 92,871 | 247,477 | ||||||
Rallis India, Ltd. | 29,653 | 976,129 | ||||||
*Rama Newsprint & Papers, Ltd. | 69,017 | 30,537 | ||||||
*Raymond, Ltd. | 98,113 | 956,982 | ||||||
Redington India, Ltd. | 197,090 | 354,136 | ||||||
REI Agro, Ltd. | 1,280,160 | 787,631 | ||||||
Rei Six Ten Retail, Ltd. | 198,134 | 330,663 | ||||||
*Reliance Broadcast Network, Ltd. | 66,472 | 146,704 | ||||||
Reliance Industrial Infrastructure, Ltd. | 18,341 | 356,776 | ||||||
*Reliance MediaWorks, Ltd. | 66,472 | 367,674 | ||||||
*Reliance Natural Resources, Ltd. | 205,899 | 178,102 | ||||||
Rico Auto Industries, Ltd. | 136,391 | 83,033 | ||||||
Rolta India, Ltd. | 266,216 | 1,001,289 | ||||||
Ruchi Infrastructure, Ltd. | 16,691 | 12,221 | ||||||
Ruchi Soya Industries, Ltd. | 371,710 | 1,105,280 | ||||||
*S.Kumars Nationwide, Ltd. | 189,044 | 346,751 | ||||||
*Sadbhav Engineering, Ltd. | 1,367 | 44,617 | ||||||
Sanwaria Agro Oils, Ltd. | 5,366 | 15,793 | ||||||
*Satyam Computer Services, Ltd. | 492,385 | 875,644 | ||||||
SEAMEC, Ltd. | 58,658 | 201,805 |
127
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
INDIA — (Continued) | ||||||||
Shiv-Vani Oil & Gas Exploration Services, Ltd. | 15,549 | $ | 149,549 | |||||
Shopper’s Stop, Ltd. | 14,272 | 222,518 | ||||||
Shree Ashtavinyak Cine Vision, Ltd. | 836,026 | 758,841 | ||||||
Shree Cement, Ltd. | 14,439 | 679,240 | ||||||
*Shree Renuka Sugars, Ltd. | 698,043 | 1,423,658 | ||||||
Shriram EPC, Ltd. | 1,917 | 10,655 | ||||||
Shriram Transport Finance Co., Ltd. | 260,052 | 5,166,633 | ||||||
*Sicagen India, Ltd. | 41,648 | 22,694 | ||||||
*Sical Logistics, Ltd. | 4,846 | 6,878 | ||||||
Simplex Infrastructures, Ltd. | 1,045 | 11,575 | ||||||
SKF India, Ltd. | 68,494 | 896,656 | ||||||
Sobha Developers, Ltd. | 73,316 | 595,930 | ||||||
Solar Industries India, Ltd. | 1,432 | 17,099 | ||||||
Sona Koyo Steering Systems, Ltd. | 233,120 | 105,700 | ||||||
Sonata Software, Ltd. | 155,438 | 208,799 | ||||||
South Indian Bank, Ltd. | 1,637,800 | 1,018,713 | ||||||
*Spice Mobility, Ltd. | 31,348 | 87,931 | ||||||
SREI Infrastructure Finance, Ltd. | 165,360 | 492,806 | ||||||
SRF, Ltd. | 101,277 | 919,380 | ||||||
*State Bank of Bikaner & Jaipur | 28,162 | 455,939 | ||||||
Sterling Biotech, Ltd. | 413,088 | 1,014,611 | ||||||
Sterlite Technologies, Ltd. | 478,470 | 893,721 | ||||||
Strides Arcolab, Ltd. | 64,472 | 608,132 | ||||||
*Summit Securities, Ltd. | 191 | 1,166 | ||||||
*Sun Pharma Advanced Research Co., Ltd. | 237,935 | 496,486 | ||||||
Sun TV Network, Ltd. | 29,505 | 330,953 | ||||||
Sundaram Finance, Ltd. | 12,616 | 197,742 | ||||||
Sundaram-Clayton, Ltd. | 7,780 | 40,380 | ||||||
Sundram Fastners, Ltd. | 365,122 | 519,410 | ||||||
Supreme Industries, Ltd. | 111,325 | 363,762 | ||||||
Supreme Petrochem, Ltd. | 144,830 | 217,359 | ||||||
Swaraj Engines, Ltd. | 3,100 | 32,737 | ||||||
Syndicate Bank | 375,000 | 1,175,784 | ||||||
Taj GVK Hotels & Resorts, Ltd. | 83,666 | 287,089 | ||||||
Tamilnadu Newsprint & Papers, Ltd. | 4,775 | 16,424 | ||||||
Tata Chemicals, Ltd. | 40,145 | 353,177 | ||||||
#*Tata Communications, Ltd. ADR | 59,097 | 822,630 | ||||||
Tata Elxsi, Ltd. | 51,574 | 322,730 | ||||||
Tata Investment Corp., Ltd. | 44,578 | 582,423 | ||||||
*Tata Metaliks, Ltd. | 10,815 | 33,030 | ||||||
Tata Tea, Ltd. | 636,272 | 1,785,808 | ||||||
*Tata Teleservices Maharashtra, Ltd. | 893,799 | 454,340 | ||||||
*TCI Developers | 452 | 2,137 | ||||||
Tech Mahindra, Ltd. | 86,138 | 1,413,274 | ||||||
*Teledata Marine Solutions, Ltd. | 152,395 | 117,491 | ||||||
*Teledata Technology Solutions, Ltd. | 152,395 | 3,433 | ||||||
*Television Eighteen India, Ltd. | 80,069 | 155,937 | ||||||
TexmaCo., Ltd. | 155,901 | 569,393 | ||||||
Thermax India, Ltd. | 48,315 | 942,930 | ||||||
Thomas Cook India, Ltd. | 134,500 | 202,357 | ||||||
Time Technoplast, Ltd. | 10,176 | 13,917 | ||||||
*Timken India, Ltd. | 13,298 | 57,772 | ||||||
Titagarh Wagons, Ltd. | 3,380 | 37,734 | ||||||
Titan Industries, Ltd. | 14,800 | 1,184,029 | ||||||
Torrent Pharmaceuticals, Ltd. | 116,854 | 1,457,606 | ||||||
*Torrent Power, Ltd. | 20,643 | 135,959 | ||||||
Transport Corp of India, Ltd. | 9,043 | 25,031 | ||||||
Trent, Ltd. | 18,895 | 431,850 | ||||||
*Trent, Ltd. Series A | 4,198 | 87,409 | ||||||
*Trent, Ltd. Series B | 4,198 | 85,188 | ||||||
Triveni Engineering & Industries, Ltd. | 73,505 | 198,590 |
128
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
INDIA — (Continued) | ||||||||
TTK Prestige, Ltd. | 6,329 | $ | 199,003 | |||||
Tube Investments of India | 290,925 | 991,708 | ||||||
*Tulip IT Services, Ltd. | 62,690 | 252,794 | ||||||
TVS Motor Co., Ltd. | 236,225 | 389,324 | ||||||
UCO Bank | 483,746 | 1,373,539 | ||||||
Uflex, Ltd. | 8,623 | 58,964 | ||||||
*Ultratech Cement, Ltd. | 28,174 | 696,299 | ||||||
Unichem Laboratories, Ltd. | 130,867 | 670,220 | ||||||
Union Bank of India | 87,222 | 744,280 | ||||||
United Phosphorus, Ltd. | 323,860 | 1,456,566 | ||||||
Unity Infraprojects, Ltd. | 6,483 | 15,394 | ||||||
Usha Martin, Ltd. | 433,015 | 846,597 | ||||||
*UTV Software Communications, Ltd. | 21,157 | 274,222 | ||||||
Vardhman Textiles, Ltd. | 76,291 | 580,184 | ||||||
Varun Shipping Co., Ltd. | 213,797 | 198,441 | ||||||
*Venky’s India, Ltd. | 5,976 | 112,369 | ||||||
Vesuvius India, Ltd. | 1,802 | 12,097 | ||||||
Videocon Industries, Ltd. | 76,102 | 434,729 | ||||||
Vijaya Bank | 191,841 | 460,742 | ||||||
VIP Industries, Ltd. | 29,886 | 397,939 | ||||||
Voltamp Transformers, Ltd. | 1,617 | 31,946 | ||||||
Voltas, Ltd. | 191,692 | 1,060,854 | ||||||
WABCO-TVS (India), Ltd. | 6,749 | 169,926 | ||||||
*Walchandnagar Industries, Ltd. | 3,744 | 17,323 | ||||||
Welspun Corp., Ltd. | 292,491 | 1,644,502 | ||||||
*Welspun Global Brands, Ltd. | 9,265 | 4,380 | ||||||
Welspun India, Ltd. | 92,659 | 139,993 | ||||||
*Welspun Investments & Commercials, Ltd. | 4,632 | 14,900 | ||||||
*Wockhardt, Ltd. | 52,983 | 352,589 | ||||||
Wyeth, Ltd. | 37,441 | 676,524 | ||||||
Yes Bank, Ltd. | 160,036 | 1,298,027 | ||||||
Zee Entertainment Enterprises, Ltd. | 228,916 | 1,431,949 | ||||||
*Zee Learn, Ltd. | 57,229 | 6,699 | ||||||
*Zee News, Ltd. | 31,443 | 10,713 | ||||||
Zensar Technologies, Ltd. | 82,234 | 284,285 | ||||||
Zuari Industries, Ltd. | 42,970 | 801,844 | ||||||
Zydus Wellness, Ltd. | 17,414 | 210,001 | ||||||
TOTAL INDIA | 248,381,265 | |||||||
INDONESIA — (3.7%) | ||||||||
*PT Agis Tbk | 3,447,500 | 65,779 | ||||||
PT AKR Corporindo Tbk | 3,284,700 | 555,663 | ||||||
PT Aneka Tambang Tbk | 9,009,500 | 2,580,959 | ||||||
PT Asahimas Flat Glass Tbk | 983,000 | 694,666 | ||||||
*PT Bakrie & Brothers Tbk | 115,240,500 | 698,599 | ||||||
PT Bakrie Sumatera Plantations Tbk | 22,528,500 | 977,590 | ||||||
*PT Bakrie Telecom Tbk | 41,178,000 | 1,110,575 | ||||||
PT Bakrieland Development Tbk | 59,737,250 | 1,061,351 | ||||||
PT Bank Bukopin Tbk | 6,092,000 | 476,841 | ||||||
PT Bank Negara Indonesia Persero Tbk | 3,000,000 | 1,311,700 | ||||||
*PT Bank Pan Indonesia Tbk | 26,697,875 | 3,348,782 | ||||||
*PT Bank Tabungan Pensiunan Nasional Tbk | 53,500 | 77,839 | ||||||
*PT Barito Pacific Tbk | 7,324,500 | 1,043,426 | ||||||
*PT Bayan Resources Tbk | 272,500 | 384,360 | ||||||
*PT Berlian Laju Tanker Tbk | 25,697,866 | 1,110,007 | ||||||
*PT Bhakti Investama Tbk | 87,247,400 | 1,256,674 | ||||||
*PT Bisi International Tbk | 4,366,500 | 1,152,538 | ||||||
PT Budi Acid Jaya Tbk | 5,947,000 | 142,575 | ||||||
PT Bumi Serpong Damai Tbk | 9,064,500 | 854,173 | ||||||
*PT Central Proteinaprima Tbk | 21,920,000 | 129,987 | ||||||
PT Charoen Pokphand Indonesia Tbk | 6,835,500 | 6,559,173 |
129
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
INDONESIA — (Continued) | ||||||||
*PT Ciputra Development Tbk | 15,068,000 | $ | 712,054 | |||||
*PT Ciputra Surya Tbk | 1,642,000 | 129,236 | ||||||
PT Citra Marga Nusaphala Persada Tbk | 6,948,000 | 1,173,473 | ||||||
PT Clipan Finance Indonesia Tbk | 1,482,000 | 68,261 | ||||||
*PT Darma Henwa Tbk | 26,124,100 | 226,412 | ||||||
*PT Davomas Adabi Tbk | 41,920,000 | 370,877 | ||||||
*PT Delta Dunia Makmur Tbk | 12,220,000 | 1,468,836 | ||||||
PT Dynaplast Tbk | 1,038,000 | 326,128 | ||||||
PT Elnusa Tbk | 4,609,500 | 173,418 | ||||||
*PT Energi Mega Persada Tbk | 57,249,000 | 760,120 | ||||||
PT Ever Shine Textile Tbk | 4,029,640 | 40,804 | ||||||
PT Gajah Tunggal Tbk | 2,681,500 | 699,814 | ||||||
PT Global Mediacom Tbk | 20,618,500 | 1,146,371 | ||||||
PT Gozco Plantations Tbk | 6,714,000 | 323,866 | ||||||
*PT Hanson International Tbk | 5,038,000 | 108,229 | ||||||
*PT Hero Supermarket Tbk | 33,000 | 15,508 | ||||||
PT Hexindo Adiperkasa Tbk | 745,500 | 543,371 | ||||||
*PT Holcim Indonesia Tbk | 9,852,500 | 2,571,847 | ||||||
*PT Indah Kiat Pulp & Paper Corp. Tbk | 6,258,000 | 1,456,381 | ||||||
PT Indika Energy Tbk | 2,819,500 | 1,155,378 | ||||||
PT Indo Tambangraya Megah Tbk | 45,000 | 228,198 | ||||||
PT Indofood Sukses Makmur Tbk | 5,718,500 | 3,335,160 | ||||||
*PT Indo-Rama Synthetics Tbk | 485,000 | 49,044 | ||||||
PT Indosat Tbk ADR | 2,700 | 88,938 | ||||||
*PT Intiland Development Tbk | 9,462,332 | 541,401 | ||||||
PT Japfa Comfeed Indonesia Tbk | 590,000 | 208,478 | ||||||
PT Jasa Marga Tbk | 5,417,500 | 2,277,035 | ||||||
PT Jaya Real Property Tbk | 1,967,500 | 331,047 | ||||||
PT Kalbe Farma Tbk | 14,904,238 | 4,476,715 | ||||||
*PT Kawasan Industri Jababeka Tbk | 76,055,000 | 1,144,053 | ||||||
*PT Keramika Indonesia Assosiasi Tbk | 100,000 | 1,200 | ||||||
*PT Lippo Karawaci Tbk | 35,036,250 | 2,431,727 | ||||||
PT Matahari Putra Prima Tbk | 3,652,000 | 575,383 | ||||||
PT Mayorah Indah Tbk | 2,187,000 | 2,957,016 | ||||||
PT Medco Energi Internasional Tbk | 3,846,500 | 1,761,931 | ||||||
*PT Mitra Adiperkasa Tbk | 3,015,000 | 860,450 | ||||||
*PT Mitra International Resources Tbk | 6,855,000 | 184,687 | ||||||
*PT Modern International Tbk | 40,000 | 8,697 | ||||||
*PT Pakuwon Jati Tbk | 9,159,000 | 965,614 | ||||||
*PT Panasia Indosyntec Tbk | 79,000 | 2,077 | ||||||
*PT Panin Financial Tbk | 26,747,500 | 584,782 | ||||||
*PT Panin Insurance Tbk | 6,609,000 | 407,725 | ||||||
PT Perusahaan Perkebunan London Sumatra Indonesia Tbk | 1,475,500 | 1,939,262 | ||||||
*PT Pioneerindo Gourmet International Tbk | 29,000 | 714 | ||||||
*PT Polaris Investama Tbk | 2,730,500 | 315,073 | ||||||
*PT Polychem Indonesia Tbk | 4,228,000 | 97,113 | ||||||
*PT Prasidha Aneka Niaga Tbk | 84,000 | 987 | ||||||
PT Ramayana Lestari Sentosa Tbk | 14,295,000 | 1,458,229 | ||||||
PT Sampoerna Agro Tbk | 2,026,500 | 682,275 | ||||||
*PT Samudera Indonesia Tbk | 223,000 | 104,514 | ||||||
PT Selamat Sempurna Tbk | 3,625,000 | 422,277 | ||||||
*PT Sentul City Tbk | 25,618,000 | 336,096 | ||||||
PT Sinar Mas Agro Resources & Technology Tbk | 1,071,460 | 625,536 | ||||||
PT Sorini Agro Asia Corporindo Tbk | 917,500 | 316,052 | ||||||
*PT Sumalindo Lestari Jaya Tbk | 250 | 4 | ||||||
PT Summarecon Agung Tbk | 16,534,532 | 2,098,443 | ||||||
*PT Sunson Textile Manufacturer Tbk | 2,325,500 | 54,641 | ||||||
*PT Surabaya Agung Industri Pulp & Kertas Tbk | 64,500 | 1,119 | ||||||
*PT Surya Citra Media Tbk | 48,500 | 17,850 | ||||||
*PT Surya Dumai Industri Tbk | 3,298,500 | — | ||||||
*PT Suryainti Permata Tbk | 7,252,000 | 72,216 |
130
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
INDONESIA — (Continued) | ||||||||
*PT Suryamas Dutamakmur Tbk | 125,000 | $ | 1,329 | |||||
*PT Texmaco Jaya Tbk | 93,000 | 30,696 | ||||||
PT Timah Tbk | 8,795,000 | 2,815,672 | ||||||
PT Trada Maritime Tbk | 2,882,000 | 193,785 | ||||||
PT Trias Sentosa Tbk | 38,725,600 | 1,001,667 | ||||||
PT Trimegah Sec Tbk | 9,961,000 | 131,473 | ||||||
*PT Truba Alam Manunggal Engineering Tbk | 14,653,000 | 136,934 | ||||||
PT Tunas Ridean Tbk | 13,838,000 | 1,210,490 | ||||||
*PT Ultrajaya Milk Industry & Trading Co. Tbk | 390,000 | 74,180 | ||||||
PT Unggul Indah Cahaya Tbk | 48,239 | 11,065 | ||||||
PT Wijaya Karya Tbk | 5,193,000 | 420,148 | ||||||
TOTAL INDONESIA | 77,054,839 | |||||||
ISRAEL — (0.0%) | ||||||||
Alony Hetz Properties & Investments, Ltd. | 1 | 3 | ||||||
*Beit Shemesh Engines Holdings, Ltd. | — | — | ||||||
Delta-Galil Industries, Ltd. | 1 | 6 | ||||||
*Electra Real Estate, Ltd. | 1 | 7 | ||||||
*Feuchtwanger Investments, Ltd. | 4,200 | 14 | ||||||
Formula Systems, Ltd. | — | 2 | ||||||
*Formula Vision Technologies, Ltd. | 1 | — | ||||||
*Jerusalem Oil Exploration | — | 5 | ||||||
*Knafaim Arkia Holdings, Ltd. | 25,078 | 138,435 | ||||||
*Metis Capital, Ltd. | 919 | 3,185 | ||||||
*Mivtach Shamir Holdings, Ltd. | 15,288 | 474,767 | ||||||
*Naphtha Israel Petroleum Corp., Ltd. | 1 | 5 | ||||||
Osem Investments, Ltd. | 1 | 10 | ||||||
Scailex Corp, Ltd. | 9,002 | 174,293 | ||||||
Super-Sol, Ltd. Series B | — | 3 | ||||||
TOTAL ISRAEL | 790,735 | |||||||
MALAYSIA — (5.0%) | ||||||||
*A&M Realty Berhad | 130,000 | 23,699 | ||||||
Acoustech Berhad | 156,200 | 38,903 | ||||||
*Adventa Berhad | 39,900 | 30,910 | ||||||
Aeon Co. Berhad | 974,200 | �� | 1,728,461 | |||||
Alam Maritim Resources Berhad | 88,500 | 31,844 | ||||||
Al-’Aqar KPJ REIT Berhad | 75,371 | 28,599 | ||||||
*Amcorp Properties Berhad | 716,033 | 97,966 | ||||||
Amway (Malaysia) Holdings Berhad | 396,700 | 1,028,034 | ||||||
Ancom Berhad | 400,500 | 66,326 | ||||||
Ann Joo Resources Berhad | 981,750 | 944,437 | ||||||
*Anson Perdana Berhad | 10,000 | 145 | ||||||
APM Automotive Holdings Berhad | 250,400 | 420,651 | ||||||
*Asas Dunia Berhad | 137,000 | 40,759 | ||||||
*Asia Pacific Land Berhad | 1,888,600 | 228,317 | ||||||
Bandar Raya Developments Berhad | 1,190,200 | 919,552 | ||||||
*Berjaya Assets Berhad | 684,000 | 154,297 | ||||||
Berjaya Corp. Berhad | 1,888,000 | 657,143 | ||||||
Berjaya Land Berhad | 3,734,000 | 1,407,095 | ||||||
*Berjaya Media Berhad | 104,800 | 17,291 | ||||||
*Berjaya Retail Berhad | 188,800 | 25,788 | ||||||
Bimb Holdings Berhad | 926,600 | 360,539 | ||||||
Bintulu Port Holdings Berhad | 23,400 | 51,421 | ||||||
Bolton Berhad | 674,600 | 245,153 | ||||||
*Boustead Heavy Industries Corp. Berhad | 65,800 | 92,557 | ||||||
Boustead Holdings Berhad | 706,520 | 1,277,613 | ||||||
Cahya Mata Sarawak Berhad | 823,600 | 716,132 | ||||||
Carlsberg Brewery Malaysia Berhad | 655,600 | 1,137,517 | ||||||
CB Industrial Product Holding Berhad | 127,400 | 141,415 | ||||||
Chemical Co. of Malaysia Berhad | 472,600 | 306,278 |
131
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
MALAYSIA — (Continued) | ||||||||
Chin Teck Plantations Berhad | 33,000 | $ | 91,827 | |||||
*Coastal Contracts Berhad | 285,600 | 208,852 | ||||||
CSC Steel Holdings Berhad | 508,200 | 307,158 | ||||||
Cycle & Carriage Bintang Berhad | 15,000 | 23,524 | ||||||
*Datuk Keramik Holdings Berhad | 24,000 | — | ||||||
*Dayang Enterprise Holdings Berhad | 90,900 | 75,812 | ||||||
Dialog Group Berhad | 6,956,692 | 2,911,867 | ||||||
Dijaya Corp. Berhad | 199,600 | 68,702 | ||||||
DNP Holdings Berhad | 544,400 | 318,639 | ||||||
DRB-Hicom Berhad | 3,111,600 | 1,201,152 | ||||||
Dutch Lady Milk Industries Berhad | 125,700 | 724,601 | ||||||
*Eastern & Oriental Berhad | 1,630,400 | 599,205 | ||||||
Eastern Pacific Industrial Corp. Berhad | 218,100 | 141,082 | ||||||
ECM Libra Avenue Berhad | 1,623,407 | 377,708 | ||||||
Encorp Berhad | 196,700 | 62,508 | ||||||
Eng Kah Corp. Berhad | 32,000 | 27,258 | ||||||
Esso Malaysia Berhad | 420,600 | 391,170 | ||||||
Evergreen Fibreboard Berhad | 475,000 | 227,875 | ||||||
Faber Group Berhad | 607,300 | 569,058 | ||||||
Far East Holdings Berhad | 61,500 | 136,493 | ||||||
*Fountain View Development Berhad | 808,200 | — | ||||||
Fraser & Neave Holdings Berhad | 310,900 | 1,448,121 | ||||||
General Corp. Berhad | 225,100 | 116,412 | ||||||
George Kent (Malaysia) Berhad | 34,200 | 13,650 | ||||||
*GHL Systems Berhad | 1 | — | ||||||
Globetronics Technology Berhad | 517,560 | 196,451 | ||||||
Glomac Berhad | 370,200 | 190,737 | ||||||
*Gold Is Berhad | 524,250 | 207,185 | ||||||
*Golden Plus Holdings Berhad | 216,000 | 72,891 | ||||||
Grand United Holdings Berhad | 787,000 | 300,918 | ||||||
*Green Packet Berhad | 832,600 | 241,375 | ||||||
Guiness Anchor Berhad | 787,900 | 2,197,819 | ||||||
*GuocoLand (Malaysia) Berhad | 1,359,800 | 555,789 | ||||||
Hai-O Enterprise Berhad | 357,180 | 353,252 | ||||||
Hap Seng Consolidated Berhad | 1,015,900 | 1,306,780 | ||||||
Hap Seng Plantations Holdings Berhad | 47,200 | 41,537 | ||||||
Hartalega Holdings Berhad | 224,250 | 394,493 | ||||||
*HLG Capital Berhad | 90,000 | 33,944 | ||||||
Hock Seng Lee Berhad | 1,010,300 | 614,422 | ||||||
Hong Leong Industries Berhad | 605,900 | 992,519 | ||||||
*Hovid Berhad | 1,803,300 | 107,292 | ||||||
Hubline Berhad | 1,129,100 | 59,889 | ||||||
Hunza Properties Berhad | 446,200 | 234,011 | ||||||
Hwang-DBS (Malaysia) Berhad | 293,200 | 189,299 | ||||||
IGB Corp. Berhad | 1,535,500 | 988,820 | ||||||
IJM Land Berhad | 1,807,400 | 1,611,016 | ||||||
IJM Plantations Berhad | 1,188,700 | 1,071,443 | ||||||
*Insas Berhad | 1,707,888 | 296,976 | ||||||
Integrated Logistics Berhad | 571,515 | 174,329 | ||||||
*Jaks Resources Berhad | 800,700 | 192,406 | ||||||
*Jaya Tiasa Holdings Berhad | 436,390 | 547,669 | ||||||
Jerneh Asia Berhad | 92,100 | 91,944 | ||||||
JT International Berhad | 550,600 | 1,042,669 | ||||||
K & N Kenanga Holdings Berhad | 762,300 | 182,908 | ||||||
*Karambunai Corp. Berhad | 3,120,500 | 225,459 | ||||||
Keck Seng (Malaysia) Berhad | 552,100 | 1,053,428 | ||||||
Kencana Petroleum Berhad | 2,208,964 | 1,358,749 | ||||||
KFC Holdings (Malaysia) Berhad | 2,239,200 | 2,605,980 | ||||||
Kian Joo Can Factory Berhad | 1,091,080 | 564,248 | ||||||
Kim Loong Resources Berhad | 221,760 | 175,068 | ||||||
Kinsteel Berhad | 1,360,700 | 442,658 |
132
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
MALAYSIA — (Continued) | ||||||||
KLCC Property Holdings Berhad | 641,000 | $ | 679,537 | |||||
*KNM Group Berhad | 7,649,400 | 1,179,695 | ||||||
Kossan Rubber Industries Berhad | 496,800 | 498,503 | ||||||
KPJ Healthcare Berhad | 819,250 | 978,197 | ||||||
KrisAssets Holdings Berhad | 88,863 | 100,137 | ||||||
KSL Holdings Berhad | 649,266 | 341,046 | ||||||
Kub Malaysia Berhad | 1,353,500 | 227,096 | ||||||
Kuchai Development Berhad | 38,100 | 18,965 | ||||||
Kulim Malaysia Berhad | 536,050 | 1,670,054 | ||||||
*Kumpulan Europlus Berhad | 900,100 | 285,069 | ||||||
*Kumpulan Hartanah Selangor Berhad | 708,600 | 102,527 | ||||||
Kumpulan Perangsang Selangor Berhad | 468,700 | 220,054 | ||||||
*Kurnia Asia Berhad | 2,485,800 | 328,273 | ||||||
Kwantas Corp. Berhad | 343,600 | 199,499 | ||||||
Landmarks Berhad | 923,400 | 392,674 | ||||||
*Latexx Partners Berhad | 17,300 | 16,045 | ||||||
*LBS Bina Group Berhad | 161,800 | 31,556 | ||||||
Leader Universal Holdings Berhad | 1,018,700 | 295,432 | ||||||
Leong Hup Holdings Berhad | 397,700 | 207,534 | ||||||
Lingkaran Trans Kota Holdings Berhad | 915,600 | 1,043,658 | ||||||
*Lion Corp Berhad | 616,300 | 58,561 | ||||||
Lion Diversified Holdings Berhad | 615,900 | 105,219 | ||||||
Lion Industries Corp. Berhad | 1,598,100 | 1,019,685 | ||||||
LPI Capital Berhad | 13,280 | 48,907 | ||||||
*MAA Holdings Berhad | 346,666 | 70,887 | ||||||
*Mah Sing Group Berhad | 717,140 | 435,217 | ||||||
*Malayan United Industries Berhad (6556756) | 176,957 | 11,659 | ||||||
*Malayan United Industries Berhad (B4TWFT8) | 23,219 | 1,231 | ||||||
*Malaysia Aica Berhad | 48,200 | 7,767 | ||||||
Malaysia Building Society Berhad | 185,400 | 93,783 | ||||||
Malaysian Bulk Carriers Berhad | 115,900 | 111,431 | ||||||
Malaysian Mosaics Berhad | 71,460 | 52,652 | ||||||
Malaysian Pacific Industries Berhad | 339,500 | 633,914 | ||||||
Malaysian Resources Corp. Berhad | 3,446,649 | 2,309,098 | ||||||
*Mancon Berhad | 12,000 | 3,355 | ||||||
Manulife Holdings Berhad | 100,800 | 104,125 | ||||||
Marco Holdings Berhad | 2,815,400 | 126,390 | ||||||
MBM Resources Berhad | 322,366 | 320,592 | ||||||
Media Prima Berhad | 2,162,403 | 1,540,258 | ||||||
Mega First Corp. Berhad | 361,600 | 208,826 | ||||||
*MEMS Technology Berhad | 1,917,000 | 36,966 | ||||||
*Metro Kajang Holdings Berhad | 145,845 | 65,133 | ||||||
*Minho (Malaysia) Berhad | 181,100 | 22,989 | ||||||
*MK Land Holdings Berhad | 862,700 | 107,062 | ||||||
*MNRB Holdings Berhad | 497,100 | 446,451 | ||||||
MTD ACPI Engineering Berhad | 541,000 | 99,199 | ||||||
Mudajaya Group Berhad | 413,000 | 569,483 | ||||||
Muhibbah Engineering Berhad | 864,250 | 286,787 | ||||||
*Mulpha International Berhad | 4,552,600 | 688,095 | ||||||
Multi-Purpose Holdings Berhad | 502,700 | 349,416 | ||||||
Naim Holdings Berhad | 622,300 | 725,525 | ||||||
*Narra Industries Berhad | 16,000 | 3,174 | ||||||
NCB Holdings Berhad | 1,147,200 | 1,344,890 | ||||||
*Nikko Electronics Berhad | 36,600 | 118 | ||||||
Notion VTEC Berhad | 388,220 | 211,086 | ||||||
NTPM Holdings Berhad | 1,203,180 | 222,528 | ||||||
NV Multi Corp. Berhad | 430,900 | 102,345 | ||||||
*NWP Holdings Berhad | 112,000 | 5,399 | ||||||
*Nylex (Malaysia) Berhad | 450,383 | 107,806 | ||||||
OKS Property Holdings Berhad | 206,835 | 44,625 | ||||||
Oriental Holdings Berhad | 55,400 | 93,486 |
133
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
MALAYSIA — (Continued) | ||||||||
OSK Holdings Berhad | 2,159,288 | $ | 1,057,791 | |||||
P.I.E. Industrial Berhad | 140,100 | 183,806 | ||||||
*Pan Malaysia Cement Works Berhad | 646,600 | 27,962 | ||||||
*Pan Malaysian Industries Berhad | 1,129,000 | 20,088 | ||||||
Panasonic Manufacturing Malaysia Berhad | 157,184 | 924,015 | ||||||
*Panglobal Berhad | 14,000 | 8,504 | ||||||
Paramount Corp. Berhad | 24,000 | 37,597 | ||||||
PBA Holdings Berhad | 274,100 | 87,710 | ||||||
Pelikan International Corp. Berhad | 899,340 | 361,867 | ||||||
*Perisai Petroleum Teknologi Berhad | 454,000 | 79,613 | ||||||
PJ Development Holdings Berhad | 1,070,900 | 291,186 | ||||||
POS Malaysia Berhad | 672,600 | 700,875 | ||||||
*Prime Utilities Berhad | 3,000 | 87 | ||||||
Protasco Berhad | 575,600 | 192,446 | ||||||
Proton Holdings Berhad | 1,404,700 | 2,225,622 | ||||||
Puncak Niaga Holding Berhad | 685,020 | 624,629 | ||||||
QL Resources Berhad | 807,660 | 1,408,063 | ||||||
QSR Brands Berhad | 148,433 | 251,747 | ||||||
*Ramunia Holdings Berhad | 697,287 | 89,893 | ||||||
Ranhill Berhad | 98,000 | 24,869 | ||||||
RCE Capital Berhad | 1,023,900 | 203,100 | ||||||
*Rekapacific Berhad | 55,000 | — | ||||||
*RGB International Berhad | 100,000 | 1,924 | ||||||
Salcon Berhad | 702,400 | 161,777 | ||||||
SapuraCrest Petroleum Berhad | 1,649,700 | 1,328,259 | ||||||
Sarawak Oil Palms Berhad | 179,660 | 201,477 | ||||||
Scientex, Inc. Berhad | 344,862 | 203,916 | ||||||
*Scomi Group Berhad | 2,596,100 | 347,496 | ||||||
Selangor Dredging Berhad | 1,118,200 | 301,833 | ||||||
Shangri-La Hotels (Malaysia) Berhad | 171,200 | 156,442 | ||||||
SHL Consolidated Berhad | 277,400 | 116,251 | ||||||
*Sino Hua-An International Berhad | 423,700 | 51,188 | ||||||
*South East Asia Lumber, Inc. Berhad | 618,000 | 93,095 | ||||||
Southern Acids (Malaysia) Berhad | 41,000 | 37,291 | ||||||
*SPK Sentosa Corp. Berhad | 239,000 | 29,121 | ||||||
*SRI Hartemas Berhad | 65,000 | — | ||||||
Star Publications (Malaysia) Berhad | 613,700 | 815,053 | ||||||
Subur Tiasa Holdings Berhad | 386,085 | 272,704 | ||||||
Sunrise Berhad | 836,008 | 613,465 | ||||||
Sunway City Berhad | 764,300 | 989,342 | ||||||
Sunway Holdings Berhad | 1,046,000 | 670,171 | ||||||
Supermax Corp. Berhad | 825,500 | 1,196,698 | ||||||
Suria Capital Holdings Berhad | 672,800 | 400,680 | ||||||
Symphony House Berhad | 140,000 | 10,185 | ||||||
Ta Ann Holdings Berhad | 491,256 | 726,355 | ||||||
TA Enterprise Berhad | 4,878,900 | 1,155,808 | ||||||
TA Global Berhad (B3X17H6) | 2,927,340 | 437,497 | ||||||
*TA Global Berhad (B4LM6X7) | 2,927,340 | 357,791 | ||||||
Tahp Group Berhad | 4,000 | 6,007 | ||||||
*Talam Corp. Berhad | 783,450 | 23,915 | ||||||
*Tamco Corp. Holdings Berhad | 38,025 | 672 | ||||||
Tan Chong Motor Holdings Berhad | 1,344,900 | 2,449,581 | ||||||
TDM Berhad | 355,500 | 278,487 | ||||||
*Tebrau Teguh Berhad | 1,016,400 | 252,313 | ||||||
Thong Guan Industries Berhad | 215,100 | 69,382 | ||||||
*Three-A Resources Berhad | 430,600 | 241,123 | ||||||
*Time Dotcom Berhad | 3,125,200 | 720,225 | ||||||
Titan Chemicals Corp. Berhad | 1,293,000 | 960,106 | ||||||
Top Glove Corp. Berhad | 765,760 | 1,355,020 | ||||||
Tradewinds (Malaysia) Berhad | 384,000 | 497,591 | ||||||
*Tradewinds Corp. Berhad | 121,600 | 35,140 |
134
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
MALAYSIA — (Continued) | ||||||||
TRC Synergy Berhad | 64,800 | $ | 27,844 | |||||
UAC Berhad | 44,715 | 52,517 | ||||||
Uchi Technologies Berhad | 658,800 | 286,230 | ||||||
Unico-Desa Plantations Berhad | 1,853,775 | 644,376 | ||||||
Unisem (Malaysia) Berhad | 1,267,890 | 761,321 | ||||||
United Malacca Rubber Estates Berhad | 391,050 | 905,657 | ||||||
United Malayan Land Berhad | 13,000 | 7,182 | ||||||
United Plantations Berhad | 508,900 | 2,794,688 | ||||||
VS Industry Berhad | 427,326 | 220,154 | ||||||
Wah Seong Corp. Berhad | 1,166,893 | 818,965 | ||||||
WCT Berhad | 2,291,900 | 2,275,864 | ||||||
WTK Holdings Berhad | 1,165,000 | 450,504 | ||||||
Yeo Hiap Seng (Malaysia) Berhad | 56,760 | 27,243 | ||||||
YTL Cement Berhad | 54,800 | 82,449 | ||||||
*YTL e-Solutions Berhad | 3,485,600 | 1,591,617 | ||||||
*YTL Land & Development Berhad | 77,900 | 36,606 | ||||||
Yu Neh Huat Berhad | 824,198 | 477,538 | ||||||
*Zelan Berhad | 1,373,400 | 307,652 | ||||||
Zhulian Corp Berhad | 256,533 | 153,532 | ||||||
TOTAL MALAYSIA | 103,078,350 | |||||||
MEXICO — (3.8%) | ||||||||
Alsea de Mexico S.A.B. de C.V. | 511,600 | 519,969 | ||||||
#*Axtel S.A.B. de C.V. | 1,196,346 | 711,142 | ||||||
#Banco Compartamos S.A. de C.V. | 612,400 | 4,314,772 | ||||||
#Bolsa Mexicana de Valores S.A. de C.V. | 626,908 | 1,138,771 | ||||||
*Carso Infraestructura y Construccion S.A.B. de C.V. | 1,608,100 | 1,078,318 | ||||||
#*Cia Minera Autlan S.A.B. de C.V. | 198,900 | 439,584 | ||||||
Consorcio ARA S.A.B. de C.V. | 731,800 | 465,228 | ||||||
*Consorcio Hogar S.A.B. de C.V. Series B | 76,793 | 57,091 | ||||||
*Controladora Comercial Mexicana S.A.B. de C.V. Series B | 1,400 | 1,518 | ||||||
#*Corporacion GEO S.A.B. de C.V. Series B | 1,330,000 | 4,222,222 | ||||||
#*Corporacion Interamericana de Entramiento S.A.B. de C.V. Series B | 960,372 | 489,986 | ||||||
*Corporacion Mexicana de Restaurantes S.A.B. de C.V. Series B | 1,623 | 460 | ||||||
Corporacion Moctezuma S.A.B. de C.V. | 858,200 | 2,206,661 | ||||||
Corporativo Fragua S.A.B. de C.V. Series B | 31 | 301 | ||||||
#*Desarrolladora Homex S.A.B. de C.V. | 576,300 | 3,225,002 | ||||||
*Dine S.A.B. de C.V. | 196,367 | 95,416 | ||||||
#Embotelladora Arca S.A.B. de C.V. | 1,909,100 | 7,885,010 | ||||||
*Empaques Ponderosa S.A. de C.V. Series B | 206,000 | 15,015 | ||||||
#*Empresas ICA S.A.B. de C.V. | 655,818 | 1,729,303 | ||||||
#*Empresas ICA S.A.B. de C.V. Sponsored ADR | 681,589 | 7,183,948 | ||||||
#Financiera Independencia S.A.B de C.V. | 290,818 | 281,209 | ||||||
GBM Grupo Bursatil Mexicano SAB de CV Casa de Bolsa | 29,028 | 11,637 | ||||||
#*Genomma Lab Internacional S.A. de C.V. | 741,772 | 1,603,929 | ||||||
*Gruma S.A.B. de C.V. ADR | 33,070 | 259,600 | ||||||
#*Gruma S.A.B. de C.V. Series B | 1,253,434 | 2,484,942 | ||||||
#Grupo Aeroportuario del Centro Norte, S.A.B. de C.V. | 393,000 | 740,615 | ||||||
Grupo Aeroportuario del Pacifico S.A.B. de C.V. | 650,300 | 2,413,609 | ||||||
#Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR | 13,400 | 496,872 | ||||||
#Grupo Aeroportuario del Sureste S.A.B. de C.V. | 150,700 | 757,894 | ||||||
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR | 62,500 | 3,150,000 | ||||||
*Grupo Cementos de Chihuahua S.A.B. de C.V. | 829,200 | 2,632,381 | ||||||
Grupo Continental S.A.B. de C.V. | 3,036,559 | 8,557,844 | ||||||
#*Grupo Famsa S.A.B. de C.V. | 207,500 | 299,117 | ||||||
Grupo Herdez S.A.B. de C.V. | 198,100 | 306,423 | ||||||
Grupo Industrial Maseca S.A.B. de C.V. Series B | 578,600 | 605,871 | ||||||
*Grupo Industrial Saltillo S.A.B. de C.V. | 243,300 | 231,320 | ||||||
Grupo Kuo S.A.B. de C.V. Series B | 222,767 | 319,321 | ||||||
*Grupo Nutrisa S.A. de C.V. | 188 | 589 | ||||||
Grupo Posadas S.A. de C.V. Series L | 199,000 | 262,690 |
135
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
MEXICO — (Continued) | ||||||||
*Grupo Qumma S.A. de C.V. Series B | 105,334 | $ | 1,535 | |||||
#*Grupo Simec S.A. de C.V. | 171,304 | 413,138 | ||||||
#*Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. | 644,700 | 836,418 | ||||||
#Industrias Bachoco S.A.B. de C.V. Series B | 152,000 | 272,660 | ||||||
#*Industrias CH S.A.B. de C.V. Series B | 1,172,808 | 4,226,592 | ||||||
*Maxcom Telecomunicaciones S.A.B. de C.V. | 161,444 | 82,892 | ||||||
#*Megacable Holdings S.A.B. de C.V. | 24,400 | 62,245 | ||||||
Mexichem S.A.B. de C.V. | 448,983 | 1,418,798 | ||||||
#*Promotora y Operadora de Infraestructura S.A. de C.V. | 465,510 | 1,507,969 | ||||||
*Sanluis Corporacion S.A. de C.V. Series A | 3,300 | 494 | ||||||
*Sanluis Corporacion S.A. de C.V. Series C & Series B | 4,642 | 1,496 | ||||||
*Sanluis Rassini Series A | 3,300 | — | ||||||
*Sanluis Rassini Series B | 4,642 | — | ||||||
*Sanluis Rassini Series C | 4,642 | — | ||||||
*Sare Holding S.A.B. de C.V. | 271,300 | 69,209 | ||||||
*Savia S.A. de C.V. | 610,700 | 39,566 | ||||||
#TV Azteca S.A.B. de C.V. Series A | 6,581,300 | 4,940,772 | ||||||
*Urbi Desarrollos Urbanos S.A.B. de C.V. | 1,041,700 | 2,211,124 | ||||||
*Vitro S.A.B. de C.V. | 736,702 | 746,964 | ||||||
TOTAL MEXICO | 78,027,452 | |||||||
PHILIPPINES — (2.3%) | ||||||||
A. Soriano Corp. | 3,430,211 | 245,600 | ||||||
Aboitiz Equity Ventures, Inc. | 6,767,000 | 5,276,577 | ||||||
Alaska Milk Corp. | 1,404,000 | 424,567 | ||||||
Alsons Consolidated Resources, Inc. | 2,656,000 | 87,241 | ||||||
*Atlas Consolidated Mining & Development Corp. | 1,090,000 | 455,841 | ||||||
*Belle Corp. | 12,216,000 | 667,607 | ||||||
Cebu Holdings, Inc. | 2,284,000 | 127,467 | ||||||
China Banking Corp. | 19,434 | 202,036 | ||||||
*Digital Telecommunications Phils., Inc. | 15,152,200 | 552,935 | ||||||
DMCI Holdings, Inc. | 2,912,700 | 2,588,343 | ||||||
Energy Development Corp. | 19,974,000 | 2,787,579 | ||||||
Filinvest Development Corp. | 11,428,000 | 1,362,628 | ||||||
Filinvest Land, Inc. | 72,127,577 | 2,315,944 | ||||||
*First Gen Corp. | 3,103,800 | 982,894 | ||||||
First Philippines Holdings Corp. | 1,527,600 | 2,377,695 | ||||||
Ginebra San Miguel, Inc. | 999,000 | 654,458 | ||||||
Globe Telecom, Inc. | 4,260 | 89,149 | ||||||
House of Investments, Inc. | 692,000 | 51,790 | ||||||
International Container Terminal Services, Inc. | 2,700,000 | 2,701,507 | ||||||
*Ionics, Inc. | 769,825 | 22,396 | ||||||
Jollibee Foods Corp. | 1,101,000 | 2,267,859 | ||||||
*Lepanto Consolidated Mining Co. Series B | 2,970,000 | 25,550 | ||||||
*Lopez Holdings Corp. | 7,752,000 | 1,009,535 | ||||||
*Mabuhay Holdings Corp. | 516,000 | 5,063 | ||||||
Macroasia Corp. | 447,500 | 34,225 | ||||||
*Manila Jockey Club, Inc. | 163,277 | 14,422 | ||||||
*Manila Mining Corp. | 167,962,500 | 85,711 | ||||||
Manila Water Co, Inc. | 2,078,000 | 901,202 | ||||||
Megaworld Corp. | 29,657,000 | 1,765,844 | ||||||
Metro Bank & Trust Co. | 21,400 | 38,914 | ||||||
*Metro Pacific Corp. Series A | 1,827,193 | 88,344 | ||||||
*Paxys, Inc. | 1,757,280 | 71,511 | ||||||
*Pepsi-Cola Products Philippines, Inc. | 2,981,000 | 180,981 | ||||||
Philex Mining Corp. | 2,554,900 | 830,296 | ||||||
*Philippine Bank of Communications | 14,726 | 8,643 | ||||||
*Philippine National Bank | 1,006,375 | 1,660,278 | ||||||
*Philippine National Construction Corp. | 173,000 | 19,705 | ||||||
Philippine Savings Bank | 356,863 | 524,327 | ||||||
Philippine Stock Exchange, Inc. | 23,180 | 212,404 |
136
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
PHILIPPINES — (Continued) | ||||||||
*Philippine Townships, Inc. | 318,732 | $ | 35,192 | |||||
PhilWeb Corp. | 725,700 | 251,737 | ||||||
Phinma Corp. | 135,549 | 34,653 | ||||||
Republic Glass Holding Corp. | 507,500 | 22,414 | ||||||
RFM Corp. | 8,590,268 | 379,998 | ||||||
Rizal Commercial Banking Corp. | 866,100 | 563,688 | ||||||
Robinson’s Land Corp. Series B | 4,503,070 | 1,776,615 | ||||||
Security Bank Corp. | 708,642 | 1,384,628 | ||||||
Semirara Mining Corp. | 320,280 | 1,278,733 | ||||||
Shang Properties, Inc. | 1,759,970 | 72,373 | ||||||
SM Development Corp. | 13,886,790 | 2,866,550 | ||||||
Union Bank of Philippines | 308,300 | 436,428 | ||||||
*Universal Rightfield Property Holdings, Inc. | 1,062,000 | 691 | ||||||
Universal Robina Corp. | 3,594,015 | 3,634,966 | ||||||
*Victorias Milling Co., Inc. | 139,680 | 2,825 | ||||||
Vista Land & Lifescapes, Inc. | 8,197,700 | 629,740 | ||||||
*Yehey! Corp. | 29,670 | — | ||||||
TOTAL PHILIPPINES | 47,090,299 | |||||||
POLAND — (2.2%) | ||||||||
Agora SA | 156,140 | 1,531,437 | ||||||
*Alchemia SA | 90,687 | 235,520 | ||||||
*Amica Wronki SA | 20,213 | 362,774 | ||||||
*AmRest Holdings SA | 17,888 | 488,528 | ||||||
Apator SA | 30,999 | 195,708 | ||||||
Asseco Poland SA | 814 | 15,045 | ||||||
*ATM SA | 57,593 | 183,745 | ||||||
*Bank Millennium SA | 892,727 | 1,583,210 | ||||||
*Bank Przemyslowo Handlowy BPH SA | 18,428 | 391,727 | ||||||
*Barlinek SA | 167,481 | 270,603 | ||||||
*Bioton SA | 7,909,195 | 528,409 | ||||||
*BOMI SA | 75,466 | 282,708 | ||||||
*Boryszew SA | 577,466 | 404,602 | ||||||
Budimex SA | 42,196 | 1,553,040 | ||||||
*Cersanit SA | 122,234 | 480,316 | ||||||
*Cersanit-Krasnystaw SA | 244,468 | 976,654 | ||||||
*Ciech SA | 47,394 | 323,804 | ||||||
*ComArch SA | 7,855 | 220,467 | ||||||
Cyfrowy Polsat SA | 75,325 | 370,044 | ||||||
Debica SA | 29,862 | 659,670 | ||||||
Decora SA | 9,066 | 54,163 | ||||||
Dom Development SA | 8,374 | 137,846 | ||||||
*Dom Maklerski IDM SA | 338,502 | 420,102 | ||||||
*Echo Investment SA | 1,181,980 | 2,195,396 | ||||||
Elektrobudowa SA | 8,568 | 528,187 | ||||||
*Elstar Oils SA | 26,132 | 39,139 | ||||||
Emperia Holding SA | 29,617 | 1,016,726 | ||||||
*Energomontaz Poludnie SA | 87,722 | 116,903 | ||||||
Eurocash SA | 190,324 | 1,745,490 | ||||||
Fabryki Mebli Forte SA | 48,823 | 236,525 | ||||||
*Famur SA | 195,168 | 161,573 | ||||||
*Farmacol SA | 50,868 | 754,394 | ||||||
*Ferrum SA | 309 | 1,284 | ||||||
*Gant Development SA | 27,439 | 189,523 | ||||||
*Gastel Zurawie SA | 86,145 | 42,275 | ||||||
Grupa Kety SA | 39,137 | 1,624,871 | ||||||
*Hydrobudowa Polska SA | 269,342 | 311,705 | ||||||
*Impexmetal SA | 414,860 | 603,339 | ||||||
*Inter Cars SA | 12,178 | 296,170 | ||||||
*JW Construction Holding SA | 33,866 | 199,731 | ||||||
*Koelner SA | 15,481 | 78,761 |
137
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
POLAND — (Continued) | ||||||||
*Kredyt Bank SA | 74,420 | $ | 391,213 | |||||
*LC Corp. SA | 605,897 | 350,227 | ||||||
*Lentex SA | 24,214 | 220,834 | ||||||
LPP SA | 1,751 | 1,192,422 | ||||||
*MCI Management SA | 71,699 | 205,935 | ||||||
*MNI SA | 253,024 | 287,784 | ||||||
*Mondi Packaging Paper Swiecie SA | 42,039 | 1,156,718 | ||||||
*Mostostal Siedlce SA | 1,216,340 | 1,770,802 | ||||||
Mostostal Warszawa SA | 37,200 | 886,752 | ||||||
*Mostostal Zabrze Holding SA | 253,701 | 311,176 | ||||||
*Multimedia Polska SA | 233,814 | 795,563 | ||||||
*Netia Holdings SA | 670,005 | 1,303,804 | ||||||
*NFI Empik Media & Fashion SA | 72,905 | 508,418 | ||||||
NG2 SA | 64,565 | 1,400,072 | ||||||
*Noble Bank SA | 94,588 | 170,373 | ||||||
*Orbis SA | 130,535 | 1,899,210 | ||||||
PBG SA | 22,212 | 1,690,728 | ||||||
*Pekaes SA | 24,538 | 72,950 | ||||||
*Petrolinvest SA | 10,368 | 37,714 | ||||||
*Pfleiderer Grajewo SA | 1,555 | 6,033 | ||||||
*Pol-Aqua SA | 9,465 | 55,421 | ||||||
*Polish Energy Partners SA | 34,406 | 398,123 | ||||||
Polnord SA | 39,675 | 516,206 | ||||||
*Polska Grupa Farmaceutyczna SA | 34,417 | 574,993 | ||||||
*Polski Koncern Miesny Duda SA | 371,690 | 211,215 | ||||||
*Przedsiebiorstwo Eksportu Inzyn Importu Kopex SA | 30,753 | 194,077 | ||||||
Qumak-Sekom SA | 3,881 | 19,007 | ||||||
Raciborska Fabryka Kotlow SA | 215,305 | 906,167 | ||||||
Sniezka SA | 5,612 | 80,407 | ||||||
*Stalexport SA | 571,434 | 276,397 | ||||||
Stalprodukt SA | 9,334 | 1,313,931 | ||||||
*Sygnity SA | 46,479 | 251,059 | ||||||
*Synthos SA | 2,064,706 | 1,859,463 | ||||||
*Trakcja Polska SA | 186,284 | 312,063 | ||||||
*Vistula Group SA | 232,490 | 202,542 | ||||||
Zaklady Azotowe Pulawy SA | 22,570 | 593,262 | ||||||
*Zaklady Azotowe w Tarnowie-Moscicach SA | 32,622 | 234,595 | ||||||
*Zaklady Chemiczne Police SA | 50,407 | 100,828 | ||||||
Zaklady Tluszcowe Kruszwica SA | 16,528 | 486,541 | ||||||
Zelmer SA | 14,649 | 202,485 | ||||||
TOTAL POLAND | 45,259,624 | |||||||
SOUTH AFRICA — (8.6%) | ||||||||
Adcock Ingram Holdings, Ltd. | 565,230 | 5,239,226 | ||||||
Adcorp Holdings, Ltd. | 131,319 | 543,392 | ||||||
Advtech, Ltd. | 623,001 | 541,562 | ||||||
Aeci, Ltd. | 243,530 | 2,701,931 | ||||||
Afgri, Ltd. | 792,149 | 753,072 | ||||||
#African Oxygen, Ltd. | 268,139 | 798,934 | ||||||
*AG Industries, Ltd. | 32,496,618 | 185,562 | ||||||
Allied Electronics Corp., Ltd. | 163,698 | 666,699 | ||||||
Allied Technologies, Ltd. | 104,444 | 942,948 | ||||||
*Argent Industrial, Ltd. | 37,236 | 47,385 | ||||||
Astral Foods, Ltd. | 112,124 | 1,793,346 | ||||||
*Aveng, Ltd. | 981,591 | 6,169,886 | ||||||
AVI, Ltd. | 740,314 | 2,941,941 | ||||||
Avusa, Ltd. | 404,845 | 1,301,379 | ||||||
Barloworld, Ltd. | 579,959 | 4,344,138 | ||||||
Basil Read Holdings, Ltd. | 33,641 | 60,110 | ||||||
*Bell Equipment, Ltd. | 158,539 | 237,446 | ||||||
Blue Label Telecoms, Ltd. | 665,615 | 685,534 |
138
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH AFRICA — (Continued) | ||||||||
Brait SA | 145,807 | $ | 509,825 | |||||
Business Connexion Group, Ltd. | 362,346 | 326,623 | ||||||
Capitec Bank Holdings, Ltd. | 108,929 | 2,270,926 | ||||||
Cashbuild, Ltd. | 49,819 | 672,575 | ||||||
Ceramic Industries, Ltd. | 31,493 | 618,646 | ||||||
*Cipla Medpro South Africa, Ltd. | 931,387 | 930,017 | ||||||
City Lodge Hotels, Ltd. | 105,257 | 1,227,805 | ||||||
Clicks Group, Ltd. | 918,874 | 5,984,671 | ||||||
Coronation Fund Managers, Ltd. | 273,295 | 585,077 | ||||||
*Corpgro, Ltd. | 241,136 | �� | — | |||||
*Cullinan Holdings, Ltd. | 434,430 | 40,931 | ||||||
Data Tec, Ltd. | 582,336 | 2,892,440 | ||||||
Datacentrix Holdings, Ltd. | 33,946 | 23,742 | ||||||
Delta EMD, Ltd. | 83,032 | 114,529 | ||||||
Discovery Holdings, Ltd. | 150,000 | 844,919 | ||||||
Distell Group, Ltd. | 283,884 | 2,851,324 | ||||||
*Distribution & Warehousing Network, Ltd. | 258,997 | 287,370 | ||||||
*Dorbyl, Ltd. | 222,291 | 152,989 | ||||||
#*Durban Roodeport Deep, Ltd. | 698,295 | 345,825 | ||||||
ElementOne, Ltd. | 325,845 | 546,564 | ||||||
*EOH Holdings, Ltd. | 16,503 | 32,836 | ||||||
*Eqstra Holdings, Ltd. | 47,013 | 42,326 | ||||||
*Evraz Highveld Steel & Vanadium, Ltd. | 147,791 | 1,827,913 | ||||||
Famous Brands, Ltd. | 69,344 | 431,172 | ||||||
Foschini Group, Ltd. (The) | 672,822 | 8,160,841 | ||||||
Freeworld Coatings, Ltd. | 38,888 | 56,358 | ||||||
Gijima Group, Ltd. | 1,280,438 | 142,552 | ||||||
Gold Fields, Ltd. | 4,908 | 76,666 | ||||||
*Gold One International, Ltd. | 164,683 | 54,447 | ||||||
Gold Reef Resorts, Ltd. | 338,580 | 883,013 | ||||||
Grindrod, Ltd. | 1,607,864 | 3,896,553 | ||||||
Group Five, Ltd. | 314,833 | 1,757,808 | ||||||
*Health Strategic Investments, Ltd. | 190,074 | 381,233 | ||||||
Hudaco Industries, Ltd. | 77,411 | 934,540 | ||||||
*Hulamin, Ltd. | 141,665 | 173,731 | ||||||
Iliad Africa, Ltd. | 321,493 | 342,488 | ||||||
Illovo Sugar, Ltd. | 517,235 | 1,926,440 | ||||||
Imperial Holdings, Ltd. | 422,517 | 6,904,540 | ||||||
*JCI, Ltd. | 3,131,151 | — | ||||||
JD Group, Ltd. | 983,807 | 6,913,498 | ||||||
JSE, Ltd. | 300,437 | 3,402,143 | ||||||
Kap International Holdings, Ltd. | 1,834,945 | 657,214 | ||||||
Lewis Group, Ltd. | 379,341 | 3,864,488 | ||||||
M Cubed Holdings, Ltd. | 385,000 | — | ||||||
Medi-Clinic Corp., Ltd. | 785,551 | 3,033,203 | ||||||
Merafe Resources, Ltd. | 5,592,756 | 1,100,558 | ||||||
*Metorex, Ltd. | 2,210,741 | 1,366,137 | ||||||
Metropolitan Holdings, Ltd. | 2,025,393 | 4,888,202 | ||||||
Mr. Price Group, Ltd. | 693,186 | 6,263,264 | ||||||
Murray & Roberts Holdings, Ltd. | 22,733 | 140,891 | ||||||
*Mustek, Ltd. | 784,364 | 418,919 | ||||||
*Mvelaphanda Group, Ltd. | 568,175 | 431,792 | ||||||
Nampak, Ltd. | 1,326,125 | 3,721,192 | ||||||
Network Healthcare Holdings, Ltd. | 1,500,952 | 3,122,410 | ||||||
#Northam Platinum, Ltd. | 388,463 | 2,686,163 | ||||||
Nu-World Holdings, Ltd. | 28,894 | 110,260 | ||||||
Oceana Group, Ltd. | 235,042 | 1,111,936 | ||||||
*Omnia Holdings, Ltd. | 90,020 | 837,795 | ||||||
Palabora Mining Co., Ltd. | 25,270 | 377,977 | ||||||
Peregrine Holdings, Ltd. | 515,333 | 954,832 | ||||||
Petmin, Ltd. | 83,610 | 36,664 |
139
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH AFRICA — (Continued) | ||||||||
*Pioneer Foods, Ltd. | 41,039 | $ | 286,720 | |||||
Pretoria Portland Cement Co., Ltd. | 804,208 | 3,829,627 | ||||||
PSG Group, Ltd. | 202,085 | 1,028,720 | ||||||
Rainbow Chicken, Ltd. | 91,454 | 208,534 | ||||||
*Randgold & Exploration Co., Ltd. | 60,670 | 56,469 | ||||||
Raubex Group, Ltd. | 225,290 | 801,670 | ||||||
Redefine Properties, Ltd. | 18,412 | 21,459 | ||||||
Reunert, Ltd. | 594,843 | 5,436,191 | ||||||
Santam, Ltd. | 119,932 | 1,982,607 | ||||||
*Sappi, Ltd. | 585,984 | 2,900,971 | ||||||
*Sappi, Ltd. Sponsored ADR | 10,828 | 53,707 | ||||||
*SecureData Holdings, Ltd. | 339,582 | 47,265 | ||||||
*Sentula Mining, Ltd. | 2,055,316 | 768,994 | ||||||
*Simmer & Jack Mines, Ltd. | 1,186,177 | 148,854 | ||||||
Spar Group, Ltd. (The) | 622,477 | 8,462,463 | ||||||
Spur Corp., Ltd. | 73,399 | 146,306 | ||||||
Stefanutti Stocks Holdings, Ltd. | 34,557 | 55,079 | ||||||
Sun International, Ltd. | 207,451 | 2,900,525 | ||||||
*Super Group, Ltd. | 16,981,587 | 1,451,844 | ||||||
Telkom South Africa, Ltd. | 380,252 | 1,964,599 | ||||||
Tongaat-Hulett, Ltd. | 629,016 | 8,799,490 | ||||||
*Trans Hex Group, Ltd. | 153,546 | 65,921 | ||||||
Trencor, Ltd. | 97,601 | 494,888 | ||||||
UCS Group, Ltd. | 144,872 | 40,182 | ||||||
Value Group, Ltd. | 363,719 | 192,310 | ||||||
*Wesizwe Platinum, Ltd. | 439,532 | 98,166 | ||||||
Wilson Bayly Holme-Ovcon, Ltd. | 190,920 | 3,673,617 | ||||||
Woolworths Holdings, Ltd. | 1,831,592 | 7,176,559 | ||||||
Zeder Investments, Ltd. | 630,020 | 216,111 | ||||||
TOTAL SOUTH AFRICA | 177,956,132 | |||||||
SOUTH KOREA — (11.3%) | ||||||||
Aekyung Petrochemical Co., Ltd. | 8,180 | 289,581 | ||||||
*Artone Paper Manufacturing Co., Ltd. | 8,915 | 30,855 | ||||||
#Asia Cement Manufacturing Co., Ltd. | 6,176 | 249,532 | ||||||
Asia Paper Manufacturing Co., Ltd. | 8,880 | 98,145 | ||||||
*Asiana Airlines, Inc. | 241,400 | 1,965,737 | ||||||
*AUK Corp. | 57,430 | 256,813 | ||||||
Baek Kwang Mineral Products Co., Ltd. | 1,860 | 39,298 | ||||||
#*Basic House Co., Ltd. (The) | 31,370 | 632,642 | ||||||
Bing Grae Co., Ltd. | 14,046 | 677,848 | ||||||
*BNG Steel Co., Ltd. | 18,480 | 189,175 | ||||||
Bohae Brewery Co., Ltd. | 20 | 341 | ||||||
Boo Kook Securities Co., Ltd. | 7,410 | 117,271 | ||||||
Boryung Pharmaceutical Co., Ltd. | 9,694 | 183,233 | ||||||
#Bu Kwang Pharmaceutical Co., Ltd. | 34,341 | 378,221 | ||||||
Busan Bank | 401,750 | 5,005,650 | ||||||
BYC Co., Ltd. | 710 | 100,780 | ||||||
Byuck San Corp. | 5,300 | 85,535 | ||||||
*Byuck San Engineering & Construction Co., Ltd. | 5,590 | 8,689 | ||||||
#*Capro Corp. | 51,300 | 907,463 | ||||||
Cheil Worldwide, Inc. | 220,375 | 2,398,579 | ||||||
*Chin Hung International, Inc. | 1,025,376 | 445,328 | ||||||
Cho Kwang Leather Co., Ltd. | 10,640 | 113,187 | ||||||
Choil Aluminum Manufacturing Co., Ltd. | 7,700 | 65,305 | ||||||
Chong Kun Dang Pharmaceutical Corp. | 27,162 | 584,503 | ||||||
#Choongwae Holdings Co., Ltd. | 28,232 | 74,082 | ||||||
#Choongwae Pharma Corp. | 12,967 | 196,735 | ||||||
Chosun Refractories Co., Ltd. | 2,653 | 139,286 | ||||||
Chungho Comnet Co., Ltd. | 2,320 | 18,111 | ||||||
#CJ CGV Co., Ltd. | 28,890 | 762,130 |
140
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH KOREA — (Continued) | ||||||||
CJ Cheiljedang Corp. | 11,655 | $ | 2,245,562 | |||||
CJ Corp. | 37,487 | 2,642,421 | ||||||
*CJ Seafood Corp. | 56,270 | 131,660 | ||||||
#*Cosmochemical Co., Ltd. | 14,640 | 97,795 | ||||||
Crown Confectionery Co., Ltd. | 1,799 | 214,217 | ||||||
Dae Dong Industrial Co., Ltd. | 31,650 | 180,258 | ||||||
Dae Han Flour Mills Co., Ltd. | 2,656 | 350,417 | ||||||
*Dae Ho Corp. | 543 | 63 | ||||||
#Dae Won Kang Up Co., Ltd. | 98,414 | 379,485 | ||||||
#*Daechang Co., Ltd. | 124,030 | 191,591 | ||||||
#Daeduck Electronics Co., Ltd. | 68,767 | 511,989 | ||||||
#Daeduck Industries Co., Ltd. | 39,756 | 316,646 | ||||||
Daegu Bank, Ltd. | 315,263 | 4,136,509 | ||||||
Daegu Department Store Co., Ltd. | 15,310 | 164,494 | ||||||
Daehan City Gas Co., Ltd. | 11,541 | 312,352 | ||||||
*Daehan Pulp Co., Ltd. | 6,710 | 29,918 | ||||||
Daehan Steel Co., Ltd. | 24,780 | 204,922 | ||||||
Daehan Synthetic Fiber Co., Ltd. | 1,750 | 195,909 | ||||||
*Dae-Il Corp. | 27,070 | 151,377 | ||||||
Daekyo Co., Ltd. | 98,400 | 514,960 | ||||||
#*Daekyung Machinery & Engineering Co., Ltd. | 54,200 | 151,598 | ||||||
Daelim Industrial Co., Ltd. | 46,223 | 3,774,001 | ||||||
Daelim Trading Co., Ltd. | 17,730 | 67,807 | ||||||
*Daesang Corp. | 49,760 | 366,080 | ||||||
Daesang Holdings Co., Ltd. | 45,412 | 136,509 | ||||||
#Daesung Group Holdings Co., Ltd. | 1,829 | 185,766 | ||||||
*Daesung Holdings Co., Ltd. | 11,524 | 89,347 | ||||||
#*Daesung Industrial Co., Ltd. | 4,535 | 214,810 | ||||||
#*Daewoo Motor Sales Corp. | 93,560 | 251,563 | ||||||
Daewoong Co., Ltd. | 6,546 | 108,884 | ||||||
#Daewoong Pharmaceutical Co., Ltd. | 14,579 | 612,682 | ||||||
Dahaam E-Tec Co., Ltd. | 2,200 | 54,457 | ||||||
Daishin Securities Co., Ltd. | 96,730 | 1,326,496 | ||||||
*Daiyang Metal Co., Ltd. | 35,544 | 29,520 | ||||||
#Daou Technology, Inc. | 63,570 | 508,474 | ||||||
*DCM Corp. | 6,420 | 55,996 | ||||||
Digital Power Communications Co., Ltd. | 50,540 | 70,625 | ||||||
Dong Ah Tire Industrial Co., Ltd. | 23,075 | 190,463 | ||||||
*Dong IL Rubber Belt Co., Ltd. | 29,348 | 195,285 | ||||||
#*Dong Yang Gang Chul Co., Ltd. | 65,210 | 340,361 | ||||||
#Dong-A Pharmaceutical Co., Ltd. | 20,186 | 2,106,844 | ||||||
#*Dongaone Co., Ltd. | 78,310 | 377,848 | ||||||
Dongbang Agro Co., Ltd. | 19,470 | 110,773 | ||||||
Dongbang Transport Logistics Co., Ltd. | 26,000 | 53,872 | ||||||
#Dongbu Corp. | 25,950 | 184,610 | ||||||
#*Dongbu HiTek Co., Ltd. | 46,623 | 462,467 | ||||||
Dongbu Insurance Co., Ltd. | 96,440 | 3,408,554 | ||||||
Dongbu Securities Co., Ltd. | 51,631 | 339,085 | ||||||
#Dongbu Steel Co., Ltd. | 54,916 | 479,634 | ||||||
Dong-Il Corp. | 3,202 | 189,064 | ||||||
Dongil Industries Co., Ltd. | 3,297 | 261,987 | ||||||
Dongil Paper Manufacturing Co., Ltd. | 6,080 | 7,299 | ||||||
Dongkuk Steel Mill Co., Ltd. | 99,270 | 2,287,439 | ||||||
#Dongwha Pharm Co., Ltd. | 47,870 | 224,399 | ||||||
Dongwon F&B Co., Ltd. | 3,810 | 175,491 | ||||||
*Dongwon Industries Co., Ltd. | 3,363 | 418,731 | ||||||
#*Dongwon Systems Corp. | 185,427 | 252,654 | ||||||
#Dongyang Mechatronics Corp. | 57,681 | 631,326 | ||||||
Doosan Construction & Engineering Co., Ltd. | 83,770 | 551,698 | ||||||
#Doosan Corp. | 4,999 | 674,487 | ||||||
#*DuzonBIzon Co., Ltd. | 39,180 | 710,636 |
141
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH KOREA — (Continued) | ||||||||
#E1 Corp. | 8,685 | $ | 440,624 | |||||
*Eagon Industrial Co., Ltd. | 8,930 | 66,218 | ||||||
*Eugene Investment & Securities Co., Ltd. | 1,178,194 | 718,582 | ||||||
F&F Co., Ltd. | 21,060 | 94,192 | ||||||
*FCB Twelve Co., Ltd. | 1,215 | 70,993 | ||||||
#*Firstech Co., Ltd. | 68,149 | 159,315 | ||||||
#*Foosung Co., Ltd. | 97,639 | 387,531 | ||||||
Fursys, Inc. | 15,560 | 390,726 | ||||||
Gaon Cable Co., Ltd. | 4,873 | 111,842 | ||||||
#GIIR, Inc. | 14,410 | 143,536 | ||||||
#Global & Yuasa Battery Co., Ltd. | 16,060 | 456,500 | ||||||
Golden Bridge Investment & Securities Co., Ltd. | 56,620 | 119,490 | ||||||
Green Cross Corp. | 7,149 | 896,094 | ||||||
Green Cross Holdings Corp. | 2,364 | 249,085 | ||||||
*Green Non-Life Insurance Co., Ltd. | 19,867 | 81,668 | ||||||
#GS Global Corp. | 9,302 | 200,349 | ||||||
Gwangju Shinsegae Co., Ltd. | 1,820 | 301,096 | ||||||
Halla Climate Control Corp. | 106,070 | 1,971,364 | ||||||
#Halla Engineering & Construction Corp. | 28,912 | 543,543 | ||||||
#Han Kuk Carbon Co., Ltd. | 45,743 | 263,645 | ||||||
Han Yang Securities Co., Ltd. | 24,190 | 205,791 | ||||||
#*Hanall Biopharma Co., Ltd. | 54,058 | 285,513 | ||||||
Handok Pharmaceuticals Co., Ltd. | 12,760 | 167,945 | ||||||
#Handsome Corp. | 36,569 | 531,048 | ||||||
Hanil Cement Manufacturing Co., Ltd. | 11,659 | 630,307 | ||||||
*Hanil Construction Co., Ltd. | 11,388 | 22,818 | ||||||
#Hanil E-Wha Co., Ltd. | 56,330 | 372,864 | ||||||
#Hanjin Heavy Industries & Construction Co., Ltd. | 79,750 | 3,040,218 | ||||||
Hanjin Heavy Industries & Construction Holdings Co., Ltd. | 28,580 | 489,394 | ||||||
*Hanjin Shipping Co., Ltd. | 22,699 | 629,961 | ||||||
#*Hanjin Shipping Holdings Co., Ltd. | 45,364 | 650,340 | ||||||
#Hanjin Transportation Co., Ltd. | 19,671 | 609,034 | ||||||
*Hankook Cosmetics Co., Ltd. | 19,749 | 69,626 | ||||||
#Hankook Cosmetics Manufacturing Co., Ltd. | 5,570 | 42,730 | ||||||
Hankook Shell Oil Co., Ltd. | 1,867 | 382,162 | ||||||
*Hankook Synthetics, Inc. | 550 | 46 | ||||||
Hankuk Electric Glass Co., Ltd. | 5,450 | 259,344 | ||||||
Hankuk Glass Industries, Inc. | 12,660 | 353,207 | ||||||
#Hankuk Paper Manufacturing Co., Ltd. | 6,700 | 182,095 | ||||||
#*Hanmi Holdings Co., Ltd. | 4,184 | 138,442 | ||||||
#*Hanmi Pharm Co., Ltd. | 12,552 | 1,104,331 | ||||||
#*Hanmi Semiconductor Co., Ltd. | 24,980 | 178,362 | ||||||
#Hansae Co., Ltd. | 16,560 | 98,144 | ||||||
Hansae Yes24 Holdings Co., Ltd. | 5,520 | 13,908 | ||||||
Hanshin Construction Co., Ltd. | 530 | 5,196 | ||||||
#Hansol Chemical Co., Ltd. | 16,000 | 235,632 | ||||||
#*Hansol CSN Co., Ltd. | 65,160 | 139,480 | ||||||
#*Hansol HomeDeco Co., Ltd. | 64,500 | 90,099 | ||||||
#*Hansol LCD, Inc. | 14,739 | 839,926 | ||||||
#Hansol Paper Co., Ltd. | 86,160 | 858,866 | ||||||
#Hanssem Co., Ltd. | 30,600 | 295,047 | ||||||
#Hanwha Chemical Corp. | 187,517 | 5,106,807 | ||||||
*Hanwha General Insurance Co., Ltd. | 58,398 | 484,684 | ||||||
Hanwha Securities Co., Ltd. | 123,771 | 899,633 | ||||||
Hanwha Timeworld Co., Ltd. | 5,120 | 87,266 | ||||||
Heung-A Shipping Co., Ltd. | 81,780 | 109,349 | ||||||
*HeungKuk Fire & Marine Insurance Co., Ltd. | 71,447 | 352,191 | ||||||
#Hite Brewery Co., Ltd. | 12,084 | 1,347,526 | ||||||
#Hite Holdings Co., Ltd. | 15,260 | 288,055 | ||||||
*HMC Investment Securities Co., Ltd. | 37,920 | 662,507 | ||||||
#Hotel Shilla Co., Ltd. | 81,768 | 2,085,573 |
142
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH KOREA — (Continued) | ||||||||
*HS R&A Co., Ltd. | 7,720 | $ | 212,434 | |||||
#Huchems Fine Chemical Corp. | 60,348 | 1,156,621 | ||||||
Husteel Co., Ltd. | 9,530 | 154,565 | ||||||
*Hwa Sung Industrial Co., Ltd. | 12,520 | 49,891 | ||||||
Hwacheon Machine Tool Co., Ltd. | 510 | 18,578 | ||||||
Hwacheon Machinery Works Co., Ltd. | 370 | 6,794 | ||||||
#*Hwashin Co., Ltd. | 38,280 | 523,405 | ||||||
Hyosung T & C Co., Ltd. | 11,949 | 1,328,169 | ||||||
Hyundai Cement Co., Ltd. | 10,770 | 86,328 | ||||||
#*Hyundai Corp. | 21,801 | 483,927 | ||||||
Hyundai Department Store Co., Ltd. | 32,701 | 3,624,009 | ||||||
*Hyundai Development Co. | 138,410 | 3,892,697 | ||||||
Hyundai DSF Co., Ltd. | 7,510 | 73,810 | ||||||
Hyundai Elevator Co., Ltd. | 7,294 | 509,127 | ||||||
#Hyundai Engineering Plastics Co., Ltd. | 40,790 | 152,682 | ||||||
Hyundai Greenfood Co., Ltd. | 112,070 | 1,088,817 | ||||||
#Hyundai Hysco | 91,740 | 1,863,290 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 132,660 | 2,836,885 | ||||||
Hyundai Mipo Dockyard Co., Ltd. | 22,255 | 3,722,332 | ||||||
Hyundai Pharmaceutical Ind. Co., Ltd. | 14,100 | 22,372 | ||||||
Hyundai Securities Co. | 300,510 | 3,938,888 | ||||||
*IHQ, Inc. | 7,110 | 12,288 | ||||||
#Il Dong Pharmaceutical Co., Ltd. | 7,743 | 253,054 | ||||||
Il Sung Construction Co., Ltd. | 2,700 | 16,521 | ||||||
*Il Yang Pharmaceutical Co., Ltd. | 23,000 | 559,919 | ||||||
*Iljin Diamond Co., Ltd. | 12,700 | 132,738 | ||||||
#*Iljin Display Co., Ltd. | 36,348 | 319,864 | ||||||
#*Iljin Electric Co., Ltd. | 37,729 | 394,187 | ||||||
#Iljin Holdings Co., Ltd. | 31,892 | 117,236 | ||||||
Ilshin Spinning Co., Ltd. | 1,967 | 164,346 | ||||||
#Ilsung Pharmaceutical Co., Ltd. | 2,444 | 162,293 | ||||||
InziControls Co., Ltd. | 1,260 | 6,827 | ||||||
IS Dongseo Co., Ltd. | 22,578 | 308,843 | ||||||
#ISU Chemical Co., Ltd. | 18,240 | 381,299 | ||||||
#IsuPetasys Co., Ltd. | 56,480 | 175,515 | ||||||
#Jahwa Electronics Co., Ltd. | 25,340 | 147,795 | ||||||
Jeil Pharmaceutical Co. | 19,870 | 272,356 | ||||||
Jeonbuk Bank, Ltd. | 101,229 | 621,783 | ||||||
*Jinheung Savings Bank | 39,019 | 130,904 | ||||||
JS Cable Co., Ltd. | 4,540 | 54,352 | ||||||
#K.C. Tech Co., Ltd. | 44,883 | 243,069 | ||||||
*KCO Energy, Inc. | 120,777 | 537 | ||||||
#*Keangnam Enterprises, Ltd. | 22,093 | 224,085 | ||||||
#*KEPCO Plant Service & Engineering Co., Ltd. | 19,098 | 1,055,401 | ||||||
#KG Chemical Corp. | 15,390 | 152,791 | ||||||
#*KIC, Ltd. | 23,030 | 121,487 | ||||||
KISCO Corp. | 10,860 | 274,531 | ||||||
#*Kishin Corp. | 35,300 | 218,374 | ||||||
#KISWIRE, Ltd. | 16,702 | 591,247 | ||||||
*KIWOOM Securities Co., Ltd. | 24,870 | 1,259,796 | ||||||
#Kolon Corp. | 7,509 | 249,223 | ||||||
#Kolon Engineering & Construction Co., Ltd. | 36,920 | 155,897 | ||||||
*Kolon Industries, Inc. | 17,200 | 1,087,689 | ||||||
Korea Cast Iron Pipe Co., Ltd. | 30,450 | 109,198 | ||||||
*Korea Circuit Co., Ltd. | 19,330 | 83,567 | ||||||
*Korea Cottrell Co., Ltd. | 32,814 | 123,822 | ||||||
*Korea Development Co., Ltd. | 29,710 | 125,685 | ||||||
Korea Development Leasing Corp. | 7,597 | 137,511 | ||||||
Korea Electric Terminal Co., Ltd. | 14,990 | 274,575 | ||||||
Korea Export Packing Industries Co., Ltd. | 3,990 | 46,427 | ||||||
#*Korea Express Co., Ltd. | 24,769 | 1,567,442 |
143
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH KOREA — (Continued) | ||||||||
*Korea Flange Co., Ltd. | 6,900 | $ | 91,658 | |||||
*Korea Green Paper Manufacturing Co., Ltd. | 701 | 1,434 | ||||||
Korea Investment Holdings Co., Ltd. | 97,740 | 3,087,323 | ||||||
Korea Iron & Steel Co., Ltd. | 3,462 | 168,012 | ||||||
#Korea Kolmar Co., Ltd. | 43,147 | 349,043 | ||||||
#*Korea Komho Petrochemical Co., Ltd. | 28,640 | 1,897,165 | ||||||
#*Korea Line Corp. | 19,617 | 709,145 | ||||||
#Korea Petrochemical Industrial Co., Ltd. | 4,609 | 354,833 | ||||||
Korea Reinsurance Co., Ltd. | 189,599 | 2,137,197 | ||||||
*Korea Savings Bank | 7,079 | 60,478 | ||||||
#Korea Zinc Co., Ltd. | 5,742 | 1,453,342 | ||||||
#Korean Air Terminal Service Co., Ltd. | 4,350 | 179,713 | ||||||
KP Chemical Corp. | 121,051 | 1,805,331 | ||||||
KPX Chemical Co., Ltd. | 3,603 | 172,963 | ||||||
#*KPX Fine Chemical Co., Ltd. | 3,686 | 232,584 | ||||||
KPX Holdings Corp. | 3,008 | 144,967 | ||||||
*KTB Securities Co., Ltd. | 129,830 | 589,893 | ||||||
#Kukdo Chemical Co., Ltd. | 8,450 | 428,692 | ||||||
Kukdong Oil & Chemicals Co., Ltd. | 3,623 | 49,263 | ||||||
Kumbi Corp. | 670 | 21,374 | ||||||
#*Kumho Electric Co., Ltd. | 8,082 | 298,367 | ||||||
#*Kumho Industrial Co., Ltd. | 46,110 | 178,858 | ||||||
Kumho Investment Bank | 145,230 | 104,762 | ||||||
#*Kumho Tire Co., Inc. | 90,000 | 567,874 | ||||||
Kumkang Industrial Co., Ltd. | 5,810 | 49,805 | ||||||
Kunsul Chemical Industrial Co., Ltd. | 8,190 | 134,588 | ||||||
#Kwang Dong Pharmaceutical Co., Ltd. | 90,320 | 249,320 | ||||||
*Kwang Myung Electric Engineering Co., Ltd. | 9,500 | 17,470 | ||||||
Kyeryong Construction Industrial Co., Ltd. | 12,540 | 211,565 | ||||||
Kyobo Securities Co., Ltd. | 45,970 | 376,773 | ||||||
Kyung Dong Navien Co., Ltd. | 1,740 | 50,715 | ||||||
*Kyungbang Co., Ltd. | 1,352 | 139,425 | ||||||
Kyungdong City Gas Co., Ltd. | 2,270 | 88,078 | ||||||
Kyung-In Synthetic Corp. | 51,010 | 164,597 | ||||||
Kyungnam Energy Co., Ltd. | 28,770 | 80,366 | ||||||
#LG Fashion Corp. | 46,325 | 1,320,302 | ||||||
#*LG Innotek Co., Ltd. | 23,981 | 2,780,131 | ||||||
LG International Corp. | 73,842 | 2,342,164 | ||||||
#*LG Life Sciences, Ltd. | 26,935 | 1,160,198 | ||||||
LIG Insurance Co., Ltd. | 91,770 | 1,900,408 | ||||||
Livart Furniture Co., Ltd. | 9,790 | 70,803 | ||||||
#Lotte Chilsung Beverage Co., Ltd. | 1,718 | 1,177,324 | ||||||
#Lotte Confectionary Co., Ltd. | 1,695 | 1,850,170 | ||||||
#Lotte Midopa Co., Ltd. | 61,160 | 785,686 | ||||||
Lotte Non-Life Insurance Co., Ltd. | 48,040 | 331,789 | ||||||
#Lotte Sam Kang Co., Ltd. | 1,998 | 467,512 | ||||||
#*Lotte Tour Development Co., Ltd. | 5,730 | 131,913 | ||||||
LS Industrial Systems Co., Ltd. | 21,364 | 1,714,976 | ||||||
Macquarie Korea Infrastructure Fund | 520,371 | 2,307,528 | ||||||
Manho Rope & Wire Co., Ltd. | 3,950 | 60,957 | ||||||
Meritz Fire Marine Insurance Co., Ltd. | 180,948 | 1,242,909 | ||||||
*Meritz Securities Co., Ltd. | 464,225 | 415,089 | ||||||
Mirae Asset Securities Co., Ltd. | 56,522 | 2,962,551 | ||||||
Miwon Commercial Co., Ltd. | 1,081 | 112,970 | ||||||
*Miwon Specialty Chemical Co., Ltd. | 448 | 53,430 | ||||||
*Moorim P&P Co., Ltd. | 15,150 | 151,420 | ||||||
#Moorim Paper Co., Ltd. | 23,918 | 202,299 | ||||||
Motonic Corp. | 20,900 | 180,455 | ||||||
#Namhae Chemical Corp. | 63,074 | 1,119,894 | ||||||
#*Namkwang Engineering & Construction Co., Ltd. | 44,977 | 168,598 | ||||||
*Namsun Aluminum Co., Ltd. | 129,900 | 143,755 |
144
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH KOREA — (Continued) | ||||||||
Namyang Dairy Products Co., Ltd. | 1,009 | $ | 552,304 | |||||
*Nasan Co., Ltd. | 23,824 | 22,190 | ||||||
*National Information & Credit Evaluation, Inc. | 220 | 6,090 | ||||||
National Plastic Co., Ltd. | 32,500 | 56,930 | ||||||
#NCsoft Corp. | 12,591 | 2,773,535 | ||||||
Nexen Corp. | 4,130 | 225,371 | ||||||
#Nexen Tire Corp. | 71,180 | 580,439 | ||||||
NH Investment & Securities Co., Ltd. | 64,269 | 589,505 | ||||||
#*NK Co., Ltd. | 17,150 | 194,209 | ||||||
Nong Shim Co., Ltd. | 8,447 | 1,551,878 | ||||||
#Nong Shim Holdings Co., Ltd. | 5,210 | 284,714 | ||||||
Noroo Holdings Co., Ltd. | 8,565 | 50,575 | ||||||
Noroo Paint Co., Ltd. | 14,277 | 45,345 | ||||||
*ON*Media Corp. | 138,570 | 421,587 | ||||||
#*Orientbio, Inc. | 106,060 | 105,218 | ||||||
ORION Corp. | 9,061 | 3,032,983 | ||||||
Ottogi Corp. | 3,910 | 507,217 | ||||||
Pacific Corp. | 8,059 | 1,261,037 | ||||||
Pacific Pharmaceutical Co., Ltd. | 2,030 | 58,045 | ||||||
*PaperCorea, Inc. | 13,740 | 131,976 | ||||||
*Poong Lim Industrial Co., Ltd. | 31,880 | 58,416 | ||||||
#Poongsan Corp. | 47,471 | 1,698,670 | ||||||
Poongsan Holdings Corp. | 11,157 | 382,123 | ||||||
POSCO Coated & Color Steel Co., Ltd. | 6,320 | 183,212 | ||||||
Pulmuone Co., Ltd. | 2,916 | 119,300 | ||||||
Pum Yang Construction Co., Ltd. | 12,016 | 55,454 | ||||||
Pusan City Gas Co., Ltd. | 14,730 | 294,531 | ||||||
*Pyung Hwa Holdings Co., Ltd. | 2 | 3 | ||||||
Pyung Hwa Industrial Co., Ltd. | 6 | 18 | ||||||
#*RNL BIO Co., Ltd. | 159,490 | 547,347 | ||||||
#*S&T Corp. | 9,103 | 188,239 | ||||||
#*S&T Daewoo Co., Ltd. | 14,220 | 430,396 | ||||||
#S&T Dynamics Co., Ltd. | 50,002 | 1,088,494 | ||||||
#S&T Holdings Co., Ltd. | 31,368 | 456,120 | ||||||
#*S&T Motors Co., Ltd. | 156,480 | 103,645 | ||||||
#S1 Corp. | 43,593 | 2,403,520 | ||||||
#*Saehan Industries, Inc. | 651,800 | 746,743 | ||||||
*Saehan Media Corp. | 3,460 | 15,711 | ||||||
*Saeron Automotive Corp. | 13,090 | 71,725 | ||||||
#*Sajo Industries Co., Ltd. | 8,060 | 338,792 | ||||||
*Sajodaerim Corp. | 4,770 | 100,704 | ||||||
#Sam Jin Pharmaceutical Co., Ltd. | 30,689 | 289,438 | ||||||
Sam Kwang Glass Industrial Co., Ltd. | 4,960 | 320,651 | ||||||
Sam Whan Camus Co., Ltd. | 5,270 | 27,260 | ||||||
Sam Yung Trading Co., Ltd. | 13,947 | 71,911 | ||||||
#Sambu Construction Co., Ltd. | 11,120 | 160,593 | ||||||
Samchully Co., Ltd. | 6,971 | 762,429 | ||||||
*Samho Development Co., Ltd. | 31,127 | 88,653 | ||||||
*Samho International Co., Ltd. | 12,681 | 35,184 | ||||||
Samhwa Crown & Closure Co., Ltd. | 412 | 8,064 | ||||||
Samhwa Paints Industrial Co., Ltd. | 26,400 | 123,160 | ||||||
#Samick Musical Instruments Co., Ltd. | 146,160 | 168,767 | ||||||
*Samick THK Co., Ltd. | 29,370 | 160,796 | ||||||
Samsung Climate Control Co., Ltd. | 6,810 | 48,122 | ||||||
#Samsung Fine Chemicals Co., Ltd. | 42,528 | 2,525,824 | ||||||
#Samwha Capacitor Co., Ltd. | 15,030 | 170,404 | ||||||
#Samwhan Corp. | 16,190 | 143,590 | ||||||
Samyang Corp. | 12,380 | 704,653 | ||||||
*Samyang Foods Co., Ltd. | 8,430 | 129,150 | ||||||
Samyang Genex Co., Ltd. | 4,129 | 238,186 | ||||||
Samyang Tongsang Co., Ltd. | 1,760 | 37,035 |
145
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH KOREA — (Continued) | ||||||||
#Samyoung Electronics Co., Ltd. | 20,950 | $ | 255,786 | |||||
*SAVEZONE I&C Corp. | 12,100 | 29,516 | ||||||
#*SBS Media Holdings Co., Ltd. | 74,080 | 192,743 | ||||||
Seah Besteel Corp. | 26,260 | 684,611 | ||||||
SeAH Holdings Corp. | 4,622 | 455,353 | ||||||
#SeAH Steel Corp. | 6,214 | 278,080 | ||||||
Sebang Co., Ltd. | 21,405 | 378,090 | ||||||
#Sejong Industrial Co., Ltd. | 30,130 | 369,007 | ||||||
Seoul City Gas Co., Ltd. | 3,590 | 161,644 | ||||||
*Seowon Co., Ltd. | 32,830 | 104,224 | ||||||
#*Serim Paper Manufacturing Co., Ltd. | 32,013 | 84,682 | ||||||
#*Sewon Cellontech Co., Ltd. | 53,791 | 275,914 | ||||||
#*SH Chemical Co., Ltd. | 116,732 | 46,946 | ||||||
*Shell-Line Co., Ltd. | 7,600 | 57,227 | ||||||
#Shin Won Corp. | 91,390 | 117,026 | ||||||
Shin Young Securities Co., Ltd. | 11,340 | 365,919 | ||||||
#*Shinhan Engineering & Construction Co., Ltd. | 3,676 | 25,228 | ||||||
Shinpoong Pharmaceutical Co., Ltd. | 5,020 | 151,983 | ||||||
Shinsegae Engineering & Construction Co., Ltd. | 2,990 | 36,444 | ||||||
*Shinsegae Information & Communication Co., Ltd. | 1,980 | 124,885 | ||||||
*Shinsung Engineering Co., Ltd. | 924 | 4,321 | ||||||
Shinsung FA Co., Ltd. | 914 | 4,189 | ||||||
#*Shinsung Holdings Co., Ltd. | 57,920 | 378,024 | ||||||
#Silla Trading Co., Ltd. | 9,280 | 107,276 | ||||||
Sindo Ricoh Co., Ltd. | 11,169 | 539,997 | ||||||
*SJM Co., Ltd. | 10,868 | 65,981 | ||||||
SJM Holdings Co., Ltd. | 11,641 | 49,660 | ||||||
#*SK Chemicals Co., Ltd. | 37,623 | 2,100,684 | ||||||
SK Gas Co., Ltd. | 9,960 | 367,671 | ||||||
SK Networks Co., Ltd. | 194,700 | 1,871,797 | ||||||
SKC Co., Ltd. | 50,650 | 1,728,145 | ||||||
#SL Corp. | 24,960 | 427,827 | ||||||
*Solomon Savings Bank | 11,267 | 33,097 | ||||||
*Songwon Industrial Co., Ltd. | 21,700 | 230,868 | ||||||
*Ssangbangwool & Trygroup | 32,070 | 21,232 | ||||||
*Ssangyong Cement Industrial Co., Ltd. | 79,381 | 463,494 | ||||||
#*STX Corp. | 54,002 | 1,658,159 | ||||||
#STX Engine Co., Ltd. | 44,542 | 1,613,178 | ||||||
#STX Offshore & Shipbuilding Co., Ltd. | 118,670 | 2,870,966 | ||||||
#STX Pan Ocean Co., Ltd. | 253,150 | 2,695,969 | ||||||
Suheung Capsule Co., Ltd. | 16,030 | 114,046 | ||||||
#*Sung Jin Geotec Co., Ltd. | 39,150 | 637,765 | ||||||
#*Sung Shin Cement Co., Ltd. | 25,380 | 101,854 | ||||||
*Sungchang Enterprise Holdings, Ltd. | 8,030 | 111,658 | ||||||
*Sunjin Co., Ltd. | 2,840 | 114,885 | ||||||
Sunkyong Securities Co., Ltd. | 558,620 | 1,175,107 | ||||||
Tae Kwang Industrial Co., Ltd. | 919 | 1,050,160 | ||||||
#Tae Kyung Industrial Co., Ltd. | 33,700 | 152,968 | ||||||
#Taeyoung Engineering & Construction | 106,800 | 643,345 | ||||||
#*Tai Han Electric Wire Co., Ltd. | 248,653 | 1,579,995 | ||||||
Tai Lim Packaging Industries Co., Ltd. | 91,140 | 118,524 | ||||||
#TCC Steel | 16,981 | 75,982 | ||||||
*Tec & Co. | 250,710 | 44,767 | ||||||
Telcoware Co., Ltd. | 9,000 | 57,279 | ||||||
#*Tong Yang Major Corp. | 96,206 | 196,968 | ||||||
Tong Yang Securities, Inc. | 188,196 | 1,905,133 | ||||||
*Trigem Computer, Inc. | 13 | — | ||||||
#TS Corp. | 6,600 | 323,708 | ||||||
*Uangel Corp. | 12,280 | 48,056 | ||||||
#Unid Co., Ltd. | 7,159 | 355,275 | ||||||
*Union Steel Manufacturing Co., Ltd. | 13,912 | 319,549 |
146
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
SOUTH KOREA — (Continued) | ||||||||
#*VGX International, Inc. | 18,440 | $ | 27,578 | |||||
Whanin Pharmaceutical Co., Ltd. | 27,500 | 175,401 | ||||||
*Woongjin Holdings Co., Ltd. | 79,367 | 810,660 | ||||||
#Woongjin Thinkbig Co., Ltd. | 37,369 | 794,156 | ||||||
Woori Financial Co., Ltd. | 21,080 | 226,105 | ||||||
Woori Investment & Securities Co., Ltd. | 218,080 | 3,856,477 | ||||||
WooSung Feed Co., Ltd. | 17,000 | 27,619 | ||||||
YESCO Co., Ltd. | 5,950 | 130,833 | ||||||
Yoosung Enterprise Co., Ltd. | 34,546 | 97,413 | ||||||
#Youlchon Chemical Co., Ltd. | 32,710 | 272,598 | ||||||
*Young Poong Mining & Construction Corp. | 1,580 | 77 | ||||||
Young Poong Paper Manufacturing Co., Ltd. | 580 | 8,707 | ||||||
Youngone Corp. | 60,704 | 593,749 | ||||||
#Youngone Holdings Co., Ltd. | 17,796 | 514,417 | ||||||
Youngpoong Corp. | 2,277 | 1,324,926 | ||||||
Yuhan Corp. | 22,938 | 3,250,989 | ||||||
Yuhwa Securities Co., Ltd. | 12,910 | 181,480 | ||||||
#*Yungjin Pharm Co., Ltd. | 183,532 | 150,349 | ||||||
*ZeroOne Interactive Co., Ltd. | 3,200 | 43 | ||||||
TOTAL SOUTH KOREA | 234,467,006 | |||||||
TAIWAN — (10.8%) | ||||||||
*A.G.V. Products Corp. | 741,782 | 331,312 | ||||||
Aaeon Technology, Inc. | 178,751 | 307,368 | ||||||
Ability Enterprise Co., Ltd. | 752,076 | 1,249,173 | ||||||
*Abocom Systems, Inc. | 470 | 196 | ||||||
Acbel Polytech, Inc. | 777,599 | 700,845 | ||||||
Accton Technology Corp. | 707,000 | 506,685 | ||||||
Ace Pillar Co., Ltd. | 22,000 | 28,901 | ||||||
Adlink Technology, Inc. | 133,000 | 249,066 | ||||||
Advancetek Enterprise Co., Ltd. | 153,000 | 110,479 | ||||||
Advantech Co., Ltd. | 240,000 | 655,297 | ||||||
ALI Corp. | 383,000 | 587,809 | ||||||
Alpha Networks, Inc. | 381,000 | 338,797 | ||||||
Altek Corp. | 534,622 | 764,011 | ||||||
Ambassador Hotel (The) | 597,000 | 943,904 | ||||||
*Ampoc Far East Co., Ltd. | 158,444 | 102,117 | ||||||
Amtran Technology Co., Ltd. | 1,289,011 | 1,092,577 | ||||||
APCB, Inc. | 163,000 | 162,562 | ||||||
Apex Biotechnology Corp. | 205,380 | 491,216 | ||||||
*Apex Medical Corp. | 87,000 | 130,166 | ||||||
Apex Science & Engineering Corp. | 164,960 | 70,092 | ||||||
*Arima Communications Corp. | 378,000 | 147,650 | ||||||
*Arima Optoelectronics Corp. | 285,594 | 72,464 | ||||||
Asia Chemical Corp. | 559,000 | 397,764 | ||||||
*Asia Optical Co, Inc. | 298,000 | 508,147 | ||||||
Asia Polymer Corp. | 595,123 | 653,638 | ||||||
Asia Vital Components Co., Ltd. | 391,574 | 432,255 | ||||||
ASROCK, Inc. | 62,000 | 224,568 | ||||||
Aten International Co., Ltd. | 197,479 | 345,695 | ||||||
Aurora Corp. | 541,499 | 968,728 | ||||||
Aurora Systems Corp. | 244,244 | 241,144 | ||||||
*AV Tech Corp. | 59,000 | 166,004 | ||||||
Avermedia Technologies, Inc. | 362,446 | 465,085 | ||||||
Avision, Inc. | 226,000 | 116,782 | ||||||
Awea Mechantronic Co., Ltd. | 22,000 | 24,329 | ||||||
*Bank of Kaohsiung | 62,000 | 25,948 | ||||||
Basso Industry Corp., Ltd. | 98,000 | 90,024 | ||||||
Bes Engineering Corp. | 2,691,750 | 698,515 | ||||||
Biostar Microtech International Corp. | 231,975 | 142,034 | ||||||
Bright Led Electronics Corp. | 177,520 | 194,141 |
147
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (Continued) | ||||||||
C Sun Manufacturing, Ltd. | 255,221 | $ | 209,939 | |||||
Cameo Communications, Inc. | 266,810 | 137,770 | ||||||
Capital Securities Corp. | 1,875,055 | 854,912 | ||||||
*Career Technology MFG. Co., Ltd. | 356,000 | 440,410 | ||||||
*Carnival Industrial Corp. | 656,000 | 244,930 | ||||||
Cathay Real Estate Development Co., Ltd. | 742,000 | 415,131 | ||||||
Central Reinsurance Co., Ltd. | 826,402 | 431,675 | ||||||
Chain Qui Development Co., Ltd. | 226,083 | 176,643 | ||||||
Champion Building Materials Co., Ltd. | 588,851 | 470,302 | ||||||
*Chang Wah Electromaterials, Inc. | 50,000 | 236,266 | ||||||
Charoen Pokphand Enterprises Co., Ltd. | 351,000 | 217,433 | ||||||
Cheng Loong Corp. | 1,760,330 | 793,416 | ||||||
Cheng Uei Precision Industry Co., Ltd. | 577,720 | 1,184,343 | ||||||
Chenming Mold Industrial Corp. | 276,437 | 215,574 | ||||||
Chia Hsin Cement Corp. | 1,089,670 | 550,657 | ||||||
*Chia Hsin Food & Synthetic Fiber Co., Ltd. | 97,211 | — | ||||||
Chicony Electronics Co., Ltd. | 128,846 | 283,732 | ||||||
Chilisin Electronics Corp. | 207,535 | 188,638 | ||||||
China Chemical & Pharmaceutical Co. | 408,000 | 398,885 | ||||||
*China Ecotek Corp. | 170,000 | 276,502 | ||||||
China Electric Manufacturing Co., Ltd. | 694,900 | 558,747 | ||||||
China General Plastics Corp. | 665,000 | 265,431 | ||||||
China Glaze Co., Ltd. | 339,305 | 326,500 | ||||||
China Hi-Ment Corp. | 308,348 | 356,291 | ||||||
China Life Insurance Co., Ltd. | 2,117,851 | 1,718,586 | ||||||
*China Man-Made Fiber Co., Ltd. | 2,399,879 | 1,130,580 | ||||||
China Metal Products Co., Ltd. | 532,726 | 545,903 | ||||||
China Motor Co., Ltd. | 854,609 | 693,973 | ||||||
*China Petrochemical Development Corp. | 1,449,000 | 1,225,266 | ||||||
*China Rebar Co., Ltd. | 55,174 | — | ||||||
China Steel Chemical Corp. | 412,554 | 1,500,736 | ||||||
China Steel Structure Co., Ltd. | 232,000 | 173,472 | ||||||
China Synthetic Rubber Corp. | 852,563 | 849,802 | ||||||
*China United Trust & Investment Corp. | 164,804 | — | ||||||
*China Wire & Cable Co., Ltd. | 521,000 | 194,301 | ||||||
Chinese Maritime Transport, Ltd. | 422,850 | 913,475 | ||||||
*Ching Feng Home Fashions Industries Co., Ltd. | 199,403 | 73,955 | ||||||
Chin-Poon Industrial Co., Ltd. | 559,207 | 456,508 | ||||||
*Chipbond Technology Corp. | 25,000 | 38,905 | ||||||
Chong Hong Construction Co. | 271,580 | 668,997 | ||||||
*Chou Chin Industrial Co., Ltd. | 825 | — | ||||||
*Chroma Ate, Inc. | 598,828 | 1,538,609 | ||||||
*Chun Yu Works & Co., Ltd. | 469,000 | 140,871 | ||||||
Chun Yuan Steel Industrial Co., Ltd. | 1,046,536 | 509,592 | ||||||
Chung Hsin Electric & Machinery Co., Ltd. | 753,000 | 453,420 | ||||||
*Chung Hung Steel Corp. | 1,832,000 | 801,685 | ||||||
*Chung Hwa Pulp Corp. | 843,594 | 453,373 | ||||||
Clevo Co. | 344,000 | 757,656 | ||||||
*CMC Magnetics Corp. | 4,438,000 | 1,165,015 | ||||||
Collins Co., Ltd. | 462,700 | 208,394 | ||||||
*Compal Communications, Inc. | 535,000 | 453,354 | ||||||
*Compeq Manufacturing Co., Ltd. | 2,207,000 | 729,835 | ||||||
*Continental Holdings Corp. | 1,297,067 | 496,902 | ||||||
*Cosmo Electronics Corp. | 214,137 | 212,250 | ||||||
*Cosmos Bank Taiwan | 262,740 | 58,099 | ||||||
Coxon Precise Industrial Co., Ltd. | 120,000 | 229,005 | ||||||
CSBC Corp. Taiwan | 450,000 | 400,135 | ||||||
CTCI Corp. | 950,013 | 1,068,048 | ||||||
CviLux Corp. | 30,450 | 42,259 | ||||||
*CX Technology Co., Ltd. | 62,368 | 33,813 | ||||||
Cyberlink Corp. | 158,025 | 583,317 |
148
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (Continued) | ||||||||
Cybertan Technology, Inc. | 456,779 | $ | 597,563 | |||||
DA CIN Construction Co., Ltd. | 482,711 | 271,555 | ||||||
Darfon Electronics Corp. | 322,550 | 396,159 | ||||||
*Davicom Semiconductor, Inc. | 86,345 | 128,607 | ||||||
De Licacy Industries Co., Ltd. | 70,000 | 30,558 | ||||||
Delpha Construction Co., Ltd. | 364,410 | 164,698 | ||||||
Depo Auto Parts Industrial Co., Ltd. | 42,000 | 114,542 | ||||||
*Der Pao Construction Co., Ltd. | 476,000 | 12,747 | ||||||
Diamond Flower Electric Instrument Co., Ltd. | 203,524 | 197,440 | ||||||
D-Link Corp. | 980,665 | 990,020 | ||||||
Dynamic Electronics Co., Ltd. | 306,000 | 205,864 | ||||||
*Eastern Media International Corp. | 2,366,337 | 621,159 | ||||||
Eclat Textile Co., Ltd. | 248,146 | 322,046 | ||||||
Edom Technology Co., Ltd. | 238,776 | 131,756 | ||||||
*Elan Microelectronics Corp. | 614,715 | 885,853 | ||||||
*E-Lead Electronic Co., Ltd. | 82,942 | 58,564 | ||||||
E-LIFE MALL Corp., Ltd. | 37,000 | 56,440 | ||||||
Elite Advanced Laser Corp. | 80,000 | 195,355 | ||||||
Elite Material Co., Ltd. | 359,160 | 335,539 | ||||||
Elite Semiconductor Memory Technology, Inc. | 340,200 | 544,982 | ||||||
Elitegroup Computer Systems Co., Ltd. | 1,131,182 | 429,776 | ||||||
*Enlight Corp. | 149,899 | 6,500 | ||||||
*EnTie Commercial Bank | 575,603 | 263,170 | ||||||
Eternal Chemical Co., Ltd. | 891,804 | 1,031,841 | ||||||
*Everest Textile Co., Ltd. | 830,562 | 206,436 | ||||||
Everfocus Electronics Corp. | 89,000 | 57,193 | ||||||
Evergreen International Storage & Transport Corp. | 1,691,000 | 1,500,333 | ||||||
Everlight Chemical Industrial Corp. | 655,000 | 780,154 | ||||||
Everlight Electronics Co., Ltd. | 37,000 | 102,366 | ||||||
*Everspring Industry Co. | 217,000 | 85,137 | ||||||
*Evertop Wire Cable Corp. | 45,461 | 10,468 | ||||||
*Excel Cell Electronics Co., Ltd. | 143,000 | 88,803 | ||||||
Excelsior Medical Co., Ltd. | 117,000 | 368,644 | ||||||
Far Eastern Department Stores Co., Ltd. | 1,066,000 | 1,323,050 | ||||||
Far Eastern International Bank | 2,043,516 | 904,556 | ||||||
Faraday Technology Corp. | 468,000 | 922,637 | ||||||
*Favite, Inc. | 84,000 | 93,996 | ||||||
Federal Corp. | 801,623 | 508,323 | ||||||
Feng Hsin Iron & Steel Co., Ltd. | 631,100 | 1,035,195 | ||||||
Feng Tay Enterprise Co., Ltd. | 839,054 | 871,866 | ||||||
*FIC Global, Inc. | 27,289 | 3,994 | ||||||
First Copper Technology Co., Ltd. | 703,000 | 321,751 | ||||||
First Hotel | 463,200 | 451,360 | ||||||
First Insurance Co., Ltd. | 531,179 | 279,532 | ||||||
First Steamship Co., Ltd. | 335,200 | 665,954 | ||||||
*FLEXium Interconnect, Inc. | 173,043 | 271,523 | ||||||
Flytech Technology Co., Ltd. | 129,937 | 342,166 | ||||||
*Forhouse Corp. | 560,635 | 551,799 | ||||||
Formosa Advanced Technologies Co., Ltd. | 229,000 | 258,674 | ||||||
Formosa Epitaxy, Inc. | 508,811 | 672,648 | ||||||
Formosa International Hotels Corp. | 30,800 | 500,249 | ||||||
*Formosa Oilseed Processing Co., Ltd. | 28,000 | 14,249 | ||||||
Formosan Rubber Group, Inc. | 841,000 | 663,052 | ||||||
*Formosan Union Chemical Corp. | 150,000 | 84,599 | ||||||
Fortune Electric Co., Ltd. | 502,078 | 369,736 | ||||||
*Founding Construction & Development Co., Ltd. | 127,000 | 92,998 | ||||||
*FU I Industrial Co., Ltd. | 97,900 | 29,313 | ||||||
Fullerton Technology Co., Ltd. | 108,900 | 120,861 | ||||||
Fwusow Industry Co., Ltd. | 482,920 | 227,779 | ||||||
G Shank Enterprise Co., Ltd. | 335,013 | 269,894 | ||||||
*Gamma Optical Co., Ltd. | 74,800 | 58,142 |
149
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (Continued) | ||||||||
Gem Terminal Industries Co., Ltd. | 302,386 | $ | 221,197 | |||||
Gemtek Technology Corp. | 475,019 | 738,175 | ||||||
General Plastic Industrial Co., Ltd. | 43,680 | 51,049 | ||||||
*Genesis Photonics, Inc. | 205,000 | 354,644 | ||||||
*Genius Electronic Optical Co., Ltd. | 9,000 | 60,728 | ||||||
GeoVision, Inc. | 44,000 | 143,482 | ||||||
Getac Technology Corp. | 679,360 | 400,618 | ||||||
Giant Manufacture Co., Ltd. | 660,776 | 2,595,126 | ||||||
*Giantplus Technology Co., Ltd. | 298,000 | 199,977 | ||||||
Giga Solution Tech Co., Ltd. | 117,000 | 83,472 | ||||||
Giga Storage Corp. | 335,616 | 544,855 | ||||||
Giga-Byte Technology Co., Ltd. | 1,390,800 | 1,367,152 | ||||||
Gintech Energy Corp. | 505,559 | 1,460,264 | ||||||
*Global Brands Manufacture, Ltd. | 259,710 | 157,640 | ||||||
Global Mixed Mode Technology, Inc. | 97,000 | 441,579 | ||||||
Global Unichip Corp. | 108,000 | 444,485 | ||||||
Globe Union Industrial Corp. | 426,944 | 447,394 | ||||||
Gold Circuit Electronics, Ltd. | 864,227 | 311,625 | ||||||
Goldsun Development & Construction Co., Ltd. | 2,382,290 | 1,227,753 | ||||||
Good Will Instrument Co., Ltd. | 148,176 | 111,031 | ||||||
Grand Pacific Petrochemical Corp. | 1,130,000 | 624,169 | ||||||
Grape King, Inc. | 183,000 | 293,222 | ||||||
Great China Metal Industry Co., Ltd. | 462,000 | 443,201 | ||||||
Great Taipei Gas Co., Ltd. | 846,000 | 483,007 | ||||||
Great Wall Enterprise Co., Ltd. | 831,275 | 871,748 | ||||||
*Greatek Co., Ltd. | 916,688 | 875,614 | ||||||
Green Energy Technology, Inc. | 176,033 | 499,073 | ||||||
*GTM Corp. | 338,000 | 239,055 | ||||||
Hannstar Board Corp. | 288,096 | 200,496 | ||||||
*HannStar Display Corp. | 6,121,000 | 1,223,931 | ||||||
Hanpin Co., Ltd. | 120,800 | 62,152 | ||||||
Harvatek Corp. | 187,659 | 229,215 | ||||||
Hey Song Corp. | 765,000 | 615,801 | ||||||
Highwealth Construction Corp. | 1,037,871 | 1,853,448 | ||||||
*Hiti Digital, Inc. | 105,000 | 118,444 | ||||||
Hitron Technologies, Inc. | 181,213 | 122,656 | ||||||
*Ho Tung Holding Corp. | 1,124,275 | 590,764 | ||||||
*Hocheng Corp. | 542,700 | 197,456 | ||||||
*Hold-Key Electric Wire & Cable Co., Ltd. | 337,079 | 237,736 | ||||||
Holiday Entertainment Co., Ltd. | 48,800 | 43,867 | ||||||
Holtek Semiconductor, Inc. | 250,000 | 368,216 | ||||||
Holystone Enterprise Co., Ltd. | 318,699 | 387,339 | ||||||
Hong Tai Electric Industrial Co., Ltd. | 567,000 | 298,906 | ||||||
Hong Yi Fiber Industry Co., Ltd. | 158,320 | 86,902 | ||||||
Honmyue Enterprise Co., Ltd. | 139,080 | 51,200 | ||||||
*Hota Industrial Manufacturing Co., Ltd. | 40,000 | 20,253 | ||||||
Hsin Kuang Steel Co., Ltd. | 399,443 | 371,456 | ||||||
Hsing Ta Cement Co., Ltd. | 620,000 | 202,473 | ||||||
Hua Eng Wire & Cable Co., Ltd. | 988,565 | 358,871 | ||||||
Huaku Development Co., Ltd. | 372,288 | 1,030,707 | ||||||
Huang Hsiang Construction Co. | 248,800 | 526,563 | ||||||
Hung Ching Development & Construction Co., Ltd. | 449,000 | 251,668 | ||||||
Hung Poo Construction Corp. | 490,658 | 729,674 | ||||||
Hung Sheng Construction Co., Ltd. | 717,400 | 415,456 | ||||||
*Hwa Fong Rubber Co., Ltd. | 471,670 | 163,610 | ||||||
Ichia Technologies, Inc. | 396,000 | 202,806 | ||||||
I-Chiun Precision Industry Co., Ltd. | 287,313 | 351,265 | ||||||
ICP Electronics, Inc. | 194,000 | 267,582 | ||||||
Infortrend Technology, Inc. | 439,163 | 574,588 | ||||||
Inventec Appliances Corp. | 267,000 | 207,356 | ||||||
I-Sheng Electric Wire & Cable Co., Ltd. | 68,000 | 115,819 |
150
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (Continued) | ||||||||
*ITE Technology, Inc. | 254,408 | $ | 444,606 | |||||
*ITEQ Corp. | 364,000 | 534,154 | ||||||
*Jean Co., Ltd. | 140,000 | 47,114 | ||||||
*Jenn Feng New Energy Co., Ltd. | 155,000 | 167,869 | ||||||
Jess-Link Products Co., Ltd. | 197,900 | 551,821 | ||||||
*Johnson Health Tech Co., Ltd. | 53,000 | 77,145 | ||||||
*Jui Li Enterprise Co., Ltd. | 346,080 | 94,150 | ||||||
K Laser Technology, Inc. | 295,693 | 218,099 | ||||||
Kang Na Hsiung Enterprise Co., Ltd. | 305,020 | 204,832 | ||||||
*Kao Hsing Chang Iron & Steel Corp. | 784,000 | 225,129 | ||||||
Kaulin Manufacturing Co., Ltd. | 274,330 | 249,172 | ||||||
Kee Tai Properties Co., Ltd. | 880,856 | 442,614 | ||||||
Kenda Rubber Industrial Co., Ltd. | 934,101 | 966,103 | ||||||
Kian Shen Corp. | 34,000 | 61,524 | ||||||
King Core Electronics, Inc. | 31,310 | 30,481 | ||||||
*King Slide Works Co., Ltd. | 53,550 | 247,781 | ||||||
*King Yuan Electronics Co., Ltd. | 2,116,979 | 960,194 | ||||||
Kingdom Construction Co., Ltd. | 889,000 | 780,723 | ||||||
*King’s Town Bank | 1,795,701 | 818,474 | ||||||
King’s Town Construction Co., Ltd. | 588,987 | 528,777 | ||||||
Kinik Co. | 54,000 | 97,560 | ||||||
*Kinko Optical Co., Ltd. | 83,000 | 86,460 | ||||||
*Kinpo Electronics, Inc. | 2,658,157 | 931,516 | ||||||
Kinsus Interconnect Technology Corp. | 431,000 | 1,172,864 | ||||||
Knowledge-Yield-Excellence Systems Corp. | 415,903 | 359,770 | ||||||
KS Terminals, Inc. | 127,558 | 127,783 | ||||||
Kung Long Batteries Industrial Co., Ltd. | 75,000 | 152,345 | ||||||
*Kuoyang Construction Co., Ltd. | 687,000 | 487,840 | ||||||
*Kwong Fong Industries Corp. | 697,200 | 329,767 | ||||||
L&K Engineering Co., Ltd. | 162,000 | 161,011 | ||||||
*Lan Fa Textile Co., Ltd. | 636,975 | 326,290 | ||||||
LCY Chemical Corp. | 1,296,618 | 2,620,514 | ||||||
*Lead Data Co., Ltd. | 494,858 | 93,030 | ||||||
*Leader Electronics, Inc. | 65,013 | 43,468 | ||||||
*Leadtek Research, Inc. | 89,961 | 34,563 | ||||||
Leadtrend Technology Corp. | 40,699 | 166,228 | ||||||
Lealea Enterprise Co., Ltd. | 1,222,101 | 722,088 | ||||||
Ledtech Electronics Corp. | 107,402 | 77,497 | ||||||
Lee Chi Enterprises Co., Ltd. | 326,000 | 154,501 | ||||||
*Lelon Electronics Corp. | 141,000 | 104,270 | ||||||
*Leofoo Development Co., Ltd. | 507,000 | 340,882 | ||||||
Les Enphants Co., Ltd. | 341,116 | 494,340 | ||||||
*Li Peng Enterprise Co., Ltd. | 967,824 | 508,519 | ||||||
Lian Hwa Foods Corp. | 26,000 | 19,836 | ||||||
Lien Chang Electronic Enterprise Co., Ltd. | 111,000 | 70,283 | ||||||
Lien Hwa Industrial Corp. | 1,183,783 | 871,404 | ||||||
Lingsen Precision Industries, Ltd. | 506,506 | 341,626 | ||||||
*LITE-ON IT Corp. | 562,774 | 597,615 | ||||||
*Lite-On Semiconductor Corp. | 395,000 | 225,841 | ||||||
Long Bon International Co., Ltd. | 797,945 | 322,676 | ||||||
Long Chen Paper Co., Ltd. | 1,073,674 | 443,179 | ||||||
Lotes Co., Ltd. | 57,778 | 300,121 | ||||||
Lucky Cement Corp. | 620,000 | 151,733 | ||||||
*Lumax International Corp., Ltd. | 95,805 | 169,248 | ||||||
Makalot Industrial Co., Ltd. | 237,202 | 541,892 | ||||||
Marketech International Corp. | 161,000 | 90,354 | ||||||
Masterlink Securities Corp. | 1,593,000 | 638,904 | ||||||
Maxtek Technology Co., Ltd. | 71,000 | 97,426 | ||||||
Mayer Steel Pipe Corp. | 310,377 | 263,779 | ||||||
Maywufa Co., Ltd. | 69,322 | 38,689 | ||||||
Meiloon Co., Ltd. | 399,053 | 225,082 |
151
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (Continued) | ||||||||
Mercuries & Associates, Ltd. | 1,036,850 | $ | 723,406 | |||||
*Mercuries Data Systems, Ltd. | 192,000 | 127,009 | ||||||
Merida Industry Co., Ltd. | 432,170 | 750,093 | ||||||
Merry Electronics Co., Ltd. | 100,363 | 167,505 | ||||||
*Microelectronics Technology, Inc. | 672,315 | 421,314 | ||||||
Micro-Star International Co., Ltd. | 1,802,075 | 963,342 | ||||||
Min Aik Technology Co., Ltd. | 224,316 | 405,846 | ||||||
Mirle Automation Corp. | 250,568 | 252,307 | ||||||
Mitac International Corp. | 1,922,000 | 862,683 | ||||||
Mobiletron Electronics Co., Ltd. | 135,000 | 101,234 | ||||||
*Mosel Vitelic, Inc. | 1,020,644 | 538,969 | ||||||
*Mospec Seminconductor Corp. | 134,000 | 87,886 | ||||||
*Mustek Systems, Inc. | 129,119 | 17,924 | ||||||
Nak Sealing Technologies Corp. | 121,954 | 182,979 | ||||||
*Namchow Chemical Industrial Co., Ltd. | 473,000 | 661,382 | ||||||
*Nankang Rubber Tire Co., Ltd. | 1,011,622 | 1,434,183 | ||||||
Nantex Industry Co., Ltd. | 491,544 | 335,324 | ||||||
National Petroleum Co., Ltd. | 455,824 | 518,736 | ||||||
*New Asia Construction & Development Co., Ltd. | 133,618 | 44,114 | ||||||
*Nichidenbo Corp. | 80,000 | 83,119 | ||||||
Nien Hsing Textile Co., Ltd. | 213,000 | 162,114 | ||||||
*Ocean Plastics Co., Ltd. | 342,200 | 251,380 | ||||||
*Optimax Technology Corp. | 360 | 70 | ||||||
Opto Tech Corp. | 789,886 | 555,100 | ||||||
*Orient Semiconductor Electronics, Ltd. | 598,000 | 155,447 | ||||||
Oriental Union Chemical Corp. | 1,095,788 | 1,157,563 | ||||||
Orise Technology Co., Ltd. | 77,000 | 176,674 | ||||||
*Pacific Construction Co., Ltd. | 1,054,000 | 164,893 | ||||||
*Pan Jit International, Inc. | 496,541 | 616,470 | ||||||
Pan-International Industrial Corp. | 559,380 | 833,152 | ||||||
*Paragon Technologies Co., Ltd. | 100,449 | 230,777 | ||||||
PC Home Online | 50,997 | 257,629 | ||||||
Phihong Technology Co., Ltd. | 427,901 | 879,478 | ||||||
*Phytohealth Corp. | 34,000 | 55,387 | ||||||
*Picvue Electronics, Ltd. | 72,760 | — | ||||||
*Pihsiang Machinery Mfg. Co., Ltd. | 262,534 | 405,774 | ||||||
Plotech Co., Ltd. | 78,000 | 50,812 | ||||||
Polaris Securities Co., Ltd. | 3,333,000 | 1,851,084 | ||||||
Polytronics Technology Corp. | 86,027 | 171,011 | ||||||
*Potrans Electrical Corp. | 228,000 | 32,463 | ||||||
Power Quotient International Co., Ltd. | 298,000 | 185,484 | ||||||
*Powercom Co., Ltd. | 140,000 | 277,061 | ||||||
Powertech Industrial Co., Ltd. | 99,000 | 133,648 | ||||||
*Precision Silicon Corp. | 82,000 | 84,230 | ||||||
President Securities Corp. | 1,159,680 | 681,982 | ||||||
Prince Housing & Development Corp. | 1,681,053 | 1,229,909 | ||||||
*Procomp Informatics, Ltd. | 21,675 | — | ||||||
*Prodisc Technology, Inc. | 1,707,199 | 21,724 | ||||||
Promate Electronic Co., Ltd. | 163,000 | 129,248 | ||||||
Promise Technology, Inc. | 238,286 | 197,090 | ||||||
*Protop Technology Co., Ltd. | 192,000 | 1,317 | ||||||
*Qisda Corp. | 1,376,000 | 960,165 | ||||||
*Quintain Steel Co., Ltd. | 459,750 | 161,862 | ||||||
Radiant Opto-Electronics Corp. | 728,920 | 1,094,246 | ||||||
Radium Life Tech Corp. | 976,168 | 1,302,028 | ||||||
Ralec Electronic Corp. | 97,209 | 193,973 | ||||||
Ralink Technology Corp. | 48,960 | 183,262 | ||||||
Realtek Semiconductor Corp. | 626,000 | 1,484,315 | ||||||
*Rectron, Ltd. | 178 | 43 | ||||||
*Rexon Industrial Corp., Ltd. | 469,000 | 154,059 | ||||||
Richtek Technology Corp. | 226,000 | 1,776,544 |
152
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (Continued) | ||||||||
*Ritek Corp. | 5,135,387 | $ | 1,444,920 | |||||
Roundtop Machinery Industries Co., Ltd. | 22,000 | 17,942 | ||||||
Ruentex Development Co., Ltd. | 886,000 | 1,466,257 | ||||||
Ruentex Industries, Ltd. | 353,000 | 1,008,999 | ||||||
*Sainfoin Technology Corp. | 131,260 | — | ||||||
*Sampo Corp. | 1,178,327 | 285,699 | ||||||
*San Fang Chemical Industry Co., Ltd. | 332,348 | 392,729 | ||||||
*Sanyang Industrial Co., Ltd. | 1,402,046 | 757,529 | ||||||
Sanyo Electric Taiwan Co., Ltd. | 503,000 | 520,018 | ||||||
SDI Corp. | 274,000 | 348,365 | ||||||
Senao International Co., Ltd. | 375,541 | 644,104 | ||||||
*Sercomm Corp. | 197,000 | 182,091 | ||||||
Sheng Yu Steel Co., Ltd. | 552,980 | 402,651 | ||||||
*ShenMao Technology, Inc. | 32,860 | 55,988 | ||||||
Shih Wei Navigation Co., Ltd. | 237,598 | 304,789 | ||||||
Shihlin Electric & Engineering Corp. | 895,000 | 1,069,800 | ||||||
*Shihlin Paper Corp. | 418,000 | 957,029 | ||||||
Shin Shin Co., Ltd. | 49,000 | 45,440 | ||||||
Shin Zu Shing Co., Ltd. | 171,144 | 442,662 | ||||||
*Shining Building Business Co., Ltd. | 196,900 | 198,003 | ||||||
Shinkong Insurance Co., Ltd. | 542,131 | 421,150 | ||||||
Shinkong Synthetic Fibers Co., Ltd. | 2,321,961 | 1,173,841 | ||||||
*Shuttle, Inc. | 312,152 | 240,986 | ||||||
Sigurd Microelectronics Corp. | 464,974 | 398,903 | ||||||
Silicon Integrated Systems Corp. | 1,023,820 | 642,498 | ||||||
Silitech Technology Corp. | 250,126 | 756,792 | ||||||
Sinbon Electronics Co., Ltd. | 231,000 | 181,548 | ||||||
Sincere Navigation Corp. | 352,786 | 426,941 | ||||||
Sinkang Industries, Ltd. | 259,805 | 151,930 | ||||||
Sinkong Textile Co., Ltd. | 469,542 | 590,697 | ||||||
Sinon Corp. | 556,510 | 257,632 | ||||||
Sinphar Pharmaceutical Co., Ltd. | 35,184 | 44,763 | ||||||
*Sintek Photronics Corp. | 1,271,130 | 942,623 | ||||||
Sinyi Realty Co., Ltd. | 380,894 | 738,738 | ||||||
*Sitronix Technology Corp. | 147,879 | 253,070 | ||||||
*Siward Crystal Technology Co., Ltd. | 201,013 | 118,994 | ||||||
*Solelytex Enterprise Corp. | 24,600 | 17,360 | ||||||
*Solomon Technology Corp. | 281,138 | 134,216 | ||||||
Sonix Technology Co., Ltd. | 239,000 | 500,940 | ||||||
South East Soda Manufacturing Co., Ltd. | 279,250 | 337,641 | ||||||
Southeast Cement Co., Ltd. | 899,700 | 358,361 | ||||||
SPI Electronic Co., Ltd. | 287,175 | 366,805 | ||||||
Spirox Corp. | 134,000 | 112,993 | ||||||
Springsoft, Inc. | 288,000 | 383,930 | ||||||
Standard Chemical & Pharmaceutical Co., Ltd. | 212,684 | 248,226 | ||||||
Standard Foods Taiwan, Ltd. | 613,703 | 1,634,740 | ||||||
*Star Comgistic Capital Co., Ltd. | 194,785 | 248,717 | ||||||
Stark Technology, Inc. | 226,860 | 225,212 | ||||||
Sunonwealth Electric Machine Industry Co., Ltd. | 339,487 | 296,504 | ||||||
*Sunplus Technology Co., Ltd. | 787,000 | 584,327 | ||||||
Sunrex Technology Corp. | 612,736 | 635,323 | ||||||
*Sunspring Metal Corp. | 16,000 | 20,688 | ||||||
*Super Dragon Technology Co., Ltd. | 33,000 | 57,101 | ||||||
Supreme Electronics Co., Ltd. | 238,000 | 161,816 | ||||||
Sweeten Construction Co., Ltd. | 13,650 | 7,371 | ||||||
Syscom Computer Engineering Co. | 30,000 | 14,120 | ||||||
Sysware Systex Corp. | 261,388 | 368,053 | ||||||
T JOIN Transportation Co., Ltd. | 802,000 | 703,762 | ||||||
Ta Chen Stainless Pipe Co., Ltd. | 33,216 | 21,920 | ||||||
*Ta Chong Bank, Ltd. | 3,172,212 | 751,596 | ||||||
Ta Ya Electric Wire & Cable Co., Ltd. | 884,858 | 257,886 |
153
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (Continued) | ||||||||
Ta Yih Industrial Co., Ltd. | 194,000 | $ | 429,521 | |||||
Tah Hsin Industrial Corp. | 447,000 | 345,291 | ||||||
*Tai Roun Products Co., Ltd. | 17,000 | 7,351 | ||||||
TA-I Technology Co., Ltd. | 256,308 | 267,553 | ||||||
*Taichung Commercial Bank | 2,300,841 | 763,217 | ||||||
Tainan Enterprises Co., Ltd. | 263,370 | 359,591 | ||||||
Tainan Spinning Co., Ltd. | 2,529,600 | 1,665,391 | ||||||
Taisun Enterprise Co., Ltd. | 563,680 | 331,263 | ||||||
*Taita Chemical Co., Ltd. | 452,170 | 188,139 | ||||||
Taiwan Acceptance Corp. | 229,480 | 408,519 | ||||||
*Taiwan Business Bank | 3,532,880 | 1,176,343 | ||||||
Taiwan Cogeneration Corp. | 562,800 | 321,788 | ||||||
Taiwan Fire & Marine Insurance Co., Ltd. | 614,338 | 441,079 | ||||||
*Taiwan Flourescent Lamp Co., Ltd. | 176,000 | 17,128 | ||||||
Taiwan Hon Chuan Enterprise Co., Ltd. | 344,057 | 683,222 | ||||||
*Taiwan Kolin Co., Ltd. | 1,356,000 | — | ||||||
*Taiwan Land Development Corp. | 434,366 | 196,898 | ||||||
Taiwan Life Insurance Co., Ltd. | 827,840 | 872,285 | ||||||
Taiwan Line Tek Electronic Co., Ltd. | 77,214 | 80,335 | ||||||
Taiwan Mask Corp. | 449,412 | 189,591 | ||||||
Taiwan Navigation Co., Ltd. | 557,777 | 676,863 | ||||||
Taiwan Paiho Co., Ltd. | 460,165 | 508,969 | ||||||
*Taiwan Pulp & Paper Corp. | 618,000 | 385,891 | ||||||
Taiwan Sakura Corp. | 431,905 | 337,695 | ||||||
Taiwan Secom Co., Ltd. | 710,332 | 1,274,465 | ||||||
Taiwan Sogo Shinkong Security Co., Ltd. | 538,278 | 413,444 | ||||||
Taiwan Styrene Monomer Corp. | 987,303 | 465,225 | ||||||
Taiwan Tea Corp. | 904,897 | 594,230 | ||||||
Taiyen Biotech Co., Ltd. | 438,000 | 346,652 | ||||||
*Tatung Co., Ltd. | 1,720,000 | 405,406 | ||||||
*Teapo Electronic Corp. | 276,000 | 50,745 | ||||||
Teco Electric & Machinery Co., Ltd. | 684,000 | 428,808 | ||||||
*Tecom, Ltd. | 447,114 | 141,614 | ||||||
Ten Ren Tea Co., Ltd. | 123,980 | 195,496 | ||||||
Test Research, Inc. | 178,450 | 232,261 | ||||||
Test-Rite International Co., Ltd. | 794,438 | 622,269 | ||||||
*Thinking Electronic Industrial Co., Ltd. | 184,204 | 283,039 | ||||||
Thye Ming Industrial Co., Ltd. | 280,360 | 341,618 | ||||||
Ton Yi Industrial Corp. | 2,487,280 | 1,290,192 | ||||||
Tong Hsing Electronic Industries, Ltd. | 111,784 | 470,015 | ||||||
Tong Yang Industry Co., Ltd. | 594,384 | 943,678 | ||||||
Tong-Tai Machine & Tool Co., Ltd. | 87,000 | 90,463 | ||||||
Topco Scientific Co., Ltd. | 194,100 | 248,676 | ||||||
*Topoint Technology Co., Ltd. | 120,000 | 105,277 | ||||||
Transcend Information, Inc. | 261,000 | 648,446 | ||||||
Tsann Kuen Enterprise Co., Ltd. | 167,686 | 314,626 | ||||||
TSRC Corp. | 750,000 | 1,363,232 | ||||||
TTET Union Corp. | 264,000 | 392,093 | ||||||
Tung Ho Steel Enterprise Corp. | 867,000 | 810,642 | ||||||
*Twinhead International Corp. | 500 | 98 | ||||||
TXC Corp. | 377,386 | 695,930 | ||||||
TYC Brother Industrial Co., Ltd. | 557,601 | 349,619 | ||||||
*Tycoons Group Enterprise Co., Ltd. | 467,182 | 119,713 | ||||||
Tyntek Corp. | 478,621 | 373,072 | ||||||
Tze Shin International Co., Ltd. | 339,444 | 153,327 | ||||||
Uniform Industrial Corp. | 88,823 | 53,533 | ||||||
Unimicron Technology Corp. | 90,372 | 153,450 | ||||||
*Union Bank of Taiwan | 2,348,593 | 689,135 | ||||||
*Union Insurance Co., Ltd. | 93,129 | 57,323 | ||||||
Unitech Electronics Co., Ltd. | 250,804 | 140,782 | ||||||
*Unitech Printed Circuit Board Corp. | 660,303 | 310,352 |
154
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TAIWAN — (Continued) | ||||||||
United Integration Service Co., Ltd. | 446,439 | $ | 603,198 | |||||
Unity Opto Technology Co., Ltd. | 375,468 | 570,903 | ||||||
Universal Cement Corp. | 944,191 | 591,719 | ||||||
*Universal Microelectronics Co., Ltd. | 126,000 | 75,031 | ||||||
Universal, Inc. | 130,490 | 108,942 | ||||||
UPC Technology Corp. | 1,391,334 | 1,055,260 | ||||||
USI Corp. | 1,347,360 | 1,167,900 | ||||||
Ve Wong Corp. | 356,696 | 280,620 | ||||||
*Veutron Corp. | 145,000 | 8,913 | ||||||
*Via Technologies, Inc. | 794,000 | 695,452 | ||||||
Visual Photonics Epitacy Co., Ltd. | 242,688 | 487,836 | ||||||
Wah Lee Industrial Corp. | 247,000 | 461,221 | ||||||
*Walsin Lihwa Corp. | 470,000 | 281,511 | ||||||
*Walsin Technology Corp., Ltd. | 1,100,544 | 644,538 | ||||||
Walton Advanced Engineering, Inc. | 301,197 | 142,918 | ||||||
Wan Hwa Enterprise Co., Ltd. | 508,303 | 287,617 | ||||||
Waterland Financial Holding Co., Ltd. | 3,885,142 | 1,255,142 | ||||||
*Wei Chih Steel Industrial Co., Ltd. | 433,000 | 122,562 | ||||||
Wei Chuan Food Corp. | 737,000 | 838,327 | ||||||
Weikeng Industrial Co., Ltd. | 250,000 | 218,887 | ||||||
Wellypower Optronics Corp. | 159,000 | 159,830 | ||||||
Weltrend Semiconductor, Inc. | 374,833 | 316,006 | ||||||
*Winbond Electronics Corp. | 3,758,023 | 979,235 | ||||||
*Wintek Corp. | 906,000 | 1,527,364 | ||||||
Wistron NeWeb Corp. | 328,812 | 708,551 | ||||||
WPG Holdings Co., Ltd. | 145,017 | 269,628 | ||||||
WT Microelectronics Co., Ltd. | 317,000 | 504,641 | ||||||
*WUS Printed Circuit Co., Ltd. | 438,000 | 266,398 | ||||||
*Yageo Corp. | 4,968,000 | 2,117,697 | ||||||
*Yang Ming Marine Transport Corp. | 452,000 | 343,958 | ||||||
*Yem Chio Co., Ltd. | 113,884 | 106,252 | ||||||
Yeung Cyang Industrial Co., Ltd. | 509,171 | 385,279 | ||||||
Yieh Phui Enterprise Co., Ltd. | 2,612,996 | 937,890 | ||||||
Yosun Industrial Corp. | 608,307 | 1,051,385 | ||||||
Young Optics, Inc. | 42,111 | 206,022 | ||||||
Yuen Foong Yu Paper Manufacturing Co., Ltd. | 2,967,697 | 1,461,778 | ||||||
Yuen Jen Enterprises Co., Ltd. | 5,875 | 4,476 | ||||||
*Yulon Nissan Motor Co., Ltd. | 157,000 | 728,299 | ||||||
Yung Chi Paint & Varnish Manufacturing Co., Ltd. | 258,869 | 372,797 | ||||||
Yung Shin Pharmaceutical Industrial Co., Ltd. | 406,300 | 544,010 | ||||||
Yung Tay Engineering Co., Ltd. | 729,000 | 966,113 | ||||||
Zenitron Corp. | 233,000 | 143,909 | ||||||
Zig Sheng Industrial Co., Ltd. | 821,905 | 441,182 | ||||||
Zinwell Corp. | 478,586 | 780,578 | ||||||
Zippy Technology Corp. | 217,948 | 184,996 | ||||||
*Zyxel Communication Corp. | 974,430 | 648,611 | ||||||
TOTAL TAIWAN | 223,970,240 | |||||||
THAILAND — (3.3%) | ||||||||
Aeon Thana Sinsap (Thailand) PCL (Foreign) | 142,500 | 150,913 | ||||||
Amata Corp. PCL (Foreign) | 1,818,700 | 940,289 | ||||||
*Apex Development PCL (Foreign) | 3,536 | 2,540 | ||||||
Asia Plus Securities PCL (Foreign) | 1,885,800 | 176,125 | ||||||
Asian Property Development PCL (Foreign) NVDR | 2,679,300 | 589,839 | ||||||
Bangchak Petroleum PCL (Foreign) | 1,350,400 | 689,163 | ||||||
Bangkok Aviation Fuel Services PCL (Foreign) | 854,917 | 293,717 | ||||||
Bangkok Chain Hospital PCL (Foreign) | 2,918,125 | 632,682 | ||||||
Bangkok Dusit Medical Services PCL (Foreign) | 1,630,600 | 2,189,181 | ||||||
Bangkok Expressway PCL (Foreign) | 1,170,400 | 726,132 | ||||||
Bangkok First Investment & Trust PCL (Foreign) | 681,700 | 102,778 | ||||||
Bangkok Insurance PCL (Foreign) | 127,101 | 1,085,319 |
155
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
THAILAND — (Continued) | ||||||||
*Bangkok Land PCL (Foreign) NVDR | 21,859,870 | $ | 554,153 | |||||
*Bangkok Metro PCL (Foreign) | 6,221,100 | 155,631 | ||||||
*Bangkok Rubber PCL (Foreign) | 14,600 | 1,208 | ||||||
Big C Supercenter PCL (Foreign) | 122,900 | 258,262 | ||||||
Bumrungrad Hospital PCL (Foreign) | 657,200 | 756,284 | ||||||
Cal-Comp Electronics (Thailand) PCL (Foreign) | 3,894,500 | 488,436 | ||||||
*Central Paper Industry PCL (Foreign) | 20 | 1,401 | ||||||
Central Plaza Hotel PCL (Foreign) | 1,271,800 | 214,229 | ||||||
CH Karnchang PCL (Foreign) | 2,699,300 | 909,371 | ||||||
*Charoong Thai Wire & Cable PCL (Foreign) | 452,700 | 130,616 | ||||||
*Country Group Securities PCL (Foreign) | 3,412,578 | 109,275 | ||||||
Delta Electronics (Thailand) PCL (Foreign) | 987,000 | 1,045,272 | ||||||
Diamond Roofing Tiles PCL (Foreign) | 170,000 | 32,889 | ||||||
Dynasty Ceramic PCL (Foreign) | 777,200 | 1,523,032 | ||||||
Eastern Water Resources Development & Management PCL (Foreign) | 2,199,400 | 502,531 | ||||||
Electricity Generating PCL (Foreign) | 29,300 | 95,777 | ||||||
*Erawan Group PCL (Foreign) | 4,046,270 | 307,722 | ||||||
*Esso Thailand PCL (Foreign) | 2,999,600 | 670,358 | ||||||
*G J Steel PCL (Foreign) | 37,970,500 | 316,632 | ||||||
*G Steel PCL (Foreign) | 21,477,500 | 458,492 | ||||||
GFPT PCL(Foreign) | 1,185,000 | 316,211 | ||||||
GMM Grammy PCL (Foreign) | 928,000 | 451,928 | ||||||
Hana Microelectronics PCL (Foreign) | 1,281,796 | 1,068,876 | ||||||
Hermraj Land & Development PCL (Foreign) | 6,110,100 | 387,231 | ||||||
Home Product Center PCL (Foreign) | 7,444,630 | 2,396,287 | ||||||
ICC International PCL (Foreign) | 204,600 | 269,570 | ||||||
Indorama Polymers PCL (Foreign) | 833,100 | 222,308 | ||||||
*Italian-Thai Development PCL (Foreign) NVDR | 6,545,530 | 1,061,083 | ||||||
*ITV PCL (Foreign) | 2,785,600 | 97,561 | ||||||
Jasmine International PCL (Foreign) | 8,210,900 | 421,774 | ||||||
*Kang Yong Electric PCL (Foreign) | 31,800 | 228,052 | ||||||
*KGI Securities Thailand PLC (Foreign) | 2,019,800 | 180,556 | ||||||
Khon Kaen Sugar Industry PCL (Foreign) | 1,119,800 | 474,365 | ||||||
Kiatnakin Bank PCL (Foreign) NVDR | 764,800 | 1,014,036 | ||||||
Kim Eng Securities Thailand PCL (Foreign) | 526,700 | 274,067 | ||||||
*Krungthai Card PCL (Foreign) | 425,800 | 186,057 | ||||||
Laguna Resorts & Hotels PCL (Foreign) | 80,500 | 142,983 | ||||||
Lanna Resources PCL (Foreign) | 548,800 | 356,958 | ||||||
*Loxley PCL (Foreign) | 3,228,020 | 286,409 | ||||||
*LPN Development PCL (Foreign) | 1,475,000 | 580,554 | ||||||
Major Cineplex Group PCL (Foreign) | 1,494,300 | 692,821 | ||||||
MBK PCL (Foreign) | 330,900 | 1,158,923 | ||||||
MCOT PCL (Foreign) | 1,092,200 | 983,636 | ||||||
Minor International PCL (Foreign) | 2,783,903 | 1,142,162 | ||||||
Muang Thai Insurance PCL (Foreign) | 19,588 | 40,509 | ||||||
Muramoto Electronic (Thailand) PCL (Foreign) | 14,000 | 89,660 | ||||||
*Nation Multimedia Group PCL (Foreign) | 106,259 | 31,899 | ||||||
Padaeng Industry PCL (Foreign) NVDR | 504,700 | 392,245 | ||||||
Patum Rice Mill & Granary PCL (Foreign) | 5,500 | 13,025 | ||||||
Polyplex PCL (Foreign) | 1,057,800 | 1,173,177 | ||||||
Precious Shipping PCL (Foreign) | 1,223,900 | 779,736 | ||||||
Preuksa Real Estate PCL (Foreign) | 2,484,000 | 1,789,673 | ||||||
Property Perfect PCL (Foreign) | 1,745,800 | 263,209 | ||||||
Quality Houses PCL (Foreign) | 11,876,300 | 919,047 | ||||||
*Regional Container Lines PCL (Foreign) | 1,112,300 | 567,651 | ||||||
Robinson Department Store PCL (Foreign) | 1,875,025 | 1,432,224 | ||||||
Rojana Industrial Park PCL (Foreign) | 1,122,800 | 419,458 | ||||||
Saha Pathana Inter-Holding PCL (Foreign) | 350,000 | 219,480 | ||||||
Saha-Union PCL (Foreign) | 538,400 | 673,449 | ||||||
*Sahaviriya Steel Industries PCL (Foreign) | 23,578,500 | 1,258,359 | ||||||
*Samart Corporation PCL (Foreign) | 1,676,200 | 450,080 |
156
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
THAILAND — (Continued) | ||||||||
Samart I-Mobile PCL (Foreign) | 8,442,100 | $ | 563,182 | |||||
*Samart Telcoms PCL (Foreign) | 586,600 | 211,317 | ||||||
Sansiri PCL (Foreign) | 2,621,166 | 502,725 | ||||||
SC Asset Corp. PCL (Foreign) | 580,100 | 342,487 | ||||||
SE-Education PCL (Foreign) | 138,900 | 46,099 | ||||||
Serm Suk PCL (Foreign) | 10,000 | 13,759 | ||||||
Serm Suk PCL (Foreign) NVDR | 59,900 | 82,417 | ||||||
*Shinawatra Satellite PCL (Foreign) | 1,383,800 | 325,410 | ||||||
*Siam City Cement PCL (Foreign) | 82,600 | 636,444 | ||||||
Siam Future Development PCL (Foreign) | 440,000 | 82,922 | ||||||
Siam Makro PCL (Foreign) | 355,600 | 1,613,129 | ||||||
Siamgas & Petrochemicals PCL (Foreign) | 785,600 | 492,638 | ||||||
Sino-Thai Engineering & Construction PCL (Foreign) | 1,126,000 | 514,550 | ||||||
*Somboon Advance Technology PCL (Foreign) | 15,850 | 16,257 | ||||||
*Somboon Advance Technology PCL (Foreign) | 299,000 | 306,679 | ||||||
Sri Trang Agro Industry PCL (Foreign) | 1,854,990 | 1,840,759 | ||||||
STP & I PCL (Foreign) | 211,900 | 268,586 | ||||||
Supalai PCL (Foreign) | 2,640,533 | 1,056,918 | ||||||
*Svi PCL (Foreign) | 809,800 | 74,551 | ||||||
*Tata Steel (Thailand) PCL (Foreign) | 9,617,100 | 570,995 | ||||||
*Thai Carbon Black PCL (Foreign) | 146,200 | 171,900 | ||||||
Thai Plastic & Chemicals PCL (Foreign) | 1,357,900 | 851,518 | ||||||
Thai Reinsurance PCL (Foreign) | 1,484,700 | 311,995 | ||||||
Thai Stanley Electric (Thailand) PCL (Foreign) | 127,600 | 789,520 | ||||||
Thai Tap Water Supply PCL (Foreign) | 4,107,600 | 897,424 | ||||||
Thai Union Frozen Products PCL (Foreign) | 1,298,325 | 2,490,116 | ||||||
Thai Vegetable Oil PCL (Foreign) | 1,087,875 | 1,016,027 | ||||||
Thai Wacoal PCL (Foreign) | 78,000 | 110,574 | ||||||
Thanachart Capital PCL (Foreign) | 2,034,100 | 2,680,018 | ||||||
Thoresen Thai Agencies PCL (Foreign) | 910,300 | 707,471 | ||||||
Ticon Industrial Connection PCL (Foreign) | 1,026,600 | 472,551 | ||||||
*Tipco Asphalt PCL (Foreign) | 306,190 | 783,859 | ||||||
TIPCO Foods (Thailand) PCL (Foreign) | 642,282 | 103,691 | ||||||
Tisco Financial Group PCL (Foreign) | 939,700 | 1,316,458 | ||||||
TPI Polene PCL (Foreign) | 2,167,060 | 896,316 | ||||||
*True Corp. PCL (Foreign) | 8,379,300 | 1,291,273 | ||||||
*Tycoons Worldwide Group PCL (Foreign) | 804,700 | 178,494 | ||||||
Univanich Palm Oil PCL (Foreign) | 30,000 | 80,304 | ||||||
Univentures PCL (Foreign) | 1,801,100 | 175,424 | ||||||
Vanachai Group PCL (Foreign) | 2,463,066 | 566,883 | ||||||
Vinythai PCL (Foreign) | 2,273,034 | 735,438 | ||||||
TOTAL THAILAND | 67,206,616 | |||||||
TURKEY — (2.6%) | ||||||||
Adana Cimento Sanayii Ticaret A.S. Class A | 146,876 | 552,617 | ||||||
Adana Cimento Sanayii Ticaret A.S. Class C | 293,711 | 177,280 | ||||||
*Advansa Sasa Polyester Sanayi A.S. | 227,190 | 125,511 | ||||||
Afyon Cimento Sanayi T.A.S. | 1,584 | 204,796 | ||||||
Akcansa Cimento Sanayi ve Ticaret A.S. | 259,502 | 1,373,047 | ||||||
*Akenerji Elektrik Uretim A.S. | 461,244 | 1,223,272 | ||||||
Aksa Akrilik Kimya Sanayii A.S. | 193,439 | 429,762 | ||||||
Aksigorta A.S. | 294,017 | 455,831 | ||||||
*Aktas Elektrik Ticaret A.S. | 370 | 38,693 | ||||||
Alarko Holding A.S. | 141,895 | 343,263 | ||||||
Albaraka Turk Katilim Bankasi A.S. | 460,235 | 906,523 | ||||||
*Alcatel Telekomunikasyon Endustri ve Ticaret A.S. | 60,001 | 140,637 | ||||||
*Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S. | 65,631 | 365,517 | ||||||
Anadolu Anonim Turk Sigorta Sirketi A.S. | 614,995 | 542,251 | ||||||
*Anadolu Cam Sanayii A.S. | 472,758 | 942,774 | ||||||
Anadolu Hayat Sigorta A.S. | 84,165 | 342,704 | ||||||
Arcelik A.S. | 123,550 | 674,875 |
157
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TURKEY — (Continued) | ||||||||
Aselsan Elektronik Sanayi Ve Ticaret A.S. | 132,362 | $ | 780,102 | |||||
Aydiner Enerji A.S. | 133,075 | 304,445 | ||||||
Aygaz A.S. | 252,794 | 1,321,384 | ||||||
*Bagfas Bandirma Gubre Fabrikalari A.S. | 7,343 | 659,062 | ||||||
*Banvit Bandirma Vitaminli Yem Sanayii A.S.A. | 158,502 | 659,830 | ||||||
Bati Anabolu Cimento A.S. | 98,558 | 533,489 | ||||||
*Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. | 12,687 | 87,463 | ||||||
Bolu Cimento Sanayii A.S. | 239,226 | 284,696 | ||||||
Borusan Mannesmann Boru Sanayi ve Ticaret A.S. | 29,797 | 383,786 | ||||||
*Bosch Fren Sistemleri Sanayi ve Ticaret A.S. | 989 | 111,287 | ||||||
*Boyner Buyuk Magazacilik A.S. | 189,233 | 439,572 | ||||||
Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. | 829 | 65,439 | ||||||
Bursa Cimento Fabrikasi A.S. | 173,040 | 567,633 | ||||||
Celebi Hava Servisi A.S. | 36,194 | 541,337 | ||||||
Cimsa Cimento Sanayi ve Ticaret A.S. | 219,659 | 1,688,614 | ||||||
*Deva Holding A.S. | 179,911 | 410,028 | ||||||
*Dogan Gazetecilik A.S. | 114,947 | 230,247 | ||||||
*Dogan Sirketler Grubu Holdings A.S. | 2,092,041 | 1,497,591 | ||||||
*Dogan Yayin Holding A.S. | 562,696 | 578,178 | ||||||
*Dogus Otomotiv Servis ve Ticaret A.S. | 245,043 | 1,814,445 | ||||||
*Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. | 49,380 | 107,484 | ||||||
*EGE Seramik Sanayi ve Ticaret A.S. | 116,858 | 131,311 | ||||||
EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. | 865,147 | 1,573,011 | ||||||
*Fenerbahce Sportif Hizmetleri Sanayi ve Ticaret A.S. | 5,462 | 236,010 | ||||||
Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. | 1,472 | 365,000 | ||||||
Gentas Genel Metal Sanayi A.S. | 32,968 | 36,375 | ||||||
*Global Yatirim Holding A.S. | 494,766 | 279,797 | ||||||
*Goldas Kuyumculuk Sanayi Ithalat Ve Ihracat A.S. | 49,862 | 35,827 | ||||||
Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. | 7,128 | 314,488 | ||||||
*Goodyear Lastikleri T.A.S. | 21,850 | 288,648 | ||||||
*GSD Holding A.S. | 474,404 | 362,296 | ||||||
*Gubre Fabrikalari Ticaret A.S. | 42,892 | 427,111 | ||||||
*Gunes Sigorta A.S. | 143,245 | 213,071 | ||||||
Haci Omer Sabanci Holding AS | — | 2 | ||||||
Hektas Ticaret T.A.S. | 16,327 | 16,263 | ||||||
Hurriyet Gazetecilik ve Matbaacilik A.S. | 528,208 | 607,476 | ||||||
*Ihlas EV Aletleri A.S. | 305,120 | 220,680 | ||||||
*Ihlas Holding A.S. | 658,611 | 410,517 | ||||||
Is Yatirim Menkul Degerler A.S. | 151,316 | 226,751 | ||||||
*Isiklar Yatirim Holding A.S. | 245,801 | 229,568 | ||||||
*Izmir Demir Celik Sanayi A.S. | 137,998 | 264,183 | ||||||
*Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. | 837,370 | 652,239 | ||||||
*Karsan Otomotiv Sanayi Ve Ticaret A.S. | 127,715 | 157,255 | ||||||
Karton Sanayi ve Ticaret A.S. | 3,981 | 425,718 | ||||||
*Kerevitas Gida Sanayii ve Ticaret A.S. | 2,938 | 140,959 | ||||||
Konya Cimento Sanayii A.S. | 4,921 | 512,820 | ||||||
*Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S. | 156,178 | 357,299 | ||||||
*Koza Anadolu Metal Madencilik Isletmeleri A.S. | 169,145 | 502,787 | ||||||
Mardin Cimento Sanayii ve Ticaret A.S. | 201,608 | 1,065,242 | ||||||
*Marti Otel Isletmeleri A.S. | 201,327 | 154,186 | ||||||
*Mondi Tire Kutsan Kagit Ve Ambalaj Sanayii A.S. | 94,425 | 109,516 | ||||||
*Mudurnu Tavukculuk A.S. | 1,740 | 546 | ||||||
*Nergis Holding A.S. | 1,784 | 4,602 | ||||||
*Net Holding A.S. | 550,177 | 338,205 | ||||||
*Net Turizm Ticaret ve Sanayi A.S. | 385,378 | 266,763 | ||||||
Nortel Networks Netas Telekomuenikasyon A.S. | 13,916 | 511,299 | ||||||
Otokar Otomotive Ve Savunma Sanayi A.S. | 39,067 | 507,114 | ||||||
*Park Elektrik Madencilik Sanayi Ve Ticaret A.S. | 67,414 | 131,597 | ||||||
*Petkim Petrokimya Holding A.S. | 971,775 | 1,680,197 | ||||||
Pinar Entegre Et ve Un Sanayi A.S. | 49,996 | 227,178 | ||||||
Pinar SUT Mamulleri Sanayii A.S. | 119,566 | 955,982 |
158
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
TURKEY — (Continued) | ||||||||
*Raks Elektronik Sanayi ve Ticaret A.S. | 2,730 | $ | 1,504 | |||||
*Reysas Tasimacilik ve Lojistik Ticaret A.S. | 100,831 | 283,515 | ||||||
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. | 107,974 | 300,356 | ||||||
Sekerbank T.A.S. | 682,262 | 855,477 | ||||||
Selcuk Ecza Deposu Ticaret ve Sanayi A.S. | 424,122 | 813,934 | ||||||
*Soda Sanayii A.S. | 105,854 | 152,959 | ||||||
*TAT Konserve Sanayii A.S. | 144,018 | 404,115 | ||||||
*TAV Havalimanlari Holding A.S. | 310,085 | 1,590,908 | ||||||
Tekfen Holding A.S. | 352,699 | 1,505,618 | ||||||
*Tekstil Bankasi A.S. | 245,596 | 187,413 | ||||||
Tofas Turk Otomobil Fabrikasi A.S. | 306,405 | 1,675,771 | ||||||
*Trakya Cam Sanayii A.S. | 591,595 | 1,231,773 | ||||||
Turcas Petrol A.S. | 144,981 | 680,916 | ||||||
*Turk Ekonomi Bankasi A.S. | 583,643 | 993,579 | ||||||
Turk Traktor ve Ziraat Makineleri A.S. | 35,080 | 467,483 | ||||||
Turkiye Sinai Kalkinma Bankasi A.S. | 843,808 | 1,536,581 | ||||||
*Turkiye Sise ve Cam Fabrikalari A.S. | 729,010 | 1,330,109 | ||||||
Ulker Biskuvi Sanayi A.S. | 203,995 | 656,957 | ||||||
*Uzel Makina Sanayii A.S. | 172,635 | 93,879 | ||||||
*Vakif Finansal Kiralama A.S. | 1 | 4 | ||||||
Vestel Beyaz Esya Sanayi ve Ticaret A.S. | 138,657 | 367,605 | ||||||
*Vestel Elektronik Sanayi ve Ticaret A.S. | 204,016 | 340,929 | ||||||
*Yapi Kredi Sigorta A.S. | 102,412 | 1,014,401 | ||||||
*Zorlu Enerji Elektrik Uretim A.S. | 185,561 | 377,771 | ||||||
TOTAL TURKEY | 53,708,911 | |||||||
TOTAL COMMON STOCKS | 1,818,984,831 | |||||||
PREFERRED STOCKS — (2.9%) | ||||||||
BRAZIL — (2.9%) | ||||||||
*AES Tiete SA | 97,828 | 1,357,843 | ||||||
Banco Alfa de Investimento SA | 3,200 | 12,243 | ||||||
Banco Cruzeiro do Sul SA | 30,700 | 276,071 | ||||||
Banco do Estado do Rio Grande do Sul SA | 322,347 | 3,526,233 | ||||||
Banco Mercantil do Brasil SA | 6,500 | 47,403 | ||||||
Bardella SA Industrias Mecanicas | 1,100 | 104,129 | ||||||
#Braskem SA Preferred A Sponsored ADR | 301,000 | 6,275,850 | ||||||
Centrais Electricas de Santa Catarina SA | 57,900 | 1,185,038 | ||||||
Cia de Tecidos Norte de Minas - Coteminas SA | 162,342 | 415,331 | ||||||
*Cia de Transmissao de Energia Electrica Paulista Series A | 6,800 | 210,523 | ||||||
Cia Energetica do Ceara SA Series A | 63,400 | 1,049,644 | ||||||
Cia Paranaense de Energia-Copel SA Series B | 118,595 | 2,748,826 | ||||||
Confab Industrial SA | 497,154 | 1,818,678 | ||||||
Contax Participacoes SA | 70,800 | 1,216,296 | ||||||
Eletropaulo Metropolita SA Preferred A | 184,200 | 3,248,931 | ||||||
Empressa Metropolitanade Aguas e Energia SA | 24,000 | 106,852 | ||||||
Energisa SA | 138,800 | 158,367 | ||||||
Ferbasa-Ferro Ligas Da Bahia | 92,500 | 700,156 | ||||||
Forjas Taurus SA | 217,298 | 575,099 | ||||||
Fras-Le SA | 30,300 | 78,410 | ||||||
Gol Linhas Aereas Inteligentes SA | 91,900 | 1,589,589 | ||||||
*Industria de Bebidas Antarctica Polar SA | 23,000 | 35,508 | ||||||
*Inepar SA Industria e Construcoes | 104,570 | 312,425 | ||||||
*Inepar SA Industria e Construcoes Receipt | 72,098 | 216,256 | ||||||
Klabin SA | 1,412,700 | 3,946,554 | ||||||
Lojas Americanas SA | 224,058 | 2,396,998 | ||||||
Mahle-Metal Leve SA Industria e Comercio | 28,666 | 697,472 | ||||||
Mangels Industrial SA | 14,600 | 94,454 | ||||||
Marcopolo SA | 671,600 | 2,685,926 | ||||||
Randon e Participacoes SA | 319,500 | 2,673,931 | ||||||
Rasip Agro-Pastoril SA | 51,000 | 11,698 | ||||||
Sao Paulo Alpargatas SA | 486,000 | 2,986,943 |
159
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares | Value†† | |||||||
BRAZIL — (Continued) | ||||||||
Saraiva SA Livreiros Editores | 54,100 | $ | 1,175,354 | |||||
Schulz SA | 1,800 | 33,876 | ||||||
*Sharp SA Equipamentos Eletronicos | 30,200,000 | 355 | ||||||
Suzano Papel e Celullose SA | 488,293 | 4,592,016 | ||||||
TAM SA | 135,800 | 3,302,552 | ||||||
Ultrapar Participacoes SA | 112,095 | 6,810,218 | ||||||
*Unipar Participacoes SA Class B | 1,321,579 | 520,766 | ||||||
Whirlpool SA | 301,516 | 602,926 | ||||||
TOTAL BRAZIL | 59,797,740 | |||||||
CHILE — (0.0%) | ||||||||
Embotelladora Andina SA | 7,000 | 28,478 | ||||||
INDIA — (0.0%) | ||||||||
*Ispat Industries, Ltd. | 620,622 | 37,093 | ||||||
MALAYSIA — (0.0%) | ||||||||
*Malayan United Industries Berhad Series A2 | 176,957 | 9,384 | ||||||
TOTAL PREFERRED STOCKS | 59,872,695 | |||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||
CHINA — (0.0%) | ||||||||
#*HKC Holdings, Ltd. Warrants 06/09/11 | 1,328,221 | 9,939 | ||||||
#*Hong Kong Energy Holdings, Ltd. Warrants 06/09/11 | 80,496 | 748 | ||||||
*Kingboard Chemical Holdings, Ltd. Warrants 10/31/12 | 35,150 | 20,134 | ||||||
TOTAL CHINA | 30,821 | |||||||
INDIA — (0.0%) | ||||||||
*Britannia Industries, Ltd. Debentures 03/22/13 | 30,375 | 118,970 | ||||||
*Kirloskar Brothers, Ltd. Warrants 10/24/12 | 73 | 6 | ||||||
TOTAL INDIA | 118,976 | |||||||
INDONESIA — (0.0%) | ||||||||
*PT Intiland Development Tbk Warrants 04/13/12 | 1,398,266 | 14,863 | ||||||
MALAYSIA — (0.0%) | ||||||||
*KFC Holdings (Malaysia) Berhad Warrants 09/14/15 | 89,568 | 43,179 | ||||||
*Media Prima Berhad Warrants 12/31/14 | 51,673 | 9,964 | ||||||
*Notion VTEC Berhad Warrants 08/03/15 | 77,644 | 10,356 | ||||||
*OSK Holdings Berhad Warrants 09/30/12 | 1,696 | 41 | ||||||
TOTAL MALAYSIA | 63,540 | |||||||
POLAND — (0.0%) | ||||||||
*Boryszew SA Rights | 577,466 | 769,887 | ||||||
SOUTH KOREA — (0.0%) | ||||||||
*Green Cross Holdings Corp. Rights 11/24/10 | 390 | 13,707 | ||||||
*Kolon Industries, Inc. Rights 12/02/10 | 4,094 | 62,941 | ||||||
TOTAL SOUTH KOREA | 76,648 | |||||||
THAILAND — (0.0%) | ||||||||
*Bangkok Land PCL (Foreign) NVDR Warrants 05/02/13 | 8,472,752 | 36,740 | ||||||
*Bangkok Land PCL (Foreign) Warrants 12/31/10 | 2,456,164 | — | ||||||
*Khon Kaen Sugar Industry PCL (Foreign) Warrants 03/15/13 | 111,980 | 13,521 | ||||||
*Sansiri PCL (Foreign) Warrants 01/20/15 | 1,310,583 | 62,950 | ||||||
TOTAL THAILAND | 113,211 | |||||||
TOTAL RIGHTS/WARRANTS | 1,187,946 | |||||||
160
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Face Amount | Value† | |||||||
(000) | ||||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 11/01/10 (Collateralized by | $5,786 | $5,786,000 | ||||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (8.8%) | ||||||||
§@DFA Short Term Investment Fund | 180,694,390 | 180,694,390 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.22%, 11/01/10 (Collateralized by | $1,123 | 1,123,056 | ||||||
TOTAL SECURITIES LENDING COLLATERAL | 181,817,446 | |||||||
TOTAL INVESTMENTS — (100.0%) | $ | 2,067,648,918 | ||||||
161
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value† | |||||||
COMMON STOCKS — (95.5%) | ||||||||
Consumer Discretionary — (19.1%) | ||||||||
*AC Moore Arts & Crafts, Inc. | 22,055 | $ | 49,624 | |||||
Acme United Corp. | 1,030 | 10,094 | ||||||
*Aldila, Inc. | 6,471 | 27,502 | ||||||
*Alloy, Inc. | 19,256 | 187,746 | ||||||
American Greetings Corp. Class A | 62,335 | 1,207,429 | ||||||
#*Arctic Cat, Inc. | 21,666 | 288,374 | ||||||
*Ascent Media Corp. | 3,246 | 88,421 | ||||||
*Audiovox Corp. Class A | 28,322 | 183,527 | ||||||
#*AutoNation, Inc. | 285,676 | 6,633,397 | ||||||
*Ballantyne Strong, Inc. | 9,932 | 83,627 | ||||||
#Barnes & Noble, Inc. | 39,682 | 594,436 | ||||||
*Beasley Broadcast Group, Inc. | 9,802 | 42,835 | ||||||
#*Beazer Homes USA, Inc. | 36,700 | 149,002 | ||||||
bebe stores, inc. | 18,570 | 121,819 | ||||||
*Benihana, Inc. | 3,200 | 26,800 | ||||||
#*Biglari Holdings, Inc. | 2,962 | 987,501 | ||||||
*Bluegreen Corp. | 16,973 | 54,823 | ||||||
Blyth, Inc. | 5,625 | 225,675 | ||||||
Bob Evans Farms, Inc. | 52,387 | 1,503,507 | ||||||
Books-A-Million, Inc. | 23,071 | 146,501 | ||||||
#*Boyd Gaming Corp. | 20,700 | 172,017 | ||||||
*Brookfield Homes Corp. | 38,342 | 319,772 | ||||||
Brown Shoe Co., Inc. | 74,175 | 871,556 | ||||||
Brunswick Corp. | 25,121 | 397,414 | ||||||
*Build-A-Bear-Workshop, Inc. | 30,090 | 211,533 | ||||||
#*Cabela’s, Inc. | 109,175 | 2,024,104 | ||||||
*Cache, Inc. | 18,809 | 93,857 | ||||||
*California Coastal Communities, Inc. | 809 | 615 | ||||||
Callaway Golf Co. | 112,370 | 773,106 | ||||||
*Cambium Learning Group, Inc. | 37,138 | 114,756 | ||||||
*Canterbury Park Holding Corp. | 2,755 | 23,046 | ||||||
*Carmike Cinemas, Inc. | 887 | 7,105 | ||||||
*Carnival Corp. | 695,842 | 30,039,499 | ||||||
*Carriage Services, Inc. | 19,056 | 100,044 | ||||||
#*Cavco Industries, Inc. | 7,337 | 232,510 | ||||||
CBS Corp. | 24,952 | 424,184 | ||||||
CBS Corp. Class B | 955,791 | 16,181,542 | ||||||
#*Charming Shoppes, Inc. | 112,182 | 391,515 | ||||||
Chico’s FAS, Inc. | 36,233 | 352,185 | ||||||
Christopher & Banks Corp. | 62,531 | 372,685 | ||||||
#Churchill Downs, Inc. | 3,496 | 126,660 | ||||||
Cinemark Holdings, Inc. | 16,800 | 294,840 | ||||||
*Coast Distribution System, Inc. | 547 | 2,073 | ||||||
#*Collective Brands, Inc. | 59,190 | 907,383 | ||||||
*Comcast Corp. Class A | 3,570,978 | 73,490,727 | ||||||
Comcast Corp. Special Class A | 1,432,185 | 27,684,136 | ||||||
#*Conn’s, Inc. | 6,356 | 27,966 | ||||||
*Core-Mark Holding Co., Inc. | 24,059 | 793,947 | ||||||
*Craftmade International, Inc. | 2,799 | 15,506 | ||||||
CSS Industries, Inc. | 14,328 | 239,707 | ||||||
*Culp, Inc. | 15,574 | 157,920 | ||||||
*Cybex International, Inc. | 29,933 | 43,553 | ||||||
*dELiA*s, Inc. | 22,143 | 36,093 | ||||||
*Delta Apparel, Inc. | 7,832 | 101,189 | ||||||
#*Destination Maternity Corp. | 11,225 | 410,049 | ||||||
Dillard’s, Inc. | 120,300 | 3,068,853 | ||||||
*DineEquity, Inc. | 28,720 | 1,276,604 | ||||||
#*Discovery Communications, Inc. Class A | 115,229 | 5,140,366 |
162
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
*Discovery Communications, Inc. Class B | 3,937 | $ | 177,382 | |||||
*Discovery Communications, Inc. Class C | 162,790 | 6,326,019 | ||||||
*Dixie Group, Inc. | 11,800 | 42,834 | ||||||
*Dorman Products, Inc. | 14,657 | 534,834 | ||||||
*Dover Motorsports, Inc. | 15,200 | 25,688 | ||||||
*DR Horton, Inc. | 181,125 | 1,890,945 | ||||||
#*Dress Barn, Inc. (The) | 169 | 3,877 | ||||||
#*Drew Industries, Inc. | 1,746 | 36,788 | ||||||
*Duckwall-ALCO Stores, Inc. | 700 | 9,009 | ||||||
Educational Development Corp. | 1,700 | 11,067 | ||||||
Ethan Allen Interiors, Inc. | 20,500 | 310,985 | ||||||
#*Exide Technologies | 12,623 | 74,349 | ||||||
*Federal-Mogul Corp. | 40,785 | 808,767 | ||||||
Finish Line, Inc. Class A | 73,309 | 1,121,628 | ||||||
*Fisher Communications, Inc. | 10,146 | 185,469 | ||||||
*Flanigan’s Enterprises, Inc. | 865 | 5,943 | ||||||
Flexsteel Industries, Inc. | 2,068 | 31,268 | ||||||
Foot Locker, Inc. | 219,549 | 3,497,416 | ||||||
*Fortune Brands, Inc. | 149,626 | 8,087,285 | ||||||
Fred’s, Inc. | 45,030 | 539,459 | ||||||
Frisch’s Restaurants, Inc. | 600 | 13,260 | ||||||
*Full House Resorts, Inc. | 700 | 2,450 | ||||||
*Furniture Brands International, Inc. | 67,664 | 338,997 | ||||||
*GameTech International, Inc. | 2,360 | 683 | ||||||
Gaming Partners International Corp. | 500 | 2,700 | ||||||
Gannett Co., Inc. | 12,478 | 147,864 | ||||||
#*Gaylord Entertainment Co. | 45,753 | 1,525,405 | ||||||
*Genesco, Inc. | 35,745 | 1,171,006 | ||||||
*G-III Apparel Group, Ltd. | 14,736 | 389,030 | ||||||
*Gray Television, Inc. | 5,550 | 10,822 | ||||||
*Great Wolf Resorts, Inc. | 37,142 | 87,655 | ||||||
#*Group 1 Automotive, Inc. | 57,936 | 2,042,823 | ||||||
*Hallwood Group, Inc. | 296 | 9,824 | ||||||
*Hastings Entertainment, Inc. | 1,572 | 10,438 | ||||||
Haverty Furniture Cos., Inc. | 38,589 | 412,516 | ||||||
*Heelys, Inc. | 19,403 | 52,000 | ||||||
*Helen of Troy, Ltd. | 64,389 | 1,651,578 | ||||||
*Hollywood Media Corp. | 28,505 | 36,201 | ||||||
Hooker Furniture Corp. | 13,559 | 143,319 | ||||||
Hot Topic, Inc. | 18,261 | 104,636 | ||||||
*HSN, Inc. | 22,632 | 677,602 | ||||||
*Iconix Brand Group, Inc. | 95,618 | 1,673,315 | ||||||
#*Isle of Capri Casinos, Inc. | 15,000 | 120,600 | ||||||
*J. Alexander’s Corp. | 9,196 | 40,830 | ||||||
#*J.C. Penney Co., Inc. | 208,599 | 6,504,117 | ||||||
#*JAKKS Pacific, Inc. | 15,024 | 283,202 | ||||||
Jarden Corp. | 108,050 | 3,464,083 | ||||||
*Jo-Ann Stores, Inc. | 15,793 | 683,047 | ||||||
*Johnson Outdoors, Inc. Class A | 18,189 | 259,739 | ||||||
Jones Group, Inc. (The) | 106,821 | 1,544,632 | ||||||
*Kenneth Cole Productions, Inc. Class A | 10,572 | 142,193 | ||||||
*Kid Brands, Inc. | 23,676 | 231,078 | ||||||
*Kona Grill, Inc. | 300 | 1,005 | ||||||
KSW, Inc. | 446 | 1,414 | ||||||
*K-Swiss, Inc. Class A | 10,751 | 130,732 | ||||||
Lacrosse Footwear, Inc. | 495 | 7,143 | ||||||
*Lakeland Industries, Inc. | 11,757 | 114,513 | ||||||
*Lakes Entertainment, Inc. | 15,730 | 36,808 | ||||||
*Lazare Kaplan International, Inc. | 12,780 | 25,560 | ||||||
#*Lennar Corp. Class A | 224,100 | 3,251,691 | ||||||
#*Liberty Global, Inc. Class A | 1,678 | 63,412 |
163
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
#*Liberty Global, Inc. Class C | 49,545 | $ | 1,793,034 | |||||
*Liberty Media Corp. Capital Class A | 217,289 | 12,502,809 | ||||||
*Liberty Media Corp. Capital Class B | 6,066 | 349,402 | ||||||
*Liberty Media Corp. Interactive Class A | 882,463 | 13,025,154 | ||||||
*Liberty Media Corp. Interactive Class B | 35,706 | 533,091 | ||||||
*Liberty Media-Starz Corp. Series B | 1,766 | 116,556 | ||||||
#*Life Time Fitness, Inc. | 27,800 | 1,004,414 | ||||||
*Lifetime Brands, Inc. | 17,158 | 220,309 | ||||||
Lithia Motors, Inc. | 39,056 | 425,710 | ||||||
#*Live Nation Entertainment, Inc. | 147,097 | 1,395,951 | ||||||
*Liz Claiborne, Inc. | 241 | 1,475 | ||||||
#*Luby’s, Inc. | 42,423 | 215,085 | ||||||
*M/I Homes, Inc. | 37,930 | 401,299 | ||||||
Mac-Gray Corp. | 13,366 | 162,397 | ||||||
Macy’s, Inc. | 137,939 | 3,260,878 | ||||||
Marcus Corp. | 25,596 | 328,141 | ||||||
*MarineMax, Inc. | 25,977 | 194,308 | ||||||
*McCormick & Schmick’s Seafood Restaurants, Inc. | 15,712 | 140,308 | ||||||
#*Media General, Inc. | 29,681 | 163,542 | ||||||
Men’s Wearhouse, Inc. (The) | 82,560 | 2,017,766 | ||||||
#*Meredith Corp. | 14,936 | 507,077 | ||||||
*Meritage Homes Corp. | 28,156 | 515,536 | ||||||
*Modine Manufacturing Co. | 12,724 | 172,028 | ||||||
*Mohawk Industries, Inc. | 98,740 | 5,661,752 | ||||||
*Morton’s Restaurant Group, Inc. | 15,422 | 86,363 | ||||||
*Movado Group, Inc. | 30,500 | 342,820 | ||||||
*MTR Gaming Group, Inc. | 24,135 | 46,581 | ||||||
*Multimedia Games, Inc. | 34,039 | 133,433 | ||||||
*Nautilus, Inc. | 23,965 | 35,468 | ||||||
*New Frontier Media, Inc. | 20,483 | 35,640 | ||||||
*New York & Co., Inc. | 37,502 | 117,006 | ||||||
*News Corp. Class A | 2,360,850 | 34,137,891 | ||||||
News Corp. Class B | 937,272 | 15,071,334 | ||||||
#*O’Charley’s, Inc. | 17,132 | 128,490 | ||||||
#*Orient-Express Hotels, Ltd. | 81,098 | 1,026,701 | ||||||
*Outdoor Channel Holdings, Inc. | 39,378 | 207,916 | ||||||
*Palm Harbor Homes, Inc. | 1,673 | 2,158 | ||||||
#*Penske Automotive Group, Inc. | 59,294 | 797,504 | ||||||
Pep Boys - Manny, Moe & Jack (The) | 81,600 | 953,904 | ||||||
*Perry Ellis International, Inc. | 28,161 | 633,059 | ||||||
Phillips-Van Heusen Corp. | 31,964 | 1,960,672 | ||||||
*Pinnacle Entertainment, Inc. | 94,530 | 1,209,984 | ||||||
#*Pulte Group, Inc. | 73,084 | 573,709 | ||||||
#*Radio One, Inc. | 16,433 | 19,062 | ||||||
*RC2 Corp. | 14,819 | 312,681 | ||||||
*Red Lion Hotels Corp. | 20,734 | 163,177 | ||||||
#*Red Robin Gourmet Burgers, Inc. | 41,775 | 848,032 | ||||||
Regis Corp. | 57,983 | 1,185,752 | ||||||
Rent-A-Center, Inc. | 76,435 | 1,921,576 | ||||||
*Retail Ventures, Inc. | 69,367 | 942,698 | ||||||
*Rick’s Cabaret International, Inc. | 9,575 | 72,674 | ||||||
*Rocky Brands, Inc. | 10,329 | 94,717 | ||||||
#*Royal Caribbean Cruises, Ltd. | 322,500 | 12,751,650 | ||||||
*Ruby Tuesday, Inc. | 68,262 | 825,970 | ||||||
*Saga Communications, Inc. | 6,520 | 132,943 | ||||||
#*Saks, Inc. | 79,902 | 890,108 | ||||||
*Salem Communications Corp. | 5,831 | 18,718 | ||||||
Scholastic Corp. | 38,300 | 1,127,935 | ||||||
#*Sears Holdings Corp. | 130,528 | 9,395,405 | ||||||
Service Corp. International | 277,569 | 2,298,271 | ||||||
*Shiloh Industries, Inc. | 25,710 | 259,157 |
164
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
*Shoe Carnival, Inc. | 31,193 | $ | 714,320 | |||||
*Sinclair Broadcast Group, Inc. Class A | 76,006 | 607,288 | ||||||
#*Skechers U.S.A., Inc. Class A | 49,610 | 964,418 | ||||||
Skyline Corp. | 5,123 | 91,343 | ||||||
Spartan Motors, Inc. | 16,427 | 83,449 | ||||||
Speedway Motorsports, Inc. | 66,513 | 1,017,649 | ||||||
*Sport Chalet, Inc. Class A | 875 | 1,829 | ||||||
*Sport Chalet, Inc. Class B | 299 | 706 | ||||||
Stage Stores, Inc. | 60,550 | 807,132 | ||||||
Standard Motor Products, Inc. | 28,160 | 299,341 | ||||||
#*Standard Pacific Corp. | 92,789 | 336,824 | ||||||
*Stanley Furniture, Inc. | 12,364 | 47,725 | ||||||
*Steinway Musical Instruments, Inc. | 12,347 | 210,022 | ||||||
Stewart Enterprises, Inc. | 85,569 | 475,764 | ||||||
*Stoneridge, Inc. | 107 | 1,177 | ||||||
*Strattec Security Corp. | 5,556 | 170,069 | ||||||
Superior Industries International, Inc. | 40,100 | 719,795 | ||||||
*Syms Corp. | 5,500 | 40,095 | ||||||
#Systemax, Inc. | 7,773 | 100,660 | ||||||
*Tandy Brands Accessories, Inc. | 10,432 | 34,217 | ||||||
Tandy Leather Factory, Inc. | 500 | 2,250 | ||||||
*Timberland Co. Class A | 3,300 | 69,234 | ||||||
*Time Warner Cable, Inc. | 693,942 | 40,158,424 | ||||||
*Time Warner, Inc. | 1,534,860 | 49,898,299 | ||||||
*Toll Brothers, Inc. | 203,299 | 3,647,184 | ||||||
*Trans World Entertainment Corp. | 5,781 | 10,521 | ||||||
*TRW Automotive Holdings Corp. | 153,112 | 6,995,687 | ||||||
#*Tuesday Morning Corp. | 60,500 | 289,795 | ||||||
*Unifi, Inc. | 163,482 | 773,270 | ||||||
*Vail Resorts, Inc. | 19,870 | 805,927 | ||||||
Walt Disney Co. (The) | 1,066,209 | 38,500,807 | ||||||
*Washington Post Co. | 5,780 | 2,324,427 | ||||||
#*West Marine, Inc. | 26,563 | 260,583 | ||||||
*Whirlpool Corp. | 85,201 | 6,460,792 | ||||||
Williams-Sonoma, Inc. | 11,805 | 382,128 | ||||||
*Wyndham Worldwide Corp. | 262,116 | 7,535,835 | ||||||
Total Consumer Discretionary | 531,372,359 | |||||||
Consumer Staples — (7.0%) | ||||||||
Andersons, Inc. (The) | 9,900 | 389,763 | ||||||
*Archer-Daniels-Midland Co. | 759,376 | 25,302,408 | ||||||
B&G Foods, Inc. | 53,573 | 656,269 | ||||||
Bunge, Ltd. | 118,968 | 7,146,408 | ||||||
*Cagle’s, Inc. Class A | 955 | 5,539 | ||||||
CCA Industries, Inc. | 8,323 | 37,037 | ||||||
*Central European Distribution Corp. | 57,775 | 1,442,642 | ||||||
*Central Garden & Pet Co. | 37,832 | 391,561 | ||||||
*Central Garden & Pet Co. Class A | 48,053 | 502,154 | ||||||
#*Chiquita Brands International, Inc. | 70,190 | 931,421 | ||||||
*Constellation Brands, Inc. Class A | 249,042 | 4,913,599 | ||||||
*Constellation Brands, Inc. Class B | 12,715 | 251,121 | ||||||
Corn Products International, Inc. | 62,117 | 2,643,078 | ||||||
*Craft Brewers Alliance, Inc. | 2,546 | 16,600 | ||||||
*CVS Caremark Corp. | 1,510,745 | 45,503,639 | ||||||
Del Monte Foods Co. | 342,870 | 4,916,756 | ||||||
*Elizabeth Arden, Inc. | 21,291 | 435,401 | ||||||
Farmer Brothers Co. | 20,189 | 331,301 | ||||||
Griffin Land & Nurseries, Inc. Class A | 1,500 | 36,900 | ||||||
*Hain Celestial Group, Inc. | 63,205 | 1,563,060 | ||||||
*Harbinger Group, Inc. | 3,064 | 15,810 | ||||||
*HQ Sustainable Maritime Industries, Inc. | 10,070 | 33,332 |
165
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Staples — (Continued) | ||||||||
#Imperial Sugar Co. | 10,122 | $ | 128,549 | |||||
Ingles Markets, Inc. | 10,497 | 192,725 | ||||||
Inter Parfums, Inc. | 3,525 | 61,652 | ||||||
*J.M. Smucker Co. | 108,204 | 6,955,353 | ||||||
#*John B. Sanfilippo & Son, Inc. | 9,100 | 122,122 | ||||||
Kraft Foods, Inc. | 1,821,573 | 58,782,161 | ||||||
*Mannatech, Inc. | 13,238 | 24,755 | ||||||
MGP Ingredients, Inc. | 3,959 | 35,710 | ||||||
*Molson Coors Brewing Co. | 190,750 | 9,009,122 | ||||||
Molson Coors Brewing Co. Class A | 1,908 | 86,814 | ||||||
*Nutraceutical International Corp. | 18,011 | 292,679 | ||||||
Oil-Dri Corp. of America | 236 | 5,190 | ||||||
*Omega Protein Corp. | 33,225 | 187,721 | ||||||
*Pantry, Inc. | 21,483 | 417,844 | ||||||
*Parlux Fragrances, Inc. | 556 | 1,446 | ||||||
*Physicians Formula Holdings, Inc. | 947 | 3,390 | ||||||
*Prestige Brands Holdings, Inc. | 112,017 | 1,204,183 | ||||||
*Ralcorp Holdings, Inc. | 59,647 | 3,701,693 | ||||||
Safeway, Inc. | 65,503 | 1,500,019 | ||||||
*Seneca Foods Corp. Class B | 300 | 6,918 | ||||||
#*Smart Balance, Inc. | 65,406 | 232,845 | ||||||
*Smithfield Foods, Inc. | 185,173 | 3,101,648 | ||||||
Spartan Stores, Inc. | 13,615 | 203,544 | ||||||
#*SUPERVALU, Inc. | 191,716 | 2,068,616 | ||||||
*Susser Holdings Corp. | 14,936 | 204,175 | ||||||
Tasty Baking Co. | 7,784 | 49,195 | ||||||
*Tyson Foods, Inc. Class A | 405,030 | 6,298,216 | ||||||
Universal Corp. | 18,490 | 766,226 | ||||||
*Winn-Dixie Stores, Inc. | 92,300 | 618,410 | ||||||
Total Consumer Staples | 193,728,720 | |||||||
Energy — (14.5%) | ||||||||
Adams Resources & Energy, Inc. | 6,758 | 132,457 | ||||||
*Allis-Chalmers Energy, Inc. | 10,958 | 56,324 | ||||||
#Alon USA Energy, Inc. | 38,492 | 218,250 | ||||||
*Anadarko Petroleum Corp. | 845,068 | 52,030,837 | ||||||
*Apache Corp. | 80,277 | 8,109,583 | ||||||
*Approach Resources, Inc. | 7,782 | 120,232 | ||||||
#*ATP Oil & Gas Corp. | 13,671 | 196,316 | ||||||
*Baker Hughes, Inc. | 100,807 | 4,670,388 | ||||||
*Barnwell Industries, Inc. | 5,190 | 15,362 | ||||||
*Basic Energy Services, Inc. | 52,227 | 577,631 | ||||||
#Berry Petroleum Corp. Class A | 54,457 | 1,862,974 | ||||||
#*Bill Barrett Corp. | 23,138 | 873,459 | ||||||
*Bristow Group, Inc. | 41,500 | 1,609,370 | ||||||
*Bronco Drilling Co., Inc. | 14,784 | 62,388 | ||||||
*Cabot Oil & Gas Corp. | 15,905 | 460,927 | ||||||
*Cal Dive International, Inc. | 53,900 | 272,734 | ||||||
Chesapeake Energy Corp. | 818,200 | 17,754,940 | ||||||
*Chevron Corp. | 122,178 | 10,093,125 | ||||||
Cimarex Energy Co. | 105,300 | 8,081,775 | ||||||
*Complete Production Services, Inc. | 68,227 | 1,598,559 | ||||||
*ConocoPhillips | 1,766,829 | 104,949,643 | ||||||
*CVR Energy, Inc. | 14,280 | 135,946 | ||||||
Delek US Holdings, Inc. | 66,641 | 489,811 | ||||||
Devon Energy Corp. | 11,822 | 768,666 | ||||||
*Double Eagle Petroleum Co. | 4,269 | 18,186 | ||||||
#*Exterran Holdings, Inc. | 85,189 | 2,144,207 | ||||||
*Exxon Mobil Corp. | 49,178 | 3,268,862 | ||||||
General Maritime Corp. | 12,382 | 47,547 | ||||||
#*Geokinetics, Inc. | 5,381 | 36,698 |
166
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Energy — (Continued) | ||||||||
*GeoMet, Inc. | 8,744 | $ | 6,436 | |||||
*GeoResources, Inc. | 7,525 | 129,430 | ||||||
*Global Industries, Ltd. | 15,300 | 88,587 | ||||||
*Gulfmark Offshore, Inc. | 37,045 | 1,096,902 | ||||||
#*Harvest Natural Resources, Inc. | 45,263 | 564,882 | ||||||
*Helix Energy Solutions Group, Inc. | 93,310 | 1,184,104 | ||||||
*Helmerich & Payne, Inc. | 106,356 | 4,549,910 | ||||||
#*Hercules Offshore, Inc. | 7,100 | 16,756 | ||||||
Hess Corp. | 378,130 | 23,833,534 | ||||||
*HKN, Inc. | 15,681 | 57,706 | ||||||
#*Hornbeck Offshore Services, Inc. | 16,700 | 371,408 | ||||||
#*International Coal Group, Inc. | 121,496 | 682,808 | ||||||
#*Key Energy Services, Inc. | 56,774 | 559,224 | ||||||
*Marathon Oil Corp. | 867,037 | 30,840,506 | ||||||
*Mitcham Industries, Inc. | 6,824 | 59,369 | ||||||
*Nabors Industries, Ltd. | 276,982 | 5,788,924 | ||||||
National-Oilwell, Inc. | 468,812 | 25,203,333 | ||||||
*Natural Gas Services Group, Inc. | 17,452 | 274,869 | ||||||
*Newfield Exploration Co. | 18,378 | 1,095,696 | ||||||
*Newpark Resources, Inc. | 101,220 | 595,174 | ||||||
*Noble Energy, Inc. | 128,034 | 10,432,210 | ||||||
*Oil States International, Inc. | 43,285 | 2,212,729 | ||||||
Overseas Shipholding Group, Inc. | 31,709 | 1,060,032 | ||||||
*Parker Drilling Co. | 97,200 | 411,156 | ||||||
#*Patriot Coal Corp. | 52,400 | 706,876 | ||||||
Patterson-UTI Energy, Inc. | 120,725 | 2,343,272 | ||||||
*Petroleum Development Corp. | 26,573 | 829,343 | ||||||
*PHI, Inc. Non-Voting | 21,578 | 376,968 | ||||||
*PHI, Inc. Voting | 1,099 | 18,254 | ||||||
*Pioneer Drilling Co. | 67,927 | 418,430 | ||||||
Pioneer Natural Resources Co. | 170,193 | 11,879,471 | ||||||
*Plains Exploration & Production Co. | 162,430 | 4,526,924 | ||||||
*Pride International, Inc. | 119,278 | 3,616,509 | ||||||
*QEP Resources, Inc. | 44,578 | 1,472,411 | ||||||
*REX American Resources Corp. | 4,050 | 67,190 | ||||||
*Rosetta Resources, Inc. | 62,789 | 1,501,285 | ||||||
*Rowan Cos., Inc. | 121,858 | 4,009,128 | ||||||
*Schlumberger, Ltd. | 35,248 | 2,463,483 | ||||||
*SEACOR Holdings, Inc. | 36,653 | 3,472,872 | ||||||
*Seahawk Drilling, Inc. | 4,602 | 46,388 | ||||||
Southern Union Co. | — | — | ||||||
#*Stone Energy Corp. | 16,671 | 260,568 | ||||||
*Sunoco, Inc. | 149,214 | 5,591,049 | ||||||
*Swift Energy Corp. | 63,730 | 2,029,800 | ||||||
*T-3 Energy Services, Inc. | 7,912 | 264,815 | ||||||
*Tesoro Petroleum Corp. | 168,807 | 2,187,739 | ||||||
*Tetra Technologies, Inc. | 36,718 | 358,368 | ||||||
*TGC Industries, Inc. | 826 | 3,056 | ||||||
Tidewater, Inc. | 49,304 | 2,274,394 | ||||||
*Union Drilling, Inc. | 27,079 | 123,751 | ||||||
*Unit Corp. | 57,000 | 2,236,110 | ||||||
#*USEC, Inc. | 168,662 | 905,715 | ||||||
*Valero Energy Corp. | 658,099 | 11,812,877 | ||||||
*Western Refining, Inc. | 68,485 | 455,425 | ||||||
*Whiting Petroleum Corp. | 69,755 | 7,006,192 | ||||||
*Willbros Group, Inc. | 3,700 | 32,782 | ||||||
Total Energy | 405,064,327 | |||||||
Financials — (21.0%) | ||||||||
1st Source Corp. | 46,743 | 825,949 | ||||||
21st Century Holding Co. | 16,867 | 60,047 |
167
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
Abington Bancorp, Inc. | 62,892 | $ | 675,460 | |||||
Access National Corp. | 200 | 1,255 | ||||||
*Affirmative Insurance Holdings, Inc. | 14,714 | 54,442 | ||||||
*Allegheny Corp. | 9,274 | 2,786,652 | ||||||
#Alliance Bancorp, Inc. of Pennsylvania | 500 | 3,720 | ||||||
*Allstate Corp. (The) | 351,552 | 10,718,820 | ||||||
*Alterra Capital Holdings, Ltd. | 6,534 | 131,987 | ||||||
*American Capital, Ltd. | 422,803 | 2,951,165 | ||||||
#American Equity Investment Life Holding Co. | 88,700 | 962,395 | ||||||
American Financial Group, Inc. | 199,200 | 6,091,536 | ||||||
*American Independence Corp. | 866 | 4,191 | ||||||
American National Insurance Co. | 45,808 | 3,593,180 | ||||||
*American River Bankshares | 634 | 3,671 | ||||||
*American Safety Insurance Holdings, Ltd. | 15,049 | 279,460 | ||||||
*Ameris Bancorp | 32,339 | 299,783 | ||||||
*AmeriServe Financial, Inc. | 33,075 | 52,920 | ||||||
*Arch Capital Group, Ltd. | 38,105 | 3,291,891 | ||||||
Argo Group International Holdings, Ltd. | 38,796 | 1,345,833 | ||||||
Aspen Insurance Holdings, Ltd. | 102,623 | 2,911,414 | ||||||
*Asset Acceptance Capital Corp. | 5,628 | 32,530 | ||||||
Associated Banc-Corp. | 212,033 | 2,686,458 | ||||||
#Assured Guaranty, Ltd. | 122,989 | 2,342,940 | ||||||
Asta Funding, Inc. | 8,397 | 69,107 | ||||||
*Atlantic Coast Federal Corp. | 2,955 | 4,994 | ||||||
*Avatar Holdings, Inc. | 21,050 | 383,952 | ||||||
Axis Capital Holdings, Ltd. | 119,779 | 4,073,684 | ||||||
*B of I Holding, Inc. | 12,329 | 158,551 | ||||||
Baldwin & Lyons, Inc. | 300 | 6,855 | ||||||
Baldwin & Lyons, Inc. Class B | 8,421 | 210,525 | ||||||
Bancorp Rhode Island, Inc. | 14 | 407 | ||||||
*Bancorp, Inc. | 14,041 | 105,167 | ||||||
#*BancTrust Financial Group, Inc. | 34,553 | 100,895 | ||||||
Bank Mutual Corp. | 59,648 | 287,503 | ||||||
*Bank of America Corp. | 7,159,212 | 81,901,385 | ||||||
#*BankAtlantic Bancorp, Inc. | 59,912 | 54,220 | ||||||
BankFinancial Corp. | 42,139 | 385,572 | ||||||
Banner Corp. | 13,022 | 21,617 | ||||||
BCB Bancorp, Inc. | 2,200 | 19,206 | ||||||
Berkshire Hills Bancorp, Inc. | 23,562 | 455,689 | ||||||
BlackRock, Inc. | 9,400 | 1,607,306 | ||||||
Boston Private Financial Holdings, Inc. | 82,355 | 470,247 | ||||||
*Cadence Financial Corp. | 24,680 | 61,453 | ||||||
#Capital City Bank Group, Inc. | 16,636 | 198,800 | ||||||
*Capital One Financial Corp. | 571,140 | 21,286,388 | ||||||
Capital Southwest Corp. | 7,289 | 704,336 | ||||||
CapitalSource, Inc. | 125,238 | 765,204 | ||||||
#*Capitol Bancorp, Ltd. | 1,453 | 1,656 | ||||||
Cardinal Financial Corp. | 4,730 | 47,253 | ||||||
Carver Bancorp, Inc. | 600 | 1,380 | ||||||
Cathay General Bancorp | 67,312 | 915,443 | ||||||
*Center Financial Corp. | 27,441 | 143,242 | ||||||
*Central Jersey Bancorp | 6,349 | 47,427 | ||||||
*Centrue Financial Corp. | 200 | 276 | ||||||
Century Bancorp, Inc. Class A | 1,096 | 26,035 | ||||||
CFS Bancorp, Inc. | 14,148 | 73,570 | ||||||
Chemical Financial Corp. | 13,869 | 281,263 | ||||||
*Chicopee Bancorp, Inc. | 1,000 | 11,850 | ||||||
Chubb Corp. | 76,964 | 4,465,451 | ||||||
#Cincinnati Financial Corp. | 196,782 | 5,793,262 | ||||||
*Citigroup, Inc. | 9,322,022 | 38,872,832 | ||||||
*Citizens Community Bancorp, Inc. | 10,355 | 44,268 |
168
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
Citizens South Banking Corp. | 1,934 | $ | 8,994 | |||||
CME Group, Inc. | 82,877 | 24,005,323 | ||||||
#*CNA Financial Corp. | 313,566 | 8,692,050 | ||||||
*CNA Surety Corp. | 58,300 | 1,122,275 | ||||||
*CNO Financial Group, Inc. | 60 | 326 | ||||||
#CoBiz Financial, Inc. | 36,774 | 177,986 | ||||||
Codorus Valley Bancorp, Inc. | 115 | 1,078 | ||||||
#*Colony Bankcorp, Inc. | 200 | 776 | ||||||
Columbia Banking System, Inc. | 26,498 | 482,529 | ||||||
Comerica, Inc. | 32,280 | 1,154,978 | ||||||
Community Bank System, Inc. | 700 | 16,359 | ||||||
*Community West Bancshares | 400 | 1,360 | ||||||
*CompuCredit Holdings Corp. | 56,681 | 319,114 | ||||||
*Crescent Financial Corp. | 18,440 | 40,015 | ||||||
Delphi Financial Group, Inc. Class A | 25,835 | 699,353 | ||||||
*Discover Financial Services | 70,848 | 1,250,467 | ||||||
Donegal Group, Inc. Class A | 31,434 | 435,361 | ||||||
Donegal Group, Inc. Class B | 300 | 5,400 | ||||||
Eastern Insurance Holdings, Inc. | 23,326 | 259,618 | ||||||
Eastern Virginia Bankshares, Inc. | 560 | 2,033 | ||||||
EMC Insurance Group, Inc. | 20,429 | 431,869 | ||||||
#*Encore Bancshares, Inc. | 7,574 | 58,396 | ||||||
*Encore Capital Group, Inc. | 24,575 | 499,364 | ||||||
Endurance Specialty Holdings, Ltd. | 76,288 | 3,158,323 | ||||||
Enterprise Bancorp, Inc. | 194 | 2,229 | ||||||
Enterprise Financial Services Corp. | 16,205 | 159,943 | ||||||
ESB Financial Corp. | 892 | 12,836 | ||||||
ESSA Bancorp, Inc. | 11,480 | 145,222 | ||||||
Evans Bancorp, Inc. | 1,681 | 23,534 | ||||||
Everest Re Group, Ltd. | 53,099 | 4,475,184 | ||||||
F.N.B. Corp. | 104,933 | 891,930 | ||||||
Farmers Capital Bank Corp. | 1,347 | 6,062 | ||||||
FBL Financial Group, Inc. Class A | 35,719 | 934,409 | ||||||
Federal Agricultural Mortgage Corp. | 10,709 | 126,045 | ||||||
Federal Agricultural Mortgage Corp. Class A | 177 | 1,898 | ||||||
Fidelity Bancorp, Inc. | 400 | 2,310 | ||||||
Fidelity National Financial, Inc. | 75,967 | 1,017,198 | ||||||
#*Fidelity Southern Corp. | 6,517 | 44,775 | ||||||
Fifth Third Bancorp | 9,221 | 115,816 | ||||||
Financial Institutions, Inc. | 4,728 | 85,340 | ||||||
*First Acceptance Corp. | 39,006 | 72,551 | ||||||
First Bancorp | 14,510 | 194,289 | ||||||
*First Bancshares, Inc. (318687100) | 400 | 2,778 | ||||||
First Bancshares, Inc. (318916103) | 300 | 2,667 | ||||||
#First Busey Corp. | 23,133 | 107,337 | ||||||
First Business Financial Services, Inc. | 482 | 4,940 | ||||||
First Citizens BancShares, Inc. | 13,000 | 2,428,140 | ||||||
First Defiance Financial Corp. | 10,257 | 114,263 | ||||||
#*First Federal Bancshares of Arkansas, Inc. | 380 | 714 | ||||||
*First Federal of Northern Michigan Bancorp, Inc. | 1,100 | 2,849 | ||||||
First Financial Holdings, Inc. | 14,857 | 155,256 | ||||||
First Financial Northwest, Inc. | 26,672 | 101,887 | ||||||
*First Financial Service Corp. | 900 | 4,374 | ||||||
*First Franklin Corp. | 205 | 2,909 | ||||||
#*First Horizon National Corp. | 5,356 | 54,042 | ||||||
First M&F Corp. | 100 | 400 | ||||||
First Merchants Corp. | 32,030 | 266,490 | ||||||
First Mercury Financial Corp. | 23,264 | 379,203 | ||||||
First Midwest Bancorp, Inc. | 38,048 | 407,494 | ||||||
First Niagara Financial Group, Inc. | 36,166 | 428,567 | ||||||
#First Pactrust Bancorp, Inc. | 900 | 10,350 |
169
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
*First Place Financial Corp. | 21,198 | $ | 70,165 | |||||
First Security Group, Inc. | 17,516 | 28,901 | ||||||
First South Bancorp, Inc. | 2,686 | 26,967 | ||||||
#First United Corp. | 400 | 1,676 | ||||||
*FirstCity Financial Corp. | 5,872 | 49,618 | ||||||
Flagstone Reinsurance Holdings SA | 45,783 | 499,035 | ||||||
Flushing Financial Corp. | 21,197 | 278,741 | ||||||
#*FNB United Corp. | 20,714 | 10,357 | ||||||
#*Forest City Enterprises, Inc. Class A | 11,499 | 167,770 | ||||||
*FPIC Insurance Group, Inc. | 12,323 | 436,481 | ||||||
Fulton Financial Corp. | 30,200 | 282,068 | ||||||
German American Bancorp, Inc. | 10,751 | 181,692 | ||||||
*Global Indemnity P.L.C. | 10,164 | 171,568 | ||||||
Great Southern Bancorp, Inc. | 5,250 | 118,072 | ||||||
#*Greene Bancshares, Inc. | 25,269 | 97,538 | ||||||
GS Financial Corp. | 400 | 4,056 | ||||||
*Guaranty Bancorp | 84,499 | 138,578 | ||||||
*Guaranty Federal Bancshares, Inc. | 1,684 | 8,235 | ||||||
*Hallmark Financial Services, Inc. | 27,634 | 247,048 | ||||||
Hampden Bancorp, Inc. | 5,886 | 59,978 | ||||||
Hanover Insurance Group, Inc. | 90,443 | 4,092,546 | ||||||
*Harris & Harris Group, Inc. | 162 | 676 | ||||||
*Hartford Financial Services Group, Inc. | 478,387 | 11,471,720 | ||||||
HCC Insurance Holdings, Inc. | 37,078 | 981,825 | ||||||
Heartland Financial USA, Inc. | 6,669 | 103,036 | ||||||
*Heritage Commerce Corp. | 24,571 | 92,387 | ||||||
*Heritage Financial Corp. | 4,957 | 66,969 | ||||||
HF Financial Corp. | 400 | 4,136 | ||||||
*Hilltop Holdings, Inc. | 21,381 | 213,596 | ||||||
Hingham Institution for Savings | 500 | 20,000 | ||||||
*HMN Financial, Inc. | 3,996 | 12,068 | ||||||
Home Federal Bancorp, Inc. | 16,312 | 196,396 | ||||||
HopFed Bancorp, Inc. | 6,649 | 59,974 | ||||||
Horace Mann Educators Corp. | 58,206 | 1,087,870 | ||||||
Horizon Bancorp | 300 | 7,575 | ||||||
Huntington Bancshares, Inc. | 325,935 | 1,848,051 | ||||||
Independence Holding Co. | 22,770 | 192,634 | ||||||
Indiana Community Bancorp | 2,029 | 28,173 | ||||||
Infinity Property & Casualty Corp. | 27,297 | 1,412,620 | ||||||
*Investment Technology Group, Inc. | 1,600 | 22,784 | ||||||
Investors Title Co. | 1,169 | 37,864 | ||||||
Jones Lang LaSalle, Inc. | 18,654 | 1,456,131 | ||||||
*JPMorgan Chase & Co. | 494,504 | 18,608,186 | ||||||
Kentucky First Federal Bancorp | 2,800 | 26,460 | ||||||
*KeyCorp | 863,158 | 7,069,264 | ||||||
#Lakeland Bancorp, Inc. | 14,065 | 130,383 | ||||||
Landmark Bancorp, Inc. | 1,620 | 25,029 | ||||||
Legacy Bancorp, Inc. | 21,709 | 166,291 | ||||||
*Legg Mason, Inc. | 163,217 | 5,064,624 | ||||||
*Lincoln National Corp. | 460,953 | 11,284,129 | ||||||
LNB Bancorp, Inc. | 13,395 | 64,564 | ||||||
*Loews Corp. | 680,172 | 26,853,191 | ||||||
*Louisiana Bancorp, Inc. | 5,606 | 81,119 | ||||||
LSB Corp. | 1,805 | 37,905 | ||||||
#*M&T Bank Corp. | 52,565 | 3,929,234 | ||||||
#*Macatawa Bank Corp. | 19,463 | 36,590 | ||||||
*Magyar Bancorp, Inc. | 500 | 1,760 | ||||||
MainSource Financial Group, Inc. | 48,066 | 397,506 | ||||||
*Marlin Business Services Corp. | 15,164 | 184,546 | ||||||
*Marshall & Ilsley Corp. | 470,172 | 2,778,717 | ||||||
MB Financial, Inc. | 2,100 | 31,269 |
170
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
#*MBIA, Inc. | 337,600 | $ | 3,784,496 | |||||
#*MBT Financial Corp. | 23,713 | 45,766 | ||||||
Meadowbrook Insurance Group, Inc. | 106,876 | 922,340 | ||||||
Medallion Financial Corp. | 25,389 | 203,874 | ||||||
#*Mercantile Bancorp, Inc. | 163 | 292 | ||||||
Mercantile Bank Corp. | 3,316 | 13,828 | ||||||
Mercer Insurance Group, Inc. | 14,786 | 271,323 | ||||||
*Meridian Interstate Bancorp, Inc. | 3,096 | 32,849 | ||||||
Meta Financial Group, Inc. | 1,251 | 15,988 | ||||||
*MetLife, Inc. | 1,000,002 | 40,330,081 | ||||||
*Metro Bancorp, Inc. | 1,530 | 15,468 | ||||||
*MetroCorp Bancshares, Inc. | 2,250 | 7,290 | ||||||
*MF Global Holdings, Ltd. | 111,753 | 875,026 | ||||||
#*MGIC Investment Corp. | 30,175 | 266,144 | ||||||
MicroFinancial, Inc. | 5,900 | 23,836 | ||||||
MidWestOne Financial Group, Inc. | 541 | 7,958 | ||||||
MutualFirst Financial, Inc. | 2,300 | 18,607 | ||||||
#*National Financial Partners Corp. | 27,512 | 379,666 | ||||||
National Penn Bancshares, Inc. | 56,814 | 368,723 | ||||||
National Western Life Insurance Co. Class A | 900 | 144,009 | ||||||
*Navigators Group, Inc. (The) | 9,585 | 440,622 | ||||||
Nelnet, Inc. Class A | 7,100 | 159,537 | ||||||
*New Century Bancorp, Inc. | 600 | 2,382 | ||||||
New Hampshire Thrift Bancshares, Inc. | 3,667 | 43,014 | ||||||
New Westfield Financial, Inc. | 13,363 | 112,917 | ||||||
New York Community Bancorp, Inc. | 2,400 | 40,632 | ||||||
NewAlliance Bancshares, Inc. | 169,860 | 2,189,495 | ||||||
*NewBridge Bancorp | 6,172 | 24,379 | ||||||
*Newport Bancorp, Inc. | 700 | 8,372 | ||||||
#*NewStar Financial, Inc. | 52,589 | 400,202 | ||||||
*North Valley Bancorp | 4,538 | 7,578 | ||||||
Northeast Community Bancorp, Inc. | 18,190 | 108,776 | ||||||
#Northfield Bancorp, Inc. | 183 | 2,077 | ||||||
Northrim Bancorp, Inc. | 6,379 | 108,762 | ||||||
NYMAGIC, Inc. | 11,434 | 293,511 | ||||||
NYSE Euronext, Inc. | 256,231 | 7,850,918 | ||||||
*Ocwen Financial Corp. | 2,100 | 18,123 | ||||||
#*Old Republic International Corp. | 357,183 | 4,714,816 | ||||||
#Old Second Bancorp, Inc. | 13,150 | 25,906 | ||||||
OneBeacon Insurance Group, Ltd. | 14,500 | 204,160 | ||||||
#*Pacific Mercantile Bancorp | 16,756 | 52,949 | ||||||
*Pacific Premier Bancorp, Inc. | 200 | 1,048 | ||||||
Parkvale Financial Corp. | 102 | 816 | ||||||
PartnerRe, Ltd. | 52,224 | 4,142,408 | ||||||
#*Patriot National Bancorp | 2,700 | 9,720 | ||||||
#*Penson Worldwide, Inc. | 33,200 | 170,980 | ||||||
Peoples Bancorp of North Carolina | 300 | 1,530 | ||||||
Peoples Bancorp, Inc. | 19,292 | 254,269 | ||||||
#*PHH Corp. | 92,304 | 1,778,698 | ||||||
*PICO Holdings, Inc. | 3,895 | 119,732 | ||||||
#*Pinnacle Financial Partners, Inc. | 27,599 | 314,905 | ||||||
*PNC Financial Services Group, Inc. | 153,526 | 8,275,051 | ||||||
Porter Bancorp, Inc. | 1,654 | 18,359 | ||||||
*Preferred Bank | 9,798 | 16,853 | ||||||
Premier Financial Bancorp, Inc. | 1,301 | 8,704 | ||||||
Presidential Life Corp. | 29,727 | 284,487 | ||||||
#Princeton National Bancorp, Inc. | 1,100 | 5,335 | ||||||
*ProAssurance Corp. | 7,236 | 415,998 | ||||||
Prosperity Bancshares, Inc. | 14,227 | 442,317 | ||||||
Protective Life Corp. | 96,837 | 2,321,183 | ||||||
Provident Financial Holdings, Inc. | 544 | 3,694 |
171
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
Provident Financial Services, Inc. | 97,245 | $ | 1,229,177 | |||||
Provident New York Bancorp | 79,163 | 702,176 | ||||||
*Prudential Financial, Inc. | 501,027 | 26,344,000 | ||||||
Pulaski Financial Corp. | 5,450 | 38,695 | ||||||
Radian Group, Inc. | 217,050 | 1,647,410 | ||||||
Regions Financial Corp. | 1,304,230 | 8,216,649 | ||||||
Reinsurance Group of America, Inc. | 169,166 | 8,470,142 | ||||||
Renasant Corp. | 50,363 | 823,435 | ||||||
Resource America, Inc. | 21,502 | 132,667 | ||||||
*Riverview Bancorp, Inc. | 15,319 | 33,395 | ||||||
Rome Bancorp, Inc. | 12,761 | 139,095 | ||||||
#*Royal Bancshares of Pennsylvania, Inc. Class A | 33 | 55 | ||||||
Safety Insurance Group, Inc. | 19,758 | 917,957 | ||||||
Sanders Morris Harris Group, Inc. | 55,286 | 320,659 | ||||||
Sandy Spring Bancorp, Inc. | 28,531 | 496,439 | ||||||
Savannah Bancorp, Inc. (The) | 2,998 | 24,104 | ||||||
SeaBright Holdings, Inc. | 50,290 | 420,927 | ||||||
*Seacoast Banking Corp. of Florida | 390 | 488 | ||||||
Selective Insurance Group, Inc. | 82,800 | 1,400,976 | ||||||
SI Financial Group, Inc. | 6,062 | 38,615 | ||||||
Simmons First National Corp. | 4,711 | 128,092 | ||||||
Somerset Hills Bancorp | 4,317 | 36,694 | ||||||
*Southcoast Financial Corp. | 100 | 345 | ||||||
*Southern Community Financial Corp. | 29,890 | 48,721 | ||||||
*Southern First Bancshares, Inc. | 915 | 6,062 | ||||||
Southern Missouri Bancorp, Inc. | 41 | 650 | ||||||
#Southwest Bancorp, Inc. | 31,985 | 316,652 | ||||||
State Auto Financial Corp. | 66,871 | 1,047,200 | ||||||
StellarOne Corp. | 24,967 | 319,078 | ||||||
#Stewart Information Services Corp. | 12,271 | 132,772 | ||||||
*Stratus Properties, Inc. | 3,069 | 27,191 | ||||||
Student Loan Corp. | 1,100 | 32,802 | ||||||
*Sun Bancorp, Inc. | 23,158 | 91,474 | ||||||
*SunTrust Banks, Inc. | 594,272 | 14,868,685 | ||||||
#*Superior Bancorp | 5,362 | 4,493 | ||||||
Susquehanna Bancshares, Inc. | 124,870 | 986,473 | ||||||
*Taylor Capital Group, Inc. | 6,643 | 80,115 | ||||||
Teche Holding Co. | 600 | 19,500 | ||||||
*Tennessee Commerce Bancorp, Inc. | 693 | 2,890 | ||||||
TF Financial Corp. | 600 | 13,350 | ||||||
Timberland Bancorp, Inc. | 2,600 | 9,906 | ||||||
#TowneBank | 6,871 | 99,630 | ||||||
Transatlantic Holdings, Inc. | 91,903 | 4,834,098 | ||||||
Travelers Cos., Inc. (The) | 450,950 | 24,892,440 | ||||||
*Tree.com, Inc. | 5,129 | 37,955 | ||||||
Umpqua Holdings Corp. | 92,268 | 1,014,948 | ||||||
Unico American Corp. | 1,900 | 18,031 | ||||||
Union First Market Bankshares Corp. | 17,096 | 219,855 | ||||||
*United Community Banks, Inc. | 38,189 | 74,850 | ||||||
United Financial Bancorp, Inc. | 16,165 | 218,874 | ||||||
United Fire & Casualty Co. | 41,412 | 829,482 | ||||||
*United PanAm Financial Corp. | 10,652 | 49,532 | ||||||
*United Security Bancshares | 351 | 1,720 | ||||||
Unitrin, Inc. | 90,527 | 2,199,806 | ||||||
*Unity Bancorp, Inc. | 3,306 | 19,505 | ||||||
*Unum Group | 530,100 | 11,884,842 | ||||||
Validus Holdings, Ltd. | 74,341 | 2,108,311 | ||||||
*Virginia Commerce Bancorp, Inc. | 36,793 | 195,371 | ||||||
VIST Financial Corp. | 271 | 1,873 | ||||||
Washington Banking Co. | 1,403 | 17,664 | ||||||
Washington Federal, Inc. | 57,626 | 866,119 |
172
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
*Waterstone Financial, Inc. | 1,300 | $ | 4,862 | |||||
Webster Financial Corp. | 44,870 | 768,174 | ||||||
WesBanco, Inc. | 34,885 | 579,440 | ||||||
Wesco Financial Corp. | 12,304 | 4,471,274 | ||||||
*West Bancorporation, Inc. | 18,338 | 120,481 | ||||||
*West Coast Bancorp | 489 | 1,286 | ||||||
#*Western Alliance Bancorp | 28,882 | 174,447 | ||||||
White Mountains Insurance Group, Ltd. | 18,187 | 5,805,290 | ||||||
White River Capital, Inc. | 300 | 5,772 | ||||||
Whitney Holding Corp. | 61,531 | 509,477 | ||||||
Wilshire Bancorp, Inc. | 5,112 | 34,302 | ||||||
Wintrust Financial Corp. | 8,110 | 242,813 | ||||||
WR Berkley Corp. | 21,887 | 602,330 | ||||||
WSB Holdings, Inc. | 100 | 238 | ||||||
*Yadkin Valley Financial Corp. | 16,710 | 38,934 | ||||||
*Zions Bancorporation | 175,880 | 3,633,681 | ||||||
*ZipRealty, Inc. | 10,228 | 33,139 | ||||||
Total Financials | 584,137,721 | |||||||
Health Care — (5.6%) | ||||||||
*Accelrys, Inc. | 18,866 | 136,778 | ||||||
*Aetna, Inc. | 503,313 | 15,028,926 | ||||||
*Affymetrix, Inc. | 8,578 | 38,429 | ||||||
*Albany Molecular Research, Inc. | 35,737 | 228,717 | ||||||
#*Alere, Inc. | 74,130 | 2,190,541 | ||||||
*Allied Healthcare International, Inc. | 65,062 | 184,125 | ||||||
*Allied Healthcare Products, Inc. | 1,000 | 3,700 | ||||||
*American Dental Partners, Inc. | 25,798 | 300,805 | ||||||
*Amsurg Corp. | 28,998 | 524,284 | ||||||
Analogic Corp. | 8,599 | 392,372 | ||||||
*AngioDynamics, Inc. | 47,752 | 679,033 | ||||||
*Anika Therapeutics, Inc. | 17,185 | 111,359 | ||||||
*ARCA Biopharma, Inc. | 240 | 934 | ||||||
Arrhythmia Research Technology, Inc. | 1,200 | 6,660 | ||||||
#*Assisted Living Concepts, Inc. | 17,742 | 572,179 | ||||||
*BioClinica, Inc. | 9,550 | 38,486 | ||||||
*BioScrip, Inc. | 37,700 | 212,251 | ||||||
*BMP Sunstone Corp. | 8,109 | 79,793 | ||||||
*Boston Scientific Corp. | 1,019,920 | 6,507,090 | ||||||
#*Brookdale Senior Living, Inc. | 16,954 | 318,396 | ||||||
*Cambrex Corp. | 21,451 | 97,173 | ||||||
Cantel Medical Corp. | 8,807 | 163,106 | ||||||
*Capital Senior Living Corp. | 45,270 | 269,809 | ||||||
Cardinal Health, Inc. | 121,309 | 4,208,209 | ||||||
*CareFusion Corp. | 207,163 | 5,000,915 | ||||||
*Celera Corp. | 91,861 | 523,608 | ||||||
*Community Health Systems, Inc. | 105,314 | 3,167,845 | ||||||
*CONMED Corp. | 43,239 | 951,690 | ||||||
Cooper Cos., Inc. | 65,164 | 3,215,192 | ||||||
*Coventry Health Care, Inc. | 141,956 | 3,324,610 | ||||||
*Cross Country Healthcare, Inc. | 35,618 | 260,011 | ||||||
*Cutera, Inc. | 22,757 | 164,533 | ||||||
Daxor Corp. | 545 | 4,960 | ||||||
*Digirad Corp. | 26,648 | 51,164 | ||||||
#*Dynacq Healthcare, Inc. | 909 | 1,991 | ||||||
*Five Star Quality Care, Inc. | 28,899 | 156,922 | ||||||
*Gentiva Health Services, Inc. | 28,510 | 663,713 | ||||||
*Greatbatch, Inc. | 29,721 | 646,432 | ||||||
*Health Net, Inc. | 103,073 | 2,771,633 | ||||||
*HealthSpring, Inc. | 86,917 | 2,537,107 | ||||||
*Healthways, Inc. | 20,167 | 211,350 |
173
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Health Care — (Continued) | ||||||||
Hill-Rom Holdings, Inc. | 30,037 | $ | 1,163,934 | |||||
*Hologic, Inc. | 305,036 | 4,886,677 | ||||||
*Humana, Inc. | 236,814 | 13,803,888 | ||||||
*IntegraMed America, Inc. | 3,874 | 32,929 | ||||||
Invacare Corp. | 26,628 | 718,956 | ||||||
*Kendle International, Inc. | 11,329 | 103,207 | ||||||
Kewaunee Scientific Corp. | 1,631 | 18,251 | ||||||
*Kindred Healthcare, Inc. | 43,118 | 591,579 | ||||||
*King Pharmaceuticals, Inc. | 426,520 | 6,030,993 | ||||||
*LCA-Vision, Inc. | 15,957 | 111,061 | ||||||
*LeMaitre Vascular, Inc. | 5,200 | 33,800 | ||||||
*LifePoint Hospitals, Inc. | 82,208 | 2,788,495 | ||||||
*Martek Biosciences Corp. | 20,816 | 456,911 | ||||||
*Maxygen, Inc. | 7,628 | 48,895 | ||||||
*MedCath Corp. | 30,240 | 299,678 | ||||||
*Medical Action Industries, Inc. | 31,829 | 315,744 | ||||||
#*MediciNova, Inc. | 623 | 3,246 | ||||||
Medicis Pharmaceutical Corp. Class A | 600 | 17,850 | ||||||
*MEDTOX Scientific, Inc. | 12,527 | 146,942 | ||||||
*Misonix, Inc. | 4,083 | 9,391 | ||||||
*Molina Healthcare, Inc. | 12,070 | 312,854 | ||||||
*Nighthawk Radiology Holdings, Inc. | 7,885 | 50,543 | ||||||
*NovaMed, Inc. | 10,734 | 126,124 | ||||||
Omnicare, Inc. | 197,388 | 4,760,999 | ||||||
*Osteotech, Inc. | 24,810 | 161,017 | ||||||
*Palomar Medical Technologies, Inc. | 2,988 | 31,613 | ||||||
*PDI, Inc. | 20,276 | 177,821 | ||||||
*Prospect Medical Holdings, Inc. | 15,011 | 126,693 | ||||||
#*Psychiatric Solutions, Inc. | 47,848 | 1,612,478 | ||||||
*Regeneration Technologies, Inc. | 30,600 | 75,582 | ||||||
*Res-Care, Inc. | 40,983 | 542,205 | ||||||
#*Sirona Dental Systems, Inc. | 64 | 2,410 | ||||||
*Skilled Healthcare Group, Inc. | 29,820 | 111,825 | ||||||
*SRI/Surgical Express, Inc. | 2,127 | 6,626 | ||||||
*Sun Healthcare Group, Inc. | 26,710 | 254,012 | ||||||
*SunLink Health Systems, Inc. | 1,750 | 3,202 | ||||||
*Symmetry Medical, Inc. | 47,751 | 422,596 | ||||||
Teleflex, Inc. | 37,423 | 2,086,332 | ||||||
*Theragenics Corp. | 21,383 | 26,087 | ||||||
*Thermo Fisher Scientific, Inc. | 499,520 | 25,685,318 | ||||||
*TomoTherapy, Inc. | 29,955 | 114,428 | ||||||
*Triple-S Management Corp. | 17,739 | 299,257 | ||||||
Universal American Corp. | 85,628 | 1,376,898 | ||||||
#*Viropharma, Inc. | 103,779 | 1,697,824 | ||||||
*Vital Images, Inc. | 20,078 | 267,037 | ||||||
*WellCare Health Plans, Inc. | 14,767 | 410,227 | ||||||
*WellPoint, Inc. | 501,340 | 27,242,816 | ||||||
Young Innovations, Inc. | 2,745 | 76,229 | ||||||
Total Health Care | 155,590,311 | |||||||
Industrials — (13.4%) | ||||||||
*A.T. Cross Co. | 18,431 | 129,017 | ||||||
*AAR Corp. | 15,400 | 339,416 | ||||||
#Aceto Corp. | 24,445 | 180,160 | ||||||
Aircastle, Ltd. | 54,200 | 499,182 | ||||||
Alamo Group, Inc. | 25,037 | 600,888 | ||||||
*Alaska Air Group, Inc. | 59,445 | 3,138,696 | ||||||
Albany International Corp. | 20,836 | 425,054 | ||||||
Alexander & Baldwin, Inc. | 66,838 | 2,301,232 | ||||||
*Allied Defense Group, Inc. | 10,969 | 29,616 | ||||||
*Allied Motion Technologies, Inc. | 262 | 1,258 |
174
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
*Amerco, Inc. | 30,877 | $ | 2,541,795 | |||||
*American Railcar Industries, Inc. | 21,641 | 333,488 | ||||||
*American Reprographics Co. | 7,186 | 51,164 | ||||||
Ameron International Corp. | 9,647 | 663,328 | ||||||
*AMREP Corp. | 966 | 9,621 | ||||||
Apogee Enterprises, Inc. | 25,200 | 264,348 | ||||||
Applied Industrial Technologies, Inc. | 53,325 | 1,621,613 | ||||||
Arkansas Best Corp. | 25,200 | 638,316 | ||||||
#*Armstrong World Industries, Inc. | 91,332 | 3,813,111 | ||||||
*Atlas Air Worldwide Holdings, Inc. | 37,246 | 1,946,476 | ||||||
Baldor Electric Co. | 19,655 | 825,903 | ||||||
Barnes Group, Inc. | 46,604 | 847,727 | ||||||
Barrett Business Services, Inc. | 14,100 | 216,435 | ||||||
*BlueLinx Holdings, Inc. | 26,407 | 83,182 | ||||||
Bowne & Co., Inc. | 20,126 | 228,430 | ||||||
Briggs & Stratton Corp. | 39,300 | 691,680 | ||||||
*BTU International, Inc. | 1,600 | 11,488 | ||||||
*CAI International, Inc. | 12,599 | 207,883 | ||||||
Cascade Corp. | 10,500 | 371,595 | ||||||
*Casella Waste Systems, Inc. | 3,836 | 18,911 | ||||||
CDI Corp. | 45,330 | 649,579 | ||||||
*CECO Environmental Corp. | 8,829 | 48,648 | ||||||
*Celadon Group, Inc. | 28,818 | 373,769 | ||||||
*Ceradyne, Inc. | 26,425 | 629,179 | ||||||
*Champion Industries, Inc. | 686 | 761 | ||||||
*Chart Industries, Inc. | 3,000 | 69,900 | ||||||
Chicago Rivet & Machine Co. | 700 | 12,894 | ||||||
CIRCOR International, Inc. | 7,534 | 264,293 | ||||||
*Columbus McKinnon Corp. | 34,771 | 610,579 | ||||||
Comfort Systems USA, Inc. | 2,600 | 29,770 | ||||||
CompX International, Inc. | 700 | 8,134 | ||||||
*Consolidated Graphics, Inc. | 23,312 | 1,085,174 | ||||||
Courier Corp. | 7,144 | 105,731 | ||||||
*Covenant Transportation Group, Inc. | 7,080 | 51,826 | ||||||
*CPI Aerostructures, Inc. | 5,826 | 64,727 | ||||||
*CSX Corp. | 562,627 | 34,573,429 | ||||||
Ducommun, Inc. | 16,345 | 350,927 | ||||||
*Dycom Industries, Inc. | 35,250 | 377,175 | ||||||
*Eagle Bulk Shipping, Inc. | 19,733 | 101,230 | ||||||
#Eastern Co. | 10,193 | 180,722 | ||||||
*Eaton Corp. | 105,095 | 9,335,589 | ||||||
Ecology & Environment, Inc. Class A | 900 | 12,132 | ||||||
Encore Wire Corp. | 9,832 | 204,112 | ||||||
*EnerSys | 51,339 | 1,353,296 | ||||||
Ennis, Inc. | 48,483 | 874,633 | ||||||
*EnPro Industries, Inc. | 2,531 | 88,939 | ||||||
Espey Manufacturing & Electronics Corp. | 1,864 | 45,202 | ||||||
*Esterline Technologies Corp. | 44,968 | 2,717,866 | ||||||
*ExpressJet Holdings, Inc. | 10,860 | 73,088 | ||||||
Federal Signal Corp. | 31,295 | 176,817 | ||||||
FedEx Corp. | 164,882 | 14,463,449 | ||||||
*Flow International Corp. | 23,633 | 62,391 | ||||||
*Franklin Covey Co. | 7,294 | 61,124 | ||||||
*Frozen Food Express Industries | 8,986 | 28,396 | ||||||
G & K Services, Inc. Class A | 29,714 | 734,530 | ||||||
GATX Corp. | 65,445 | 2,071,989 | ||||||
#*Genco Shipping & Trading, Ltd. | 2,886 | 47,763 | ||||||
*Gencor Industries, Inc. | 8,766 | 64,255 | ||||||
General Electric Co. | 3,570,080 | 57,192,682 | ||||||
*GEO Group, Inc. (The) | 11,440 | 293,436 | ||||||
#*Gibraltar Industries, Inc. | 49,501 | 451,944 |
175
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
*GP Strategies Corp. | 19,900 | $ | 172,732 | |||||
Great Lakes Dredge & Dock Corp. | 79,907 | 494,624 | ||||||
*Greenbrier Cos., Inc. | 20,425 | 371,735 | ||||||
*Griffon Corp. | 72,870 | 859,137 | ||||||
#*H&E Equipment Services, Inc. | 66,829 | 649,578 | ||||||
Hardinge, Inc. | 20,285 | 161,874 | ||||||
*Herley Industries, Inc. | 5,800 | 96,338 | ||||||
#*Hertz Global Holdings, Inc. | 389,227 | 4,406,050 | ||||||
#*Hoku Corp. | 400 | 1,120 | ||||||
Horizon Lines, Inc. | 64,300 | 277,133 | ||||||
*Hudson Highland Group, Inc. | 27,252 | 95,927 | ||||||
*Hurco Cos., Inc. | 8,210 | 151,064 | ||||||
*Identive Group, Inc. | 18,612 | 41,319 | ||||||
Insteel Industries, Inc. | 6,767 | 58,129 | ||||||
*Interline Brands, Inc. | 74,162 | 1,489,915 | ||||||
International Shipholding Corp. | 9,397 | 262,834 | ||||||
Intersections, Inc. | 34,178 | 332,210 | ||||||
#*JetBlue Airways Corp. | 324,893 | 2,267,753 | ||||||
*Kadant, Inc. | 6,383 | 125,490 | ||||||
*Kansas City Southern | 61,464 | 2,693,352 | ||||||
KBR, Inc. | 52,550 | 1,334,770 | ||||||
*Kelly Services, Inc. Class A | 44,445 | 660,008 | ||||||
Kennametal, Inc. | 16,600 | 566,724 | ||||||
*Key Technology, Inc. | 3,199 | 47,985 | ||||||
Kimball International, Inc. Class B | 25,521 | 155,168 | ||||||
*Korn/Ferry International | 19,900 | 350,837 | ||||||
L.S. Starrett Co. Class A | 4,097 | 47,771 | ||||||
*L-3 Communications Holdings, Inc. | 98,670 | 7,122,987 | ||||||
*Ladish Co., Inc. | 45,562 | 1,457,528 | ||||||
Lawson Products, Inc. | 10,838 | 199,744 | ||||||
*Layne Christensen Co. | 17,800 | 497,332 | ||||||
*LECG Corp. | 20,503 | 17,633 | ||||||
*LGL Group, Inc. | 400 | 10,384 | ||||||
*LMI Aerospace, Inc. | 14,827 | 242,125 | ||||||
LSI Industries, Inc. | 24,154 | 223,424 | ||||||
*Lydall, Inc. | 14,201 | 105,513 | ||||||
*M&F Worldwide Corp. | 25,779 | 692,940 | ||||||
Manpower, Inc. | 33,874 | 1,853,924 | ||||||
Marten Transport, Ltd. | 31,777 | 674,943 | ||||||
*Masco Corp. | 21,520 | 229,403 | ||||||
McGrath Rentcorp. | 13,590 | 343,963 | ||||||
*Metalico, Inc. | 74,246 | 322,228 | ||||||
*MFRI, Inc. | 8,800 | 76,472 | ||||||
Miller Industries, Inc. | 20,010 | 269,335 | ||||||
#*Mobile Mini, Inc. | 54,461 | 949,255 | ||||||
*Moog, Inc. | 34,415 | 1,294,004 | ||||||
Mueller Industries, Inc. | 24,187 | 711,098 | ||||||
Mueller Water Products, Inc. | 136,335 | 411,732 | ||||||
NACCO Industries, Inc. Class A | 9,434 | 936,419 | ||||||
National Technical Systems, Inc. | 15,600 | 123,552 | ||||||
*Norfolk Southern Corp. | 545,229 | 33,526,131 | ||||||
*Northrop Grumman Corp. | 328,338 | 20,754,245 | ||||||
#*Northwest Pipe Co. | 12,085 | 227,440 | ||||||
*Ocean Power Technologies, Inc. | 8,500 | 55,590 | ||||||
*On Assignment, Inc. | 57,765 | 326,372 | ||||||
*Owens Corning, Inc. | 152,823 | 4,132,334 | ||||||
*P.A.M. Transportation Services, Inc. | 20,590 | 226,078 | ||||||
*Park-Ohio Holdings Corp. | 5,316 | 84,471 | ||||||
Pentair, Inc. | 21,830 | 714,496 | ||||||
*PGT, Inc. | 500 | 1,050 | ||||||
*Pike Electric Corp. | 17,263 | 130,508 |
176
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
*Pinnacle Airlines Corp. | 13,732 | $ | 79,096 | |||||
*Polypore International, Inc. | 5,700 | 189,639 | ||||||
Portec Rail Products, Inc. | 7,637 | 88,589 | ||||||
#*PowerSecure International, Inc. | 17,790 | 167,404 | ||||||
Providence & Worcester Railroad Co. | 1,200 | 15,624 | ||||||
*R. R. Donnelley & Sons Co. | 68,112 | 1,256,666 | ||||||
*RCM Technologies, Inc. | 19,013 | 96,016 | ||||||
#*Republic Airways Holdings, Inc. | 48,800 | 453,352 | ||||||
Republic Services, Inc. | 351,978 | 10,492,464 | ||||||
*Rush Enterprises, Inc. Class A | 33,846 | 537,813 | ||||||
*Rush Enterprises, Inc. Class B | 18,522 | 278,015 | ||||||
*Ryder System, Inc. | 89,844 | 3,930,675 | ||||||
*Saia, Inc. | 17,004 | 246,218 | ||||||
Schawk, Inc. | 50,941 | 989,274 | ||||||
*School Specialty, Inc. | 27,776 | 372,198 | ||||||
Seaboard Corp. | 2,041 | 3,784,116 | ||||||
*SFN Group, Inc. | 47,178 | 357,609 | ||||||
SIFCO Industries, Inc. | 6,623 | 90,470 | ||||||
SkyWest, Inc. | 92,800 | 1,406,848 | ||||||
*SL Industries, Inc. | 300 | 4,557 | ||||||
*Southwest Airlines Co. | 1,077,730 | 14,829,565 | ||||||
*Sparton Corp. | 3,963 | 28,970 | ||||||
#SPX Corp. | 4,924 | 330,203 | ||||||
Standex International Corp. | 29,500 | 794,435 | ||||||
Steelcase, Inc. Class A | 94,510 | 794,829 | ||||||
Superior Uniform Group, Inc. | 8,978 | 94,628 | ||||||
*Supreme Industries, Inc. | 1,365 | 3,140 | ||||||
*Sypris Solutions, Inc. | 10,366 | 34,519 | ||||||
TAL International Group, Inc. | 27,896 | 781,646 | ||||||
Technology Research Corp. | 11,621 | 42,533 | ||||||
*Tecumseh Products Co. Class A | 11,200 | 145,040 | ||||||
*Tecumseh Products Co. Class B | 1,400 | 17,024 | ||||||
Textainer Group Holdings, Ltd. | 200 | 5,196 | ||||||
Timken Co. | 73,772 | 3,055,636 | ||||||
#Titan International, Inc. | 25,647 | 389,065 | ||||||
*Titan Machinery, Inc. | 13,585 | 264,092 | ||||||
Todd Shipyards Corp. | 8,732 | 142,856 | ||||||
*TRC Cos., Inc. | 29,513 | 71,421 | ||||||
Tredegar Industries, Inc. | 40,177 | 775,014 | ||||||
*Trimas Corp. | 6,336 | 100,299 | ||||||
Trinity Industries, Inc. | 93,807 | 2,132,233 | ||||||
#Triumph Group, Inc. | 36,256 | 3,030,639 | ||||||
*Tufco Technologies, Inc. | 1,000 | 3,240 | ||||||
*Tutor Perini Corp. | 40,371 | 937,011 | ||||||
Twin Disc, Inc. | 10,658 | 216,997 | ||||||
*U.S. Home Systems, Inc. | 4,314 | 13,330 | ||||||
UniFirst Corp. | 14,500 | 667,435 | ||||||
*Union Pacific Corp. | 660,982 | 57,954,902 | ||||||
*United Capital Corp. | 300 | 8,112 | ||||||
*United Rentals, Inc. | 22,200 | 417,138 | ||||||
#Universal Forest Products, Inc. | 31,800 | 958,452 | ||||||
*URS Corp. | 86,998 | 3,386,832 | ||||||
*USA Truck, Inc. | 15,305 | 209,985 | ||||||
*Valpey Fisher Corp. | 1,464 | 4,538 | ||||||
*Versar, Inc. | 6,026 | 19,283 | ||||||
Viad Corp. | 27,199 | 542,892 | ||||||
Virco Manufacturing Corp. | 12,601 | 36,921 | ||||||
*Vishay Precision Group, Inc. | 9,257 | 157,369 | ||||||
*Volt Information Sciences, Inc. | 41,779 | 337,574 | ||||||
#Watts Water Technologies, Inc. | 53,615 | 1,885,640 | ||||||
*WCA Waste Corp. | 29,254 | 145,100 |
177
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
*WESCO International, Inc. | 39,596 | $ | 1,695,501 | |||||
*Willdan Group, Inc. | 1,000 | 3,380 | ||||||
*Willis Lease Finance Corp. | 7,300 | 89,571 | ||||||
Total Industrials | 372,480,152 | |||||||
Information Technology — (5.3%) | ||||||||
*Actel Corp. | 5,994 | 125,035 | ||||||
*ActivIdentity Corp. | 63,497 | 205,095 | ||||||
Activision Blizzard, Inc. | 982,162 | 11,265,398 | ||||||
*Adept Technology, Inc. | 700 | 4,438 | ||||||
*ADPT Corp. | 126,570 | 379,710 | ||||||
*Advanced Analogic Technologies, Inc. | 22,228 | 83,577 | ||||||
*Agilysys, Inc. | 21,014 | 126,084 | ||||||
*Amtech Systems, Inc. | 10,600 | 177,444 | ||||||
*Anadigics, Inc. | 400 | 2,708 | ||||||
*AOL, Inc. | 51,712 | 1,379,676 | ||||||
*Arris Group, Inc. | 108,150 | 1,006,876 | ||||||
*Arrow Electronics, Inc. | 182,170 | 5,394,054 | ||||||
Astro-Med, Inc. | 2,897 | 20,366 | ||||||
#*ATMI, Inc. | 3,100 | 54,777 | ||||||
*Aviat Networks, Inc. | 45,592 | 207,444 | ||||||
*Avid Technology, Inc. | 47,121 | 594,667 | ||||||
AVX Corp. | 284,361 | 4,077,737 | ||||||
*Aware, Inc. | 22,140 | 62,878 | ||||||
*AXT, Inc. | 30,000 | 247,500 | ||||||
Bel Fuse, Inc. Class A | 4,174 | 97,672 | ||||||
Bel Fuse, Inc. Class B | 20,997 | 478,942 | ||||||
*Benchmark Electronics, Inc. | 93,903 | 1,542,826 | ||||||
Black Box Corp. | 27,128 | 900,650 | ||||||
*Brooks Automation, Inc. | 34,786 | 236,197 | ||||||
*Bsquare Corp. | 5,200 | 19,500 | ||||||
*Cascade Microtech, Inc. | 24,071 | 86,656 | ||||||
*Checkpoint Systems, Inc. | 39,900 | 877,800 | ||||||
*Ciber, Inc. | 42,600 | 156,342 | ||||||
Cohu, Inc. | 41,402 | 594,119 | ||||||
*Comarco, Inc. | 9,299 | 19,528 | ||||||
Communications Systems, Inc. | 12,753 | 151,251 | ||||||
*Computer Sciences Corp. | 225,553 | 11,063,375 | ||||||
*Concurrent Computer Corp. | 13,740 | 87,799 | ||||||
*Convergys Corp. | 197,364 | 2,234,160 | ||||||
*CoreLogic, Inc. | 96,545 | 1,696,296 | ||||||
*CPI International, Inc. | 19,865 | 280,494 | ||||||
*CSP, Inc. | 2,414 | 11,056 | ||||||
CTS Corp. | 28,690 | 291,203 | ||||||
*CyberOptics Corp. | 9,134 | 69,418 | ||||||
*Datalink Corp. | 5,600 | 23,632 | ||||||
*Dataram Corp. | 11,134 | 27,167 | ||||||
DDi Corp. | 30,020 | 308,606 | ||||||
*Digi International, Inc. | 35,811 | 345,934 | ||||||
*DSP Group, Inc. | 54,868 | 392,855 | ||||||
*Dynamics Research Corp. | 16,586 | 187,422 | ||||||
*Edgewater Technology, Inc. | 13,603 | 39,993 | ||||||
Electro Rent Corp. | 44,177 | 656,470 | ||||||
#*Electro Scientific Industries, Inc. | 38,559 | 448,056 | ||||||
*Electronics for Imaging, Inc. | 73,756 | 1,009,720 | ||||||
*EMS Technologies, Inc. | 10,708 | 191,031 | ||||||
#*Emulex Corp. | 8,000 | 91,200 | ||||||
*EndWave Corp. | 15,115 | 35,823 | ||||||
*Epicor Software Corp. | 75,794 | 712,464 | ||||||
*ePlus, Inc. | 6,954 | 146,243 | ||||||
*Euronet Worldwide, Inc. | 19,297 | 348,504 |
178
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
*Exar Corp. | 44,300 | $ | 294,595 | |||||
*Fairchild Semiconductor International, Inc. | 144,238 | 1,625,562 | ||||||
*Frequency Electronics, Inc. | 16,953 | 101,718 | ||||||
*Gerber Scientific, Inc. | 50,097 | 335,149 | ||||||
*Globecomm Systems, Inc. | 41,466 | 371,121 | ||||||
*GSI Technology, Inc. | 29,771 | 206,908 | ||||||
*GTSI Corp. | 8,203 | 37,652 | ||||||
*Hackett Group, Inc. | 54,740 | 213,486 | ||||||
*Henry Bros. Electronics, Inc. | 8,085 | 56,110 | ||||||
*Hutchinson Technology, Inc. | 24,300 | 82,863 | ||||||
*Hypercom Corp. | 35,833 | 213,565 | ||||||
*I.D. Systems, Inc. | 13,298 | 29,920 | ||||||
*IAC/InterActiveCorp | 178,991 | 4,993,849 | ||||||
*Ikanos Communications, Inc. | 3,682 | 4,197 | ||||||
*Imation Corp. | 43,641 | 425,063 | ||||||
*InfoSpace, Inc. | 65,156 | 549,917 | ||||||
*Ingram Micro, Inc. | 277,679 | 4,903,811 | ||||||
*Insight Enterprises, Inc. | 23,362 | 353,233 | ||||||
#*Integrated Silicon Solution, Inc. | 34,977 | 262,677 | ||||||
*Internap Network Services Corp. | 37,646 | 188,230 | ||||||
*International Rectifier Corp. | 80,500 | 1,870,015 | ||||||
*Internet Brands, Inc. | 39,954 | 528,991 | ||||||
*Internet Capital Group, Inc. | 51,999 | 649,468 | ||||||
*Interphase Corp. | 4,460 | 6,735 | ||||||
*Intevac, Inc. | 12,540 | 126,654 | ||||||
*IntriCon Corp. | 2,835 | 12,190 | ||||||
*INX, Inc. | 500 | 2,770 | ||||||
*IXYS Corp. | 13,922 | 142,561 | ||||||
Keithley Instruments, Inc. | 3,742 | 80,752 | ||||||
*KEY Tronic Corp. | 15,546 | 99,494 | ||||||
Keynote Systems, Inc. | 18,330 | 223,443 | ||||||
*KVH Industries, Inc. | 1,841 | 25,848 | ||||||
#*L-1 Identity Solutions, Inc. | 111,378 | 1,313,147 | ||||||
*Lattice Semiconductor Corp. | 131,578 | 639,469 | ||||||
*LoJack Corp. | 2,101 | 10,274 | ||||||
*LookSmart, Ltd. | 27,679 | 60,063 | ||||||
#*Loral Space & Communications, Inc. | 30,476 | 1,695,380 | ||||||
Marchex, Inc. | 38,553 | 247,510 | ||||||
*Measurement Specialties, Inc. | 6,983 | 156,000 | ||||||
*Mentor Graphics Corp. | 36,684 | 396,187 | ||||||
*Mercury Computer Systems, Inc. | 4,566 | 72,325 | ||||||
Methode Electronics, Inc. | 48,539 | 450,927 | ||||||
#*Micron Technology, Inc. | 557,108 | 4,607,283 | ||||||
*Microtune, Inc. | 18,577 | 53,688 | ||||||
*MKS Instruments, Inc. | 61,200 | 1,263,780 | ||||||
*ModusLink Global Solutions, Inc. | 68,955 | 457,172 | ||||||
*MoSys, Inc. | 15,138 | 71,603 | ||||||
*Motorola, Inc. | 1,624,811 | 13,242,210 | ||||||
*Nanometrics, Inc. | 11,564 | 155,767 | ||||||
*Newport Corp. | 8,439 | 122,619 | ||||||
*Nu Horizons Electronics Corp. | 18,632 | 129,679 | ||||||
O.I. Corp. | 400 | 4,996 | ||||||
*Occam Networks, Inc. | 12,298 | 90,636 | ||||||
#*OmniVision Technologies, Inc. | 36,897 | 1,001,016 | ||||||
*Oplink Communications, Inc. | 23,684 | 413,996 | ||||||
*Opnext, Inc. | 21,152 | 31,940 | ||||||
*Optelecom-NKF, Inc. | 4,229 | 5,751 | ||||||
*Optical Cable Corp. | 9,195 | 29,608 | ||||||
*Orbcomm, Inc. | 17,126 | 40,075 | ||||||
*PAR Technology Corp. | 23,205 | 145,031 | ||||||
*PC Connection, Inc. | 47,339 | 398,594 |
179
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
*PC Mall, Inc. | 10,070 | $ | 62,635 | |||||
*PC-Tel, Inc. | 46,980 | 278,122 | ||||||
*PDF Solutions, Inc. | 544 | 2,203 | ||||||
*Perceptron, Inc. | 4,904 | 25,697 | ||||||
*Performance Technologies, Inc. | 25,851 | 52,219 | ||||||
*Pericom Semiconductor Corp. | 38,062 | 358,544 | ||||||
*Pervasive Software, Inc. | 35,664 | 181,173 | ||||||
*Presstek, Inc. | 7,000 | 12,950 | ||||||
—*Price Communications Liquidation Trust | 47,738 | — | ||||||
Qualstar Corp. | 12,400 | 20,088 | ||||||
*RadiSys Corp. | 12,577 | 122,877 | ||||||
*RealNetworks, Inc. | 165,056 | 495,168 | ||||||
*Reis, Inc. | 15,919 | 109,841 | ||||||
Richardson Electronics, Ltd. | 25,902 | 280,260 | ||||||
*Rofin-Sinar Technologies, Inc. | 10,100 | 282,093 | ||||||
#*Rudolph Technologies, Inc. | 45,105 | 334,679 | ||||||
*Sandisk Corp. | 197,936 | 7,438,435 | ||||||
*SeaChange International, Inc. | 30,686 | 246,715 | ||||||
Servidyne, Inc. | 7,283 | 17,989 | ||||||
#*Sigma Designs, Inc. | 6,772 | 77,269 | ||||||
*Silicon Image, Inc. | 29,804 | 183,295 | ||||||
#*Skyworks Solutions, Inc. | 33,004 | 756,122 | ||||||
*Smart Modular Technologies (WWH), Inc. | 46,800 | 345,852 | ||||||
*Spectrum Control, Inc. | 19,047 | 290,657 | ||||||
#*Standard Microsystems Corp. | 20,851 | 503,343 | ||||||
*StarTek, Inc. | 31,181 | 127,218 | ||||||
*Support.com, Inc. | 58,408 | 331,173 | ||||||
Sycamore Networks, Inc. | 47,495 | 1,448,123 | ||||||
*Symmetricom, Inc. | 90,588 | 564,363 | ||||||
*SYNNEX Corp. | 60,100 | 1,745,304 | ||||||
*Tech Data Corp. | 85,452 | 3,673,581 | ||||||
*TechTarget, Inc. | 19,428 | 101,803 | ||||||
*TechTeam Global, Inc. | 19,182 | 140,220 | ||||||
*Tellabs, Inc. | 223,051 | 1,521,208 | ||||||
*Telular Corp. | 24,670 | 91,279 | ||||||
Tessco Technologies, Inc. | 12,917 | 195,047 | ||||||
TheStreet.com, Inc. | 36,282 | 111,023 | ||||||
*Tier Technologies, Inc. | 3,839 | 21,921 | ||||||
*Tollgrade Communications, Inc. | 19,226 | 152,847 | ||||||
*Triquint Semiconductor, Inc. | 57,628 | 593,568 | ||||||
*TSR, Inc. | 1,300 | 2,990 | ||||||
*TTM Technologies, Inc. | 66,931 | 701,437 | ||||||
United Online, Inc. | 51,420 | 317,776 | ||||||
*UTStarcom, Inc. | 154,209 | 311,502 | ||||||
*Vicon Industries, Inc. | 5,787 | 24,190 | ||||||
*Video Display Corp. | 600 | 2,466 | ||||||
*Virtusa Corp. | 39,100 | 557,566 | ||||||
*Vishay Intertechnology, Inc. | 236,119 | 2,668,145 | ||||||
*Web.com Group, Inc. | 26,373 | 163,513 | ||||||
*WPCS International, Inc. | 9,161 | 30,323 | ||||||
Xerox Corp. | 1,791,473 | 20,960,234 | ||||||
*Zoran Corp. | 82,007 | 580,610 | ||||||
*Zygo Corp. | 24,384 | 260,909 | ||||||
Total Information Technology | 147,479,706 | |||||||
Materials — (3.3%) | ||||||||
A. Schulman, Inc. | 25,754 | 558,862 | ||||||
*A.M. Castle & Co. | 38,646 | 595,148 | ||||||
*Alcoa, Inc. | 1,145,369 | 15,038,695 | ||||||
*American Pacific Corp. | 7,647 | 46,035 | ||||||
Ashland, Inc. | 112,560 | 5,811,473 |
180
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Materials — (Continued) | ||||||||
*Boise, Inc. | 62,904 | $ | 456,054 | |||||
*Brush Engineered Materials, Inc. | 17,890 | 593,053 | ||||||
Buckeye Technologies, Inc. | 37,822 | 682,687 | ||||||
Cabot Corp. | 70,706 | 2,405,418 | ||||||
*Coeur d’Alene Mines Corp. | 133,765 | 2,756,897 | ||||||
Commercial Metals Co. | 51,008 | 707,991 | ||||||
*Continental Materials Corp. | 100 | 1,784 | ||||||
*Core Molding Technologies, Inc. | 2,488 | 11,918 | ||||||
Cytec Industries, Inc. | 64,700 | 3,203,944 | ||||||
Dow Chemical Co. (The) | 515,627 | 15,896,780 | ||||||
Friedman Industries, Inc. | 17,453 | 118,157 | ||||||
*Graphic Packaging Holding Co. | 95,669 | 350,149 | ||||||
Haynes International, Inc. | 4,779 | 173,287 | ||||||
*Headwaters, Inc. | 67,190 | 228,446 | ||||||
#*Hecla Mining Co. | 9,000 | 62,010 | ||||||
*Horsehead Holding Corp. | 43,538 | 475,870 | ||||||
Innophos Holdings, Inc. | 18,600 | 682,992 | ||||||
*Innospec, Inc. | 2,400 | 40,632 | ||||||
*International Paper Co. | 493,615 | 12,478,587 | ||||||
Kaiser Aluminum Corp. | 27,181 | 1,222,873 | ||||||
*KapStone Paper & Packaging Corp. | 38,340 | 490,752 | ||||||
KMG Chemicals, Inc. | 284 | 3,973 | ||||||
*Kronos Worldwide, Inc. | 3,219 | 130,209 | ||||||
*Louisiana-Pacific Corp. | 153,257 | 1,186,209 | ||||||
*MeadWestavco Corp. | 188,451 | 4,848,844 | ||||||
Minerals Technologies, Inc. | 4,300 | 252,281 | ||||||
*Mod-Pac Corp. | 1,501 | 7,460 | ||||||
Myers Industries, Inc. | 65,520 | 578,542 | ||||||
Neenah Paper, Inc. | 13,947 | 214,086 | ||||||
NL Industries, Inc. | 51,662 | 593,596 | ||||||
*Northern Technologies International Corp. | 3,035 | 44,068 | ||||||
Olympic Steel, Inc. | 5,500 | 123,310 | ||||||
#*OM Group, Inc. | 42,299 | 1,407,288 | ||||||
P.H. Glatfelter Co. | 50,000 | 622,000 | ||||||
*Penford Corp. | 34,718 | 206,225 | ||||||
*PolyOne Corp. | 117,993 | 1,524,470 | ||||||
Quaker Chemical Corp. | 2,300 | 83,766 | ||||||
Reliance Steel & Aluminum Co. | 94,901 | 3,971,607 | ||||||
RMX Holdings, Inc. | 2,439 | 1,305 | ||||||
*Rock of Ages Corp. | 1,200 | 6,288 | ||||||
*RTI International Metals, Inc. | 50,032 | 1,555,995 | ||||||
Schnitzer Steel Industries, Inc. Class A | 15,822 | 817,839 | ||||||
Schweitzer-Maudoit International, Inc. | 8,100 | 519,858 | ||||||
*Spartech Corp. | 32,120 | 271,735 | ||||||
#*Stillwater Mining Co. | 2,109 | 37,540 | ||||||
Synalloy Corp. | 5,144 | 48,199 | ||||||
#Temple-Inland, Inc. | 122,582 | 2,539,899 | ||||||
Texas Industries, Inc. | 46,594 | 1,592,117 | ||||||
*Titanium Metals Corp. | 7,100 | 139,586 | ||||||
*Universal Stainless & Alloy Products, Inc. | 8,188 | 236,961 | ||||||
Westlake Chemical Corp. | 105,000 | 3,355,800 | ||||||
#Worthington Industries, Inc. | 60,435 | 930,699 | ||||||
*Zoltek Cos., Inc. | 34,022 | 326,611 | ||||||
Total Materials | 93,268,860 | |||||||
Other — (0.0%) | ||||||||
•*Concord Camera Corp. Escrow Shares | — | — | ||||||
•*ePresence, Inc. Escrow Shares | 6,400 | — | ||||||
•*MAIR Holdings, Inc. Escrow Shares | 1,415 | — | ||||||
•#*Pelican Financial, Inc. Escrow Shares | 300 | — |
181
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares | Value† | |||||||
Other — (Continued) | ||||||||
—*Petrocorp, Inc. Escrow Shares | 900 | $ | 54 | |||||
Total Other | 54 | |||||||
Telecommunication Services — (5.0%) | ||||||||
*Arbinet Corp. | 800 | 5,360 | ||||||
*AT&T, Inc. | 4,065,906 | 115,878,321 | ||||||
*General Communications, Inc. Class A | 47,997 | 501,569 | ||||||
*Sprint Nextel Corp. | 3,820,377 | 15,739,953 | ||||||
*SureWest Communications | 12,484 | 99,872 | ||||||
Telephone & Data Systems, Inc. | 80,200 | 2,793,366 | ||||||
Telephone & Data Systems, Inc. Special Shares | 67,452 | 2,012,093 | ||||||
*United States Cellular Corp. | 33,568 | 1,559,569 | ||||||
*Xeta Corp. | 18,366 | 66,852 | ||||||
Total Telecommunication Services | 138,656,955 | |||||||
Utilities — (1.3%) | ||||||||
*AES Corp. | 427,199 | 5,100,756 | ||||||
*Calpine Corp. | 434,531 | 5,431,637 | ||||||
Maine & Maritimes Corp. | 1,600 | 71,600 | ||||||
#*Mirant Corp. | 172,860 | 1,834,045 | ||||||
*Public Service Enterprise Group, Inc. | 655,441 | 21,203,516 | ||||||
Questar Corp. | 95,191 | 1,615,391 | ||||||
*RRI Energy, Inc. | 215,926 | 811,882 | ||||||
Unitil Corp. | 8,487 | 184,338 | ||||||
Total Utilities | 36,253,165 | |||||||
TOTAL COMMON STOCKS | 2,658,032,330 | |||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||
—*Lantronix, Inc. Warrants | 33 | — | ||||||
TEMPORARY CASH INVESTMENTS — (0.3%) | ||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares | 9,057,730 | 9,057,730 | ||||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (4.2%) | ||||||||
§@DFA Short Term Investment Fund | 115,534,176 | 115,534,176 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, 11/01/10 (Collateralized by | $550 | 549,952 | ||||||
TOTAL SECURITIES LENDING COLLATERAL | 116,084,128 | |||||||
TOTAL INVESTMENTS — (100.0%) | $ | 2,783,174,188 | ||||||
182
THE TAX-MANAGED U.S. EQUITY SERIES
SCHEDULE OF INVESTMENTS
October 31, 2010
Shares | Value† | |||||||
COMMON STOCKS — (94.0%) | ||||||||
Consumer Discretionary — (11.3%) | ||||||||
*1-800-FLOWERS.COM, Inc. | 1,200 | $ | 2,160 | |||||
*99 Cents Only Stores | 7,100 | 109,482 | ||||||
#Aaron’s, Inc. | 7,350 | 138,621 | ||||||
*Abercrombie & Fitch Co. | 8,850 | 379,311 | ||||||
*AC Moore Arts & Crafts, Inc. | 1,068 | 2,403 | ||||||
Acme United Corp. | 400 | 3,920 | ||||||
Advance Auto Parts, Inc. | 10,000 | 649,800 | ||||||
*Aeropostale, Inc. | 9,825 | 239,534 | ||||||
*AFC Enterprises, Inc. | 2,300 | 29,233 | ||||||
*AH Belo Corp. | 200 | 1,454 | ||||||
*Aldila, Inc. | 700 | 2,975 | ||||||
*Alloy, Inc. | 2,291 | 22,337 | ||||||
*Amazon.com, Inc. | 36,900 | 6,093,666 | ||||||
Ambassadors Group, Inc. | 1,423 | 15,781 | ||||||
*American Apparel, Inc. | 532 | 516 | ||||||
#*American Axle & Manufacturing Holdings, Inc. | 6,193 | 57,099 | ||||||
American Eagle Outfitters, Inc. | 18,300 | 292,983 | ||||||
American Greetings Corp. Class A | 3,222 | 62,410 | ||||||
#*American Public Education, Inc. | 2,200 | 61,512 | ||||||
*America’s Car-Mart, Inc. | 1,100 | 29,337 | ||||||
*Amerigon, Inc. | 2,000 | 21,560 | ||||||
Ameristar Casinos, Inc. | 5,810 | 103,883 | ||||||
*AnnTaylor Stores Corp. | 4,625 | 107,763 | ||||||
*Apollo Group, Inc. Class A | 14,010 | 525,095 | ||||||
Arbitron, Inc. | 2,400 | 60,768 | ||||||
#*Arctic Cat, Inc. | 2,500 | 33,275 | ||||||
*Asbury Automotive Group, Inc. | 3,400 | 49,028 | ||||||
*Ascent Media Corp. | 235 | 6,401 | ||||||
*Audiovox Corp. Class A | 1,600 | 10,368 | ||||||
*AutoNation, Inc. | 18,538 | 430,452 | ||||||
*Autozone, Inc. | 3,600 | 855,468 | ||||||
*Ballantyne Strong, Inc. | 2,600 | 21,892 | ||||||
*Bally Technologies, Inc. | 6,300 | 227,304 | ||||||
#Barnes & Noble, Inc. | 3,400 | 50,932 | ||||||
*Beasley Broadcast Group, Inc. | 325 | 1,420 | ||||||
#*Beazer Homes USA, Inc. | 3,400 | 13,804 | ||||||
bebe stores, Inc. | 6,473 | 42,463 | ||||||
*Bed Bath & Beyond, Inc. | 26,984 | 1,184,598 | ||||||
*Belo Corp. | 6,100 | 35,319 | ||||||
*Benihana, Inc. | 500 | 4,188 | ||||||
*Best Buy Co., Inc. | 36,860 | 1,584,243 | ||||||
Big 5 Sporting Goods Corp. | 2,146 | 29,014 | ||||||
*Big Lots, Inc. | 8,052 | 252,591 | ||||||
*Biglari Holdings, Inc. | 215 | 71,679 | ||||||
#*BJ’s Restaurants, Inc. | 2,798 | 92,754 | ||||||
#*Blue Nile, Inc. | 1,234 | 52,568 | ||||||
*Bluegreen Corp. | 2,100 | 6,783 | ||||||
Blyth, Inc. | 875 | 35,105 | ||||||
Bob Evans Farms, Inc. | 3,500 | 100,450 | ||||||
*Bon-Ton Stores, Inc. (The) | 2,096 | 24,062 | ||||||
Books-A-Million, Inc. | 1,295 | 8,223 | ||||||
#*BorgWarner, Inc. | 12,500 | 701,375 | ||||||
#*Boyd Gaming Corp. | 5,900 | 49,029 | ||||||
Brinker International, Inc. | 9,050 | 167,787 | ||||||
#*Brookfield Homes Corp. | 2,400 | 20,016 | ||||||
Brown Shoe Co., Inc. | 5,187 | 60,947 | ||||||
Brunswick Corp. | 8,960 | 141,747 | ||||||
#Buckle, Inc. | 3,825 | 111,269 |
183
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
*Buffalo Wild Wings, Inc. | 1,800 | $ | 84,654 | |||||
#*Build-A-Bear-Workshop, Inc. | 2,400 | 16,872 | ||||||
#*Cabela’s, Inc. | 4,700 | 87,138 | ||||||
Cablevision Systems Corp. | 26,600 | 711,284 | ||||||
*Cache, Inc. | 800 | 3,992 | ||||||
*California Pizza Kitchen, Inc. | 2,415 | 39,872 | ||||||
Callaway Golf Co. | 6,900 | 47,472 | ||||||
*Cambium Learning Group, Inc. | 16,532 | 51,084 | ||||||
*Canterbury Park Holding Corp. | 500 | 4,183 | ||||||
#*Capella Education Co. | 1,400 | 76,762 | ||||||
*Career Education Corp. | 9,659 | 169,419 | ||||||
*Caribou Coffee Co., Inc. | 1,700 | 18,037 | ||||||
*CarMax, Inc. | 21,994 | 681,594 | ||||||
*Carnival Corp. | 48,132 | 2,077,858 | ||||||
*Carriage Services, Inc. | 3,100 | 16,275 | ||||||
*Carrols Restaurant Group, Inc. | 1,578 | 10,667 | ||||||
*Carter’s, Inc. | 7,100 | 176,790 | ||||||
*Casual Male Retail Group, Inc. | 4,200 | 18,522 | ||||||
Cato Corp. Class A | 3,450 | 91,252 | ||||||
*Cavco Industries, Inc. | 1,157 | 36,665 | ||||||
CBS Corp. | 5,700 | 96,900 | ||||||
CBS Corp. Class B | 64,197 | 1,086,855 | ||||||
*CEC Entertainment, Inc. | 2,357 | 78,252 | ||||||
*Charming Shoppes, Inc. | 13,860 | 48,371 | ||||||
#*Cheesecake Factory, Inc. | 5,150 | 149,968 | ||||||
Cherokee, Inc. | 542 | 10,016 | ||||||
Chico’s FAS, Inc. | 18,200 | 176,904 | ||||||
*Children’s Place Retail Stores, Inc. (The) | 2,340 | 103,100 | ||||||
*Chipotle Mexican Grill, Inc. | 3,385 | 711,561 | ||||||
#Choice Hotels International, Inc. | 3,800 | 144,514 | ||||||
Christopher & Banks Corp. | 3,217 | 19,173 | ||||||
Churchill Downs, Inc. | 1,444 | 52,316 | ||||||
Cinemark Holdings, Inc. | 5,500 | 96,525 | ||||||
#*Citi Trends, Inc. | 1,200 | 25,176 | ||||||
*CKX, Inc. | 3,000 | 12,240 | ||||||
*Clear Channel Outdoor Holdings, Inc. | 4,227 | 50,217 | ||||||
*Coach, Inc. | 29,568 | 1,478,400 | ||||||
#*Coinstar, Inc. | 2,900 | 166,982 | ||||||
*Coldwater Creek, Inc. | 6,649 | 22,407 | ||||||
#*Collective Brands, Inc. | 8,400 | 128,772 | ||||||
Collectors Universe, Inc. | 700 | 11,872 | ||||||
Columbia Sportswear Co. | 1,827 | 95,461 | ||||||
*Comcast Corp. Class A | 213,068 | 4,384,939 | ||||||
Comcast Corp. Special Class A | 77,263 | 1,493,494 | ||||||
#*Conn’s, Inc. | 1,121 | 4,932 | ||||||
#Cooper Tire & Rubber Co. | 6,434 | 126,171 | ||||||
*Core-Mark Holding Co., Inc. | 1,317 | 43,461 | ||||||
#*Corinthian Colleges, Inc. | 8,800 | 45,936 | ||||||
CPI Corp. | 1,000 | 24,660 | ||||||
Cracker Barrel Old Country Store, Inc. | 2,500 | 134,725 | ||||||
#*Crocs, Inc. | 9,700 | 135,121 | ||||||
*Crown Media Holdings, Inc. | 2,500 | 7,300 | ||||||
CSS Industries, Inc. | 1,250 | 20,913 | ||||||
*Culp, Inc. | 1,566 | 15,879 | ||||||
*Cumulus Media, Inc. | 2,000 | 6,120 | ||||||
#*Dana Holding Corp. | 11,700 | 165,555 | ||||||
*Darden Restaurants, Inc. | 14,790 | 676,051 | ||||||
*Deckers Outdoor Corp. | 4,200 | 244,020 | ||||||
*dELiA*s, Inc. | 1,100 | 1,793 | ||||||
#*Destination Maternity Corp. | 1,300 | 47,489 | ||||||
*DeVry, Inc. | 6,500 | 311,090 |
184
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
#*Dick’s Sporting Goods, Inc. | 8,514 | $ | 245,373 | |||||
#Dillard’s, Inc. | 5,900 | 150,509 | ||||||
*DineEquity, Inc. | 1,200 | 53,340 | ||||||
*DIRECTV Class A | 90,389 | 3,928,306 | ||||||
#*Discovery Communications, Inc. Class A | 13,981 | 623,692 | ||||||
*Discovery Communications, Inc. Class C | 14,552 | 565,491 | ||||||
DISH Network Corp. | 21,800 | 432,948 | ||||||
*Dolan Media Co. | 2,800 | 29,960 | ||||||
#*Dollar Tree, Inc. | 12,450 | 638,810 | ||||||
*Domino’s Pizza, Inc. | 6,586 | 97,736 | ||||||
*Dorman Products, Inc. | 1,189 | 43,387 | ||||||
Dover Downs Gaming & Entertainment, Inc. | 2,000 | 6,960 | ||||||
*DR Horton, Inc. | 29,700 | 310,068 | ||||||
#*DreamWorks Animation SKG, Inc. | 7,680 | 271,104 | ||||||
#*Dress Barn, Inc. (The) | 6,400 | 146,816 | ||||||
*Drew Industries, Inc. | 2,900 | 61,103 | ||||||
#*drugstore.com, Inc. | 5,100 | 8,160 | ||||||
#*DSW, Inc. | 1,503 | 50,005 | ||||||
#*Eastman Kodak Co. | 26,170 | 123,261 | ||||||
*Einstein Noah Restaurant Group, Inc. | 1,130 | 12,498 | ||||||
*Empire Resorts, Inc. | 938 | 807 | ||||||
#*Entercom Communications Corp. | 2,510 | 20,958 | ||||||
*Entravision Communications Corp. | 2,008 | 4,257 | ||||||
Ethan Allen Interiors, Inc. | 3,275 | 49,682 | ||||||
#*EW Scripps Co. Class A (The) | 3,400 | 29,716 | ||||||
#*Exide Technologies | 9,000 | 53,010 | ||||||
*Expedia, Inc. | 1,914 | 55,410 | ||||||
Family Dollar Stores, Inc. | 13,612 | 628,466 | ||||||
*Famous Dave’s of America, Inc. | 1,098 | 10,475 | ||||||
*Federal-Mogul Corp. | 3,500 | 69,405 | ||||||
Finish Line, Inc. Class A | 5,300 | 81,090 | ||||||
*Fisher Communications, Inc. | 1,200 | 21,936 | ||||||
Foot Locker, Inc. | 12,942 | 206,166 | ||||||
#*Ford Motor Co. | 324,140 | 4,580,098 | ||||||
*Fortune Brands, Inc. | 14,580 | 788,049 | ||||||
*Fossil, Inc. | 6,950 | 409,980 | ||||||
Fred’s, Inc. | 5,517 | 66,094 | ||||||
*Fuel Systems Solutions, Inc. | 2,050 | 84,009 | ||||||
*Furniture Brands International, Inc. | 4,400 | 22,044 | ||||||
Gaiam, Inc. | 1,309 | 9,242 | ||||||
#*GameStop Corp. Class A | 16,340 | 321,244 | ||||||
Gaming Partners International Corp. | 800 | 4,320 | ||||||
Gannett Co., Inc. | 22,900 | 271,365 | ||||||
*Gap, Inc. | 44,861 | 852,808 | ||||||
#Garmin, Ltd. | 14,855 | 487,838 | ||||||
*Gaylord Entertainment Co. | 3,437 | 114,590 | ||||||
*Genesco, Inc. | 2,400 | 78,624 | ||||||
Gentex Corp. | 13,434 | 268,411 | ||||||
Genuine Parts Co. | 15,730 | 752,838 | ||||||
*G-III Apparel Group, Ltd. | 1,400 | 36,960 | ||||||
*Global Traffic Network, Inc. | 2,700 | 17,199 | ||||||
*Goodyear Tire & Rubber Co. | 23,460 | 239,761 | ||||||
*Great Wolf Resorts, Inc. | 100 | 236 | ||||||
#*Group 1 Automotive, Inc. | 2,780 | 98,023 | ||||||
#Guess?, Inc. | 5,800 | 225,736 | ||||||
*Gymboree Corp. | 2,600 | 169,156 | ||||||
#H&R Block, Inc. | 33,820 | 398,738 | ||||||
*Hanesbrands, Inc. | 8,675 | 215,140 | ||||||
Harley-Davidson, Inc. | 24,000 | 736,320 | ||||||
*Harman International Industries, Inc. | 6,800 | 228,140 | ||||||
Harte-Hanks, Inc. | 4,200 | 50,736 |
185
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
*Hasbro, Inc. | 14,100 | $ | 652,125 | |||||
Haverty Furniture Cos., Inc. | 1,700 | 18,173 | ||||||
*Helen of Troy, Ltd. | 4,400 | 112,860 | ||||||
#*hhgregg, Inc. | 2,516 | 57,969 | ||||||
*Hibbett Sporting Goods, Inc. | 2,888 | 77,832 | ||||||
Hillenbrand, Inc. | 6,205 | 133,345 | ||||||
#*Home Depot, Inc. | 168,342 | 5,198,401 | ||||||
Hooker Furniture Corp. | 1,300 | 13,741 | ||||||
Hot Topic, Inc. | 6,106 | 34,987 | ||||||
#*Hovnanian Enterprises, Inc. | 6,300 | 22,428 | ||||||
*HSN, Inc. | 3,798 | 113,712 | ||||||
*Iconix Brand Group, Inc. | 7,198 | 125,965 | ||||||
*International Game Technology | 26,800 | 417,812 | ||||||
International Speedway Corp. | 2,675 | 61,097 | ||||||
#*Interpublic Group of Cos., Inc. (The) | 50,516 | 522,841 | ||||||
*Interval Leisure Group, Inc. | 4,310 | 61,848 | ||||||
*iRobot Corp. | 2,385 | 49,799 | ||||||
#*Isle of Capri Casinos, Inc. | 4,000 | 32,160 | ||||||
#*ITT Educational Services, Inc. | 3,400 | 219,402 | ||||||
*J. Alexander’s Corp. | 800 | 3,552 | ||||||
#*J. Crew Group, Inc. | 5,783 | 184,998 | ||||||
*J.C. Penney Co., Inc. | 24,170 | 753,621 | ||||||
*Jack in the Box, Inc. | 6,300 | 145,908 | ||||||
#*JAKKS Pacific, Inc. | 2,600 | 49,010 | ||||||
Jarden Corp. | 7,825 | 250,870 | ||||||
*Jo-Ann Stores, Inc. | 2,773 | 119,932 | ||||||
Johnson Controls, Inc. | 68,851 | 2,418,047 | ||||||
*Johnson Outdoors, Inc. Class A | 1,187 | 16,950 | ||||||
Jones Group, Inc. (The) | 9,866 | 142,662 | ||||||
*Jos. A. Bank Clothiers, Inc. | 3,300 | 143,880 | ||||||
*Journal Communications, Inc. | 2,631 | 12,129 | ||||||
*K12, Inc. | 1,700 | 47,447 | ||||||
KB Home | 9,900 | 104,049 | ||||||
*Kenneth Cole Productions, Inc. Class A | 1,100 | 14,795 | ||||||
*Kid Brands, Inc. | 1,700 | 16,592 | ||||||
#*Kirkland’s, Inc. | 1,700 | 22,865 | ||||||
*Knology, Inc. | 3,600 | 52,380 | ||||||
*Kohl’s Corp. | 29,660 | 1,518,592 | ||||||
*Kona Grill, Inc. | 1,120 | 3,752 | ||||||
*Krispy Kreme Doughnuts, Inc. | 6,700 | 37,520 | ||||||
*K-Swiss, Inc. Class A | 2,837 | 34,498 | ||||||
*Lakeland Industries, Inc. | 1,000 | 9,740 | ||||||
#*Lamar Advertising Co. Class A | 5,415 | 184,056 | ||||||
#*Las Vegas Sands Corp. | 65,800 | 3,018,904 | ||||||
#*La-Z-Boy, Inc. | 6,000 | 46,620 | ||||||
*Leapfrog Enterprises, Inc. | 3,100 | 17,329 | ||||||
*Lear Corp. | 4,200 | 371,280 | ||||||
Learning Tree International, Inc. | 1,342 | 13,017 | ||||||
#Leggett & Platt, Inc. | 14,897 | 303,601 | ||||||
*Lennar Corp. Class A | 15,500 | 224,905 | ||||||
Lennar Corp. Class B Voting | 556 | 6,628 | ||||||
*Libbey, Inc. | 1,600 | 21,264 | ||||||
#*Liberty Global, Inc. Class A | 13,437 | 507,784 | ||||||
*Liberty Global, Inc. Class B | 95 | 3,662 | ||||||
#*Liberty Global, Inc. Class C | 11,626 | 420,745 | ||||||
*Liberty Media Corp. Capital Class A | 10,116 | 582,075 | ||||||
*Liberty Media Corp. Interactive Class A | 58,700 | 866,412 | ||||||
*Liberty Media Corp. Interactive Class B | 400 | 5,972 | ||||||
*Liberty Media-Starz Corp. Series A | 5,255 | 344,308 | ||||||
*Liberty Media-Starz Corp. Series B | 227 | 14,982 | ||||||
#*Life Time Fitness, Inc. | 3,100 | 112,003 |
186
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
*Lifetime Brands, Inc. | 300 | $ | 3,852 | |||||
*Limited Brands, Inc. | 31,260 | 918,731 | ||||||
*LIN TV Corp. Class A | 2,800 | 11,648 | ||||||
#*Lincoln Educational Services Corp. | 2,164 | 26,963 | ||||||
#*Live Nation Entertainment, Inc. | 15,286 | 145,064 | ||||||
#*LKQ Corp. | 13,389 | 291,077 | ||||||
*Lowe’s Cos., Inc. | 145,940 | 3,112,900 | ||||||
*Luby’s, Inc. | 1,849 | 9,374 | ||||||
#*Lumber Liquidators Holdings, Inc. | 2,400 | 57,792 | ||||||
*M/I Homes, Inc. | 2,200 | 23,276 | ||||||
Mac-Gray Corp. | 1,591 | 19,331 | ||||||
Macy’s, Inc. | 41,400 | 978,696 | ||||||
*Madison Square Garden, Inc. | 6,507 | 135,281 | ||||||
*Maidenform Brands, Inc. | 2,442 | 65,348 | ||||||
Marcus Corp. | 2,400 | 30,768 | ||||||
*Marine Products Corp. | 2,017 | 12,526 | ||||||
*MarineMax, Inc. | 1,700 | 12,716 | ||||||
#*Marriott International, Inc. Class A | 33,172 | 1,229,023 | ||||||
#*Martha Stewart Living Omnimedia Class A | 3,500 | 15,260 | ||||||
*Mattel, Inc. | 37,165 | 867,059 | ||||||
Matthews International Corp. Class A | 3,400 | 112,268 | ||||||
*McClatchy Co. (The) | 4,300 | 11,868 | ||||||
*McCormick & Schmick’s Seafood Restaurants, Inc. | 2,212 | 19,753 | ||||||
*McDonald’s Corp. | 109,625 | 8,525,536 | ||||||
*McGraw-Hill Cos., Inc. | 25,200 | 948,780 | ||||||
MDC Holdings, Inc. | 4,445 | 114,459 | ||||||
*Media General, Inc. | 800 | 4,408 | ||||||
*Mediacom Communications Corp. Class A | 5,481 | 37,819 | ||||||
Men’s Wearhouse, Inc. (The) | 5,635 | 137,719 | ||||||
#*Meredith Corp. | 3,900 | 132,405 | ||||||
*Meritage Homes Corp. | 3,900 | 71,409 | ||||||
*MGM Resorts International | 30,400 | 332,272 | ||||||
*Midas, Inc. | 1,456 | 10,716 | ||||||
*Modine Manufacturing Co. | 3,900 | 52,728 | ||||||
#*Mohawk Industries, Inc. | 5,948 | 341,058 | ||||||
*Monarch Casino & Resort, Inc. | 2,372 | 27,397 | ||||||
Monro Muffler Brake, Inc. | 1,688 | 80,585 | ||||||
*Morgans Hotel Group Co. | 2,500 | 20,175 | ||||||
#*Morningstar, Inc. | 2,000 | 97,640 | ||||||
*Morton’s Restaurant Group, Inc. | 1,090 | 6,104 | ||||||
*Movado Group, Inc. | 2,362 | 26,549 | ||||||
*Multimedia Games, Inc. | 2,364 | 9,267 | ||||||
*Nathan’s Famous, Inc. | 1,109 | 17,777 | ||||||
National CineMedia, Inc. | 5,600 | 103,712 | ||||||
National Presto Industries, Inc. | 737 | 82,492 | ||||||
#*Netflix, Inc. | 6,500 | 1,127,750 | ||||||
*New Frontier Media, Inc. | 200 | 348 | ||||||
*New York & Co., Inc. | 5,059 | 15,784 | ||||||
*New York Times Co. Class A (The) | 12,700 | 97,409 | ||||||
*Newell Rubbermaid, Inc. | 28,884 | 509,803 | ||||||
*News Corp. Class A | 177,884 | 2,572,203 | ||||||
News Corp. Class B | 48,863 | 785,717 | ||||||
#*Nexstar Broadcasting Group, Inc. | 600 | 3,396 | ||||||
*NIKE, Inc. Class B | 38,200 | 3,111,008 | ||||||
#*Nordstrom, Inc. | 19,280 | 742,473 | ||||||
#Nutri/System, Inc. | 3,600 | 68,832 | ||||||
#*NVR, Inc. | 500 | 313,705 | ||||||
*O’Charley’s, Inc. | 1,700 | 12,750 | ||||||
*Office Depot, Inc. | 26,000 | 116,740 | ||||||
*OfficeMax, Inc. | 7,500 | 132,750 | ||||||
Omnicom Group, Inc. | 30,400 | 1,336,384 |
187
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
*Orbitz Worldwide, Inc. | 3,586 | $ | 24,385 | |||||
*O’Reilly Automotive, Inc. | 14,158 | 828,243 | ||||||
*Orient-Express Hotels, Ltd. | 6,600 | 83,556 | ||||||
*Outdoor Channel Holdings, Inc. | 2,723 | 14,377 | ||||||
*Overstock.com, Inc. | 1,030 | 13,812 | ||||||
Oxford Industries, Inc. | 1,200 | 27,636 | ||||||
P.F. Chang’s China Bistro, Inc. | 2,500 | 114,800 | ||||||
#*Pacific Sunwear of California, Inc. | 6,200 | 36,952 | ||||||
*Palm Harbor Homes, Inc. | 1,500 | 1,935 | ||||||
*Panera Bread Co. | 3,000 | 268,530 | ||||||
*Papa John’s International, Inc. | 2,800 | 72,324 | ||||||
#*Peet’s Coffee & Tea, Inc. | 1,500 | 57,375 | ||||||
*Penn National Gaming, Inc. | 7,000 | 232,820 | ||||||
*Penske Automotive Group, Inc. | 3,600 | 48,420 | ||||||
Pep Boys - Manny, Moe & Jack (The) | 1,624 | 18,985 | ||||||
*Perry Ellis International, Inc. | 969 | 21,783 | ||||||
PetMed Express, Inc. | 2,200 | 33,990 | ||||||
PetSmart, Inc. | 13,200 | 494,076 | ||||||
Phillips-Van Heusen Corp. | 6,891 | 422,694 | ||||||
*Pier 1 Imports, Inc. | 5,800 | 50,344 | ||||||
*Pinnacle Entertainment, Inc. | 5,100 | 65,280 | ||||||
#*Playboy Enterprises, Inc. Class B | 900 | 4,365 | ||||||
Polaris Industries, Inc. | 3,497 | 248,602 | ||||||
Polo Ralph Lauren Corp. | 6,800 | 658,784 | ||||||
Pool Corp. | 4,300 | 86,602 | ||||||
#*Pre-Paid Legal Services, Inc. | 700 | 42,126 | ||||||
*Priceline.com, Inc. | 4,700 | 1,771,007 | ||||||
Primedia, Inc. | 4,956 | 18,189 | ||||||
*Princeton Review, Inc. | 5,159 | 8,203 | ||||||
#*Pulte Group, Inc. | 36,437 | 286,030 | ||||||
*Quiksilver, Inc. | 2,800 | 11,676 | ||||||
*RadioShack Corp. | 11,260 | 226,664 | ||||||
*RC2 Corp. | 1,400 | 29,540 | ||||||
*Red Lion Hotels Corp. | 2,034 | 16,008 | ||||||
#*Red Robin Gourmet Burgers, Inc. | 1,300 | 26,390 | ||||||
Regal Entertainment Group | 8,860 | 119,610 | ||||||
Regis Corp. | 3,900 | 79,755 | ||||||
Rent-A-Center, Inc. | 6,980 | 175,477 | ||||||
*Rentrak Corp. | 1,137 | 30,870 | ||||||
*Retail Ventures, Inc. | 4,157 | 56,494 | ||||||
RG Barry Corp. | 1,300 | 13,442 | ||||||
*Ross Stores, Inc. | 12,000 | 707,880 | ||||||
#*Royal Caribbean Cruises, Ltd. | 15,900 | 628,686 | ||||||
*Ruby Tuesday, Inc. | 5,500 | 66,550 | ||||||
*Ruth’s Hospitality Group, Inc. | 2,684 | 12,239 | ||||||
Ryland Group, Inc. (The) | 3,100 | 46,438 | ||||||
*Saga Communications, Inc. | 507 | 10,338 | ||||||
#*Saks, Inc. | 8,910 | 99,257 | ||||||
*Salem Communications Corp. | 400 | 1,284 | ||||||
#*Sally Beauty Holdings, Inc. | 18,750 | 228,188 | ||||||
Scholastic Corp. | 2,600 | 76,570 | ||||||
*Scientific Games Corp. | 6,970 | 55,063 | ||||||
*Scripps Networks Interactive, Inc. | 9,555 | 486,254 | ||||||
*Sealy Corp. | 1,956 | 5,144 | ||||||
#*Sears Holdings Corp. | 6,833 | 491,839 | ||||||
#*Select Comfort Corp. | 5,200 | 43,212 | ||||||
Service Corp. International | 26,000 | 215,280 | ||||||
*Shiloh Industries, Inc. | 3,192 | 32,175 | ||||||
*Shoe Carnival, Inc. | 1,463 | 33,503 | ||||||
*Shuffle Master, Inc. | 6,626 | 62,351 | ||||||
*Shutterfly, Inc. | 3,000 | 90,300 |
188
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
*Signet Jewelers, Ltd. ADR | 8,049 | $ | 283,164 | |||||
*Sinclair Broadcast Group, Inc. Class A | 3,800 | 30,362 | ||||||
#*Skechers U.S.A., Inc. Class A | 3,800 | 73,872 | ||||||
Skyline Corp. | 800 | 14,264 | ||||||
#*Smith & Wesson Holding Corp. | 4,800 | 18,000 | ||||||
*Snap-On, Inc. | 6,470 | 329,970 | ||||||
#*Sonic Automotive, Inc. | 2,501 | 27,311 | ||||||
*Sonic Corp. | 4,163 | 36,967 | ||||||
Sotheby’s Class A | 6,300 | 276,192 | ||||||
Spartan Motors, Inc. | 3,375 | 17,145 | ||||||
*Spectrum Group International, Inc. | 531 | 897 | ||||||
Speedway Motorsports, Inc. | 3,237 | 49,526 | ||||||
Stage Stores, Inc. | 3,250 | 43,322 | ||||||
Standard Motor Products, Inc. | 1,900 | 20,197 | ||||||
*Stanley Black & Decker, Inc. | 13,893 | 860,949 | ||||||
*Stanley Furniture, Inc. | 1,979 | 7,639 | ||||||
Staples, Inc. | 71,350 | 1,460,534 | ||||||
*Starbucks Corp. | 73,930 | 2,105,526 | ||||||
*Starwood Hotels & Resorts Worldwide, Inc. | 18,500 | 1,001,590 | ||||||
#*Stein Mart, Inc. | 3,036 | 28,508 | ||||||
*Steinway Musical Instruments, Inc. | 900 | 15,309 | ||||||
*Steven Madden, Ltd. | 2,475 | 104,692 | ||||||
Stewart Enterprises, Inc. | 8,882 | 49,384 | ||||||
*Stoneridge, Inc. | 3,400 | 37,400 | ||||||
#Strayer Education, Inc. | 1,200 | 167,796 | ||||||
Sturm Ruger & Co., Inc. | 1,500 | 23,490 | ||||||
Superior Industries International, Inc. | 2,200 | 39,490 | ||||||
#Systemax, Inc. | 2,866 | 37,115 | ||||||
#*Talbots, Inc. | 2,094 | 20,479 | ||||||
*Tandy Brands Accessories, Inc. | 700 | 2,296 | ||||||
Tandy Leather Factory, Inc. | 663 | 2,984 | ||||||
*Target Corp. | 71,030 | 3,689,298 | ||||||
#*Tempur-Pedic International, Inc. | 7,700 | 265,650 | ||||||
*Tenneco, Inc. | 5,600 | 182,672 | ||||||
#*Texas Roadhouse, Inc. | 5,500 | 84,480 | ||||||
Thor Industries, Inc. | 4,161 | 131,030 | ||||||
#Tiffany & Co. | 12,600 | 667,800 | ||||||
*Timberland Co. Class A | 4,602 | 96,550 | ||||||
*Time Warner Cable, Inc. | 37,404 | 2,164,569 | ||||||
*Time Warner, Inc. | 117,386 | 3,816,219 | ||||||
*TJX Cos., Inc. (The) | 41,421 | 1,900,810 | ||||||
*Toll Brothers, Inc. | 14,960 | 268,382 | ||||||
Tractor Supply Co. | 7,002 | 277,279 | ||||||
*True Religion Apparel, Inc. | 2,500 | 51,125 | ||||||
*TRW Automotive Holdings Corp. | 10,900 | 498,021 | ||||||
#*Tuesday Morning Corp. | 5,600 | 26,824 | ||||||
Tupperware Corp. | 6,100 | 273,341 | ||||||
*Ulta Salon Cosmetics & Fragrance, Inc. | 5,300 | 162,657 | ||||||
#*Under Armour, Inc. Class A | 3,200 | 149,376 | ||||||
*Unifi, Inc. | 5,300 | 25,069 | ||||||
*Universal Electronics, Inc. | 1,700 | 35,802 | ||||||
Universal Technical Institute, Inc. | 2,300 | 44,505 | ||||||
#*Urban Outfitters, Inc. | 13,650 | 420,010 | ||||||
V.F. Corp. | 8,950 | 744,998 | ||||||
*Vail Resorts, Inc. | 3,700 | 150,072 | ||||||
*Valassis Communications, Inc. | 4,390 | 144,870 | ||||||
Value Line, Inc. | 400 | 6,852 | ||||||
*Valuevision Media, Inc. Class A | 500 | 1,185 | ||||||
#Viacom, Inc. Class A | 4,900 | 209,573 | ||||||
*Viacom, Inc. Class B | 56,500 | 2,180,335 | ||||||
#*Volcom, Inc. | 1,626 | 27,918 |
189
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Discretionary — (Continued) | ||||||||
*WABCO Holdings, Inc. | 6,243 | $ | 289,800 | |||||
Walt Disney Co. (The) | 196,592 | 7,098,937 | ||||||
*Warnaco Group, Inc. | 4,285 | 227,576 | ||||||
*Warner Music Group Corp. | 874 | 4,545 | ||||||
*Washington Post Co. | 500 | 201,075 | ||||||
Weight Watchers International, Inc. | 3,800 | 127,262 | ||||||
Wendy’s/Arby’s Group, Inc. | 33,225 | 152,835 | ||||||
*West Marine, Inc. | 2,681 | 26,301 | ||||||
*Wet Seal, Inc. (The) | 11,405 | 39,918 | ||||||
*Whirlpool Corp. | 7,700 | 583,891 | ||||||
Wiley (John) & Sons, Inc. Class A | 5,300 | 228,748 | ||||||
Williams Controls, Inc. | 600 | 5,700 | ||||||
Williams-Sonoma, Inc. | 10,760 | 348,301 | ||||||
Winmark Corp. | 300 | 9,876 | ||||||
#*WMS Industries, Inc. | 5,790 | 252,618 | ||||||
Wolverine World Wide, Inc. | 5,800 | 168,896 | ||||||
#World Wrestling Entertainment, Inc. | 3,100 | 42,904 | ||||||
*Wyndham Worldwide Corp. | 18,900 | 543,375 | ||||||
*Wynn Resorts, Ltd. | 11,860 | 1,271,036 | ||||||
*Yum! Brands, Inc. | 47,417 | 2,349,987 | ||||||
*Zumiez, Inc. | 2,100 | 55,062 | ||||||
Total Consumer Discretionary | 154,606,237 | |||||||
Consumer Staples — (9.6%) | ||||||||
Alberto-Culver Co. | 10,350 | 385,952 | ||||||
Alico, Inc. | 496 | 12,698 | ||||||
*Alliance One International, Inc. | 11,189 | 49,455 | ||||||
Altria Group, Inc. | 213,900 | 5,437,338 | ||||||
Andersons, Inc. (The) | 500 | 19,685 | ||||||
*Archer-Daniels-Midland Co. | 65,490 | 2,182,127 | ||||||
*Avon Products, Inc. | 42,300 | 1,288,035 | ||||||
B&G Foods, Inc. | 4,970 | 60,883 | ||||||
*BJ’s Wholesale Club, Inc. | 5,300 | 221,169 | ||||||
*Boston Beer Co., Inc. Class A | 1,000 | 71,590 | ||||||
Brown-Forman Corp. Class A | 7,570 | 460,256 | ||||||
#*Brown-Forman Corp. Class B | 9,019 | 548,445 | ||||||
Bunge, Ltd. | 11,297 | 678,611 | ||||||
Calavo Growers, Inc. | 1,261 | 27,654 | ||||||
Cal-Maine Foods, Inc. | 2,100 | 60,837 | ||||||
#*Campbell Soup Co. | 21,173 | 767,521 | ||||||
Casey’s General Stores, Inc. | 5,660 | 234,664 | ||||||
*Central European Distribution Corp. | 4,775 | 119,232 | ||||||
*Central Garden & Pet Co. | 2,800 | 28,980 | ||||||
*Central Garden & Pet Co. Class A | 7,529 | 78,678 | ||||||
#*Chiquita Brands International, Inc. | 4,900 | 65,023 | ||||||
Church & Dwight Co., Inc. | 6,550 | 431,318 | ||||||
*Clorox Co. | 14,071 | 936,425 | ||||||
Coca-Cola Co. (The) | 218,236 | 13,382,232 | ||||||
*Coca-Cola Enterprises, Inc. | 48,544 | 1,165,541 | ||||||
*Colgate-Palmolive Co. | 47,820 | 3,687,878 | ||||||
*ConAgra, Inc. | 43,779 | 984,590 | ||||||
*Constellation Brands, Inc. Class A | 21,012 | 414,567 | ||||||
Corn Products International, Inc. | 8,033 | 341,804 | ||||||
*Costco Wholesale Corp. | 45,150 | 2,834,066 | ||||||
*CVS Caremark Corp. | 139,947 | 4,215,204 | ||||||
*Darling International, Inc. | 8,700 | 87,087 | ||||||
*Dean Foods Co. | 16,650 | 173,160 | ||||||
Del Monte Foods Co. | 22,025 | 315,838 | ||||||
Diamond Foods, Inc. | 2,435 | 107,627 | ||||||
Dr Pepper Snapple Group, Inc. | 25,420 | 929,101 | ||||||
*Elizabeth Arden, Inc. | 1,900 | 38,855 |
190
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Staples — (Continued) | ||||||||
*Energizer Holdings, Inc. | 6,400 | $ | 478,592 | |||||
*Estee Lauder Cos., Inc. | 11,600 | 825,572 | ||||||
Farmer Brothers Co. | 1,899 | 31,163 | ||||||
Flowers Foods, Inc. | 9,918 | 252,711 | ||||||
*Fresh Del Monte Produce, Inc. | 5,939 | 131,430 | ||||||
*General Mills, Inc. | 63,707 | 2,391,561 | ||||||
#*Green Mountain Coffee, Inc. | 12,558 | 414,288 | ||||||
H.J. Heinz Co. | 31,300 | 1,537,143 | ||||||
#*Hain Celestial Group, Inc. | 4,000 | 98,920 | ||||||
*Hansen Natural Corp. | 8,524 | 436,514 | ||||||
Herbalife, Ltd. | 6,200 | 395,932 | ||||||
*Hershey Co. (The) | 16,880 | 835,391 | ||||||
*Hormel Foods Corp. | 8,600 | 394,912 | ||||||
*HQ Sustainable Maritime Industries, Inc. | 1,600 | 5,296 | ||||||
Imperial Sugar Co. | 1,726 | 21,920 | ||||||
Ingles Markets, Inc. | 1,610 | 29,560 | ||||||
Inter Parfums, Inc. | 3,152 | 55,128 | ||||||
J & J Snack Foods Corp. | 1,952 | 83,682 | ||||||
*J.M. Smucker Co. | 12,176 | 782,673 | ||||||
*John B. Sanfilippo & Son, Inc. | 1,596 | 21,418 | ||||||
#*Kellogg Co. | 33,591 | 1,688,284 | ||||||
Kimberly-Clark Corp. | 40,410 | 2,559,569 | ||||||
Kraft Foods, Inc. | 171,372 | 5,530,174 | ||||||
*Kroger Co. (The) | 60,800 | 1,337,600 | ||||||
#Lancaster Colony Corp. | 1,900 | 94,772 | ||||||
Lance, Inc. | 2,800 | 63,672 | ||||||
#*Lifeway Foods, Inc. | 315 | 3,125 | ||||||
*Lorillard, Inc. | 15,908 | 1,357,589 | ||||||
*Mannatech, Inc. | 2,370 | 4,432 | ||||||
*McCormick & Co., Inc. Non-Voting | 12,314 | 544,525 | ||||||
#McCormick & Co., Inc. Voting | 607 | 27,018 | ||||||
Mead Johnson Nutrition Co. | 20,800 | 1,223,456 | ||||||
#*Medifast, Inc. | 2,100 | 50,148 | ||||||
*Molson Coors Brewing Co. | 16,605 | 784,254 | ||||||
Nash-Finch Co. | 1,300 | 54,470 | ||||||
National Beverage Corp. | 3,061 | 43,772 | ||||||
*Natural Alternatives International, Inc. | 1,000 | 6,860 | ||||||
Nu Skin Enterprises, Inc. Class A | 6,010 | 183,906 | ||||||
*Nutraceutical International Corp. | 1,559 | 25,334 | ||||||
Oil-Dri Corp. of America | 641 | 14,096 | ||||||
*Omega Protein Corp. | 2,100 | 11,865 | ||||||
*Overhill Farms, Inc. | 2,000 | 10,400 | ||||||
*Pantry, Inc. | 3,100 | 60,295 | ||||||
*PepsiCo, Inc. | 160,129 | 10,456,424 | ||||||
Philip Morris International, Inc. | 177,143 | 10,362,866 | ||||||
*Prestige Brands Holdings, Inc. | 4,300 | 46,225 | ||||||
PriceSmart, Inc. | 2,772 | 81,303 | ||||||
*Procter & Gamble Co. (The) | 296,827 | 18,869,292 | ||||||
*Ralcorp Holdings, Inc. | 5,695 | 353,432 | ||||||
*Reddy Ice Holdings, Inc. | 900 | 3,141 | ||||||
Reliv’ International, Inc. | 1,707 | 3,346 | ||||||
*Revlon, Inc. | 2,500 | 28,550 | ||||||
Reynolds American, Inc. | 25,946 | 1,683,895 | ||||||
#Rocky Mountain Chocolate Factory, Inc. | 950 | 9,120 | ||||||
Ruddick Corp. | 5,200 | 181,480 | ||||||
Safeway, Inc. | 39,700 | 909,130 | ||||||
Sanderson Farms, Inc. | 2,350 | 98,653 | ||||||
*Sara Lee Corp. | 66,853 | 958,003 | ||||||
*Smart Balance, Inc. | 8,197 | 29,181 | ||||||
*Smithfield Foods, Inc. | 15,600 | 261,300 | ||||||
Spartan Stores, Inc. | 2,074 | 31,006 |
191
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Consumer Staples — (Continued) | ||||||||
*Spectrum Brands Holdings, Inc. | 1,735 | $ | 49,187 | |||||
#*SUPERVALU, Inc. | 20,097 | 216,847 | ||||||
*Susser Holdings Corp. | 2,046 | 27,969 | ||||||
Sysco Corp. | 57,731 | 1,700,755 | ||||||
Tasty Baking Co. | 935 | 5,909 | ||||||
Tootsie Roll Industries, Inc. | 2,581 | 67,751 | ||||||
#*TreeHouse Foods, Inc. | 3,830 | 178,861 | ||||||
#*Tyson Foods, Inc. Class A | 29,240 | 454,682 | ||||||
*United Natural Foods, Inc. | 4,776 | 170,790 | ||||||
United-Guardian, Inc. | 600 | 8,040 | ||||||
Universal Corp. | 2,600 | 107,744 | ||||||
*USANA Health Sciences, Inc. | 955 | 41,944 | ||||||
#Vector Group, Ltd. | 8,183 | 153,022 | ||||||
*Walgreen Co. | 97,825 | 3,314,311 | ||||||
*Wal-Mart Stores, Inc. | 214,602 | 11,624,990 | ||||||
WD-40 Co. | 1,600 | 59,024 | ||||||
Weis Markets, Inc. | 1,930 | 75,193 | ||||||
*Whole Foods Market, Inc. | 14,783 | 587,624 | ||||||
*Winn-Dixie Stores, Inc. | 7,429 | 49,774 | ||||||
Total Consumer Staples | 131,008,312 | |||||||
Energy — (9.9%) | ||||||||
Adams Resources & Energy, Inc. | 500 | 9,800 | ||||||
*Allis-Chalmers Energy, Inc. | 1,800 | 9,252 | ||||||
Alon USA Energy, Inc. | 1,957 | 11,096 | ||||||
*Alpha Natural Resources, Inc. | 11,028 | 498,135 | ||||||
*American Oil & Gas, Inc. | 3,800 | 32,832 | ||||||
*Anadarko Petroleum Corp. | 50,050 | 3,081,579 | ||||||
*Apache Corp. | 37,225 | 3,760,470 | ||||||
*Approach Resources, Inc. | 1,476 | 22,804 | ||||||
Arch Coal, Inc. | 15,000 | 368,850 | ||||||
*Atlas Energy, Inc. | 7,038 | 204,947 | ||||||
#*ATP Oil & Gas Corp. | 4,679 | 67,190 | ||||||
*Atwood Oceanics, Inc. | 6,200 | 201,562 | ||||||
*Baker Hughes, Inc. | 44,294 | 2,052,141 | ||||||
*Basic Energy Services, Inc. | 4,350 | 48,111 | ||||||
Berry Petroleum Corp. Class A | 4,900 | 167,629 | ||||||
*Bill Barrett Corp. | 4,720 | 178,180 | ||||||
*BioFuel Energy Corp. | 804 | 1,817 | ||||||
*Bolt Technology Corp. | 1,050 | 11,666 | ||||||
#*BPZ Resources, Inc. | 10,000 | 37,200 | ||||||
*Brigham Exploration Co. | 11,200 | 236,208 | ||||||
*Bristow Group, Inc. | 3,356 | 130,146 | ||||||
*Bronco Drilling Co., Inc. | 3,500 | 14,770 | ||||||
*Cabot Oil & Gas Corp. | 10,500 | 304,290 | ||||||
*Cal Dive International, Inc. | 9,937 | 50,281 | ||||||
*Callon Petroleum Co. | 3,700 | 18,241 | ||||||
*Cameron International Corp. | 24,659 | 1,078,831 | ||||||
CARBO Ceramics, Inc. | 2,250 | 188,483 | ||||||
*Carrizo Oil & Gas, Inc. | 3,100 | 73,222 | ||||||
Chesapeake Energy Corp. | 66,338 | 1,439,535 | ||||||
*Chevron Corp. | 203,714 | 16,828,814 | ||||||
Cimarex Energy Co. | 8,533 | 654,908 | ||||||
*Clayton Williams Energy, Inc. | 1,100 | 65,692 | ||||||
*Complete Production Services, Inc. | 4,400 | 103,092 | ||||||
#*Comstock Resources, Inc. | 5,500 | 122,925 | ||||||
*Concho Resources, Inc. | 9,500 | 652,365 | ||||||
*ConocoPhillips | 149,755 | 8,895,447 | ||||||
*Consol Energy, Inc. | 18,500 | 680,060 | ||||||
*Contango Oil & Gas Co. | 1,700 | 89,403 | ||||||
*Continental Resources, Inc. | 4,476 | 212,744 |
192
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Energy — (Continued) | ||||||||
*CREDO Petroleum Corp. | 1,576 | $ | 12,608 | |||||
*Crosstex Energy, Inc. | 5,400 | 43,794 | ||||||
*CVR Energy, Inc. | 5,771 | 54,940 | ||||||
*Dawson Geophysical Co. | 600 | 14,904 | ||||||
Delek US Holdings, Inc. | 2,094 | 15,391 | ||||||
*Denbury Resources, Inc. | 38,370 | 653,057 | ||||||
Devon Energy Corp. | 42,384 | 2,755,808 | ||||||
DHT Holdings, Inc. | 900 | 3,870 | ||||||
#*Diamond Offshore Drilling, Inc. | 6,800 | 449,888 | ||||||
*Double Eagle Petroleum Co. | 267 | 1,137 | ||||||
*Dresser-Rand Group, Inc. | 8,200 | 280,604 | ||||||
*Dril-Quip, Inc. | 3,000 | 207,300 | ||||||
*El Paso Corp. | 74,383 | 986,319 | ||||||
*Energy Partners, Ltd. | 1,061 | 11,851 | ||||||
*ENGlobal Corp. | 3,900 | 11,271 | ||||||
*EOG Resources, Inc. | 25,800 | 2,469,576 | ||||||
*Evolution Petroleum Corp. | 4,053 | 24,075 | ||||||
#EXCO Resources, Inc. | 19,250 | 285,478 | ||||||
*Exterran Holdings, Inc. | 6,100 | 153,537 | ||||||
*Exxon Mobil Corp. | 519,047 | 34,501,054 | ||||||
*FMC Technologies, Inc. | 12,382 | 892,742 | ||||||
*Forest Oil Corp. | 10,889 | 334,619 | ||||||
Frontier Oil Corp. | 9,600 | 127,200 | ||||||
#General Maritime Corp. | 3,300 | 12,672 | ||||||
#*Geokinetics, Inc. | 900 | 6,138 | ||||||
#*GeoResources, Inc. | 2,107 | 36,240 | ||||||
*Global Industries, Ltd. | 11,300 | 65,427 | ||||||
*GMX Resources, Inc. | 1,700 | 7,616 | ||||||
#*Goodrich Petroleum Corp. | 2,870 | 39,147 | ||||||
*Gran Tierra Energy, Inc. | 15,400 | 114,884 | ||||||
*Green Plains Renewable Energy, Inc. | 200 | 2,224 | ||||||
Gulf Island Fabrication, Inc. | 1,100 | 25,124 | ||||||
*Gulfmark Offshore, Inc. | 2,800 | 82,908 | ||||||
*Gulfport Energy Corp. | 4,900 | 81,634 | ||||||
*Halliburton Co. | 87,623 | 2,791,669 | ||||||
*Harvest Natural Resources, Inc. | 4,500 | 56,160 | ||||||
*Helix Energy Solutions Group, Inc. | 10,266 | 130,276 | ||||||
*Helmerich & Payne, Inc. | 11,191 | 478,751 | ||||||
#*Hercules Offshore, Inc. | 9,300 | 21,948 | ||||||
Hess Corp. | 30,200 | 1,903,506 | ||||||
*HKN, Inc. | 866 | 3,187 | ||||||
Holly Corp. | 4,500 | 147,285 | ||||||
#*Hornbeck Offshore Services, Inc. | 2,700 | 60,048 | ||||||
*International Coal Group, Inc. | 11,582 | 65,091 | ||||||
#*ION Geophysical Corp. | 9,600 | 46,944 | ||||||
*James River Coal Co. | 2,490 | 43,102 | ||||||
*Key Energy Services, Inc. | 13,200 | 130,020 | ||||||
*Kodiak Oil & Gas Corp. | 8,200 | 33,784 | ||||||
*L&L Energy, Inc. | 2,600 | 21,242 | ||||||
Lufkin Industries, Inc. | 3,400 | 166,090 | ||||||
*Marathon Oil Corp. | 71,765 | 2,552,681 | ||||||
#*Mariner Energy, Inc. | 9,953 | 248,029 | ||||||
Massey Energy Co. | 8,900 | 374,423 | ||||||
*Matrix Service Co. | 2,900 | 26,332 | ||||||
*Mitcham Industries, Inc. | 1,600 | 13,920 | ||||||
*Murphy Oil Corp. | 19,224 | 1,252,636 | ||||||
*Nabors Industries, Ltd. | 27,857 | 582,211 | ||||||
National-Oilwell, Inc. | 42,315 | 2,274,854 | ||||||
*Natural Gas Services Group, Inc. | 1,600 | 25,200 | ||||||
*Newfield Exploration Co. | 13,600 | 810,832 | ||||||
*Newpark Resources, Inc. | 9,500 | 55,860 |
193
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Energy — (Continued) | ||||||||
*Noble Energy, Inc. | 16,842 | $ | 1,372,286 | |||||
*Northern Oil & Gas, Inc. | 3,400 | 66,912 | ||||||
Occidental Petroleum Corp. | 83,088 | 6,533,209 | ||||||
*Oceaneering International, Inc. | 5,600 | 346,472 | ||||||
*Oil States International, Inc. | 5,000 | 255,600 | ||||||
Overseas Shipholding Group, Inc. | 2,700 | 90,261 | ||||||
*OYO Geospace Corp. | 300 | 18,183 | ||||||
Panhandle Oil & Gas, Inc. | 600 | 14,820 | ||||||
*Parker Drilling Co. | 11,381 | 48,142 | ||||||
#*Patriot Coal Corp. | 7,492 | 101,067 | ||||||
Patterson-UTI Energy, Inc. | 14,800 | 287,268 | ||||||
*Peabody Energy Corp. | 27,423 | 1,450,677 | ||||||
Penn Virginia Corp. | 3,900 | 57,798 | ||||||
*Petrohawk Energy Corp. | 30,604 | 520,574 | ||||||
*Petroleum Development Corp. | 1,200 | 37,452 | ||||||
*PetroQuest Energy, Inc. | 5,400 | 30,132 | ||||||
*PHI, Inc. Non-Voting | 1,795 | 31,359 | ||||||
*Pioneer Drilling Co. | 4,800 | 29,568 | ||||||
Pioneer Natural Resources Co. | 11,907 | 831,109 | ||||||
*Plains Exploration & Production Co. | 12,593 | 350,967 | ||||||
*Pride International, Inc. | 17,306 | 524,718 | ||||||
*QEP Resources, Inc. | 18,500 | 611,055 | ||||||
*Quicksilver Resources, Inc. | 13,400 | 200,598 | ||||||
Range Resources Corp. | 16,400 | 613,196 | ||||||
*Rex Energy Corp. | 4,000 | 49,280 | ||||||
*Rosetta Resources, Inc. | 5,600 | 133,896 | ||||||
*Rowan Cos., Inc. | 10,981 | 361,275 | ||||||
RPC, Inc. | 10,300 | 226,703 | ||||||
#*SandRidge Energy, Inc. | 39,458 | 215,835 | ||||||
*Schlumberger, Ltd. | 121,266 | 8,475,281 | ||||||
*SEACOR Holdings, Inc. | 2,000 | �� | 189,500 | |||||
#*Seahawk Drilling, Inc. | 1,319 | 13,296 | ||||||
SM Energy Co. | 7,000 | 291,760 | ||||||
Southern Union Co. | 13,148 | 330,410 | ||||||
*Southwestern Energy Co. | 33,040 | 1,118,404 | ||||||
*Spectra Energy Corp. | 59,562 | 1,415,789 | ||||||
*Sunoco, Inc. | 12,087 | 452,900 | ||||||
*Superior Energy Services, Inc. | 8,200 | 226,484 | ||||||
*Swift Energy Corp. | 3,230 | 102,876 | ||||||
*T-3 Energy Services, Inc. | 700 | 23,429 | ||||||
Teekay Corp. | 6,477 | 205,969 | ||||||
*Tesoro Petroleum Corp. | 13,900 | 180,144 | ||||||
*Tetra Technologies, Inc. | 8,150 | 79,544 | ||||||
*TGC Industries, Inc. | 1,588 | 5,876 | ||||||
Tidewater, Inc. | 5,500 | 253,715 | ||||||
*Ultra Petroleum Corp. | 13,109 | 539,435 | ||||||
*Union Drilling, Inc. | 1,000 | 4,570 | ||||||
*Unit Corp. | 4,200 | 164,766 | ||||||
#*Uranium Energy Corp. | 2,421 | 9,369 | ||||||
*USEC, Inc. | 15,699 | 84,304 | ||||||
*VAALCO Energy, Inc. | 7,100 | 41,748 | ||||||
*Valero Energy Corp. | 54,502 | 978,311 | ||||||
*Venoco, Inc. | 5,701 | 88,251 | ||||||
W&T Offshore, Inc. | 4,700 | 51,136 | ||||||
*Western Refining, Inc. | 2,700 | 17,955 | ||||||
*Westmoreland Coal Co. | 837 | 8,889 | ||||||
*Whiting Petroleum Corp. | 5,250 | 527,310 | ||||||
*Willbros Group, Inc. | 4,500 | 39,870 | ||||||
*Williams Cos., Inc. (The) | 60,700 | 1,306,264 | ||||||
World Fuel Services Corp. | 6,150 | 173,614 | ||||||
Total Energy | 134,497,417 | |||||||
194
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (12.1%) | ||||||||
1st Source Corp. | 1,990 | $ | 35,163 | |||||
Abington Bancorp, Inc. | 3,523 | 37,837 | ||||||
Advance America Cash Advance Centers, Inc. | 5,900 | 29,441 | ||||||
*Affiliated Managers Group, Inc. | 4,550 | 389,526 | ||||||
*Affirmative Insurance Holdings, Inc. | 1,600 | 5,920 | ||||||
*Aflac, Inc. | 48,213 | 2,694,625 | ||||||
*Allegheny Corp. | 676 | 203,124 | ||||||
Allied World Assurance Co. Holdings, Ltd. | 5,300 | 303,213 | ||||||
*Allstate Corp. (The) | 51,367 | 1,566,180 | ||||||
*Alterra Capital Holdings, Ltd. | 7,800 | 157,560 | ||||||
*American Capital, Ltd. | 23,501 | 164,037 | ||||||
American Equity Investment Life Holding Co. | 3,790 | 41,122 | ||||||
*American Express Co. | 111,405 | 4,618,851 | ||||||
American Financial Group, Inc. | 7,950 | 243,111 | ||||||
American National Insurance Co. | 1,312 | 102,913 | ||||||
*American River Bankshares | 882 | 5,107 | ||||||
*American Safety Insurance Holdings, Ltd. | 1,000 | 18,570 | ||||||
*Ameriprise Financial, Inc. | 26,340 | 1,361,515 | ||||||
*Ameris Bancorp | 1,951 | 18,086 | ||||||
*AMERISAFE, Inc. | 2,988 | 57,041 | ||||||
*AmeriServe Financial, Inc. | 100 | 160 | ||||||
AmTrust Financial Services, Inc. | 3,100 | 46,407 | ||||||
*AON Corp. | 24,735 | 983,216 | ||||||
*Arch Capital Group, Ltd. | 5,170 | 446,636 | ||||||
Argo Group International Holdings, Ltd. | 4,180 | 145,004 | ||||||
Arrow Financial Corp. | 1,374 | 33,512 | ||||||
Aspen Insurance Holdings, Ltd. | 7,690 | 218,165 | ||||||
*Asset Acceptance Capital Corp. | 2,117 | 12,236 | ||||||
Associated Banc-Corp. | 13,242 | 167,776 | ||||||
*Assurant, Inc. | 12,600 | 498,204 | ||||||
Assured Guaranty, Ltd. | 16,300 | 310,515 | ||||||
Asta Funding, Inc. | 400 | 3,292 | ||||||
Astoria Financial Corp. | 7,820 | 97,124 | ||||||
*Atlantic Coast Federal Corp. | 699 | 1,181 | ||||||
*Avatar Holdings, Inc. | 1,000 | 18,240 | ||||||
Axis Capital Holdings, Ltd. | 13,240 | 450,292 | ||||||
*B of I Holding, Inc. | 900 | 11,574 | ||||||
BancFirst Corp. | 1,400 | 57,540 | ||||||
*Bancorp, Inc. | 1,500 | 11,235 | ||||||
BancorpSouth, Inc. | 9,703 | 127,983 | ||||||
#*BancTrust Financial Group, Inc. | 2,903 | 8,477 | ||||||
Bank Mutual Corp. | 6,120 | 29,498 | ||||||
*Bank of America Corp. | 924,879 | 10,580,616 | ||||||
Bank of Hawaii Corp. | 4,800 | 207,312 | ||||||
*Bank of New York Mellon Corp. (The) | 124,338 | 3,115,910 | ||||||
Bank of the Ozarks, Inc. | 1,900 | 72,219 | ||||||
BankFinancial Corp. | 2,730 | 24,980 | ||||||
Banner Corp. | 400 | 664 | ||||||
*BB&T Corp. | 70,375 | 1,647,479 | ||||||
*Beneficial Mutual Bancorp, Inc. | 5,032 | 36,935 | ||||||
*Berkshire Hathaway, Inc. | 62,164 | 4,945,768 | ||||||
Berkshire Hills Bancorp, Inc. | 1,568 | 30,325 | ||||||
BGC Partners, Inc. Class A | 4,100 | 28,454 | ||||||
BlackRock, Inc. | 3,772 | 644,974 | ||||||
BOK Financial Corp. | 3,569 | 164,995 | ||||||
Boston Private Financial Holdings, Inc. | 7,520 | 42,939 | ||||||
Brookline Bancorp, Inc. | 6,300 | 61,362 | ||||||
Brooklyn Federal Bancorp, Inc. | 100 | 175 | ||||||
Brown & Brown, Inc. | 14,995 | 334,239 | ||||||
*Cadence Financial Corp. | 103 | 256 | ||||||
Camden National Corp. | 900 | 30,816 |
195
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
Capital City Bank Group, Inc. | 1,069 | $ | 12,775 | |||||
*Capital One Financial Corp. | 46,401 | 1,729,365 | ||||||
Capital Southwest Corp. | 344 | 33,241 | ||||||
CapitalSource, Inc. | 18,676 | 114,110 | ||||||
Capitol Federal Financial | 2,789 | 65,263 | ||||||
Cardinal Financial Corp. | 2,805 | 28,022 | ||||||
*Cardtronics, Inc. | 3,500 | 59,325 | ||||||
Cash America International, Inc. | 2,635 | 92,831 | ||||||
Cathay General Bancorp | 4,048 | 55,053 | ||||||
*CB Richard Ellis Group, Inc. | 28,965 | 531,508 | ||||||
Center Bancorp, Inc. | 1,915 | 14,535 | ||||||
*Center Financial Corp. | 2,700 | 14,094 | ||||||
CenterState Banks of Florida, Inc. | 1,000 | 7,400 | ||||||
*Central Jersey Bancorp | 1,260 | 9,412 | ||||||
*Charles Schwab Corp. (The) | 101,334 | 1,560,544 | ||||||
Chemical Financial Corp. | 3,399 | 68,932 | ||||||
Chubb Corp. | 33,207 | 1,926,670 | ||||||
Cincinnati Financial Corp. | 14,709 | 433,033 | ||||||
*CIT Group, Inc. | 8,242 | 357,126 | ||||||
*Citigroup, Inc. | 1,913,088 | 7,977,577 | ||||||
*Citizens Community Bancorp, Inc. | 600 | 2,565 | ||||||
#*Citizens, Inc. | 6,415 | 44,392 | ||||||
City Holding Co. | 1,500 | 47,550 | ||||||
City National Corp. | 5,000 | 257,850 | ||||||
Clifton Savings Bancorp, Inc. | 2,926 | 24,549 | ||||||
CME Group, Inc. | 6,800 | 1,969,620 | ||||||
*CNA Financial Corp. | 26,036 | 721,718 | ||||||
*CNA Surety Corp. | 2,602 | 50,089 | ||||||
*CNO Financial Group, Inc. | 15,100 | 82,144 | ||||||
CoBiz Financial, Inc. | 3,100 | 15,004 | ||||||
Cohen & Steers, Inc. | 3,434 | 86,090 | ||||||
Columbia Banking System, Inc. | 2,213 | 40,299 | ||||||
Comerica, Inc. | 16,300 | 583,214 | ||||||
#Commerce Bancshares, Inc. | 7,932 | 292,215 | ||||||
Community Bank System, Inc. | 3,381 | 79,014 | ||||||
Community Trust Bancorp, Inc. | 1,590 | 43,423 | ||||||
*CompuCredit Holdings Corp. | 3,479 | 19,587 | ||||||
Consolidated-Tokoma Land Co. | 681 | 17,890 | ||||||
*Credit Acceptance Corp. | 2,374 | 139,615 | ||||||
Cullen Frost Bankers, Inc. | 5,320 | 278,981 | ||||||
#CVB Financial Corp. | 9,813 | 74,677 | ||||||
Danvers Bancorp, Inc. | 2,435 | 36,598 | ||||||
Delphi Financial Group, Inc. Class A | 4,900 | 132,643 | ||||||
Diamond Hill Investment Group, Inc. | 293 | 22,438 | ||||||
Dime Community Bancshares, Inc. | 2,700 | 39,393 | ||||||
*Discover Financial Services | 52,600 | 928,390 | ||||||
*Dollar Financial Corp. | 2,000 | 50,040 | ||||||
Donegal Group, Inc. Class A | 2,168 | 30,027 | ||||||
Duff & Phelps Corp. | 2,200 | 30,668 | ||||||
East West Bancorp, Inc. | 14,046 | 247,631 | ||||||
Eastern Insurance Holdings, Inc. | 1,500 | 16,695 | ||||||
Eaton Vance Corp. | 12,070 | 347,254 | ||||||
*eHealth, Inc. | 2,800 | 37,828 | ||||||
EMC Insurance Group, Inc. | 1,000 | 21,140 | ||||||
Employers Holdings, Inc. | 3,900 | 63,141 | ||||||
#*Encore Bancshares, Inc. | 300 | 2,313 | ||||||
*Encore Capital Group, Inc. | 1,209 | 24,567 | ||||||
Endurance Specialty Holdings, Ltd. | 4,900 | 202,860 | ||||||
*Enstar Group, Ltd. | 1,100 | 88,209 | ||||||
Enterprise Financial Services Corp. | 1,766 | 17,430 | ||||||
Epoch Holding Corp. | 89 | 1,186 |
196
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
Erie Indemnity Co. | 5,200 | $ | 297,336 | |||||
ESSA Bancorp, Inc. | 2,588 | 32,738 | ||||||
Evercore Partners, Inc. Class A | 1,600 | 48,576 | ||||||
Everest Re Group, Ltd. | 5,800 | 488,824 | ||||||
*EzCorp, Inc. | 1,200 | 25,776 | ||||||
F.N.B. Corp. | 8,209 | 69,776 | ||||||
FBL Financial Group, Inc. Class A | 2,100 | 54,936 | ||||||
Federal Agricultural Mortgage Corp. | 1,781 | 20,962 | ||||||
*Federated Investors, Inc. | 9,762 | 243,171 | ||||||
Fidelity National Financial, Inc. | 22,699 | 303,940 | ||||||
#*Fidelity Southern Corp. | 1,045 | 7,181 | ||||||
Fifth Third Bancorp | 77,100 | 968,376 | ||||||
Financial Institutions, Inc. | 600 | 10,830 | ||||||
*First Acceptance Corp. | 3,783 | 7,036 | ||||||
First American Financial Corp. | 9,349 | 131,260 | ||||||
First Bancorp | 1,500 | 20,085 | ||||||
#First Busey Corp. | 2,279 | 10,575 | ||||||
*First Cash Financial Services, Inc. | 3,522 | 102,385 | ||||||
First Citizens BancShares, Inc. | 100 | 18,678 | ||||||
First Commonwealth Financial Corp. | 1,850 | 10,767 | ||||||
First Community Bancshares, Inc. | 1,100 | 14,806 | ||||||
First Defiance Financial Corp. | 1,538 | 17,133 | ||||||
First Financial Bancorp | 4,812 | 81,034 | ||||||
First Financial Bankshares, Inc. | 2,390 | 112,951 | ||||||
#First Financial Corp. | 1,300 | 37,999 | ||||||
First Financial Holdings, Inc. | 1,825 | 19,071 | ||||||
First Financial Northwest, Inc. | 3,660 | 13,981 | ||||||
#*First Horizon National Corp. | 23,406 | 236,167 | ||||||
*First Marblehead Corp. (The) | 700 | 1,561 | ||||||
First Merchants Corp. | 1,745 | 14,518 | ||||||
First Mercury Financial Corp. | 2,596 | 42,315 | ||||||
First Midwest Bancorp, Inc. | 5,100 | 54,621 | ||||||
First Niagara Financial Group, Inc. | 17,879 | 211,866 | ||||||
*First Place Financial Corp. | 1,829 | 6,054 | ||||||
First Security Group, Inc. | 728 | 1,201 | ||||||
First South Bancorp, Inc. | 1,685 | 16,917 | ||||||
FirstMerit Corp. | 9,666 | 166,062 | ||||||
Flagstone Reinsurance Holdings SA | 3,394 | 36,995 | ||||||
Flushing Financial Corp. | 1,928 | 25,353 | ||||||
#*Forest City Enterprises, Inc. Class A | 12,804 | 186,810 | ||||||
*Forest City Enterprises, Inc. Class B | 3,286 | 47,450 | ||||||
*FPIC Insurance Group, Inc. | 1,300 | 46,046 | ||||||
Franklin Resources, Inc. | 17,965 | 2,060,586 | ||||||
Fulton Financial Corp. | 18,759 | 175,209 | ||||||
*GAINSCO, Inc. | 93 | 1,079 | ||||||
Gallagher (Arthur J.) & Co. | 11,325 | 318,912 | ||||||
GAMCO Investors, Inc. | 367 | 15,722 | ||||||
*Genworth Financial, Inc. | 47,300 | 536,382 | ||||||
German American Bancorp, Inc. | 1,900 | 32,110 | ||||||
GFI Group, Inc. | 6,300 | 30,177 | ||||||
Glacier Bancorp, Inc. | 5,234 | 68,042 | ||||||
*Gleacher & Co., Inc. | 7,074 | 15,916 | ||||||
*Global Indemnity P.L.C. | 1,026 | 17,319 | ||||||
*Goldman Sachs Group, Inc. (The) | 50,300 | 8,095,785 | ||||||
Great Southern Bancorp, Inc. | 1,583 | 35,602 | ||||||
#*Greene Bancshares, Inc. | 700 | 2,702 | ||||||
#Greenhill & Co., Inc. | 2,800 | 217,476 | ||||||
*Greenlight Capital Re, Ltd. | 3,500 | 99,960 | ||||||
*Guaranty Bancorp | 207 | 339 | ||||||
*Hallmark Financial Services, Inc. | 2,534 | 22,654 | ||||||
Hampden Bancorp, Inc. | 504 | 5,136 |
197
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
#*Hampton Roads Bankshares, Inc. | 364 | $ | 306 | |||||
Hancock Holding Co. | 3,700 | 116,254 | ||||||
Hanover Insurance Group, Inc. | 5,130 | 232,132 | ||||||
Harleysville Group, Inc. | 1,936 | 66,463 | ||||||
*Harris & Harris Group, Inc. | 3,600 | 15,012 | ||||||
*Hartford Financial Services Group, Inc. | 42,424 | 1,017,328 | ||||||
HCC Insurance Holdings, Inc. | 12,425 | 329,014 | ||||||
Heartland Financial USA, Inc. | 2,089 | 32,275 | ||||||
*Heritage Commerce Corp. | 841 | 3,162 | ||||||
*Heritage Financial Corp. | 905 | 12,227 | ||||||
#Heritage Financial Group | 1,759 | 14,512 | ||||||
*HFF, Inc. | 1,500 | 14,745 | ||||||
*Hilltop Holdings, Inc. | 7,200 | 71,928 | ||||||
Home Bancshares, Inc. | 2,952 | 60,723 | ||||||
Home Federal Bancorp, Inc. | 2,521 | 30,353 | ||||||
HopFed Bancorp, Inc. | 204 | 1,840 | ||||||
Horace Mann Educators Corp. | 2,800 | 52,332 | ||||||
*Hudson City Bancorp, Inc. | 51,466 | 599,579 | ||||||
Huntington Bancshares, Inc. | 69,800 | 395,766 | ||||||
IBERIABANK Corp. | 1,925 | 100,196 | ||||||
Independence Holding Co. | 2,400 | 20,304 | ||||||
Independent Bank Corp. | 1,972 | 46,322 | ||||||
Infinity Property & Casualty Corp. | 800 | 41,400 | ||||||
*Interactive Brokers Group, Inc. | 4,380 | 81,994 | ||||||
*IntercontinentalExchange, Inc. | 6,837 | 785,366 | ||||||
#*International Assets Holding Corp. | 1,415 | 31,201 | ||||||
International Bancshares Corp. | 6,326 | 108,364 | ||||||
#*Intervest Bancshares Corp. | 254 | 584 | ||||||
*Invesco, Ltd. | 43,768 | 1,006,664 | ||||||
*Investment Technology Group, Inc. | 3,824 | 54,454 | ||||||
*Investors Bancorp, Inc. | 3,800 | 45,600 | ||||||
#*Janus Capital Group, Inc. | 17,800 | 187,968 | ||||||
#Jefferies Group, Inc. | 12,873 | 308,051 | ||||||
JMP Group, Inc. | 2,391 | 15,900 | ||||||
Jones Lang LaSalle, Inc. | 4,000 | 312,240 | ||||||
*JPMorgan Chase & Co. | 406,172 | 15,284,252 | ||||||
KBW, Inc. | 3,585 | 90,700 | ||||||
Kearny Financial Corp. | 7,564 | 66,034 | ||||||
*KeyCorp | 83,358 | 682,702 | ||||||
#K-Fed Bancorp | 1,091 | 8,215 | ||||||
*Knight Capital Group, Inc. | 9,475 | 123,459 | ||||||
Lakeland Bancorp, Inc. | 2,574 | 23,861 | ||||||
Lakeland Financial Corp. | 1,700 | 32,283 | ||||||
Legacy Bancorp, Inc. | 1,200 | 9,192 | ||||||
*Legg Mason, Inc. | 15,974 | 495,673 | ||||||
*Leucadia National Corp. | 22,000 | 559,240 | ||||||
*Lincoln National Corp. | 29,250 | 716,040 | ||||||
LNB Bancorp, Inc. | 634 | 3,056 | ||||||
*Loews Corp. | 34,955 | 1,380,023 | ||||||
*Louisiana Bancorp, Inc. | 200 | 2,894 | ||||||
#*M&T Bank Corp. | 10,386 | 776,354 | ||||||
#*Macatawa Bank Corp. | 443 | 833 | ||||||
MainSource Financial Group, Inc. | 1,600 | 13,232 | ||||||
*Markel Corp. | 1,093 | 366,177 | ||||||
*Market Leader, Inc. | 900 | 1,755 | ||||||
MarketAxess Holdings, Inc. | 3,416 | 62,069 | ||||||
*Marlin Business Services Corp. | 2,500 | 30,425 | ||||||
*Marsh & McLennan Cos., Inc. | 53,387 | 1,333,607 | ||||||
*Marshall & Ilsley Corp. | 47,032 | 277,959 | ||||||
MB Financial, Inc. | 3,900 | 58,071 | ||||||
#*MBIA, Inc. | 25,900 | 290,339 |
198
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
MCG Capital Corp. | 4,800 | $ | 30,384 | |||||
Meadowbrook Insurance Group, Inc. | 7,513 | 64,837 | ||||||
Medallion Financial Corp. | 3,100 | 24,893 | ||||||
Mercer Insurance Group, Inc. | 916 | 16,809 | ||||||
Merchants Bancshares, Inc. | 894 | 23,074 | ||||||
Mercury General Corp. | 3,136 | 133,217 | ||||||
*Meridian Interstate Bancorp, Inc. | 2,501 | 26,536 | ||||||
*MetLife, Inc. | 88,046 | 3,550,895 | ||||||
*Metro Bancorp, Inc. | 200 | 2,022 | ||||||
*MF Global Holdings, Ltd. | 12,100 | 94,743 | ||||||
#*MGIC Investment Corp. | 15,500 | 136,710 | ||||||
MidSouth Bancorp, Inc. | 900 | 12,366 | ||||||
Montpelier Re Holdings, Ltd. | 8,700 | 159,384 | ||||||
*Moody’s Corp. | 20,870 | 564,742 | ||||||
*Morgan Stanley | 133,543 | 3,321,214 | ||||||
*MSCI, Inc. | 11,576 | 415,000 | ||||||
*Nara Bancorp, Inc. | 106 | 831 | ||||||
*NASDAQ OMX Group, Inc. (The) | 14,630 | 307,523 | ||||||
#*National Financial Partners Corp. | 3,900 | 53,820 | ||||||
National Interstate Corp. | 991 | 21,277 | ||||||
National Penn Bancshares, Inc. | 10,344 | 67,133 | ||||||
*Navigators Group, Inc. (The) | 1,900 | 87,343 | ||||||
NBT Bancorp, Inc. | 3,984 | 87,847 | ||||||
Nelnet, Inc. Class A | 2,640 | 59,321 | ||||||
New England Bancshares, Inc. | 1,000 | 7,240 | ||||||
New Westfield Financial, Inc. | 4,099 | 34,637 | ||||||
New York Community Bancorp, Inc. | 37,375 | 632,759 | ||||||
NewAlliance Bancshares, Inc. | 10,400 | 134,056 | ||||||
#*NewStar Financial, Inc. | 3,503 | 26,658 | ||||||
Northeast Community Bancorp, Inc. | 1,726 | 10,321 | ||||||
Northern Trust Corp. | 22,800 | 1,131,564 | ||||||
Northfield Bancorp, Inc. | 3,609 | 40,962 | ||||||
Northrim Bancorp, Inc. | 600 | 10,230 | ||||||
Northwest Bancshares, Inc. | 10,509 | 119,172 | ||||||
NYMAGIC, Inc. | 100 | 2,567 | ||||||
NYSE Euronext, Inc. | 24,523 | 751,385 | ||||||
OceanFirst Financial Corp. | 300 | 3,582 | ||||||
*Ocwen Financial Corp. | 8,900 | 76,807 | ||||||
Old National Bancorp | 6,203 | 58,680 | ||||||
#*Old Republic International Corp. | 29,960 | 395,472 | ||||||
OneBeacon Insurance Group, Ltd. | 3,200 | 45,056 | ||||||
*optionsXpress Holdings, Inc. | 4,545 | 72,584 | ||||||
Oriental Financial Group, Inc. | 3,500 | 46,305 | ||||||
Oritani Financial Corp. | 6,231 | 66,111 | ||||||
Pacific Continental Corp. | 1,300 | 10,803 | ||||||
#*Pacific Mercantile Bancorp | 1,425 | 4,503 | ||||||
PacWest Bancorp | 2,792 | 48,665 | ||||||
Park National Corp. | 1,200 | 78,420 | ||||||
PartnerRe, Ltd. | 6,800 | 539,376 | ||||||
*Patriot National Bancorp | 200 | 720 | ||||||
Peapack-Gladstone Financial Corp. | 1,228 | 14,896 | ||||||
*Penson Worldwide, Inc. | 2,800 | 14,420 | ||||||
Peoples Bancorp, Inc. | 1,197 | 15,776 | ||||||
*People’s United Financial, Inc. | 40,200 | 494,862 | ||||||
#*PHH Corp. | 7,358 | 141,789 | ||||||
*PICO Holdings, Inc. | 1,800 | 55,332 | ||||||
*Pinnacle Financial Partners, Inc. | 2,100 | 23,961 | ||||||
*Piper Jaffray Cos., Inc. | 1,704 | 52,773 | ||||||
Platinum Underwriters Holdings, Ltd. | 4,187 | 180,250 | ||||||
*PNC Financial Services Group, Inc. | 55,734 | 3,004,063 | ||||||
*Popular, Inc. | 73,712 | 201,234 |
199
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
#*Portfolio Recovery Associates, Inc. | 2,000 | $ | 134,100 | |||||
*Preferred Bank | 1,269 | 2,183 | ||||||
Presidential Life Corp. | 2,200 | 21,054 | ||||||
*Primus Guaranty, Ltd. | 1,290 | 6,411 | ||||||
*Principal Financial Group, Inc. | 31,700 | 850,828 | ||||||
PrivateBancorp, Inc. | 3,982 | 46,948 | ||||||
*ProAssurance Corp. | 3,400 | 195,466 | ||||||
*Progressive Corp. | 66,336 | 1,403,670 | ||||||
Prosperity Bancshares, Inc. | 4,800 | 149,232 | ||||||
Protective Life Corp. | 7,400 | 177,378 | ||||||
Provident Financial Services, Inc. | 5,262 | 66,512 | ||||||
Provident New York Bancorp | 3,935 | 34,903 | ||||||
*Prudential Financial, Inc. | 47,290 | 2,486,508 | ||||||
QC Holdings, Inc. | 1,352 | 5,097 | ||||||
Radian Group, Inc. | 8,700 | 66,033 | ||||||
Raymond James Financial, Inc. | 10,375 | 292,782 | ||||||
Regions Financial Corp. | 117,704 | 741,535 | ||||||
Reinsurance Group of America, Inc. | 7,190 | 360,003 | ||||||
RenaissanceRe Holdings, Ltd. | 5,500 | 331,430 | ||||||
Renasant Corp. | 2,122 | 34,695 | ||||||
Republic Bancorp, Inc. Class A | 805 | 16,454 | ||||||
*Republic First Bancorp, Inc. | 500 | 1,085 | ||||||
Resource America, Inc. | 2,228 | 13,747 | ||||||
*Riverview Bancorp, Inc. | 1,205 | 2,627 | ||||||
RLI Corp. | 1,944 | 111,624 | ||||||
Rockville Financial, Inc. | 2,463 | 27,857 | ||||||
*Rodman & Renshaw Capital Group, Inc. | 2,800 | 8,036 | ||||||
Roma Financial Corp. | 2,603 | 25,796 | ||||||
Rome Bancorp, Inc. | 497 | 5,417 | ||||||
S&T Bancorp, Inc. | 2,951 | 57,840 | ||||||
S.Y. Bancorp, Inc. | 2,030 | 49,735 | ||||||
Safety Insurance Group, Inc. | 2,200 | 102,212 | ||||||
Sanders Morris Harris Group, Inc. | 3,300 | 19,140 | ||||||
Sandy Spring Bancorp, Inc. | 1,969 | 34,261 | ||||||
SCBT Financial Corp. | 933 | 28,484 | ||||||
SeaBright Holdings, Inc. | 2,360 | 19,753 | ||||||
SEI Investments Co. | 12,078 | 267,528 | ||||||
Selective Insurance Group, Inc. | 5,100 | 86,292 | ||||||
SI Financial Group, Inc. | 1,500 | 9,555 | ||||||
*Signature Bank | 4,006 | 169,213 | ||||||
Simmons First National Corp. | 1,469 | 39,942 | ||||||
*SLM Corp. | 44,968 | 535,119 | ||||||
*Smithtown Bancorp, Inc. | 1,563 | 5,830 | ||||||
Somerset Hills Bancorp | 992 | 8,432 | ||||||
*Southern Community Financial Corp. | 900 | 1,467 | ||||||
Southside Bancshares, Inc. | 1,883 | 35,419 | ||||||
Southwest Bancorp, Inc. | 1,600 | 15,840 | ||||||
#*St. Joe Co. (The) | 9,102 | 183,769 | ||||||
StanCorp Financial Group, Inc. | 4,400 | 188,760 | ||||||
State Auto Financial Corp. | 3,166 | 49,580 | ||||||
State Bancorp, Inc. | 2,047 | 18,791 | ||||||
State Street Corp. | 51,040 | 2,131,430 | ||||||
StellarOne Corp. | 2,851 | 36,436 | ||||||
Sterling Bancorp | 2,599 | 24,405 | ||||||
Sterling Bancshares, Inc. | 8,000 | 43,120 | ||||||
#Stewart Information Services Corp. | 500 | 5,410 | ||||||
#*Stifel Financial Corp. | 3,441 | 163,069 | ||||||
Suffolk Bancorp | 900 | 23,310 | ||||||
*Sun Bancorp, Inc. | 2,137 | 8,441 | ||||||
*SunTrust Banks, Inc. | 51,557 | 1,289,956 | ||||||
Susquehanna Bancshares, Inc. | 7,567 | 59,779 |
200
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
*SVB Financial Group | 3,891 | $ | 168,636 | |||||
SWS Group, Inc. | 1,770 | 12,160 | ||||||
Synovus Financial Corp. | 65,676 | 141,860 | ||||||
T. Rowe Price Group, Inc. | 26,425 | 1,460,510 | ||||||
#*Taylor Capital Group, Inc. | 730 | 8,804 | ||||||
TCF Financial Corp. | 12,086 | 159,052 | ||||||
*TD Ameritrade Holding Corp. | 23,498 | 401,581 | ||||||
*Tejon Ranch Co. | 1,465 | 32,611 | ||||||
*Tennessee Commerce Bancorp, Inc. | 700 | 2,919 | ||||||
#*Texas Capital Bancshares, Inc. | 4,203 | 76,284 | ||||||
TFS Financial Corp. | 11,420 | 99,925 | ||||||
*Thomas Properties Group, Inc. | 4,298 | 16,075 | ||||||
Tompkins Financial Corp. | 934 | 36,052 | ||||||
Torchmark Corp. | 8,400 | 481,152 | ||||||
#Tower Group, Inc. | 4,921 | 119,482 | ||||||
#TowneBank | 1,400 | 20,300 | ||||||
*TradeStation Group, Inc. | 5,240 | 28,768 | ||||||
Transatlantic Holdings, Inc. | 6,479 | 340,795 | ||||||
Travelers Cos., Inc. (The) | 50,240 | 2,773,248 | ||||||
*Tree.com, Inc. | 721 | 5,335 | ||||||
TriCo Bancshares | 1,628 | 25,381 | ||||||
#Trustco Bank Corp. | 7,300 | 39,347 | ||||||
Trustmark Corp. | 7,848 | 173,362 | ||||||
U.S. Bancorp | 203,215 | 4,913,739 | ||||||
UMB Financial Corp. | 2,600 | 96,356 | ||||||
Umpqua Holdings Corp. | 8,173 | 89,903 | ||||||
Union First Market Bankshares Corp. | 2,179 | 28,022 | ||||||
#United Bankshares, Inc. | 3,563 | 95,203 | ||||||
*United Community Banks, Inc. | 4,124 | 8,083 | ||||||
*United Community Financial Corp. | 563 | 799 | ||||||
United Financial Bancorp, Inc. | 2,642 | 35,773 | ||||||
United Fire & Casualty Co. | 2,765 | 55,383 | ||||||
*United Security Bancshares | 1,972 | 9,663 | ||||||
Unitrin, Inc. | 5,200 | 126,360 | ||||||
Universal Insurance Holdings, Inc. | 3,536 | 16,089 | ||||||
Univest Corp. of Pennsylvania | 1,893 | 35,702 | ||||||
*Unum Group | 35,400 | 793,668 | ||||||
Validus Holdings, Ltd. | 7,655 | 217,096 | ||||||
Valley National Bancorp | 15,906 | 212,186 | ||||||
ViewPoint Financial Group | 3,532 | 33,907 | ||||||
*Virginia Commerce Bancorp, Inc. | 2,610 | 13,859 | ||||||
*Virtus Investment Partners, Inc. | 205 | 7,534 | ||||||
Waddell & Reed Financial, Inc. | 9,300 | 270,351 | ||||||
Washington Banking Co. | 1,539 | 19,376 | ||||||
Washington Federal, Inc. | 9,178 | 137,945 | ||||||
Washington Trust Bancorp, Inc. | 1,700 | 34,153 | ||||||
*Waterstone Financial, Inc. | 2,561 | 9,578 | ||||||
Webster Financial Corp. | 5,208 | 89,161 | ||||||
*Wells Fargo & Co. | 508,428 | 13,259,802 | ||||||
WesBanco, Inc. | 2,465 | 40,944 | ||||||
Wesco Financial Corp. | 797 | 289,630 | ||||||
*West Bancorporation, Inc. | 2,033 | 13,357 | ||||||
*West Coast Bancorp | 8,700 | 22,881 | ||||||
Westamerica Bancorporation | 3,200 | 160,064 | ||||||
*Western Alliance Bancorp | 966 | 5,835 | ||||||
Westwood Holdings Group, Inc. | 900 | 32,427 | ||||||
White Mountains Insurance Group, Ltd. | 700 | 223,440 | ||||||
Whitney Holding Corp. | 4,600 | 38,088 | ||||||
#Wilmington Trust Corp. | 6,599 | 46,919 | ||||||
Wilshire Bancorp, Inc. | 2,428 | 16,292 | ||||||
#Wintrust Financial Corp. | 2,250 | 67,365 |
201
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Financials — (Continued) | ||||||||
#*World Acceptance Corp. | 1,700 | $ | 73,355 | |||||
WR Berkley Corp. | 13,631 | 375,125 | ||||||
*Yadkin Valley Financial Corp. | 671 | 1,563 | ||||||
*Zions Bancorporation | 16,264 | 336,014 | ||||||
*ZipRealty, Inc. | 3,257 | 10,553 | ||||||
Total Financials | 165,048,434 | |||||||
Health Care — (11.0%) | ||||||||
*A.D.A.M., Inc. | 575 | 4,169 | ||||||
*Abaxis, Inc. | 2,463 | 59,137 | ||||||
*Abbott Laboratories | 153,600 | 7,882,752 | ||||||
#*ABIOMED, Inc. | 4,543 | 46,838 | ||||||
*Accelrys, Inc. | 6,626 | 48,039 | ||||||
*Accuray, Inc. | 4,698 | 30,913 | ||||||
*Acorda Therapeutics, Inc. | 1,015 | 27,446 | ||||||
*Adolor Corp. | 778 | 965 | ||||||
*Aetna, Inc. | 42,798 | 1,277,948 | ||||||
#*Affymax, Inc. | 2,611 | 13,238 | ||||||
*Affymetrix, Inc. | 8,729 | 39,106 | ||||||
*Air Methods Corp. | 1,457 | 59,591 | ||||||
*Albany Molecular Research, Inc. | 3,400 | 21,760 | ||||||
#*Alere, Inc. | 8,565 | 253,096 | ||||||
*Alexion Pharmaceuticals, Inc. | 8,800 | 601,040 | ||||||
#*Align Technology, Inc. | 6,100 | 103,883 | ||||||
#*Alkermes, Inc. | 7,971 | 92,224 | ||||||
*Allergan, Inc. | 30,470 | 2,206,333 | ||||||
#*Alliance HealthCare Services, Inc. | 5,000 | 19,700 | ||||||
*Allscripts Healthcare Solutions, Inc. | 14,160 | 270,314 | ||||||
*Almost Family, Inc. | 812 | 28,038 | ||||||
#*Alnylam Pharmaceuticals, Inc. | 3,400 | 44,676 | ||||||
*Alphatec Holdings, Inc. | 7,600 | 16,568 | ||||||
*AMAG Pharmaceuticals, Inc. | 2,000 | 31,820 | ||||||
#*Amedisys, Inc. | 2,934 | 74,700 | ||||||
America Services Group, Inc. | 1,200 | 18,360 | ||||||
*American Caresource Holding, Inc. | 200 | 306 | ||||||
*American Dental Partners, Inc. | 1,985 | 23,145 | ||||||
#*American Medical Systems Holdings, Inc. | 7,100 | 143,420 | ||||||
*AMERIGROUP Corp. | 6,000 | 250,380 | ||||||
*AmerisourceBergen Corp. | 28,020 | 919,616 | ||||||
*Amgen, Inc. | 98,171 | 5,614,400 | ||||||
*Amicus Therapeutics, Inc. | 1,205 | 4,977 | ||||||
*AMN Healthcare Services, Inc. | 6,328 | 33,538 | ||||||
*Amsurg Corp. | 3,550 | 64,184 | ||||||
*Amylin Pharmaceuticals, Inc. | 12,980 | 169,129 | ||||||
*Anadys Pharmaceuticals, Inc. | 4,700 | 6,815 | ||||||
Analogic Corp. | 1,441 | 65,753 | ||||||
*AngioDynamics, Inc. | 3,150 | 44,793 | ||||||
*Anika Therapeutics, Inc. | 1,888 | 12,234 | ||||||
*Ardea Biosciences, Inc. | 2,042 | 43,535 | ||||||
#*Ariad Pharmaceuticals, Inc. | 13,000 | 47,840 | ||||||
*Arqule, Inc. | 4,156 | 22,941 | ||||||
*Array BioPharma, Inc. | 5,200 | 16,848 | ||||||
*Assisted Living Concepts, Inc. | 915 | 29,509 | ||||||
#*athenahealth, Inc. | 2,700 | 107,919 | ||||||
*AtriCure, Inc. | 1,383 | 10,912 | ||||||
#*AVANIR Pharmaceuticals, Inc. | 1,000 | 2,430 | ||||||
*Bard (C.R.), Inc. | 9,700 | 806,264 | ||||||
Baxter International, Inc. | 59,065 | 3,006,409 | ||||||
#Beckman Coulter, Inc. | 6,800 | 362,032 | ||||||
*Becton Dickinson & Co. | 23,600 | 1,782,272 | ||||||
*BioClinica, Inc. | 2,162 | 8,713 |
202
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Health Care — (Continued) | ||||||||
#*Biodel, Inc. | 1,734 | $ | 6,260 | |||||
*Biogen Idec, Inc. | 26,200 | 1,643,002 | ||||||
#*BioMarin Pharmaceutical, Inc. | 10,300 | 269,448 | ||||||
*BioMimetic Therapeutics, Inc. | 658 | 7,462 | ||||||
*Bio-Rad Laboratories, Inc. Class A | 2,213 | 200,542 | ||||||
*Bio-Reference Labs, Inc. | 2,800 | 60,368 | ||||||
*BioScrip, Inc. | 2,900 | 16,327 | ||||||
*BMP Sunstone Corp. | 3,063 | 30,140 | ||||||
*Boston Scientific Corp. | 76,211 | 486,226 | ||||||
*Bovie Medical Corp. | 2,540 | 4,648 | ||||||
Bristol-Myers Squibb Co. | 165,250 | 4,445,225 | ||||||
#*Brookdale Senior Living, Inc. | 10,600 | 199,068 | ||||||
*Bruker BioSciences Corp. | 14,810 | 222,002 | ||||||
#*BSD Medical Corp. | 410 | 1,948 | ||||||
*Caliper Life Sciences, Inc. | 1,000 | 4,500 | ||||||
*Cambrex Corp. | 3,827 | 17,336 | ||||||
Cantel Medical Corp. | 1,444 | 26,743 | ||||||
*Capital Senior Living Corp. | 3,849 | 22,940 | ||||||
*Caraco Pharmaceutical Laboratories, Ltd. | 2,649 | 13,669 | ||||||
Cardinal Health, Inc. | 34,692 | 1,203,465 | ||||||
*CareFusion Corp. | 19,917 | 480,796 | ||||||
#*CAS Medical Systems, Inc. | 1,900 | 6,042 | ||||||
*Catalyst Health Solutions, Inc. | 3,800 | 143,830 | ||||||
*Celera Corp. | 7,176 | 40,903 | ||||||
*Celgene Corp. | 45,970 | 2,853,358 | ||||||
*Centene Corp. | 4,800 | 107,136 | ||||||
*Cephalon, Inc. | 7,295 | 484,680 | ||||||
#*Cepheid, Inc. | 4,622 | 97,247 | ||||||
#*Cerner Corp. | 7,000 | 614,810 | ||||||
#*Charles River Laboratories International, Inc. | 6,400 | 209,728 | ||||||
Chemed Corp. | 2,300 | 135,562 | ||||||
*Cigna Corp. | 27,500 | 967,725 | ||||||
*Clinical Data, Inc. | 2,188 | 41,550 | ||||||
*CombiMatrix Corp. | 1,107 | 2,391 | ||||||
*Community Health Systems, Inc. | 8,800 | 264,704 | ||||||
Computer Programs & Systems, Inc. | 1,556 | 71,063 | ||||||
#*Conceptus, Inc. | 3,600 | 51,156 | ||||||
*CONMED Corp. | 2,735 | 60,197 | ||||||
*Continucare Corp. | 6,300 | 28,350 | ||||||
Cooper Cos., Inc. | 4,865 | 240,039 | ||||||
*Corvel Corp. | 900 | 40,320 | ||||||
*Covance, Inc. | 6,600 | 310,134 | ||||||
*Coventry Health Care, Inc. | 13,400 | 313,828 | ||||||
*Cross Country Healthcare, Inc. | 1,700 | 12,410 | ||||||
*CryoLife, Inc. | 3,061 | 19,743 | ||||||
*Cubist Pharmaceuticals, Inc. | 7,273 | 169,315 | ||||||
*Cutera, Inc. | 1,850 | 13,376 | ||||||
#*Cyberonics, Inc. | 2,300 | 63,273 | ||||||
*Cynosure, Inc. Class A | 1,600 | 16,288 | ||||||
*Cypress Bioscience, Inc. | 3,390 | 13,526 | ||||||
*Cytokinetics, Inc. | 3,764 | 9,937 | ||||||
*DaVita, Inc. | 9,970 | 715,348 | ||||||
*Dendreon Corp. | 12,751 | 465,412 | ||||||
DENTSPLY International, Inc. | 14,300 | 448,877 | ||||||
*DepoMed, Inc. | 3,900 | 19,071 | ||||||
*DexCom, Inc. | 5,400 | 74,250 | ||||||
*Dionex Corp. | 1,950 | 173,998 | ||||||
*Dyax Corp. | 7,244 | 17,458 | ||||||
#*Dynacq Healthcare, Inc. | 300 | 657 | ||||||
*Edwards Lifesciences Corp. | 12,306 | 786,476 | ||||||
*Eli Lilly & Co. | 104,375 | 3,674,000 |
203
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Health Care — (Continued) | ||||||||
#*Emergency Medical Services Corp. Class A | 2,600 | $ | 141,388 | |||||
*Emergent BioSolutions, Inc. | 1,466 | 26,496 | ||||||
Emergent Group, Inc. | 1,300 | 6,929 | ||||||
*Emeritus Corp. | 3,635 | 67,793 | ||||||
*Endo Pharmaceuticals Holdings, Inc. | 13,481 | 495,292 | ||||||
•*Endo Pharmaceuticals Solutions | 8,600 | 9,460 | ||||||
*Endologix, Inc. | 99 | 547 | ||||||
Ensign Group, Inc. | 931 | 17,475 | ||||||
#*Enzon Pharmaceuticals, Inc. | 4,617 | 51,941 | ||||||
*eResearch Technology, Inc. | 4,700 | 35,814 | ||||||
#*Exactech, Inc. | 1,400 | 22,764 | ||||||
*Express Scripts, Inc. | 52,308 | 2,537,984 | ||||||
*Forest Laboratories, Inc. | 29,798 | 984,824 | ||||||
*Furiex Pharmaceuticals, Inc. | 833 | 9,588 | ||||||
#*Genomic Health, Inc. | 2,821 | 39,945 | ||||||
*Genoptix, Inc. | 1,900 | 32,338 | ||||||
#*Gen-Probe, Inc. | 4,794 | 232,173 | ||||||
*Gentiva Health Services, Inc. | 3,177 | 73,961 | ||||||
*Genzyme Corp. | 26,368 | 1,901,924 | ||||||
#*Geron Corp. | 9,712 | 54,193 | ||||||
*Gilead Sciences, Inc. | 84,300 | 3,344,181 | ||||||
*Greatbatch, Inc. | 2,910 | 63,292 | ||||||
*Haemonetics Corp. | 2,902 | 158,594 | ||||||
#*Halozyme Therapeutics, Inc. | 7,600 | 55,708 | ||||||
*Hanger Orthopedic Group, Inc. | 2,600 | 48,672 | ||||||
#*Hansen Medical, Inc. | 700 | 1,197 | ||||||
*Harvard Bioscience, Inc. | 4,139 | 16,308 | ||||||
*Health Management Associates, Inc. | 23,724 | 190,029 | ||||||
*Health Net, Inc. | 7,298 | 196,243 | ||||||
#*HealthSouth Corp. | 9,922 | 179,489 | ||||||
*HealthSpring, Inc. | 4,900 | 143,031 | ||||||
*HealthStream, Inc. | 2,809 | 17,978 | ||||||
*Healthways, Inc. | 3,100 | 32,488 | ||||||
*HeartWare International, Inc. | 400 | 27,336 | ||||||
#*Henry Schein, Inc. | 9,500 | 533,425 | ||||||
Hill-Rom Holdings, Inc. | 7,105 | 275,319 | ||||||
#*Hi-Tech Pharmacal Co., Inc. | 1,129 | 24,420 | ||||||
*HMS Holdings Corp. | 2,900 | 174,319 | ||||||
*Hologic, Inc. | 28,078 | 449,810 | ||||||
*Hospira, Inc. | 16,914 | 1,006,045 | ||||||
*Human Genome Sciences, Inc. | 18,100 | 486,528 | ||||||
*Humana, Inc. | 15,900 | 926,811 | ||||||
*ICU Medical, Inc. | 1,350 | 49,275 | ||||||
*Idenix Pharmaceuticals, Inc. | 6,400 | 27,712 | ||||||
*Idera Pharmaceuticals, Inc. | 3,093 | 8,351 | ||||||
#*IDEXX Laboratories, Inc. | 5,800 | 347,768 | ||||||
#*Illumina, Inc. | 11,746 | 637,925 | ||||||
*Immucor, Inc. | 6,656 | 115,814 | ||||||
*Impax Laboratories, Inc. | 2,740 | 51,622 | ||||||
#*Incyte Corp. | 12,764 | 212,648 | ||||||
*Infinity Pharmaceuticals, Inc. | 3,056 | 17,358 | ||||||
*Insulet Corp. | 3,003 | 47,898 | ||||||
*Integra LifeSciences Holdings Corp. | 2,600 | 111,852 | ||||||
*IntegraMed America, Inc. | 1,494 | 12,699 | ||||||
#*InterMune, Inc. | 2,899 | 38,093 | ||||||
#*Intuitive Surgical, Inc. | 3,738 | 982,907 | ||||||
Invacare Corp. | 3,000 | 81,000 | ||||||
*IPC The Hospitalist Co. | 1,900 | 60,857 | ||||||
*IRIS International, Inc. | 2,045 | 18,937 | ||||||
*ISTA Pharmaceuticals, Inc. | 2,153 | 9,301 | ||||||
*Jazz Pharmaceuticals, Inc. | 3,100 | 32,953 |
204
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Health Care — (Continued) | ||||||||
*Johnson & Johnson | 274,184 | $ | 17,457,295 | |||||
*Kendle International, Inc. | 1,300 | 11,843 | ||||||
*Kensey Nash Corp. | 800 | 21,568 | ||||||
*Kindred Healthcare, Inc. | 4,200 | 57,624 | ||||||
*Kinetic Concepts, Inc. | 6,100 | 231,983 | ||||||
*King Pharmaceuticals, Inc. | 25,640 | 362,550 | ||||||
*K-V Pharmaceutical Co. | 300 | 699 | ||||||
#*Laboratory Corp. of America Holdings | 10,900 | 886,388 | ||||||
Landauer, Inc. | 1,220 | 74,530 | ||||||
*Lannet Co., Inc. | 1,787 | 9,149 | ||||||
*LCA-Vision, Inc. | 3,050 | 21,228 | ||||||
*LeMaitre Vascular, Inc. | 1,000 | 6,500 | ||||||
#*LHC Group, Inc. | 2,363 | 63,565 | ||||||
*Life Technologies Corp. | 18,073 | 906,903 | ||||||
*LifePoint Hospitals, Inc. | 6,445 | 218,614 | ||||||
Lincare Holdings, Inc. | 9,108 | 238,812 | ||||||
*Luminex Corp. | 4,141 | 74,579 | ||||||
*Magellan Health Services, Inc. | 3,665 | 175,920 | ||||||
#*Martek Biosciences Corp. | 3,448 | 75,684 | ||||||
#Masimo Corp. | 5,690 | 171,667 | ||||||
*Matrixx Initiatives, Inc. | 1,300 | 6,968 | ||||||
#*Maxygen, Inc. | 3,953 | 25,339 | ||||||
*McKesson Corp. | 26,610 | 1,755,728 | ||||||
*MedAssets, Inc. | 6,600 | 122,364 | ||||||
*MedCath Corp. | 1,848 | 18,314 | ||||||
*Medco Health Solutions, Inc. | 44,145 | 2,318,937 | ||||||
*Medical Action Industries, Inc. | 2,396 | 23,768 | ||||||
*Medicines Co. (The) | 1,500 | 19,155 | ||||||
*MediciNova, Inc. | 740 | 3,855 | ||||||
Medicis Pharmaceutical Corp. Class A | 4,326 | 128,698 | ||||||
*Medivation, Inc. | 2,940 | 33,957 | ||||||
*Mednax, Inc. | 4,400 | 260,524 | ||||||
*MedQuist, Inc. | 1,800 | 15,264 | ||||||
*MEDTOX Scientific, Inc. | 977 | 11,460 | ||||||
*Medtronic, Inc. | 110,504 | 3,890,846 | ||||||
Merck & Co., Inc. | 318,253 | 11,546,219 | ||||||
*Merge Healthcare, Inc. | 5,633 | 18,814 | ||||||
Meridian Bioscience, Inc. | 4,275 | 97,855 | ||||||
*Merit Medical Systems, Inc. | 3,211 | 50,766 | ||||||
#*Metabolix, Inc. | 2,509 | 35,026 | ||||||
#*Metropolitan Health Networks, Inc. | 1,125 | 4,770 | ||||||
#*Mettler Toledo International, Inc. | 3,245 | 423,667 | ||||||
*Molina Healthcare, Inc. | 3,094 | 80,196 | ||||||
#*Momenta Pharmaceuticals, Inc. | 2,361 | 39,452 | ||||||
*MWI Veterinary Supply, Inc. | 1,200 | 68,640 | ||||||
#*Mylan, Inc. | 29,350 | 596,392 | ||||||
*Myrexis, Inc. | 3,247 | 11,916 | ||||||
*Myriad Genetics, Inc. | 8,600 | 171,398 | ||||||
*Nabi Biopharmaceuticals | 6,490 | 31,866 | ||||||
*Nanosphere, Inc. | 2,000 | 9,080 | ||||||
National Healthcare Corp. | 1,100 | 40,051 | ||||||
National Research Corp. | 200 | 5,626 | ||||||
*Natus Medical, Inc. | 3,695 | 48,404 | ||||||
#*Nektar Therapeutics | 7,140 | 104,030 | ||||||
*Neogen Corp. | 2,879 | 96,216 | ||||||
*Neuralstem, Inc. | 5,200 | 11,596 | ||||||
#*Neurocrine Biosciences, Inc. | 2,000 | 16,280 | ||||||
*Nighthawk Radiology Holdings, Inc. | 728 | 4,666 | ||||||
*NovaMed, Inc. | 1,287 | 15,122 | ||||||
*NPS Pharmaceuticals, Inc. | 5,995 | 37,349 | ||||||
#*NuVasive, Inc. | 3,900 | 102,180 |
205
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Health Care — (Continued) | ||||||||
*NxStage Medical, Inc. | 5,192 | $ | 104,671 | |||||
*Obagi Medical Products, Inc. | 2,252 | 25,695 | ||||||
Omnicare, Inc. | 11,440 | 275,933 | ||||||
*Omnicell, Inc. | 2,600 | 36,322 | ||||||
*Onyx Pharmaceuticals, Inc. | 5,800 | 155,614 | ||||||
*OraSure Technologies, Inc. | 6,438 | 26,203 | ||||||
*Orthovita, Inc. | 3,672 | 8,005 | ||||||
*Osteotech, Inc. | 1,415 | 9,183 | ||||||
Owens & Minor, Inc. | 6,000 | 170,880 | ||||||
*Pain Therapeutics, Inc. | 5,300 | 40,704 | ||||||
*Palomar Medical Technologies, Inc. | 1,396 | 14,770 | ||||||
*Par Pharmaceutical Cos., Inc. | 4,600 | 149,546 | ||||||
*Parexel International Corp. | 5,425 | 116,638 | ||||||
*Patterson Cos., Inc. | 9,800 | 270,970 | ||||||
*PDI, Inc. | 1,874 | 16,435 | ||||||
PDL BioPharma, Inc. | 14,616 | 76,442 | ||||||
*PerkinElmer, Inc. | 12,800 | 300,160 | ||||||
Perrigo Co. | 9,276 | 611,103 | ||||||
*Pfizer, Inc. | 823,503 | 14,328,952 | ||||||
Pharmaceutical Products Development Service, Inc. | 10,900 | 281,329 | ||||||
*Pharmasset, Inc. | 3,200 | 120,000 | ||||||
*PharMerica Corp. | 2,600 | 26,104 | ||||||
*Progenics Pharmaceuticals, Inc. | 2,600 | 12,220 | ||||||
*ProPhase Labs, Inc. | 1,000 | 1,200 | ||||||
*Prospect Medical Holdings, Inc. | 1,283 | 10,829 | ||||||
*Providence Service Corp. | 1,570 | 25,795 | ||||||
#*PSS World Medical, Inc. | 6,516 | 153,973 | ||||||
#*Psychiatric Solutions, Inc. | 5,300 | 178,610 | ||||||
#Quality Systems, Inc. | 2,000 | 128,520 | ||||||
Quest Diagnostics, Inc. | 15,234 | 748,599 | ||||||
*Questcor Pharmaceuticals, Inc. | 1,103 | 13,534 | ||||||
#*Quidel Corp. | 2,300 | 26,588 | ||||||
*Regeneration Technologies, Inc. | 5,098 | 12,592 | ||||||
*Regeneron Pharmaceuticals, Inc. | 6,300 | 164,304 | ||||||
*RehabCare Group, Inc. | 2,500 | 55,575 | ||||||
*Repligen Corp. | 3,600 | 13,968 | ||||||
*Res-Care, Inc. | 3,700 | 48,951 | ||||||
#*ResMed, Inc. | 15,500 | 493,985 | ||||||
#*Rigel Pharmaceuticals, Inc. | 4,341 | 36,074 | ||||||
*Rochester Medical Corp. | 1,592 | 17,353 | ||||||
*Rockwell Medical Technologies, Inc. | 813 | 6,927 | ||||||
#*Salix Pharmaceuticals, Ltd. | 6,200 | 234,546 | ||||||
*Sangamo BioSciences, Inc. | 3,800 | 14,136 | ||||||
*Santarus, Inc. | 4,400 | 13,772 | ||||||
#*Savient Pharmaceuticals, Inc. | 2,244 | 27,848 | ||||||
*SciClone Pharmaceuticals, Inc. | 4,400 | 14,828 | ||||||
#*Seattle Genetics, Inc. | 9,320 | 152,755 | ||||||
#*Sirona Dental Systems, Inc. | 4,275 | 160,954 | ||||||
*Skilled Healthcare Group, Inc. | 2,400 | 9,000 | ||||||
*SonoSite, Inc. | 1,652 | 51,493 | ||||||
*Spectranetics Corp. | 4,200 | 19,740 | ||||||
*St. Jude Medical, Inc. | 33,755 | 1,292,816 | ||||||
*Stereotaxis, Inc. | 994 | 3,926 | ||||||
Steris Corp. | 5,700 | 195,054 | ||||||
*Strategic Diagnostics, Inc. | 2,791 | 4,717 | ||||||
#Stryker Corp. | 29,550 | 1,462,430 | ||||||
*Sucampo Pharmaceuticals, Inc. | 900 | 3,042 | ||||||
*Sun Healthcare Group, Inc. | 4,100 | 38,991 | ||||||
#*Sunrise Senior Living, Inc. | 3,900 | 13,377 | ||||||
*SuperGen, Inc. | 5,837 | 16,227 | ||||||
*SurModics, Inc. | 1,100 | 13,156 |
206
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Health Care — (Continued) | ||||||||
*Symmetry Medical, Inc. | 3,300 | $ | 29,205 | |||||
*Synovis Life Technologies, Inc. | 1,397 | 20,955 | ||||||
#*Targacept, Inc. | 2,777 | 68,759 | ||||||
Techne Corp. | 3,133 | 190,862 | ||||||
Teleflex, Inc. | 4,020 | 224,115 | ||||||
*Tenet Healthcare Corp. | 47,800 | 208,408 | ||||||
#*Theravance, Inc. | 6,800 | 138,584 | ||||||
*Thermo Fisher Scientific, Inc. | 41,996 | 2,159,434 | ||||||
*Thoratec Corp. | 6,400 | 208,896 | ||||||
*TomoTherapy, Inc. | 3,800 | 14,516 | ||||||
*TranS1, Inc. | 2,100 | 4,767 | ||||||
*Transcend Services, Inc. | 800 | 13,936 | ||||||
*Transcept Pharmaceuticals, Inc. | 1,365 | 8,449 | ||||||
*Triple-S Management Corp. | 2,900 | 48,923 | ||||||
*U.S. Physical Therapy, Inc. | 902 | 16,931 | ||||||
#*United Therapeutics Corp. | 5,000 | 300,000 | ||||||
UnitedHealth Group, Inc. | 114,655 | 4,133,313 | ||||||
Universal American Corp. | 8,200 | 131,856 | ||||||
Universal Health Services, Inc. | 10,200 | 420,954 | ||||||
Utah Medical Products, Inc. | 276 | 7,872 | ||||||
*Varian Medical Systems, Inc. | 11,800 | 745,996 | ||||||
*Vascular Solutions, Inc. | 2,700 | 29,241 | ||||||
*VCA Antech, Inc. | 8,100 | 167,427 | ||||||
#*Vertex Pharmaceuticals, Inc. | 18,400 | 705,272 | ||||||
*Vical, Inc. | 6,258 | 13,517 | ||||||
*Viropharma, Inc. | 7,500 | 122,700 | ||||||
*Vital Images, Inc. | 2,220 | 29,526 | ||||||
#*Volcano Corp. | 5,086 | 124,200 | ||||||
*Waters Corp. | 9,400 | 696,822 | ||||||
*Watson Pharmaceuticals, Inc. | 10,800 | 503,820 | ||||||
*WellCare Health Plans, Inc. | 3,400 | 94,452 | ||||||
*WellPoint, Inc. | 40,905 | 2,222,778 | ||||||
West Pharmaceutical Services, Inc. | 3,695 | 131,875 | ||||||
*Wright Medical Group, Inc. | 3,195 | �� | 42,621 | |||||
*XenoPort, Inc. | 1,700 | 13,175 | ||||||
Young Innovations, Inc. | 1,000 | 27,770 | ||||||
*Zimmer Holdings, Inc. | 19,680 | 933,619 | ||||||
*Zoll Medical Corp. | 1,200 | 39,036 | ||||||
Total Health Care | 149,394,774 | |||||||
Industrials — (11.0%) | ||||||||
*3D Systems Corp. | 1,300 | 33,592 | ||||||
*3M Co. | 66,923 | 5,636,255 | ||||||
A.O. Smith Corp. | 2,300 | 128,869 | ||||||
*A.T. Cross Co. | 845 | 5,915 | ||||||
#AAON, Inc. | 2,050 | 50,328 | ||||||
*AAR Corp. | 4,715 | 103,919 | ||||||
ABM Industries, Inc. | 4,678 | 105,489 | ||||||
*Acacia Technologies Group | 3,410 | 90,774 | ||||||
*ACCO Brands Corp. | 5,418 | 33,754 | ||||||
#Aceto Corp. | 1,500 | 11,055 | ||||||
Actuant Corp. Class A | 4,600 | 103,362 | ||||||
Acuity Brands, Inc. | 4,282 | 214,400 | ||||||
Administaff, Inc. | 2,599 | 68,120 | ||||||
*Advisory Board Co. (The) | 1,800 | 84,258 | ||||||
*Aecom Technology Corp. | 10,600 | 280,794 | ||||||
*Aerovironment, Inc. | 1,600 | 37,536 | ||||||
*AGCO Corp. | 8,600 | 365,242 | ||||||
*Air Transport Services Group, Inc. | 1,756 | 11,800 | ||||||
Aircastle, Ltd. | 5,800 | 53,418 | ||||||
#*AirTran Holdings, Inc. | 5,406 | 40,004 |
207
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
Alamo Group, Inc. | 789 | $ | 18,936 | |||||
*Alaska Air Group, Inc. | 2,816 | 148,685 | ||||||
Albany International Corp. | 2,000 | 40,800 | ||||||
Alexander & Baldwin, Inc. | 3,730 | 128,424 | ||||||
#Allegiant Travel Co. | 900 | 42,381 | ||||||
*Alliant Techsystems, Inc. | 3,650 | 278,276 | ||||||
*Amerco, Inc. | 2,107 | 173,448 | ||||||
#*American Commercial Lines, Inc. | 1,000 | 33,150 | ||||||
*American Railcar Industries, Inc. | 2,374 | 36,583 | ||||||
*American Reprographics Co. | 5,000 | 35,600 | ||||||
American Science & Engineering, Inc. | 1,100 | 90,585 | ||||||
#*American Superconductor Corp. | 4,026 | 135,475 | ||||||
#American Woodmark Corp. | 1,214 | 21,488 | ||||||
Ameron International Corp. | 1,000 | 68,760 | ||||||
Ametek, Inc. | 10,500 | 567,525 | ||||||
Ampco-Pittsburgh Corp. | 1,064 | 27,504 | ||||||
*AMR Corp. | 32,800 | 258,464 | ||||||
*APAC Customer Services, Inc. | 5,195 | 31,534 | ||||||
Apogee Enterprises, Inc. | 3,000 | 31,470 | ||||||
Applied Industrial Technologies, Inc. | 4,975 | 151,290 | ||||||
Applied Signal Technologies, Inc. | 1,500 | 50,340 | ||||||
*Argan, Inc. | 1,600 | 13,552 | ||||||
Arkansas Best Corp. | 3,000 | 75,990 | ||||||
#*Armstrong World Industries, Inc. | 1,900 | 79,325 | ||||||
#*ArvinMeritor, Inc. | 3,800 | 63,004 | ||||||
*Astec Industries, Inc. | 2,360 | 69,549 | ||||||
*Atlas Air Worldwide Holdings, Inc. | 810 | 42,331 | ||||||
*Avery Dennison Corp. | 8,101 | 294,471 | ||||||
#*Avis Budget Group, Inc. | 1,900 | 22,059 | ||||||
AZZ, Inc. | 1,630 | 60,538 | ||||||
*Babcock & Wilcox Co. | 11,610 | 264,940 | ||||||
#Badger Meter, Inc. | 1,600 | 66,448 | ||||||
*Baker (Michael) Corp. | 800 | 26,144 | ||||||
Baldor Electric Co. | 4,900 | 205,898 | ||||||
Barnes Group, Inc. | 5,809 | 105,666 | ||||||
Barrett Business Services, Inc. | 1,157 | 17,760 | ||||||
*BE Aerospace, Inc. | 9,300 | 341,868 | ||||||
*Beacon Roofing Supply, Inc. | 5,790 | 85,460 | ||||||
Belden, Inc. | 4,700 | 131,130 | ||||||
*Blount International, Inc. | 4,200 | 63,000 | ||||||
*BlueLinx Holdings, Inc. | 3,154 | 9,935 | ||||||
*Boeing Co. (The) | 65,850 | 4,651,644 | ||||||
Bowne & Co., Inc. | 2,923 | 33,176 | ||||||
Brady Co. Class A | 4,590 | 141,143 | ||||||
Briggs & Stratton Corp. | 4,900 | 86,240 | ||||||
Brink’s Co. (The) | 4,894 | 115,498 | ||||||
*BTU International, Inc. | 600 | 4,308 | ||||||
Bucyrus International, Inc. | 7,700 | 524,832 | ||||||
*Builders FirstSource, Inc. | 357 | 721 | ||||||
*C.H. Robinson Worldwide, Inc. | 17,000 | 1,198,160 | ||||||
Carlisle Cos., Inc. | 6,900 | 241,983 | ||||||
Cascade Corp. | 1,095 | 38,752 | ||||||
*Casella Waste Systems, Inc. | 925 | 4,560 | ||||||
*Caterpillar, Inc. | 64,509 | 5,070,407 | ||||||
#*CBIZ, Inc. | 7,900 | 46,768 | ||||||
CDI Corp. | 2,400 | 34,392 | ||||||
*Celadon Group, Inc. | 2,769 | 35,914 | ||||||
*Ceradyne, Inc. | 2,710 | 64,525 | ||||||
*Chart Industries, Inc. | 3,900 | 90,870 | ||||||
Chase Corp. | 1,500 | 23,790 | ||||||
*Cintas Corp. | 13,630 | 374,416 |
208
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
CIRCOR International, Inc. | 1,580 | $ | 55,426 | |||||
CLAROC, Inc. | 4,900 | 194,334 | ||||||
*Clean Harbors, Inc. | 2,500 | 176,250 | ||||||
*Coleman Cable, Inc. | 644 | 4,598 | ||||||
*Colfax Corp. | 1,300 | 20,891 | ||||||
*Columbus McKinnon Corp. | 2,000 | 35,120 | ||||||
Comfort Systems USA, Inc. | 5,229 | 59,872 | ||||||
*Command Security Corp. | 1,831 | 3,882 | ||||||
*Commercial Vehicle Group, Inc. | 2,700 | 36,261 | ||||||
*Consolidated Graphics, Inc. | 700 | 32,585 | ||||||
Con-way, Inc. | 4,723 | 155,906 | ||||||
Cooper Industries P.L.C. | 15,981 | 837,724 | ||||||
*Copart, Inc. | 8,041 | 272,268 | ||||||
Corporate Executive Board Co. | 3,488 | 108,965 | ||||||
#*Corrections Corp. of America | 11,900 | 305,473 | ||||||
*CoStar Group, Inc. | 2,156 | 107,067 | ||||||
Courier Corp. | 1,460 | 21,608 | ||||||
Covanta Holding Corp. | 12,535 | 197,802 | ||||||
*Covenant Transportation Group, Inc. | 100 | 732 | ||||||
*CPI Aerostructures, Inc. | 541 | 6,011 | ||||||
*CRA International, Inc. | 1,100 | 20,515 | ||||||
Crane Co. | 5,100 | 195,126 | ||||||
*CSX Corp. | 39,200 | 2,408,840 | ||||||
Cubic Corp. | 935 | 40,738 | ||||||
*Cummins, Inc. | 19,600 | 1,726,760 | ||||||
Curtiss-Wright Corp. | 4,800 | 148,224 | ||||||
Danaher Corp. | 56,220 | 2,437,699 | ||||||
Deere & Co. | 43,526 | 3,342,797 | ||||||
*Delta Air Lines, Inc. | 75,362 | 1,046,778 | ||||||
Deluxe Corp. | 5,100 | 104,244 | ||||||
Diamond Management & Technology Consultants, Inc. | 2,700 | 33,669 | ||||||
#*Dollar Thrifty Automotive Group, Inc. | 2,400 | 111,360 | ||||||
#Donaldson Co., Inc. | 7,300 | 355,656 | ||||||
*Dover Corp. | 19,380 | 1,029,078 | ||||||
Ducommun, Inc. | 1,100 | 23,617 | ||||||
*Dun & Bradstreet Corp. (The) | 5,291 | 393,703 | ||||||
*DXP Enterprises, Inc. | 1,614 | 30,731 | ||||||
*Dycom Industries, Inc. | 3,734 | 39,954 | ||||||
*Dynamex, Inc. | 890 | 18,815 | ||||||
Dynamic Materials Corp. | 900 | 13,977 | ||||||
#Eastern Co. | 600 | 10,638 | ||||||
*Eaton Corp. | 16,720 | 1,485,238 | ||||||
*EMCOR Group, Inc. | 6,800 | 175,780 | ||||||
*Emerson Electric Co. | 77,040 | 4,229,496 | ||||||
Encore Wire Corp. | 2,625 | 54,495 | ||||||
*Energy Conversion Devices, Inc. | 3,300 | 14,883 | ||||||
#*Energy Recovery, Inc. | 2,000 | 7,120 | ||||||
EnergySolutions, Inc. | 10,900 | 51,121 | ||||||
*EnerNOC, Inc. | 1,180 | 35,483 | ||||||
*EnerSys | 5,000 | 131,800 | ||||||
Ennis, Inc. | 3,000 | 54,120 | ||||||
*EnPro Industries, Inc. | 1,500 | 52,710 | ||||||
*Equifax, Inc. | 13,079 | 433,307 | ||||||
ESCO Technologies, Inc. | 2,486 | 85,220 | ||||||
*Esterline Technologies Corp. | 4,660 | 281,650 | ||||||
#*Expeditors International of Washington, Inc. | 20,936 | 1,033,401 | ||||||
*Exponent, Inc. | 1,900 | 60,648 | ||||||
#*Fastenal Co. | 14,900 | 767,052 | ||||||
Federal Signal Corp. | 5,347 | 30,211 | ||||||
FedEx Corp. | 31,043 | 2,723,092 | ||||||
*Flow International Corp. | 1,679 | 4,433 |
209
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
Flowserve Corp. | 5,800 | $ | 580,000 | |||||
*Fluor Corp. | 18,430 | 888,142 | ||||||
Forward Air Corp. | 3,046 | 81,876 | ||||||
Franklin Electric Co., Inc. | 2,922 | 105,513 | ||||||
Freightcar America, Inc. | 1,200 | 31,752 | ||||||
#*FTI Consulting, Inc. | 4,826 | 171,130 | ||||||
*Fuel Tech, Inc. | 1,700 | 10,353 | ||||||
*Furmanite Corp. | 2,500 | 14,375 | ||||||
G & K Services, Inc. Class A | 1,900 | 46,968 | ||||||
Gardner Denver Machinery, Inc. | 5,200 | 300,664 | ||||||
GATX Corp. | 4,600 | 145,636 | ||||||
#*Genco Shipping & Trading, Ltd. | 2,800 | 46,340 | ||||||
*Gencor Industries, Inc. | 400 | 2,932 | ||||||
#*GenCorp, Inc. | 8,470 | 41,249 | ||||||
*General Cable Corp. | 4,500 | 125,730 | ||||||
*General Dynamics Corp. | 34,285 | 2,335,494 | ||||||
General Electric Co. | 1,093,771 | 17,522,211 | ||||||
*Genesee & Wyoming, Inc. | 3,920 | 181,222 | ||||||
*Genpact, Ltd. | 4,700 | 74,730 | ||||||
*GEO Group, Inc. (The) | 7,755 | 198,916 | ||||||
*GeoEye, Inc. | 1,926 | 85,264 | ||||||
#*Gibraltar Industries, Inc. | 3,140 | 28,668 | ||||||
*Goodrich Corp. | 12,600 | 1,034,082 | ||||||
#Gorman-Rupp Co. (The) | 1,563 | 46,609 | ||||||
*GP Strategies Corp. | 1,842 | 15,989 | ||||||
Graco, Inc. | 5,725 | 196,997 | ||||||
*Graftech International, Ltd. | 12,200 | 200,934 | ||||||
Graham Corp. | 1,800 | 30,546 | ||||||
*Grand Canyon Education, Inc. | 3,441 | 64,725 | ||||||
Granite Construction, Inc. | 4,300 | 103,974 | ||||||
Great Lakes Dredge & Dock Corp. | 6,976 | 43,181 | ||||||
*Greenbrier Cos., Inc. | 1,200 | 21,840 | ||||||
*Griffon Corp. | 5,806 | 68,453 | ||||||
#*GT Solar International, Inc. | 7,700 | 63,371 | ||||||
#*H&E Equipment Services, Inc. | 3,900 | 37,908 | ||||||
Hardinge, Inc. | 700 | 5,586 | ||||||
Harsco Corp. | 7,288 | 168,936 | ||||||
#*Hawaiian Holdings, Inc. | 4,792 | 35,077 | ||||||
*Hawk Corp. | 1,220 | 60,793 | ||||||
Healthcare Services Group, Inc. | 5,270 | 126,638 | ||||||
Heartland Express, Inc. | 5,426 | 80,902 | ||||||
#HEICO Corp. | 375 | 18,668 | ||||||
HEICO Corp. Class A | 2,406 | 89,359 | ||||||
Heidrick & Struggles International, Inc. | 1,861 | 39,974 | ||||||
Herman Miller, Inc. | 5,553 | 106,784 | ||||||
*Hertz Global Holdings, Inc. | 36,500 | 413,180 | ||||||
*Hexcel Corp. | 8,970 | 159,397 | ||||||
*Hill International, Inc. | 4,200 | 22,554 | ||||||
HNI Corp. | 3,473 | 85,644 | ||||||
*Hoku Corp. | 1,382 | 3,870 | ||||||
*Honeywell International, Inc. | 74,330 | 3,501,686 | ||||||
Horizon Lines, Inc. | 4,400 | 18,964 | ||||||
Houston Wire & Cable Co. | 2,097 | 24,178 | ||||||
*Hub Group, Inc. Class A | 3,214 | 104,359 | ||||||
Hubbell, Inc. Class B | 5,742 | 310,183 | ||||||
*Hudson Highland Group, Inc. | 3,600 | 12,672 | ||||||
*Hurco Cos., Inc. | 883 | 16,247 | ||||||
*Huron Consulting Group, Inc. | 1,650 | 32,852 | ||||||
*ICF International, Inc. | 1,750 | 44,835 | ||||||
*Identive Group, Inc. | 1,092 | 2,424 | ||||||
IDEX Corp. | 8,975 | 323,818 |
210
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
*IHS, Inc. | 4,554 | $ | 328,981 | |||||
*II-VI, Inc. | 3,748 | 147,446 | ||||||
Illinois Tool Works, Inc. | 47,198 | 2,156,949 | ||||||
#*Innerworkings, Inc. | 5,800 | 39,846 | ||||||
*Innovative Solutions & Support, Inc. | 3,112 | 18,952 | ||||||
*Insituform Technologies, Inc. | 4,000 | 86,400 | ||||||
Insteel Industries, Inc. | 2,000 | 17,180 | ||||||
*Integrated Electrical Services, Inc. | 707 | 2,581 | ||||||
Interface, Inc. Class A | 5,100 | 73,389 | ||||||
*Interline Brands, Inc. | 3,492 | 70,154 | ||||||
International Shipholding Corp. | 637 | 17,817 | ||||||
Intersections, Inc. | 2,400 | 23,328 | ||||||
Iron Mountain, Inc. | 19,588 | 426,823 | ||||||
*ITT Industries, Inc. | 18,000 | 849,420 | ||||||
J.B. Hunt Transport Services, Inc. | 10,200 | 366,792 | ||||||
*Jacobs Engineering Group, Inc. | 12,300 | 474,903 | ||||||
#*JetBlue Airways Corp. | 26,500 | 184,970 | ||||||
John Bean Technologies Corp. | 3,100 | 53,010 | ||||||
Joy Global, Inc. | 10,425 | 739,654 | ||||||
*Kadant, Inc. | 900 | 17,694 | ||||||
Kaman Corp. Class A | 2,316 | 62,416 | ||||||
*Kansas City Southern | 10,000 | 438,200 | ||||||
Kaydon Corp. | 3,790 | 132,157 | ||||||
KBR, Inc. | 17,390 | 441,706 | ||||||
*Kelly Services, Inc. Class A | 2,711 | 40,258 | ||||||
Kennametal, Inc. | 7,500 | 256,050 | ||||||
*Key Technology, Inc. | 844 | 12,660 | ||||||
*Kforce, Inc. | 4,567 | 68,551 | ||||||
Kimball International, Inc. Class B | 2,500 | 15,200 | ||||||
*Kirby Corp. | 5,150 | 221,398 | ||||||
Knight Transportation, Inc. | 7,406 | 132,345 | ||||||
Knoll, Inc. | 4,500 | 68,265 | ||||||
*Korn/Ferry International | 5,170 | 91,147 | ||||||
*L-3 Communications Holdings, Inc. | 11,419 | 824,338 | ||||||
*LaBarge, Inc. | 1,681 | 21,332 | ||||||
*Ladish Co., Inc. | 2,000 | 63,980 | ||||||
Landstar System, Inc. | 4,810 | 180,952 | ||||||
Lawson Products, Inc. | 649 | 11,961 | ||||||
*Layne Christensen Co. | 1,700 | 47,498 | ||||||
*LECG Corp. | 1,299 | 1,117 | ||||||
#Lennox International, Inc. | 4,660 | 191,107 | ||||||
Lincoln Electric Holdings, Inc. | 4,597 | 274,717 | ||||||
#Lindsay Corp. | 1,000 | 57,650 | ||||||
*LMI Aerospace, Inc. | 2,000 | 32,660 | ||||||
*Lockheed Martin Corp. | 33,100 | 2,359,699 | ||||||
LSI Industries, Inc. | 2,400 | 22,200 | ||||||
*Lydall, Inc. | 600 | 4,458 | ||||||
*M&F Worldwide Corp. | 1,676 | 45,051 | ||||||
#Manitowoc Co., Inc. (The) | 10,200 | 113,628 | ||||||
Manpower, Inc. | 8,363 | 457,707 | ||||||
Marten Transport, Ltd. | 2,239 | 47,556 | ||||||
*Masco Corp. | 33,368 | 355,703 | ||||||
*MasTec, Inc. | 8,158 | 99,528 | ||||||
*McDermott International, Inc. | 23,220 | 358,285 | ||||||
McGrath Rentcorp | 2,686 | 67,983 | ||||||
*Metalico, Inc. | 5,906 | 25,632 | ||||||
Met-Pro Corp. | 1,935 | 21,846 | ||||||
*MFRI, Inc. | 1,091 | 9,481 | ||||||
#*Middleby Corp. | 1,800 | 134,388 | ||||||
Miller Industries, Inc. | 1,376 | 18,521 | ||||||
Mine Safety Appliances Co. | 3,895 | 109,683 |
211
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
#*Mobile Mini, Inc. | 4,138 | $ | 72,125 | |||||
#*Monster Worldwide, Inc. | 12,900 | 232,974 | ||||||
*Moog, Inc. | 3,995 | 150,212 | ||||||
MSC Industrial Direct Co., Inc. Class A | 4,600 | 261,924 | ||||||
Mueller Industries, Inc. | 4,400 | 129,360 | ||||||
Mueller Water Products, Inc. | 12,110 | 36,572 | ||||||
Multi-Color Corp. | 1,486 | 23,702 | ||||||
NACCO Industries, Inc. Class A | 533 | 52,906 | ||||||
National Technical Systems, Inc. | 1,200 | 9,504 | ||||||
*Navigant Consulting, Inc. | 4,323 | 39,555 | ||||||
*Navistar International Corp. | 6,960 | 335,333 | ||||||
#Nordson Corp. | 3,137 | 244,749 | ||||||
*Norfolk Southern Corp. | 38,010 | 2,337,235 | ||||||
*Northrop Grumman Corp. | 30,328 | 1,917,033 | ||||||
*Northwest Pipe Co. | 1,100 | 20,702 | ||||||
*Ocean Power Technologies, Inc. | 300 | 1,962 | ||||||
*Old Dominion Freight Line, Inc. | 5,325 | 149,366 | ||||||
#Omega Flex, Inc. | 1,202 | 16,564 | ||||||
*On Assignment, Inc. | 4,296 | 24,272 | ||||||
*Orbital Sciences Corp. | 6,400 | 103,936 | ||||||
*Orion Marine Group, Inc. | 2,500 | 31,275 | ||||||
*Oshkosh Corp. | 9,100 | 268,541 | ||||||
*Owens Corning, Inc. | 11,159 | 301,739 | ||||||
*P.A.M. Transportation Services, Inc. | 492 | 5,402 | ||||||
*PACCAR, Inc. | 35,614 | 1,825,574 | ||||||
*Pall Corp. | 12,600 | 537,642 | ||||||
*Parker Hannifin Corp. | 16,640 | 1,273,792 | ||||||
*Park-Ohio Holdings Corp. | 1,300 | 20,657 | ||||||
Pentair, Inc. | 10,700 | 350,211 | ||||||
*Pike Electric Corp. | 2,597 | 19,633 | ||||||
*Pinnacle Airlines Corp. | 800 | 4,608 | ||||||
*Pitney Bowes, Inc. | 19,738 | 433,052 | ||||||
#*PMFG, Inc. | 400 | 6,260 | ||||||
*Polypore International, Inc. | 5,100 | 169,677 | ||||||
Portec Rail Products, Inc. | 1,021 | 11,844 | ||||||
*Powell Industries, Inc. | 700 | 21,602 | ||||||
#*PowerSecure International, Inc. | 2,600 | 24,466 | ||||||
*Precision Castparts Corp. | 14,510 | 1,981,776 | ||||||
*PRGX Global, Inc. | 2,100 | 12,600 | ||||||
*Quality Distribution, Inc. | 2,800 | 20,020 | ||||||
Quanex Building Products Corp. | 1,200 | 21,624 | ||||||
*Quanta Services, Inc. | 20,113 | 395,422 | ||||||
*R. R. Donnelley & Sons Co. | 19,580 | 361,251 | ||||||
Raven Industries, Inc. | 1,804 | 74,180 | ||||||
*Raytheon Co. | 39,075 | 1,800,576 | ||||||
*RBC Bearings, Inc. | 1,740 | 57,977 | ||||||
*RCM Technologies, Inc. | 395 | 1,995 | ||||||
Regal-Beloit Corp. | 3,564 | 205,678 | ||||||
#*Republic Airways Holdings, Inc. | 1,900 | 17,651 | ||||||
Republic Services, Inc. | 39,124 | 1,166,286 | ||||||
Resources Connection, Inc. | 3,800 | 61,522 | ||||||
Robbins & Myers, Inc. | 3,100 | 89,993 | ||||||
#*Robert Half International, Inc. | 14,550 | 394,450 | ||||||
*Rockwell Automation, Inc. | 14,220 | 886,901 | ||||||
*Rockwell Collins, Inc. | 16,000 | 968,160 | ||||||
Rollins, Inc. | 5,325 | 138,716 | ||||||
*Roper Industries, Inc. | 9,300 | 645,699 | ||||||
*Rush Enterprises, Inc. Class A | 3,300 | 52,437 | ||||||
*Ryder System, Inc. | 5,850 | 255,938 | ||||||
*Saia, Inc. | 1,550 | 22,444 | ||||||
Schawk, Inc. | 2,653 | 51,521 |
212
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
*School Specialty, Inc. | 1,749 | $ | 23,437 | |||||
*SFN Group, Inc. | 4,600 | 34,868 | ||||||
*Shaw Group, Inc. | 8,600 | 262,816 | ||||||
#Ship Finance International, Ltd. | 6,400 | 128,704 | ||||||
SIFCO Industries, Inc. | 100 | 1,366 | ||||||
Simpson Manufacturing Co., Inc. | 4,779 | 127,026 | ||||||
SkyWest, Inc. | 2,969 | 45,010 | ||||||
*SL Industries, Inc. | 856 | 13,003 | ||||||
*Southwest Airlines Co. | 76,013 | 1,045,939 | ||||||
*Sparton Corp. | 400 | 2,924 | ||||||
*Spire Corp. | 1,300 | 7,592 | ||||||
*Spirit Aerosystems Holdings, Inc. | 10,200 | 220,728 | ||||||
SPX Corp. | 5,600 | 375,536 | ||||||
*Standard Parking Corp. | 1,343 | 22,952 | ||||||
#Standard Register Co. | 1,800 | 5,778 | ||||||
Standex International Corp. | 1,920 | 51,706 | ||||||
Steelcase, Inc. Class A | 4,600 | 38,686 | ||||||
#*Stericycle, Inc. | 8,600 | 616,964 | ||||||
*Sterling Construction Co., Inc. | 1,200 | 14,640 | ||||||
Sun Hydraulics, Inc. | 1,690 | 52,508 | ||||||
*SunPower Corp. Class A | 600 | 8,184 | ||||||
*SunPower Corp. Class B | 2,984 | 39,389 | ||||||
Superior Uniform Group, Inc. | 162 | 1,707 | ||||||
*SYKES Enterprises, Inc. | 4,500 | 74,745 | ||||||
#*Taser International, Inc. | 5,800 | 22,968 | ||||||
*Team, Inc. | 1,100 | 21,824 | ||||||
*Tecumseh Products Co. Class A | 900 | 11,655 | ||||||
*Teledyne Technologies, Inc. | 3,500 | 145,495 | ||||||
Tennant Co. | 1,788 | 59,987 | ||||||
*Terex Corp. | 10,100 | 226,745 | ||||||
*Tetra Tech, Inc. | 5,900 | 124,254 | ||||||
Textainer Group Holdings, Ltd. | 3,800 | 98,724 | ||||||
#Textron, Inc. | 26,700 | 555,894 | ||||||
*Thomas & Betts Corp. | 5,500 | 239,525 | ||||||
Timken Co. | 10,020 | 415,028 | ||||||
#Titan International, Inc. | 3,598 | 54,582 | ||||||
*Titan Machinery, Inc. | 2,100 | 40,824 | ||||||
Todd Shipyards Corp. | 700 | 11,452 | ||||||
Toro Co. | 3,540 | 200,930 | ||||||
Towers Watson & Co. | 4,950 | 254,529 | ||||||
*Trailer Bridge, Inc. | 1,126 | 3,491 | ||||||
TransDigm Group, Inc. | 5,100 | 337,977 | ||||||
*TRC Cos., Inc. | 3,000 | 7,260 | ||||||
Tredegar Industries, Inc. | 3,454 | 66,628 | ||||||
*Trex Co., Inc. | 1,800 | 32,310 | ||||||
*Trimas Corp. | 4,700 | 74,401 | ||||||
Trinity Industries, Inc. | 8,400 | 190,932 | ||||||
Triumph Group, Inc. | 1,961 | 163,920 | ||||||
*TrueBlue, Inc. | 4,918 | 69,098 | ||||||
*Tutor Perini Corp. | 2,790 | 64,756 | ||||||
Twin Disc, Inc. | 1,800 | 36,648 | ||||||
*Tyco International, Ltd. | 50,429 | 1,930,422 | ||||||
*U.S. Home Systems, Inc. | 1,400 | 4,326 | ||||||
#*Ultralife Corp. | 2,100 | 11,025 | ||||||
UniFirst Corp. | 1,740 | 80,092 | ||||||
*Union Pacific Corp. | 51,000 | 4,471,680 | ||||||
*United Continental Holdings, Inc. | 28,567 | 829,586 | ||||||
*United Parcel Service, Inc. | 74,250 | 4,999,995 | ||||||
*United Rentals, Inc. | 6,800 | 127,772 | ||||||
*United Stationers, Inc. | 2,686 | 150,953 | ||||||
*United Technologies Corp. | 89,870 | 6,719,580 |
213
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Industrials — (Continued) | ||||||||
Universal Forest Products, Inc. | 1,950 | $ | 58,773 | |||||
*Universal Truckload Services, Inc. | 1,088 | 15,613 | ||||||
*URS Corp. | 8,903 | 346,594 | ||||||
#*US Airways Group, Inc. | 16,583 | 195,514 | ||||||
US Ecology, Inc. | 2,200 | 35,684 | ||||||
*USA Truck, Inc. | 1,545 | 21,197 | ||||||
#*USG Corp. | 8,800 | 111,584 | ||||||
UTi Worldwide, Inc. | 8,800 | 169,136 | ||||||
Valmont Industries, Inc. | 2,100 | 165,585 | ||||||
*Versar, Inc. | 1,500 | 4,800 | ||||||
Viad Corp. | 1,350 | 26,946 | ||||||
Vicor Corp. | 4,135 | 73,644 | ||||||
Virco Manufacturing Corp. | 1,718 | 5,034 | ||||||
*Vishay Precision Group, Inc. | 1,210 | 20,570 | ||||||
*Volt Information Sciences, Inc. | 2,100 | 16,968 | ||||||
VSE Corp. | 800 | 28,200 | ||||||
*W.W. Grainger, Inc. | 6,400 | 793,792 | ||||||
Wabtec Corp. | 4,860 | 227,642 | ||||||
*Waste Connections, Inc. | 8,050 | 327,957 | ||||||
*Waste Management, Inc. | 47,292 | 1,689,270 | ||||||
Watsco, Inc. Class A | 2,700 | 151,119 | ||||||
#Watts Water Technologies, Inc. | 3,070 | 107,972 | ||||||
*WCA Waste Corp. | 2,500 | 12,400 | ||||||
Werner Enterprises, Inc. | 5,492 | 117,089 | ||||||
*WESCO International, Inc. | 4,462 | 191,063 | ||||||
*Willis Lease Finance Corp. | 400 | 4,908 | ||||||
Woodward Governor Co. | 6,200 | 194,308 | ||||||
Total Industrials | 149,657,996 | |||||||
Information Technology — (18.5%) | ||||||||
Accenture P.L.C. Class A | 62,630 | 2,800,187 | ||||||
*ACI Worldwide, Inc. | 3,900 | 95,043 | ||||||
*Acme Packet, Inc. | 6,500 | 257,075 | ||||||
*Actel Corp. | 2,800 | 58,408 | ||||||
*ActivIdentity Corp. | 5,596 | 18,075 | ||||||
Activision Blizzard, Inc. | 57,634 | 661,062 | ||||||
*Actuate Corp. | 5,359 | 25,938 | ||||||
*Acxiom Corp. | 8,519 | 149,508 | ||||||
*ADDvantage Technologies Group, Inc. | 400 | 1,284 | ||||||
*Adobe Systems, Inc. | 51,158 | 1,440,098 | ||||||
Adtran, Inc. | 7,300 | 235,571 | ||||||
*Advanced Analogic Technologies, Inc. | 5,128 | 19,281 | ||||||
#*Advanced Energy Industries, Inc. | 4,259 | 61,159 | ||||||
#*Advanced Micro Devices, Inc. | 57,148 | 418,895 | ||||||
#*Advent Software, Inc. | 1,927 | 103,518 | ||||||
*Agilent Technologies, Inc. | 35,300 | 1,228,440 | ||||||
*Agilysys, Inc. | 2,000 | 12,000 | ||||||
*Akamai Technologies, Inc. | 18,000 | 930,060 | ||||||
#*Alliance Data Systems Corp. | 5,400 | 327,888 | ||||||
*Altera Corp. | 30,210 | 942,854 | ||||||
*Amdocs, Ltd. | 19,411 | 595,529 | ||||||
American Software, Inc. Class A | 2,776 | 16,767 | ||||||
#*Amkor Technology, Inc. | 10,900 | 78,589 | ||||||
Amphenol Corp. | 17,400 | 872,262 | ||||||
*Anadigics, Inc. | 8,617 | 58,337 | ||||||
*Analog Devices, Inc. | 30,400 | 1,023,568 | ||||||
*Anaren, Inc. | 1,739 | 29,093 | ||||||
*Anixter International, Inc. | 3,513 | 188,613 | ||||||
#*Ansys, Inc. | 9,236 | 417,929 | ||||||
*AOL, Inc. | 11,162 | 297,802 | ||||||
*Apple, Inc. | 94,060 | 28,299,832 |
214
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
*Applied Materials, Inc. | 136,879 | $ | 1,691,824 | |||||
*Applied Micro Circuits Corp. | 8,159 | 82,161 | ||||||
*Ariba, Inc. | 8,600 | 161,508 | ||||||
*Arris Group, Inc. | 12,650 | 117,772 | ||||||
*Arrow Electronics, Inc. | 12,374 | 366,394 | ||||||
*Art Technology Group, Inc. | 13,375 | 56,041 | ||||||
*Aruba Networks, Inc. | 8,900 | 194,999 | ||||||
*Atheros Communications, Inc. | 7,060 | 219,142 | ||||||
*Atmel Corp. | 46,843 | 415,029 | ||||||
#*ATMI, Inc. | 3,222 | 56,933 | ||||||
#*Autodesk, Inc. | 22,400 | 810,432 | ||||||
Automatic Data Processing, Inc. | 50,647 | 2,249,740 | ||||||
*Aviat Networks, Inc. | 6,079 | 27,659 | ||||||
*Avid Technology, Inc. | 3,971 | 50,114 | ||||||
*Avnet, Inc. | 15,383 | 458,106 | ||||||
AVX Corp. | 10,406 | 149,222 | ||||||
*Aware, Inc. | 2,752 | 7,816 | ||||||
Bel Fuse, Inc. Class B | 1,298 | 29,607 | ||||||
*Benchmark Electronics, Inc. | 7,392 | 121,451 | ||||||
*BigBand Networks, Inc. | 6,604 | 19,614 | ||||||
Black Box Corp. | 2,047 | 67,960 | ||||||
Blackbaud, Inc. | 3,996 | 101,458 | ||||||
#*Blackboard, Inc. | 2,900 | 121,046 | ||||||
*Blue Coat Systems, Inc. | 3,500 | 94,395 | ||||||
*BMC Software, Inc. | 18,095 | 822,599 | ||||||
*Bottomline Technologies, Inc. | 2,019 | 36,382 | ||||||
*Brightpoint, Inc. | 7,278 | 54,512 | ||||||
*Broadcom Corp. | 43,750 | 1,782,375 | ||||||
Broadridge Financial Solutions, Inc. | 14,230 | 313,060 | ||||||
*Brocade Communications Systems, Inc. | 40,529 | 256,143 | ||||||
*Brooks Automation, Inc. | 4,641 | 31,512 | ||||||
*CA, Inc. | 42,930 | 996,405 | ||||||
*Cabot Microelectronics Corp. | 2,700 | 104,301 | ||||||
*CACI International, Inc. | 3,035 | 152,114 | ||||||
*Cadence Design Systems, Inc. | 26,000 | 220,220 | ||||||
*CalAmp Corp. | 2,095 | 5,133 | ||||||
*Cascade Microtech, Inc. | 1,242 | 4,471 | ||||||
Cass Information Systems, Inc. | 1,300 | 44,889 | ||||||
*Cavium Networks, Inc. | 3,613 | 115,146 | ||||||
*CEVA, Inc. | 2,500 | 46,275 | ||||||
*Checkpoint Systems, Inc. | 4,385 | 96,470 | ||||||
*Ciber, Inc. | 5,000 | 18,350 | ||||||
#*Cirrus Logic, Inc. | 7,408 | 95,193 | ||||||
*Cisco Sytems, Inc. | 553,000 | 12,624,990 | ||||||
*Citrix Systems, Inc. | 18,800 | 1,204,516 | ||||||
#*Clearwire Corp. Class A | 9,900 | 70,191 | ||||||
Cognex Corp. | 3,680 | 98,256 | ||||||
*Cognizant Technology Solutions Corp. | 30,090 | 1,961,567 | ||||||
*Cogo Group, Inc. | 2,200 | 16,742 | ||||||
*Coherent, Inc. | 1,200 | 50,352 | ||||||
Cohu, Inc. | 1,500 | 21,525 | ||||||
*CommScope, Inc. | 8,800 | 278,608 | ||||||
Communications Systems, Inc. | 1,155 | 13,698 | ||||||
*CommVault Systems, Inc. | 4,405 | 127,437 | ||||||
*Compellent Technologies, Inc. | 2,167 | 54,760 | ||||||
*Computer Sciences Corp. | 16,200 | 794,610 | ||||||
*Computer Task Group, Inc. | 400 | 3,192 | ||||||
*Compuware Corp. | 22,529 | 225,515 | ||||||
*comScore, Inc. | 2,200 | 51,722 | ||||||
*Comtech Telecommunications Corp. | 2,516 | 77,543 | ||||||
*Concur Technologies, Inc. | 4,700 | 242,614 |
215
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
*Conexant Systems, Inc. | 7,200 | $ | 10,872 | |||||
#*Constant Contact, Inc. | 2,570 | 59,110 | ||||||
*Convergys Corp. | 13,000 | 147,160 | ||||||
*CoreLogic, Inc. | 9,349 | 164,262 | ||||||
*Corning, Inc. | 159,324 | 2,912,443 | ||||||
*CPI International, Inc. | 2,100 | 29,652 | ||||||
*Cray, Inc. | 4,250 | 25,415 | ||||||
#*Cree, Inc. | 10,250 | 525,722 | ||||||
*CSG Systems International, Inc. | 3,600 | 69,984 | ||||||
#CTC Media, Inc. | 4,600 | 108,560 | ||||||
CTS Corp. | 800 | 8,120 | ||||||
*CyberOptics Corp. | 1,199 | 9,112 | ||||||
*Cymer, Inc. | 3,000 | 110,850 | ||||||
*Cypress Semiconductor Corp. | 16,538 | 233,186 | ||||||
Daktronics, Inc. | 3,790 | 41,387 | ||||||
*Datalink Corp. | 2,266 | 9,563 | ||||||
DDi Corp. | 2,858 | 29,380 | ||||||
#*DealerTrack Holdings, Inc. | 4,579 | 88,466 | ||||||
*Dell, Inc. | 175,863 | 2,528,910 | ||||||
*Deltek, Inc. | 4,207 | 33,067 | ||||||
*DemandTec, Inc. | 2,562 | 27,106 | ||||||
*DG FastChannel, Inc. | 2,800 | 65,940 | ||||||
*Dice Holdings, Inc. | 4,800 | 43,440 | ||||||
Diebold, Inc. | 6,300 | 193,095 | ||||||
*Digi International, Inc. | 2,040 | 19,706 | ||||||
*Digimarc Corp. | 922 | 25,272 | ||||||
*Digital River, Inc. | 3,500 | 130,410 | ||||||
*DigitalGlobe, Inc. | 400 | 13,060 | ||||||
*Diodes, Inc. | 3,050 | 67,039 | ||||||
*Dolby Laboratories, Inc. | 5,760 | 355,277 | ||||||
*DSP Group, Inc. | 3,285 | 23,521 | ||||||
DST Systems, Inc. | 4,000 | 173,080 | ||||||
#*DTS, Inc. | 2,000 | 79,600 | ||||||
*Dynamics Research Corp. | 1,200 | 13,560 | ||||||
Earthlink, Inc. | 11,100 | 99,789 | ||||||
*eBay, Inc. | 121,940 | 3,635,031 | ||||||
#*Ebix, Inc. | 4,821 | 119,079 | ||||||
*Echelon Corp. | 263 | 2,070 | ||||||
*EchoStar Corp. | 4,501 | 95,421 | ||||||
*Edgewater Technology, Inc. | 1,000 | 2,940 | ||||||
Electro Rent Corp. | 2,590 | 38,487 | ||||||
*Electro Scientific Industries, Inc. | 1,924 | 22,357 | ||||||
*Electronic Arts, Inc. | 33,326 | 528,217 | ||||||
*Electronics for Imaging, Inc. | 5,985 | 81,935 | ||||||
*eLoyalty Corp. | 1,000 | 6,990 | ||||||
*EMC Corp. | 209,363 | 4,398,717 | ||||||
*EMS Technologies, Inc. | 2,478 | 44,208 | ||||||
*Emulex Corp. | 5,100 | 58,140 | ||||||
*Entropic Communications, Inc. | 2,000 | 16,720 | ||||||
*Epicor Software Corp. | 9,000 | 84,600 | ||||||
EPIQ Systems, Inc. | 4,051 | 47,478 | ||||||
*ePlus, Inc. | 1,000 | 21,030 | ||||||
#*Equinix, Inc. | 4,718 | 397,444 | ||||||
*Euronet Worldwide, Inc. | 5,430 | 98,066 | ||||||
*Exar Corp. | 760 | 5,054 | ||||||
*ExlService Holdings, Inc. | 1,759 | 33,509 | ||||||
*Extreme Networks | 3,700 | 11,803 | ||||||
#*F5 Networks, Inc. | 8,150 | 959,255 | ||||||
FactSet Research Systems, Inc. | 4,550 | 399,399 | ||||||
#Fair Isaac Corp. | 4,050 | 97,362 | ||||||
*Fairchild Semiconductor International, Inc. | 12,759 | 143,794 |
216
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
*FalconStor Software, Inc. | 5,118 | $ | 14,023 | |||||
*Faro Technologies, Inc. | 2,400 | 57,936 | ||||||
*FEI Co. | 5,430 | 118,157 | ||||||
Fidelity National Information Services, Inc. | 36,707 | 994,760 | ||||||
#*Finisar Corp. | 2,900 | 49,329 | ||||||
#*First Solar, Inc. | 5,850 | 805,428 | ||||||
*Fiserv, Inc. | 15,200 | 828,704 | ||||||
#*FLIR Systems, Inc. | 16,200 | 451,008 | ||||||
*FormFactor, Inc. | 6,406 | 62,330 | ||||||
*Forrester Research, Inc. | 2,197 | 72,655 | ||||||
*Frequency Electronics, Inc. | 798 | 4,788 | ||||||
*FSI International, Inc. | 3,600 | 9,684 | ||||||
#*Gartner Group, Inc. | 9,400 | 297,886 | ||||||
*Gerber Scientific, Inc. | 2,901 | 19,408 | ||||||
*Global Cash Access, Inc. | 8,829 | 32,138 | ||||||
Global Payments, Inc. | 8,401 | 327,303 | ||||||
*Globecomm Systems, Inc. | 2,474 | 22,142 | ||||||
*Google, Inc. | 23,437 | 14,366,647 | ||||||
*GSE Systems, Inc. | 1,745 | 6,247 | ||||||
*GSI Commerce, Inc. | 4,698 | 114,725 | ||||||
*GSI Technology, Inc. | 3,200 | 22,240 | ||||||
*GTSI Corp. | 200 | 918 | ||||||
*Guidance Software, Inc. | 198 | 1,279 | ||||||
*Hackett Group, Inc. | 5,500 | 21,450 | ||||||
*Harmonic, Inc. | 9,800 | 68,404 | ||||||
*Harris Corp. | 13,040 | 589,278 | ||||||
Heartland Payment Systems, Inc. | 2,642 | 37,728 | ||||||
Hewlett-Packard Co. | 231,000 | 9,715,860 | ||||||
*Hittite Microwave Corp. | 2,787 | 144,004 | ||||||
*Hughes Communications, Inc. | 517 | 14,678 | ||||||
*Hutchinson Technology, Inc. | 1,900 | 6,479 | ||||||
*Hypercom Corp. | 1,800 | 10,728 | ||||||
*I.D. Systems, Inc. | 2,003 | 4,507 | ||||||
*IAC/InterActiveCorp | 10,400 | 290,160 | ||||||
iGATE Corp. | 5,402 | 110,417 | ||||||
*Imation Corp. | 2,440 | 23,766 | ||||||
Imergent, Inc. | 1,526 | 6,867 | ||||||
*Immersion Corp. | 2,800 | 17,220 | ||||||
*Infinera Corp. | 10,000 | 81,900 | ||||||
#*Informatica Corp. | 9,800 | 398,762 | ||||||
*InfoSpace, Inc. | 2,980 | 25,151 | ||||||
*Ingram Micro, Inc. | 16,870 | 297,924 | ||||||
*Innodata Isogen, Inc. | 4,054 | 12,567 | ||||||
*Insight Enterprises, Inc. | 4,020 | 60,782 | ||||||
*Integral Systems, Inc. | 2,600 | 22,100 | ||||||
*Integrated Device Technology, Inc. | 15,566 | 91,684 | ||||||
*Integrated Silicon Solution, Inc. | 3,810 | 28,613 | ||||||
*Intel Corp. | 567,470 | 11,389,123 | ||||||
*Interactive Intelligence, Inc. | 1,900 | 46,949 | ||||||
#*InterDigital, Inc. | 4,300 | 144,351 | ||||||
*Intermec, Inc. | 4,663 | 54,324 | ||||||
*Internap Network Services Corp. | 4,500 | 22,500 | ||||||
*International Business Machines Corp. | 124,703 | 17,907,351 | ||||||
*International Rectifier Corp. | 6,998 | 162,564 | ||||||
*Internet Brands, Inc. | 5,000 | 66,200 | ||||||
*Internet Capital Group, Inc. | 3,900 | 48,711 | ||||||
*Interphase Corp. | 490 | 740 | ||||||
Intersil Corp. Class A | 12,140 | 158,913 | ||||||
*Intevac, Inc. | 2,384 | 24,078 | ||||||
*IntriCon Corp. | 800 | 3,440 | ||||||
*Intuit, Inc. | 30,430 | 1,460,640 |
217
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
*IPG Photonics Corp. | 4,400 | $ | 99,000 | |||||
#*Isilon Systems, Inc. | 5,504 | 156,699 | ||||||
*Iteris, Inc. | 600 | 852 | ||||||
*Itron, Inc. | 4,100 | 249,157 | ||||||
*Ixia | 5,379 | 84,181 | ||||||
*IXYS Corp. | 3,572 | 36,577 | ||||||
*j2 Global Communications, Inc. | 4,783 | 126,032 | ||||||
*Jabil Circuit, Inc. | 21,112 | 323,858 | ||||||
Jack Henry & Associates, Inc. | 8,590 | 233,304 | ||||||
*JDA Software Group, Inc. | 4,149 | 104,970 | ||||||
#*JDS Uniphase Corp. | 20,600 | 216,506 | ||||||
*Juniper Networks, Inc. | 53,580 | 1,735,456 | ||||||
Keithley Instruments, Inc. | 578 | 12,473 | ||||||
Keynote Systems, Inc. | 2,200 | 26,818 | ||||||
#*KIT Digital, Inc. | 1,600 | 22,032 | ||||||
*KLA-Tencor Corp. | 16,880 | 602,954 | ||||||
*Knot, Inc. (The) | 4,484 | 40,535 | ||||||
#*Kopin Corp. | 8,696 | 33,132 | ||||||
*Kulicke & Soffa Industries, Inc. | 5,900 | 36,698 | ||||||
*KVH Industries, Inc. | 2,000 | 28,080 | ||||||
*L-1 Identity Solutions, Inc. | 8,600 | 101,394 | ||||||
*Lam Research Corp. | 13,100 | 599,849 | ||||||
*LaserCard Corp. | 1,299 | 5,677 | ||||||
*Lattice Semiconductor Corp. | 12,649 | 61,474 | ||||||
*Lawson Software, Inc. | 18,902 | 168,228 | ||||||
Lender Processing Services, Inc. | 10,111 | 291,601 | ||||||
#*Lexmark International, Inc. | 7,034 | 267,503 | ||||||
*Limelight Networks, Inc. | 5,694 | 38,605 | ||||||
*Linear Technology Corp. | 21,700 | 699,391 | ||||||
*Lionbridge Technologies, Inc. | 5,000 | 25,000 | ||||||
*Liquidity Services, Inc. | 1,978 | 31,648 | ||||||
*Littlefuse, Inc. | 1,700 | 72,131 | ||||||
*LoJack Corp. | 2,400 | 11,736 | ||||||
*LoopNet, Inc. | 3,256 | 34,351 | ||||||
#*Loral Space & Communications, Inc. | 2,374 | 132,066 | ||||||
*LSI Corp. | 67,544 | 353,931 | ||||||
*Magma Design Automation, Inc. | 2,900 | 12,441 | ||||||
*Manhattan Associates, Inc. | 2,194 | 67,531 | ||||||
*ManTech International Corp. Class A | 2,440 | 95,672 | ||||||
Marchex, Inc. | 3,183 | 20,435 | ||||||
*Marvell Technology Group, Ltd. | 52,000 | 1,004,120 | ||||||
*MasterCard, Inc. Class A | 10,540 | 2,530,232 | ||||||
Maxim Integrated Products, Inc. | 29,360 | 635,938 | ||||||
Maximus, Inc. | 1,900 | 115,197 | ||||||
*Maxwell Technologies, Inc. | 2,670 | 43,307 | ||||||
*McAfee, Inc. | 15,628 | 739,204 | ||||||
*Measurement Specialties, Inc. | 500 | 11,170 | ||||||
*MEMC Electronic Materials, Inc. | 18,920 | 242,554 | ||||||
*Mentor Graphics Corp. | 9,800 | 105,840 | ||||||
*Mercury Computer Systems, Inc. | 2,500 | 39,600 | ||||||
Mesa Laboratories, Inc. | 300 | 7,725 | ||||||
Methode Electronics, Inc. | 4,169 | 38,730 | ||||||
Micrel, Inc. | 9,400 | 111,954 | ||||||
#*Microchip Technology, Inc. | 18,760 | 603,697 | ||||||
#*Micron Technology, Inc. | 83,574 | 691,157 | ||||||
*MICROS Systems, Inc. | 8,600 | 390,354 | ||||||
*Microsemi Corp. | 7,000 | 140,000 | ||||||
*Microsoft Corp. | 767,007 | 20,433,066 | ||||||
*MicroStrategy, Inc. | 700 | 63,441 | ||||||
*Mindspeed Technologies, Inc. | 2,100 | 15,498 | ||||||
*MIPS Technologies, Inc. | 5,600 | 82,320 |
218
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
*MKS Instruments, Inc. | 2,400 | $ | 49,560 | |||||
Mocon, Inc. | 535 | 7,222 | ||||||
*ModusLink Global Solutions, Inc. | 5,100 | 33,813 | ||||||
Molex, Inc. Class A | 7,690 | 131,268 | ||||||
*MoneyGram International, Inc. | 7,073 | 17,046 | ||||||
*Monolithic Power Systems, Inc. | 3,320 | 53,352 | ||||||
*Monotype Imaging Holdings, Inc. | 4,300 | 40,979 | ||||||
#*MoSys, Inc. | 3,000 | 14,190 | ||||||
*Motorola, Inc. | 236,750 | 1,929,512 | ||||||
*Move, Inc. | 100 | 236 | ||||||
MTS Systems Corp. | 1,500 | 49,155 | ||||||
*Multi-Fineline Electronix, Inc. | 1,672 | 40,931 | ||||||
*Nanometrics, Inc. | 897 | 12,083 | ||||||
National Instruments Corp. | 6,970 | 242,486 | ||||||
National Semiconductor Corp. | 23,300 | 319,210 | ||||||
*NCI, Inc. Class A | 1,200 | 22,368 | ||||||
*NCR Corp. | 14,270 | 195,784 | ||||||
#*NetApp, Inc. | 35,760 | 1,904,220 | ||||||
*Netezza Corp. | 5,000 | 134,800 | ||||||
*NETGEAR, Inc. | 3,800 | 117,078 | ||||||
*NetLogic Microsystems, Inc. | 5,600 | 168,336 | ||||||
*NetScout Systems, Inc. | 4,708 | 110,497 | ||||||
*NetSuite, Inc. | 3,500 | 71,680 | ||||||
*Network Equipment Technologies, Inc. | 2,600 | 8,216 | ||||||
*NeuStar, Inc. | 6,500 | 167,765 | ||||||
*Newport Corp. | 2,670 | 38,795 | ||||||
NIC, Inc. | 2,797 | 24,278 | ||||||
*Novatel Wireless, Inc. | 4,993 | 52,327 | ||||||
*Novell, Inc. | 34,000 | 201,620 | ||||||
*Novellus Systems, Inc. | 8,782 | 256,522 | ||||||
*Nu Horizons Electronics Corp. | 1,300 | 9,048 | ||||||
#*Nuance Communications, Inc. | 23,530 | 369,656 | ||||||
*NumereX Corp. Class A | 700 | 5,432 | ||||||
*Nvidia Corp. | 54,400 | 654,432 | ||||||
*Occam Networks, Inc. | 2,971 | 21,896 | ||||||
#*Oclaro, Inc. | 4,000 | 33,640 | ||||||
#*OmniVision Technologies, Inc. | 5,200 | 141,076 | ||||||
*ON Semiconductor Corp. | 40,765 | 312,668 | ||||||
*Online Resources Corp. | 4,610 | 23,880 | ||||||
*Onvia, Inc. | 389 | 1,179 | ||||||
*OpenTable, Inc. | 643 | 39,448 | ||||||
*Oplink Communications, Inc. | 1,500 | 26,220 | ||||||
OPNET Technologies, Inc. | 2,358 | 46,476 | ||||||
*Opnext, Inc. | 4,784 | 7,224 | ||||||
*Optical Cable Corp. | 1,300 | 4,186 | ||||||
*Oracle Corp. | 402,316 | 11,828,090 | ||||||
*OSI Systems, Inc. | 2,078 | 74,808 | ||||||
*PAR Technology Corp. | 1,750 | 10,938 | ||||||
*Parametric Technology Corp. | 11,060 | 237,458 | ||||||
Park Electrochemical Corp. | 2,544 | 68,688 | ||||||
*Paychex, Inc. | 32,850 | 909,945 | ||||||
*PC Connection, Inc. | 1,900 | 15,998 | ||||||
*PC Mall, Inc. | 1,968 | 12,241 | ||||||
*PC-Tel, Inc. | 2,700 | 15,984 | ||||||
*PDF Solutions, Inc. | 2,729 | 11,052 | ||||||
Pegasystems, Inc. | 1,300 | 35,165 | ||||||
*Perficient, Inc. | 2,900 | 30,624 | ||||||
*Performance Technologies, Inc. | 1,357 | 2,741 | ||||||
*Pericom Semiconductor Corp. | 2,935 | 27,648 | ||||||
*Pervasive Software, Inc. | 2,700 | 13,716 | ||||||
*Phoenix Technologies, Ltd. | 100 | 412 |
219
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
#*Photronics, Inc. | 4,200 | $ | 26,376 | |||||
Plantronics, Inc. | 3,799 | 136,308 | ||||||
*Plexus Corp. | 4,363 | 132,417 | ||||||
*PLX Technology, Inc. | 3,500 | 12,460 | ||||||
*PMC - Sierra, Inc. | 21,900 | 168,411 | ||||||
*Polycom, Inc. | 8,600 | 290,508 | ||||||
Power Integrations, Inc. | 2,500 | 85,400 | ||||||
*Presstek, Inc. | 266 | 492 | ||||||
—*Price Communications Liquidation Trust | 3,605 | — | ||||||
*Progress Software Corp. | 4,500 | 168,165 | ||||||
*PROS Holdings, Inc. | 1,082 | 11,253 | ||||||
QAD, Inc. | 3,361 | 14,486 | ||||||
*QLogic Corp. | 9,800 | 172,186 | ||||||
*QUALCOMM, Inc. | 162,070 | 7,314,219 | ||||||
Qualstar Corp. | 300 | 486 | ||||||
*Quest Software, Inc. | 8,528 | 223,178 | ||||||
*Radiant Systems, Inc. | 3,908 | 76,245 | ||||||
*RadiSys Corp. | 2,460 | 24,034 | ||||||
*Rambus, Inc. | 10,284 | 203,315 | ||||||
*RealNetworks, Inc. | 12,200 | 36,600 | ||||||
*Red Hat, Inc. | 18,550 | 783,923 | ||||||
*Reis, Inc. | 1,130 | 7,797 | ||||||
Renaissance Learning, Inc. | 2,032 | 28,387 | ||||||
#*RF Micro Devices, Inc. | 25,500 | 185,895 | ||||||
Richardson Electronics, Ltd. | 2,200 | 23,804 | ||||||
#*RightNow Technologies, Inc. | 2,400 | 62,688 | ||||||
*Rimage Corp. | 1,691 | 25,078 | ||||||
*Riverbed Technology, Inc. | 7,600 | 437,304 | ||||||
*Rofin-Sinar Technologies, Inc. | 3,700 | 103,341 | ||||||
*Rogers Corp. | 1,286 | 45,782 | ||||||
*Rosetta Stone, Inc. | 696 | 16,112 | ||||||
#*Rovi Corp. | 10,313 | 522,353 | ||||||
#*Rubicon Technology, Inc. | 1,800 | 41,616 | ||||||
*Rudolph Technologies, Inc. | 2,537 | 18,825 | ||||||
*S1 Corp. | 7,390 | 43,010 | ||||||
*Saba Software, Inc. | 3,400 | 20,264 | ||||||
#*SAIC, Inc. | 36,600 | 568,764 | ||||||
#*Salesforce.com, Inc. | 12,350 | 1,433,464 | ||||||
*Sandisk Corp. | 23,720 | 891,398 | ||||||
Sapient Corp. | 13,000 | 171,080 | ||||||
*SAVVIS, Inc. | 5,160 | 123,788 | ||||||
*ScanSource, Inc. | 2,584 | 77,365 | ||||||
*Scientific Learning Corp. | 187 | 651 | ||||||
*SeaChange International, Inc. | 4,800 | 38,592 | ||||||
*Seagate Technology | 49,380 | 723,417 | ||||||
*Semtech Corp. | 7,320 | 156,721 | ||||||
*ShoreTel, Inc. | 4,940 | 30,924 | ||||||
*Sigma Designs, Inc. | 2,500 | 28,525 | ||||||
#*Silicon Graphics International Corp. | 2,152 | 16,291 | ||||||
*Silicon Image, Inc. | 5,600 | 34,440 | ||||||
#*Silicon Laboratories, Inc. | 4,120 | 164,388 | ||||||
#*Skyworks Solutions, Inc. | 18,521 | 424,316 | ||||||
#*Smart Modular Technologies (WWH), Inc. | 4,400 | 32,516 | ||||||
*Smith Micro Software, Inc. | 3,600 | 43,776 | ||||||
Solera Holdings, Inc. | 6,892 | 331,161 | ||||||
*Sonic Solutions, Inc. | 2,052 | 24,562 | ||||||
*Sourcefire, Inc. | 2,700 | 63,693 | ||||||
*Spansion, Inc. Class A | 2,314 | 40,472 | ||||||
*Spark Networks, Inc. | 1,760 | 5,280 | ||||||
*Spectrum Control, Inc. | 2,000 | 30,520 | ||||||
*SRA International, Inc. | 4,500 | 90,045 |
220
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
*SRS Labs, Inc. | 2,843 | $ | 25,132 | |||||
#*Stamps.com, Inc. | 1,943 | 31,010 | ||||||
*Standard Microsystems Corp. | 2,342 | 56,536 | ||||||
*StarTek, Inc. | 2,385 | 9,731 | ||||||
#*STEC, Inc. | 5,527 | 86,221 | ||||||
#*Stratasys, Inc. | 2,463 | 77,141 | ||||||
*SuccessFactors, Inc. | 5,043 | 136,766 | ||||||
*Super Micro Computer, Inc. | 1,989 | 22,118 | ||||||
*Supertex, Inc. | 1,500 | 35,235 | ||||||
*Support.com, Inc. | 5,150 | 29,200 | ||||||
Sycamore Networks, Inc. | 3,928 | 119,765 | ||||||
*Symantec Corp. | 80,115 | 1,296,261 | ||||||
*Symmetricom, Inc. | 5,609 | 34,944 | ||||||
#*Synaptics, Inc. | 3,300 | 88,869 | ||||||
*Synchronoss Technologies, Inc. | 1,806 | 38,486 | ||||||
*SYNNEX Corp. | 3,320 | 96,413 | ||||||
*Synopsys, Inc. | 15,629 | 399,790 | ||||||
Syntel, Inc. | 3,400 | 166,124 | ||||||
*Take-Two Interactive Software, Inc. | 2,800 | 29,848 | ||||||
*Taleo Corp. | 2,973 | 85,295 | ||||||
*Tech Data Corp. | 5,300 | 227,847 | ||||||
*TechTarget, Inc. | 3,253 | 17,046 | ||||||
*TechTeam Global, Inc. | 1,479 | 10,811 | ||||||
*Tekelec | 8,300 | 108,066 | ||||||
*TeleCommunication Systems, Inc. | 4,200 | 22,722 | ||||||
*TeleTech Holdings, Inc. | 1,500 | 22,770 | ||||||
*Tellabs, Inc. | 37,363 | 254,816 | ||||||
*Teradata Corp. | 17,185 | 676,402 | ||||||
#*Teradyne, Inc. | 16,100 | 180,964 | ||||||
#*Terremark Worldwide, Inc. | 5,500 | 54,945 | ||||||
Tessco Technologies, Inc. | 1,314 | 19,841 | ||||||
*Tessera Technologies, Inc. | 2,400 | 47,352 | ||||||
*Texas Instruments, Inc. | 125,330 | 3,706,008 | ||||||
*THQ, Inc. | 7,619 | 30,476 | ||||||
*TIBCO Software, Inc. | 20,000 | 384,400 | ||||||
*Tier Technologies, Inc. | 2,100 | 11,991 | ||||||
*TNS, Inc. | 2,000 | 38,280 | ||||||
*Tollgrade Communications, Inc. | 1,200 | 9,540 | ||||||
Total System Services, Inc. | 18,883 | 294,764 | ||||||
*Travelzoo, Inc. | 1,041 | 35,758 | ||||||
*Trimble Navigation, Ltd. | 12,247 | 438,932 | ||||||
*Triquint Semiconductor, Inc. | 17,700 | 182,310 | ||||||
*TTM Technologies, Inc. | 4,100 | 42,968 | ||||||
#*Tyler Technologies, Inc. | 3,644 | 74,374 | ||||||
#*Ultimate Software Group, Inc. | 2,331 | 96,457 | ||||||
*Ultra Clean Holdings, Inc. | 1,400 | 10,542 | ||||||
*Ultratech, Inc. | 2,200 | 40,282 | ||||||
*Unisys Corp. | 3,800 | 87,590 | ||||||
United Online, Inc. | 9,350 | 57,783 | ||||||
#*Universal Display Corp. | 4,358 | 109,124 | ||||||
*UTStarcom, Inc. | 9,600 | 19,392 | ||||||
#*ValueClick, Inc. | 8,200 | 112,832 | ||||||
*Varian Semiconductor Equipment Associates, Inc. | 7,197 | 235,126 | ||||||
#*Veeco Instruments, Inc. | 3,300 | 138,105 | ||||||
*VeriFone Systems, Inc. | 6,500 | 219,895 | ||||||
*VeriSign, Inc. | 19,032 | 661,362 | ||||||
*Viasat, Inc. | 3,700 | 152,329 | ||||||
#*Viasystems Group, Inc. | 187 | 2,945 | ||||||
*Vicon Industries, Inc. | 900 | 3,762 | ||||||
*Video Display Corp. | 1,359 | 5,585 | ||||||
Virnetx Holding Corp. | 3,500 | 64,925 |
221
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Information Technology — (Continued) | ||||||||
*Virtusa Corp. | 2,157 | $ | 30,759 | |||||
*Visa, Inc. | 51,000 | 3,986,670 | ||||||
#*Vishay Intertechnology, Inc. | 16,942 | 191,445 | ||||||
#*VistaPrint NV | 3,805 | 160,076 | ||||||
*VMware, Inc. Class A | 10,457 | 799,542 | ||||||
*Vocus, Inc. | 1,100 | 24,365 | ||||||
#*Volterra Semiconductor Corp. | 1,900 | 38,817 | ||||||
Wayside Technology Group, Inc. | 252 | 2,754 | ||||||
*Web.com Group, Inc. | 2,905 | 18,011 | ||||||
*WebMD Health Corp. | 3,654 | 191,031 | ||||||
*Websense, Inc. | 4,764 | 95,852 | ||||||
*Western Digital Corp. | 22,500 | 720,450 | ||||||
Western Union Co. (The) | 67,695 | 1,191,432 | ||||||
*Wright Express Corp. | 3,640 | 137,264 | ||||||
Xerox Corp. | 135,555 | 1,585,994 | ||||||
*Xilinx, Inc. | 25,630 | 687,140 | ||||||
#*X-Rite, Inc. | 500 | 2,025 | ||||||
*Yahoo!, Inc. | 110,649 | 1,826,815 | ||||||
*Zebra Technologies Corp. Class A | 5,280 | 188,918 | ||||||
*Zix Corp. | 6,500 | 25,285 | ||||||
*Zoran Corp. | 4,700 | 33,276 | ||||||
*Zygo Corp. | 165 | 1,766 | ||||||
Total Information Technology | 251,960,584 | |||||||
Materials — (4.2%) | ||||||||
A. Schulman, Inc. | 3,518 | 76,341 | ||||||
*A.M. Castle & Co. | 1,388 | 21,375 | ||||||
*AEP Industries, Inc. | 800 | 19,496 | ||||||
Air Products & Chemicals, Inc. | 21,601 | 1,835,437 | ||||||
Airgas, Inc. | 8,500 | 602,905 | ||||||
*AK Steel Holding Corp. | 10,900 | 137,231 | ||||||
Albemarle Corp. | 8,800 | 441,144 | ||||||
*Alcoa, Inc. | 98,038 | 1,287,239 | ||||||
Allegheny Technologies, Inc. | 9,221 | 485,854 | ||||||
AMCOL International Corp. | 2,861 | 79,364 | ||||||
*American Pacific Corp. | 300 | 1,806 | ||||||
American Vanguard Corp. | 2,950 | 21,742 | ||||||
AptarGroup, Inc. | 7,000 | 314,160 | ||||||
*Arabian American Development Co. | 700 | 2,086 | ||||||
Arch Chemicals, Inc. | 2,400 | 85,224 | ||||||
Ashland, Inc. | 7,707 | 397,912 | ||||||
Balchem Corp. | 3,412 | 104,286 | ||||||
*Ball Corp. | 9,721 | 625,644 | ||||||
*Bemis Co., Inc. | 9,991 | 317,314 | ||||||
*Boise, Inc. | 1,925 | 13,956 | ||||||
*Brush Engineered Materials, Inc. | 2,140 | 70,941 | ||||||
Buckeye Technologies, Inc. | 3,300 | 59,565 | ||||||
Cabot Corp. | 5,800 | 197,316 | ||||||
*Calgon Carbon Corp. | 5,700 | 85,557 | ||||||
*Capital Gold Corp. | 4,200 | 18,438 | ||||||
Carpenter Technology Corp. | 4,100 | 146,206 | ||||||
Celanese Corp. Class A | 13,500 | 481,275 | ||||||
*CF Industries Holdings, Inc. | 6,823 | 836,022 | ||||||
#*Clearwater Paper Corp. | 600 | 48,450 | ||||||
*Cliffs Natural Resources, Inc. | 14,000 | 912,800 | ||||||
*Coeur d’Alene Mines Corp. | 6,300 | 129,843 | ||||||
Commercial Metals Co. | 10,600 | 147,128 | ||||||
Compass Minerals International, Inc. | 3,100 | 244,497 | ||||||
*Core Molding Technologies, Inc. | 389 | 1,863 | ||||||
*Crown Holdings, Inc. | 15,700 | 505,383 | ||||||
Cytec Industries, Inc. | 5,200 | 257,504 |
222
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Materials — (Continued) | ||||||||
Deltic Timber Corp. | 1,300 | $ | 60,684 | |||||
#Domtar Corp. | 3,900 | 309,504 | ||||||
Dow Chemical Co. (The) | 118,525 | 3,654,126 | ||||||
*E.I. du Pont de Nemours & Co. | 92,760 | 4,385,693 | ||||||
Eagle Materials, Inc. | 4,719 | 110,708 | ||||||
Eastman Chemical Co. | 7,500 | 589,275 | ||||||
Ecolab, Inc. | 23,857 | 1,176,627 | ||||||
*Ferro Corp. | 4,900 | 67,228 | ||||||
FMC Corp. | 7,000 | 511,700 | ||||||
*Freeport-McMoRan Copper & Gold, Inc. Class B | 42,780 | 4,050,410 | ||||||
Friedman Industries, Inc. | 1,199 | 8,117 | ||||||
*General Moly, Inc. | 6,400 | 33,408 | ||||||
#*Georgia Gulf Corp. | 1,500 | 30,345 | ||||||
*Globe Specialty Metals, Inc. | 614 | 9,542 | ||||||
*Graphic Packaging Holding Co. | 14,415 | 52,759 | ||||||
Greif, Inc. Class A | 2,500 | 146,850 | ||||||
H.B. Fuller Co. | 4,800 | 99,072 | ||||||
Hawkins, Inc. | 888 | 31,879 | ||||||
Haynes International, Inc. | 1,800 | 65,268 | ||||||
*Headwaters, Inc. | 7,000 | 23,800 | ||||||
#*Hecla Mining Co. | 24,200 | 166,738 | ||||||
*Horsehead Holding Corp. | 3,700 | 40,441 | ||||||
Huntsman Corp. | 19,246 | 266,557 | ||||||
Innophos Holdings, Inc. | 2,800 | 102,816 | ||||||
*Innospec, Inc. | 1,700 | 28,781 | ||||||
International Flavors & Fragrances, Inc. | 7,530 | 377,705 | ||||||
*International Paper Co. | 44,300 | 1,119,904 | ||||||
*Intrepid Potash, Inc. | 5,200 | 178,516 | ||||||
Kaiser Aluminum Corp. | 1,600 | 71,984 | ||||||
*KapStone Paper & Packaging Corp. | 1,000 | 12,800 | ||||||
KMG Chemicals, Inc. | 1,500 | 20,985 | ||||||
Koppers Holdings, Inc. | 1,700 | 47,396 | ||||||
#*Kronos Worldwide, Inc. | 5,583 | 225,832 | ||||||
*Landec Corp. | 3,992 | 25,110 | ||||||
Limoneira Co. | 60 | 1,214 | ||||||
*Louisiana-Pacific Corp. | 11,400 | 88,236 | ||||||
*LSB Industries, Inc. | 1,900 | 42,465 | ||||||
Lubrizol Corp. | 6,800 | 696,932 | ||||||
#Martin Marietta Materials, Inc. | 4,700 | 378,256 | ||||||
*MeadWestavco Corp. | 18,410 | 473,689 | ||||||
*Mercer International, Inc. | 2,413 | 12,789 | ||||||
Minerals Technologies, Inc. | 1,600 | 93,872 | ||||||
*Monsanto Co. | 51,170 | 3,040,521 | ||||||
Mosaic Co. (The) | 15,557 | 1,138,150 | ||||||
Myers Industries, Inc. | 3,866 | 34,137 | ||||||
Nalco Holding Co. | 12,933 | 364,452 | ||||||
NewMarket Corp. | 1,500 | 177,780 | ||||||
*Newmont Mining Corp. | 48,860 | 2,974,108 | ||||||
NL Industries, Inc. | 5,704 | 65,539 | ||||||
*Northern Technologies International Corp. | 300 | 4,356 | ||||||
Nucor Corp. | 32,280 | 1,233,742 | ||||||
Olin Corp. | 8,155 | 163,018 | ||||||
Olympic Steel, Inc. | 1,600 | 35,872 | ||||||
*OM Group, Inc. | 3,200 | 106,464 | ||||||
*Omnova Solutions, Inc. | 3,300 | 26,334 | ||||||
*Owens-Illinois, Inc. | 17,600 | 493,328 | ||||||
P.H. Glatfelter Co. | 5,000 | 62,200 | ||||||
Packaging Corp. of America | 10,100 | 246,743 | ||||||
*Pactiv Corp. | 13,900 | 461,202 | ||||||
*Penford Corp. | 1,928 | 11,452 | ||||||
*PolyOne Corp. | 12,400 | 160,208 |
223
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Materials — (Continued) | ||||||||
*PPG Industries, Inc. | 17,035 | $ | 1,306,584 | |||||
*Praxair, Inc. | 31,200 | 2,849,808 | ||||||
Quaker Chemical Corp. | 900 | 32,778 | ||||||
Reliance Steel & Aluminum Co. | 7,700 | 322,245 | ||||||
Rock-Tenn Co. Class A | 4,012 | 228,082 | ||||||
*Rockwood Holdings, Inc. | 7,780 | 263,898 | ||||||
Royal Gold, Inc. | 4,600 | 227,746 | ||||||
RPM International, Inc. | 14,000 | 289,940 | ||||||
*RTI International Metals, Inc. | 2,100 | 65,310 | ||||||
Schnitzer Steel Industries, Inc. Class A | 2,724 | 140,804 | ||||||
Schweitzer-Maudoit International, Inc. | 2,340 | 150,181 | ||||||
#Scotts Miracle-Gro Co. Class A (The) | 4,760 | 254,184 | ||||||
*Sealed Air Corp. | 15,177 | 351,348 | ||||||
*Senomyx, Inc. | 3,301 | 16,505 | ||||||
Sensient Technologies Corp. | 6,202 | 200,387 | ||||||
*Sherwin-Williams Co. | 10,200 | 744,294 | ||||||
#*Sigma-Aldrich Corp. | 12,100 | 767,382 | ||||||
Silgan Holdings, Inc. | 5,200 | 175,500 | ||||||
*Solitario Exploration & Royalty Corp. | 400 | 888 | ||||||
*Solutia, Inc. | 12,300 | 222,753 | ||||||
Sonoco Products Co. | 10,972 | 367,562 | ||||||
Southern Copper Corp. | 42,482 | 1,818,230 | ||||||
*Spartech Corp. | 2,300 | 19,458 | ||||||
Steel Dynamics, Inc. | 21,700 | 315,084 | ||||||
Stepan Co. | 1,200 | 80,928 | ||||||
#*Stillwater Mining Co. | 9,500 | 169,100 | ||||||
Synalloy Corp. | 1,037 | 9,717 | ||||||
Temple-Inland, Inc. | 11,100 | 229,992 | ||||||
Texas Industries, Inc. | 2,900 | 99,093 | ||||||
*Titanium Metals Corp. | 18,817 | 369,942 | ||||||
#*U.S. Gold Corp. | 8,900 | 46,547 | ||||||
*United States Lime & Minerals, Inc. | 353 | 14,296 | ||||||
#*United States Steel Corp. | 14,700 | 629,013 | ||||||
*Universal Stainless & Alloy Products, Inc. | 300 | 8,682 | ||||||
Valhi, Inc. | 10,794 | 217,823 | ||||||
Valspar Corp. | 10,400 | 333,840 | ||||||
*Vulcan Materials Co. | 12,183 | 444,801 | ||||||
Walter Energy, Inc. | 5,300 | 466,188 | ||||||
*Wausau Paper Corp. | 5,223 | 44,082 | ||||||
Westlake Chemical Corp. | 4,430 | 141,583 | ||||||
*Weyerhaeuser Co. | 32,353 | 524,766 | ||||||
Worthington Industries, Inc. | 3,400 | 52,360 | ||||||
*WR Grace & Co. | 7,500 | 240,450 | ||||||
Zep, Inc. | 2,526 | 45,822 | ||||||
*Zoltek Cos., Inc. | 3,087 | 29,635 | ||||||
Total Materials | 57,032,534 | |||||||
Other — (0.0%) | ||||||||
—*MAIR Holdings, Inc. Escrow Shares | 700 | — | ||||||
—*Petrocorp, Inc. Escrow Shares | 100 | 6 | ||||||
Total Other | 6 | |||||||
Telecommunication Services — (2.8%) | ||||||||
*AboveNet, Inc. | 1,200 | 68,268 | ||||||
Alaska Communications Systems Group, Inc. | 4,500 | 45,135 | ||||||
*American Tower Corp. | 40,104 | 2,069,767 | ||||||
*Arbinet Corp. | 725 | 4,858 | ||||||
*AT&T, Inc. | 583,080 | 16,617,780 | ||||||
Atlantic Tele-Network, Inc. | 1,364 | 57,643 | ||||||
*Cbeyond, Inc. | 2,162 | 29,295 | ||||||
#*CenturyLink, Inc. | 29,411 | 1,217,027 |
224
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Telecommunication Services — (Continued) | ||||||||
*Cincinnati Bell, Inc. | 21,600 | $ | 52,920 | |||||
*Cogent Communications Group, Inc. | 2,089 | 22,666 | ||||||
Consolidated Communications Holdings, Inc. | 3,313 | 61,357 | ||||||
*Crown Castle International Corp. | 28,900 | 1,246,168 | ||||||
#*FiberTower Corp. | 3,200 | 14,400 | ||||||
*Frontier Communications Corp. | 99,249 | 871,406 | ||||||
*General Communications, Inc. Class A | 4,600 | 48,070 | ||||||
#*Global Crossing, Ltd. | 4,357 | 59,255 | ||||||
HickoryTech Corp. | 2,100 | 19,110 | ||||||
*IDT Corp. Class B | 1,000 | 14,680 | ||||||
*Iridium Communications, Inc. | 1,333 | 10,997 | ||||||
*Leap Wireless International, Inc. | 7,825 | 89,283 | ||||||
#*MetroPCS Communications, Inc. | 21,144 | 220,109 | ||||||
*Neutral Tandem, Inc. | 2,700 | 39,474 | ||||||
*NII Holdings, Inc. | 16,052 | 671,134 | ||||||
NTELOS Holdings Corp. | 4,000 | 72,680 | ||||||
*PAETEC Holding Corp. | 13,200 | 55,704 | ||||||
*Premiere Global Services, Inc. | 5,500 | 37,565 | ||||||
#Qwest Communications International, Inc. | 168,560 | 1,112,496 | ||||||
#*SBA Communications Corp. | 11,200 | 439,712 | ||||||
Shenandoah Telecommunications Co. | 3,100 | 56,575 | ||||||
*Sprint Nextel Corp. | 302,721 | 1,247,211 | ||||||
*SureWest Communications | 2,098 | 16,784 | ||||||
*Syniverse Holdings, Inc. | 7,480 | 228,065 | ||||||
Telephone & Data Systems, Inc. | 4,800 | 167,184 | ||||||
Telephone & Data Systems, Inc. Special Shares | 4,700 | 140,201 | ||||||
*tw telecom, Inc. | 13,500 | 248,400 | ||||||
*United States Cellular Corp. | 4,375 | 203,262 | ||||||
USA Mobility, Inc. | 3,500 | 58,905 | ||||||
*Verizon Communications, Inc. | 289,775 | 9,408,994 | ||||||
*Vonage Holdings Corp. | 2,655 | 6,770 | ||||||
#Windstream Corp. | 48,185 | 610,022 | ||||||
*Xeta Corp. | 1,100 | 4,004 | ||||||
Total Telecommunication Services | 37,665,336 | |||||||
Utilities — (3.6%) | ||||||||
*AES Corp. | 68,393 | 816,612 | ||||||
AGL Resources, Inc. | 7,800 | 306,228 | ||||||
Allegheny Energy, Inc. | 16,900 | 392,080 | ||||||
ALLETE, Inc. | 3,100 | 112,778 | ||||||
Alliant Energy Corp. | 11,500 | 420,095 | ||||||
*Ameren Corp. | 24,800 | 718,704 | ||||||
*American Electric Power Co., Inc. | 47,578 | 1,781,320 | ||||||
American States Water Co. | 1,900 | 70,965 | ||||||
American Water Works Co., Inc. | 17,800 | 425,064 | ||||||
Aqua America, Inc. | 13,967 | 300,710 | ||||||
Artesian Resources Corp. | 471 | 8,987 | ||||||
Atmos Energy Corp. | 9,030 | 265,934 | ||||||
Avista Corp. | 5,100 | 111,384 | ||||||
#Black Hills Corp. | 3,500 | 111,440 | ||||||
California Water Service Group | 1,914 | 71,469 | ||||||
#*Calpine Corp. | 45,112 | 563,900 | ||||||
*CenterPoint Energy, Inc. | 40,500 | 670,680 | ||||||
Central Vermont Public Service Corp. | 1,249 | 25,255 | ||||||
CH Energy Group, Inc. | 1,800 | 81,810 | ||||||
Chesapeake Utilities Corp. | 1,000 | 36,690 | ||||||
Cleco Corp. | 6,582 | 205,819 | ||||||
*CMS Energy Corp. | 23,700 | 435,606 | ||||||
Connecticut Water Services, Inc. | 500 | 12,205 | ||||||
*Consolidated Edison, Inc. | 29,900 | 1,486,628 | ||||||
Constellation Energy Group, Inc. | 19,625 | 593,460 |
225
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Utilities — (Continued) | ||||||||
Delta Natural Gas Co., Inc. | 360 | $ | 11,041 | |||||
*Dominion Resources, Inc. | 58,437 | 2,539,672 | ||||||
DPL, Inc. | 11,653 | 304,143 | ||||||
DTE Energy Co. | 17,003 | 795,060 | ||||||
*Duke Energy Corp. | 132,788 | 2,418,069 | ||||||
Edison International, Inc. | 32,200 | 1,188,180 | ||||||
*El Paso Electric Co. | 4,200 | 103,320 | ||||||
Empire District Electric Co. | 4,170 | 87,737 | ||||||
Energen Corp. | 7,000 | 312,480 | ||||||
*Entergy Corp. | 19,700 | 1,468,241 | ||||||
*EQT Corp. | 13,942 | 521,988 | ||||||
*Exelon Corp. | 63,508 | 2,592,397 | ||||||
*FirstEnergy Corp. | 31,400 | 1,140,448 | ||||||
Gas Natural, Inc. | 850 | 9,605 | ||||||
Great Plains Energy, Inc. | 14,200 | 270,226 | ||||||
Hawaiian Electric Industries, Inc. | 9,600 | 216,384 | ||||||
IDACORP, Inc. | 4,751 | 174,837 | ||||||
*Integrys Energy Group, Inc. | 8,307 | 441,849 | ||||||
ITC Holdings Corp. | 4,900 | 306,789 | ||||||
Laclede Group, Inc. | 2,600 | �� | 91,286 | |||||
MDU Resources Group, Inc. | 18,500 | 368,705 | ||||||
MGE Energy, Inc. | 2,398 | 97,239 | ||||||
Middlesex Water Co. | 1,920 | 34,291 | ||||||
*Mirant Corp. | 15,500 | 164,455 | ||||||
National Fuel Gas Co. | 7,110 | 392,330 | ||||||
New Jersey Resources Corp. | 4,497 | 182,084 | ||||||
*NextEra Energy, Inc. | 40,926 | 2,252,567 | ||||||
#Nicor, Inc. | 4,400 | 209,572 | ||||||
*NiSource, Inc. | 26,412 | 457,192 | ||||||
*Northeast Utilities, Inc. | 17,840 | 558,035 | ||||||
Northwest Natural Gas Co. | 2,997 | 147,722 | ||||||
NorthWestern Corp. | 3,600 | 107,172 | ||||||
*NRG Energy, Inc. | 27,100 | 539,561 | ||||||
NSTAR | 10,800 | 450,468 | ||||||
NV Energy, Inc. | 23,000 | 314,180 | ||||||
OGE Energy Corp. | 9,800 | 432,768 | ||||||
*Oneok, Inc. | 10,800 | 538,056 | ||||||
#Ormat Technologies, Inc. | 3,300 | 94,083 | ||||||
Otter Tail Corp. | 3,601 | 73,893 | ||||||
Pennichuck Corp. | 600 | 14,412 | ||||||
Pepco Holdings, Inc. | 23,100 | 444,906 | ||||||
PG&E Corp. | 40,400 | 1,931,928 | ||||||
#Piedmont Natural Gas Co. | 7,900 | 232,971 | ||||||
*Pinnacle West Capital Corp. | 11,015 | 453,377 | ||||||
PNM Resources, Inc. | 8,150 | 96,088 | ||||||
Portland General Electric Co. | 7,007 | 146,446 | ||||||
PPL Corp. | 49,900 | 1,342,310 | ||||||
*Progress Energy, Inc. | 29,550 | 1,329,750 | ||||||
*Public Service Enterprise Group, Inc. | 51,891 | 1,678,674 | ||||||
Questar Corp. | 18,500 | 313,945 | ||||||
RGC Resources, Inc. | 100 | 3,101 | ||||||
*RRI Energy, Inc. | 36,499 | 137,236 | ||||||
SCANA Corp. | 12,820 | 523,569 | ||||||
Sempra Energy | 23,400 | 1,251,432 | ||||||
SJW Corp. | 2,556 | 61,855 | ||||||
South Jersey Industries, Inc. | 3,300 | 166,188 | ||||||
*Southern Co. | 84,800 | 3,211,376 | ||||||
Southwest Gas Corp. | 4,335 | 150,685 | ||||||
*TECO Energy, Inc. | 20,600 | 362,354 | ||||||
UGI Corp. | 11,600 | 349,044 | ||||||
UIL Holdings Corp. | 2,833 | 82,044 |
226
THE TAX-MANAGED U.S. EQUITY SERIES
CONTINUED
Shares | Value† | |||||||
Utilities — (Continued) | ||||||||
Unisource Energy Corp. | 3,300 | $ | 115,731 | |||||
Unitil Corp. | 800 | 17,376 | ||||||
Vectren Corp. | 8,200 | 224,516 | ||||||
Westar Energy, Inc. | 10,700 | 270,710 | ||||||
WGL Holdings, Inc. | 5,207 | 200,730 | ||||||
*Wisconsin Energy Corp. | 12,000 | 714,480 | ||||||
Xcel Energy, Inc. | 47,800 | 1,140,508 | ||||||
York Water Co. | 1,100 | 17,413 | ||||||
Total Utilities | 49,419,103 | |||||||
TOTAL COMMON STOCKS | 1,280,290,733 | |||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||
*Celgene Corp. Contingent Value Rights | 1,104 | 5,354 | ||||||
—*Contra Pharmacopeia Contingent Value Rights | 361 | — | ||||||
—*Emergent Biosolutions, Inc. Contingent Value Rights | 800 | — | ||||||
TOTAL RIGHTS/WARRANTS | 5,354 | |||||||
TEMPORARY CASH INVESTMENTS — (0.5%) | ||||||||
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares | 6,782,405 | 6,782,405 | ||||||
Shares/ Face Amount | ||||||||
(000) | ||||||||
SECURITIES LENDING COLLATERAL — (5.5%) | ||||||||
§@DFA Short Term Investment Fund | 74,215,068 | 74,215,068 | ||||||
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.23%, 11/01/10 (Collateralized | $353 | 353,270 | ||||||
TOTAL SECURITIES LENDING COLLATERAL | 74,568,338 | |||||||
TOTAL INVESTMENTS — (100.0%) | ||||||||
(Cost $981,128,010) | $ | 1,361,646,830 | ||||||
227
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
The DFA Investment Trust Company:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of The U.S. Large Cap Value Series, The DFA International Value Series, The Emerging Markets Small Cap Series, The Canadian Small Company Series, The Japanese Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Asia Pacific Small Company Series, The Emerging Markets Series, The Tax-Managed U.S. Equity Series and The Tax-Managed U.S. Marketwide Value Series (constituting series within The DFA Investment Trust Company, hereafter referred to as the “Series”) as of October 31, 2010, and for the year then ended and have issued our unqualified report thereon dated December 22, 2010 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the Series’ investment portfolios (the “Portfolios”) as of October 31, 2010 appearing in Item 6 of this Form N-CSR. These Portfolios are the responsibility of the Series’ management. Our responsibility is to express an opinion on these Portfolios based on our audits. In our opinion, the Portfolios referred to above, when read in conjunction with the financial statements of the Series referred to above, present fairly, in all material respects, the information set forth therein.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2010
(b) Not applicable.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
This item is not applicable to the Registrant, which is an open-end management investment company.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
This item is not applicable to the Registrant, which is an open-end management investment company.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
This item is not applicable to the Registrant, which is an open-end management investment company.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
None.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | Based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this Form N-CSR (the “Report”), the Registrant’s Principal Executive Officer and Principal Financial Officer believe that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effectively designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant’s officers that are making certifications in the Report, as appropriate, to allow timely decisions regarding required disclosure. The Registrant’s |
management, including the Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
(a)(1) | Code of Ethics is filed herewith. | |||
(a)(2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. | |||
(a)(3) | This item is not applicable. | |||
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
The DFA Investment Trust Company
By: | /s/ David G. Booth | |
David G. Booth | ||
Chairman, Trustee, President and Co-Chief Executive Officer |
Date: January 5, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ David G. Booth | |
David G. Booth | ||
Principal Executive Officer | ||
The DFA Investment Trust Company |
Date: January 5, 2011
By: | /s/ David R. Martin | |
David R. Martin | ||
Principal Financial Officer | ||
The DFA Investment Trust Company |
Date: January 4, 2011