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 811-07440
DIMENSIONAL EMERGING MARKETS VALUE FUND
(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, President and General Counsel
Dimensional Emerging Markets Value Fund,
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, 2023
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
Annual Report
Year Ended: October 31, 2023
DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC. / THE DFA INVESTMENT TRUST COMPANY / DIMENSIONAL EMERGING MARKETS VALUE FUND
DFA Investment Dimensions Group Inc.
Large Cap International Portfolio
International Core Equity Portfolio
Global Small Company 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
International High Relative Profitability Portfolio
World ex U.S. Value Portfolio
World ex U.S. Core Equity Portfolio
World ex U.S. Targeted Value Portfolio
World Core Equity Portfolio
Selectively Hedged Global Equity Portfolio
Emerging Markets Portfolio
Emerging Markets Small Cap Portfolio
Emerging Markets Value Portfolio
Emerging Markets Core Equity Portfolio
Emerging Markets Targeted Value Portfolio
Emerging Markets ex China Core Equity Portfolio
Dimensional Investment Group Inc.
DFA International Value Portfolio
The DFA Investment Trust Company
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
Dimensional Emerging Markets Value Fund
December 2023
Dear Shareholder,
Dimensional has been working with financial professionals for more than 40 years to deliver better results for investors. Our commitment to understanding financial professionals’ needs and building solutions informed by empirical research and ongoing innovation has helped to transform the industry toward more transparent, data-driven investments.
We use the information contained in market prices to seek better returns and manage risk. Trusting markets means we take a less subjective, more systematic approach to investing—an approach we can implement consistently around the world and across asset classes. Investor needs, economic theory, and robust data guide our investment process, from conducting research, to designing portfolios, to considering when and how to trade.
What started with the launch of our first fund in 1981 still holds true today. Every dollar invested is backed by financial science and Dimensional’s commitment to providing an outstanding investment experience. On behalf of everyone at Dimensional, we thank you for entrusting us with your investments.
| | |
| Sincerely, | | |
| |
 | |  |
| |
| David P. Butler | | Gerard O’Reilly |
| CO-CHIEF EXECUTIVE OFFICER | | CO-CHIEF EXECUTIVE OFFICER and |
| | CHIEF INVESTMENT OFFICER |
[THIS PAGE INTENTIONALLY LEFT BLANK]
ANNUAL REPORT
Table of Contents
i
TABLE OF CONTENTS
CONTINUED
This report is submitted for the information of the Portfolio’s shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
ii
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 |
GDR | | Global Depositary Receipt |
REIT | | Real Estate Investment Trust |
AUD | | Australian Dollars |
CAD | | Canadian Dollars |
CHF | | Swiss Franc |
DKK | | Danish Krone |
EUR | | Euro |
GBP | | British Pounds |
HKD | | Hong Kong Dollar |
ILS | | Israeli New Shekel |
JPY | | Japanese Yen |
NOK | | Norwegian Krone |
NZD | | New Zealand Dollars |
SEK | | Swedish Krona |
SGD | | Singapore Dollars |
|
| Investment Footnotes |
# | | Total or Partial Securities on Loan. |
† | | See Note B to Financial Statements. |
@ | | Security purchased with cash collateral received from Securities on Loan. |
§ | | Affiliated Fund. |
» | | Securities that have been fair value factored. 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 in unaffiliated issuers 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. |
W | | Rule 144A, Section 4(2), or other security that is restricted as to resale to institutional investors. This security has been deemed liquid based upon the Fund’s Liquidity Guidelines. The liquidity determination is unaudited. |
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
| | |
| Financial Highlights | | |
| |
** | | The Net Investment Income (Loss) per share and the ratio of Net Investment Income to Average Net Assets includes the current year effect of an estimation related to a one time distribution from a real estate investment trust. Net Investment Income (Loss) per share, Net Gain (Loss) per share and the ratio of Net Investment Income to Average Net Assets for the DFA Global Real Estate Securities Portfolio would have been $0.39, $2.11 and 3.39%, respectively had the current year effect of this estimation not been considered. |
(A) | | Computed using average shares outstanding. |
(B) | | Represents the combined ratios for the respective Portfolio and its respective pro-rata share of its Master Fund(s) and/or Underlying Fund(s). |
(C) | | Non-Annualized |
(D) | | Annualized |
(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, rounded to zero, or less than $500. |
SEC | | Securities and Exchange Commission |
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
Large Cap International Portfolio vs.
MSCI World ex USA Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 14.00% | | | | 4.80% | | | | 3.41% | | | |
International Core Equity Portfolio vs.
MSCI World ex USA Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 13.84% | | | | 4.33% | | | | 3.57% | | | |
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
Global Small Company Portfolio vs.
MSCI All Country World Small Cap Index (net dividends)
January 18, 2017-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Since
Inception | | | |
| | | | | 2.05% | | | | 5.13% | | | | 5.16% | | | |
International Small Company Portfolio vs.
MSCI World ex USA Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 10.58% | | | | 3.25% | | | | 3.76% | | | |
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
Japanese Small Company Portfolio vs.
MSCI Japan Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 18.33% | | | | 0.63% | | | | 4.29% | | | |
Asia Pacific Small Company Portfolio vs.
MSCI Pacific ex Japan Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 0.37% | | | | 1.12% | | | | 0.94% | | | |
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
United Kingdom Small Company Portfolio vs.
MSCI UK Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 8.78% | | | | 0.39% | | | | 0.99% | | | |
Continental Small Company Portfolio vs.
MSCI Europe ex UK Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 11.43% | | | | 4.54% | | | | 5.25% | | | |
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
DFA International Real Estate Securities Portfolio vs.
S&P Global ex U.S. REIT Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. © 2023 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | -3.55% | | | | -2.73% | | | | -0.02% | | | |
DFA Global Real Estate Securities Portfolio vs.
S&P Global REIT Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. © 2023 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | -6.27% | | | | 0.78% | | | | 3.41% | | | |
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
DFA International Small Cap Value Portfolio vs.
MSCI World ex USA Small Value Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 17.80% | | | | 3.92% | | | | 3.72% | | | |
International Vector Equity Portfolio vs.
MSCI World ex USA Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 14.34% | | | | 4.11% | | | | 3.55% | | | |
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
International High Relative Profitability Portfolio vs.
MSCI World ex USA Index (net dividends)
May 16, 2017-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Since
Inception | | | |
| | | | | 13.58% | | | | 5.58% | | | | 4.24% | | | |
World ex U.S. Value Portfolio vs.
MSCI All Country World ex USA Value Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 16.53% | | | | 4.38% | | | | 2.99% | | | |
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
World Ex U.S. Core Equity Portfolio vs.
MSCI All Country World ex USA Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 14.01% | | | | 4.49% | | | | 3.32% | | | |
World ex U.S. Targeted Value Portfolio vs.
MSCI All Country World ex USA SMID Value Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 15.76% | | | | 4.10% | | | | 3.46% | | | |
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
World Core Equity Portfolio vs.
MSCI All Country World Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 9.65% | | | | 7.45% | | | | 6.96% | | | |
Selectively Hedged Global Equity Portfolio vs.
MSCI All Country World Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 9.43% | | | | 8.04% | | | | 7.22% | | | |
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
Emerging Markets Portfolio vs.
MSCI Emerging Markets Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 13.02% | | | | 3.01% | | | | 1.95% | | | |
Emerging Markets Small Cap Portfolio vs.
MSCI Emerging Markets Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 15.09% | | | | 6.58% | | | | 4.14% | | | |
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
Emerging Markets Value Portfolio — Institutional Class vs.
MSCI Emerging Markets Value Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 15.71% | | | | 3.57% | | | | 2.22% | | | |
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
Emerging Markets Core Equity Portfolio vs.
MSCI Emerging Markets Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 15.49% | | | | 4.27% | | | | 2.57% | | | |
Emerging Markets Targeted Value Portfolio vs.
MSCI Emerging Markets Index (net dividends)
November 14, 2018-October 31, 2023
| | | | | | | | | | | | | | | | |
| | | | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Since
Inception | | | | | |
| | | | | 15.20% | | | | 4.71% | | | | | |
14
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
Emerging Markets ex China Core Equity Portfolio vs.
MSCI Emerging Markets ex China Index (net dividends)
November 15, 2021-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | | | | One
Year | | | Since
Inception | | | |
| | | | | | | | | 14.04% | | | | -4.67% | | | |
15
MANAGEMENT’S DISCUSSION AND ANALYSIS
International Equity Market Review | 12 Months Ended October 31, 2023 |
Performance of non-U.S. developed markets was positive for the period outperforming the US and emerging markets. As measured by the MSCI World ex USA indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks underperformed large-cap stocks but outperformed small-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI World ex USA indices.
Total Return for 12 Months Ended October 31, 2023
| | | | |
| | | Return in U.S. Dollars | |
MSCI World ex USA Index | | | 12.56 | % |
MSCI World ex USA Mid Cap Index (a subset of the large-cap universe) | | | 9.62 | % |
MSCI World ex USA Small Cap Index | | | 5.66 | % |
MSCI World ex USA Value Index | | | 15.70 | % |
MSCI World ex USA Growth Index | | | 9.49 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.
Total Return for 12 Months Ended October 31, 2023
| | | | | | | | |
Ten Largest Foreign Developed Markets by Market Cap | | Local Return | | | Return in U.S. Dollars | |
Japan | | | 19.00 | % | | | 16.79 | % |
United Kingdom | | | 7.11 | % | | | 12.88 | % |
Canada | | | 0.51 | % | | | -1.24 | % |
France | | | 10.52 | % | | | 18.19 | % |
Switzerland | | | -2.37 | % | | | 7.36 | % |
Australia | | | 4.89 | % | | | 3.85 | % |
Germany | | | 10.73 | % | | | 18.42 | % |
Netherlands | | | 11.07 | % | | | 18.56 | % |
Sweden | | | 7.32 | % | | | 6.14 | % |
Denmark | | | 31.92 | % | | | 40.72 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
Emerging markets had positive performance for the period and outperformed U.S. markets while underperforming non-U.S. developed markets. As measured by the MSCI Emerging Markets indices, small-cap stocks outperformed large-cap stocks and mid-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI Emerging Markets indices.
16
Total Return for 12 Months Ended October 31, 2023
| | | | |
| | | Return in U.S. Dollars | |
MSCI Emerging Markets Index | | | 10.80 | % |
MSCI Emerging Markets Mid Cap Index (a subset of the large-cap universe) | | | 10.42 | % |
MSCI Emerging Markets Small Cap Index | | | 17.20 | % |
MSCI Emerging Markets Value Index | | | 13.43 | % |
MSCI Emerging Markets Growth Index | | | 8.33 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of emerging markets currencies. Overall, currency movements had a positive impact on the U.S. dollar denominated returns of emerging markets.
Total Return for 12 Months Ended October 31, 2023
| | | | | | | | |
Ten Largest Emerging Markets by Market Cap | | Local Return | | | Return in U.S. | |
Dollars | | | | | | |
China | | | 20.83 | % | | | 21.12 | % |
India | | | 4.76 | % | | | 4.16 | % |
Taiwan | | | 27.06 | % | | | 26.22 | % |
Korea | | | 2.72 | % | | | 8.34 | % |
Brazil | | | -1.84 | % | | | 2.14 | % |
Saudi Arabia | | | -11.52 | % | | | -11.38 | % |
South Africa | | | 3.73 | % | | | 1.69 | % |
Mexico | | | 0.13 | % | | | 10.10 | % |
Indonesia | | | -5.51 | % | | | -7.22 | % |
Thailand | | | -9.60 | % | | | -4.28 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2023, these differences generally contributed positively to non-US developed markets Portfolios’ relative performance and were not material to emerging markets Portfolios’ relative performance.
Large Cap International Portfolio
The Large Cap International Portfolio invests in developed ex U.S. large company stocks. The Portfolio generally excludes real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification with increased exposure to stocks with smaller total market
17
capitalizations, lower relative price (value) stocks, and higher profitability stocks within the large-cap segment of developed ex U.S. markets. As of October 31, 2023, the Portfolio held approximately 1,270 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 14.00% for the Portfolio and 12.56% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. The Portfolio’s emphasis on value stocks contributed positively to performance relative to the benchmark, as value stocks outperformed growth stocks in developed ex U.S. markets.
International Core Equity Portfolio
The International Core Equity Portfolio invests in a broadly diversified group of stocks in developed ex U.S. markets, with increased exposure to stocks with smaller market capitalization, lower relative price (value), and higher profitability. The Portfolio generally excludes real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Portfolio held approximately 5,270 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 13.84% for the Portfolio and 12.56% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. With value stocks outperforming growth stocks, the Portfolio’s greater emphasis on value stocks contributed positively to performance relative to the benchmark.
Global Small Company Portfolio
The Global Small Company Portfolio is designed to capture the returns of global small company stocks by purchasing shares of seven funds (which shall be collectively referred to below as the “Underlying Funds”) managed by Dimensional that individually invest in Canada, the United States, the United Kingdom, Europe (including Israel and excluding the U.K.), Japan, the Asia Pacific region (ex-Japan), and emerging markets. The Underlying Funds generally exclude stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Underlying Funds collectively held approximately 11,010 securities in 44 eligible developed and emerging markets.
For the 12 months ended October 31, 2023, total returns were 2.05% for the Portfolio and 1.27% for the MSCI All Country World Small Cap Index (net dividends), the Portfolio’s benchmark. The Underlying Funds’ exclusion of stocks with the lowest profitability and highest relative price contributed positively to performance relative to the benchmark, as those stocks underperformed. The Underlying Funds’ exclusion of REITs also contributed positively to performance relative to the benchmark, as REITs generally underperformed.
International Small Company Portfolio
The International Small Company Portfolio invests in developed ex U.S. small company stocks by purchasing shares of five Master Funds managed by Dimensional that invest individually in Canada, the United Kingdom, Europe (including Israel and excluding the U.K.), Japan, and the Asia Pacific region (ex-Japan). The Master Funds generally exclude stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The
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investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Master Funds collectively held approximately 4,270 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 10.58% for the Portfolio and 5.66% for the MSCI World ex USA Small Cap Index (net dividends), the Portfolio’s benchmark. The Master Funds’ exclusion of stocks with the lowest profitability and highest relative price contributed positively to performance relative to the benchmark, as these stocks underperformed. The Master Funds’ exclusion of REITs also contributed positively to performance relative to the benchmark, as REITs generally underperformed.
Japanese Small Company Portfolio
The Japanese Small Company Portfolio invests in Japanese small company stocks by purchasing shares of the Japanese Small Company Series, a Master Fund managed by Dimensional that invests in such securities. The Master Fund generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Master Fund held approximately 1,700 securities. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.
For the 12 months ended October 31, 2023, total returns were 18.33% for the Portfolio and 13.35% for the MSCI Japan Small Cap Index (net dividends), the Portfolio’s benchmark. The Master Fund’s exclusion of stocks with the lowest profitability and highest relative price also contributed positively to performance relative to the benchmark, as those stocks underperformed. The Master Funds’ exclusion of REITs also contributed positively to performance relative to the benchmark, as REITs generally underperformed.
Asia Pacific Small Company Portfolio
The Asia Pacific Small Company Portfolio invests in small company stocks in Australia, Hong Kong, New Zealand, and Singapore by purchasing shares of the Asia Pacific Small Company Series, a Master Fund managed by Dimensional that invests in such securities. The Master Fund generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Master Fund held approximately 790 securities in 4 eligible countries. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.
For the 12 months ended October 31, 2023, total returns were 0.37% for the Portfolio and -2.12% for the MSCI Pacific ex Japan Small Cap Index (net dividends), the Portfolio’s benchmark. The Master Fund’s greater emphasis on stocks with smaller market capitalizations contributed positively to performance relative to the benchmark, as these stocks outperformed. The Master Fund’s exclusion of stocks with the lowest profitability and highest relative price also contributed positively to relative performance, as those securities underperformed. Additionally, the Master Funds’ exclusion of REITs contributed positively to performance relative to the benchmark, as REITs generally underperformed.
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United Kingdom Small Company Portfolio
The United Kingdom Small Company Portfolio invests in small company stocks in the U.K. by purchasing shares of The United Kingdom Small Company Series, a Master Fund managed by Dimensional that invests in such securities. The Master Fund generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Master Fund held approximately 310 securities. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.
For the 12 months ended October 31, 2023, total returns were 8.78% for the Portfolio and 5.16% for the MSCI United Kingdom Small Cap Index (net dividends), the Portfolio’s benchmark. The Master Fund’s exclusion of stocks with the lowest profitability and highest relative price contributed positively to relative performance, as did the Master Fund’s exclusion of stocks with high asset growth, as those securities underperformed. The Master Funds’ exclusion of REITs also contributed positively to performance relative to the benchmark, as REITs generally underperformed.
Continental Small Company Portfolio
The Continental Small Company Portfolio invests in small company stocks in the developed markets of Europe (excluding the U.K.) and Israel by purchasing shares of the Continental Small Company Series, a Master Fund managed by Dimensional that invests in such securities. The Master Fund generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Master Fund held approximately 1,140 securities in 15 eligible countries. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 11.43% for the Portfolio and 8.05% for the MSCI Europe ex U.K. Small Cap Index (net dividends), the Portfolio’s benchmark. Differences in size definitions between the Master Fund and the benchmark led to weight differences between countries, which contributed positively to performance relative to the benchmark. The Master Fund’s exclusion of stocks with the lowest profitability and highest relative price also contributed positively to relative performance, as did the Master Fund’s exclusion of stocks with high asset growth, as those securities underperformed for the year. Additionally, the Master Funds’ exclusion of REITs also contributed positively to performance relative to the benchmark, as REITs generally underperformed.
Global Real Estate Market Review | 12 Months Ended October 31, 2023 |
Publicly traded global real estate investment trusts (REITs) had negative returns for the period. Global REITs underperformed U.S. equities, developed non-U.S. equities, and emerging markets equities. The U.S. REIT market, the world’s largest, had negative performance for the period and underperformed non-U.S. REITs. Among non-U.S. REIT markets, Mexico, France, and Malaysia were among the strongest performers, while Israel, Italy, and Thailand lagged. At the REIT industry level, data center REITs and health care REITs generally outperformed, while self-storage and tower REITs generally underperformed.
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Total Return for 12 Months Ended October 31, 2023
| | | | |
| | | Return in U.S. Dollars | |
Dow Jones U.S. Select REIT IndexSM | | | -6.25 | % |
S&P Global ex U.S. REIT Index | | | -5.26 | % |
S&P Global REIT Index | | | -6.53 | % |
Source: Returns are of Standard and Poor’s (S&P) indices net of foreign withholding taxes on dividends. Copyright S&P, 2023. All rights reserved. Dow Jones and S&P have different REIT eligibility criteria which can result in performance differences across different indices representing the same region.
For Portfolios investing in non-U.S. REITs and REIT-like securities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2023, these differences generally contributed positively to the Portfolios’ relative performance.
DFA International Real Estate Securities Portfolio
The DFA International Real Estate Securities Portfolio invests in a broadly diversified portfolio of real estate securities in developed ex U.S. and emerging markets. As of October 31, 2023, the Portfolio held approximately 320 securities in 26 eligible developed ex U.S. and emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were -3.55% for the Portfolio and -5.26% for the S&P Global ex US REIT Index (net dividends), the Portfolio’s benchmark. Withholding tax rate differences between the Portfolio and the benchmark contributed positively to performance relative to the benchmark as the Portfolio’s actual tax rate was lower than the assumed tax rates of the benchmark.
DFA Global Real Estate Securities Portfolio
The DFA Global Real Estate Securities Portfolio invests in a broadly diversified group of real estate securities in domestic and international markets, including emerging markets. During the period covered by this report, the Portfolio’s investments included the DFA International Real Estate Securities Portfolio, the DFA Real Estate Securities Portfolio, and individual securities. As of October 31, 2023, the Portfolio held, either directly or through the underlying portfolios, approximately 450 securities in 27 eligible developed and emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were -6.27% for the Portfolio and -6.53% for the S&P Global REIT Index (net dividends), the Portfolio’s benchmark. Differences in REIT eligibility between the Portfolio and the benchmark detracted from performance relative to the benchmark, most notably among tower REITs. The Portfolio includes tower REITs, which are not held by the benchmark, and these securities generally underperformed. Conversely, withholding tax rate differences between the Portfolio and the benchmark contributed positively to performance relative to the benchmark as the Portfolio’s actual tax rate was lower than the assumed tax rates of the benchmark.
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International Equity Market Review | 12 Months Ended October 31, 2023 |
Performance of non-U.S. developed markets was positive for the period outperforming the US and emerging markets. As measured by the MSCI World ex USA indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks underperformed large-cap stocks but outperformed small-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI World ex USA indices.
Total Return for 12 Months Ended October 31, 2023
| | | | |
| | | Return in U.S. Dollars | |
MSCI World ex USA Index | | | 12.56 | % |
MSCI World ex USA Mid Cap Index (a subset of the large-cap universe) | | | 9.62 | % |
MSCI World ex USA Small Cap Index | | | 5.66 | % |
MSCI World ex USA Value Index | | | 15.70 | % |
MSCI World ex USA Growth Index | | | 9.49 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.
Total Return for 12 Months Ended October 31, 2023
| | | | | | | | |
Ten Largest Foreign Developed Markets by Market Cap | | Local Return | | | Return in U.S. Dollars | |
Japan | | | 19.00 | % | | | 16.79 | % |
United Kingdom | | | 7.11 | % | | | 12.88 | % |
Canada | | | 0.51 | % | | | -1.24 | % |
France | | | 10.52 | % | | | 18.19 | % |
Switzerland | | | -2.37 | % | | | 7.36 | % |
Australia | | | 4.89 | % | | | 3.85 | % |
Germany | | | 10.73 | % | | | 18.42 | % |
Netherlands | | | 11.07 | % | | | 18.56 | % |
Sweden | | | 7.32 | % | | | 6.14 | % |
Denmark | | | 31.92 | % | | | 40.72 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
Emerging markets had positive performance for the period and outperformed U.S. markets while underperforming non-U.S. developed markets. As measured by the MSCI Emerging Markets indices, small-cap stocks outperformed large-cap stocks and mid-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI Emerging Markets indices.
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Total Return for 12 Months Ended October 31, 2023
| | | | |
| | | Return in U.S. Dollars | |
MSCI Emerging Markets Index | | | 10.80 | % |
MSCI Emerging Markets Mid Cap Index (a subset of the large-cap universe) | | | 10.42 | % |
MSCI Emerging Markets Small Cap Index | | | 17.20 | % |
MSCI Emerging Markets Value Index | | | 13.43 | % |
MSCI Emerging Markets Growth Index | | | 8.33 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of emerging markets currencies. Overall, currency movements had a positive impact on the U.S. dollar denominated returns of emerging markets.
Total Return for 12 Months Ended October 31, 2023
| | | | | | | | |
Ten Largest Emerging Markets by Market Cap | | Local Return | | | Return in U.S. | |
Dollars | | | | | | |
China | | | 20.83 | % | | | 21.12 | % |
India | | | 4.76 | % | | | 4.16 | % |
Taiwan | | | 27.06 | % | | | 26.22 | % |
Korea | | | 2.72 | % | | | 8.34 | % |
Brazil | | | -1.84 | % | | | 2.14 | % |
Saudi Arabia | | | -11.52 | % | | | -11.38 | % |
South Africa | | | 3.73 | % | | | 1.69 | % |
Mexico | | | 0.13 | % | | | 10.10 | % |
Indonesia | | | -5.51 | % | | | -7.22 | % |
Thailand | | | -9.60 | % | | | -4.28 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2023, these differences generally contributed positively to non-US developed markets Portfolios’ relative performance and were not material to emerging markets Portfolios’ relative performance.
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DFA International Small Cap Value Portfolio
The DFA International Small Cap Value Portfolio invests in small-cap value stocks in developed ex U.S. markets, with an emphasis on those with higher profitability. The Portfolio generally excludes certain companies with high asset growth, real estate investment trusts (REITs), and highly regulated utilities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Portfolio held approximately 1,930 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 17.80% for the Portfolio and 10.02% for the MSCI World ex USA Small Value Index (net dividends), the Portfolio’s benchmark. With value stocks outperforming growth stocks, the Portfolio’s focus on value stocks contributed positively to performance relative to the benchmark. The Portfolio’s exclusion of REITs also contributed positively to relative performance, as REITs generally underperformed.
International Vector Equity Portfolio
The International Vector Equity Portfolio invests in a broadly diversified group of stocks in developed ex U.S. markets, with increased exposure to stocks with smaller market capitalization, lower relative price (value), and higher profitability. The Portfolio’s increased exposure to small capitalization and value stocks may be achieved by decreasing the allocation to or excluding the largest high relative price (growth) stocks in developed ex U.S. markets. Additionally, the Portfolio generally excludes real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Portfolio held approximately 4,830 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 14.34% for the Portfolio and 12.56% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. With value stocks outperforming growth stocks, the Portfolio’s greater emphasis on value stocks contributed positively to performance relative to the benchmark.
International High Relative Profitability Portfolio
The International High Relative Profitability Portfolio invests in developed ex U.S. large-cap stocks with higher profitability. The Portfolio generally excludes real estate investment trusts (REITs) and highly regulated utilities. The investment strategy is process driven, emphasizing broad diversification, with increased exposure to stocks with smaller total market capitalizations, lower relative price (value), and higher profitability within the large cap high relative profitability segment of developed ex U.S. markets. As of October 31, 2023, the Portfolio held approximately 450 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 13.58% for the Portfolio and 12.56% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. The Portfolio’s emphasis on stocks with lower relative prices within the large-cap high relative profitability segment of developed ex U.S. markets contributed positively to performance relative to the benchmark, as those stocks generally outperformed. The Portfolio’s exclusion of REITs also contributed positively to relative performance, as REITs generally underperformed.
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World ex U.S. Value Portfolio
The World ex U.S. Value Portfolio is designed to capture the returns of value stocks across all market capitalizations in developed ex U.S. and emerging markets. The Portfolio may pursue its objective by holding direct securities; by purchasing shares of funds managed by Dimensional: the DFA International Value Series, the DFA International Small Cap Value Portfolio, and the Dimensional Emerging Markets Value Fund (the “Underlying Funds”); or by a combination of securities and Underlying Funds. The Underlying Funds generally exclude real estate investment trusts (REITs) and highly regulated utilities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Portfolio, directly and through the Underlying Funds, held approximately 5,620 securities in 44 eligible developed ex U.S. and emerging markets.
For the 12 months ended October 31, 2023, total returns were 16.53% for the Portfolio and 15.07% for the MSCI All Country World ex USA Value Index (net dividends), the Portfolio’s benchmark. The Underlying Funds’ focus on low relative price (value) stocks contributed positively to performance relative to the benchmarks, as value stocks outperformed high relative price (growth) stocks in developed ex U.S. and emerging markets.
World ex U.S. Targeted Value Portfolio
The World ex U.S. Targeted Value Portfolio invests in small- and mid-cap value stocks in developed ex U.S. and emerging markets, with an emphasis on those with higher profitability. The Portfolio generally excludes certain companies with high asset growth, real estate investment trusts (REITs), and highly regulated utilities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Portfolio held approximately 5,060 securities in 43 eligible developed ex U.S. and emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 15.76% for the Portfolio and 12.82% for the MSCI All Country World ex USA SMID Value Index (net dividends), the Portfolio’s benchmark. The Portfolio’s focus on value stocks contributed positively to performance relative to the benchmark, as value stocks outperformed growth stocks in developed ex U.S. and emerging markets. The Portfolio’s exclusion of REITs also contributed positively to performance relative to the benchmarks, as REITs generally underperformed.
World ex U.S. Core Equity Portfolio
The World ex U.S. Core Equity Portfolio invests in a broadly diversified group of stocks in developed ex U.S. and emerging markets with increased exposure to stocks with smaller market capitalization, lower relative price (value), and higher profitability. Additionally, the Portfolio generally excludes real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Portfolio held approximately 10,540 securities in 46 eligible developed ex U.S. and emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 14.01% for the Portfolio and 12.07% for the MSCI All Country World ex USA Index (net dividends), the Portfolio’s benchmark. The Portfolio’s emphasis on value stocks contributed positively to performance relative to the benchmark, as value stocks outperformed growth stocks in developed ex U.S. and emerging markets.
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World Core Equity Portfolio
The World Core Equity Portfolio seeks long-term capital appreciation generally by investing in a combination of mutual funds managed by Dimensional. During the period covered by this report, the Portfolio’s investments included the U.S. Core Equity 1 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (collectively, the “Underlying Funds”). The Underlying Funds generally exclude real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Underlying Funds collectively held approximately 14,710 equity securities in 47 eligible developed and emerging markets.
For the 12 months ended October 31, 2023, total returns were 9.65% for the Portfolio and 10.50% for the MSCI All Country World Index (net dividends), the Portfolio’s benchmark. The Underlying Funds’ emphasis on stocks with smaller market capitalizations detracted from performance relative to the benchmark, as these stocks underperformed in developed markets. The Underlying Funds’ emphasis on low relative price (value) stocks also detracted from performance relative to the benchmark, as value stocks underperformed high relative price (growth) stocks in the U.S.
Selectively Hedged Global Equity Portfolio
The Selectively Hedged Global Equity Portfolio seeks long-term capital appreciation by investing in a combination of other mutual funds managed by Dimensional. During the period covered by this report, the Portfolio invests in the U.S. Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (the “Underlying Funds”). The Underlying Funds generally exclude real estate investment trusts (REITs). The Portfolio hedges foreign currency exposure on a selective basis to capture positive forward currency premiums. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Underlying Funds collectively held approximately 14,720 securities in 47 eligible developed and emerging markets.
For the 12 months ended October 31, 2023, total returns were 9.43% for the Portfolio and 10.50% for the MSCI All Country World Index (net dividends), the Portfolio’s benchmark. The Underlying Funds’ emphasis on stocks with smaller market capitalizations detracted from performance relative to the benchmark, as these stocks underperformed in developed markets. The Underlying Funds’ emphasis on low relative price (value) stocks also detracted from performance relative to the benchmark, as value stocks underperformed high relative price (growth) stocks in the U.S.
Emerging Markets Portfolio
The Emerging Markets Portfolio invests in large-cap stocks in emerging markets by purchasing shares of The Emerging Markets Series, a Master Fund managed by Dimensional that invests in such securities. The Master Fund generally excludes real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification with increased exposure to stocks with smaller market capitalizations, lower relative price (value), and higher profitability within the large-cap segment of emerging markets. As of October 31, 2023, the Master Fund held approximately 1,840 securities in 24 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.
For the 12 months ended October 31, 2023, total returns were 13.02% for the Portfolio and 10.80% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. The Master Fund’s greater emphasis on low relative price (value) stocks contributed positively to performance relative to the benchmark, as value stocks outperformed high relative price (growth) stocks in emerging markets. The Master Fund’s emphasis on stocks with smaller market capitalizations also contributed
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positively to relative performance, as these stocks outperformed. Additionally, the Master Fund’s emphasis on stocks with higher profitability contributed positively to performance relative to the benchmark, as these stocks generally outperformed.
Emerging Markets Small Cap Portfolio
The Emerging Markets Small Cap Portfolio invests in small company stocks in emerging markets by purchasing shares of The Emerging Markets Small Cap Series, a Master Fund managed by Dimensional that invests in such securities. The Master Fund generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The Master Fund’s investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Master Fund held approximately 4,830 securities in 21 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.
For the 12 months ended October 31, 2023, total returns were 15.09% for the Portfolio and 10.80% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. With small-cap stocks outperforming large-cap stocks in emerging markets, the Master Fund’s inclusion of stocks with smaller market capitalizations contributed positively to performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks.
Emerging Markets Value Portfolio
The Emerging Markets Value Portfolio invests in value stocks of large and small companies in emerging markets by purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund managed by Dimensional that invests in such securities. The Master Fund generally excludes real estate investment trusts (REITs) and highly regulated utilities. The investment strategy is process driven, emphasizing broad diversification with increased exposure to stocks with smaller market capitalizations, lower relative price (value), and higher profitability within the value segment of emerging markets. As of October 31, 2023, the Master Fund held approximately 3,230 securities in 22 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.
For the 12 months ended October 31, 2023, total returns were 15.71% for the Portfolio, 13.43% for the MSCI Emerging Markets Value Index (net dividends) and 10.80% for the MSCI Emerging Markets Index (net dividends). The Master Fund’s focus on value stocks contributed positively to performance relative to the benchmarks, as value stocks outperformed growth stocks in emerging markets. With small-cap stocks outperforming large-cap stocks in emerging markets, the Master Fund’s inclusion of and emphasis on small-caps also contributed positively to performance relative to the benchmarks, which are composed primarily of large- and mid-cap stocks. Additionally, the Master Fund’s emphasis on stocks with higher profitability contributed positively to performance relative to the benchmarks, as these stocks generally outperformed.
Emerging Markets Core Equity Portfolio
The Emerging Markets Core Equity Portfolio invests in a broadly diversified group of stocks in emerging markets, with increased exposure to stocks with smaller market capitalization, lower relative price (value), and higher profitability. The Portfolio generally excludes real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Portfolio held approximately 6,780 securities in 24 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
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For the 12 months ended October 31, 2023, total returns were 15.49% for the Portfolio and 10.80% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. With value stocks outperforming growth stocks, the Portfolio’s greater emphasis on value stocks contributed positively to performance relative to the benchmark. With small-cap stocks outperforming large-cap stocks in emerging markets, the Portfolio’s inclusion of and emphasis on small-caps also contributed positively to performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks. Additionally, the Portfolio’s emphasis on stocks with higher profitability contributed positively to performance relative to the benchmark, as these stocks generally outperformed.
Emerging Markets Targeted Value Portfolio
The Emerging Markets Targeted Value Portfolio invests in value stocks of small- and mid-cap companies in emerging markets. The Portfolio generally excludes certain companies with high asset growth, real estate investment trusts (REITs), and highly regulated utilities. The investment strategy is process driven, emphasizing broad diversification with increased exposure to smaller total market capitalizations, lower relative price (value) stocks, and higher-profitability stocks within the small- and mid-cap value segment of emerging markets. The Portfolio generally excludes certain companies with high asset growth, real estate investment trusts (REITs), and highly regulated utilities. As of October 31, 2023, the Portfolio held approximately 3,190 securities in 21 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 15.20% for the Portfolio and 10.80% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. The Portfolio’s focus on value stocks contributed positively to performance relative to the style-neutral benchmark, as value stocks outperformed growth stocks in emerging markets. With small-cap stocks outperforming large-cap stocks in emerging markets, the Portfolio’s inclusion of and emphasis on small-caps also contributed positively to performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks.
Emerging Markets ex China Core Equity Portfolio
The Emerging Markets ex China Core Equity Portfolio invests in a broadly diversified group of stocks in emerging markets, excluding China, with increased exposure to stocks with smaller market capitalization, lower relative price (value), and higher profitability. The Portfolio generally excludes real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Portfolio held approximately 4,060 securities in 23 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.
For the 12 months ended October 31, 2023, total returns were 14.04% for the Portfolio and 7.03% for the MSCI Emerging Markets ex China Index (net dividends), the Portfolio’s benchmark. With value stocks outperforming growth stocks, the Portfolio’s greater emphasis on value stocks contributed positively to performance relative to the benchmark. With small-cap stocks outperforming large-cap stocks in emerging markets, the Portfolio’s inclusion of and emphasis on small-caps also contributed positively to performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks. Additionally, the Portfolio’s emphasis on stocks with higher profitability contributed positively to performance relative to the benchmark, as these stocks generally outperformed.
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DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(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 and 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” reflects 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, 2023
EXPENSE TABLES
| | | | | | | | | | | | | | | | |
| | | Beginning
Account
Value
05/01/23 | | | Ending
Account
Value
10/31/23 | | | Annualized
Expense
Ratio (1) | | | Expenses
Paid
During
Period (1) | |
Large Cap International Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 931.90 | | | | 0.17 | % | | $ | 0.83 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.35 | | | | 0.17 | % | | $ | 0.87 | |
| | | | |
International Core Equity Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 932.10 | | | | 0.23 | % | | $ | 1.12 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.05 | | | | 0.23 | % | | $ | 1.17 | |
29
DISCLOSURE OF FUND EXPENSES
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Beginning
Account
Value
05/01/23 | | | Ending
Account
Value
10/31/23 | | | Annualized
Expense
Ratio (1) | | | Expenses
Paid
During
Period (1) | |
Global Small Company Portfolio (2) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 953.20 | | | | 0.42 | % | | $ | 2.07 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.09 | | | | 0.42 | % | | $ | 2.14 | |
| | | | |
| International Small Company Portfolio (2) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 915.20 | | | | 0.39 | % | | $ | 1.88 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.24 | | | | 0.39 | % | | $ | 1.99 | |
| | | | |
| Japanese Small Company Portfolio (3) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 987.30 | | | | 0.40 | % | | $ | 2.00 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.19 | | | | 0.40 | % | | $ | 2.04 | |
| | | | |
| Asia Pacific Small Company Portfolio (3) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 882.80 | | | | 0.40 | % | | $ | 1.90 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.19 | | | | 0.40 | % | | $ | 2.04 | |
| | | | |
| United Kingdom Small Company Portfolio (3) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 868.70 | | | | 0.51 | % | | $ | 2.40 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,022.64 | | | | 0.51 | % | | $ | 2.60 | |
| | | | |
| Continental Small Company Portfolio (3) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 886.90 | | | | 0.39 | % | | $ | 1.85 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.24 | | | | 0.39 | % | | $ | 1.99 | |
| | | | |
| DFA International Real Estate Securities Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 857.90 | | | | 0.26 | % | | $ | 1.22 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.90 | | | | 0.26 | % | | $ | 1.33 | |
| | | | |
| DFA Global Real Estate Securities Portfolio (4) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 882.20 | | | | 0.23 | % | | $ | 1.09 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.05 | | | | 0.23 | % | | $ | 1.17 | |
| | | | |
| DFA International Small Cap Value Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 956.40 | | | | 0.43 | % | | $ | 2.12 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.04 | | | | 0.43 | % | | $ | 2.19 | |
| | | | |
| International Vector Equity Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 934.90 | | | | 0.34 | % | | $ | 1.66 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.49 | | | | 0.34 | % | | $ | 1.73 | |
| | | | |
| International High Relative Profitability Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 931.20 | | | | 0.30 | % | | $ | 1.46 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.69 | | | | 0.30 | % | | $ | 1.53 | |
30
DISCLOSURE OF FUND EXPENSES
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Beginning
Account
Value
05/01/23 | | | Ending
Account
Value
10/31/23 | | | Annualized
Expense
Ratio (1) | | | Expenses
Paid
During
Period (1) | |
World ex U.S. Value Portfolio (2) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 967.50 | | | | 0.36 | % | | $ | 1.79 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.39 | | | | 0.36 | % | | $ | 1.84 | |
| | | | |
| World ex U.S. Core Equity Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 945.10 | | | | 0.30 | % | | $ | 1.47 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.69 | | | | 0.30 | % | | $ | 1.53 | |
| | | | |
| World ex U.S. Targeted Value Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 955.80 | | | | 0.48 | % | | $ | 2.37 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,022.79 | | | | 0.48 | % | | $ | 2.45 | |
| | | | |
| World Core Equity Portfolio (2) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 979.90 | | | | 0.27 | % | | $ | 1.35 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.84 | | | | 0.27 | % | | $ | 1.38 | |
| | | | |
| Selectively Hedged Global Equity Portfolio (2) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 990.70 | | | | 0.32 | % | | $ | 1.61 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.59 | | | | 0.32 | % | | $ | 1.63 | |
| | | | |
| Emerging Markets Portfolio (3) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 963.70 | | | | 0.35 | % | | $ | 1.73 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.44 | | | | 0.35 | % | | $ | 1.79 | |
| | | | |
| Emerging Markets Small Cap Portfolio (3) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 989.60 | | | | 0.59 | % | | $ | 2.96 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,022.23 | | | | 0.59 | % | | $ | 3.01 | |
| | | | |
| Emerging Markets Value Portfolio (3) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 985.10 | | | | 0.44 | % | | $ | 2.20 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,022.99 | | | | 0.44 | % | | $ | 2.24 | |
| | | | |
| Emerging Markets Core Equity Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 976.70 | | | | 0.39 | % | | $ | 1.94 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.24 | | | | 0.39 | % | | $ | 1.99 | |
| | | | |
| Emerging Markets Targeted Value Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 990.40 | | | | 0.66 | % | | $ | 3.31 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,021.88 | | | | 0.66 | % | | $ | 3.36 | |
| | | | |
| Emerging Markets ex China Core Equity Portfolio | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,017.60 | | | | 0.42 | % | | $ | 2.14 | |
31
DISCLOSURE OF FUND EXPENSES
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Beginning
Account
Value
05/01/23 | | | Ending
Account
Value
10/31/23 | | | Annualized
Expense
Ratio (1) | | | Expenses
Paid
During
Period (1) | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.09 | | | | 0.42 | % | | $ | 2.14 | |
| (1) | 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. |
| (2) | The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the Fund of Funds’ portion of the expenses of its Underlying Funds (Affiliated Investment Companies). |
| (3) | The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the allocation of the Feeder Fund’s portion of the expenses of its Master Fund (Affiliated Investment Company). |
| (4) | The Portfolio invests directly and indirectly through other funds. The expenses shown reflect the direct expenses of the fund and the fund’s portion of the expenses of its Master and/or Underlying Funds (Affiliated Investment Companies). |
32
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 as an exhibit to their reports on Form N-PORT. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-PORT with the SEC on September 29, 2023 They are available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.
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 regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
A 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; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.
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 used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this 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 their Disclosures of Portfolio Holdings, which are included elsewhere in the report. Refer to the Schedule of Investments/Summary Schedule of Portfolio Holdings for each of the underlying Affiliated Investment Company’s holdings, which reflect the investments by category or country.
FEEDER FUNDS
| | | | |
| | | Affiliated Investment Companies | |
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 | % |
FUNDS OF FUNDS
| | | | |
| | | Affiliated Investment Companies | |
Global Small Company Portfolio | | | 100.0 | % |
International Small Company Portfolio | | | 100.0 | % |
World ex U.S. Value Portfolio | | | 100.0 | % |
World Core Equity Portfolio | | | 100.0 | % |
Selectively Hedged Global Equity Portfolio | | | 100.0 | % |
33
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
INTERNATIONAL EQUITY PORTFOLIOS
| | | | |
| Large Cap International Portfolio | |
Communication Services | | | 4.7% | |
Consumer Discretionary | | | 12.0% | |
Consumer Staples | | | 9.0% | |
Energy | | | 8.2% | |
Financials | | | 18.6% | |
Health Care | | | 10.3% | |
Industrials | | | 16.1% | |
Information Technology | | | 7.1% | |
Materials | | | 9.5% | |
Real Estate | | | 1.4% | |
Utilities | | | 3.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| International Core Equity Portfolio | |
Communication Services | | | 4.8% | |
Consumer Discretionary | | | 12.6% | |
Consumer Staples | | | 7.5% | |
Energy | | | 8.7% | |
Financials | | | 17.5% | |
Health Care | | | 7.2% | |
Industrials | | | 18.3% | |
Information Technology | | | 6.9% | |
Materials | | | 11.5% | |
Real Estate | | | 2.1% | |
Utilities | | | 2.9% | |
| | | | |
| | | 100.0% | |
| | | | |
DFA International Real Estate Securities
Portfolio | |
Real Estate | | | 100.0% | |
| | | | |
| | | 100.0% | |
| | | | |
| DFA Global Real Estate Securities Portfolio | |
Affiliated Investment Companies | | | 30.9% | |
Real Estate | | | 69.1% | |
| | | | |
| | | 100.0% | |
| | | | |
| DFA International Small Cap Value Portfolio | |
| Communication Services | | | 2.3% | |
| Consumer Discretionary | | | 11.4% | |
| Consumer Staples | | | 5.1% | |
| Energy | | | 8.5% | |
| Financials | | | 22.6% | |
| Health Care | | | 2.0% | |
| Industrials | | | 22.0% | |
| Information Technology | | | 3.6% | |
| Materials | | | 18.6% | |
| Real Estate | | | 3.2% | |
Utilities | | | 0.7% | |
| | | | |
| | | 100.0% | |
| | | | |
| International Vector Equity Portfolio | |
Communication Services | | | 4.5% | |
Consumer Discretionary | | | 12.0% | |
Consumer Staples | | | 6.4% | |
Energy | | | 8.6% | |
Financials | | | 20.0% | |
Health Care | | | 5.3% | |
Industrials | | | 19.2% | |
Information Technology | | | 6.2% | |
Materials | | | 13.3% | |
Real Estate | | | 2.3% | |
Utilities | | | 2.2% | |
| | | | |
| | | 100.0% | |
| | | | |
International High Relative Profitability
Portfolio | |
Communication Services | | | 7.2% | |
Consumer Discretionary | | | 16.3% | |
Consumer Staples | | | 11.3% | |
Energy | | | 11.3% | |
Financials | | | 4.8% | |
Health Care | | | 11.9% | |
Industrials | | | 16.7% | |
Information Technology | | | 10.2% | |
Materials | | | 8.4% | |
Real Estate | | | 0.5% | |
Utilities | | | 1.4% | |
| | | | |
| | | 100.0% | |
| | | | |
| World ex U.S. Core Equity Portfolio | |
Communication Services | | | 5.0% | |
Consumer Discretionary | | | 12.3% | |
Consumer Staples | | | 7.1% | |
Energy | | | 7.7% | |
Financials | | | 17.2% | |
Health Care | | | 6.9% | |
Industrials | | | 15.8% | |
Information Technology | | | 10.9% | |
Materials | | | 11.6% | |
Real Estate | | | 2.5% | |
Utilities | | | 3.0% | |
| | | | |
| | | 100.0% | |
| | | | |
| World ex U.S. Targeted Value Portfolio | |
Communication Services | | | 3.2% | |
Consumer Discretionary | | | 11.8% | |
Consumer Staples | | | 5.5% | |
Energy | | | 5.8% | |
Financials | | | 18.0% | |
Health Care | | | 4.4% | |
Industrials | | | 20.1% | |
Information Technology | | | 6.5% | |
Materials | | | 18.0% | |
Real Estate | | | 4.2% | |
Utilities | | | 2.5% | |
| | | | |
| | | 100.0% | |
| | | | |
| Emerging Markets Core Equity Portfolio | |
Communication Services | | | 7.4% | |
Consumer Discretionary | | | 11.9% | |
Consumer Staples | | | 6.3% | |
Energy | | | 5.4% | |
Financials | | | 17.8% | |
Health Care | | | 4.7% | |
Industrials | | | 9.8% | |
Information Technology | | | 19.7% | |
Materials | | | 11.3% | |
Real Estate | | | 2.7% | |
Utilities | | | 3.0% | |
| | | | |
| | | 100.0% | |
| | | | |
| Emerging Markets Targeted Value Portfolio | |
Communication Services | | | 3.6% | |
Consumer Discretionary | | | 10.8% | |
Consumer Staples | | | 5.8% | |
Energy | | | 3.5% | |
Financials | | | 17.1% | |
Health Care | | | 6.4% | |
Industrials | | | 14.9% | |
Information Technology | | | 13.7% | |
Materials | | | 15.7% | |
Real Estate | | | 6.1% | |
Utilities | | | 2.4% | |
| | | | |
| | | 100.0% | |
| | | | |
Emerging Markets ex China Core Equity
Portfolio | |
Communication Services | | | 4.8% | |
Consumer Discretionary | | | 9.0% | |
Consumer Staples | | | 6.3% | |
Energy | | | 5.5% | |
Financials | | | 20.1% | |
Health Care | | | 4.1% | |
Industrials | | | 10.2% | |
Information Technology | | | 23.1% | |
Materials | | | 11.8% | |
Real Estate | | | 2.4% | |
Utilities | | | 2.7% | |
| | | | |
| | | 100.0% | |
34
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | |
| | | Shares | | | Value | | | Percentage
of Net Assets | |
COMMON STOCKS — (95.5%) | | | | | | | | | | | | |
AUSTRALIA — (6.0%) | | | | | | | | | | | | |
BHP Group Ltd., Class DI | | | 697,375 | | | $ | 19,740,922 | | | | 0.4 | % |
# BHP Group Ltd., Sponsored ADR | | | 298,208 | | | | 17,015,748 | | | | 0.3 | % |
Commonwealth Bank of Australia | | | 368,188 | | | | 22,649,397 | | | | 0.5 | % |
Other Securities | | | | | | | 256,856,685 | | | | 5.0 | % |
| | | | | | | | | | | | |
TOTAL AUSTRALIA | | | | | | | 316,262,752 | | | | 6.2 | % |
| | | | | | | | | | | | |
| | | |
AUSTRIA — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 9,441,672 | | | | 0.2 | % |
| | | | | | | | | | | | |
| | | |
BELGIUM — (0.9%) | | | | | | | | | | | | |
Other Securities | | | | | | | 47,554,821 | | | | 0.9 | % |
| | | | | | | | | | | | |
| | | |
CANADA — (10.2%) | | | | | | | | | | | | |
# Canadian Natural Resources Ltd. | | | 352,595 | | | | 22,400,360 | | | | 0.4 | % |
# Royal Bank of Canada | | | 215,717 | | | | 17,229,360 | | | | 0.3 | % |
Royal Bank of Canada | | | 206,240 | | | | 16,474,451 | | | | 0.3 | % |
Suncor Energy, Inc. | | | 535,689 | | | | 17,356,324 | | | | 0.3 | % |
# Toronto-Dominion Bank | | | 286,785 | | | | 16,014,074 | | | | 0.3 | % |
Other Securities | | | | | | | 447,055,111 | | | | 8.9 | % |
| | | | | | | | | | | | |
TOTAL CANADA | | | | | | | 536,529,680 | | | | 10.5 | % |
| | | | | | | | | | | | |
| | | |
DENMARK — (3.1%) | | | | | | | | | | | | |
Novo Nordisk AS, Class B | | | 923,030 | | | | 89,050,433 | | | | 1.7 | % |
# Novo Nordisk AS, Sponsored ADR | | | 91,174 | | | | 8,804,673 | | | | 0.2 | % |
Other Securities | | | | | | | 62,317,950 | | | | 1.2 | % |
| | | | | | | | | | | | |
TOTAL DENMARK | | | | | | | 160,173,056 | | | | 3.1 | % |
| | | | | | | | | | | | |
| | | |
FINLAND — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 52,738,172 | | | | 1.0 | % |
| | | | | | | | | | | | |
| | | |
FRANCE — (9.9%) | | | | | | | | | | | | |
Air Liquide SA | | | 111,890 | | | | 19,172,593 | | | | 0.4 | % |
Airbus SE | | | 166,531 | | | | 22,327,835 | | | | 0.4 | % |
Hermes International SCA | | | 9,337 | | | | 17,421,208 | | | | 0.3 | % |
L’Oreal SA | | | 60,975 | | | | 25,629,649 | | | | 0.5 | % |
LVMH Moet Hennessy Louis Vuitton SE | | | 80,391 | | | | 57,554,356 | | | | 1.1 | % |
Orange SA | | | 1,475,342 | | | | 17,353,034 | | | | 0.3 | % |
Sanofi SA | | | 216,767 | | | | 19,683,795 | | | | 0.4 | % |
Schneider Electric SE | | | 111,591 | | | | 17,169,090 | | | | 0.3 | % |
TotalEnergies SE | | | 937,065 | | | | 62,649,817 | | | | 1.2 | % |
# TotalEnergies SE, Sponsored ADR | | | 18,895 | | | | 1,258,407 | | | | 0.0 | % |
Vinci SA | | | 140,071 | | | | 15,488,269 | | | | 0.3 | % |
Other Securities | | | | | | | 243,800,984 | | | | 5.0 | % |
| | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 519,509,037 | | | | 10.2 | % |
| | | | | | | | | | | | |
| | | |
GERMANY — (6.6%) | | | | | | | | | | | | |
Allianz SE | | | 95,388 | | | | 22,343,923 | | | | 0.4 | % |
Bayer AG | | | 362,228 | | | | 15,651,350 | | | | 0.3 | % |
Deutsche Telekom AG | | | 1,271,712 | | | | 27,600,810 | | | | 0.5 | % |
Mercedes-Benz Group AG | | | 341,297 | | | | 20,079,953 | | | | 0.4 | % |
35
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value | | | Percentage
of Net Assets | |
GERMANY — (Continued) | | | | | | | | | | | | |
SAP SE | | | 154,573 | | | $ | 20,733,236 | | | | 0.4 | % |
Siemens AG | | | 185,650 | | | | 24,635,541 | | | | 0.5 | % |
Other Securities | | | | | | | 214,131,916 | | | | 4.3 | % |
| | | | | | | | | | | | |
TOTAL GERMANY | | | | | | | 345,176,729 | | | | 6.8 | % |
| | | | | | | | | | | | |
| | | |
HONG KONG — (1.8%) | | | | | | | | | | | | |
AIA Group Ltd. | | | 3,249,000 | | | | 28,213,675 | | | | 0.6 | % |
Other Securities | | | | | | | 67,519,828 | | | | 1.3 | % |
| | | | | | | | | | | | |
TOTAL HONG KONG | | | | | | | 95,733,503 | | | | 1.9 | % |
| | | | | | | | | | | | |
| | | |
IRELAND — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 28,251,351 | | | | 0.6 | % |
| | | | | | | | | | | | |
| | | |
ISRAEL — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 27,051,117 | | | | 0.5 | % |
| | | | | | | | | | | | |
| | | |
ITALY — (2.2%) | | | | | | | | | | | | |
Stellantis NV | | | 852,765 | | | | 15,931,649 | | | | 0.3 | % |
Other Securities | | | | | | | 100,499,915 | | | | 2.0 | % |
| | | | | | | | | | | | |
TOTAL ITALY | | | | | | | 116,431,564 | | | | 2.3 | % |
| | | | | | | | | | | | |
| | | |
JAPAN — (21.2%) | | | | | | | | | | | | |
Hitachi Ltd. | | | 278,815 | | | | 17,673,129 | | | | 0.4 | % |
Keyence Corp. | | | 45,204 | | | | 17,499,302 | | | | 0.4 | % |
Shin-Etsu Chemical Co. Ltd. | | | 533,500 | | | | 15,953,446 | | | | 0.3 | % |
Sony Group Corp. | | | 371,800 | | | | 30,911,023 | | | | 0.6 | % |
Tokyo Electron Ltd. | | | 131,100 | | | | 17,323,246 | | | | 0.3 | % |
Toyota Motor Corp. | | | 2,420,615 | | | | 42,345,607 | | | | 0.8 | % |
Other Securities | | | | | | | 972,975,012 | | | | 19.0 | % |
| | | | | | | | | | | | |
TOTAL JAPAN | | | | | | | 1,114,680,765 | | | | 21.8 | % |
| | | | | | | | | | | | |
| | | |
NETHERLANDS — (3.6%) | | | | | | | | | | | | |
ASML Holding NV | | | 30,871 | | | | 18,557,036 | | | | 0.4 | % |
ASML Holding NV | | | 82,305 | | | | 49,285,057 | | | | 1.0 | % |
Other Securities | | | | | | | 122,396,380 | | | | 2.3 | % |
| | | | | | | | | | | | |
TOTAL NETHERLANDS | | | | | | | 190,238,473 | | | | 3.7 | % |
| | | | | | | | | | | | |
| | | |
NEW ZEALAND — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 15,537,173 | | | | 0.3 | % |
| | | | | | | | | | | | |
| | | |
NORWAY — (0.8%) | | | | | | | | | | | | |
Other Securities | | | | | | | 42,450,028 | | | | 0.8 | % |
| | | | | | | | | | | | |
| | | |
PORTUGAL — (0.2%) | | | | | | | | | | | | |
Other Securitiesı | | | | | | | 12,843,354 | | | | 0.3 | % |
| | | | | | | | | | | | |
| | | |
SINGAPORE — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 51,706,495 | | | | 1.0 | % |
| | | | | | | | | | | | |
| | | |
SPAIN — (2.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 119,642,753 | | | | 2.3 | % |
| | | | | | | | | | | | |
36
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value | | | Percentage
of Net Assets | |
SWEDEN — (2.5%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 129,064,655 | | | | 2.5 | % |
| | | | | | | | | | | | |
| | | |
SWITZERLAND — (7.6%) | | | | | | | | | | | | |
ABB Ltd. | | | 504,168 | | | | 16,938,889 | | | | 0.3 | % |
Nestle SA | | | 702,768 | | | | 75,785,606 | | | | 1.5 | % |
Novartis AG | | | 340,245 | | | | 31,853,586 | | | | 0.6 | % |
Novartis AG, Sponsored ADR | | | 195,278 | | | | 18,274,115 | | | | 0.4 | % |
Roche Holding AG | | | 8,301 | | | | 2,262,114 | | | | 0.1 | % |
Roche Holding AG | | | 205,381 | | | | 52,928,648 | | | | 1.0 | % |
Zurich Insurance Group AG | | | 33,513 | | | | 15,918,425 | | | | 0.3 | % |
Other Securities | | | | | | | 187,480,795 | | | | 3.6 | % |
| | | | | | | | | | | | |
TOTAL SWITZERLAND | | | | | | | 401,442,178 | | | | 7.8 | % |
| | | | | | | | | | | | |
| | | |
UNITED KINGDOM — (12.6%) | | | | | | | | | | | | |
AstraZeneca PLC | | | 126,555 | | | | 15,845,143 | | | | 0.3 | % |
AstraZeneca PLC, Sponsored ADR | | | 495,669 | | | | 31,341,151 | | | | 0.6 | % |
BP PLC, Sponsored ADR | | | 765,146 | | | | 27,989,059 | | | | 0.5 | % |
# Diageo PLC, Sponsored ADR | | | 105,239 | | | | 16,154,186 | | | | 0.3 | % |
Glencore PLC | | | 3,900,960 | | | | 20,662,696 | | | | 0.4 | % |
# HSBC Holdings PLC, Sponsored ADR | | | 551,216 | | | | 20,025,677 | | | | 0.4 | % |
Shell PLC | | | 36,838 | | | | 1,187,156 | | | | 0.0 | % |
# Shell PLC, ADR | | | 1,043,088 | | | | 67,946,752 | | | | 1.3 | % |
# Unilever PLC, Sponsored ADR | | | 334,884 | | | | 15,856,757 | | | | 0.3 | % |
Other Securities | | | | | | | 444,351,007 | | | | 8.8 | % |
| | | | | | | | | | | | |
TOTAL UNITED KINGDOM | | | | | | | 661,359,584 | | | | 12.9 | % |
| | | | | | | | | | | | |
| | | |
UNITED STATES — (0.5%) | | | | | | | | | | | | |
CRH PLC | | | 303,700 | | | | 16,269,209 | | | | 0.3 | % |
Other Securities | | | | | | | 10,220,492 | | | | 0.2 | % |
| | | | | | | | | | | | |
TOTAL UNITED STATES | | | | | | | 26,489,701 | | | | 0.5 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 5,020,308,613 | | | | 98.1 | % |
| | | | | | | | | | | | |
| | | |
PREFERRED STOCKS — (0.4%) | | | | | | | | | | | | |
| | | |
GERMANY — (0.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 21,929,678 | | | | 0.4 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $3,791,649,286) | | | | | | | 5,042,238,291 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (4.1%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 18,843,578 | | | | 217,963,662 | | | | 4.3 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $4,009,616,032) | | | | | | $ | 5,260,201,953 | | | | 102.8 | % |
| | | | | | | | | | | | |
37
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
As of October 31, 2023, Large Cap International Portfolio had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 224 | | | | 12/15/23 | | | $ | 49,320,507 | | | $ | 47,177,200 | | | $ | (2,143,307 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 49,320,507 | | | $ | 47,177,200 | | | $ | (2,143,307 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | $ | 18,577,262 | | | $ | 297,685,490 | | | | — | | | $ | 316,262,752 | |
Austria | | | — | | | | 9,441,672 | | | | — | | | | 9,441,672 | |
Belgium | | | 793,104 | | | | 46,761,717 | | | | — | | | | 47,554,821 | |
Canada | | | 534,241,585 | | | | 2,288,095 | | | | — | | | | 536,529,680 | |
Denmark | | | 8,804,673 | | | | 151,368,383 | | | | — | | | | 160,173,056 | |
Finland | | | 1,232,309 | | | | 51,505,863 | | | | — | | | | 52,738,172 | |
France | | | 3,276,642 | | | | 516,232,395 | | | | — | | | | 519,509,037 | |
Germany | | | 11,421,412 | | | | 333,755,317 | | | | — | | | | 345,176,729 | |
Hong Kong | | | — | | | | 95,733,503 | | | | — | | | | 95,733,503 | |
Ireland | | | — | | | | 28,251,351 | | | | — | | | | 28,251,351 | |
Israel | | | 3,878,019 | | | | 23,173,098 | | | | — | | | | 27,051,117 | |
Italy | | | 1,419,628 | | | | 115,011,936 | | | | — | | | | 116,431,564 | |
Japan | | | 20,422,882 | | | | 1,094,257,883 | | | | — | | | | 1,114,680,765 | |
Netherlands | | | 59,734,744 | | | | 130,503,729 | | | | — | | | | 190,238,473 | |
New Zealand | | | — | | | | 15,537,173 | | | | — | | | | 15,537,173 | |
Norway | | | 669,246 | | | | 41,780,782 | | | | — | | | | 42,450,028 | |
Portugal | | | — | | | | 12,843,354 | | | | — | | | | 12,843,354 | |
Singapore | | | — | | | | 51,706,495 | | | | — | | | | 51,706,495 | |
Spain | | | 6,260,233 | | | | 113,382,520 | | | | — | | | | 119,642,753 | |
Sweden | | | — | | | | 129,064,655 | | | | — | | | | 129,064,655 | |
Switzerland | | | 47,261,261 | | | | 354,180,917 | | | | — | | | | 401,442,178 | |
United Kingdom | | | 225,985,321 | | | | 435,374,263 | | | | — | | | | 661,359,584 | |
United States | | | 21,927,270 | | | | 4,562,431 | | | | — | | | | 26,489,701 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | — | | | | 21,929,678 | | | | — | | | | 21,929,678 | |
Securities Lending Collateral | | | — | | | | 217,963,662 | | | | — | | | | 217,963,662 | |
Futures Contracts** | | | (2,143,307 | ) | | | — | | | | — | | | | (2,143,307 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 963,762,284 | | | $ | 4,294,296,362 | | | | — | | | $ | 5,258,058,646 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
See accompanying Notes to Financial Statements.
38
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (95.9%) | | | | | | | | | | | | |
AUSTRALIA — (6.3%) | | | | | | | | | | | | |
BHP Group Ltd., Class DI | | | 4,030,666 | | | $ | 114,097,957 | | | | 0.4 | % |
# BHP Group Ltd., Sponsored ADR | | | 1,271,993 | | | | 72,579,921 | | | | 0.3 | % |
Commonwealth Bank of Australia | | | 925,486 | | | | 56,932,055 | | | | 0.2 | % |
Woodside Energy Group Ltd. | | | 2,589,891 | | | | 56,407,288 | | | | 0.2 | % |
Other Securities | | | | | | | 1,469,511,813 | | | | 5.4 | % |
| | | | | | | | | | | | |
TOTAL AUSTRALIA | | | | | | | 1,769,529,034 | | | | 6.5 | % |
| | | | | | | | | | | | |
| | | |
AUSTRIA — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 138,584,333 | | | | 0.5 | % |
| | | | | | | | | | | | |
| | | |
BELGIUM — (1.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 313,060,111 | | | | 1.2 | % |
| | | | | | | | | | | | |
| | | |
CANADA — (10.4%) | | | | | | | | | | | | |
# Bank of Montreal | | | 775,898 | | | | 58,619,094 | | | | 0.2 | % |
# Canadian Natural Resources Ltd. | | | 1,628,940 | | | | 103,486,558 | | | | 0.4 | % |
Royal Bank of Canada | | | 1,205,863 | | | | 96,324,336 | | | | 0.4 | % |
Suncor Energy, Inc. | | | 2,861,278 | | | | 92,705,407 | | | | 0.4 | % |
Other Securities | | | | | | | 2,551,603,202 | | | | 9.2 | % |
| | | | | | | | | | | | |
TOTAL CANADA | | | | | | | 2,902,738,597 | | | | 10.6 | % |
| | | | | | | | | | | | |
| | | |
CAYMAN ISLANDS — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 37,677 | | | | 0.0 | % |
| | | | | | | | | | | | |
| | | |
CHINA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 12,128,593 | | | | 0.1 | % |
| | | | | | | | | | | | |
| | | |
DENMARK — (2.8%) | | | | | | | | | | | | |
Novo Nordisk AS, Class B | | | 1,773,052 | | | | 171,057,332 | | | | 0.6 | % |
# Novo Nordisk AS, Sponsored ADR | | | 1,177,766 | | | | 113,736,863 | | | | 0.4 | % |
Other Securities | | | | | | | 490,786,570 | | | | 1.8 | % |
| | | | | | | | | | | | |
TOTAL DENMARK | | | | | | | 775,580,765 | | | | 2.8 | % |
| | | | | | | | | | | | |
| | | |
FINLAND — (1.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 393,200,489 | | | | 1.4 | % |
| | | | | | | | | | | | |
| | | |
FRANCE — (8.1%) | | | | | | | | | | | | |
Capgemini SE | | | 373,745 | | | | 66,051,513 | | | | 0.2 | % |
L’Oreal SA | | | 157,365 | | | | 66,145,302 | | | | 0.3 | % |
LVMH Moet Hennessy Louis Vuitton SE | | | 247,349 | | | | 177,084,653 | | | | 0.7 | % |
Orange SA | | | 7,245,203 | | | | 85,218,380 | | | | 0.3 | % |
TotalEnergies SE | | | 4,052,320 | | | | 270,927,956 | | | | 1.0 | % |
# TotalEnergies SE, Sponsored ADR | | | 215,223 | | | | 14,333,852 | | | | 0.1 | % |
Vinci SA | | | 533,897 | | | | 59,035,350 | | | | 0.2 | % |
Other Securities | | | | | | | 1,525,643,446 | | | | 5.5 | % |
| | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 2,264,440,452 | | | | 8.3 | % |
| | | | | | | | | | | | |
| | | |
GERMANY — (6.3%) | | | | | | | | | | | | |
Allianz SE | | | 264,267 | | | | 61,902,560 | | | | 0.2 | % |
Bayer AG | | | 1,569,802 | | | | 67,828,881 | | | | 0.3 | % |
Deutsche Post AG | | | 1,499,206 | | | | 58,534,238 | | | | 0.2 | % |
39
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
GERMANY — (Continued) | | | | | | | | | | | | |
Deutsche Telekom AG | | | 6,030,773 | | | $ | 130,889,872 | | | | 0.5 | % |
Mercedes-Benz Group AG | | | 1,670,941 | | | | 98,308,562 | | | | 0.4 | % |
Siemens AG | | | 498,522 | | | | 66,153,296 | | | | 0.3 | % |
Other Securities | | | | | | | 1,269,731,439 | | | | 4.5 | % |
| | | | | | | | | | | | |
TOTAL GERMANY | | | | | | | 1,753,348,848 | | | | 6.4 | % |
| | | | | | | | | | | | |
| | | |
HONG KONG — (1.9%) | | | | | | | | | | | | |
AIA Group Ltd. | | | 11,564,600 | | | | 100,424,706 | | | | 0.4 | % |
Other Securities | | | | | | | 446,545,597 | | | | 1.6 | % |
| | | | | | | | | | | | |
TOTAL HONG KONG | | | | | | | 546,970,303 | | | | 2.0 | % |
| | | | | | | | | | | | |
| | | |
IRELAND — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 165,618,167 | | | | 0.6 | % |
| | | | | | | | | | | | |
| | | |
ISRAEL — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 196,113,177 | | | | 0.7 | % |
| | | | | | | | | | | | |
| | | |
ITALY — (2.8%) | | | | | | | | | | | | |
Eni SpA | | | 4,294,094 | | | | 70,198,411 | | | | 0.3 | % |
Stellantis NV | | | 5,877,017 | | | | 109,796,450 | | | | 0.4 | % |
Other Securities | | | | | | | 609,495,558 | | | | 2.2 | % |
| | | | | | | | | | | | |
TOTAL ITALY | | | | | | | 789,490,419 | | | | 2.9 | % |
| | | | | | | | | | | | |
| | | |
JAPAN — (22.5%) | | | | | | | | | | | | |
Hitachi Ltd. | | | 1,198,785 | | | | 75,986,879 | | | | 0.3 | % |
# ITOCHU Corp. | | | 1,563,900 | | | | 56,333,280 | | | | 0.2 | % |
KDDI Corp. | | | 2,227,400 | | | | 66,632,058 | | | | 0.3 | % |
Mitsubishi UFJ Financial Group, Inc. | | | 7,907,300 | | | | 66,335,503 | | | | 0.3 | % |
Sony Group Corp. | | | 1,128,800 | | | | 93,847,129 | | | | 0.4 | % |
Toyota Motor Corp. | | | 7,465,770 | | | | 130,604,233 | | | | 0.5 | % |
Other Securities | | | | | | | 5,815,908,699 | | | | 21.0 | % |
| | | | | | | | | | | | |
TOTAL JAPAN | | | | | | | 6,305,647,781 | | | | 23.0 | % |
| | | | | | | | | | | | |
| | | |
NETHERLANDS — (3.0%) | | | | | | | | | | | | |
# ASML Holding NV | | | 126,227 | | | | 75,877,630 | | | | 0.3 | % |
ASML Holding NV | | | 180,734 | | | | 108,225,327 | | | | 0.4 | % |
Koninklijke Ahold Delhaize NV | | | 2,123,122 | | | | 62,869,437 | | | | 0.2 | % |
Other Securities | | | | | | | 603,847,055 | | | | 2.2 | % |
| | | | | | | | | | | | |
TOTAL NETHERLANDS | | | | | | | 850,819,449 | | | | 3.1 | % |
| | | | | | | | | | | | |
| | | |
NEW ZEALAND — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 83,000,314 | | | | 0.3 | % |
| | | | | | | | | | | | |
| | | |
NORWAY — (0.9%) | | | | | | | | | | | | |
Other Securities | | | | | | | 242,131,060 | | | | 0.9 | % |
| | | | | | | | | | | | |
| | | |
PORTUGAL — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 84,825,003 | | | | 0.3 | % |
| | | | | | | | | | | | |
| | | |
SINGAPORE — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 284,992,159 | | | | 1.0 | % |
| | | | | | | | | | | | |
40
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SPAIN — (2.4%) | | | | | | | | | | | | |
# Banco Santander SA | | | 16,149,187 | | | $ | 59,395,633 | | | | 0.2 | % |
Repsol SA | | | 4,909,248 | | | | 71,881,932 | | | | 0.3 | % |
Telefonica SA | | | 15,385,994 | | | | 59,430,500 | | | | 0.2 | % |
Other Securities | | | | | | | 477,791,956 | | | | 1.7 | % |
| | | | | | | | | | | | |
TOTAL SPAIN | | | | | | | 668,500,021 | | | | 2.4 | % |
| | | | | | | | | | | | |
| | | |
SWEDEN — (2.5%) | | | | | | | | | | | | |
Volvo AB, Class B | | | 2,958,974 | | | | 58,632,631 | | | | 0.2 | % |
Other Securities | | | | | | | 635,154,989 | | | | 2.3 | % |
| | | | | | | | | | | | |
TOTAL SWEDEN | | | | | | | 693,787,620 | | | | 2.5 | % |
| | | | | | | | | | | | |
| | | |
SWITZERLAND — (7.4%) | | | | | | | | | | | | |
ABB Ltd. | | | 1,748,784 | | | | 58,755,134 | | | | 0.2 | % |
Nestle SA | | | 2,370,731 | | | | 255,656,610 | | | | 0.9 | % |
Novartis AG, Sponsored ADR | | | 1,622,126 | | | | 151,798,551 | | | | 0.6 | % |
Roche Holding AG | | | 627,570 | | | | 161,730,790 | | | | 0.6 | % |
Zurich Insurance Group AG | | | 125,316 | | | | 59,524,164 | | | | 0.2 | % |
Other Securities | | | | | | | 1,392,349,108 | | | | 5.1 | % |
| | | | | | | | | | | | |
TOTAL SWITZERLAND | | | | | | | 2,079,814,357 | | | | 7.6 | % |
| | | | | | | | | | | | |
| | | |
UNITED KINGDOM — (12.2%) | | | | | | | | | | | | |
AstraZeneca PLC, Sponsored ADR | | | 1,493,548 | | | | 94,437,040 | | | | 0.4 | % |
BP PLC | | | 10,974,429 | | | | 67,010,003 | | | | 0.3 | % |
BP PLC, Sponsored ADR | | | 3,571,720 | | | | 130,653,518 | | | | 0.5 | % |
Glencore PLC | | | 18,999,963 | | | | 100,639,456 | | | | 0.4 | % |
# HSBC Holdings PLC, Sponsored ADR | | | 3,009,227 | | | | 109,325,217 | | | | 0.4 | % |
Shell PLC | | | 1,472,115 | | | | 47,441,592 | | | | 0.2 | % |
Shell PLC, ADR | | | 4,623,215 | | | | 301,156,225 | | | | 1.1 | % |
Other Securities | | | | | | | 2,583,687,697 | | | | 9.3 | % |
| | | | | | | | | | | | |
TOTAL UNITED KINGDOM | | | | | | | 3,434,350,748 | | | | 12.6 | % |
| | | | | | | | | | | | |
| | | |
UNITED STATES — (0.5%) | | | | | | | | | | | | |
# CRH PLC | | | 1,705,978 | | | | 91,389,241 | | | | 0.3 | % |
Other Securities | | | | | | | 43,390,019 | | | | 0.2 | % |
| | | | | | | | | | | | |
TOTAL UNITED STATES | | | | | | | 134,779,260 | | | | 0.5 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 26,883,488,737 | | | | 98.2 | % |
| | | | | | | | | | | | |
| | | |
PREFERRED STOCKS — (0.5%) | | | | | | | | | | | | |
| | | |
GERMANY — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 123,674,912 | | | | 0.5 | % |
| | | | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
| | | |
AUSTRALIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 206 | | | | 0.0 | % |
| | | | | | | | | | | | |
| | | |
FINLAND — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 1,555,295 | | | | 0.0 | % |
| | | | | | | | | | | | |
41
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SPAIN — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | $ | 256,855 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 1,812,356 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $23,867,276,334) | | | | | | | 27,008,976,005 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (3.6%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 87,571,605 | | | | 1,012,940,757 | | | | 3.7 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $24,880,218,461) | | | | | | $ | 28,021,916,762 | | | | 102.4 | % |
| | | | | | | | | | | | |
As of October 31, 2023, International Core Equity Portfolio had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 976 | | | | 12/15/23 | | | $ | 218,737,430 | | | $ | 205,557,800 | | | $ | (13,179,630 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 218,737,430 | | | $ | 205,557,800 | | | $ | (13,179,630 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | $ | 89,158,794 | | | $ | 1,680,108,338 | | | $ | 261,902 | | | $ | 1,769,529,034 | |
Austria | | | 659,255 | | | | 137,925,078 | | | | — | | | | 138,584,333 | |
Belgium | | | 6,259,001 | | | | 306,801,110 | | | | — | | | | 313,060,111 | |
Canada | | | 2,894,290,846 | | | | 8,447,751 | | | | — | | | | 2,902,738,597 | |
Cayman Islands | | | — | | | | 37,677 | | | | — | | | | 37,677 | |
China | | | 11,179,099 | | | | 949,494 | | | | — | | | | 12,128,593 | |
Denmark | | | 113,736,863 | | | | 661,843,902 | | | | — | | | | 775,580,765 | |
Finland | | | 9,791,083 | | | | 383,409,406 | | | | — | | | | 393,200,489 | |
France | | | 28,416,583 | | | | 2,236,023,869 | | | | — | | | | 2,264,440,452 | |
Germany | | | 36,034,843 | | | | 1,717,314,005 | | | | — | | | | 1,753,348,848 | |
Hong Kong | | | 401,795 | | | | 546,426,590 | | | | 141,918 | | | | 546,970,303 | |
Ireland | | | — | | | | 165,618,167 | | | | — | | | | 165,618,167 | |
Israel | | | 14,231,944 | | | | 181,881,233 | | | | — | | | | 196,113,177 | |
Italy | | | 6,689,605 | | | | 782,800,814 | | | | — | | | | 789,490,419 | |
Japan | | | 108,895,333 | | | | 6,196,752,448 | | | | — | | | | 6,305,647,781 | |
Netherlands | | | 163,565,570 | | | | 687,253,879 | | | | — | | | | 850,819,449 | |
New Zealand | | | 215,172 | | | | 82,785,142 | | | | — | | | | 83,000,314 | |
Norway | | | 1,463,717 | | | | 240,667,343 | | | | — | | | | 242,131,060 | |
Portugal | | | 303,204 | | | | 84,521,799 | | | | — | | | | 84,825,003 | |
Singapore | | | 7,447 | | | | 284,677,530 | | | | 307,182 | | | | 284,992,159 | |
Spain | | | 15,523,988 | | | | 652,976,033 | | | | — | | | | 668,500,021 | |
Sweden | | | 244,838 | | | | 693,542,782 | | | | — | | | | 693,787,620 | |
42
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Switzerland | | $ | 212,078,595 | | | $ | 1,867,735,762 | | | | — | | | $ | 2,079,814,357 | |
United Kingdom | | | 832,415,293 | | | | 2,601,760,587 | | | $ | 174,868 | | | | 3,434,350,748 | |
United States | | | 107,106,754 | �� | | | 27,672,506 | | | | — | | | | 134,779,260 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | — | | | | 123,674,912 | | | | — | | | | 123,674,912 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Australia | | | — | | | | 206 | | | | — | | | | 206 | |
Finland | | | — | | | | 1,555,295 | | | | — | | | | 1,555,295 | |
Spain | | | — | | | | 256,855 | | | | — | | | | 256,855 | |
Securities Lending Collateral | | | — | | | | 1,012,940,757 | | | | — | | | | 1,012,940,757 | |
Futures Contracts** | | | (13,179,630 | ) | | | — | | | | — | | | | (13,179,630 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 4,639,489,992 | | | $ | 23,368,361,270 | | | $ | 885,870^ | | | $ | 28,008,737,132 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
43
GLOBAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | | | | | |
| | | Shares | | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | | | | | |
Investment in U.S. Small Cap Portfolio of
DFA Investment Dimensions Group Inc | | | 1,191,641 | | | $ | 44,650,794 | |
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company | | | | | | | 8,574,556 | |
Investment in The Continental Small Company Series of
The DFA Investment Trust Company | | | | | | | 8,290,138 | |
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company | | | | | | | 5,096,241 | |
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company | | | | | | | 2,760,151 | |
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company | | | | | | | 2,265,014 | |
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company | | | | | | | 2,179,541 | |
| | | | | | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $69,951,228) | | | | | | $ | 73,816,435 | |
| | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Affiliated Investment Companies | | $ | 73,816,435 | | | | — | | | | — | | | $ | 73,816,435 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 73,816,435 | | | | — | | | | — | | | $ | 73,816,435 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
44
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | | | | | |
| | | | | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (99.1%) | | | | | | | | |
Investment in The Continental Small Company Series of
The DFA Investment Trust Company | | | $ | 3,976,364,881 | |
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company | | | | 2,567,386,625 | |
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company | | | | 1,230,454,755 | |
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company | | | | 1,137,353,537 | |
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company | | | | 1,036,712,569 | |
| | | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | | | $ | 9,948,272,367 | |
| | | | | |
| | |
| | | Shares | | | | |
TEMPORARY CASH INVESTMENTS — (0.9%) | | | | | | | | |
State Street Institutional U.S. Government Money Market Fund, 5.300%
(Cost $92,141,919) | | | 92,141,919 | | | | 92,141,919 | |
| | | | | | | | |
TOTAL INVESTMENTS — (100.0%)
(Cost $9,995,982,568) | | | | | | $ | 10,040,414,286 | |
| | | | | | | | |
As of October 31, 2023, International Small Company Portfolio had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 431 | | | | 12/15/23 | | | $ | 92,441,950 | | | $ | 90,773,988 | | | $ | (1,667,962 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 92,441,950 | | | $ | 90,773,988 | | | $ | (1,667,962 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Affiliated Investment Companies | | $ | 9,948,272,367 | | | | — | | | | — | | | $ | 9,948,272,367 | |
Temporary Cash Investments | | | 92,141,919 | | | | — | | | | — | | | | 92,141,919 | |
Futures Contracts** | | | (1,667,962 | ) | | | — | | | | — | | | | (1,667,962 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 10,038,746,324 | | | | — | | | | — | | | $ | 10,038,746,324 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
See accompanying Notes to Financial Statements.
45
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | |
| | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | |
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company | | $ | 248,690,093 | |
| | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | | $ | 248,690,093 | |
| | | | |
Summary of the Portfolio’s Master Fund’s investments as of October 31, 2023, based on their valuation inputs, is located in this report (See Security Valuation Note).
See accompanying Notes to Financial Statements.
46
ASIA PACIFIC SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | |
| | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | |
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company | | $ | 163,248,753 | |
| | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | | $ | 163,248,753 | |
| | | | |
Summary of the Portfolio’s Master Fund’s investments as of October 31, 2023, based on their valuation inputs, is located in this report (See Security Valuation Note).
See accompanying Notes to Financial Statements.
47
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | |
| | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | |
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company | | $ | 18,698,045 | |
| | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | | $ | 18,698,045 | |
| | | | |
Summary of the Portfolio’s Master Fund’s investments as of October 31, 2023, based on their valuation inputs, is located in this report (See Security Valuation Note).
See accompanying Notes to Financial Statements.
48
CONTINENTAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | |
| | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | |
Investment in The Continental Small Company Series of
The DFA Investment Trust Company | | $ | 657,058,163 | |
| | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | | $ | 657,058,163 | |
| | | | |
Summary of the Portfolio’s Master Fund’s investments as of October 31, 2023, based on their valuation inputs, is located in this
report (See Security Valuation Note).
See accompanying Notes to Financial Statements.
49
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (97.4%) | | | | | | | | | | | | |
AUSTRALIA — (19.2%) | | | | | | | | | | | | |
| | Charter Hall Group | | | 4,539,726 | | | $ | 25,149,986 | | | | 0.7 | % |
| | Dexus | | | 10,232,914 | | | | 42,263,842 | | | | 1.2 | % |
| | Goodman Group | | | 16,652,086 | | | | 220,338,662 | | | | 6.3 | % |
| | GPT Group | | | 18,275,188 | | | | 42,175,999 | | | | 1.2 | % |
| | Mirvac Group | | | 37,491,944 | | | | 43,500,151 | | | | 1.2 | % |
| | Scentre Group | | | 49,912,659 | | | | 77,324,241 | | | | 2.2 | % |
| | Stockland | | | 22,823,875 | | | | 51,512,137 | | | | 1.5 | % |
| | Vicinity Ltd. | | | 36,942,552 | | | | 40,013,620 | | | | 1.1 | % |
| | Other Securities | | | | | | | 140,684,445 | | | | 4.0 | % |
| | | | | | | | | | | | | | |
TOTAL AUSTRALIA | | | | | | | 682,963,083 | | | | 19.4 | % |
| | | | | | | | | | | | | | |
| | | |
BELGIUM — (3.5%) | | | | | | | | | | | | |
| | Aedifica SA | | | 459,057 | | | | 25,044,103 | | | | 0.7 | % |
| | Cofinimmo SA | | | 334,049 | | | | 20,772,985 | | | | 0.6 | % |
| | Warehouses De Pauw CVA | | | 1,615,120 | | | | 39,962,118 | | | | 1.1 | % |
| | Other Securities | | | | | | | 39,162,446 | | | | 1.2 | % |
| | | | | | | | | | | | | | |
TOTAL BELGIUM | | | | | | | 124,941,652 | | | | 3.6 | % |
| | | | | | | | | | | | | | |
| | | |
CANADA — (4.8%) | | | | | | | | | | | | |
# | | Canadian Apartment Properties REIT | | | 810,188 | | | | 23,848,476 | | | | 0.7 | % |
| | Other Securities | | | | | | | 147,400,328 | | | | 4.2 | % |
| | | | | | | | | | | | | | |
TOTAL CANADA | | | | | | | 171,248,804 | | | | 4.9 | % |
| | | | | | | | | | | �� | | | |
| | | |
CHINA — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 4,364,616 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
| | | |
FRANCE — (5.7%) | | | | | | | | | | | | |
| | Covivio SA | | | 458,957 | | | | 19,668,316 | | | | 0.6 | % |
| | Gecina SA | | | 415,069 | | | | 40,755,974 | | | | 1.2 | % |
| | Klepierre SA | | | 1,926,549 | | | | 46,783,891 | | | | 1.3 | % |
#* | | Unibail-Rodamco-Westfield | | | 920,694 | | | | 45,619,640 | | | | 1.3 | % |
#* | | Unibail-Rodamco-Westfield, CDI | | | 6,428,164 | | | | 15,444,278 | | | | 0.4 | % |
| | Other Securities | | | | | | | 32,866,218 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 201,138,317 | | | | 5.7 | % |
| | | | | | | | | | | | | | |
| | | |
GERMANY — (0.2%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 6,105,168 | | | | 0.2 | % |
| | | | | | | | | | | | | | |
| | | |
HONG KONG — (3.8%) | | | | | | | | | | | | |
| | Link REIT | | | 24,527,821 | | | | 112,561,593 | | | | 3.2 | % |
| | Other Securities | | | | | | | 23,083,972 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
TOTAL HONG KONG | | | | | | | 135,645,565 | | | | 3.9 | % |
| | | | | | | | | | | | | | |
| | | |
INDIA — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 351,325 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
| | | |
IRELAND — (0.1%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 4,867,291 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
50
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
ITALY — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | $ | 1,318,360 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
| | | |
JAPAN — (25.7%) | | | | | | | | | | | | |
| | Advance Residence Investment Corp. | | | 12,919 | | | | 28,088,528 | | | | 0.8 | % |
# | | Daiwa House REIT Investment Corp. | | | 21,472 | | | | 38,000,017 | | | | 1.1 | % |
| | GLP J-Reit | | | 45,767 | | | | 40,991,534 | | | | 1.2 | % |
| | Invincible Investment Corp. | | | 59,700 | | | | 22,960,640 | | | | 0.6 | % |
| | Japan Hotel REIT Investment Corp. | | | 43,288 | | | | 19,680,167 | | | | 0.6 | % |
| | Japan Metropolitan Fund Invest | | | 69,267 | | | | 44,701,234 | | | | 1.3 | % |
| | Japan Prime Realty Investment Corp. | | | 8,443 | | | | 19,775,995 | | | | 0.6 | % |
# | | Japan Real Estate Investment Corp. | | | 12,424 | | | | 46,146,730 | | | | 1.3 | % |
| | Nippon Accommodations Fund, Inc. | | | 4,991 | | | | 20,107,729 | | | | 0.6 | % |
| | Nippon Building Fund, Inc. | | | 15,036 | | | | 60,413,649 | | | | 1.7 | % |
| | Nippon Prologis REIT, Inc. | | | 22,394 | | | | 39,847,331 | | | | 1.1 | % |
| | Nomura Real Estate Master Fund, Inc. | | | 41,738 | | | | 46,056,135 | | | | 1.3 | % |
# | | Orix JREIT, Inc. | | | 26,195 | | | | 30,104,919 | | | | 0.9 | % |
# | | Sekisui House Reit, Inc. | | | 41,463 | | | | 21,837,547 | | | | 0.6 | % |
| | United Urban Investment Corp. | | | 28,635 | | | | 28,868,908 | | | | 0.8 | % |
| | Other Securities | | | | | | | 402,819,128 | | | | 11.4 | % |
| | | | | | | | | | | | | | |
TOTAL JAPAN | | | | | | | 910,400,191 | | | | 25.9 | % |
| | | | | | | | | | | | | | |
| | | |
MALAYSIA — (0.6%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 19,768,695 | | | | 0.6 | % |
| | | | | | | | | | | | | | |
| | | |
MEXICO — (3.0%) | | | | | | | | | | | | |
W | | FIBRA Macquarie Mexico | | | 12,529,336 | | | | 19,278,040 | | | | 0.5 | % |
| | Fibra Uno Administracion SA de CV | | | 30,033,624 | | | | 45,660,970 | | | | 1.3 | % |
| | Other Securities | | | | | | | 40,145,403 | | | | 1.2 | % |
| | | | | | | | | | | | | | |
TOTAL MEXICO | | | | | | | 105,084,413 | | | | 3.0 | % |
| | | | | | | | | | | | | | |
| | | |
NETHERLANDS — (0.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 24,219,976 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
| | | |
NEW ZEALAND — (1.4%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 50,613,739 | | | | 1.4 | % |
| | | | | | | | | | | | | | |
| | | |
PHILIPPINES — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 16,177 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
| | | |
SAUDI ARABIA — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 719,557 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
| | | |
SINGAPORE — (11.2%) | | | | | | | | | | | | |
| | CapitaLand Ascendas REIT | | | 34,533,080 | | | | 65,614,365 | | | | 1.9 | % |
| | CapitaLand Integrated Commercial Trust | | | 52,886,611 | | | | 67,970,893 | | | | 1.9 | % |
| | Frasers Logistics & Commercial Trust | | | 29,728,732 | | | | 22,582,155 | | | | 0.6 | % |
| | Mapletree Industrial Trust | | | 20,652,558 | | | | 32,463,788 | | | | 0.9 | % |
| | Mapletree Logistics Trust | | | 33,855,047 | | | | 36,355,199 | | | | 1.0 | % |
# | | Mapletree Pan Asia Commercial Trust | | | 23,384,506 | | | | 22,727,523 | | | | 0.7 | % |
| | Other Securities | | | | | | | 151,376,548 | | | | 4.4 | % |
| | | | | | | | | | | | | | |
TOTAL SINGAPORE | | | | | | | 399,090,471 | | �� | | 11.4 | % |
| | | | | | | | | | | | | | |
51
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SOUTH AFRICA — (1.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 58,553,339 | | | | 1.7 | % |
| | | | | | | | | | | | | | |
| | | |
SOUTH KOREA — (0.3%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 10,307,940 | | | | 0.3 | % |
| | | | | | | | | | | | | | |
| | | |
SPAIN — (1.3%) | | | | | | | | | | | | |
| | Merlin Properties Socimi SA | | | 3,223,898 | | | | 26,880,164 | | | | 0.8 | % |
| | Other Securities | | | | | | | 20,089,576 | | | | 0.5 | % |
| | | | | | | | | | | | | | |
TOTAL SPAIN | | | | | | | 46,969,740 | | | | 1.3 | % |
| | | | | | | | | | | | | | |
| | | |
TAIWAN — (0.4%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 13,567,649 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
| | | |
THAILAND — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 290,901 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
| | | |
TURKEY — (0.5%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 15,671,016 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
| | | |
UNITED KINGDOM — (13.2%) | | | | | | | | | | | | |
| | Big Yellow Group PLC | | | 1,804,080 | | | | 20,981,600 | | | | 0.6 | % |
| | British Land Co. PLC | | | 8,612,052 | | | | 31,221,063 | | | | 0.9 | % |
| | Derwent London PLC | | | 968,337 | | | | 21,520,303 | | | | 0.6 | % |
| | Land Securities Group PLC | | | 6,916,338 | | | | 47,941,990 | | | | 1.4 | % |
| | LondonMetric Property PLC | | | 10,298,484 | | | | 20,752,958 | | | | 0.6 | % |
| | Segro PLC | | | 11,639,873 | | | | 101,175,392 | | | | 2.9 | % |
# | | Shaftesbury Capital PLC | | | 15,223,250 | | | | 19,298,426 | | | | 0.6 | % |
| | Tritax Big Box REIT PLC | | | 19,322,752 | | | | 32,170,791 | | | | 0.9 | % |
| | UNITE Group PLC | | | 3,552,659 | | | | 37,596,067 | | | | 1.1 | % |
| | Other Securities | | | | | | | 135,365,555 | | | | 3.7 | % |
| | | | | | | | | | | | | | |
TOTAL UNITED KINGDOM | | | | | | | 468,024,145 | | | | 13.3 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS
(Cost $4,290,932,722) | | | | | | | 3,456,242,130 | | | | 98.3 | % |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (2.6%) | | | | | | | | | | | | |
@§ | | The DFA Short Term Investment Fund | | | 8,122,173 | | | | 93,949,172 | | | | 2.7 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $4,384,882,641) | | | | | | $ | 3,550,191,302 | | | | 101.0 | % |
| | | | | | | | | | | | | | |
As of October 31, 2023, DFA International Real Estate Securities Portfolio had entered into the following outstanding futures
contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 128 | | | | 12/15/23 | | | $ | 27,954,649 | | | $ | 26,958,400 | | | $ | (996,249 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 27,954,649 | | | $ | 26,958,400 | | | $ | (996,249 | ) |
| | | | | | | | | | | | | | | | | | | | |
52
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | $ | 2,878,032 | | | $ | 680,085,051 | | | | — | | | $ | 682,963,083 | |
Belgium | | | — | | | | 124,941,652 | | | | — | | | | 124,941,652 | |
Canada | | | 171,248,804 | | | | — | | | | — | | | | 171,248,804 | |
China | | | — | | | | 4,364,616 | | | | — | | | | 4,364,616 | |
France | | | — | | | | 201,138,317 | | | | — | | | | 201,138,317 | |
Germany | | | — | | | | 6,105,168 | | | | — | | | | 6,105,168 | |
Hong Kong | | | — | | | | 135,645,565 | | | | — | | | | 135,645,565 | |
India | | | — | | | | 351,325 | | | | — | | | | 351,325 | |
Ireland | | | — | | | | 4,867,291 | | | | — | | | | 4,867,291 | |
Italy | | | — | | | | 1,318,360 | | | | — | | | | 1,318,360 | |
Japan | | | — | | | | 910,400,191 | | | | — | | | | 910,400,191 | |
Malaysia | | | — | | | | 19,768,695 | | | | — | | | | 19,768,695 | |
Mexico | | | 105,084,413 | | | | — | | | | — | | | | 105,084,413 | |
Netherlands | | | — | | | | 24,219,976 | | | | — | | | | 24,219,976 | |
New Zealand | | | — | | | | 50,613,739 | | | | — | | | | 50,613,739 | |
Philippines | | | — | | | | 16,177 | | | | — | | | | 16,177 | |
Saudi Arabia | | | — | | | | 719,557 | | | | — | | | | 719,557 | |
Singapore | | | — | | | | 399,090,471 | | | | — | | | | 399,090,471 | |
South Africa | | | — | | | | 58,553,339 | | | | — | | | | 58,553,339 | |
South Korea | | | — | | | | 10,307,940 | | | | — | | | | 10,307,940 | |
Spain | | | — | | | | 46,969,740 | | | | — | | | | 46,969,740 | |
Taiwan | | | — | | | | 13,567,649 | | | | — | | | | 13,567,649 | |
Thailand | | | — | | | | 290,901 | | | | — | | | | 290,901 | |
Turkey | | | — | | | | 15,671,016 | | | | — | | | | 15,671,016 | |
United Kingdom | | | — | | | | 468,024,145 | | | | — | | | | 468,024,145 | |
Securities Lending Collateral | | | — | | | | 93,949,172 | | | | — | | | | 93,949,172 | |
Futures Contracts** | | | (996,249 | ) | | | — | | | | — | | | | (996,249 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 278,215,000 | | | $ | 3,270,980,053 | | | | — | | | $ | 3,549,195,053 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
See accompanying Notes to Financial Statements.
53
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | ValueȠ | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (65.7%) | | | | | | | | | | | | |
UNITED STATES — (65.7%) | | | | | | | | | | | | |
| | Agree Realty Corp. | | | 404,393 | | | $ | 22,621,744 | | | | 0.3 | % |
# | | Alexandria Real Estate Equities, Inc. | | | 742,599 | | | | 69,158,245 | | | | 1.0 | % |
| | American Homes 4 Rent, Class A | | | 1,476,256 | | | | 48,332,621 | | | | 0.7 | % |
| | American Tower Corp. | | | 2,050,133 | | | | 365,313,199 | | | | 5.5 | % |
| | Americold Realty Trust, Inc. | | | 1,163,880 | | | | 30,516,934 | | | | 0.5 | % |
| | Apartment Income REIT Corp. | | | 736,288 | | | | 21,506,972 | | | | 0.3 | % |
# | | AvalonBay Communities, Inc. | | | 631,701 | | | | 104,698,124 | | | | 1.6 | % |
# | | Boston Properties, Inc. | | | 675,717 | | | | 36,198,160 | | | | 0.5 | % |
| | Brixmor Property Group, Inc. | | | 1,383,499 | | | | 28,762,944 | | | | 0.4 | % |
| | Camden Property Trust | | | 483,176 | | | | 41,011,979 | | | | 0.6 | % |
| | Crown Castle, Inc. | | | 1,930,586 | | | | 179,505,886 | | | | 2.7 | % |
| | CubeSmart | | | 1,019,361 | | | | 34,750,017 | | | | 0.5 | % |
# | | Digital Realty Trust, Inc. | | | 1,309,024 | | | | 162,790,225 | | | | 2.4 | % |
| | EastGroup Properties, Inc. | | | 196,141 | | | | 32,020,018 | | | | 0.5 | % |
| | Equinix, Inc. | | | 412,526 | | | | 300,995,471 | | | | 4.5 | % |
| | Equity LifeStyle Properties, Inc. | | | 795,076 | | | | 52,316,001 | | | | 0.8 | % |
| | Equity Residential | | | 1,609,516 | | | | 89,054,520 | | | | 1.3 | % |
| | Essex Property Trust, Inc. | | | 289,109 | | | | 61,846,197 | | | | 0.9 | % |
| | Extra Space Storage, Inc. | | | 941,132 | | | | 97,491,886 | | | | 1.5 | % |
| | Federal Realty Investment Trust | | | 350,832 | | | | 31,992,370 | | | | 0.5 | % |
| | First Industrial Realty Trust, Inc. | | | 591,434 | | | | 25,017,658 | | | | 0.4 | % |
# | | Gaming & Leisure Properties, Inc. | | | 1,192,243 | | | | 54,115,910 | | | | 0.8 | % |
| | Healthcare Realty Trust, Inc., Class A | | | 1,825,534 | | | | 26,196,413 | | | | 0.4 | % |
| | Healthpeak Properties, Inc. | | | 2,496,282 | | | | 38,817,185 | | | | 0.6 | % |
# | | Host Hotels & Resorts, Inc. | | | 3,226,659 | | | | 49,948,681 | | | | 0.8 | % |
| | Invitation Homes, Inc. | | | 2,774,819 | | | | 82,384,376 | | | | 1.2 | % |
# | | Iron Mountain, Inc. | | | 1,322,958 | | | | 78,147,129 | | | | 1.2 | % |
| | Kimco Realty Corp. | | | 2,824,542 | | | | 50,672,284 | | | | 0.8 | % |
| | Kite Realty Group Trust | | | 1,036,243 | | | | 22,092,701 | | | | 0.3 | % |
# | | Lamar Advertising Co., Class A | | | 400,969 | | | | 32,987,720 | | | | 0.5 | % |
| | Mid-America Apartment Communities, Inc. | | | 528,827 | | | | 62,480,910 | | | | 0.9 | % |
| | NNN REIT, Inc. | | | 849,095 | | | | 30,847,621 | | | | 0.5 | % |
# | | Omega Healthcare Investors, Inc. | | | 1,120,816 | | | | 37,099,010 | | | | 0.6 | % |
| | Prologis, Inc. | | | 4,099,876 | | | | 413,062,507 | | | | 6.2 | % |
# | | Public Storage | | | 704,072 | | | | 168,069,027 | | | | 2.5 | % |
# | | Realty Income Corp. | | | 2,801,008 | | | | 132,711,759 | | | | 2.0 | % |
| | Regency Centers Corp. | | | 735,985 | | | | 44,350,456 | | | | 0.7 | % |
| | Rexford Industrial Realty, Inc. | | | 928,036 | | | | 40,128,277 | | | | 0.6 | % |
| | Ryman Hospitality Properties, Inc. | | | 245,283 | | | | 20,996,225 | | | | 0.3 | % |
| | SBA Communications Corp. | | | 484,466 | | | | 101,074,142 | | | | 1.5 | % |
| | Simon Property Group, Inc. | | | 1,462,643 | | | | 160,729,839 | | | | 2.4 | % |
| | Spirit Realty Capital, Inc. | | | 628,364 | | | | 22,614,820 | | | | 0.3 | % |
# | | STAG Industrial, Inc. | | | 774,692 | | | | 25,735,268 | | | | 0.4 | % |
# | | Sun Communities, Inc. | | | 560,595 | | | | 62,360,588 | | | | 0.9 | % |
| | UDR, Inc. | | | 1,474,492 | | | | 46,903,591 | | | | 0.7 | % |
# | | Ventas, Inc. | | | 1,821,522 | | | | 77,341,824 | | | | 1.2 | % |
| | VICI Properties, Inc. | | | 4,492,485 | | | | 125,340,332 | | | | 1.9 | % |
# | | Welltower, Inc. | | | 2,217,008 | | | | 185,364,039 | | | | 2.8 | % |
| | WP Carey, Inc. | | | 964,683 | | | | 51,755,243 | | | | 0.8 | % |
54
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | ValueȠ | | | Percentage
of Net Assets‡ | |
UNITED STATES — (Continued) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 524,024,505 | | | | 7.9 | % |
| | | | | | | | | | | | |
TOTAL UNITED STATES | | | | | | | 4,604,253,553 | | | | 69.1 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 4,604,253,553 | | | | 69.1 | % |
| | | | | | | | | | | | |
| | | |
| | | | | | Value† | | | | |
AFFILIATED INVESTMENT COMPANY — (29.4%) | | | | | | | | | | | | |
DFA International Real Estate Securities Portfolio | | | | | | | | | | | | |
Portfolio of DFA Investment Dimensions Group, Inc. | | | 631,843,335 | | | | 2,059,809,271 | | | | 30.9 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $7,675,520,500) | | | | | | | 6,664,062,824 | | | | | |
| | | | | | | | | | | | |
SECURITIES LENDING COLLATERAL — (4.9%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 29,389,659 | | | | 339,950,185 | | | | 5.1 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $8,015,475,132) | | | | | | $ | 7,004,013,009 | | | | 105.1 | % |
| | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security
Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
United States | | $ | 4,604,253,553 | | | | — | | | | — | | | $ | 4,604,253,553 | |
Affiliated Investment Company | | | 2,059,809,271 | | | | — | | | | — | | | | 2,059,809,271 | |
Securities Lending Collateral | | | — | | | $ | 339,950,185 | | | | — | | | | 339,950,185 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 6,664,062,824 | | | $ | 339,950,185 | | | | — | | | $ | 7,004,013,009 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
55
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (98.2%) | | | | | | | | | | | | |
AUSTRALIA — (5.3%) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 528,978,799 | | | | 5.3 | % |
| | | | | | | | | | | | | | |
| | | |
AUSTRIA — (0.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 67,444,620 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
| | | |
BELGIUM — (1.6%) | | | | | | | | | | | | |
| | Ackermans & van Haaren NV | | | 287,147 | | | | 42,627,821 | | | | 0.4 | % |
| | Bekaert SA | | | 848,770 | | | | 34,367,043 | | | | 0.3 | % |
| | Euronav NV | | | 2,281,463 | | | | 40,839,079 | | | | 0.4 | % |
| | Other Securities | | | | | | | 46,850,091 | | | | 0.5 | % |
| | | | | | | | | | | | | | |
TOTAL BELGIUM | | | | | | | 164,684,034 | | | | 1.6 | % |
| | | | | | | | | | | | | | |
| | | |
CANADA — (12.6%) | | | | | | | | | | | | |
| | Alamos Gold, Inc., Class A | | | 7,302,034 | | | | 90,409,897 | | | | 0.9 | % |
| | B2Gold Corp. | | | 11,656,607 | | | | 37,650,841 | | | | 0.4 | % |
| | Canadian Western Bank | | | 1,891,896 | | | | 37,490,032 | | | | 0.4 | % |
* | | Celestica, Inc. | | | 2,231,390 | | | | 52,085,880 | | | | 0.5 | % |
| | Crescent Point Energy Corp. | | | 6,229,675 | | | | 49,954,199 | | | | 0.5 | % |
| | Crescent Point Energy Corp. | | | 4,550,385 | | | | 36,448,584 | | | | 0.4 | % |
| | Linamar Corp. | | | 955,481 | | | | 41,312,883 | | | | 0.4 | % |
* | | MEG Energy Corp. | | | 4,542,554 | | | | 89,753,726 | | | | 0.9 | % |
| | Whitecap Resources, Inc. | | | 4,648,893 | | | | 35,903,834 | | | | 0.4 | % |
| | Other Securities | | | | | | | 790,529,848 | | | | 7.8 | % |
| | | | | | | | | | | | | | |
TOTAL CANADA | | | | | | | 1,261,539,724 | | | | 12.6 | % |
| | | | | | | | | | | | | | |
| | | |
CHINA — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 13,440,730 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
| | | |
DENMARK — (3.4%) | | | | | | | | | | | | |
* | | Jyske Bank AS | | | 1,133,155 | | | | 79,858,377 | | | | 0.8 | % |
| | Sydbank AS | | | 1,473,428 | | | | 64,005,208 | | | | 0.6 | % |
| | Other Securities | | | | | | | 195,578,858 | | | | 2.0 | % |
| | | | | | | | | | | | | | |
TOTAL DENMARK | | | | | | | 339,442,443 | | | | 3.4 | % |
| | | | | | | | | | | | | | |
| | | |
FINLAND — (1.9%) | | | | | | | | | | | | |
| | Cargotec OYJ, Class B | | | 918,303 | | | | 36,247,372 | | | | 0.4 | % |
| | Kemira OYJ | | | 2,760,746 | | | | 44,699,387 | | | | 0.5 | % |
| | Other Securities | | | | | | | 112,855,092 | | | | 1.0 | % |
| | | | | | | | | | | | | | |
TOTAL FINLAND | | | | | | | 193,801,851 | | | | 1.9 | % |
| | | | | | | | | | | | | | |
| | | |
FRANCE — (4.3%) | | | | | | | | | | | | |
| | Elis SA | | | 3,248,331 | | | | 53,272,553 | | | | 0.5 | % |
| | Rexel SA | | | 2,846,567 | | | | 58,134,796 | | | | 0.6 | % |
| | SCOR SE | | | 1,724,760 | | | | 51,491,755 | | | | 0.5 | % |
| | Other Securities | | | | | | | 264,510,988 | | | | 2.7 | % |
| | | | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 427,410,092 | | | | 4.3 | % |
| | | | | | | | | | | | | | |
| | | |
GERMANY — (4.6%) | | | | | | | | | | | | |
| | Aurubis AG | | | 564,550 | | | | 46,539,757 | | | | 0.5 | % |
| | K+S AG | | | 3,039,972 | | | | 51,105,609 | | | | 0.5 | % |
56
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
GERMANY — (Continued) | | | | | | | | | | | | |
| | thyssenkrupp AG | | | 6,122,697 | | | $ | 42,673,097 | | | | 0.4 | % |
| | Other Securities | | | | | | | 325,374,341 | | | | 3.2 | % |
| | | | | | | | | | | | | | |
TOTAL GERMANY | | | | | | | 465,692,804 | | | | 4.6 | % |
| | | | | | | | | | | | | | |
| | | |
HONG KONG — (2.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 206,655,632 | | | | 2.1 | % |
| | | | | | | | | | | | | | |
| | | |
IRELAND — (0.4%) | | | | | | | | | | | | |
| | Bank of Ireland Group PLC | | | 3,823,592 | | | | 34,265,949 | | | | 0.4 | % |
| | Other Securities | | | | | | | 4,717,098 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL IRELAND | | | | | | | 38,983,047 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
| | | |
ISRAEL — (0.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 72,171,940 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
| | | |
ITALY — (5.8%) | | | | | | | | | | | | |
| | Banca Popolare di Sondrio SPA | | | 8,551,198 | | | | 46,657,299 | | | | 0.5 | % |
| | Banco BPM SpA | | | 23,187,886 | | | | 118,637,041 | | | | 1.2 | % |
| | BPER Banca | | | 10,234,210 | | | | 33,303,637 | | | | 0.3 | % |
| | Buzzi SpA | | | 1,660,638 | | | | 43,972,318 | | | | 0.5 | % |
| | Leonardo SpA | | | 5,845,169 | | | | 88,335,026 | | | | 0.9 | % |
| | Unipol Gruppo SpA | | | 7,515,431 | | | | 40,715,459 | | | | 0.4 | % |
| | Other Securities | | | | | | | 206,821,327 | | | | 2.0 | % |
| | | | | | | | | | | | | | |
TOTAL ITALY | | | | | | | 578,442,107 | | | | 5.8 | % |
| | | | | | | | | | | | | | |
| | | |
JAPAN — (27.6%) | | | | | | | | | | | | |
| | Other Securities. | | | | | | | 2,766,240,583 | | | | 27.5 | % |
| | | | | | | | | | | | | | |
| | | |
NETHERLANDS — (2.2%) | | | | | | | | | | | | |
| | ASR Nederland NV | | | 1,574,912 | | | | 58,773,298 | | | | 0.6 | % |
| | SBM Offshore NV | | | 4,229,740 | | | | 52,679,129 | | | | 0.5 | % |
W | | Signify NV | | | 1,506,679 | | | | 39,057,380 | | | | 0.4 | % |
| | Other Securities | | | | | | | 72,604,787 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
TOTAL NETHERLANDS | | | | | | | 223,114,594 | | | | 2.2 | % |
| | | | | | | | | | | | | | |
| | | |
NEW ZEALAND — (0.2%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 18,131,892 | | | | 0.2 | % |
| | | | | | | | | | | | | | |
| | | |
NORWAY — (1.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 111,816,153 | | | | 1.1 | % |
| | | | | | | | | | | | | | |
| | | |
PORTUGAL — (0.4%) | | | | | | | | | | | | |
* | | Banco Comercial Portugues SA, Class R | | | 106,844,352 | | | | 32,792,214 | | | | 0.3 | % |
| | Other Security | | | | | | | 10,064,586 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
TOTAL PORTUGAL | | | | | | | 42,856,800 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
| | | |
SINGAPORE — (0.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 74,172,444 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
| | | |
SPAIN — (3.2%) | | | | | | | | | | | | |
| | Banco de Sabadell SA | | | 96,841,677 | | | | 120,412,336 | | | | 1.2 | % |
| | Bankinter SA | | | 8,945,087 | | | | 56,563,883 | | | | 0.6 | % |
57
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SPAIN — (Continued) | |
# | | Mapfre SA | | | 15,911,485 | | | $ | 33,075,531 | | | | 0.3 | % |
| | Other Securities | | | | | | | 109,148,677 | | | | 1.1 | % |
| | | | | | | | | | | | | | |
TOTAL SPAIN | | | | 319,200,427 | | | | 3.2 | % |
| | | | | | | | | | | | | | |
SWEDEN — (2.2%) | |
| | Other Securities | | | | | | | 217,495,010 | | | | 2.2 | % |
| | | | | | | | | | | | | | |
| | | |
SWITZERLAND — (6.6%) | | | | | | | | | | | | |
| | Adecco Group AG | | | 1,620,498 | | | | 61,325,391 | | | | 0.6 | % |
| | Baloise Holding AG | | | 350,114 | | | | 50,271,415 | | | | 0.5 | % |
| | Helvetia Holding AG | | | 623,560 | | | | 83,827,527 | | | | 0.8 | % |
| | Mobimo Holding AG | | | 130,513 | | | | 36,049,332 | | | | 0.4 | % |
| | Siegfried Holding AG | | | 62,993 | | | | 49,954,613 | | | | 0.5 | % |
| | Swiss Prime Site AG | | | 675,650 | | | | 62,800,253 | | | | 0.6 | % |
| | Other Securities | | | | | | | 321,721,985 | | | | 3.2 | % |
| | | | | | | | | | | | | | |
TOTAL SWITZERLAND | | | | | | | 665,950,516 | | | | 6.6 | % |
| | | | | | | | | | | | | | |
| | | |
UNITED KINGDOM — (10.4%) | | | | | | | | | | | | |
| | Balfour Beatty PLC | | | 8,646,576 | | | | 32,587,843 | | | | 0.3 | % |
| | Bank of Georgia Group PLC | | | 852,614 | | | | 34,519,963 | | | | 0.4 | % |
| | Bellway PLC | | | 2,001,620 | | | | 50,938,632 | | | | 0.5 | % |
| | Grafton Group PLC | | | 5,241,423 | | | | 49,339,311 | | | | 0.5 | % |
* | | Marks & Spencer Group PLC | | | 21,286,231 | | | | 56,208,036 | | | | 0.6 | % |
| | Paragon Banking Group PLC | | | 6,514,726 | | | | 35,140,622 | | | | 0.4 | % |
| | Redrow PLC | | | 6,470,883 | | | | 38,346,474 | | | | 0.4 | % |
| | Vistry Group PLC | | | 5,318,288 | | | | 45,840,001 | | | | 0.5 | % |
| | Other Securities | | | | | | | 703,510,820 | | | | 6.8 | % |
| | | | | | | | | | | | | | |
TOTAL UNITED KINGDOM | | | | | | | 1,046,431,702 | | | | 10.4 | % |
| | | | | | | | | | | | | | |
| | | |
UNITED STATES — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 5,237,651 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 9,849,335,595 | | | | 98.1 | % |
| | | | | | | | | | | | | | |
| | | |
PREFERRED STOCKS — (0.1%) | | | | | | | | | | | | |
| | | |
GERMANY — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 9,924,598 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $9,132,541,727) | | | | | | | 9,859,260,193 | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (1.7%) | | | | | | | | | | | | |
@§ | | The DFA Short Term Investment Fund | | | 14,372,669 | | | | 166,248,664 | | | | 1.6 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $9,298,790,624) | | | | | | $ | 10,025,508,857 | | | | 99.8 | % |
| | | | | | | | | | | | | | |
58
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
As of October 31, 2023, DFA International Small Cap Value Portfolio had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 443 | | | | 12/15/23 | | | $ | 95,489,655 | | | $ | 93,301,338 | | | $ | (2,188,317 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 95,489,655 | | | $ | 93,301,338 | | | $ | (2,188,317 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | | — | | | $ | 528,852,024 | | | $ | 126,775 | | | $ | 528,978,799 | |
Austria | | $ | 28,299 | | | | 67,416,321 | | | | — | | | | 67,444,620 | |
Belgium | | | 691,004 | | | | 163,993,030 | | | | — | | | | 164,684,034 | |
Canada | | | 1,261,291,414 | | | | 248,310 | | | | — | | | | 1,261,539,724 | |
China | | | 12,469,381 | | | | 971,349 | | | | — | | | | 13,440,730 | |
Denmark | | | — | | | | 339,442,443 | | | | — | | | | 339,442,443 | |
Finland | | | — | | | | 193,801,851 | | | | — | | | | 193,801,851 | |
France | | | — | | | | 427,410,092 | | | | — | | | | 427,410,092 | |
Germany | | | — | | | | 465,692,804 | | | | — | | | | 465,692,804 | |
Hong Kong | | | — | | | | 206,490,631 | | | | 165,001 | | | | 206,655,632 | |
Ireland | | | — | | | | 38,983,047 | | | | — | | | | 38,983,047 | |
Israel | | | 1,644,882 | | | | 70,527,058 | | | | — | | | | 72,171,940 | |
Italy | | | — | | | | 578,442,107 | | | | — | | | | 578,442,107 | |
Japan | | | 3,091,187 | | | | 2,763,149,396 | | | | — | | | | 2,766,240,583 | |
Netherlands | | | — | | | | 223,114,594 | | | | — | | | | 223,114,594 | |
New Zealand | | | — | | | | 18,131,892 | | | | — | | | | 18,131,892 | |
Norway | | | 386,165 | | | | 111,429,988 | | | | — | | | | 111,816,153 | |
Portugal | | | — | | | | 42,856,800 | | | | — | | | | 42,856,800 | |
Singapore | | | — | | | | 74,172,444 | | | | — | | | | 74,172,444 | |
Spain | | | — | | | | 319,200,427 | | | | — | | | | 319,200,427 | |
Sweden | | | 552,874 | | | | 216,942,136 | | | | — | | | | 217,495,010 | |
Switzerland | | | — | | | | 665,950,516 | | | | — | | | | 665,950,516 | |
United Kingdom | | | — | | | | 1,046,431,702 | | | | — | | | | 1,046,431,702 | |
United States | | | — | | | | 5,237,651 | | | | — | | | | 5,237,651 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | — | | | | 9,924,598 | | | | — | | | | 9,924,598 | |
Securities Lending Collateral | | | — | | | | 166,248,664 | | | | — | | | | 166,248,664 | |
Futures Contracts** | | | (2,188,317 | ) | | | — | | | | — | | | | (2,188,317 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 1,277,966,889 | | | $ | 8,745,061,875 | | | $ | 291,776^ | | | $ | 10,023,320,540 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
59
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (95.7%) | | | | | | | | | | | | |
AUSTRALIA — (6.1%) | | | | | | | | | | | | |
Santos Ltd. | | | 1,425,355 | | | $ | 6,954,958 | | | | 0.2 | % |
Other Securities | | | | | | | 181,066,448 | | | | 6.0 | % |
| | | | | | | | | | | | |
TOTAL AUSTRALIA | | | | | | | 188,021,406 | | | | 6.2 | % |
| | | | | | | | | | | | |
| | | |
AUSTRIA — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 18,249,253 | | | | 0.6 | % |
| | | | | | | | | | | | |
| | | |
BELGIUM — (1.4%) | | | | | | | | | | | | |
KBC Group NV | | | 102,841 | | | | 5,659,839 | | | | 0.2 | % |
Solvay SA | | | 74,197 | | | | 7,843,780 | | | | 0.3 | % |
Other Securities | | | | | | | 29,567,408 | | | | 0.9 | % |
| | | | | | | | | | | | |
TOTAL BELGIUM | | | | | | | 43,071,027 | | | | 1.4 | % |
| | | | | | | | | | | | |
| | | |
CANADA — (10.2%) | | | | | | | | | | | | |
ARC Resources Ltd. | | | 411,447 | | | | 6,619,345 | | | | 0.2 | % |
# Bank of Montreal | | | 71,895 | | | | 5,431,667 | | | | 0.2 | % |
Fairfax Financial Holdings Ltd. | | | 7,672 | | | | 6,384,509 | | | | 0.2 | % |
Suncor Energy, Inc. | | | 187,507 | | | | 6,075,227 | | | | 0.2 | % |
Teck Resources Ltd., Class B | | | 304,989 | | | | 10,778,311 | | | | 0.4 | % |
Whitecap Resources, Inc. | | | 685,734 | | | | 5,295,989 | | | | 0.2 | % |
Other Securities | | | | | | | 275,374,353 | | | | 9.0 | % |
| | | | | | | | | | | | |
TOTAL CANADA | | | | | | | 315,959,401 | | | | 10.4 | % |
| | | | | | | | | | | | |
| | | |
CHINA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,261,274 | | | | 0.0 | % |
| | | | | | | | | | | | |
| | | |
DENMARK — (2.6%) | | | | | | | | | | | | |
Novo Nordisk AS, Class B | | | 95,182 | | | | 9,182,798 | | | | 0.3 | % |
Pandora AS | | | 48,744 | | | | 5,528,569 | | | | 0.2 | % |
Other Securities | | | | | | | 65,548,507 | | | | 2.2 | % |
| | | | | | | | | | | | |
TOTAL DENMARK | | | | | | | 80,259,874 | | | | 2.7 | % |
| | | | | | | | | | | | |
| | | |
FINLAND — (1.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 47,080,906 | | | | 1.6 | % |
| | | | | | | | | | | | |
| | | |
FRANCE — (7.6%) | | | | | | | | | | | | |
BNP Paribas SA | | | 106,510 | | | | 6,124,751 | | | | 0.2 | % |
Bouygues SA | | | 195,376 | | | | 6,873,134 | | | | 0.2 | % |
Carrefour SA | | | 386,622 | | | | 6,778,048 | | | | 0.2 | % |
Cie de Saint-Gobain SA | | | 139,932 | | | | 7,617,081 | | | | 0.3 | % |
Cie Generale des Etablissements Michelin SCA | | | 286,751 | | | | 8,518,928 | | | | 0.3 | % |
Orange SA | | | 1,286,762 | | | | 15,134,948 | | | | 0.5 | % |
TotalEnergies SE | | | 402,956 | | | | 26,940,628 | | | | 0.9 | % |
Other Securities | | | | | | | 159,050,329 | | | | 5.2 | % |
| | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 237,037,847 | | | | 7.8 | % |
| | | | | | | | | | | | |
| | | |
GERMANY — (5.9%) | | | | | | | | | | | | |
Deutsche Telekom AG | | | 252,721 | | | | 5,484,972 | | | | 0.2 | % |
Heidelberg Materials AG | | | 74,417 | | | | 5,402,178 | | | | 0.2 | % |
Mercedes-Benz Group AG | | | 136,636 | | | | 8,038,877 | | | | 0.3 | % |
60
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
GERMANY — (Continued) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 165,690,750 | | | | 5.4 | % |
| | | | | | | | | | | | |
TOTAL GERMANY | | | | | | | 184,616,777 | | | | 6.1 | % |
| | | | | | | | | | | | |
| | | |
HONG KONG — (1.8%) | | | | | | | | | | | | |
Other Securities | | | | | | | 57,047,217 | | | | 1.9 | % |
| | | | | | | | | | | | |
| | | |
IRELAND — (0.6%) | | | | | | | | | | | | |
Bank of Ireland Group PLC | | | 648,419 | | | | 5,810,945 | | | | 0.2 | % |
Other Securities | | | | | | | 13,075,973 | | | | 0.4 | % |
| | | | | | | | | | | | |
TOTAL IRELAND | | | | | | | 18,886,918 | | | | 0.6 | % |
| | | | | | | | | | | | |
| | | |
ISRAEL — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 21,475,456 | | | | 0.7 | % |
| | | | | | | | | | | | |
| | | |
ITALY — (2.9%) | | | | | | | | | | | | |
Banco BPM SpA | | | 1,560,523 | | | | 7,984,162 | | | | 0.3 | % |
UniCredit SpA | | | 284,351 | | | | 7,128,562 | | | | 0.2 | % |
Other Securities | | | | | | | 74,188,938 | | | | 2.5 | % |
| | | | | | | | | | | | |
TOTAL ITALY | | | | | | | 89,301,662 | | | | 3.0 | % |
| | | | | | | | | | | | |
| | | |
JAPAN — (23.5%) | | | | | | | | | | | | |
ENEOS Holdings, Inc. | | | 1,492,170 | | | | 5,529,111 | | | | 0.2 | % |
Mitsubishi UFJ Financial Group, Inc. | | | 1,117,000 | | | | 9,370,677 | | | | 0.3 | % |
Toyota Motor Corp. | | | 430,090 | | | | 7,523,882 | | | | 0.3 | % |
Other Securities | | | | | | | 708,842,528 | | | | 23.3 | % |
| | | | | | | | | | | | |
TOTAL JAPAN | | | | | | | 731,266,198 | | | | 24.1 | % |
| | | | | | | | | | | | |
| | | |
NETHERLANDS — (3.1%) | | | | | | | | | | | | |
Aegon Ltd. | | | 1,301,517 | | | | 6,329,625 | | | | 0.2 | % |
ASR Nederland NV | | | 149,446 | | | | 5,577,095 | | | | 0.2 | % |
Koninklijke Ahold Delhaize NV | | | 320,272 | | | | 9,483,826 | | | | 0.3 | % |
Other Securities | | | | | | | 75,458,349 | | | | 2.5 | % |
| | | | | | | | | | | | |
TOTAL NETHERLANDS | | | | | | | 96,848,895 | | | | 3.2 | % |
| | | | | | | | | | | | |
| | | |
NEW ZEALAND — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 9,741,002 | | | | 0.3 | % |
| | | | | | | | | | | | |
| | | |
NORWAY — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 30,305,247 | | | | 1.0 | % |
| | | | | | | | | | | | |
| | | |
PORTUGAL — (0.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 11,646,792 | | | | 0.4 | % |
| | | | | | | | | | | | |
| | | |
SINGAPORE — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 31,129,326 | | | | 1.0 | % |
| | | | | | | | | | | | |
| | | |
SPAIN — (2.4%) | | | | | | | | | | | | |
# Banco Bilbao Vizcaya Argentaria SA | | | 799,462 | | | | 6,289,551 | | | | 0.2 | % |
Banco de Sabadell SA | | | 4,529,703 | | | | 5,632,204 | | | | 0.2 | % |
Repsol SA | | | 825,552 | | | | 12,087,854 | | | | 0.4 | % |
Other Securities | | | | | | | 50,281,741 | | | | 1.7 | % |
| | | | | | | | | | | | |
TOTAL SPAIN | | | | | | | 74,291,350 | | | | 2.5 | % |
| | | | | | | | | | | | |
61
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SWEDEN — (2.4%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 73,808,431 | | | | 2.4 | % |
| | | | | | | | | | | | |
| | | |
SWITZERLAND — (7.6%) | | | | | | | | | | | | |
Adecco Group AG | | | 140,796 | | | | 5,328,220 | | | | 0.2 | % |
Holcim AG | | | 86,588 | | | | 5,353,542 | | | | 0.2 | % |
Julius Baer Group Ltd. | | | 127,245 | | | | 7,540,754 | | | | 0.3 | % |
Nestle SA | | | 110,413 | | | | 11,906,797 | | | | 0.4 | % |
Novartis AG, Sponsored ADR | | | 111,168 | | | | 10,403,101 | | | | 0.4 | % |
Swiss Life Holding AG | | | 9,631 | | | | 6,185,804 | | | | 0.2 | % |
Swiss Prime Site AG | | | 56,955 | | | | 5,293,848 | | | | 0.2 | % |
Swiss Re AG | | | 66,165 | | | | 7,229,372 | | | | 0.2 | % |
Swisscom AG | | | 14,984 | | | | 8,978,245 | | | | 0.3 | % |
Zurich Insurance Group AG | | | 14,535 | | | | 6,904,016 | | | | 0.2 | % |
Other Securities | | | | | | | 160,613,373 | | | | 5.2 | % |
| | | | | | | | | | | | |
TOTAL SWITZERLAND | | | | | | | 235,737,072 | | | | 7.8 | % |
| | | | | | | | | | | | |
| | | |
UNITED KINGDOM — (11.7%) | | | | | | | | | | | | |
3i Group PLC | | | 228,043 | | | | 5,376,701 | | | | 0.2 | % |
BP PLC | | | 1,487,940 | | | | 9,085,381 | | | | 0.3 | % |
Centrica PLC | | | 3,085,043 | | | | 5,905,686 | | | | 0.2 | % |
# HSBC Holdings PLC, Sponsored ADR | | | 320,826 | | | | 11,655,609 | | | | 0.4 | % |
# Shell PLC, ADR | | | 408,572 | | | | 26,614,380 | | | | 0.9 | % |
Vodafone Group PLC | | | 6,192,920 | | | | 5,700,816 | | | | 0.2 | % |
Other Securities | | | | | | | 300,453,870 | | | | 9.8 | % |
| | | | | | | | | | | | |
TOTAL UNITED KINGDOM | | | | | | | 364,792,443 | | | | 12.0 | % |
| | | | | | | | | | | | |
| | | |
UNITED STATES — (0.4%) | | | | | | | | | | | | |
# CRH PLC | | | 97,737 | | | | 5,235,771 | | | | 0.2 | % |
Other Securities | | | | | | | 6,272,537 | | | | 0.2 | % |
| | | | | | | | | | | | |
TOTAL UNITED STATES | | | | | | | 11,508,308 | | | | 0.4 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 2,973,344,082 | | | | 98.1 | % |
| | | | | | | | | | | | |
| | | |
PREFERRED STOCKS — (0.3%) | | | | | | | | | | | | |
| | | |
GERMANY — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 10,777,032 | | | | 0.3 | % |
| | | | | | | | | | | | |
| | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
| | | |
CANADA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 45,123 | | | | 0.0 | % |
| | | | | | | | | | | | |
| | | |
FINLAND — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 70,751 | | | | 0.0 | % |
| | | | | | | | | | | | |
| | | |
SPAIN — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 39,533 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 155,407 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $2,577,515,830) | | | | | | | 2,984,276,521 | | | | | |
| | | | | | | | | | | | |
62
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value† | | | Percentage
of Net Assets‡ | |
SECURITIES LENDING COLLATERAL — (4.0%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 10,683,782 | | | $ | 123,579,302 | | | | 4.1 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $2,701,095,658) | | | | | | $ | 3,107,855,823 | | | | 102.5 | % |
| | | | | | | | | | | | |
As of October 31, 2023, International Vector Equity Portfolio had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 115 | | | | 12/15/23 | | | $ | 24,536,246 | | | $ | 24,220,437 | | | $ | (315,809 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 24,536,246 | | | $ | 24,220,437 | | | $ | (315,809 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | $ | 4,266,518 | | | $ | 183,713,315 | | | $ | 41,573 | | | $ | 188,021,406 | |
Austria | | | 70,438 | | | | 18,178,815 | | | | — | | | | 18,249,253 | |
Belgium | | | 1,640,655 | | | | 41,430,372 | | | | — | | | | 43,071,027 | |
Canada | | | 315,044,005 | | | | 915,396 | | | | — | | | | 315,959,401 | |
China | | | 1,035,549 | | | | 225,725 | | | | — | | | | 1,261,274 | |
Denmark | | | — | | | | 80,259,874 | | | | — | | | | 80,259,874 | |
Finland | | | 198,596 | | | | 46,882,310 | | | | — | | | | 47,080,906 | |
France | | | 380,347 | | | | 236,657,500 | | | | — | | | | 237,037,847 | |
Germany | | | 5,178,654 | | | | 179,438,123 | | | | — | | | | 184,616,777 | |
Hong Kong | | | — | | | | 57,010,455 | | | | 36,762 | | | | 57,047,217 | |
Ireland | | | — | | | | 18,886,918 | | | | — | | | | 18,886,918 | |
Israel | | | 1,486,415 | | | | 19,989,041 | | | | — | | | | 21,475,456 | |
Italy | | | 2,672,700 | | | | 86,628,962 | | | | — | | | | 89,301,662 | |
Japan | | | 10,458,109 | | | | 720,808,089 | | | | — | | | | 731,266,198 | |
Netherlands | | | 9,645,366 | | | | 87,203,529 | | | | — | | | | 96,848,895 | |
New Zealand | | | 9,480 | | | | 9,731,522 | | | | — | | | | 9,741,002 | |
Norway | | | 240,656 | | | | 30,064,591 | | | | — | | | | 30,305,247 | |
Portugal | | | — | | | | 11,646,792 | | | | — | | | | 11,646,792 | |
Singapore | | | — | | | | 31,031,070 | | | | 98,256 | | | | 31,129,326 | |
Spain | | | 2,085,956 | | | | 72,205,394 | | | | — | | | | 74,291,350 | |
Sweden | | | 43,582 | | | | 73,764,849 | | | | — | | | | 73,808,431 | |
Switzerland | | | 21,789,672 | | | | 213,947,400 | | | | — | | | | 235,737,072 | |
United Kingdom | | | 61,353,507 | | | | 303,263,969 | | | | 174,967 | | | | 364,792,443 | |
United States | | | 8,843,931 | | | | 2,664,377 | | | | — | | | | 11,508,308 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | — | | | | 10,777,032 | | | | — | | | | 10,777,032 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Canada | | | — | | | | 45,123 | | | | — | | | | 45,123 | |
Finland | | | — | | | | 70,751 | | | | — | | | | 70,751 | |
Spain | | | — | | | | 39,533 | | | | — | | | | 39,533 | |
63
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Securities Lending Collateral | | | — | | | $ | 123,579,302 | | | | — | | | $ | 123,579,302 | |
Futures Contracts** | | $ | (315,809 | ) | | | — | | | | — | | | | (315,809 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 446,128,327 | | | $ | 2,661,060,129 | | | $ | 351,558 | ^ | | $ | 3,107,540,014 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
64
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (94.7%) | | | | | | | | | | | | |
AUSTRALIA — (6.8%) | | | | | | | | | | | | |
BHP Group Ltd., Class DI | | | 172,250 | | | $ | 4,875,962 | | | | 0.3 | % |
BHP Group Ltd., Class DI | | | 242,244 | | | | 6,888,152 | | | | 0.5 | % |
# BHP Group Ltd., Sponsored ADR | | | 439,796 | | | | 25,094,760 | | | | 1.7 | % |
Rio Tinto Ltd. | | | 99,892 | | | | 7,461,740 | | | | 0.5 | % |
Wesfarmers Ltd. | | | 227,826 | | | | 7,330,032 | | | | 0.5 | % |
Other Securities | | | | | | | 52,049,439 | | | | 3.5 | % |
| | | | | | | | | | | | |
TOTAL AUSTRALIA | | | | | | | 103,700,085 | | | | 7.0 | % |
| | | | | | | | | | | | |
AUSTRIA — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 2,856,642 | | | | 0.2 | % |
| | | | | | | | | | | | |
BELGIUM — (0.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 6,569,524 | | | | 0.4 | % |
| | | | | | | | | | | | |
CANADA — (10.2%) | | | | | | | | | | | | |
Alimentation Couche-Tard, Inc. | | | 171,094 | | | | 9,313,781 | | | | 0.6 | % |
Canadian National Railway Co. | | | 66,754 | | | | 7,063,144 | | | | 0.5 | % |
# Canadian Natural Resources Ltd. | | | 267,321 | | | | 16,982,903 | | | | 1.2 | % |
Constellation Software, Inc. | | | 4,241 | | | | 8,501,909 | | | | 0.6 | % |
Suncor Energy, Inc. | | | 311,402 | | | | 10,089,425 | | | | 0.7 | % |
Other Securities | | | | | | | 103,793,642 | | | | 7.0 | % |
| | | | | | | | | | | | |
TOTAL CANADA | | | | | | | 155,744,804 | | | | 10.6 | % |
| | | | | | | | | | | | |
DENMARK — (4.3%) | | | | | | | | | | | | |
Novo Nordisk AS, Class B | | | 635,624 | | | | 61,322,593 | | | | 4.2 | % |
Other Securities | | | | | | | 4,675,169 | | | | 0.3 | % |
| | | | | | | | | | | | |
TOTAL DENMARK | | | | | | | 65,997,762 | | | | 4.5 | % |
| | | | | | | | | | | | |
FINLAND — (0.9%) | | | | | �� | | | | | | | |
Other Securities | | | | | | | 14,568,170 | | | | 1.0 | % |
| | | | | | | | | | | | |
FRANCE — (10.0%) | | | | | | | | | | | | |
Airbus SE | | | 131,359 | | | | 17,612,108 | | | | 1.2 | % |
Hermes International SCA | | | 6,104 | | | | 11,388,996 | | | | 0.8 | % |
Kering SA | | | 19,489 | | | | 7,926,206 | | | | 0.5 | % |
LVMH Moet Hennessy Louis Vuitton SE | | | 69,704 | | | | 49,903,208 | | | | 3.4 | % |
Orange SA | | | 727,420 | | | | 8,555,944 | | | | 0.6 | % |
TotalEnergies SE | | | 577,019 | | | | 38,578,044 | | | | 2.6 | % |
Other Securities | | | | | | | 19,009,318 | | | | 1.3 | % |
| | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 152,973,824 | | | | 10.4 | % |
| | | | | | | | | | | | |
GERMANY — (5.4%) | | | | | | | | | | | | |
Bayer AG | | | 221,721 | | | | 9,580,245 | | | | 0.6 | % |
Deutsche Post AG | | | 219,519 | | | | 8,570,788 | | | | 0.6 | % |
Deutsche Telekom AG | | | 866,133 | | | | 18,798,260 | | | | 1.3 | % |
Mercedes-Benz Group AG | | | 155,191 | | | | 9,130,546 | | | | 0.6 | % |
Other Securities | | | | | | | 37,056,029 | | | | 2.5 | % |
| | | | | | | | | | | | |
TOTAL GERMANY | | | | | | | 83,135,868 | | | | 5.6 | % |
| | | | | | | | | | | | |
65
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
HONG KONG — (1.8%) | | | | | | | | | | | | |
Hong Kong Exchanges & Clearing Ltd. | | | 247,037 | | | $ | 8,642,007 | | | | 0.6 | % |
Other Securities | | | | | | | 19,302,594 | | | | 1.3 | % |
| | | | | | | | | | | | |
TOTAL HONG KONG | | | | | | | 27,944,601 | | | | 1.9 | % |
| | | | | | | | | | | | |
IRELAND — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 5,260,891 | | | | 0.4 | % |
| | | | | | | | | | | | |
ISRAEL — (0.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 6,583,165 | | | | 0.4 | % |
| | | | | | | | | | | | |
ITALY — (2.3%) | | | | | | | | | | | | |
Eni SpA | | | 673,128 | | | | 11,004,071 | | | | 0.7 | % |
Stellantis NV | | | 502,557 | | | | 9,388,942 | | | | 0.6 | % |
Other Securities | | | | | | | 14,280,741 | | | | 1.0 | % |
| | | | | | | | | | | | |
TOTAL ITALY | | | | | | | 34,673,754 | | | | 2.3 | % |
| | | | | | | | | | | | |
JAPAN — (20.0%) | | | | | | | | | | | | |
Fast Retailing Co. Ltd. | | | 32,300 | | | | 7,151,104 | | | | 0.5 | % |
Hitachi Ltd. | | | 251,700 | | | | 15,954,402 | | | | 1.1 | % |
KDDI Corp. | | | 445,500 | | | | 13,327,010 | | | | 0.9 | % |
Nintendo Co. Ltd. | | | 220,400 | | | | 9,105,698 | | | | 0.6 | % |
Recruit Holdings Co. Ltd. | | | 267,200 | | | | 7,661,345 | | | | 0.5 | % |
Shin-Etsu Chemical Co. Ltd. | | | 348,500 | | | | 10,421,323 | | | | 0.7 | % |
SoftBank Corp. | | | 652,400 | | | | 7,376,594 | | | | 0.5 | % |
Sony Group Corp. | | | 328,700 | | | | 27,327,738 | | | | 1.9 | % |
Tokyo Electron Ltd. | | | 80,300 | | | | 10,610,654 | | | | 0.7 | % |
Other Securities | | | | | | | 197,402,332 | | | | 13.4 | % |
| | | | | | | | | | | | |
TOTAL JAPAN | | | | | | | 306,338,200 | | | | 20.8 | % |
| | | | | | | | | | | | |
NETHERLANDS — (3.7%) | | | | | | | | | | | | |
ASML Holding NV | | | 25,123 | | | | 15,101,949 | | | | 1.1 | % |
ASML Holding NV | | | 64,482 | | | | 38,612,467 | | | | 2.6 | % |
Other Securities | | | | | | | 3,080,618 | | | | 0.2 | % |
| | | | | | | | | | | | |
TOTAL NETHERLANDS | | | | | | | 56,795,034 | | | | 3.9 | % |
| | | | | | | | | | | | |
NEW ZEALAND — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,642,862 | | | | 0.3 | % |
| | | | | | | | | | | | |
NORWAY — (0.7%) | | | | | | | | | | | | |
# Equinor ASA | | | 260,740 | | | | 8,740,838 | | | | 0.6 | % |
Other Securities | | | | | | | 2,603,673 | | | | 0.2 | % |
| | | | | | | | | | | | |
TOTAL NORWAY | | | | | | | 11,344,511 | | | | 0.8 | % |
| | | | | | | | | | | | |
PORTUGAL — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 2,498,201 | | | | 0.2 | % |
| | | | | | | | | | | | |
SINGAPORE — (1.1%) | | | | | | | | | | | | |
DBS Group Holdings Ltd. | | | 386,358 | | | | 9,281,600 | | | | 0.6 | % |
Other Securities | | | | | | | 7,341,417 | | | | 0.5 | % |
| | | | | | | | | | | | |
TOTAL SINGAPORE | | | | | | | 16,623,017 | | | | 1.1 | % |
| | | | | | | | | | | | |
66
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SPAIN — (2.2%) | | | | | | | | | | | | |
| | Repsol SA | | | 533,466 | | | $ | 7,811,088 | | | | 0.5 | % |
| | Telefonica SA | | | 2,154,747 | | | | 8,323,004 | | | | 0.6 | % |
| | Other Securities | | | | | | | 17,066,692 | | | | 1.2 | % |
| | | | | | | | | | | | | | |
TOTAL SPAIN | | | | | | | 33,200,784 | | | | 2.3 | % |
| | | | | | | | | | | | | | |
SWEDEN — (2.4%) | | | | | | | | | | | | |
| | Atlas Copco AB, Class A | | | 569,233 | | | | 7,371,008 | | | | 0.5 | % |
| | Volvo AB, Class B | | | 410,093 | | | | 8,126,071 | | | | 0.6 | % |
| | Other Securities | | | | | | | 21,904,027 | | | | 1.4 | % |
| | | | | | | | | | | | | | |
TOTAL SWEDEN | | | | | | | 37,401,106 | | | | 2.5 | % |
| | | | | | | | | | | | | | |
SWITZERLAND — (8.0%) | | | | | | | | | | | | |
| | Nestle SA | | | 354,369 | | | | 38,214,702 | | | | 2.6 | % |
| | Partners Group Holding AG | | | 7,501 | | | | 7,942,536 | | | | 0.5 | % |
| | Roche Holding AG | | | 7,170 | | | | 1,953,904 | | | | 0.1 | % |
| | Roche Holding AG | | | 167,805 | | | | 43,244,953 | | | | 2.9 | % |
| | Other Securities | | | | | | | 32,081,921 | | | | 2.3 | % |
| | | | | | | | | | | | | | |
TOTAL SWITZERLAND | | | | | | | 123,438,016 | | | | 8.4 | % |
| | | | | | | | | | | | | | |
UNITED KINGDOM — (12.7%) | | | | | | | | | | | | |
| | Ashtead Group PLC | | | 224,550 | | | | 12,878,489 | | | | 0.9 | % |
| | BP PLC | | | 165,519 | | | | 1,010,661 | | | | 0.1 | % |
| | BP PLC, Sponsored ADR | | | 690,754 | | | | 25,267,781 | | | | 1.7 | % |
| | Diageo PLC | | | 80,730 | | | | 3,052,884 | | | | 0.2 | % |
# | | Diageo PLC, Sponsored ADR | | | 100,847 | | | | 15,480,014 | | | | 1.1 | % |
| | Glencore PLC | | | 1,426,588 | | | | 7,556,385 | | | | 0.5 | % |
| | GSK PLC | | | 1,144,717 | | | | 20,406,593 | | | | 1.4 | % |
| | Imperial Brands PLC | | | 492,449 | | | | 10,491,213 | | | | 0.7 | % |
# | | RELX PLC, Sponsored ADR | | | 334,644 | | | | 11,662,343 | | | | 0.8 | % |
| | Unilever PLC | | | 48,760 | | | | 2,309,304 | | | | 0.2 | % |
| | Unilever PLC | | | 62,170 | | | | 2,940,909 | | | | 0.2 | % |
| | Unilever PLC, Sponsored ADR | | | 520,618 | | | | 24,651,262 | | | | 1.7 | % |
| | Other Securities | | | | | | | 56,990,477 | | | | 3.7 | % |
| | | | | | | | | | | | | | |
TOTAL UNITED KINGDOM | | | | | | | 194,698,315 | | | | 13.2 | % |
| | | | | | | | | | | | | | |
UNITED STATES — (0.4%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 5,817,891 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 1,452,807,027 | | | | 98.6 | % |
| | | | | | | | | | | | | | |
PREFERRED STOCKS — (0.4%) | | | | | | | | | | | | |
GERMANY — (0.4%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 5,510,100 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $1,300,906,202) | | | | | | | 1,458,317,127 | | | | | |
| | | | | | | | | | | | | | |
67
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value† | | | Percentage
of Net Assets | |
SECURITIES LENDING COLLATERAL — (4.9%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 6,479,594 | | | $ | 74,949,469 | | | | 5.1 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $1,375,856,529) | | | | | | $ | 1,533,266,596 | | | | 104.1 | % |
| | | | | | | | | | | | |
As of October 31, 2023, International High Relative Profitability Portfolio had entered into the following outstanding futures
contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 34 | | | | 12/15/23 | | | $ | 7,264,582 | | | $ | 7,160,825 | | | $ | (103,757 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 7,264,582 | | | $ | 7,160,825 | | | $ | (103,757 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | $ | 25,094,760 | | | $ | 78,605,325 | | | | — | | | $ | 103,700,085 | |
Austria | | | — | | | | 2,856,642 | | | | — | | | | 2,856,642 | |
Belgium | | | — | | | | 6,569,524 | | | | — | | | | 6,569,524 | |
Canada | | | 155,744,804 | | | | — | | | | — | | | | 155,744,804 | |
Denmark | | | — | | | | 65,997,762 | | | | — | | | | 65,997,762 | |
Finland | | | 81,241 | | | | 14,486,929 | | | | — | | | | 14,568,170 | |
France | | | 2,370,674 | | | | 150,603,150 | | | | — | | | | 152,973,824 | |
Germany | | | — | | | | 83,135,868 | | | | — | | | | 83,135,868 | |
Hong Kong | | | — | | | | 27,944,601 | | | | — | | | | 27,944,601 | |
Ireland | | | — | | | | 5,260,891 | | | | — | | | | 5,260,891 | |
Israel | | | 351,769 | | | | 6,231,396 | | | | — | | | | 6,583,165 | |
Italy | | | 5,502,819 | | | | 29,170,935 | | | | — | | | | 34,673,754 | |
Japan | | | — | | | | 306,338,200 | | | | — | | | | 306,338,200 | |
Netherlands | | | 38,612,467 | | | | 18,182,567 | | | | — | | | | 56,795,034 | |
New Zealand | | | — | | | | 4,642,862 | | | | — | | | | 4,642,862 | |
Norway | | | — | | | | 11,344,511 | | | | — | | | | 11,344,511 | |
Portugal | | | — | | | | 2,498,201 | | | | — | | | | 2,498,201 | |
Singapore | | | — | | | | 16,623,017 | | | | — | | | | 16,623,017 | |
Spain | | | — | | | | 33,200,784 | | | | — | | | | 33,200,784 | |
Sweden | | | — | | | | 37,401,106 | | | | — | | | | 37,401,106 | |
Switzerland | | | — | | | | 123,438,016 | | | | — | | | | 123,438,016 | |
United Kingdom | | | 77,599,990 | | | | 117,098,325 | | | | — | | | | 194,698,315 | |
United States | | | 4,511,237 | | | | 1,306,654 | | | | — | | | | 5,817,891 | |
68
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | — | | | $ | 5,510,100 | | | | — | | | $ | 5,510,100 | |
Securities Lending Collateral | | | — | | | | 74,949,469 | | | | — | | | | 74,949,469 | |
Futures Contracts** | | $ | (103,757 | ) | | | — | | | | — | | | | (103,757 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 309,766,004 | | | $ | 1,223,396,835 | | | | — | | | $ | 1,533,162,839 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
See accompanying Notes to Financial Statements.
69
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | | | | | |
| | | Shares | | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | | | | | |
Investment in The DFA International Value Series of
The DFA Investment Trust Company | | | | | | $ | 145,779,620 | |
Investment in Dimensional Emerging Markets Value Fund | | | | | | | 74,441,281 | |
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc. | | | 1,097,363 | | | | 21,069,372 | |
| | | | | | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $215,999,015) | | | | | | $ | 241,290,273 | |
| | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Affiliated Investment Companies | | $ | 241,290,273 | | | | — | | | | — | | | $ | 241,290,273 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 241,290,273 | | | | — | | | | — | | | $ | 241,290,273 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
70
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (96.5%) | | | | | | | | | | | | |
AUSTRALIA — (4.3%) | | | | | | | | | | | | |
BHP Group Ltd., Class DI | | | 352,621 | | | $ | 9,981,808 | | | | 0.3 | % |
# BHP Group Ltd., Sponsored ADR | | | 100,755 | | | | 5,749,080 | | | | 0.2 | % |
Commonwealth Bank of Australia | | | 87,813 | | | | 5,401,891 | | | | 0.2 | % |
Other Securities | | | | | | | 126,429,131 | | | | 3.7 | % |
| | | | | | | | | | | | |
TOTAL AUSTRALIA | | | | | | | 147,561,910 | | | | 4.4 | % |
| | | | | | | | | | | | |
AUSTRIA — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 11,382,572 | | | | 0.3 | % |
| | | | | | | | | | | | |
BELGIUM — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 25,149,207 | | | | 0.8 | % |
| | | | | | | | | | | | |
BRAZIL — (1.3%) | | | | | | | | | | | | |
Petroleo Brasileiro SA | | | 683,823 | | | | 5,132,318 | | | | 0.2 | % |
Vale SA | | | 426,531 | | | | 5,837,385 | | | | 0.2 | % |
Other Securities | | | | | | | 34,515,838 | | | | 1.0 | % |
| | | | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 45,485,541 | | | | 1.4 | % |
| | | | | | | | | | | | |
CANADA — (7.1%) | | | | | | | | | | | | |
Bank of Montreal | | | 69,809 | | | | 5,274,070 | | | | 0.2 | % |
# Canadian Natural Resources Ltd. | | | 126,222 | | | | 8,018,884 | | | | 0.3 | % |
Royal Bank of Canada | | | 97,598 | | | | 7,796,128 | | | | 0.3 | % |
Suncor Energy, Inc. | | | 165,422 | | | | 5,359,673 | | | | 0.2 | % |
Other Securities | | | | | | | 216,007,302 | | | | 6.3 | % |
| | | | | | | | | | | | |
TOTAL CANADA | | | | | | | 242,456,057 | | | | 7.3 | % |
| | | | | | | | | | | | |
CAYMAN ISLANDS — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 31,710 | | | | 0.0 | % |
| | | | | | | | | | | | |
CHILE — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 5,067,741 | | | | 0.2 | % |
| | | | | | | | | | | | |
CHINA — (7.4%) | | | | | | | | | | | | |
* Alibaba Group Holding Ltd. | | | 1,328,600 | | | | 13,678,034 | | | | 0.4 | % |
Tencent Holdings Ltd. | | | 466,800 | | | | 17,275,675 | | | | 0.5 | % |
Other Securities | | | | | | | 219,990,072 | | | | 6.6 | % |
| | | | | | | | | | | | |
TOTAL CHINA | | | | | | | 250,943,781 | | | | 7.5 | % |
| | | | | | | | | | | | |
COLOMBIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,172,600 | | | | 0.0 | % |
| | | | | | | | | | | | |
CZECH REPUBLIC — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,383,721 | | | | 0.0 | % |
| | | | | | | | | | | | |
DENMARK — (2.0%) | | | | | | | | | | | | |
Novo Nordisk AS, Class B | | | 284,320 | | | | 27,430,115 | | | | 0.8 | % |
Other Securities | | | | | | | 40,445,517 | | | | 1.2 | % |
| | | | | | | | | | | | |
TOTAL DENMARK | | | | | | | 67,875,632 | | | | 2.0 | % |
| | | | | | | | | | | | |
71
WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
EGYPT — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 143,822 | | | | 0.0 | % |
| | | | | | | | | | | | |
FINLAND — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 32,916,445 | | | | 1.0 | % |
| | | | | | | | | | | | |
FRANCE — (5.5%) | | | | | | | | | | | | |
L’Oreal SA | | | 12,762 | | | | 5,364,257 | | | | 0.2 | % |
LVMH Moet Hennessy Louis Vuitton SE | | | 21,810 | | | | 15,614,441 | | | | 0.5 | % |
Orange SA | | | 550,622 | | | | 6,476,439 | | | | 0.2 | % |
TotalEnergies SE | | | 367,675 | | | | 24,581,829 | | | | 0.7 | % |
Other Securities | | | | | | | 135,908,305 | | | | 4.0 | % |
| | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 187,945,271 | | | | 5.6 | % |
| | | | | | | | | | | | |
GERMANY — (4.3%) | | | | | | | | | | | | |
Allianz SE | | | 22,625 | | | | 5,299,736 | | | | 0.2 | % |
Bayer AG | | | 137,650 | | | | 5,947,658 | | | | 0.2 | % |
Deutsche Telekom AG | | | 482,206 | | | | 10,465,637 | | | | 0.3 | % |
Mercedes-Benz Group AG | | | 127,944 | | | | 7,527,489 | | | | 0.2 | % |
Siemens AG | | | 49,125 | | | | 6,518,831 | | | | 0.2 | % |
Other Securities | | | | | | | 109,454,005 | | | | 3.2 | % |
| | | | | | | | | | | | |
TOTAL GERMANY | | | | | | | 145,213,356 | | | | 4.3 | % |
| | | | | | | | | | | | |
GREECE — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,439,319 | | | | 0.1 | % |
| | | | | | | | | | | | |
HONG KONG — (1.3%) | | | | | | | | | | | | |
AIA Group Ltd. | | | 833,400 | | | | 7,237,081 | | | | 0.2 | % |
Other Securities | | | | | | | 36,601,244 | | | | 1.1 | % |
| | | | | | | | | | | | |
TOTAL HONG KONG | | | | | | | 43,838,325 | | | | 1.3 | % |
| | | | | | | | | | | | |
HUNGARY — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 2,111,066 | | | | 0.1 | % |
| | | | | | | | | | | | |
INDIA — (6.1%) | | | | | | | | | | | | |
HDFC Bank Ltd. | | | 397,404 | | | | 7,044,583 | | | | 0.2 | % |
Reliance Industries Ltd. | | | 235,961 | | | | 6,491,523 | | | | 0.2 | % |
Other Securities | | | | | | | 192,828,823 | | | | 5.8 | % |
| | | | | | | | | | | | |
TOTAL INDIA | | | | | | | 206,364,929 | | | | 6.2 | % |
| | | | | | | | | | | | |
INDONESIA — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 19,783,492 | | | | 0.6 | % |
| | | | | | | | | | | | |
IRELAND — (0.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 13,292,186 | | | | 0.4 | % |
| | | | | | | | | | | | |
ISRAEL — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 17,440,765 | | | | 0.5 | % |
| | | | | | | | | | | | |
ITALY — (1.9%) | | | | | | | | | | | | |
Eni SpA | | | 388,066 | | | | 6,343,973 | | | | 0.2 | % |
Stellantis NV | | | 453,110 | | | | 8,465,157 | | | | 0.3 | % |
72
WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
ITALY — (Continued) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 50,166,751 | | | | 1.5 | % |
| | | | | | | | | | | | |
TOTAL ITALY | | | | | | | 64,975,881 | | | | 2.0 | % |
| | | | | | | | | | | | |
JAPAN — (15.2%) | | | | | | | | | | | | |
Hitachi Ltd. | | | 99,000 | | | | 6,275,271 | | | | 0.2 | % |
Mitsubishi UFJ Financial Group, Inc. | | | 682,400 | | | | 5,724,754 | | | | 0.2 | % |
Sony Group Corp. | | | 104,000 | | | | 8,646,440 | | | | 0.3 | % |
Toyota Motor Corp. | | | 699,515 | | | | 12,237,133 | | | | 0.4 | % |
Other Securities | | | | | | | 484,402,569 | | | | 14.4 | % |
| | | | | | | | | | | | |
TOTAL JAPAN | | | | | | | 517,286,167 | | | | 15.5 | % |
| | | | | | | | | | | | |
KUWAIT — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 2,884,093 | | | | 0.1 | % |
| | | | | | | | | | | | |
MALAYSIA — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 17,103,293 | | | | 0.5 | % |
| | | | | | | | | | | | |
MEXICO — (0.8%) | | | | | | | | | | | | |
Other Securities | | | | | | | 25,912,680 | | | | 0.8 | % |
| | | | | | | | | | | | |
NETHERLANDS — (2.1%) | | | | | | | | | | | | |
ASML Holding NV | | | 20,610 | | | | 12,341,474 | | | | 0.4 | % |
Koninklijke Ahold Delhaize NV | | | 172,524 | | | | 5,108,736 | | | | 0.2 | % |
Other Securities | | | | | | | 52,919,867 | | | | 1.5 | % |
| | | | | | | | | | | | |
TOTAL NETHERLANDS | | | | | | | 70,370,077 | | | | 2.1 | % |
| | | | | | | | | | | | |
NEW ZEALAND — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 7,483,882 | | | | 0.2 | % |
| | | | | | | | | | | | |
NORWAY — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 21,365,687 | | | | 0.6 | % |
| | | | | | | | | | | | |
PERU — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 259,374 | | | | 0.0 | % |
| | | | | | | | | | | | |
PHILIPPINES — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 7,250,374 | | | | 0.2 | % |
| | | | | | | | | | | | |
POLAND — (0.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 11,957,065 | | | | 0.4 | % |
| | | | | | | | | | | | |
PORTUGAL — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 7,208,715 | | | | 0.2 | % |
| | | | | | | | | | | | |
QATAR — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 9,087,126 | | | | 0.3 | % |
| | | | | | | | | | | | |
SAUDI ARABIA — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 33,397,215 | | | | 1.0 | % |
| | | | | | | | | | | | |
SINGAPORE — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 24,286,205 | | | | 0.7 | % |
| | | | | | | | | | | | |
73
WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SOUTH AFRICA — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 33,970,953 | | | | 1.0 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (3.9%) | | | | | | | | | | | | |
Samsung Electronics Co. Ltd. | | | 634,262 | | | | 31,570,314 | | | | 1.0 | % |
SK Hynix, Inc. | | | 63,451 | | | | 5,510,218 | | | | 0.2 | % |
Other Securities | | | | | | | 96,059,849 | | | | 2.8 | % |
| | | | | | | | | | | | |
TOTAL SOUTH KOREA | | | | | | | 133,140,381 | | | | 4.0 | % |
| | | | | | | | | | | | |
SPAIN — (1.6%) | | | | | | | | | | | | |
# Banco Bilbao Vizcaya Argentaria SA | | | 764,346 | | | | 6,013,283 | | | | 0.2 | % |
Repsol SA | | | 395,910 | | | | 5,796,973 | | | | 0.2 | % |
Other Securities | | | | | | | 43,801,038 | | | | 1.3 | % |
| | | | | | | | | | | | |
TOTAL SPAIN | | | | | | | 55,611,294 | | | | 1.7 | % |
| | | | | | | | | | | | |
SWEDEN — (1.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 57,252,527 | | | | 1.7 | % |
| | | | | | | | | | | | |
SWITZERLAND — (5.1%) | | | | | | | | | | | | |
Nestle SA | | | 181,701 | | | | 19,594,404 | | | | 0.6 | % |
Novartis AG | | | 88,289 | | | | 8,265,577 | | | | 0.3 | % |
Novartis AG, Sponsored ADR | | | 59,410 | | | | 5,559,588 | | | | 0.2 | % |
Roche Holding AG | | | 58,789 | | | | 15,150,488 | | | | 0.5 | % |
Zurich Insurance Group AG | | | 10,865 | | | | 5,160,794 | | | | 0.2 | % |
Other Securities | | | | | | | 120,311,747 | | | | 3.4 | % |
| | | | | | | | | | | | |
TOTAL SWITZERLAND | | | | | | | 174,042,598 | | | | 5.2 | % |
| | | | | | | | | | | | |
TAIWAN — (5.5%) | | | | | | | | | | | | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 1,170,000 | | | | 19,109,032 | | | | 0.6 | % |
Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR | | | 129,369 | | | | 11,165,838 | | | | 0.4 | % |
Other Securities | | | | | | | 156,457,046 | | | | 4.6 | % |
| | | | | | | | | | | | |
TOTAL TAIWAN | | | | | | | 186,731,916 | | | | 5.6 | % |
| | | | | | | | | | | | |
THAILAND — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 20,662,418 | | | | 0.6 | % |
| | | | | | | | | | | | |
TURKEY — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 11,007,932 | | | | 0.3 | % |
| | | | | | | | | | | | |
UNITED ARAB EMIRATES — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 18,100,747 | | | | 0.5 | % |
| | | | | | | | | | | | |
UNITED KINGDOM — (8.4%) | | | | | | | | | | | | |
AstraZeneca PLC, Sponsored ADR | | | 92,295 | | | | 5,835,813 | | | | 0.2 | % |
BP PLC, Sponsored ADR | | | 396,055 | | | | 14,487,692 | | | | 0.4 | % |
Glencore PLC | | | 1,575,387 | | | | 8,344,547 | | | | 0.3 | % |
# HSBC Holdings PLC, Sponsored ADR | | | 230,666 | | | | 8,380,096 | | | | 0.3 | % |
# Shell PLC, ADR | | | 433,805 | | | | 28,258,058 | | | | 0.9 | % |
Other Securities | | | | | | | 220,970,163 | | | | 6.5 | % |
| | | | | | | | | | | | |
TOTAL UNITED KINGDOM | | | | | | | 286,276,369 | | | | 8.6 | % |
| | | | | | | | | | | | |
74
WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
UNITED STATES — (0.4%) | | | | | | | | | | | | |
CRH PLC | | | 154,276 | | | $ | 8,264,565 | | | | 0.2 | % |
Other Securities | | | | | | | 5,195,411 | | | | 0.2 | % |
| | | | | | | | | | | | |
TOTAL UNITED STATES | | | | | | | 13,459,976 | | | | 0.4 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 3,283,084,393 | | | | 98.2 | % |
| | | | | | | | | | | | |
PREFERRED STOCKS — (0.6%) | | | | | | | | | | | | |
BRAZIL — (0.3%) | | | | | | | | | | | | |
Petroleo Brasileiro SA , 10.467% | | | 801,184 | | | | 5,520,530 | | | | 0.2 | % |
Other Securities | | | | | | | 6,466,952 | | | | 0.2 | % |
| | | | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 11,987,482 | | | | 0.4 | % |
| | | | | | | | | | | | |
CHILE — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 177,271 | | | | 0.0 | % |
| | | | | | | | | | | | |
COLOMBIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 45,247 | | | | 0.0 | % |
| | | | | | | | | | | | |
GERMANY — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 9,653,864 | | | | 0.3 | % |
| | | | | | | | | | | | |
INDIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 24,032 | | | | 0.0 | % |
| | | | | | | | | | | | |
PHILIPPINES — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 30,882 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL PREFERRED STOCKS | | | | | | | 21,918,778 | | | | 0.7 | % |
| | | | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
BRAZIL — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,718 | | | | 0.0 | % |
| | | | | | | | | | | | |
FINLAND — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 23,672 | | | | 0.0 | % |
| | | | | | | | | | | | |
KUWAIT — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 410 | | | | 0.0 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 5,851 | | | | 0.0 | % |
| | | | | | | | | | | | |
SPAIN — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 27,169 | | | | 0.0 | % |
| | | | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,736 | | | | 0.0 | % |
| | | | | | | | | | | | |
75
WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
THAILAND — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 1,027 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 64,583 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $2,998,790,394) | | | | | | | 3,305,067,754 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (2.9%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 8,451,033 | | | | 97,753,098 | | | | 2.9 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $3,096,544,170) | | | | | | $ | 3,402,820,852 | | | | 101.8 | % |
| | | | | | | | | | | | |
As of October 31, 2023, World ex U.S. Core Equity Portfolio had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 132 | | | | 12/15/23 | | | $ | 28,991,714 | | | $ | 27,800,850 | | | $ | (1,190,864 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 28,991,714 | | | $ | 27,800,850 | | | $ | (1,190,864 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | $ | 6,648,688 | | | $ | 140,898,881 | | | $ | 14,341 | | | $ | 147,561,910 | |
Austria | | | 45,552 | | | | 11,337,020 | | | | — | | | | 11,382,572 | |
Belgium | | | 483,165 | | | | 24,666,042 | | | | — | | | | 25,149,207 | |
Brazil | | | 45,062,532 | | | | 423,009 | | | | — | | | | 45,485,541 | |
Canada | | | 241,811,421 | | | | 644,636 | | | | — | | | | 242,456,057 | |
Cayman Islands | | | — | | | | 31,710 | | | | — | | | | 31,710 | |
Chile | | | 636,796 | | | | 4,430,945 | | | | — | | | | 5,067,741 | |
China | | | 15,930,153 | | | | 234,306,976 | | | | 706,652 | | | | 250,943,781 | |
Colombia | | | 1,139,640 | | | | 32,960 | | | | — | | | | 1,172,600 | |
Czech Republic | | | — | | | | 1,383,721 | | | | — | | | | 1,383,721 | |
Denmark | | | — | | | | 67,875,632 | | | | — | | | | 67,875,632 | |
Egypt | | | 67,033 | | | | 76,789 | | | | — | | | | 143,822 | |
Finland | | | 536,914 | | | | 32,379,531 | | | | — | | | | 32,916,445 | |
France | | | 1,002,867 | | | | 186,942,404 | | | | — | | | | 187,945,271 | |
Germany | | | 1,020,046 | | | | 144,193,310 | | | | — | | | | 145,213,356 | |
Greece | | | 52,572 | | | | 4,386,747 | | | | — | | | | 4,439,319 | |
Hong Kong | | | 26,004 | | | | 43,787,374 | | | | 24,947 | | | | 43,838,325 | |
Hungary | | | — | | | | 2,111,066 | | | | — | | | | 2,111,066 | |
India | | | 4,057,570 | | | | 202,180,335 | | | | 127,024 | | | | 206,364,929 | |
Indonesia | | | 139,564 | | | | 19,590,792 | | | | 53,136 | | | | 19,783,492 | |
Ireland | | | — | | | | 13,292,186 | | | | — | | | | 13,292,186 | |
Israel | | | 1,267,742 | | | | 16,173,023 | | | | — | | | | 17,440,765 | |
76
WORLDEX U.S. CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Italy | | $ | 96,007 | | | $ | 64,879,874 | | | | — | | | $ | 64,975,881 | |
Japan | | | 1,671,544 | | | | 515,614,623 | | | | — | | | | 517,286,167 | |
Kuwait | | | 2,332,510 | | | | 551,583 | | | | — | | | | 2,884,093 | |
Malaysia | | | — | | | | 17,103,293 | | | | — | | | | 17,103,293 | |
Mexico | | | 25,858,151 | | | | 54,529 | | | | — | | | | 25,912,680 | |
Netherlands | | | 14,326,625 | | | | 56,043,452 | | | | — | | | | 70,370,077 | |
New Zealand | | | — | | | | 7,483,882 | | | | — | | | | 7,483,882 | |
Norway | | | 147,378 | | | | 21,218,309 | | | | — | | | | 21,365,687 | |
Peru | | | 259,374 | | | | — | | | | — | | | | 259,374 | |
Philippines | | | 18,307 | | | | 7,200,212 | | | $ | 31,855 | | | | 7,250,374 | |
Poland | | | — | | | | 11,957,065 | | | | — | | | | 11,957,065 | |
Portugal | | | — | | | | 7,208,715 | | | | — | | | | 7,208,715 | |
Qatar | | | — | | | | 9,087,126 | | | | — | | | | 9,087,126 | |
Saudi Arabia | | | 32,354 | | | | 33,364,861 | | | | — | | | | 33,397,215 | |
Singapore | | | — | | | | 24,261,765 | | | | 24,440 | | | | 24,286,205 | |
South Africa | | | 1,923,236 | | | | 32,047,717 | | | | — | | | | 33,970,953 | |
South Korea | | | 716,760 | | | | 132,261,303 | | | | 162,318 | | | | 133,140,381 | |
Spain | | | 750,037 | | | | 54,861,257 | | | | — | | | | 55,611,294 | |
Sweden | | | 16,206 | | | | 57,236,321 | | | | — | | | | 57,252,527 | |
Switzerland | | | 14,229,994 | | | | 159,812,604 | | | | — | | | | 174,042,598 | |
Taiwan | | | 11,325,428 | | | | 175,402,310 | | | | 4,178 | | | | 186,731,916 | |
Thailand | | | 19,342,793 | | | | 1,319,625 | | | | — | | | | 20,662,418 | |
Turkey | | | — | | | | 11,007,932 | | | | — | | | | 11,007,932 | |
United Arab Emirates | | | — | | | | 18,100,747 | | | | — | | | | 18,100,747 | |
United Kingdom | | | 80,955,985 | | | | 205,254,804 | | | | 65,580 | | | | 286,276,369 | |
United States | | | 9,906,991 | | | | 3,552,985 | | | | — | | | | 13,459,976 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Brazil | | | 11,959,448 | | | | 28,034 | | | | — | | | | 11,987,482 | |
Chile | | | — | | | | 177,271 | | | | — | | | | 177,271 | |
Colombia | | | 45,247 | | | | — | | | | — | | | | 45,247 | |
Germany | | | — | | | | 9,653,864 | | | | — | | | | 9,653,864 | |
India | | | — | | | | 24,032 | | | | — | | | | 24,032 | |
Philippines | | | — | | | | 30,882 | | | | — | | | | 30,882 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Brazil | | | — | | | | 1,718 | | | | — | | | | 1,718 | |
Finland | | | — | | | | 23,672 | | | | — | | | | 23,672 | |
Kuwait | | | — | | | | 410 | | | | — | | | | 410 | |
South Korea | | | — | | | | 5,851 | | | | — | | | | 5,851 | |
Spain | | | — | | | | 27,169 | | | | — | | | | 27,169 | |
Taiwan | | | — | | | | 4,736 | | | | — | | | | 4,736 | |
Thailand | | | — | | | | 1,027 | | | | — | | | | 1,027 | |
Securities Lending Collateral | | | — | | | | 97,753,098 | | | | — | | | | 97,753,098 | |
Futures Contracts** | | | (1,190,864 | ) | | | — | | | | — | | | | (1,190,864 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 514,651,770 | | | $ | 2,885,763,747 | | | $ | 1,214,471 | ^ | | $ | 3,401,629,988 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
77
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (98.1%) | | | | | | | | | |
AUSTRALIA — (4.8%) | | | | | | | | | |
Other Securities | | | | | | $ | 31,227,061 | | | | 4.9 | % |
| | | | | | | | | | | | |
AUSTRIA — (0.5%) | | | | | | | | | |
Other Securities | | | | | | | 3,460,971 | | | | 0.5 | % |
| | | | | | | | | | | | |
BELGIUM — (1.1%) | | | | | | | | | |
Ageas SA | | | 52,470 | | | | 2,015,521 | | | | 0.3 | % |
Other Securities | | | | | | | 4,803,318 | | | | 0.8 | % |
| | | | | | | | | | | | |
TOTAL BELGIUM | | | | 6,818,839 | | | | 1.1 | % |
| | | | | | | | | | | | |
BRAZIL — (1.2%) | | | | | | | | | |
Other Securities | | | | | | | 7,564,209 | | | | 1.2 | % |
| | | | | | | | | | | | |
CANADA — (7.8%) | | | | | | | | | |
Alamos Gold, Inc., Class A | | | 106,245 | | | | 1,315,469 | | | | 0.2 | % |
AltaGas Ltd. | | | 73,260 | | | | 1,360,864 | | | | 0.2 | % |
# ARC Resources Ltd. | | | 157,602 | | | | 2,535,496 | | | | 0.4 | % |
iA Financial Corp., Inc. | | | 29,944 | | | | 1,742,334 | | | | 0.3 | % |
* MEG Energy Corp. | | | 78,509 | | | | 1,551,214 | | | | 0.3 | % |
West Fraser Timber Co. Ltd. | | | 19,494 | | | | 1,315,625 | | | | 0.2 | % |
Whitecap Resources, Inc. | | | 162,842 | | | | 1,257,641 | | | | 0.2 | % |
Other Securities | | | | | | | 39,392,259 | | | | 6.1 | % |
| | | | | | | | | | | | |
TOTAL CANADA | | | | 50,470,902 | | | | 7.9 | % |
| | | | | | | | | | | | |
CHILE — (0.1%) | | | | | | | | | |
Other Securities | | | | | | | 725,807 | | | | 0.1 | % |
| | | | | | | | | | | | |
CHINA — (6.2%) | | | | | | | | | |
Lenovo Group Ltd. | | | 1,174,000 | | | | 1,366,220 | | | | 0.2 | % |
Other Securities | | | | | | | 38,507,090 | | | | 6.1 | % |
| | | | | | | | | | | | |
TOTAL CHINA | | | | 39,873,310 | | | | 6.3 | % |
| | | | | | | | | | | | |
COLOMBIA — (0.0%) | | | | | | | | | |
Other Securities | | | | | | | 128,822 | | | | 0.0 | % |
| | | | | | | | | | | | |
DENMARK — (2.0%) | | | | | | | | | |
* Jyske Bank AS | | | 18,173 | | | | 1,280,731 | | | | 0.2 | % |
Other Securities | | | | | | | 11,272,221 | | | | 1.8 | % |
| | | | | | | | | | | | |
TOTAL DENMARK | | | | 12,552,952 | | | | 2.0 | % |
| | | | | | | | | | | | |
FINLAND — (1.7%) | | | | | | | | | |
Stora Enso OYJ, Class R | | | 124,293 | | | | 1,493,802 | | | | 0.2 | % |
Wartsila OYJ Abp | | | 106,918 | | | | 1,275,910 | | | | 0.2 | % |
Other Securities | | | | | | | 8,050,525 | | | | 1.3 | % |
| | | | | | | | | | | | |
TOTAL FINLAND | | | | 10,820,237 | | | | 1.7 | % |
| | | | | | | | | | | | |
FRANCE — (3.9%) | | | | | | | | | |
Arkema SA | | | 14,561 | | | | 1,364,406 | | | | 0.2 | % |
Bouygues SA | | | 51,932 | | | | 1,826,916 | | | | 0.3 | % |
Eiffage SA | | | 20,030 | | | | 1,817,734 | | | | 0.3 | % |
78
WORLDEX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
FRANCE — (Continued) | | | | | | | | | | | | |
Renault SA | | | 55,113 | | | $ | 1,933,596 | | | | 0.3 | % |
Vivendi SE | | | 175,700 | | | | 1,575,589 | | | | 0.3 | % |
Other Securities | | | | | | | 16,711,494 | | | | 2.6 | % |
| | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 25,229,735 | | | | 4.0 | % |
| | | | | | | | | | | | |
GERMANY — (5.0%) | | | | | | | | | | | | |
Brenntag SE | | | 22,859 | | | | 1,699,832 | | | | 0.3 | % |
Commerzbank AG | | | 222,735 | | | | 2,402,321 | | | | 0.4 | % |
Continental AG | | | 27,863 | | | | 1,819,146 | | | | 0.3 | % |
*W Covestro AG | | | 52,882 | | | | 2,679,117 | | | | 0.4 | % |
Fresenius Medical Care AG & Co. KGaA | | | 47,923 | | | | 1,592,297 | | | | 0.3 | % |
Heidelberg Materials AG | | | 37,946 | | | | 2,754,627 | | | | 0.4 | % |
Other Securities | | | | | | | 19,342,913 | | | | 3.0 | % |
| | | | | | | | | | | | |
TOTAL GERMANY | | | | | | | 32,290,253 | | | | 5.1 | % |
| | | | | | | | | | | | |
GREECE — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 725,653 | | | | 0.1 | % |
| | | | | | | | | | | | |
HONG KONG — (1.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 8,935,371 | | | | 1.4 | % |
| | | | | | | | | | | | |
HUNGARY — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 237,153 | | | | 0.0 | % |
| | | | | | | | | | | | |
INDIA — (5.9%) | | | | | | | | | | | | |
Other Securities | | | | | | | 38,235,351 | | | | 6.0 | % |
| | | | | | | | | | | | |
INDONESIA — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 3,676,304 | | | | 0.6 | % |
| | | | | | | | | | | | |
IRELAND — (0.8%) | | | | | | | | | | | | |
AIB Group PLC | | | 320,177 | | | | 1,390,056 | | | | 0.2 | % |
Bank of Ireland Group PLC | | | 330,642 | | | | 2,963,117 | | | | 0.5 | % |
Other Securities | | | | | | | 777,167 | | | | 0.1 | % |
| | | | | | | | | | | | |
TOTAL IRELAND | | | | | | | 5,130,340 | | | | 0.8 | % |
| | | | | | | | | | | | |
ISRAEL — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 3,542,654 | | | | 0.6 | % |
| | | | | | | | | | | | |
ITALY — (2.8%) | | | | | | | | | | | | |
Banco BPM SpA | | | 394,306 | | | | 2,017,404 | | | | 0.3 | % |
Leonardo SpA | | | 105,578 | | | | 1,595,546 | | | | 0.3 | % |
# Mediobanca Banca di Credito Finanziario SpA | | | 144,530 | | | | 1,726,475 | | | | 0.3 | % |
Other Securities | | | | | | | 12,435,380 | | | | 1.9 | % |
| | | | | | | | | | | | |
TOTAL ITALY | | | | | | | 17,774,805 | | | | 2.8 | % |
| | | | | | | | | | | | |
JAPAN — (17.0%) | | | | | | | | | | | | |
Fukuoka Financial Group, Inc. | | | 56,560 | | | | 1,495,092 | | | | 0.3 | % |
Other Securities | | | | | | | 108,279,097 | | | | 16.9 | % |
| | | | | | | | | | | | |
TOTAL JAPAN | | | | | | | 109,774,189 | | | | 17.2 | % |
| | | | | | | | | | | | |
79
WORLDEX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
KUWAIT — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 1,051,336 | | | | 0.2 | % |
| | | | | | | | | | | | |
MALAYSIA — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 3,467,110 | | | | 0.5 | % |
| | | | | | | | | | | | |
MEXICO — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,330,464 | | | | 0.7 | % |
| | | | | | | | | | | | |
NETHERLANDS — (2.0%) | | | | | | | | | | | | |
W ABN AMRO Bank NV, GDR | | | 112,128 | | | | 1,510,208 | | | | 0.2 | % |
Aegon Ltd. | | | 419,896 | | | | 2,042,066 | | | | 0.3 | % |
ASR Nederland NV | | | 41,960 | | | | 1,565,883 | | | | 0.3 | % |
NN Group NV | | | 43,448 | | | | 1,393,481 | | | | 0.2 | % |
Other Securities | | | | | | | 6,373,909 | | | | 1.0 | % |
| | | | | | | | | | | | |
TOTAL NETHERLANDS | | | | | | | 12,885,547 | | | | 2.0 | % |
| | | | | | | | | | | | |
NEW ZEALAND — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,535,150 | | | | 0.2 | % |
| | | | | | | | | | | | |
NORWAY — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,145,993 | | | | 0.7 | % |
| | | | | | | | | | | | |
PHILIPPINES — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,136,319 | | | | 0.2 | % |
| | | | | | | | | | | | |
POLAND — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,856,674 | | | | 0.3 | % |
| | | | | | | | | | | | |
PORTUGAL — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 2,101,975 | | | | 0.3 | % |
| | | | | | | | | | | | |
QATAR — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,533,751 | | | | 0.2 | % |
| | | | | | | | | | | | |
SAUDI ARABIA — (1.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 7,565,399 | | | | 1.2 | % |
| | | | | | | | | | | | |
SINGAPORE — (0.8%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,946,538 | | | | 0.8 | % |
| | | | | | | | | | | | |
SOUTH AFRICA — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,647,180 | | | | 0.7 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (3.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 22,504,970 | | | | 3.5 | % |
| | | | | | | | | | | | |
SPAIN — (1.4%) | | | | | | | | | | | | |
Banco de Sabadell SA | | | 1,583,992 | | | | 1,969,526 | | | | 0.3 | % |
Other Securities | | | | | | | 6,774,349 | | | | 1.1 | % |
| | | | | | | | | | | | |
TOTAL SPAIN | | | | | | | 8,743,875 | | | | 1.4 | % |
| | | | | | | | | | | | |
SWEDEN — (1.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 10,897,088 | | | | 1.7 | % |
| | | | | | | | | | | | |
80
WORLDEX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SWITZERLAND — (4.2%) | | | | | | | | | | | | |
Adecco Group AG | | | 44,732 | | | $ | 1,692,817 | | | | 0.3 | % |
Baloise Holding AG | | | 13,844 | | | | 1,987,802 | | | | 0.3 | % |
Helvetia Holding AG | | | 9,919 | | | | 1,333,449 | | | | 0.2 | % |
Julius Baer Group Ltd. | | | 23,207 | | | | 1,375,286 | | | | 0.2 | % |
Swatch Group AG | | | 7,058 | | | | 1,806,678 | | | | 0.3 | % |
Swiss Prime Site AG | | | 16,975 | | | | 1,577,791 | | | | 0.3 | % |
Other Securities | | | | | | | 17,048,515 | | | | 2.6 | % |
| | | | | | | | | | | | |
TOTAL SWITZERLAND | | | | | | | 26,822,338 | | | | 4.2 | % |
| | | | | | | | | | | | |
TAIWAN — (4.9%) | | | | | | | | | | | | |
Other Securities | | | | | | | 31,355,937 | | | | 4.9 | % |
| | | | | | | | | | | | |
THAILAND — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 3,531,841 | | | | 0.6 | % |
| | | | | | | | | | | | |
TURKEY — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,999,990 | | | | 0.3 | % |
| | | | | | | | | | | | |
UNITED ARAB EMIRATES — (0.6%) | | | | | | | | | | | | |
Emaar Properties PJSC | | | 1,185,965 | | | | 2,160,572 | | | | 0.4 | % |
Other Securities | | | | | | | 1,737,151 | | | | 0.2 | % |
| | | | | | | | | | | | |
TOTAL UNITED ARAB EMIRATES | | | | | | | 3,897,723 | | | | 0.6 | % |
| | | | | | | | | | | | |
UNITED KINGDOM — (9.6%) | | | | | | | | | | | | |
Barratt Developments PLC | | | 299,113 | | | | 1,508,485 | | | | 0.3 | % |
Centrica PLC | | | 1,480,134 | | | | 2,833,415 | | | | 0.5 | % |
DS Smith PLC | | | 416,595 | | | | 1,444,946 | | | | 0.2 | % |
J Sainsbury PLC | | | 531,830 | | | | 1,663,999 | | | | 0.3 | % |
Kingfisher PLC | | | 587,635 | | | | 1,500,535 | | | | 0.2 | % |
* Marks & Spencer Group PLC | | | 582,476 | | | | 1,538,076 | | | | 0.3 | % |
Melrose Industries PLC | | | 341,366 | | | | 1,943,662 | | | | 0.3 | % |
Mondi PLC | | | 131,945 | | | | 2,134,276 | | | | 0.3 | % |
Taylor Wimpey PLC | | | 1,024,526 | | | | 1,383,768 | | | | 0.2 | % |
Other Securities | | | | | | | 45,648,568 | | | | 7.1 | % |
| | | | | | | | | | | | |
TOTAL UNITED KINGDOM | | | | | | | 61,599,730 | | | | 9.7 | % |
| | | | | | | | | | | | |
UNITED STATES — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 114,385 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 631,866,231 | | | | 99.2 | % |
| | | | | | | | | | | | |
PREFERRED STOCKS — (0.4%) | | | | | | | | | | | | |
BRAZIL — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 967,328 | | | | 0.1 | % |
| | | | | | | | | | | | |
GERMANY — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,623,832 | | | | 0.3 | % |
| | | | | | | | | | | | |
INDIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 17,125 | | | | 0.0 | % |
| | | | | | | | | | | | |
81
WORLDEX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
PHILIPPINES — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | $ | 12,615 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL PREFERRED STOCKS | | | | | | | 2,620,900 | | | | 0.4 | % |
| | | | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
BRAZIL — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 146 | | | | 0.0 | % |
| | | | | | | | | | | | |
KUWAIT — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 293 | | | | 0.0 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 1,499 | | | | 0.0 | % |
| | | | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 2,506 | | | | 0.0 | % |
| | | | | | | | | | | | |
THAILAND — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 811 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 5,255 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $637,761,435) | | | | | | | 634,492,386 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (1.5%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 823,567 | | | | 9,526,204 | | | | 1.5 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $647,287,728) | | | | | | $ | 644,018,590 | | | | 101.1 | % |
| | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | | — | | | $ | 31,216,487 | | | $ | 10,574 | | | $ | 31,227,061 | |
Austria | | $ | 46,920 | | | | 3,414,051 | | | | — | | | | 3,460,971 | |
Belgium | | | — | | | | 6,818,839 | | | | — | | | | 6,818,839 | |
Brazil | | | 7,337,414 | | | | 226,795 | | | | — | | | | 7,564,209 | |
Canada | | | 50,464,305 | | | | 6,597 | | | | — | | | | 50,470,902 | |
Chile | | | — | | | | 725,807 | | | | — | | | | 725,807 | |
China | | | 807,358 | | | | 38,676,919 | | | | 389,033 | | | | 39,873,310 | |
Colombia | | | 128,822 | | | | — | | | | — | | | | 128,822 | |
Denmark | | | — | | | | 12,552,952 | | | | — | | | | 12,552,952 | |
Finland | | | — | | | | 10,820,237 | | | | — | | | | 10,820,237 | |
France | | | — | | | | 25,229,735 | | | | — | | | | 25,229,735 | |
Germany | | | 75,405 | | | | 32,214,848 | | | | — | | | | 32,290,253 | |
Greece | | | — | | | | 725,653 | | | | — | | | | 725,653 | |
Hong Kong | | | — | | | | 8,928,255 | | | | 7,116 | | | | 8,935,371 | |
Hungary | | | — | | | | 237,153 | | | | — | | | | 237,153 | |
82
WORLDEX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
India | | $ | 163,117 | | | $ | 37,997,862 | | | $ | 74,372 | | | $ | 38,235,351 | |
Indonesia | | | — | | | | 3,665,970 | | | | 10,334 | | | | 3,676,304 | |
Ireland | | | — | | | | 5,130,340 | | | | — | | | | 5,130,340 | |
Israel | | | 133,477 | | | | 3,409,177 | | | | — | | | | 3,542,654 | |
Italy | | | — | | | | 17,774,805 | | | | — | | | | 17,774,805 | |
Japan | | | 34,683 | | | | 109,739,506 | | | | — | | | | 109,774,189 | |
Kuwait | | | 895,899 | | | | 155,437 | | | | — | | | | 1,051,336 | |
Malaysia | | | — | | | | 3,467,110 | | | | — | | | | 3,467,110 | |
Mexico | | | 4,305,438 | | | | 25,026 | | | | — | | | | 4,330,464 | |
Netherlands | | | 572,539 | | | | 12,313,008 | | | | — | | | | 12,885,547 | |
New Zealand | | | — | | | | 1,535,150 | | | | — | | | | 1,535,150 | |
Norway | | | — | | | | 4,145,993 | | | | — | | | | 4,145,993 | |
Philippines | | | — | | | | 1,121,729 | | | | 14,590 | | | | 1,136,319 | |
Poland | | | — | | | | 1,856,674 | | | | — | | | | 1,856,674 | |
Portugal | | | — | | | | 2,101,975 | | | | — | | | | 2,101,975 | |
Qatar | | | — | | | | 1,533,751 | | | | — | | | | 1,533,751 | |
Saudi Arabia | | | 37,824 | | | | 7,527,575 | | | | — | | | | 7,565,399 | |
Singapore | | | — | | | | 4,946,538 | | | | — | | | | 4,946,538 | |
South Africa | | | 520,345 | | | | 4,126,835 | | | | — | | | | 4,647,180 | |
South Korea | | | — | | | | 22,418,892 | | | | 86,078 | | | | 22,504,970 | |
Spain | | | — | | | | 8,743,875 | | | | — | | | | 8,743,875 | |
Sweden | | | 9,947 | | | | 10,887,141 | | | | — | | | | 10,897,088 | |
Switzerland | | | — | | | | 26,822,338 | | | | — | | | | 26,822,338 | |
Taiwan | | | — | | | | 31,333,950 | | | | 21,987 | | | | 31,355,937 | |
Thailand | | | 3,403,784 | | | | 128,057 | | | | — | | | | 3,531,841 | |
Turkey | | | — | | | | 1,999,990 | | | | — | | | | 1,999,990 | |
United Arab Emirates | | | — | | | | 3,897,723 | | | | — | | | | 3,897,723 | |
United Kingdom | | | 224,798 | | | | 61,285,076 | | | | 89,856 | | | | 61,599,730 | |
United States | | | — | | | | 114,385 | | | | — | | | | 114,385 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Brazil | | | 953,400 | | | | 13,928 | | | | — | | | | 967,328 | |
Germany | | | — | | | | 1,623,832 | | | | — | | | | 1,623,832 | |
India | | | — | | | | 17,125 | | | | — | | | | 17,125 | |
Philippines | | | — | | | | 12,615 | | | | — | | | | 12,615 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Brazil | | | — | | | | 146 | | | | — | | | | 146 | |
Kuwait | | | — | | | | 293 | | | | — | | | | 293 | |
South Korea | | | — | | | | 1,499 | | | | — | | | | 1,499 | |
Taiwan | | | — | | | | 2,506 | | | | — | | | | 2,506 | |
Thailand | | | — | | | | 811 | | | | — | | | | 811 | |
Securities Lending Collateral | | | — | | | | 9,526,204 | | | | — | | | | 9,526,204 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 70,115,475 | | | $ | 573,199,175 | | | $ | 703,940 | ^ | | $ | 644,018,590 | |
| | | | | | | | | | | | | | | | |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
83
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | | | | | |
| | | Shares | | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | | | | | |
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group, Inc. | | | 18,477,768 | | | $ | 582,234,460 | |
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group, Inc. | | | 19,596,624 | | | | 265,142,327 | |
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group, Inc. | | | 5,432,630 | | | | 110,391,050 | |
| | | | | | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $703,063,672) | | | | | | $ | 957,767,837 | |
| | | | | | | | |
TEMPORARY CASH INVESTMENTS — (0.0%) | | | | | | | | |
State Street Institutional U.S. Government Money Market Fund, 5.300%
(Cost $19,634) | | | 19,634 | | | | 19,634 | |
| | | | | | | | |
TOTAL INVESTMENTS — (100.0%)
(Cost $703,083,306) | | | | | | $ | 957,787,471 | |
| | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Affiliated Investment Companies | | $ | 957,767,837 | | | | — | | | | — | | | $ | 957,767,837 | |
Temporary Cash Investments | | | 19,634 | | | | — | | | | — | | | | 19,634 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 957,787,471 | | | | — | | | | — | | | $ | 957,787,471 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
84
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | | | | | |
| | | Shares | | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | | | | | |
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group, Inc. | | | 4,993,589 | | | $ | 141,618,192 | |
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group, Inc. | | | 4,893,766 | | | | 66,212,653 | |
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group, Inc. | | | 2,176,679 | | | | 44,230,108 | |
| | | | | | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $162,022,421) | | | | | | $ | 252,060,953 | |
| | | | | | | | |
As of October 31, 2023, Selectively Hedged Global Equity Portfolio had entered into the following forward currency contracts and the net unrealized forward currency gain (loss) is reflected in the accompanying financial statements:
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Foreign
Exchange
Appreciation
(Depreciation) | |
| USD | | | 533,749 | | | NOK | | | 5,885,000 | | | Citibank, N.A. | | | 11/20/23 | | | $ | 6,650 | |
| USD | | | 664,863 | | | SGD | | | 898,000 | | | Citibank, N.A. | | | 11/24/23 | | | | 8,349 | |
| USD | | | 8,996,801 | | | HKD | | | 70,275,000 | | | Barclays Capital | | | 12/15/23 | | | | 9,404 | |
| USD | | | 492,981 | | | ILS | | | 1,870,000 | | | Citibank, N.A. | | | 12/21/23 | | | | 29,056 | |
| USD | | | 3,772,882 | | | AUD | | | 5,918,000 | | | State Street Bank and Trust | | | 01/04/24 | | | | 10,768 | |
| USD | | | 4,010,187 | | | CAD | | | 5,494,000 | | | Barclays Capital | | | 01/05/24 | | | | 43,629 | |
| GBP | | | 348,000 | | | USD | | | 423,143 | | | Citibank, N.A. | | | 01/10/24 | | | | 82 | |
| USD | | | 8,086,150 | | | GBP | | | 6,557,000 | | | State Street Bank and Trust | | | 01/10/24 | | | | 111,767 | |
| USD | | | 13,932,501 | | | JPY | | | 2,058,450,000 | | | State Street Bank and Trust | | | 01/18/24 | | | | 176,243 | |
| USD | | | 1,490,715 | | | SEK | | | 16,415,000 | | | Morgan Stanley and Co. International | | | 01/23/24 | | | | 14,227 | |
| USD | | | 16,365,277 | | | EUR | | | 15,341,000 | | | State Street Bank and Trust | | | 01/23/24 | | | | 69,243 | |
| | | | | | | | | | | | | | | | | | | | |
Total Appreciation | | | | | | | | | | | | $ | 479,418 | |
| | | | | | |
| SGD | | | 43,000 | | | USD | | | 31,464 | | | Citibank, N.A. | | | 11/24/23 | | | $ | (27 | ) |
| HKD | | | 3,388,000 | | | USD | | | 433,387 | | | Societe Generale | | | 12/15/23 | | | | (100 | ) |
| ILS | | | 238,000 | | | USD | | | 60,278 | | | Citibank, N.A. | | | 12/21/23 | | | | (1,233 | ) |
| USD | | | 178,704 | | | NZD | | | 307,000 | | | Citibank, N.A. | | | 01/03/24 | | | | (192 | ) |
| USD | | | 4,491,925 | | | CHF | | | 4,076,000 | | | State Street Bank and Trust | | | 01/03/24 | | | | (21,138 | ) |
| USD | | | 1,667,574 | | | DKK | | | 11,779,000 | | | Bank of America Corp. | | | 01/05/24 | | | | (8,709 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total (Depreciation) | | | | | | | | | | | | $ | (31,399 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Appreciation (Depreciation) | | | | | | | | | | | | $ | 448,019 | |
| | | | | | | | | | | | | | | | | | | | |
As of October 31, 2023, Selectively Hedged Global Equity Portfolio had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 15 | | | | 12/15/23 | | | $ | 3,382,220 | | | $ | 3,159,188 | | | $ | (223,032 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 3,382,220 | | | $ | 3,159,188 | | | $ | (223,032 | ) |
| | | | | | | | | | | | | | | | | | | | |
85
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Affiliated Investment Companies | | $ | 252,060,953 | | | | — | | | | — | | | $ | 252,060,953 | |
Forward Currency Contracts** | | | — | | | $ | 448,019 | | | | — | | | | 448,019 | |
Futures Contracts** | | | (223,032 | ) | | | — | | | | — | | | | (223,032 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 251,837,921 | | | $ | 448,019 | | | | — | | | $ | 252,285,940 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
See accompanying Notes to Financial Statements.
86
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | |
| | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | |
Investment in The Emerging Markets Series of
The DFA Investment Trust Company | | $ | 4,328,301,659 | |
| | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | | $ | 4,328,301,659 | |
| | | | |
Summary of the Portfolio’s Master Fund’s investments as of October 31, 2023, based on their valuation inputs, is located in this report (See Security Valuation Note).
See accompanying Notes to Financial Statements.
87
EMERGING MARKETS SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | |
| | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | |
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company | | $ | 3,805,864,909 | |
| | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | | $ | 3,805,864,909 | |
| | | | |
Summary of the Portfolio’s Master Fund’s investments as of October 31, 2023, based on their valuation inputs, is located in this report (See Security Valuation Note).
See accompanying Notes to Financial Statements.
88
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | |
| | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | |
Investment in Dimensional Emerging Markets Value Fund | | $ | 9,992,907,595 | |
| | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | | $ | 9,992,907,595 | |
| | | | |
Summary of the Portfolio’s Master Fund’s investments as of October 31, 2023, based on their valuation inputs, is located in this report (See Security Valuation Note).
See accompanying Notes to Financial Statements.
89
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (97.6%) | | | | | | | | | | | | |
BRAZIL — (4.1%) | | | | | | | | | | | | |
Petroleo Brasileiro SA | | | 16,003,488 | | | $ | 120,111,466 | | | | 0.5 | % |
Petroleo Brasileiro SA, Sponsored ADR | | | 776,944 | | | | 10,745,136 | | | | 0.1 | % |
Petroleo Brasileiro SA, Sponsored ADR | | | 1,228,197 | | | | 18,422,955 | | | | 0.1 | % |
Vale SA | | | 8,549,367 | | | | 117,004,282 | | | | 0.5 | % |
Other Securities | | | | | | | 672,303,654 | | | | 2.9 | % |
| | | | | | | | | | | | |
TOTAL BRAZIL | | | | 938,587,493 | | | | 4.1 | % |
| | | | | | | | | | | | |
CAYMAN ISLANDS — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 33,096 | | | | 0.0 | % |
| | | | | | | | | | | | |
CHILE — (0.5%) | | | | | | | | | | | | |
Other Securities | | | | | | | 105,404,150 | | | | 0.5 | % |
| | | | | | | | | | | | |
CHINA — (25.1%) | | | | | | | | | | | | |
* Alibaba Group Holding Ltd. | | | 27,674,300 | | | | 284,908,936 | | | | 1.3 | % |
* Alibaba Group Holding Ltd., Sponsored ADR | | | 1,585,411 | | | | 130,859,824 | | | | 0.6 | % |
Bank of China Ltd., Class H | | | 204,333,702 | | | | 71,380,921 | | | | 0.3 | % |
# BYD Co. Ltd., Class H | | | 2,014,800 | | | | 61,270,279 | | | | 0.3 | % |
China Construction Bank Corp., Class H | | | 279,316,302 | | | | 157,969,543 | | | | 0.7 | % |
China Merchants Bank Co. Ltd., Class H | | | 15,816,646 | | | | 59,997,144 | | | | 0.3 | % |
China Resources Land Ltd. | | | 12,982,610 | | | | 48,595,287 | | | | 0.2 | % |
Industrial & Commercial Bank of China Ltd., Class H | | | 180,119,725 | | | | 86,321,387 | | | | 0.4 | % |
Kweichow Moutai Co. Ltd., Class A | | | 194,074 | | | | 44,695,953 | | | | 0.2 | % |
Lenovo Group Ltd. | | | 45,406,000 | | | | 52,840,381 | | | | 0.3 | % |
NetEase, Inc. | | | 3,062,200 | | | | 65,535,822 | | | | 0.3 | % |
* PDD Holdings, Inc., ADR | | | 858,782 | | | | 87,097,670 | | | | 0.4 | % |
PetroChina Co. Ltd., Class H | | | 101,830,000 | | | | 66,465,994 | | | | 0.3 | % |
Ping An Insurance Group Co. of China Ltd., Class H | | | 22,300,000 | | | | 113,116,195 | | | | 0.5 | % |
Tencent Holdings Ltd. | | | 16,794,600 | | | | 621,546,820 | | | | 2.7 | % |
# Yum China Holdings, Inc. | | | 1,120,797 | | | | 58,909,090 | | | | 0.3 | % |
Other Securities | | | | | | | 3,795,206,002 | | | | 16.2 | % |
| | | | | | | | | | | | |
TOTAL CHINA | | | | 5,806,717,248 | | | | 25.3 | % |
| | | | | | | | | | | | |
COLOMBIA — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 26,796,497 | | | | 0.1 | % |
| | | | | | | | | | | | |
CZECH REPUBLIC — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 28,750,362 | | | | 0.1 | % |
| | | | | | | | | | | | |
EGYPT — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 6,922,670 | | | | 0.0 | % |
| | | | | | | | | | | | |
GREECE — (0.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 97,445,204 | | | | 0.4 | % |
| | | | | | | | | | | | |
HONG KONG — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 227,930 | | | | 0.0 | % |
| | | | | | | | | | | | |
HUNGARY — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 44,775,534 | | | | 0.2 | % |
| | | | | | | | | | | | |
90
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
INDIA — (18.5%) | | | | | | | | | | | | |
Axis Bank Ltd. | | | 7,588,119 | | | $ | 89,410,666 | | | | 0.4 | % |
Bajaj Finance Ltd. | | | 533,819 | | | | 48,071,399 | | | | 0.2 | % |
Bharti Airtel Ltd. | | | 7,221,137 | | | | 79,276,561 | | | | 0.4 | % |
HCL Technologies Ltd. | | | 2,961,027 | | | | 45,399,690 | | | | 0.2 | % |
HDFC Bank Ltd. | | | 6,040,871 | | | | 107,083,517 | | | | 0.5 | % |
ICICI Bank Ltd., Sponsored ADR | | | 4,263,961 | | | | 94,617,295 | | | | 0.4 | % |
Infosys Ltd. | | | 7,928,147 | | | | 130,560,719 | | | | 0.6 | % |
ITC Ltd. | | | 9,888,606 | | | | 50,907,941 | | | | 0.2 | % |
Larsen & Toubro Ltd. | | | 1,686,329 | | | | 59,220,838 | | | | 0.3 | % |
Mahindra & Mahindra Ltd. | | | 2,821,605 | | | | 49,632,471 | | | | 0.2 | % |
REC Ltd. | | | 12,894,190 | | | | 44,599,791 | | | | 0.2 | % |
Reliance Industries Ltd. | | | 4,679,629 | | | | 128,741,265 | | | | 0.6 | % |
Tata Consultancy Services Ltd. | | | 2,031,341 | | | | 82,310,411 | | | | 0.4 | % |
Tata Motors Ltd. | | | 6,576,111 | | | | 49,736,601 | | | | 0.2 | % |
Tata Steel Ltd. | | | 32,426,467 | | | | 46,330,589 | | | | 0.2 | % |
Other Securities | | | | | | | 3,184,644,112 | | | | 13.7 | % |
| | | | | | | | | | | | |
TOTAL INDIA | | | | | | | 4,290,543,866 | | | | 18.7 | % |
| | | | | | | | | | | | |
INDONESIA — (1.9%) | | | | | | | | | | | | |
Bank Central Asia Tbk. PT | | | 91,803,500 | | | | 50,576,439 | | | | 0.2 | % |
Other Securities | | | | | | | 400,176,538 | | | | 1.8 | % |
| | | | | | | | | | | | |
TOTAL INDONESIA | | | | | | | 450,752,977 | | | | 2.0 | % |
| | | | | | | | | | | | |
KUWAIT — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 46,281,613 | | | | 0.2 | % |
| | | | | | | | | | | | |
MALAYSIA — (1.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 363,468,662 | | | | 1.6 | % |
| | | | | | | | | | | | |
MEXICO — (2.5%) | | | | | | | | | | | | |
# America Movil SAB de CV, ADR | | | 3,735,424 | | | | 62,008,038 | | | | 0.3 | % |
Grupo Financiero Banorte SAB de CV, Class O | | | 5,777,265 | | | | 46,800,681 | | | | 0.2 | % |
Other Securities | | | | | | | 473,526,402 | | | | 2.0 | % |
| | | | | | | | | | | | |
TOTAL MEXICO | | | | | | | 582,335,121 | | | | 2.5 | % |
| | | | | | | | | | | | |
PERU — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 17,863,753 | | | | 0.1 | % |
| | | | | | | | | | | | |
PHILIPPINES — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 163,781,996 | | | | 0.7 | % |
| | | | | | | | | | | | |
POLAND — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 237,118,464 | | | | 1.0 | % |
| | | | | | | | | | | | |
QATAR — (0.8%) | | | | | | | | | | | | |
Qatar National Bank QPSC | | | 12,536,387 | | | | 51,296,916 | | | | 0.2 | % |
Other Securities | | | | | | | 125,290,170 | | | | 0.6 | % |
| | | | | | | | | | | | |
TOTAL QATAR | | | | | | | 176,587,086 | | | | 0.8 | % |
| | | | | | | | | | | | |
SAUDI ARABIA — (3.8%) | | | | | | | | | | | | |
Al Rajhi Bank | | | 3,874,482 | | | | 69,355,417 | | | | 0.3 | % |
W Saudi Arabian Oil Co. | | | 5,215,336 | | | | 46,334,882 | | | | 0.2 | % |
Saudi Telecom Co. | | | 5,395,825 | | | | 55,275,413 | | | | 0.3 | % |
91
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SAUDI ARABIA — (Continued) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 720,420,563 | | | | 3.1 | % |
| | | | | | | | | | | | |
TOTAL SAUDI ARABIA | | | | 891,386,275 | | | | 3.9 | % |
| | | | | | | | | | | | |
SOUTH AFRICA — (3.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 700,820,700 | | | | 3.0 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (11.5%) | | | | | | | | | | | | |
Hyundai Motor Co. | | | 422,266 | | | | 53,198,806 | | | | 0.3 | % |
Kia Corp. | | | 1,141,175 | | | | 65,196,953 | | | | 0.3 | % |
Samsung Electronics Co. Ltd. | | | 12,145,042 | | | | 604,517,982 | | | | 2.7 | % |
SK Hynix, Inc. | | | 1,759,761 | | | | 152,821,338 | | | | 0.7 | % |
Other Securities | | | | | | | 1,785,854,516 | | | | 7.6 | % |
| | | | | | | | | | | | |
TOTAL SOUTH KOREA | | | | 2,661,589,595 | | | | 11.6 | % |
| | | | | | | | | | | | |
TAIWAN — (16.9%) | | | | | | | | | | | | |
Hon Hai Precision Industry Co. Ltd. | | | 20,357,403 | | | | 60,761,017 | | | | 0.3 | % |
MediaTek, Inc. | | | 3,881,823 | | | | 101,313,065 | | | | 0.5 | % |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 42,911,652 | | | | 700,854,813 | | | | 3.1 | % |
Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR | | | 3,191,292 | | | | 275,440,413 | | | | 1.2 | % |
# United Microelectronics Corp. | | | 35,252,441 | | | | 50,697,030 | | | | 0.2 | % |
Other Securities | | | | | | | 2,724,328,096 | | | | 11.7 | % |
| | | | | | | | | | | | |
TOTAL TAIWAN | | | | 3,913,394,434 | | | | 17.0 | % |
| | | | | | | | | | �� | | |
THAILAND — (2.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 463,533,871 | | | | 2.0 | % |
| | | | | | | | | | | | |
TURKEY — (1.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 286,909,372 | | | | 1.2 | % |
| | | | | | | | | | | | |
UNITED ARAB EMIRATES — (1.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 308,277,672 | | | | 1.3 | % |
| | | | | | | | | | | | |
UNITED KINGDOM — (0.1%) | | | | | | | | | | | | |
Other Security | | | | | | | 13,610,332 | | | | 0.1 | % |
| | | | | | | | | | | | |
UNITED STATES — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 5,644,989 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | 22,629,560,962 | | | | 98.4 | % |
| | | | | | | | | | | | |
MUTUAL FUNDS — (0.0%) | | | | | | | | | | | | |
UNITED STATES — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 109,474 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL MUTUAL FUNDS | | | | 109,474 | | | | 0.0 | % |
| | | | | | | | | | | | |
PREFERRED STOCKS — (1.3%) | | | | | | | | | |
BRAZIL — (1.3%) | | | | | | | | | |
Petroleo Brasileiro SA , 10.467% | | | 22,001,222 | | | | 151,598,642 | | | | 0.7 | % |
Other Securities | | | | | | | 138,614,695 | | | | 0.6 | % |
| | | | | | | | | | | | |
TOTAL BRAZIL | | | | 290,213,337 | | | | 1.3 | % |
| | | | | | | | | | | | |
92
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
CHILE — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 2,718,298 | | | | 0.0 | % |
| | | | | | | | | | | | |
COLOMBIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 3,804,182 | | | | 0.0 | % |
| | | | | | | | | | | | |
INDIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 267,533 | | | | 0.0 | % |
| | | | | | | | | | | | |
PHILIPPINES — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 665,358 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL PREFERRED STOCKS | | | | 297,668,708 | | | | 1.3 | % |
| | | | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
BRAZIL — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 24,500 | | | | 0.0 | % |
| | | | | | | | | | | | |
KUWAIT — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 775 | | | | 0.0 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 141,666 | | | | 0.0 | % |
| | | | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 105,793 | | | | 0.0 | % |
| | | | | | | | | | | | |
THAILAND — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 20,317 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 293,051 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $19,005,141,952) | | | | | | | 22,927,632,195 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (1.1%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 21,283,394 | | | | 246,185,020 | | | | 1.1 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $19,251,331,013) | | | | | | $ | 23,173,817,215 | | | | 100.8 | % |
| | | | | | | | | | | | |
As of October 31, 2023, Emerging Markets Core Equity Portfolio had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 915 | | | | 12/15/23 | | | $ | 202,214,920 | | | $ | 192,710,438 | | | $ | (9,504,482 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 202,214,920 | | | $ | 192,710,438 | | | $ | (9,504,482 | ) |
| | | | | | | | | | | | | | | | | | | | |
93
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Brazil | | $ | 932,482,219 | | | $ | 6,105,274 | | | | — | | | $ | 938,587,493 | |
Cayman Islands | | | 30,593 | | | | 2,503 | | | | — | | | | 33,096 | |
Chile | | | 24,227,424 | | | | 81,176,726 | | | | — | | | | 105,404,150 | |
China | | | 532,515,881 | | | | 5,260,167,919 | | | $ | 14,033,448 | | | | 5,806,717,248 | |
Colombia | | | 26,186,110 | | | | 610,387 | | | | — | | | | 26,796,497 | |
Czech Republic | | | — | | | | 28,750,362 | | | | — | | | | 28,750,362 | |
Egypt | | | 77,432 | | | | 6,845,238 | | | | — | | | | 6,922,670 | |
Greece | | | 805,773 | | | | 96,639,431 | | | | — | | | | 97,445,204 | |
Hong Kong | | | — | | | | 166,495 | | | | 61,435 | | | | 227,930 | |
Hungary | | | — | | | | 44,775,534 | | | | — | | | | 44,775,534 | |
India | | | 175,462,777 | | | | 4,113,766,741 | | | | 1,314,348 | | | | 4,290,543,866 | |
Indonesia | | | 8,212,553 | | | | 441,671,782 | | | | 868,642 | | | | 450,752,977 | |
Kuwait | | | 42,392,647 | | | | 3,888,966 | | | | — | | | | 46,281,613 | |
Malaysia | | | — | | | | 363,468,662 | | | | — | | | | 363,468,662 | |
Mexico | | | 579,812,088 | | | | 2,523,033 | | | | — | | | | 582,335,121 | |
Peru | | | 17,863,753 | | | | — | | | | — | | | | 17,863,753 | |
Philippines | | | 2,678,601 | | | | 160,555,533 | | | | 547,862 | | | | 163,781,996 | |
Poland | | | — | | | | 237,118,464 | | | | — | | | | 237,118,464 | |
Qatar | | | — | | | | 176,587,086 | | | | — | | | | 176,587,086 | |
Saudi Arabia | | | 1,114,341 | | | | 890,270,967 | | | | 967 | | | | 891,386,275 | |
South Africa | | | 68,587,146 | | | | 632,233,554 | | | | — | | | | 700,820,700 | |
South Korea | | | 51,229,650 | | | | 2,607,408,831 | | | | 2,951,114 | | | | 2,661,589,595 | |
Taiwan | | | 280,745,295 | | | | 3,632,162,849 | | | | 486,290 | | | | 3,913,394,434 | |
Thailand | | | 430,140,100 | | | | 33,393,771 | | | | — | | | | 463,533,871 | |
Turkey | | | — | | | | 286,909,372 | | | | — | | | | 286,909,372 | |
United Arab Emirates | | | — | | | | 308,277,672 | | | | — | | | | 308,277,672 | |
United Kingdom | | | 13,610,332 | | | | — | | | | — | | | | 13,610,332 | |
United States | | | — | | | | 5,644,989 | | | | — | | | | 5,644,989 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Brazil | | | 289,875,571 | | | | 337,766 | | | | — | | | | 290,213,337 | |
Chile | | | — | | | | 2,718,298 | | | | — | | | | 2,718,298 | |
Colombia | | | 3,804,182 | | | | — | | | | — | | | | 3,804,182 | |
India | | | — | | | | 267,533 | | | | — | | | | 267,533 | |
Philippines | | | — | | | | 665,358 | | | | — | | | | 665,358 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Brazil | | | — | | | | 24,500 | | | | — | | | | 24,500 | |
Kuwait | | | — | | | | 775 | | | | — | | | | 775 | |
South Korea | | | — | | | | 141,666 | | | | — | | | | 141,666 | |
Taiwan | | | — | | | | 105,793 | | | | — | | | | 105,793 | |
Thailand | | | — | | | | 20,317 | | | | — | | | | 20,317 | |
Mutual Funds | | | 109,474 | | | | — | | | | — | | | | 109,474 | |
Securities Lending Collateral | | | — | | | | 246,185,020 | | | | — | | | | 246,185,020 | |
Futures Contracts** | | | (9,504,482 | ) | | | — | | | | — | | | | (9,504,482 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 3,472,459,460 | | | $ | 19,671,589,167 | | | $ | 20,264,106 | ^ | | $ | 23,164,312,733 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
94
EMERGING MARKETS TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (98.8%) | | | | | | | | | | | | |
BRAZIL — (3.8%) | | | | | | | | | | | | |
Cosan SA | | | 186,285 | | | $ | 581,939 | | | | 0.3 | % |
*W Hapvida Participacoes e Investimentos SA | | | 842,191 | | | | 616,390 | | | | 0.3 | % |
TIM SA | | | 154,756 | | | | 465,642 | | | | 0.2 | % |
Ultrapar Participacoes SA | | | 133,588 | | | | 541,850 | | | | 0.3 | % |
Vibra Energia SA | | | 151,620 | | | | 595,143 | | | | 0.3 | % |
Other Securities | | | | | | | 5,647,682 | | | | 2.5 | % |
| | | | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 8,448,646 | | | | 3.9 | % |
| | | | | | | | | | | | |
CHILE — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 640,197 | | | | 0.3 | % |
| | | | | | | | | | | | |
CHINA — (21.2%) | | | | | | | | | | | | |
Geely Automobile Holdings Ltd. | | | 1,008,000 | | | | 1,144,407 | | | | 0.5 | % |
Kunlun Energy Co. Ltd. | | | 728,000 | | | | 606,499 | | | | 0.3 | % |
W Longfor Group Holdings Ltd. | | | 366,000 | | | | 532,808 | | | | 0.3 | % |
Sino Biopharmaceutical Ltd. | | | 1,653,000 | | | | 642,156 | | | | 0.3 | % |
Sinopharm Group Co. Ltd., Class H | | | 226,000 | | | | 540,430 | | | | 0.3 | % |
* Tencent Music Entertainment Group, ADR | | | 87,413 | | | | 634,618 | | | | 0.3 | % |
* Vipshop Holdings Ltd., ADR | | | 51,685 | | | | 737,028 | | | | 0.4 | % |
Other Securities | | | | | | | 41,834,927 | | | | 18.9 | % |
| | | | | | | | | | | | |
TOTAL CHINA | | | | | | | 46,672,873 | | | | 21.3 | % |
| | | | | | | | | | | | |
COLOMBIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 113,840 | | | | 0.1 | % |
| | | | | | | | | | | | |
GREECE — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,259,830 | | | | 0.6 | % |
| | | | | | | | | | | | |
INDIA — (21.3%) | | | | | | | | | | | | |
Bharat Electronics Ltd. | | | 428,979 | | | | 688,553 | | | | 0.3 | % |
Bharat Forge Ltd. | | | 37,274 | | | | 458,410 | | | | 0.2 | % |
Cholamandalam Investment & Finance Co. Ltd. | | | 53,537 | | | | 733,874 | | | | 0.4 | % |
Cipla Ltd. | | | 57,388 | | | | 829,392 | | | | 0.4 | % |
# Dr Reddy’s Laboratories Ltd., ADR | | | 11,181 | | | | 728,219 | | | | 0.3 | % |
Federal Bank Ltd. | | | 292,380 | | | | 493,975 | | | | 0.2 | % |
GAIL India Ltd. | | | 419,667 | | | | 604,331 | | | | 0.3 | % |
Hero MotoCorp Ltd. | | | 16,291 | | | | 605,263 | | | | 0.3 | % |
* IDFC First Bank Ltd. | | | 515,636 | | | | 513,034 | | | | 0.2 | % |
Jindal Steel & Power Ltd. | | | 67,480 | | | | 513,804 | | | | 0.3 | % |
JSW Energy Ltd. | | | 106,314 | | | | 491,874 | | | | 0.2 | % |
Power Finance Corp. Ltd. | | | 221,346 | | | | 656,446 | | | | 0.3 | % |
REC Ltd. | | | 223,482 | | | | 773,003 | | | | 0.4 | % |
Shriram Finance Ltd. | | | 42,671 | | | | 965,745 | | | | 0.5 | % |
Tata Consumer Products Ltd. | | | 79,524 | | | | 860,033 | | | | 0.4 | % |
UPL Ltd. | | | 78,979 | | | | 512,902 | | | | 0.2 | % |
* Zee Entertainment Enterprises Ltd. | | | 151,424 | | | | 469,743 | | | | 0.2 | % |
Other Securities | | | | | | | 36,088,815 | | | | 16.3 | % |
| | | | | | | | | | | | |
| TOTAL INDIA | | | | | | | 46,987,416 | | | | 21.4 | % |
| | | | | | | | | | | | |
INDONESIA — (2.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,484,610 | | | | 2.0 | % |
| | | | | | | | | | | | |
95
EMERGING MARKETS TARGETED VALUE PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
KUWAIT — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 1,345,363 | | | | 0.6 | % |
| | | | | | | | | | | | |
MALAYSIA — (1.9%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,105,943 | | | | 1.9 | % |
| | | | | | | | | | | | |
MEXICO — (2.4%) | | | | | | | | | | | | |
* Cemex SAB de CV, Sponsored ADR | | | 169,345 | | | | 1,010,990 | | | | 0.5 | % |
Other Securities | | | | | | | 4,233,718 | | | | 1.9 | % |
| | | | | | | | | | | | |
TOTAL MEXICO | | | | | | | 5,244,708 | | | | 2.4 | % |
| | | | | | | | | | | | |
PHILIPPINES — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,295,574 | | | | 0.6 | % |
| | | | | | | | | | | | |
POLAND — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 2,274,911 | | | | 1.0 | % |
| | | | | | | | | | | | |
QATAR — (1.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 2,245,183 | | | | 1.0 | % |
| | | | | | | | | | | | |
SAUDI ARABIA — (4.0%) | | | | | | | | | | | | |
Arab National Bank | | | 120,200 | | | | 761,826 | | | | 0.4 | % |
Etihad Etisalat Co. | | | 69,362 | | | | 852,628 | | | | 0.4 | % |
Sahara International Petrochemical Co. | | | 66,578 | | | | 573,464 | | | | 0.3 | % |
Yanbu National Petrochemical Co. | | | 48,903 | | | | 494,266 | | | | 0.2 | % |
Other Securities | | | | | | | 6,149,458 | | | | 2.7 | % |
| | | | | | | | | | | | |
TOTAL SAUDI ARABIA | | | | | | | 8,831,642 | | | | 4.0 | % |
| | | | | | | | | | | | |
SOUTH AFRICA — (2.6%) | | | | | | | | | | | | |
Discovery Ltd. | | | 72,788 | | | | 501,896 | | | | 0.2 | % |
Old Mutual Ltd. | | | 873,070 | | | | 555,240 | | | | 0.3 | % |
Other Securities | | | | | | | 4,629,362 | | | | 2.1 | % |
| | | | | | | | | | | | |
TOTAL SOUTH AFRICA | | | | | | | 5,686,498 | | | | 2.6 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (11.8%) | | | | | | | | | | | | |
DB Insurance Co. Ltd. | | | 8,646 | | | | 562,499 | | | | 0.3 | % |
Other Securities | | | | | | | 25,409,768 | | | | 11.6 | % |
| | | | | | | | | | | | |
TOTAL SOUTH KOREA | | | | | | | 25,972,267 | | | | 11.9 | % |
| | | | | | | | | | | | |
TAIWAN — (17.6%) | | | | | | | | | | | | |
Acer, Inc. | | | 479,000 | | | | 506,248 | | | | 0.2 | % |
AUO Corp. | | | 1,048,000 | | | | 507,279 | | | | 0.2 | % |
Catcher Technology Co. Ltd. | | | 93,000 | | | | 521,720 | | | | 0.3 | % |
Compal Electronics, Inc. | | | 784,000 | | | | 681,950 | | | | 0.3 | % |
Innolux Corp. | | | 1,474,804 | | | | 555,952 | | | | 0.3 | % |
* Shin Kong Financial Holding Co. Ltd. | | | 2,479,698 | | | | 666,166 | | | | 0.3 | % |
Synnex Technology International Corp. | | | 220,000 | | | | 466,907 | | | | 0.2 | % |
Walsin Lihwa Corp. | | | 448,607 | | | | 477,444 | | | | 0.2 | % |
WPG Holdings Ltd. | | | 295,000 | | | | 652,784 | | | | 0.3 | % |
Other Securities | | | | | | | 33,773,741 | | | | 15.4 | % |
| | | | | | | | | | | | |
TOTAL TAIWAN | | | | | | | 38,810,191 | | | | 17.7 | % |
| | | | | | | | | | | | |
96
EMERGING MARKETS TARGETED VALUE PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
THAILAND — (1.9%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 4,161,249 | | | | 1.9 | % |
| | | | | | | | | | | | |
TURKEY — (1.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 3,531,337 | | | | 1.6 | % |
| | | | | | | | | | | | |
UNITED ARAB EMIRATES — (2.6%) | | | | | | | | | | | | |
Abu Dhabi Commercial Bank PJSC | | | 239,958 | | | | 524,375 | | | | 0.3 | % |
Aldar Properties PJSC | | | 383,104 | | | | 542,688 | | | | 0.3 | % |
Dubai Islamic Bank PJSC | | | 441,639 | | | | 649,293 | | | | 0.3 | % |
Emaar Properties PJSC | | | 1,176,208 | | | | 2,142,796 | | | | 1.0 | % |
Other Securities | | | | | | | 1,894,649 | | | | 0.7 | % |
| | | | | | | | | | | | |
TOTAL UNITED ARAB EMIRATES | | | | | | | 5,753,801 | | | | 2.6 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 217,866,079 | | | | 99.4 | % |
| | | | | | | | | | | | |
PREFERRED STOCKS — (0.4%) | | | | | | | | | | | | |
BRAZIL — (0.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 865,306 | | | | 0.4 | % |
| | | | | | | | | | | | |
INDIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 13,032 | | | | 0.0 | % |
| | | | | | | | | | | | |
PHILIPPINES — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 11,836 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL PREFERRED STOCKS | | | | | | | 890,174 | | | | 0.4 | % |
| | | | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
BRAZIL — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 943 | | | | 0.0 | % |
| | | | | | | | | | | | |
KUWAIT — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 441 | | | | 0.0 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 993 | | | | 0.0 | % |
| | | | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 2,163 | | | | 0.0 | % |
| | | | | | | | | | | | |
THAILAND — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 826 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 5,366 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $212,469,435) | | | | | | | 218,761,619 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (0.8%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 149,200 | | | | 1,725,801 | | | | 0.8 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $214,195,239) | | | | | | $ | 220,487,420 | | | | 100.6 | % |
| | | | | | | | | | | | |
97
EMERGING MARKETS TARGETED VALUE PORTFOLIO
CONTINUED
As of October 31, 2023, Emerging Markets Targeted Value Portfolio had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 7 | | | | 12/15/23 | | | $ | 1,572,183 | | | $ | 1,474,287 | | | $ | (97,896 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 1,572,183 | | | $ | 1,474,287 | | | $ | (97,896 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Brazil | | $ | 8,218,809 | | | $ | 229,837 | | | | — | | | $ | 8,448,646 | |
Chile | | | — | | | | 640,197 | | | | — | | | | 640,197 | |
China | | | 2,425,609 | | | | 44,004,187 | | | $ | 243,077 | | | | 46,672,873 | |
Colombia | | | 113,840 | | | | — | | | | — | | | | 113,840 | |
Greece | | | — | | | | 1,259,830 | | | | — | | | | 1,259,830 | |
India | | | 848,412 | | | | 46,090,802 | | | | 48,202 | | | | 46,987,416 | |
Indonesia | | | — | | | | 4,470,820 | | | | 13,790 | | | | 4,484,610 | |
Kuwait | | | 1,074,442 | | | | 270,921 | | | | — | | | | 1,345,363 | |
Malaysia | | | — | | | | 4,105,943 | | | | — | | | | 4,105,943 | |
Mexico | | | 4,920,967 | | | | 323,741 | | | | — | | | | 5,244,708 | |
Philippines | | | — | | | | 1,283,488 | | | | 12,086 | | | | 1,295,574 | |
Poland | | | — | | | | 2,274,911 | | | | — | | | | 2,274,911 | |
Qatar | | | — | | | | 2,245,183 | | | | — | | | | 2,245,183 | |
Saudi Arabia | | | 16,457 | | | | 8,815,185 | | | | — | | | | 8,831,642 | |
South Africa | | | 212,166 | | | | 5,474,332 | | | | — | | | | 5,686,498 | |
South Korea | | | 12,141 | | | | 25,872,434 | | | | 87,692 | | | | 25,972,267 | |
Taiwan | | | — | | | | 38,806,829 | | | | 3,362 | | | | 38,810,191 | |
Thailand | | | 3,971,991 | | | | 189,258 | | | | — | | | | 4,161,249 | |
Turkey | | | — | | | | 3,531,337 | | | | — | | | | 3,531,337 | |
United Arab Emirates | | | — | | | | 5,742,556 | | | | 11,245 | | | | 5,753,801 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Brazil | | | 853,869 | | | | 11,437 | | | | — | | | | 865,306 | |
India | | | — | | | | 13,032 | | | | — | | | | 13,032 | |
Philippines | | | — | | | | 11,836 | | | | — | | | | 11,836 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Brazil | | | — | | | | 943 | | | | — | | | | 943 | |
Kuwait | | | — | | | | 441 | | | | — | | | | 441 | |
South Korea | | | — | | | | 993 | | | | — | | | | 993 | |
Taiwan | | | — | | | | 2,163 | | | | — | | | | 2,163 | |
Thailand | | | — | | | | 826 | | | | — | | | | 826 | |
Securities Lending Collateral | | | — | | | | 1,725,801 | | | | — | | | | 1,725,801 | |
Futures Contracts** | | | (97,896 | ) | | | — | | | | — | | | | (97,896 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 22,570,807 | | | $ | 197,399,263 | | | $ | 419,454 | ^ | | $ | 220,389,524 | |
| �� | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
98
EMERGING MARKETS EX CHINA CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (97.2%) | | | | | | | | | | | | |
BRAZIL — (5.6%) | | | | | | | | | | | | |
Petroleo Brasileiro SA | | | 382,402 | | | $ | 2,870,053 | | | | 0.5 | % |
Petroleo Brasileiro SA, Sponsored ADR | | | 104,989 | | | | 1,451,998 | | | | 0.3 | % |
Petroleo Brasileiro SA, Sponsored ADR | | | 74,958 | | | | 1,124,370 | | | | 0.2 | % |
Suzano SA | | | 114,134 | | | | 1,167,430 | | | | 0.2 | % |
Vale SA, Sponsored ADR, Class B | | | 251,652 | | | | 3,450,149 | | | | 0.6 | % |
Other Securities | | | | | | | 22,447,437 | | | | 3.9 | % |
| | | | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 32,511,437 | | | | 5.7 | % |
| | | | | | | | | | | | |
CAYMAN ISLANDS — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 21,846 | | | | 0.0 | % |
| | | | | | | | | | | | |
CHILE — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 3,832,267 | | | | 0.7 | % |
| | | | | | | | | | | | |
COLOMBIA — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 890,316 | | | | 0.2 | % |
| | | | | | | | | | | | |
CZECH REPUBLIC — (0.2%) | | | | | | | | | | | | |
Other Securities | | | | | | | 893,442 | | | | 0.2 | % |
| | | | | | | | | | | | |
EGYPT — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 169,772 | | | | 0.0 | % |
| | | | | | | | | | | | |
GREECE — (0.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 3,644,073 | | | | 0.6 | % |
| | | | | | | | | | | | |
HUNGARY — (0.3%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,765,039 | | | | 0.3 | % |
| | | | | | | | | | | | |
INDIA — (24.2%) | | | | | | | | | | | | |
Axis Bank Ltd. | | | 259,269 | | | | 3,054,962 | | | | 0.6 | % |
Bajaj Finance Ltd. | | | 17,281 | | | | 1,556,186 | | | | 0.3 | % |
Bharti Airtel Ltd. | | | 246,721 | | | | 2,708,603 | | | | 0.5 | % |
HCL Technologies Ltd. | | | 102,430 | | | | 1,570,499 | | | | 0.3 | % |
HDFC Bank Ltd. | | | 260,411 | | | | 4,616,176 | | | | 0.8 | % |
# ICICI Bank Ltd., Sponsored ADR | | | 141,200 | | | | 3,133,228 | | | | 0.6 | % |
Infosys Ltd. | | | 280,524 | | | | 4,619,669 | | | | 0.8 | % |
ITC Ltd. | | | 317,242 | | | | 1,633,207 | | | | 0.3 | % |
Kotak Mahindra Bank Ltd. | | | 72,441 | | | | 1,511,406 | | | | 0.3 | % |
Larsen & Toubro Ltd. | | | 51,192 | | | | 1,797,771 | | | | 0.3 | % |
Mahindra & Mahindra Ltd. | | | 111,067 | | | | 1,953,686 | | | | 0.4 | % |
W Reliance Industries Ltd., GDR | | | 44,787 | | | | 2,445,370 | | | | 0.4 | % |
Tata Consultancy Services Ltd. | | | 52,184 | | | | 2,114,508 | | | | 0.4 | % |
Tata Motors Ltd. | | | 197,038 | | | | 1,490,243 | | | | 0.3 | % |
Tata Steel Ltd. | | | 1,088,156 | | | | 1,554,746 | | | | 0.3 | % |
Other Securities | | | | | | | 103,653,408 | | | | 17.8 | % |
| | | | | | | | | | | | |
TOTAL INDIA | | | | | | | 139,413,668 | | | | 24.4 | % |
| | | | | | | | | | | | |
INDONESIA — (2.7%) | | | | | | | | | | | | |
Bank Central Asia Tbk. PT | | | 3,191,500 | | | | 1,758,263 | | | | 0.3 | % |
Bank Mandiri Persero Tbk. PT | | | 3,999,500 | | | | 1,428,830 | | | | 0.3 | % |
Bank Rakyat Indonesia Persero Tbk. PT | | | 4,429,700 | | | | 1,385,096 | | | | 0.3 | % |
99
EMERGING MARKETSEX CHINA CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
INDONESIA — (Continued) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 11,135,146 | | | | 1.9 | % |
| | | | | | | | | | | | |
TOTAL INDONESIA | | | | | | | 15,707,335 | | | | 2.8 | % |
| | | | | | | | | | | | |
KUWAIT — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,309,436 | | | | 0.8 | % |
| | | | | | | | | | | | |
MALAYSIA — (2.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 12,132,182 | | | | 2.1 | % |
| | | | | | | | | | | | |
MEXICO — (3.0%) | | | | | | | | | | | | |
# America Movil SAB de CV, ADR | | | 100,860 | | | | 1,674,276 | | | | 0.3 | % |
Grupo Financiero Banorte SAB de CV, Class O | | | 236,960 | | | | 1,919,575 | | | | 0.3 | % |
Other Securities | | | | | | | 13,648,019 | | | | 2.4 | % |
| | | | | | | | | | | | |
TOTAL MEXICO | | | | | | | 17,241,870 | | | | 3.0 | % |
| | | | | | | | | | | | |
PERU — (0.1%) | | | | | | | | | | | | |
Other Securities | | | | | | | 269,554 | | | | 0.0 | % |
| | | | | | | | | | | | |
PHILIPPINES — (0.8%) | | | | | | | | | | | | |
Other Securities | | | | | | | 4,679,876 | | | | 0.8 | % |
| | | | | | | | | | | | |
POLAND — (1.4%) | | | | | | | | | | | | |
Other Securities | | | | | | | 8,096,092 | | | | 1.4 | % |
| | | | | | | | | | | | |
QATAR — (1.2%) | | | | | | | | | | | | |
Qatar National Bank QPSC | | | 405,892 | | | | 1,660,846 | | | | 0.3 | % |
Other Securities | | | | | | | 5,233,415 | | | | 0.9 | % |
| | | | | | | | | | | | |
TOTAL QATAR | | | | | | | 6,894,261 | | | | 1.2 | % |
| | | | | | | | | | | | |
SAUDI ARABIA — (5.0%) | | | | | | | | | | | | |
Al Rajhi Bank | | | 122,103 | | | | 2,185,713 | | | | 0.4 | % |
W Saudi Arabian Oil Co. | | | 167,293 | | | | 1,486,290 | | | | 0.3 | % |
Saudi National Bank | | | 157,643 | | | | 1,410,612 | | | | 0.3 | % |
Saudi Telecom Co. | | | 201,156 | | | | 2,060,664 | | | | 0.4 | % |
Other Securities | | | | | | | 21,975,089 | | | | 3.7 | % |
| | | | | | | | | | | | |
TOTAL SAUDI ARABIA | | | | | | | 29,118,368 | | | | 5.1 | % |
| | | | | | | | | | | | |
SOUTH AFRICA — (3.9%) | | | | | | | | | | | | |
FirstRand Ltd. | | | 428,942 | | | | 1,414,091 | | | | 0.3 | % |
Gold Fields Ltd., Sponsored ADR | | | 92,937 | | | | 1,210,040 | | | | 0.2 | % |
Other Securities | | | | | | | 19,630,984 | | | | 3.4 | % |
| | | | | | | | | | | | |
TOTAL SOUTH AFRICA | | | | | | | 22,255,115 | | | | 3.9 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (15.6%) | | | | | | | | | | | | |
Hyundai Motor Co. | | | 18,211 | | | | 2,294,297 | | | | 0.4 | % |
KB Financial Group, Inc. | | | 43,194 | | | | 1,646,479 | | | | 0.3 | % |
Kia Corp. | | | 34,884 | | | | 1,992,973 | | | | 0.4 | % |
LG Electronics, Inc. | | | 17,788 | | | | 1,319,567 | | | | 0.3 | % |
POSCO Holdings, Inc. | | | 3,823 | | | | 1,170,317 | | | | 0.2 | % |
Samsung Electronics Co. Ltd. | | | 304,870 | | | | 15,174,867 | | | | 2.7 | % |
Samsung Electronics Co. Ltd., GDR | | | 4,189 | | | | 5,219,494 | | | | 0.9 | % |
SK Hynix, Inc. | | | 58,019 | | | | 5,038,492 | | | | 0.9 | % |
100
EMERGING MARKETSEX CHINA CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SOUTH KOREA — (Continued) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 56,157,926 | | | | 9.7 | % |
| | | | | | | | | | | | |
TOTAL SOUTH KOREA | | | | | | | 90,014,412 | | | | 15.8 | % |
| | | | | | | | | | | | |
TAIWAN — (22.3%) | | | | | | | | | | | | |
ASE Technology Holding Co. Ltd. | | | 343,000 | | | | 1,200,836 | | | | 0.2 | % |
CTBC Financial Holding Co. Ltd. | | | 1,976,000 | | | | 1,488,132 | | | | 0.3 | % |
Hon Hai Precision Industry Co. Ltd. | | | 1,041,000 | | | | 3,107,087 | | | | 0.6 | % |
MediaTek, Inc. | | | 115,000 | | | | 3,001,426 | | | | 0.5 | % |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 1,681,000 | | | | 27,454,943 | | | | 4.8 | % |
Uni-President Enterprises Corp. | | | 571,000 | | | | 1,197,928 | | | | 0.2 | % |
United Microelectronics Corp. | | | 882,000 | | | | 1,268,417 | | | | 0.2 | % |
Other Securities | | | | | | | 90,250,784 | | | | 15.8 | % |
| | | | | | | | | | | | |
TOTAL TAIWAN | | | | | | | 128,969,553 | | | | 22.6 | % |
| | | | | | | | | | | | |
THAILAND — (2.6%) | | | | | | | | | | | | |
Other Securities | | | | | | | 14,904,905 | | | | 2.6 | % |
| | | | | | | | | | | | |
TURKEY — (1.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 9,826,136 | | | | 1.7 | % |
| | | | | | | | | | | | |
UNITED ARAB EMIRATES — (2.2%) | | | | | | | | | | | | |
Emaar Properties PJSC | | | 849,753 | | | | 1,548,066 | | | | 0.3 | % |
Emirates Telecommunications Group Co. PJSC | | | 249,357 | | | | 1,253,260 | | | | 0.2 | % |
Other Securities | | | | | | | 10,044,706 | | | | 1.8 | % |
| | | | | | | | | | | | |
TOTAL UNITED ARAB EMIRATES | | | | | | | 12,846,032 | | | | 2.3 | % |
| | | | | | | | | | | | |
UNITED KINGDOM — (0.1%) | | | | | | | | | | | | |
Other Security | | | | | | | 642,347 | | | | 0.1 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 561,049,334 | | | | 98.3 | % |
| | | | | | | | | | | | |
PREFERRED STOCKS — (1.4%) | | | | | | | | | | | | |
BRAZIL — (1.4%) | | | | | | | | | | | | |
Itau Unibanco Holding SA , 5.576% | | | 269,200 | | | | 1,432,031 | | | | 0.3 | % |
Petroleo Brasileiro SA, 10.467% | | | 483,114 | | | | 3,328,880 | | | | 0.6 | % |
Other Securities | | | | | | | 3,203,761 | | | | 0.5 | % |
| | | | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 7,964,672 | | | | 1.4 | % |
| | | | | | | | | | | | |
CHILE — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 57,265 | | | | 0.0 | % |
| | | | | | | | | | | | |
COLOMBIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 78,728 | | | | 0.0 | % |
| | | | | | | | | | | | |
INDIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 21,826 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL PREFERRED STOCKS | | | | | | | 8,122,491 | | | | 1.4 | % |
| | | | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
BRAZIL — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 1,359 | | | | 0.0 | % |
| | | | | | | | | | | | |
101
EMERGING MARKETSEX CHINA CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
KUWAIT — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | $ | 342 | | | | 0.0 | % |
| | | | | | | | | | | | |
MALAYSIA — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 1,004 | | | | 0.0 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 6,316 | | | | 0.0 | % |
| | | | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 3,059 | | | | 0.0 | % |
| | | | | | | | | | | | |
THAILAND — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 648 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 12,728 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $591,526,785) | | | | | | | 569,184,553 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (1.4%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 691,668 | | | | 8,000,521 | | | | 1.4 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $599,527,308) | | | | | | $ | 577,185,074 | | | | 101.1 | % |
| | | | | | | | | | | | |
Summary of the Portfolio’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Brazil | | $ | 32,050,220 | | | $ | 461,217 | | | | — | | | $ | 32,511,437 | |
Cayman Islands | | | — | | | | 21,846 | | | | — | | | | 21,846 | |
Chile | | | 770,549 | | | | 3,061,718 | | | | — | | | | 3,832,267 | |
Colombia | | | 887,014 | | | | 3,302 | | | | — | | | | 890,316 | |
Czech Republic | | | — | | | | 893,442 | | | | — | | | | 893,442 | |
Egypt | | | 150,029 | | | | 19,743 | | | | — | | | | 169,772 | |
Greece | | | 40,491 | | | | 3,603,582 | | | | — | | | | 3,644,073 | |
Hungary | | | — | | | | 1,765,039 | | | | — | | | | 1,765,039 | |
India | | | 8,617,790 | | | | 130,775,265 | | | $ | 20,613 | | | | 139,413,668 | |
Indonesia | | | — | | | | 15,682,280 | | | | 25,055 | | | | 15,707,335 | |
Kuwait | | | 3,877,861 | | | | 431,575 | | | | — | | | | 4,309,436 | |
Malaysia | | | — | | | | 12,132,182 | | | | — | | | | 12,132,182 | |
Mexico | | | 17,241,870 | | | | — | | | | — | | | | 17,241,870 | |
Peru | | | 269,554 | | | | — | | | | — | | | | 269,554 | |
Philippines | | | 151,867 | | | | 4,528,009 | | | | — | | | | 4,679,876 | |
Poland | | | — | | | | 8,096,092 | | | | — | | | | 8,096,092 | |
Qatar | | | — | | | | 6,894,261 | | | | — | | | | 6,894,261 | |
Saudi Arabia | | | 22,305 | | | | 29,096,063 | | | | — | | | | 29,118,368 | |
South Africa | | | 1,960,214 | | | | 20,294,901 | | | | — | | | | 22,255,115 | |
South Korea | | | 5,364,527 | | | | 84,563,684 | | | | 86,201 | | | | 90,014,412 | |
Taiwan | | | 689,170 | | | | 128,280,383 | | | | — | | | | 128,969,553 | |
Thailand | | | 13,684,287 | | | | 1,220,618 | | | | — | | | | 14,904,905 | |
102
EMERGING MARKETSEX CHINA CORE EQUITY PORTFOLIO
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Turkey | | | — | | | $ | 9,826,136 | | | | — | | | $ | 9,826,136 | |
United Arab Emirates | | | — | | | | 12,846,032 | | | | — | | | | 12,846,032 | |
United Kingdom | | $ | 642,347 | | | | — | | | | — | | | | 642,347 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Brazil | | | 7,947,216 | | | | 17,456 | | | | — | | | | 7,964,672 | |
Chile | | | — | | | | 57,265 | | | | — | | | | 57,265 | |
Colombia | | | 78,728 | | | | — | | | | — | | | | 78,728 | |
India | | | — | | | | 21,826 | | | | — | | | | 21,826 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Brazil | | | — | | | | 1,359 | | | | — | | | | 1,359 | |
Kuwait | | | — | | | | 342 | | | | — | | | | 342 | |
Malaysia | | | — | | | | 1,004 | | | | — | | | | 1,004 | |
South Korea | | | — | | | | 6,316 | | | | — | | | | 6,316 | |
Taiwan | | | — | | | | 3,059 | | | | — | | | | 3,059 | |
Thailand | | | — | | | | 648 | | | | — | | | | 648 | |
Securities Lending Collateral | | | — | | | | 8,000,521 | | | | — | | | | 8,000,521 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 94,446,039 | | | $ | 482,607,166 | | | $ | 131,869 | ^ | | $ | 577,185,074 | |
| | | | | | | | | | | | | | | | |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands, except share and per share amounts)
| | | | | | | | | | | | | | | | |
| | | Large Cap
International
Portfolio* | | | International
Core Equity
Portfolio* | | | Global Small
Company
Portfolio | | | International
Small
Company
Portfolio | |
ASSETS: | | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Value | | | — | | | | — | | | $ | 73,816 | | | $ | 9,948,272 | |
Investment Securities at Value (including $256,919, $1,270,656, $0 and $0 of securities on loan, respectively) | | $ | 5,042,238 | | | $ | 27,008,976 | | | | — | | | | — | |
Temporary Cash Investments at Value & Cost | | | — | | | | — | | | | — | | | | 92,142 | |
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $217,967, $1,012,942, $0 and $0, respectively) | | | 217,964 | | | | 1,012,941 | | | | — | | | | — | |
Segregated Cash for Futures Contracts | | | 2,509 | | | | 10,931 | | | | — | | | | 4,827 | |
Foreign Currencies at Value | | | 40,347 | | | | 211,573 | | | | — | | | | — | |
Cash | | | 10,359 | | | | 7,303 | | | | — | | | | — | |
Receivables: | | | | | | | | | | | | | | | | |
Investment Securities Sold | | | 6,019 | | | | 57,437 | | | | — | | | | — | |
Dividends, Interest and Tax Reclaims | | | 25,418 | | | | 140,068 | | | | — | | | | 375 | |
Securities Lending Income | | | 134 | | | | 1,115 | | | | — | | | | — | |
Fund Shares Sold | | | 4,170 | | | | 10,397 | | | | — | | | | 11,467 | |
Futures Margin Variation | | | 297 | | | | 1,293 | | | | — | | | | 571 | |
Prepaid Expenses and Other Assets | | | 20 | | | | 104 | | | | 3 | | | | 55 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 5,349,475 | | | | 28,462,138 | | | | 73,819 | | | | 10,057,709 | |
| | | | | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Upon Return of Securities Loaned | | | 218,056 | | | | 1,013,399 | | | | — | | | | — | |
Investment Securities Purchased | | | 5,687 | | | | 34,779 | | | | — | | | | — | |
Fund Shares Redeemed | | | 6,407 | | | | 38,297 | | | | 188 | | | | 9,552 | |
Due to Advisor | | | 617 | | | | 4,735 | | | | 6 | | | | 2,134 | |
Line of Credit | | | — | | | | — | | | | 22 | | | | — | |
Unrealized Loss on Foreign Currency Contracts | | | — | | | | 9 | | | | — | | | | — | |
Accrued Expenses and Other Liabilities | | | 241 | | | | 1,566 | | | | 4 | | | | 536 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 231,008 | | | | 1,092,785 | | | | 220 | | | | 12,222 | |
| | | | | | | | | | | | | | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 5,118,467 | | | $ | 27,369,353 | | | $ | 73,599 | | | $ | 10,045,487 | |
| | | | | | | | | | | | | | | | |
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | | | | | | | | | | | | | | | | |
Institutional Class Shares — based on net assets of $5,118,467; $27,369,353; $73,599 and $10,045,487 and shares outstanding of 219,268,022, 2,022,229,995, 5,830,672 and 594,310,368, respectively, $0.01 Par Value (1) | | $ | 23.34 | | | $ | 13.53 | | | $ | 12.62 | | | $ | 16.90 | |
| | | | | | | | | | | | | | | | |
(1) NUMBER OF SHARES AUTHORIZED | | | 1,500,000,000 | | | | 7,000,000,000 | | | | 100,000,000 | | | | 3,000,000,000 | |
| | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Cost | | $ | — | | | $ | — | | | $ | 69,951 | | | | N/A | |
| | | | | | | | | | | | | | | | |
Investment Securities at Cost | | $ | 3,791,649 | | | $ | 23,867,276 | | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | | | |
Foreign Currencies at Cost | | $ | 41,037 | | | $ | 218,734 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-In Capital | | $ | 4,408,084 | | | $ | 25,355,756 | | | $ | 69,724 | | | $ | 10,224,340 | |
Total Distributable Earnings (Loss) | | | 710,383 | | | | 2,013,597 | | | | 3,875 | | | | (178,853 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 5,118,467 | | | $ | 27,369,353 | | | $ | 73,599 | | | $ | 10,045,487 | |
| | | | | | | | | | | | | | | | |
| * | See Note K in the Notes to Financial Statements for additional information about securities lending collateral. |
See accompanying Notes to Financial Statements.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands, except share and per share amounts)
| | | | | | | | | | | | | | | | |
| | | Japanese Small
Company
Portfolio | | | Asia Pacific
Small
Company
Portfolio | | | United
Kingdom Small
Company
Portfolio | | | Continental
Small
Company
Portfolio | |
ASSETS: | | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Value | | $ | 248,690 | | | $ | 163,249 | | | $ | 18,698 | | | $ | 657,058 | |
Receivables: | | | | | | | | | | | | | | | | |
Fund Shares Sold | | | 1 | | | | 6 | | | | — | | | | 130 | |
Prepaid Expenses and Other Assets | | | 8 | | | | 8 | | | | 8 | | | | 8 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 248,699 | | | | 163,263 | | | | 18,706 | | | | 657,196 | |
| | | | | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Fund Shares Redeemed | | | 9 | | | | — | | | | — | | | | 10 | |
Due to Advisor | | | 53 | | | | 36 | | | | 4 | | | | 141 | |
Accrued Expenses and Other Liabilities | | | 17 | | | | 15 | | | | 4 | | | | 25 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 79 | | | | 51 | | | | 8 | | | | 176 | |
| | | | | | | | | | | | | | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 248,620 | | | $ | 163,212 | | | $ | 18,698 | | | $ | 657,020 | |
| | | | | | | | | | | | | | | | |
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | | | | | | | | | | | | | | | | |
Institutional Class Shares — based on net assets of $248,620; $163,212; $18,698 and $657,020 and shares outstanding of 11,861,008, 10,267,489, 883,384 and 25,582,571, respectively, $0.01 Par Value (1) | | $ | 20.96 | | | $ | 15.90 | | | $ | 21.17 | | | $ | 25.68 | |
| | | | | | | | | | | | | | | | |
(1) NUMBER OF SHARES AUTHORIZED | | | 1,000,000,000 | | | | 1,000,000,000 | | | | 1,000,000,000 | | | | 1,000,000,000 | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-In Capital | | $ | 237,905 | | | $ | 234,785 | | | $ | 24,309 | | | $ | 656,584 | |
Total Distributable Earnings (Loss) | | | 10,715 | | | | (71,573 | ) | | | (5,611 | ) | | | 436 | |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 248,620 | | | $ | 163,212 | | | $ | 18,698 | | | $ | 657,020 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands, except share and per share amounts)
| | | | | | | | | | | | | | | | |
| | | DFA
International
Real Estate
Securities
Portfolio* | | | DFA Global
Real Estate
Securities
Portfolio* | | | DFA
International
Small Cap
Value Portfolio* | | | International
Vector Equity
Portfolio* | |
ASSETS: | | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Value | | | — | | | $ | 2,059,809 | | | | — | | | | — | |
Investment Securities at Value (including $137,830, $331,552, $232,321 and $158,979 of securities on loan, respectively) | | $ | 3,456,242 | | | | 4,604,254 | | | $ | 9,859,260 | | | $ | 2,984,277 | |
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $93,950, $339,955, $166,249 and $123,580, respectively) | | | 93,949 | | | | 339,950 | | | | 166,249 | | | | 123,579 | |
Segregated Cash for Futures Contracts | | | 1,434 | | | | — | | | | 5,458 | | | | 1,288 | |
Foreign Currencies at Value | | | 19,299 | | | | — | | | | 92,379 | | | | 11,340 | |
Cash | | | 3,718 | | | | 5,159 | | | | 1,187 | | | | 1,155 | |
Receivables: | | | | | | | | | | | | | | | | |
Investment Securities Sold | | | 13,901 | | | | — | | | | 18,901 | | | | 22,082 | |
Dividends, Interest and Tax Reclaims | | | 21,396 | | | | 2,963 | | | | 69,128 | | | | 16,443 | |
Securities Lending Income | | | 135 | | | | 51 | | | | 305 | | | | 161 | |
Fund Shares Sold | | | 904 | | | | 11,657 | | | | 3,387 | | | | 1,502 | |
Futures Margin Variation | | | 170 | | | | — | | | | 587 | | | | — | |
Unrealized Gain on Foreign Currency Contracts | | | 43 | | | | — | | | | — | | | | 33 | |
Prepaid Expenses and Other Assets | | | 7 | | | | 41 | | | | 25 | | | | 18 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 3,611,198 | | | | 7,023,884 | | | | 10,216,866 | | | | 3,161,878 | |
| | | | | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Upon Return of Securities Loaned | | | 94,116 | | | | 339,940 | | | | 166,247 | | | | 123,605 | |
Investment Securities Purchased | | | — | | | | — | | | | — | | | | 3,593 | |
Fund Shares Redeemed | | | 2,215 | | | | 21,083 | | | | 4,613 | | | | 1,447 | |
Due to Advisor | | | 744 | | | | 631 | | | | 3,350 | | | | 786 | |
Futures Margin Variation | | | — | | | | — | | | | — | | | | 102 | |
Unrealized Loss on Foreign Currency Contracts | | | 2 | | | | — | | | | — | | | | — | |
Accrued Expenses and Other Liabilities | | | 78 | | | | 349 | | | | 959 | | | | 210 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 97,155 | | | | 362,003 | | | | 175,169 | | | | 129,743 | |
| | | | | | | | | | | | | | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 3,514,043 | | | $ | 6,661,881 | | | $ | 10,041,697 | | | $ | 3,032,135 | |
| | | | | | | | | | | | | | | | |
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | | | | | | | | | | | | | | | | |
Institutional Class Shares — based on net assets of $3,514,043; $6,661,881; $10,041,697 and $3,032,135 and shares outstanding of 1,079,224,697, 760,796,605, 523,022,498 and 255,460,315, respectively, $0.01 Par Value (1) | | $ | 3.26 | | | $ | 8.76 | | | $ | 19.20 | | | $ | 11.87 | |
| | | | | | | | | | | | | | | | |
(1) NUMBER OF SHARES AUTHORIZED | | | 4,000,000,000 | | | | 3,000,000,000 | | | | 4,600,000,000 | | | | 1,500,000,000 | |
| | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Cost | | $ | — | | | $ | 2,908,854 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Investment Securities at Cost | | $ | 4,290,933 | | | $ | 4,766,667 | | | $ | 9,132,542 | | | $ | 2,577,516 | |
| | | | | | | | | | | | | | | | |
Foreign Currencies at Cost | | $ | 19,306 | | | $ | — | | | $ | 93,872 | | | $ | 11,440 | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-In Capital | | $ | 5,594,150 | | | $ | 7,775,325 | | | $ | 9,321,356 | | | $ | 2,677,716 | |
Total Distributable Earnings (Loss) | | | (2,080,107 | ) | | | (1,113,444 | ) | | | 720,341 | | | | 354,419 | |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 3,514,043 | | | $ | 6,661,881 | | | $ | 10,041,697 | | | $ | 3,032,135 | |
| | | | | | | | | | | | | | | | |
| * | See Note K in the Notes to Financial Statements for additional information about securities lending collateral. |
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands, except share and per share amounts)
| | | | | | | | | | | | | | | | |
| | | International
High Relative
Profitability
Portfolio* | | | World ex U.S.
Value Portfolio | | | World ex U.S.
Core Equity
Portfolio* | | | World ex U.S.
Targeted Value
Portfolio* | |
ASSETS: | | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Value | | | — | | | $ | 241,290 | | | | — | | | | — | |
Investment Securities at Value (including $85,885, $0, $144,307 and $16,973 of securities on loan, respectively) | | $ | 1,458,317 | | | | — | | | $ | 3,305,068 | | | $ | 634,492 | |
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $74,950, $0, $97,754 and $9,526, respectively) | | | 74,949 | | | | — | | | | 97,753 | | | | 9,526 | |
Segregated Cash for Futures Contracts | | | 381 | | | | — | | | | 1,478 | | | | — | |
Foreign Currencies at Value | | | 2,739 | | | | — | | | | 21,908 | | | | 412 | |
Cash | | | 4,778 | | | | 112 | | | | 11,192 | | | | — | |
Receivables: | | | | | | | | | | | | | | | | |
Investment Securities Sold | | | 832 | | | | — | | | | 6,870 | | | | 2,270 | |
Dividends, Interest and Tax Reclaims | | | 6,314 | | | | — | | | | 13,676 | | | | 3,168 | |
Securities Lending Income | | | 40 | | | | — | | | | 197 | | | | 34 | |
Fund Shares Sold | | | 2,086 | | | | 326 | | | | 1,173 | | | | 88 | |
Futures Margin Variation | | | — | | | | — | | | | 175 | | | | — | |
Prepaid Expenses and Other Assets | | | 16 | | | | 15 | | | | 13 | | | | 32 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 1,550,452 | | | | 241,743 | | | | 3,459,503 | | | | 650,022 | |
| | | | | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Due to Custodian | | | — | | | | — | | | | — | | | | 12 | |
Upon Return of Securities Loaned | | | 74,978 | | | | — | | | | 97,824 | | | | 9,527 | |
Investment Securities Purchased | | | — | | | | — | | | | 6,120 | | | | 3 | |
Fund Shares Redeemed | | | 1,440 | | | | 22 | | | | 1,273 | | | | 665 | |
Due to Advisor | | | 318 | | | | 28 | | | | 726 | | | | 221 | |
Line of Credit | | | — | | | | — | | | | — | | | | 699 | |
Futures Margin Variation | | | 103 | | | | — | | | | — | | | | — | |
Unrealized Loss on Foreign Currency Contracts | | | — | | | | — | | | | 1 | | | | — | |
Deferred Taxes Payable | | | — | | | | — | | | | 9,554 | | | | 1,553 | |
Accrued Expenses and Other Liabilities | | | 135 | | | | 8 | | | | 296 | | | | 88 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 76,974 | | | | 58 | | | | 115,794 | | | | 12,768 | |
| | | | | | | | | | | | | | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 1,473,478 | | | $ | 241,685 | | | $ | 3,343,709 | | | $ | 637,254 | |
| | | | | | | | | | | | | | | | |
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | | | | | | | | | | | | | | | | |
Institutional Class Shares — based on net assets of $1,473,478; $241,685; $3,343,709 and $637,254 and shares outstanding of 131,532,452, 21,311,644, 292,165,040 and 51,420,059, respectively, $0.01 Par Value (1) | | $ | 11.20 | | | $ | 11.34 | | | $ | 11.44 | | | $ | 12.39 | |
| | | | | | | | | | | | | | | | |
(1) NUMBER OF SHARES AUTHORIZED | | | 500,000,000 | | | | 1,000,000,000 | | | | 1,500,000,000 | | | | 1,000,000,000 | |
| | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Cost | | $ | — | | | $ | 215,999 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Investment Securities at Cost | | $ | 1,300,906 | | | | N/A | | | $ | 2,998,790 | | | $ | 637,761 | |
| | | | | | | | | | | | | | | | |
Foreign Currencies at Cost | | $ | 2,741 | | | $ | — | | | $ | 21,973 | | | $ | 414 | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-In Capital | | $ | 1,390,984 | | | $ | 228,597 | | | $ | 3,141,898 | | | $ | 665,494 | |
Total Distributable Earnings (Loss) | | | 82,494 | | | | 13,088 | | | | 201,811 | | | | (28,240 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 1,473,478 | | | $ | 241,685 | | | $ | 3,343,709 | | | $ | 637,254 | |
| | | | | | | | | | | | | | | | |
| * | See Note K in the Notes to Financial Statements for additional information about securities lending collateral. |
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands, except share and per share amounts)
| | | | | | | | | | | | | | | | |
| | | World Core
Equity
Portfolio | | | Selectively
Hedged Global
Equity
Portfolio | | | Emerging
Markets
Portfolio | | | Emerging
Markets Small
Cap Portfolio | |
ASSETS: | | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Value | | $ | 957,768 | | | $ | 252,061 | | | $ | 4,328,302 | | | $ | 3,805,865 | |
Temporary Cash Investments at Value & Cost | | | 20 | | | | — | | | | — | | | | — | |
Segregated Cash for Futures Contracts | | | — | | | | 168 | | | | — | | | | — | |
Cash | | | — | | | | 2,697 | | | | — | | | | — | |
Receivables: | | | | | | | | | | | | | | | | |
Investment Securities/Affiliated Investment Companies Sold | | | 10,119 | | | | — | | | | — | | | | — | |
Dividends and Interest | | | 1 | | | | — | | | | — | | | | — | |
Fund Shares Sold | | | 1,072 | | | | 9 | | | | 1,952 | | | | 876 | |
Futures Margin Variation | | | — | | | | 20 | | | | — | | | | — | |
Unrealized Gain on Forward Currency Contracts | | | — | | | | 479 | | | | — | | | | — | |
Prepaid Expenses and Other Assets | | | 6 | | | | 17 | | | | 13 | | | | 37 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 968,986 | | | | 255,451 | | | | 4,330,267 | | | | 3,806,778 | |
| | | | | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Investment Securities/Affiliated Investment Companies Purchased | | | — | | | | 36 | | | | — | | | | — | |
Fund Shares Redeemed | | | 11,194 | | | | 35 | | | | 2,286 | | | | 1,440 | |
Due to Advisor | | | 33 | | | | 9 | | | | 713 | | | | 1,056 | |
Unrealized Loss on Forward Currency Contracts | | | — | | | | 31 | | | | — | | | | — | |
Accrued Expenses and Other Liabilities | | | 27 | | | | 10 | | | | 203 | | | | 163 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 11,254 | | | | 121 | | | | 3,202 | | | | 2,659 | |
| | | | | | | | | | | | | | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 957,732 | | | $ | 255,330 | | | $ | 4,327,065 | | | $ | 3,804,119 | |
| | | | | | | | | | | | | | | | |
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | | | | | | | | | | | | | | | | |
Institutional Class Shares — based on net assets of $957,732; $255,330; $4,327,065 and $3,804,119 and shares outstanding of 49,499,528, 14,106,185, 173,486,946 and 183,879,955, respectively, $0.01 Par Value (1) | | $ | 19.35 | | | $ | 18.10 | | | $ | 24.94 | | | $ | 20.69 | |
| | | | | | | | | | | | | | | | |
(1) NUMBER OF SHARES AUTHORIZED | | | 1,000,000,000 | | | | 1,000,000,000 | | | | 1,500,000,000 | | | | 1,500,000,000 | |
| | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Cost | | $ | 703,064 | | | $ | 162,022 | | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-In Capital | | $ | 721,135 | | | $ | 154,784 | | | $ | 3,130,935 | | | $ | 3,617,019 | |
Total Distributable Earnings (Loss) | | | 236,597 | | | | 100,546 | | | | 1,196,130 | | | | 187,100 | |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 957,732 | | | $ | 255,330 | | | $ | 4,327,065 | | | $ | 3,804,119 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands, except share and per share amounts)
| | | | | | | | | | | | | | | | |
| | | Emerging
Markets Value
Portfolio | | | Emerging
Markets Core
Equity
Portfolio* | | | Emerging
Markets Targeted
Value Portfolio* | | | Emerging
Markets ex China Core
Equity Portfolio* | |
ASSETS: | | | | | | | | | | | | | | | | |
Investments in Affiliated Investment Companies at Value | | $ | 9,992,908 | | | | — | | | | — | | | | — | |
Investment Securities at Value (including $0, $1,065,551, $6,083 and $14,321 of securities on loan, respectively) | | | — | | | $ | 22,927,632 | | | $ | 218,762 | | | $ | 569,184 | |
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $246,189, $1,726 and $8,001, respectively) | | | — | | | | 246,185 | | | | 1,726 | | | | 8,001 | |
Segregated Cash for Futures Contracts | | | — | | | | 10,248 | | | | 78 | | | | — | |
Foreign Currencies at Value | | | — | | | | 182,977 | | | | 1,662 | | | | 1,878 | |
Cash | | | — | | | | 37,281 | | | | 779 | | | | 2,286 | |
Receivables: | | | | | | | | | | | | | | | | |
Investment Securities/Affiliated Investment Companies Sold | | | — | | | | 35,244 | | | | 697 | | | | 127 | |
Dividends and Interest | | | — | | | | 34,390 | | | | 135 | | | | 812 | |
Securities Lending Income | | | — | | | | 3,430 | | | | 19 | | | | 29 | |
Fund Shares Sold | | | 3,489 | | | | 13,749 | | | | 157 | | | | 4,320 | |
Futures Margin Variation | | | — | | | | 1,212 | | | | 9 | | | | — | |
Unrealized Gain on Foreign Currency Contracts | | | — | | | | 34 | | | | — | | | | — | |
Prepaid Expenses and Other Assets | | | 74 | | | | 83 | | | | 16 | | | | 19 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 9,996,471 | | | | 23,492,465 | | | | 224,040 | | | | 586,656 | |
| | | | | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Upon Return of Securities Loaned | | | — | | | | 246,300 | | | | 1,727 | | | | 8,001 | |
Investment Securities/Affiliated Investment Companies Purchased | | | — | | | | 22,404 | | | | 832 | | | | 666 | |
Fund Shares Redeemed | | | 56,681 | | | | 23,849 | | | | 120 | | | | 4,653 | |
Due to Advisor | | | 2,439 | | | | 6,601 | | | | 99 | | | | 137 | |
Unrealized Loss on Foreign Currency Contracts. | | | — | | | | 9 | | | | — | | | | — | |
Deferred Taxes Payable | | | — | | | | 195,351 | | | | 2,027 | | | | 1,977 | |
Accrued Expenses and Other Liabilities | | | 517 | | | | 3,024 | | | | 57 | | | | 132 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 59,637 | | | | 497,538 | | | | 4,862 | | | | 15,566 | |
| | | | | | | | | | | | | | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 9,936,834 | | | $ | 22,994,927 | | | $ | 219,178 | | | $ | 571,090 | |
| | | | | | | | | | | | | | | | |
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | | | | | | | | | | | | | | | | |
Institutional Class Shares — based on net assets of $9,936,834; $22,994,927; $219,178 and $571,090 and shares outstanding of 370,861,647, 1,131,476,271, 21,350,566 and 66,285,481, respectively, $0.01 Par Value (1) | | $ | 26.79 | | | $ | 20.32 | | | $ | 10.27 | | | $ | 8.62 | |
| | | | | | | | | | | | | | | | |
(1) NUMBER OF SHARES AUTHORIZED | | | 3,000,000,000 | | | | 5,000,000,000 | | | | 500,000,000 | | | | 500,000,000 | |
| | | | | | | | | | | | | | | | |
Investment Securities at Cost | | | N/A | | | $ | 19,005,142 | | | $ | 212,469 | | | $ | 591,527 | |
| | | | | | | | | | | | | | | | |
Foreign Currencies at Cost | | $ | — | | | $ | 183,421 | | | $ | 1,666 | | | $ | 1,880 | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
Paid-In Capital | | $ | 10,723,389 | | | $ | 21,856,831 | | | $ | 208,585 | | | $ | 624,222 | |
Total Distributable Earnings (Loss) | | | (786,555 | ) | | | 1,138,096 | | | | 10,593 | | | | (53,132 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 9,936,834 | | | $ | 22,994,927 | | | $ | 219,178 | | | $ | 571,090 | |
| | | | | | | | | | | | | | | | |
| * | See Note K in the Notes to Financial Statements for additional information about securities lending collateral. |
See accompanying Notes to Financial Statements.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Large Cap
International
Portfolio# | | | International
Core Equity
Portfolio# | | | Global Small
Company
Portfolio* | | | International
Small
Company
Portfolio* | |
Investment Income | | | | | | | | | | | | | | | | |
Net Investment Income Allocated from Affiliated Investment Companies | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $0, $0, $114 and $31,846, respectively) | | | — | | | | — | | | $ | 1,096 | | | $ | 336,842 | |
Interest | | | — | | | | — | | | | 2 | | | | 260 | |
Income from Securities Lending, Net | | | — | | | | — | | | | 58 | | | | 10,462 | |
Expenses Allocated from Affiliated Investment Companies | | | — | | | | — | | | | (55 | ) | | | (12,187 | ) |
| | | | | | | | | | | | | | | | |
Income Distributions Received from Affiliated Investment Companies | | | — | | | | — | | | | 633 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies | | | — | | | | — | | | | 1,734 | | | | 335,377 | |
| | | | | | | | | | | | | | | | |
Fund Investment Income | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $16,247, $94,040, $0 and $0, respectively) | | $ | 176,835 | | | $ | 997,022 | | | | — | | | | — | |
Income from Securities Lending, Net | | | 2,606 | | | | 18,896 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Fund Investment Income | | | 179,441 | | | | 1,015,918 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Fund Expenses | | | | | | | | | | | | | | | | |
Investment Management Fees | | | 7,649 | | | | 58,999 | | | | 304 | | | | 26,478 | |
Accounting & Transfer Agent Fees | | | 930 | | | | 5,326 | | | | 19 | | | | 1,474 | |
Custodian Fees | | | 265 | | | | 1,486 | | | | — | | | | — | |
Filing Fees | | | 82 | | | | 371 | | | | 18 | | | | 150 | |
Shareholders’ Reports | | | 120 | | | | 577 | | | | 8 | | | | 780 | |
Directors’/Trustees’ Fees & Expenses | | | 41 | | | | 220 | | | | 1 | | | | 78 | |
Professional Fees | | | 146 | | | | 737 | | | | 1 | | | | 101 | |
Previously Waived Fees Recovered by Advisor (Note C) | | | — | | | | — | | | | 6 | | | | — | |
Other | | | 187 | | | | 1,104 | | | | 3 | | | | 176 | |
| | | | | | | | | | | | | | | | |
Total Fund Expenses | | | 9,420 | | | | 68,820 | | | | 360 | | | | 29,237 | |
| | | | | | | | | | | | | | | | |
Fees Waived, Expenses Reimbursed by Advisor (Note C) | | | — | | | | — | | | | 194 | | | | — | |
Fees Paid Indirectly (Note C) | | | 286 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 9,134 | | | | 68,820 | | | | 166 | | | | 29,237 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 170,307 | | | | 947,098 | | | | 1,568 | | | | 306,140 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Capital Gain Distributions Received from Investment Securities | | | — | | | | — | | | | 1,919 | | | | — | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investment Securities Sold** | | | (69,911 | ) | | | (162,570 | ) | | | — | | | | — | |
Affiliated Investment Companies Shares Sold | | | 13 | | | | 120 | | | | (937 | ) | | | — | |
Transactions Allocated from Affiliated Investment Company** | | | — | | | | — | | | | (481 | ) | | | (124,598 | ) |
Futures | | | 8,432 | | | | 32,560 | | | | — | | | | 11,496 | |
Foreign Currency Transactions | | | 91 | | | | (2,848 | ) | | | — | | | | — | |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 582,750 | | | | 2,887,117 | | | | — | | | | — | |
Affiliated Investment Companies Shares | | | 91 | | | | 607 | | | | (3,170 | ) | | | — | |
Transactions Allocated from Affiliated Investment Company | | | — | | | | — | | | | 3,483 | | | | 818,605 | |
Futures | | | (3,575 | ) | | | (19,076 | ) | | | — | | | | (4,080 | ) |
Translation of Foreign Currency-Denominated Amounts | | | 934 | | | | 7,274 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | 518,825 | | | | 2,743,184 | | | | 814 | | | | 701,423 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 689,132 | | | $ | 3,690,282 | | | $ | 2,382 | | | $ | 1,007,563 | |
| | | | | | | | | | | | | | | | |
| ** | Net of foreign capital gain taxes withheld of $0, $0, $20 and $0, respectively. |
| * | Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). |
| # | Portion of income is from investment in affiliated fund. |
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Japanese Small
Company
Portfolio* | | | Asia Pacific
Small
Company
Portfolio* | | | United
Kingdom Small
Company
Portfolio* | | | Continental
Small
Company
Portfolio* | |
Investment Income | | | | | | | | | | | | | | | | |
Net Investment Income Allocated from Affiliated Investment Companies | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $762, $115, $5 and $3,082, respectively) | | $ | 6,857 | | | $ | 9,237 | | | $ | 839 | | | $ | 22,905 | |
Interest | | | 6 | | | | — | | | | — | | | | 22 | |
Income from Securities Lending, Net | | | 190 | | | | 535 | | | | 5 | | | | 726 | |
Expenses Allocated from Affiliated Investment Companies | | | (302 | ) | | | (258 | ) | | | (24 | ) | | | (849 | ) |
| | | | | | | | | | | | | | | | |
Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies | | | 6,751 | | | | 9,514 | | | | 820 | | | | 22,804 | |
| | | | | | | | | | | | | | | | |
Fund Expenses | | | | | | | | | | | | | | | | |
Investment Management Fees | | | 905 | | | | 764 | | | | 74 | | | | 2,532 | |
Accounting & Transfer Agent Fees | | | 45 | | | | 44 | | | | 5 | | | | 145 | |
Filing Fees | | | 21 | | | | 19 | | | | 17 | | | | 20 | |
Shareholders’ Reports | | | 10 | | | | 8 | | | | 6 | | | | 10 | |
Directors’/Trustees’ Fees & Expenses | | | 2 | | | | 1 | | | | — | | | | 5 | |
Professional Fees | | | 3 | | | | 1 | | | | — | | | | 7 | |
Previously Waived Fees Recovered by Advisor (Note C) | | | — | | | | — | | | | — | | | | 1 | |
Other | | | 2 | | | | 4 | | | | 1 | | | | 5 | |
| | | | | | | | | | | | | | | | |
Total Fund Expenses | | | 988 | | | | 841 | | | | 103 | | | | 2,725 | |
| | | | | | | | | | | | | | | | |
Fees Waived, Expenses Reimbursed by Advisor (Note C) | | | 259 | | | | 218 | | | | 21 | | | | 724 | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 729 | | | | 623 | | | | 82 | | | | 2,001 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 6,022 | | | | 8,891 | | | | 738 | | | | 20,803 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Transactions Allocated from Affiliated Investment Company** | | | 6,571 | | | | (14,428 | ) | | | (1,041 | ) | | | (6,379 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | |
Transactions Allocated from Affiliated Investment Company | | | 32,438 | | | | 11,518 | | | | 2,081 | | | | 59,050 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | 39,009 | | | | (2,910 | ) | | | 1,040 | | | | 52,671 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 45,031 | | | $ | 5,981 | | | $ | 1,778 | | | $ | 73,474 | |
| | | | | | | | | | | | | | | | |
| ** | Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. |
| * | 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.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | DFA
International
Real Estate
Securities
Portfolio# | | | DFA Global
Real Estate
Securities
Portfolio# | | | DFA
International
Small Cap
Value Portfolio# | | | International
Vector Equity
Portfolio# | |
Investment Income | | | | | | | | | | | | | | | | |
Net Investment Income Allocated from Affiliated Investment Companies | | | | | | | | | | | | | | | | |
Income Distributions Received from Affiliated Investment Companies | | | — | | | $ | 5,372 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies | | | — | | | | 5,372 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Fund Investment Income | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $25,986, $0, $40,694 and $12,037, respectively) | | $ | 199,200 | | | | 169,929 | | | $ | 402,124 | | | $ | 111,175 | |
Income from Securities Lending, Net | | | 3,144 | | | | 386 | | | | 4,509 | | | | 2,588 | |
| | | | | | | | | | | | | | | | |
Total Fund Investment Income | | | 202,344 | | | | 170,315 | | | | 406,633 | | | | 113,763 | |
| | | | | | | | | | | | | | | | |
Fund Expenses | | | | | | | | | | | | | | | | |
Investment Management Fees | | | 10,641 | | | | 15,045 | | | | 42,001 | | | | 9,661 | |
Accounting & Transfer Agent Fees | | | 482 | | | | 1,273 | | | | 1,802 | | | | 671 | |
Custodian Fees | | | 311 | | | | 36 | | | | 1,130 | | | | 231 | |
Filing Fees | | | 53 | | | | 126 | | | | 148 | | | | 112 | |
Shareholders’ Reports | | | 74 | | | | 316 | | | | 251 | | | | 78 | |
Directors’/Trustees’ Fees & Expenses | | | 35 | | | | 61 | | | | 81 | | | | 24 | |
Professional Fees | | | 116 | | | | 67 | | | | 341 | | | | 87 | |
Other | | | 188 | | | | 134 | | | | 375 | | | | 112 | |
| | | | | | | | | | | | | | | | |
Total Fund Expenses | | | 11,900 | | | | 17,058 | | | | 46,129 | | | | 10,976 | |
| | | | | | | | | | | | | | | | |
Fees Waived, Expenses Reimbursed by Advisor (Note C) | | | — | | | | 6,580 | | | | — | | | | — | |
Fees Paid Indirectly (Note C) | | | 310 | | | | 36 | | | | 96 | | | | 103 | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 11,590 | | | | 10,442 | | | | 46,033 | | | | 10,873 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 190,754 | | | | 165,245 | | | | 360,600 | | | | 102,890 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Capital Gain Distributions Received from Investment Securities | | | — | | | | 8,561 | | | | — | | | | — | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investment Securities Sold** | | | (375,885 | ) | | | 30,694 | | | | 94,798 | | | | (37,192 | ) |
Affiliated Investment Companies Shares Sold | | | 39 | | | | (56,378 | ) | | | 18 | | | | (2 | ) |
Futures | | | 1,094 | | | | 935 | | | | 12,515 | | | | 1,361 | |
Foreign Currency Transactions | | | (927 | ) | | | — | | | | (43 | ) | | | (374 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 106,639 | | | | (590,759 | ) | | | 1,270,150 | | | | 348,448 | |
Affiliated Investment Companies Shares | | | 76 | | | | 18,711 | | | | 120 | | | | 65 | |
Futures | | | (2,577 | ) | | | (1,144 | ) | | | (5,611 | ) | | | (755 | ) |
Translation of Foreign Currency-Denominated Amounts | | | 814 | | | | — | | | | 1,733 | | | | 446 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | (270,727 | ) | | | (589,380 | ) | | | 1,373,680 | | | | 311,997 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | (79,973 | ) | | $ | (424,135 | ) | | $ | 1,734,280 | | | $ | 414,887 | |
| | | | | | | | | | | | | | | | |
| ** | Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. |
| # | Portion of income is from investment in affiliated fund. |
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | International
High Relative
Profitability
Portfolio# | | | World ex U.S.
Value Portfolio* | | | World ex U.S.
Core Equity
Portfolio# | | | World ex U.S.
Targeted Value
Portfolio# | |
Investment Income | | | | | | | | | | | | | | | | |
Net Investment Income Allocated from Affiliated Investment Companies | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $0, $1,064, $0 and $0, respectively) | | | — | | | $ | 10,088 | | | | — | | | | — | |
Interest | | | — | | | | 17 | | | | — | | | | — | |
Income from Securities Lending, Net | | | — | | | | 127 | | | | — | | | | — | |
Expenses Allocated from Affiliated Investment Companies | | | — | | | | (426 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Income Distributions Received from Affiliated Investment Companies | | | — | | | | 632 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies | | | — | | | | 10,438 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Fund Investment Income | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $5,217, $0, $13,737 and $2,604, respectively) | | $ | 48,848 | | | | — | | | $ | 119,495 | | | $ | 23,571 | |
Income from Securities Lending, Net | | | 1,159 | | | | — | | | | 2,767 | | | | 217 | |
| | | | | | | | | | | | | | | | |
Total Fund Investment Income | | | 50,007 | | | | — | | | | 122,262 | | | | 23,788 | |
| | | | | | | | | | | | | | | | |
Fund Expenses | | | | | | | | | | | | | | | | |
Investment Management Fees | | | 4,156 | | | | 790 | | | | 8,937 | | | | 2,675 | |
Accounting & Transfer Agent Fees | | | 365 | | | | 10 | | | | 649 | | | | 159 | |
Custodian Fees | | | 92 | | | | — | | | | 649 | | | | 174 | |
Filing Fees | | | 58 | | | | 23 | | | | 49 | | | | 50 | |
Shareholders’ Reports | | | 111 | | | | 4 | | | | 80 | | | | 50 | |
Directors’/Trustees’ Fees & Expenses | | | 13 | | | | 2 | | | | 27 | | | | 5 | |
Professional Fees | | | 35 | | | | 6 | | | | 144 | | | | 59 | |
Other | | | 111 | | | | 1 | | | | 136 | | | | 35 | |
| | | | | | | | | | | | | | | | |
Total Fund Expenses | | | 4,941 | | | | 836 | | | | 10,671 | | | | 3,207 | |
| | | | | | | | | | | | | | | | |
Fees Waived, Expenses Reimbursed by Advisor (Note C) | | | — | | | | 458 | | | | — | | | | — | |
Fees Paid Indirectly (Note C) | | | — | | | | — | | | | 60 | | | | — | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 4,941 | | | | 378 | | | | 10,611 | | | | 3,207 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 45,066 | | | | 10,060 | | | | 111,651 | | | | 20,581 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investment Securities Sold** | | | (21,646 | ) | | | — | | | | (55,925 | ) | | | (12,795 | ) |
Affiliated Investment Companies Shares Sold | | | 5 | | | | 5 | | | | (11 | ) | | | 1 | |
Transactions Allocated from Affiliated Investment Company** | | | — | | | | (1,412 | ) | | | — | | | | — | |
Futures | | | 1,386 | | | | — | | | | 3,739 | | | | 423 | |
Foreign Currency Transactions | | | 222 | | | | — | | | | (264 | ) | | | (77 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 202,380 | | | | — | | | | 386,976 | | | | 81,912 | |
Affiliated Investment Companies Shares | | | 41 | | | | 2,376 | | | | 71 | | | | 1 | |
Transactions Allocated from Affiliated Investment Company | | | — | | | | 22,935 | | | | — | | | | — | |
Futures | | | (104 | ) | | | — | | | | (2,058 | ) | | | — | |
Translation of Foreign Currency-Denominated Amounts | | | 285 | | | | — | | | | 481 | | | | 87 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | 182,569 | | | | 23,904 | | | | 333,009 | | | | 69,552 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 227,635 | | | $ | 33,964 | | | $ | 444,660 | | | $ | 90,133 | |
| | | | | | | | | | | | | | | | |
| ** | Net of foreign capital gain taxes withheld of $0, $85, $174 and $203, respectively. |
| * | Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). |
| # | Portion of income is from investment in affiliated fund. |
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | World Core
Equity
Portfolio | | | Selectively
Hedged Global
Equity
Portfolio | | | Emerging
Markets
Portfolio* | | | Emerging
Markets Small
Cap Portfolio* | |
Investment Income | | | | | | | | | | | | | | | | |
Net Investment Income Allocated from Affiliated Investment Companies | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $0, $0, $19,935 and $14,219, respectively) | | | — | | | $ | 163 | | | $ | 151,043 | | | $ | 112,885 | |
Interest | | | — | | | | — | | | | 746 | | | | 754 | |
Income from Securities Lending, Net | | | — | | | | — | | | | 3,889 | | | | 12,628 | |
Expenses Allocated from Affiliated Investment Companies | | | — | | | | — | | | | (6,206 | ) | | | (10,083 | ) |
| | | | | | | | | | | | | | | | |
Income Distributions Received from Affiliated Investment Companies | | $ | 20,507 | | | | 5,684 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies | | | 20,507 | | | | 5,847 | | | | 149,472 | | | | 116,184 | |
| | | | | | | | | | | | | | | | |
Fund Expenses | | | | | | | | | | | | | | | | |
Investment Management Fees | | | 2,242 | | | | 667 | | | | 13,060 | | | | 20,602 | |
Accounting & Transfer Agent Fees | | | 137 | | | | 57 | | | | 594 | | | | 545 | |
Custodian Fees | | | 1 | | | | 1 | | | | — | | | | — | |
Filing Fees | | | 27 | | | | 24 | | | | 85 | | | | 50 | |
Shareholders’ Reports | | | 16 | | | | 14 | | | | 157 | | | | 94 | |
Directors’/Trustees’ Fees & Expenses | | | 7 | | | | 2 | | | | 34 | | | | 29 | |
Professional Fees | | | 9 | | | | 3 | | | | 37 | | | | 37 | |
Previously Waived Fees Recovered by Advisor (Note C) | | | 16 | | | | — | | | | — | | | | — | |
Other | | | 29 | | | | 10 | | | | 29 | | | | 24 | |
| | | | | | | | | | | | | | | | |
Total Fund Expenses | | | 2,484 | | | | 778 | | | | 13,996 | | | | 21,381 | |
| | | | | | | | | | | | | | | | |
Fees Waived, Expenses Reimbursed by Advisor (Note C) | | | 1,774 | | | | 552 | | | | 4,504 | | | | 7,925 | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 710 | | | | 226 | | | | 9,492 | | | | 13,456 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 19,797 | | | | 5,621 | | | | 139,980 | | | | 102,728 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Capital Gain Distributions Received from Affiliated Investment Companies | | | 13,934 | | | | 4,197 | | | | — | | | | — | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Affiliated Investment Companies Shares Sold | | | (1,692 | ) | | | 7,967 | | | | — | | | | — | |
Transactions Allocated from Affiliated Investment Company** | | | — | | | | — | | | | (73,267 | ) | | | (49,702 | ) |
Futures | | | — | | | | 263 | | | | — | | | | — | |
Forward Currency Contracts | | | — | | | | (418 | ) | | | — | | | | — | |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | |
Affiliated Investment Companies Shares | | | 60,732 | | | | 8,278 | | | | — | | | | — | |
Transactions Allocated from Affiliated Investment Company | | | — | | | | — | | | | 442,787 | | | | 476,925 | |
Futures | | | — | | | | (91 | ) | | | — | | | | — | |
Forward Currency Contracts | | | — | | | | 344 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | 72,974 | | | | 20,540 | | | | 369,520 | | | | 427,223 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 92,771 | | | $ | 26,161 | | | $ | 509,500 | | | $ | 529,951 | |
| | | | | | | | | | | | | | | | |
| ** | Net of foreign capital gain taxes withheld of $0, $0, $5,794 and $7,714, respectively. |
| * | 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.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Emerging
Markets Value
Portfolio* | | | Emerging
Markets Core
Equity
Portfolio# | | | Emerging
Markets Targeted
Value Portfolio# | | | Emerging
Markets ex China Core
Equity Portfolio# | |
Investment Income | | | | | | | | | | | | | | | | |
Net Investment Income Allocated from Affiliated Investment Companies | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $57,159, $0, $0 and $0, respectively) | | $ | 460,886 | | | | — | | | | — | | | | — | |
Interest | | | 1,466 | | | | — | | | | — | | | | — | |
Income from Securities Lending, Net | | | 9,405 | | | | — | | | | — | | | | — | |
Expenses Allocated from Affiliated Investment Companies | | | (14,796 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies | | | 456,961 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Fund Investment Income | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $0, $103,816, $919 and $2,685, respectively) | | | — | | | $ | 825,167 | | | $ | 6,786 | | | $ | 17,210 | |
Income from Securities Lending, Net | | | — | | | | 35,984 | | | | 298 | | | | 232 | |
| | | | | | | | | | | | | | | | |
Total Fund Investment Income | | | — | | | | 861,151 | | | | 7,084 | | | | 17,442 | |
| | | | | | | | | | | | | | | | |
Fund Expenses | | | | | | | | | | | | | | | | |
Investment Management Fees | | | 40,121 | | | | 79,663 | | | | 1,149 | | | | 1,713 | |
Accounting & Transfer Agent Fees | | | 978 | | | | 3,968 | | | | 55 | | | | 110 | |
Custodian Fees | | | — | | | | 7,878 | | | | 157 | | | | 379 | |
Shareholder Servicing Fees | | | | | | | | | | | | | | | | |
Institutional Class Shares1 | | | 24 | | | | — | | | | — | | | | — | |
Filing Fees | | | 137 | | | | 299 | | | | 31 | | | | 42 | |
Shareholders’ Reports | | | 262 | | | | 743 | | | | 22 | | | | 16 | |
Directors’/Trustees’ Fees & Expenses | | | 79 | | | | 179 | | | | 1 | | | | 4 | |
Professional Fees | | | 99 | | | | 568 | | | | 56 | | | | 50 | |
Organizational & Offering Costs | | | — | | | | — | | | | — | | | | 4 | |
Previously Waived Fees Recovered by Advisor (Note C) | | | — | | | | — | | | | — | | | | 55 | |
Other | | | 68 | | | | 834 | | | | 9 | | | | 72 | |
| | | | | | | | | | | | | | | | |
Total Fund Expenses | | | 41,768 | | | | 94,132 | | | | 1,480 | | | | 2,445 | |
| | | | | | | | | | | | | | | | |
Fees Waived, Expenses Reimbursed by Advisor (Note C) | | | — | | | | — | | | | — | | | | 212 | |
Institutional Class Shares | | | 10,558 | | | | — | | | | — | | | | — | |
Fees Paid Indirectly (Note C) | | | — | | | | 892 | | | | 22 | | | | 69 | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 31,210 | | | | 93,240 | | | | 1,458 | | | | 2,164 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 425,751 | | | | 767,911 | | | | 5,626 | | | | 15,278 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investment Securities Sold** | | | — | | | | (303,346 | ) | | | 4,557 | | | | (8,988 | ) |
Affiliated Investment Companies Shares Sold | | | — | | | | 24 | | | | 1 | | | | — | |
Transactions Allocated from Affiliated Investment Company** | | | 14,022 | | | | — | | | | — | | | | — | |
Futures | | | — | | | | 21,786 | | | | 254 | | | | 249 | |
Foreign Currency Transactions | | | — | | | | (3,910 | ) | | | (99 | ) | | | 23 | |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | — | | | | 2,793,280 | | | | 18,390 | | | | 52,097 | |
Affiliated Investment Companies Shares | | | — | | | | 172 | | | | 1 | | | | 3 | |
Transactions Allocated from Affiliated Investment Company | | | 1,068,150 | | | | — | | | | — | | | | — | |
Futures | | | — | | | | (15,235 | ) | | | (98 | ) | | | — | |
Translation of Foreign Currency-Denominated Amounts | | | — | | | | (119 | ) | | | 3 | | | | (6 | ) |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | 1,082,172 | | | | 2,492,652 | | | | 23,009 | | | | 43,378 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 1,507,923 | | | $ | 3,260,563 | | | $ | 28,635 | | | $ | 58,656 | |
| | | | | | | | | | | | | | | | |
| ** | Net of foreign capital gain taxes withheld of $11,991, $17,503, $306 and $12, respectively. |
| 1 | Class R2 shares of the Emerging Markets Value Portfolio converted into Institutional Class shares on June 9, 2023. |
| * | Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). |
| # | Portion of income is from investment in affiliated fund. |
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap International
Portfolio | | | International Core
Equity Portfolio | | | Global Small
Company Portfolio*** | |
| | | Year | | | Year | | | Year | | | Year | | | Year | | | Year | |
| | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | |
| | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | | | 2023 | | | 2022 | | | 2023 | | | 2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 170,307 | | | $ | 173,632 | | | $ | 947,098 | | | $ | 1,015,999 | | | $ | 1,568 | | | $ | 1,497 | |
Capital Gain Distributions Received from Investment Securities | | | — | | | | — | | | | — | | | | — | | | | 1,919 | | | | 3,071 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold*,** | | | (69,911 | ) | | | (72,788 | ) | | | (162,570 | ) | | | 425,701 | | | | — | | | | — | |
Affiliated Investment Companies Shares Sold | | | 13 | | | | (41 | ) | | | 120 | | | | (333 | ) | | | (937 | ) | | | (1,418 | ) |
Transactions Allocated from Affiliated Investment Company*,** | | | — | | | | — | | | | — | | | | — | | | | (481 | ) | | | (2,875 | ) |
Futures | | | 8,432 | | | | (12,682 | ) | | | 32,560 | | | | (44,185 | ) | | | — | | | | 34 | |
Foreign Currency Transactions | | | 91 | | | | (5,948 | ) | | | (2,848 | ) | | | (47,812 | ) | | | — | | | | — | |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 582,750 | | | | (1,377,779 | ) | | | 2,887,117 | | | | (9,090,912 | ) | | | — | | | | — | |
Affiliated Investment Companies Shares | | | 91 | | | | (125 | ) | | | 607 | | | | (769 | ) | | | (3,170 | ) | | | (7,951 | ) |
Transactions Allocated from Affiliated Investment Company | | | — | | | | — | | | | — | | | | — | | | | 3,483 | | | | (8,701 | ) |
Futures | | | (3,575 | ) | | | (202 | ) | | | (19,076 | ) | | | (3,107 | ) | | | — | | | | — | |
Translation of Foreign Currency-Denominated Amounts | | | 934 | | | | (977 | ) | | | 7,274 | | | | (7,919 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 689,132 | | | | (1,296,910 | ) | | | 3,690,282 | | | | (7,753,337 | ) | | | 2,382 | | | | (16,343 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Class Shares | | | (153,335 | ) | | | (180,306 | ) | | | (813,378 | ) | | | (1,137,900 | ) | | | (1,067 | ) | | | (3,556 | ) |
Capital Share Transactions (1): | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 812,786 | | | | 1,451,460 | | | | 3,267,486 | | | | 6,677,971 | | | | 8,814 | | | | 23,030 | |
Shares Issued in Lieu of Cash Distributions | | | 139,664 | | | | 166,053 | | | | 782,611 | | | | 1,093,925 | | | | 1,067 | | | | 3,556 | |
Shares Redeemed | | | (1,190,458 | ) | | | (1,351,800 | ) | | | (5,765,854 | ) | | | (7,302,036 | ) | | | (20,517 | ) | | | (23,398 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Capital Share Transactions | | | (238,008 | ) | | | 265,713 | | | | (1,715,757 | ) | | | 469,860 | | | | (10,636 | ) | | | 3,188 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 297,789 | | | | (1,211,503 | ) | | | 1,161,147 | | | | (8,421,377 | ) | | | (9,321 | ) | | | (16,711 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 4,820,678 | | | | 6,032,181 | | | | 26,208,206 | | | | 34,629,583 | | | | 82,920 | | | | 99,631 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 5,118,467 | | | $ | 4,820,678 | | | $ | 27,369,353 | | | $ | 26,208,206 | | | $ | 73,599 | | | $ | 82,920 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
(1) Shares Issued and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 33,599 | | | | 60,402 | | | | 230,239 | | | | 474,529 | | | | 660 | | | | 1,720 | |
Shares Issued in Lieu of Cash Distributions | | | 5,698 | | | | 7,097 | | | | 55,029 | | | | 80,934 | | | | 82 | | | | 241 | |
Shares Redeemed | | | (48,975 | ) | | | (56,865 | ) | | | (407,698 | ) | | | (529,452 | ) | | | (1,532 | ) | | | (1,759 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Shares Issued and Redeemed | | | (9,678 | ) | | | 10,634 | | | | (122,430 | ) | | | 26,011 | | | | (790 | ) | | | 202 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $0, $0 and $20, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $0, $0 and $22, respectively. |
| *** | 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.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | International Small | | | Japanese Small | | | Asia Pacific Small | |
| | | Company Portfolio*** | | | Company Portfolio*** | | | Company Portfolio*** | |
| | | Year | | | Year | | | Year | | | Year | | | Year | | | Year | |
| | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | |
| | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | | | 2023 | | | 2022 | | | 2023 | | | 2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 306,140 | | | $ | 316,287 | | | $ | 6,022 | | | $ | 7,212 | | | $ | 8,891 | | | $ | 12,767 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Transactions Allocated from Affiliated Investment Company*,** | | | (124,598 | ) | | | 164,767 | | | | 6,571 | | | | 12,397 | | | | (14,428 | ) | | | 14,514 | |
Futures | | | 11,496 | | | | (19,889 | ) | | | — | | | | — | | | | — | | | | — | |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Transactions Allocated from Affiliated Investment Company | | | 818,605 | | | | (3,930,327 | ) | | | 32,438 | | | | (107,385 | ) | | | 11,518 | | | | (124,402 | ) |
Futures | | | (4,080 | ) | | | 271 | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,007,563 | | | | (3,468,891 | ) | | | 45,031 | | | | (87,776 | ) | | | 5,981 | | | | (97,121 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Class Shares | | | (431,764 | ) | | | (851,167 | ) | | | (15,684 | ) | | | (18,487 | ) | | | (23,333 | ) | | | (42,269 | ) |
Capital Share Transactions (1): | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 1,772,616 | | | | 2,335,205 | | | | 25,805 | | | | 25,594 | | | | 5,937 | | | | 4,042 | |
Shares Issued in Lieu of Cash Distributions | | | 422,678 | | | | 834,024 | | | | 15,682 | | | | 18,485 | | | | 23,330 | | | | 42,264 | |
Shares Redeemed | | | (2,045,701 | ) | | | (2,994,929 | ) | | | (89,765 | ) | | | (50,102 | ) | | | (78,905 | ) | | | (58,204 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Capital Share Transactions | | | 149,593 | | | | 174,300 | | | | (48,278 | ) | | | (6,023 | ) | | | (49,638 | ) | | | (11,898 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 725,392 | | | | (4,145,758 | ) | | | (18,931 | ) | | | (112,286 | ) | | | (66,990 | ) | | | (151,288 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 9,320,095 | | | | 13,465,853 | | | | 267,551 | | | | 379,837 | | | | 230,202 | | | | 381,490 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 10,045,487 | | | $ | 9,320,095 | | | $ | 248,620 | | | $ | 267,551 | | | $ | 163,212 | | | $ | 230,202 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
(1) Shares Issued and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 98,891 | | | | 123,348 | | | | 1,223 | | | | 1,240 | | | | 339 | | | | 194 | |
Shares Issued in Lieu of Cash Distributions | | | 23,765 | | | | 41,490 | | | | 793 | | | | 765 | | | | 1,295 | | | | 1,874 | |
Shares Redeemed | | | (113,530 | ) | | | (157,815 | ) | | | (4,473 | ) | | | (2,408 | ) | | | (4,601 | ) | | | (2,997 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Shares Issued and Redeemed | | | 9,126 | | | | 7,023 | | | | (2,457 | ) | | | (403 | ) | | | (2,967 | ) | | | (929 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $0, $0 and $0, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $0, $0 and $0, respectively. |
| *** | 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.
117
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 | | | Year | | | Year | | | Year | | | Year | | | Year | |
| | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | |
| | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | | | 2023 | | | 2022 | | | 2023 | | | 2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 738 | | | $ | 1,003 | | | $ | 20,803 | | | $ | 20,054 | | | $ | 190,754 | | | $ | 199,913 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold*,** | | | — | | | | — | | | | — | | | | — | | | | (375,885 | ) | | | (97,218 | ) |
Affiliated Investment Companies Shares Sold | | | — | | | | — | | | | — | | | | — | | | | 39 | | | | (101 | ) |
Transactions Allocated from Affiliated Investment Company*,** | | | (1,041 | ) | | | (2,989 | ) | | | (6,379 | ) | | | (26,021 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | — | | | | 1,094 | | | | (4,273 | ) |
Foreign Currency Transactions | | | — | | | | — | | | | — | | | | — | | | | (927 | ) | | | (5,807 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | — | | | | — | | | | — | | | | — | | | | 106,639 | | | | (1,783,196 | ) |
Affiliated Investment Companies Shares | | | — | | | | — | | | | — | | | | — | | | | 76 | | | | (106 | ) |
Transactions Allocated from Affiliated Investment Company | | | 2,081 | | | | (9,155 | ) | | | 59,050 | | | | (261,540 | ) | | | — | | | | — | |
Futures | | | — | | | | — | | | | — | | | | — | | | | (2,577 | ) | | | 171 | |
Translation of Foreign Currency-Denominated Amounts | | | — | | | | — | | | | — | | | | — | | | | 814 | | | | (1,176 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,778 | | | | (11,141 | ) | | | 73,474 | | | | (267,507 | ) | | | (79,973 | ) | | | (1,691,793 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Class Shares | | | (438 | ) | | | (1,908 | ) | | | (21,516 | ) | | | (37,480 | ) | | | — | | | | (447,007 | ) |
Capital Share Transactions (1): | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 2,748 | | | | 2,169 | | | | 6,810 | | | | 69,996 | | | | 430,896 | | | | 1,001,675 | |
Shares Issued in Lieu of Cash Distributions | | | 438 | | | | 1,908 | | | | 21,515 | | | | 37,477 | | | | — | | | | 444,430 | |
Shares Redeemed | | | (4,226 | ) | | | (16,763 | ) | | | (39,586 | ) | | | (53,922 | ) | | | (1,289,028 | ) | | | (842,621 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Capital Share Transactions | | | (1,040 | ) | | | (12,686 | ) | | | (11,261 | ) | | | 53,551 | | | | (858,132 | ) | | | 603,484 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 300 | | | | (25,735 | ) | | | 40,697 | | | | (251,436 | ) | | | (938,105 | ) | | | (1,535,316 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 18,398 | | | | 44,133 | | | | 616,323 | | | | 867,759 | | | | 4,452,148 | | | | 5,987,464 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 18,698 | | | $ | 18,398 | | | $ | 657,020 | | | $ | 616,323 | | | $ | 3,514,043 | | | $ | 4,452,148 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
(1) Shares Issued and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 120 | | | | 97 | | | | 243 | | | | 2,142 | | | | 117,557 | | | | 242,147 | |
Shares Issued in Lieu of Cash Distributions | | | 19 | | | | 71 | | | | 775 | | | | 1,270 | | | | — | | | | 96,826 | |
Shares Redeemed | | | (181 | ) | | | (634 | ) | | | (1,391 | ) | | | (2,058 | ) | | | (355,417 | ) | | | (209,429 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Shares Issued and Redeemed | | | (42 | ) | | | (466 | ) | | | (373 | ) | | | 1,354 | | | | (237,860 | ) | | | 129,544 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $0, $0 and $0, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $0, $0 and $0, respectively. |
| *** | 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.
118
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 | | | Year | | | Year | | | Year | | | Year | | | Year | |
| | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | |
| | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | | | 2023 | | | 2022 | | | 2023 | | | 2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 165,245 | | | $ | 397,376 | | | $ | 360,600 | | | $ | 357,490 | | | $ | 102,890 | | | $ | 105,563 | |
Capital Gain Distributions Received from Investment Securities | | | 8,561 | | | | 8,517 | | | | — | | | | — | | | | — | | | | — | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold*,** | | | 30,694 | | | | 71,264 | | | | 94,798 | | | | 16,007 | | | | (37,192 | ) | | | (2,689 | ) |
Affiliated Investment Companies Shares Sold | | | (56,378 | ) | | | 196,468 | | | | 18 | | | | 9 | | | | (2 | ) | | | (9 | ) |
Futures | | | 935 | | | | 174 | | | | 12,515 | | | | (36,186 | ) | | | 1,361 | | | | (3,680 | ) |
Foreign Currency Transactions | | | — | | | | — | | | | (43 | ) | | | (19,023 | ) | | | (374 | ) | | | (5,208 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | (590,759 | ) | | | (1,350,594 | ) | | | 1,270,150 | | | | (2,899,988 | ) | | | 348,448 | | | | (921,097 | ) |
Affiliated Investment Companies Shares | | | 18,711 | | | | (1,630,271 | ) | | | 120 | | | | (167 | ) | | | 65 | | | | (86 | ) |
Futures | | | (1,144 | ) | | | 1,144 | | | | (5,611 | ) | | | (1,079 | ) | | | (755 | ) | | | (387 | ) |
Translation of Foreign Currency-Denominated Amounts | | | — | | | | — | | | | 1,733 | | | | (2,550 | ) | | | 446 | | | | (575 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | (424,135 | ) | | | (2,305,922 | ) | | | 1,734,280 | | | | (2,585,487 | ) | | | 414,887 | | | | (828,168 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Class Shares | | | (427,031 | ) | | | (480,433 | ) | | | (325,253 | ) | | | (516,572 | ) | | | (87,142 | ) | | | (187,309 | ) |
Capital Share Transactions (1): | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 1,700,976 | | | | 2,104,042 | | | | 797,051 | | | | 2,106,642 | | | | 255,188 | | | | 877,531 | |
Shares Issued in Lieu of Cash Distributions | | | 409,942 | | | | 461,594 | | | | 279,530 | | | | 455,244 | | | | 86,542 | | | | 186,180 | |
Shares Redeemed | | | (2,468,944 | ) | | | (2,445,794 | ) | | | (2,108,611 | ) | | | (2,579,838 | ) | | | (520,271 | ) | | | (882,093 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Capital Share Transactions | | | (358,026 | ) | | | 119,842 | | | | (1,032,030 | ) | | | (17,952 | ) | | | (178,541 | ) | | | 181,618 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | (1,209,192 | ) | | | (2,666,513 | ) | | | 376,997 | | | | (3,120,011 | ) | | | 149,204 | | | | (833,859 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 7,871,073 | | | | 10,537,586 | | | | 9,664,700 | | | | 12,784,711 | | | | 2,882,931 | | | | 3,716,790 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 6,661,881 | | | $ | 7,871,073 | | | $ | 10,041,697 | | | $ | 9,664,700 | | | $ | 3,032,135 | | | $ | 2,882,931 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
(1) Shares Issued and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 174,511 | | | | 180,469 | | | | 40,801 | | | | 109,457 | | | | 20,731 | | | | 73,372 | |
Shares Issued in Lieu of Cash Distributions | | | 40,790 | | | | 35,644 | | | | 14,462 | | | | 23,531 | | | | 7,002 | | | | 14,949 | |
Shares Redeemed | | | (252,569 | ) | | | (210,655 | ) | | | (107,327 | ) | | | (135,322 | ) | | | (42,435 | ) | | | (74,366 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Shares Issued and Redeemed | | | (37,268 | ) | | | 5,458 | | | | (52,064 | ) | | | (2,334 | ) | | | (14,702 | ) | | | 13,955 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $0, $0 and $0, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $0, $0 and $0, respectively. |
See accompanying Notes to Financial Statements.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | International High Relative
Profitability Portfolio | | | World ex U.S. Value
Portfolio*** | | | World ex U.S. Core Equity
Portfolio | |
| | | Year | | | Year | | | Year | | | Year | | | Year | | | Year | |
| | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | |
| | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | | | 2023 | | | 2022 | | | 2023 | | | 2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 45,066 | | | $ | 63,382 | | | $ | 10,060 | | | $ | 9,610 | | | $ | 111,651 | | | $ | 118,511 | |
Capital Gain Distributions Received from Investment Securities | | | — | | | | — | | | | — | | | | 195 | | | | — | | | | — | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold*,** | | | (21,646 | ) | | | (55,920 | ) | | | — | | | | — | | | | (55,925 | ) | | | 77,983 | |
Affiliated Investment Companies Shares Sold | | | 5 | | | | (25 | ) | | | 5 | | | | 636 | | | | (11 | ) | | | (24 | ) |
Transactions Allocated from Affiliated Investment Company*,** | | | — | | | | — | | | | (1,412 | ) | | | (201 | ) | | | — | | | | — | |
Futures | | | 1,386 | | | | 291 | | | | — | | | | (44 | ) | | | 3,739 | | | | (3,864 | ) |
Foreign Currency Transactions | | | 222 | | | | (936 | ) | | | — | | | | — | | | | (264 | ) | | | (4,896 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 202,380 | | | | (536,106 | ) | | | — | | | | — | | | | 386,976 | | | | (1,093,022 | ) |
Affiliated Investment Companies Shares | | | 41 | | | | (47 | ) | | | 2,376 | | | | (6,125 | ) | | | 71 | | | | (95 | ) |
Transactions Allocated from Affiliated Investment Company | | | — | | | | — | | | | 22,935 | | | | (42,768 | ) | | | — | | | | — | |
Futures | | | (104 | ) | | | — | | | | — | | | | — | | | | (2,058 | ) | | | (167 | ) |
Translation of Foreign Currency-Denominated Amounts | | | 285 | | | | (283 | ) | | | — | | | | — | | | | 481 | | | | (568 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 227,635 | | | | (529,644 | ) | | | 33,964 | | | | (38,697 | ) | | | 444,660 | | | | (906,142 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Class Shares | | | (42,438 | ) | | | (79,006 | ) | | | (9,912 | ) | | | (10,666 | ) | | | (109,998 | ) | | | (119,142 | ) |
Capital Share Transactions (1): | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 195,267 | | | | 699,881 | | | | 60,584 | | | | 40,039 | | | | 368,722 | | | | 732,628 | |
Shares Issued in Lieu of Cash Distributions | | | 41,363 | | | | 77,582 | | | | 9,463 | | | | 10,666 | | | | 109,530 | | | | 118,577 | |
Shares Redeemed | | | (554,983 | ) | | | (745,903 | ) | | | (46,673 | ) | | | (115,749 | ) | | | (591,265 | ) | | | (793,027 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Capital Share Transactions | | | (318,353 | ) | | | 31,560 | | | | 23,374 | | | | (65,044 | ) | | | (113,013 | ) | | | 58,178 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | (133,156 | ) | | | (577,090 | ) | | | 47,426 | | | | (114,407 | ) | | | 221,649 | | | | (967,106 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 1,606,634 | | | | 2,183,724 | | | | 194,259 | | | | 308,666 | | | | 3,122,060 | | | | 4,089,166 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 1,473,478 | | | $ | 1,606,634 | | | $ | 241,685 | | | $ | 194,259 | | | $ | 3,343,709 | | | $ | 3,122,060 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
(1) Shares Issued and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 16,750 | | | | 57,992 | | | | 5,308 | | | | 3,535 | | | | 30,772 | | | | 60,965 | |
Shares Issued in Lieu of Cash Distributions | | | 3,496 | | | | 6,680 | | | | 809 | | | | 952 | | | | 9,134 | | | | 10,302 | |
Shares Redeemed | | | (47,502 | ) | | | (64,934 | ) | | | (3,973 | ) | | | (9,687 | ) | | | (49,377 | ) | | | (65,101 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Shares Issued and Redeemed | | | (27,256 | ) | | | (262 | ) | | | 2,144 | | | | (5,200 | ) | | | (9,471 | ) | | | 6,166 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $0, $85 and $174, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $0, $75 and $223, respectively. |
| *** | 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.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | World ex U.S. Targeted
Value Portfolio | | | World Core Equity
Portfolio | | | Selectively Hedged
Global Equity Portfolio | |
| | | Year | | | Year | | | Year | | | Year | | | Year | | | Year | |
| | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | |
| | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | | | 2023 | | | 2022 | | | 2023 | | | 2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 20,581 | | | $ | 20,671 | | | $ | 19,797 | | | $ | 22,962 | | | $ | 5,621 | | | $ | 6,856 | |
Capital Gain Distributions Received from Investment Securities | | | — | | | | — | | | | 13,934 | | | | 16,695 | | | | 4,197 | | | | 6,687 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold*,** | | | (12,795 | ) | | | (12,143 | ) | | | — | | | | — | | | | — | | | | — | |
Affiliated Investment Companies Shares Sold | | | 1 | | | | (1 | ) | | | (1,692 | ) | | | (8,828 | ) | | | 7,967 | | | | 3,300 | |
Futures | | | 423 | | | | 174 | | | | — | | | | (6 | ) | | | 263 | | | | (251 | ) |
Foreign Currency Transactions | | | (77 | ) | | | (839 | ) | | | — | | | | — | | | | — | | | | — | |
Forward Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | (418 | ) | | | 11,432 | |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 81,912 | | | | (177,379 | ) | | | — | | | | — | | | | — | | | | — | |
Affiliated Investment Companies Shares | | | 1 | | | | (1 | ) | | | 60,732 | | | | (213,117 | ) | | | 8,278 | | | | (71,420 | ) |
Futures | | | — | | | | (46 | ) | | | — | | | | — | | | | (91 | ) | | | (234 | ) |
Translation of Foreign Currency-Denominated Amounts | | | 87 | | | | 71 | | | | — | | | | — | | | | — | | | | — | |
Forward Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | 344 | | | | (243 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 90,133 | | | | (169,493 | ) | | | 92,771 | | | | (182,294 | ) | | | 26,161 | | | | (43,873 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Class Shares | | | (19,463 | ) | | | (56,676 | ) | | | (33,264 | ) | | | (31,168 | ) | | | (24,285 | ) | | | (21,529 | ) |
Capital Share Transactions (1): | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 87,117 | | | | 303,674 | | | | 84,179 | | | | 287,694 | | | | 20,252 | | | | 39,834 | |
Shares Issued in Lieu of Cash Distributions | | | 19,439 | | | | 56,609 | | | | 28,882 | | | | 30,117 | | | | 24,140 | | | | 21,408 | |
Shares Redeemed | | | (107,529 | ) | | | (340,881 | ) | | | (163,853 | ) | | | (244,046 | ) | | | (61,646 | ) | | | (73,839 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Capital Share Transactions | | | (973 | ) | | | 19,402 | | | | (50,792 | ) | | | 73,765 | | | | (17,254 | ) | | | (12,597 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 69,697 | | | | (206,767 | ) | | | 8,715 | | | | (139,697 | ) | | | (15,378 | ) | | | (77,999 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 567,557 | | | | 774,324 | | | | 949,017 | | | | 1,088,714 | | | | 270,708 | | | | 348,707 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 637,254 | | | $ | 567,557 | | | $ | 957,732 | | | $ | 949,017 | | | $ | 255,330 | | | $ | 270,708 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
(1) Shares Issued and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 6,858 | | | | 24,012 | | | | 4,274 | | | | 14,000 | | | | 1,108 | | | | 2,058 | |
Shares Issued in Lieu of Cash Distributions | | | 1,517 | | | | 4,258 | | | | 1,471 | | | | 1,512 | | | | 1,379 | | | | 1,017 | |
Shares Redeemed | | | (8,458 | ) | | | (27,420 | ) | | | (8,261 | ) | | | (11,765 | ) | | | (3,346 | ) | | | (3,709 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Shares Issued and Redeemed | | | (83 | ) | | | 850 | | | | (2,516 | ) | | | 3,747 | | | | (859 | ) | | | (634 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $203, $0 and $0, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $429, $0 and $0, respectively. |
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Emerging Markets
Portfolio*** | | | Emerging Markets
Small Cap Portfolio*** | | | Emerging Markets Value
Portfolio*** | |
| | | Year | | | Year | | | Year | | | Year | | | Year | | | Year | |
| | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | |
| | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | | | 2023 | | | 2022 | | | 2023 | | | 2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 139,980 | | | $ | 156,764 | | | $ | 102,728 | | | $ | 114,895 | | | $ | 425,751 | | | $ | 530,555 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Transactions Allocated from Affiliated Investment Company*,** | | | (73,267 | ) | | | 17,009 | | | | (49,702 | ) | | | 98,361 | | | | 14,022 | | | | 351,369 | |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Transactions Allocated from Affiliated Investment Company | | | 442,787 | | | | (1,618,027 | ) | | | 476,925 | | | | (1,298,644 | ) | | | 1,068,150 | | | | (3,262,606 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 509,500 | | | | (1,444,254 | ) | | | 529,951 | | | | (1,085,388 | ) | | | 1,507,923 | | | | (2,380,682 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Class R2 Shares | | | — | | | | — | | | | — | | | | — | | | | — | | | | (643 | ) |
Institutional Class Shares | | | (141,785 | ) | | | (372,779 | ) | | | (166,834 | ) | | | (329,169 | ) | | | (411,459 | ) | | | (558,273 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (141,785 | ) | | | (372,779 | ) | | | (166,834 | ) | | | (329,169 | ) | | | (411,459 | ) | | | (558,916 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions (1): | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 658,031 | | | | 1,486,746 | | | | 411,134 | | | | 598,832 | | | | 1,241,262 | | | | 1,872,666 | |
Shares Issued in Lieu of Cash Distributions | | | 136,792 | | | | 359,767 | | | | 155,308 | | | | 308,292 | | | | 393,166 | | | | 536,547 | |
Shares Issued upon Conversion from Class R2 | | | — | | | | — | | | | — | | | | — | | | | 18,520 | | | | — | |
Shares Redeemed | | | (774,254 | ) | | | (2,315,886 | ) | | | (637,349 | ) | | | (1,096,582 | ) | | | (2,425,659 | ) | | | (3,128,244 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Capital Share Transactions | | | 20,569 | | | | (469,373 | ) | | | (70,907 | ) | | | (189,458 | ) | | | (772,711 | ) | | | (719,031 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 388,284 | | | | (2,286,406 | ) | | | 292,210 | | | | (1,604,015 | ) | | | 323,753 | | | | (3,658,629 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 3,938,781 | | | | 6,225,187 | | | | 3,511,909 | | | | 5,115,924 | | | | 9,613,081 | | | | 13,271,710 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 4,327,065 | | | $ | 3,938,781 | | | $ | 3,804,119 | | | $ | 3,511,909 | | | $ | 9,936,834 | | | $ | 9,613,081 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
(1) Shares Issued and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 24,952 | | | | 53,138 | | | | 19,271 | | | | 26,598 | | | | 44,938 | | | | 64,891 | |
Shares Issued in Lieu of Cash Distributions | | | 5,259 | | | | 12,564 | | | | 7,416 | | | | 13,241 | | | | 14,282 | | | | 19,778 | |
Shares Issued upon Conversion from Class R2 | | | — | | | | — | | | | — | | | | — | | | | 644 | | | | — | |
Shares Redeemed | | | (29,645 | ) | | | (81,119 | ) | | | (30,005 | ) | | | (49,181 | ) | | | (88,320 | ) | | | (106,929 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Shares Issued and Redeemed | | | 566 | | | | (15,417 | ) | | | (3,318 | ) | | | (9,342 | ) | | | (28,456 | ) | | | (22,260 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $5,794, $7,714 and $11,991, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $4,859, $9,037 and $11,422, respectively. |
| *** | 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.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Emerging Markets Core
Equity Portfolio | | | Emerging Markets Targeted
Value Portfolio | | | Emerging Markets ex China Core
Equity Portfolioʊ | |
| | | | | | | | | | | | | | | | | | Period | |
| | | | | | | | | | | | | | | | | | Nov 15, | |
| | | Year | | | Year | | | Year | | | Year | | | Year | | | 2021ʊ | |
| | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | | | to | |
| | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | | | 2023 | | | 2022 | | | 2023 | | | 2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 767,911 | | | $ | 883,592 | | | $ | 5,626 | | | $ | 5,721 | | | $ | 15,278 | | | $ | 11,116 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold*,** | | | (303,346 | ) | | | 75,499 | | | | 4,557 | | | | 5,284 | | | | (8,988 | ) | | | (19,163 | ) |
Affiliated Investment Companies Shares Sold | | | 24 | | | | (37 | ) | | | 1 | | | | (1 | ) | | | — | | | | — | |
Futures | | | 21,786 | | | | (37,872 | ) | | | 254 | | | | (135 | ) | | | 249 | | | | (495 | ) |
Foreign Currency Transactions | | | (3,910 | ) | | | (25,138 | ) | | | (99 | ) | | | (127 | ) | | | 23 | | | | (256 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 2,793,280 | | | | (8,179,321 | ) | | | 18,390 | | | | (60,418 | ) | | | 52,097 | | | | (76,418 | ) |
Affiliated Investment Companies Shares | | | 172 | | | | (254 | ) | | | 1 | | | | (1 | ) | | | 3 | | | | (3 | ) |
Futures | | | (15,235 | ) | | | (2,325 | ) | | | (98 | ) | | | (54 | ) | | | — | | | | — | |
Translation of Foreign Currency-Denominated Amounts | | | (119 | ) | | | (7 | ) | | | 3 | | | | 259 | | | | (6 | ) | | | (1 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 3,260,563 | | | | (7,285,863 | ) | | | 28,635 | | | | (49,472 | ) | | | 58,656 | | | | (85,220 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Class Shares | | | (718,790 | ) | | | (942,726 | ) | | | (8,593 | ) | | | (22,133 | ) | | | (14,175 | ) | | | (10,224 | ) |
Capital Share Transactions (1): | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 3,784,373 | | | | 7,057,849 | | | | 40,849 | | | | 87,606 | | | | 236,642 | | | | 729,801 | |
Shares Issued in Lieu of Cash Distributions | | | 685,310 | | | | 895,345 | | | | 8,389 | | | | 21,501 | | | | 12,679 | | | | 9,316 | |
Shares Redeemed | | | (4,985,104 | ) | | | (7,911,399 | ) | | | (40,028 | ) | | | (82,497 | ) | | | (147,159 | ) | | | (219,226 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Capital Share Transactions | | | (515,421 | ) | | | 41,795 | | | | 9,210 | | | | 26,610 | | | | 102,162 | | | | 519,891 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 2,026,352 | | | | (8,186,794 | ) | | | 29,252 | | | | (44,995 | ) | | | 146,643 | | | | 424,447 | |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 20,968,575 | | | | 29,155,369 | | | | 189,926 | | | | 234,921 | | | | 424,447 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 22,994,927 | | | $ | 20,968,575 | | | $ | 219,178 | | | $ | 189,926 | | | $ | 571,090 | | | $ | 424,447 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
(1) Shares Issued and Redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Issued | | | 180,050 | | | | 315,242 | | | | 3,944 | | | | 8,132 | | | | 27,058 | | | | 79,414 | |
Shares Issued in Lieu of Cash Distributions | | | 32,622 | | | | 43,699 | | | | 836 | | | | 1,847 | | | | 1,440 | | | | 1,143 | |
Shares Redeemed | | | (237,918 | ) | | | (361,196 | ) | | | (3,874 | ) | | | (7,430 | ) | | | (16,908 | ) | | | (25,861 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Shares Issued and Redeemed | | | (25,246 | ) | | | (2,255 | ) | | | 906 | | | | 2,549 | | | | 11,590 | | | | 54,696 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $17,503, $306 and $12, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $11,895, $349 and $6, respectively. |
| ʊ | The Portfolio commenced operations on November 15, 2021. |
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap International Portfolio | | | International Core Equity Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 21.06 | | | $ | 27.63 | | | $ | 20.90 | | | $ | 22.78 | | | $ | 21.29 | | | $ | 12.22 | | | $ | 16.35 | | | $ | 12.08 | | | $ | 13.19 | | | $ | 12.65 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.76 | | | | 0.78 | | | | 0.70 | | | | 0.49 | | | | 0.70 | | | | 0.46 | | | | 0.47 | | | | 0.40 | | | | 0.28 | | | | 0.41 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 2.22 | | | | (6.54 | ) | | | 6.70 | | | | (1.87 | ) | | | 1.47 | | | | 1.25 | | | | (4.07 | ) | | | 4.24 | | | | (1.11 | ) | | | 0.53 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 2.98 | | | | (5.76 | ) | | | 7.40 | | | | (1.38 | ) | | | 2.17 | | | | 1.71 | | | | (3.60 | ) | | | 4.64 | | | | (0.83 | ) | | | 0.94 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.70 | ) | | | (0.81 | ) | | | (0.67 | ) | | | (0.50 | ) | | | (0.68 | ) | | | (0.40 | ) | | | (0.53 | ) | | | (0.37 | ) | | | (0.28 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.70 | ) | | | (0.81 | ) | | | (0.67 | ) | | | (0.50 | ) | | | (0.68 | ) | | | (0.40 | ) | | | (0.53 | ) | | | (0.37 | ) | | | (0.28 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 23.34 | | | $ | 21.06 | | | $ | 27.63 | | | $ | 20.90 | | | $ | 22.78 | | | $ | 13.53 | | | $ | 12.22 | | | $ | 16.35 | | | $ | 12.08 | | | $ | 13.19 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 14.00 | % | | | (21.12 | %) | | | 35.55 | % | | | (6.05 | %) | | | 10.38 | % | | | 13.84 | % | | | (22.29 | %) | | | 38.56 | % | | | (6.32 | %) | | | 7.67 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 5,118,467 | | | $ | 4,820,678 | | | $ | 6,032,181 | | | $ | 4,700,488 | | | $ | 5,356,475 | | | $ | 27,369,353 | | | $ | 26,208,206 | | | $ | 34,629,583 | | | $ | 24,965,561 | | | $ | 30,559,427 | |
Ratio of Expenses to Average Net Assets | | | 0.17 | % | | | 0.17 | % | | | 0.19 | % | | | 0.22 | % | | | 0.23 | % | | | 0.23 | % | | | 0.24 | % | | | 0.25 | % | | | 0.30 | % | | | 0.29 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly) | | | 0.17 | % | | | 0.17 | % | | | 0.19 | % | | | 0.23 | % | | | 0.24 | % | | | 0.23 | % | | | 0.24 | % | | | 0.25 | % | | | 0.30 | % | | | 0.31 | % |
Ratio of Net Investment Income to Average Net Assets | | | 3.12 | % | | | 3.17 | % | | | 2.65 | % | | | 2.31 | % | | | 3.22 | % | | | 3.21 | % | | | 3.27 | % | | | 2.56 | % | | | 2.24 | % | | | 3.21 | % |
Portfolio Turnover Rate | | | 8 | % | | | 9 | % | | | 14 | % | | | 19 | % | | | 7 | % | | | 9 | % | | | 11 | % | | | 8 | % | | | 4 | % | | | 6 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Global Small Company Portfolio | | | | | | | | | International Small Company Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | | | | | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 12.52 | | | $ | 15.52 | | | $ | 10.50 | | | $ | 11.07 | | | $ | 10.73 | | | | | | | | | | | $ | 15.93 | | | $ | 23.29 | | | $ | 16.84 | | | $ | 18.21 | | | $ | 18.46 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.24 | | | | 0.23 | | | | 0.22 | | | | 0.15 | | | | 0.18 | | | | | | | | | | | | 0.52 | | | | 0.54 | | | | 0.41 | | | | 0.33 | | | | 0.43 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 0.02 | | | | (2.68 | ) | | | 4.97 | | | | (0.55 | ) | | | 0.27 | | | | | | | | | | | | 1.19 | | | | (6.44 | ) | | | 6.42 | | | | (0.93 | ) | | | 0.58 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.26 | | | | (2.45 | ) | | | 5.19 | | | | (0.40 | ) | | | 0.45 | | | | | | | | | | | | 1.71 | | | | (5.90 | ) | | | 6.83 | | | | (0.60 | ) | | | 1.01 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.16 | ) | | | (0.25 | ) | | | (0.17 | ) | | | (0.17 | ) | | | (0.11 | ) | | | | | | | | | | | (0.53 | ) | | | (0.67 | ) | | | (0.38 | ) | | | (0.37 | ) | | | (0.44 | ) |
Net Realized Gains | | | — | | | | (0.30 | ) | | | — | | | | — | | | | — | | | | | | | | | | | | (0.21 | ) | | | (0.79 | ) | | | — | | | | (0.40 | ) | | | (0.82 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.16 | ) | | | (0.55 | ) | | | (0.17 | ) | | | (0.17 | ) | | | (0.11 | ) | | | | | | | | | | | (0.74 | ) | | | (1.46 | ) | | | (0.38 | ) | | | (0.77 | ) | | | (1.26 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 12.62 | | | $ | 12.52 | | | $ | 15.52 | | | $ | 10.50 | | | $ | 11.07 | | | | | | | | | | | $ | 16.90 | | | $ | 15.93 | | | $ | 23.29 | | | $ | 16.84 | | | $ | 18.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 2.05 | % | | | (16.32 | %) | | | 49.81 | % | | | (3.75 | %) | | | 4.29 | % | | | | | | | | | | | 10.58 | % | | | (26.55 | %) | | | 40.83 | % | | | (3.64 | %) | | | 6.44 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 73,599 | | | $ | 82,920 | | | $ | 99,631 | | | $ | 43,568 | | | $ | 41,286 | | | | | | | | | | | $ | 10,045,487 | | | $ | 9,320,095 | | | $ | 13,465,853 | | | $ | 10,148,132 | | | $ | 12,750,110 | |
Ratio of Expenses to Average Net Assets *(B) | | | 0.42 | % | | | 0.44 | % | | | 0.47 | % | | | 0.47 | % | | | 0.49 | % | | | | | | | | | | | 0.39 | % | | | 0.41 | % | | | 0.46 | % | | | 0.53 | % | | | 0.54 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) *(B) | | | 0.64 | % | | | 0.66 | % | | | 0.71 | % | | | 0.85 | % | | | 0.93 | % | | | | | | | | | | | 0.39 | % | | | 0.41 | % | | | 0.46 | % | | | 0.53 | % | | | 0.54 | % |
Ratio of Net Investment Income to Average Net Assets | | | 1.81 | % | | | 1.66 | % | | | 1.49 | % | | | 1.50 | % | | | 1.69 | % | | | | | | | | | | | 2.89 | % | | | 2.79 | % | | | 1.90 | % | | | 1.96 | % | | | 2.44 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund fees and expenses incurred by the Portfolio indirectly as a result of Portfolio’s investment in Underlying Funds as follows: | | | 0.22 | % | | | 0.22 | % | | | 0.24 | % | | | 0.27 | % | | | 0.27 | % | | | | | | | | | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Japanese Small Company Portfolio | | | | | | | | | Asia Pacific Small Company Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | | | | | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 18.69 | | | $ | 25.80 | | | $ | 23.39 | | | $ | 24.89 | | | $ | 25.70 | | | | | | | | | | | $ | 17.39 | | | $ | 26.94 | | | $ | 20.13 | | | $ | 21.11 | | | $ | 20.83 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.49 | | | | 0.48 | | | | 0.44 | | | | 0.40 | | | | 0.45 | | | | | | | | | | | | 0.73 | | | | 0.84 | | | | 0.75 | | | | 0.75 | | | | 0.77 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 2.87 | | | | (6.33 | ) | | | 2.51 | | | | (0.91 | ) | | | 0.37 | | | | | | | | | | | | (0.46 | ) | | | (7.40 | ) | | | 6.74 | | | | (0.77 | ) | | | 0.19 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 3.36 | | | | (5.85 | ) | | | 2.95 | | | | (0.51 | ) | | | 0.82 | | | | | | | | | | | | 0.27 | | | | (6.56 | ) | | | 7.49 | | | | (0.02 | ) | | | 0.96 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.26 | ) | | | (0.53 | ) | | | (0.54 | ) | | | (0.61 | ) | | | (0.28 | ) | | | | | | | | | | | (0.75 | ) | | | (1.07 | ) | | | (0.68 | ) | | | (0.96 | ) | | | (0.68 | ) |
Net Realized Gains | | | (0.83 | ) | | | (0.73 | ) | | | — | | | | (0.38 | ) | | | (1.35 | ) | | | | | | | | | | | (1.01 | ) | | | (1.92 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (1.09 | ) | | | (1.26 | ) | | | (0.54 | ) | | | (0.99 | ) | | | (1.63 | ) | | | | | | | | | | | (1.76 | ) | | | (2.99 | ) | | | (0.68 | ) | | | (0.96 | ) | | | (0.68 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 20.96 | | | $ | 18.69 | | | $ | 25.80 | | | $ | 23.39 | | | $ | 24.89 | | | | | | | | | | | $ | 15.90 | | | $ | 17.39 | | | $ | 26.94 | | | $ | 20.13 | | | $ | 21.11 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 18.33 | % | | | (23.79 | %) | | | 12.66 | % | | | (2.32 | %) | | | 4.01 | % | | | | | | | | | | | 0.37 | % | | | (26.90 | %) | | | 37.81 | % | | | (0.23 | %) | | | 4.81 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 248,620 | | | $ | 267,551 | | | $ | 379,837 | | | $ | 466,696 | | | $ | 640,068 | | | | | | | | | | | $ | 163,212 | | | $ | 230,202 | | | $ | 381,490 | | | $ | 378,682 | | | $ | 340,649 | |
Ratio of Expenses to Average Net Assets | | | 0.40 | % | | | 0.42 | % | | | 0.47 | % | | | 0.54 | % | | | 0.55 | % | | | | | | | | | | | 0.40 | % | | | 0.42 | % | | | 0.48 | % | | | 0.54 | % | | | 0.57 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) | | | 0.50 | % | | | 0.52 | % | | | 0.57 | % | | | 0.64 | % | | | 0.65 | % | | | | | | | | | | | 0.50 | % | | | 0.52 | % | | | 0.58 | % | | | 0.64 | % | | | 0.67 | % |
Ratio of Net Investment Income to Average Net Assets | | | 2.33 | % | | | 2.24 | % | | | 1.69 | % | | | 1.74 | % | | | 1.91 | % | | | | | | | | | | | 4.08 | % | | | 3.95 | % | | | 3.01 | % | | | 3.92 | % | | | 3.65 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | United Kingdom Small Company Portfolio | | | | | | | | | Continental Small Company Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | | | | | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 19.89 | | | $ | 31.72 | | | $ | 21.35 | | | $ | 27.85 | | | $ | 26.95 | | | | | | | | | | | $ | 23.75 | | | $ | 35.27 | | | $ | 23.82 | | | $ | 24.84 | | | $ | 24.37 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.82 | | | | 0.94 | | | | 0.58 | | | | 0.43 | | | | 0.76 | | | | | | | | | | | | 0.81 | | | | 0.76 | | | | 0.57 | | | | 0.40 | | | | 0.55 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 0.96 | | | | (11.25 | ) | | | 10.31 | | | | (4.00 | ) | | | 1.68 | | | | | | | | | | | | 1.96 | | | | (10.80 | ) | | | 11.45 | | | | (1.04 | ) | | | 1.23 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.78 | | | | (10.31 | ) | | | 10.89 | | | | (3.57 | ) | | | 2.44 | | | | | | | | | | | | 2.77 | | | | (10.04 | ) | | | 12.02 | | | | (0.64 | ) | | | 1.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.50 | ) | | | (0.97 | ) | | | (0.52 | ) | | | (0.68 | ) | | | (0.47 | ) | | | | | | | | | | | (0.84 | ) | | | (0.80 | ) | | | (0.57 | ) | | | (0.38 | ) | | | (0.51 | ) |
Net Realized Gains | | | — | | | | (0.55 | ) | | | — | | | | (2.25 | ) | | | (1.07 | ) | | | | | | | | | | | — | | | | (0.68 | ) | | | — | | | | — | | | | (0.80 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.50 | ) | | | (1.52 | ) | | | (0.52 | ) | | | (2.93 | ) | | | (1.54 | ) | | | | | | | | | | | (0.84 | ) | | | (1.48 | ) | | | (0.57 | ) | | | (0.38 | ) | | | (1.31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 21.17 | | | $ | 19.89 | | | $ | 31.72 | | | $ | 21.35 | | | $ | 27.85 | | | | | | | | | | | $ | 25.68 | | | $ | 23.75 | | | $ | 35.27 | | | $ | 23.82 | | | $ | 24.84 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 8.78 | % | | | (33.62 | %) | | | 51.31 | % | | | (15.27 | %) | | | 10.14 | % | | | | | | | | | | | 11.43 | % | | | (29.26 | %) | | | 50.70 | % | | | (2.63 | %) | | | 7.94 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 18,698 | | | $ | 18,398 | | | $ | 44,133 | | | $ | 16,867 | | | $ | 26,540 | | | | | | | | | | | $ | 657,020 | | | $ | 616,323 | | | $ | 867,759 | | | $ | 537,744 | | | $ | 657,105 | |
Ratio of Expenses to Average Net Assets | | | 0.51 | % | | | 0.56 | % | | | 0.59 | % | | | 0.59 | % | | | 0.59 | % | | | | | | | | | | | 0.39 | % | | | 0.42 | % | | | 0.47 | % | | | 0.54 | % | | | 0.56 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) | | | 0.61 | % | | | 0.66 | % | | | 0.74 | % | | | 0.86 | % | | | 0.82 | % | | | | | | | | | | | 0.49 | % | | | 0.52 | % | | | 0.57 | % | | | 0.64 | % | | | 0.66 | % |
Ratio of Net Investment Income to Average Net Assets | | | 3.50 | % | | | 3.62 | % | | | 1.88 | % | | | 1.89 | % | | | 2.92 | % | | | | | | | | | | | 2.88 | % | | | 2.61 | % | | | 1.76 | % | | | 1.68 | % | | | 2.30 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 International Real Estate Securities Portfolio | | | | | | | | | DFA Global Real Estate Securities Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | | | | | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 3.38 | | | $ | 5.04 | | | $ | 3.77 | | | $ | 5.61 | | | $ | 4.85 | | | | | | | | | | | $ | 9.86 | | | $ | 13.29 | | | $ | 9.57 | | | $ | 12.71 | | | $ | 10.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.16 | | | | 0.15 | | | | 0.16 | | | | 0.15 | | | | 0.20 | | | | | | | | | | | | 0.21 | | | | 0.49 | | | | 0.16 | | | | 0.68 | | | | 0.34 | ** |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | (0.28 | ) | | | (1.44 | ) | | | 1.11 | | | | (1.35 | ) | | | 0.83 | | | | | | | | | | | | (0.76 | ) | | | (3.32 | ) | | | 3.80 | | | | (3.00 | ) | | | 2.16 | ** |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.12 | ) | | | (1.29 | ) | | | 1.27 | | | | (1.20 | ) | | | 1.03 | | | | | | | | | | | | (0.55 | ) | | | (2.83 | ) | | | 3.96 | | | | (2.32 | ) | | | 2.50 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | — | | | | (0.37 | ) | | | — | | | | (0.64 | ) | | | (0.27 | ) | | | | | | | | | | | (0.14 | ) | | | (0.48 | ) | | | (0.20 | ) | | | (0.70 | ) | | | (0.50 | ) |
Net Realized Gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | | | | | | | | | (0.41 | ) | | | (0.12 | ) | | | (0.04 | ) | | | (0.12 | ) | | | (— | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | — | | | | (0.37 | ) | | | — | | | | (0.64 | ) | | | (0.27 | ) | | | | | | | | | | | (0.55 | ) | | | (0.60 | ) | | | (0.24 | ) | | | (0.82 | ) | | | (0.50 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 3.26 | | | $ | 3.38 | | | $ | 5.04 | | | $ | 3.77 | | | $ | 5.61 | | | | | | | | | | | $ | 8.76 | | | $ | 9.86 | | | $ | 13.29 | | | $ | 9.57 | | | $ | 12.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (3.55 | %) | | | (27.50 | %) | | | 33.69 | % | | | (23.98 | %) | | | 22.54 | % | | | | | | | | | | | (6.27 | %) | | | (22.34 | %) | | | 42.08 | % | | | (19.28 | %) | | | 24.55 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 3,514,043 | | | $
|
4,452,148 |
| | $
|
5,987,464 |
| | $ | 4,646,848 | | | $ | 6,297,963 | | | | | | | | | | | $ | 6,661,881 | | | $ | 7,871,073 | | | $ | 10,537,586 | | | $ | 7,225,825 | | | $ | 9,269,011 | |
Ratio of Expenses to Average Net Assets * | | | 0.26 | % | | | 0.27 | % | | | 0.27 | % | | | 0.26 | % | | | 0.27 | % | | | | | | | | | | | 0.23 | %(B) | | | 0.24 | %(B) | | | 0.24 | %(B) | | | 0.24 | %(B) | | | 0.24 | %(B) |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly) * | | | 0.27 | % | | | 0.27 | % | | | 0.27 | % | | | 0.27 | % | | | 0.28 | % | | | | | | | | | | | 0.31 | %(B) | | | 0.33 | %(B) | | | 0.34 | %(B) | | | 0.34 | %(B) | | | 0.35 | %(B) |
Ratio of Net Investment Income to Average Net Assets | | | 4.30 | % | | | 3.67 | % | | | 3.29 | % | | | 3.61 | % | | | 4.01 | % | | | | | | | | | | | 2.12 | % | | | 4.14 | % | | | 1.33 | % | | | 6.44 | % | | | 2.95 | %** |
Portfolio Turnover Rate | | | 6 | % | | | 6 | % | | | 8 | % | | | 12 | % | | | 8 | % | | | | | | | | | | | 0 | % | | | 1 | % | | | 1 | % | | | 0 | % | | | 0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund fees and expenses incurred by the Portfolio indirectly as a result of Portfolio’s investment in Underlying Funds as follows: | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | | | | | | | | | 0.09 | % | | | 0.10 | % | | | 0.11 | % | | | 0.12 | % | | | 0.13 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | DFA International Small Cap Value Portfolio | | | International Vector Equity Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 16.81 | | | $ | 22.14 | | | $ | 15.65 | | | $ | 18.58 | | | $ | 19.24 | | | $ | 10.67 | | | $ | 14.51 | | | $ | 10.42 | | | $ | 11.62 | | | $ | 11.74 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.66 | | | | 0.61 | | | | 0.44 | | | | 0.33 | | | | 0.45 | | | | 0.40 | | | | 0.40 | | | | 0.32 | | | | 0.23 | | | | 0.33 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 2.33 | | | | (5.05 | ) | | | 6.48 | | | | (2.65 | ) | | | (0.01 | ) | | | 1.14 | | | | (3.52 | ) | | | 4.06 | | | | (1.20 | ) | | | 0.24 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 2.99 | | | | (4.44 | ) | | | 6.92 | | | | (2.32 | ) | | | 0.44 | | | | 1.54 | | | | (3.12 | ) | | | 4.38 | | | | (0.97 | ) | | | 0.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.60 | ) | | | (0.73 | ) | | | (0.43 | ) | | | (0.32 | ) | | | (0.48 | ) | | | (0.34 | ) | | | (0.45 | ) | | | (0.29 | ) | | | (0.23 | ) | | | (0.34 | ) |
Net Realized Gains | | | — | | | | (0.16 | ) | | | — | | | | (0.29 | ) | | | (0.62 | ) | | | — | | | | (0.27 | ) | | | — | | | | — | | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.60 | ) | | | (0.89 | ) | | | (0.43 | ) | | | (0.61 | ) | | | (1.10 | ) | | | (0.34 | ) | | | (0.72 | ) | | | (0.29 | ) | | | (0.23 | ) | | | (0.69 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 19.20 | | | $ | 16.81 | | | $ | 22.14 | | | $ | 15.65 | | | $ | 18.58 | | | $ | 11.87 | | | $ | 10.67 | | | $ | 14.51 | | | $ | 10.42 | | | $ | 11.62 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 17.80 | % | | | (20.53 | %) | | | 44.61 | % | | | (13.03 | %) | | | 2.94 | % | | | 14.34 | % | | | (22.16 | %) | | | 42.24 | % | | | (8.41 | %) | | | 5.49 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 10,041,697 | | | $ | 9,664,700 | | | $ | 12,784,711 | | | $ | 9,887,928 | | | $ | 13,428,084 | | | $ | 3,032,135 | | | $ | 2,882,931 | | | $ | 3,716,790 | | | $ | 2,722,859 | | | $ | 2,578,134 | |
Ratio of Expenses to Average Net Assets | | | 0.43 | % | | | 0.46 | % | | | 0.53 | % | | | 0.65 | % | | | 0.68 | % | | | 0.34 | % | | | 0.36 | % | | | 0.42 | % | | | 0.47 | % | | | 0.50 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | | | 0.43 | % | | | 0.46 | % | | | 0.53 | % | | | 0.66 | % | | | 0.69 | % | | | 0.34 | % | | | 0.36 | % | | | 0.42 | % | | | 0.48 | % | | | 0.50 | % |
Ratio of Net Investment Income to Average Net Assets | | | 3.35 | % | | | 3.13 | % | | | 2.13 | % | | | 2.02 | % | | | 2.48 | % | | | 3.20 | % | | | 3.16 | % | | | 2.35 | % | | | 2.20 | % | | | 2.94 | % |
Portfolio Turnover Rate | | | 13 | % | | | 24 | % | | | 15 | % | | | 14 | % | | | 18 | % | | | 13 | % | | | 17 | % | | | 15 | % | | | 18 | % | | | 17 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | International High Relative Profitability Portfolio | | | | | | | | | World Ex U.S. Value Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | | | | | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 10.12 | | | $ | 13.73 | | | $ | 10.64 | | | $ | 10.74 | | | $ | 9.71 | | | | | | | | | | | $ | 10.14 | | | $ | 12.67 | | | $ | 8.99 | | | $ | 10.97 | | | $ | 11.16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.32 | | | | 0.38 | | | | 0.30 | | | | 0.21 | | | | 0.27 | | | | | | | | | | | | 0.48 | | | | 0.47 | | | | 0.38 | | | | 0.25 | | | | 0.35 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 1.07 | | | | (3.51 | ) | | | 3.08 | | | | (0.13 | ) | | | 1.00 | | | | | | | | | | | | 1.20 | | | | (2.49 | ) | | | 3.66 | | | | (1.96 | ) | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.39 | | | | (3.13 | ) | | | 3.38 | | | | 0.08 | | | | 1.27 | | | | | | | | | | | | 1.68 | | | | (2.02 | ) | | | 4.04 | | | | (1.71 | ) | | | 0.39 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.31 | ) | | | (0.37 | ) | | | (0.29 | ) | | | (0.18 | ) | | | (0.24 | ) | | | | | | | | | | | (0.48 | ) | | | (0.51 | ) | | | (0.36 | ) | | | (0.27 | ) | | | (0.35 | ) |
Net Realized Gains | | | — | | | | (0.11 | ) | | | — | | | | — | | | | — | | | | | | | | | | | | — | | | | — | | | | — | | | | — | | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.31 | ) | | | (0.48 | ) | | | (0.29 | ) | | | (0.18 | ) | | | (0.24 | ) | | | | | | | | | | | (0.48 | ) | | | (0.51 | ) | | | (0.36 | ) | | | (0.27 | ) | | | (0.58 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 11.20 | | | $ | 10.12 | | | $ | 13.73 | | | $ | 10.64 | | | $ | 10.74 | | | | | | | | | | | $ | 11.34 | | | $ | 10.14 | | | $ | 12.67 | | | $ | 8.99 | | | $ | 10.97 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 13.58 | % | | | (23.22 | %) | | | 31.85 | % | | | 0.80 | % | | | 13.19 | % | | | | | | | | | | | 16.53 | % | | | (16.23 | %) | | | 45.23 | % | | | (15.76 | %) | | | 3.75 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 1,473,478 | | | $ | 1,606,634 | | | $ | 2,183,724 | | | $ | 1,475,345 | | | $ | 658,448 | | | | | | | | | | | $ | 241,685 | | | $ | 194,259 | | | $ | 308,666 | | | $ | 206,915 | | | $ | 302,369 | |
Ratio of Expenses to Average Net Assets * | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.33 | % | | | | | | | | | | | 0.36 | %(B) | | | 0.40 | %(B) | | | 0.44 | %(B) | | | 0.50 | %(B) | | | 0.54 | %(B) |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly) * | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.31 | % | | | 0.34 | % | | | | | | | | | | | 0.55 | %(B) | | | 0.59 | %(B) | | | 0.64 | %(B) | | | 0.71 | %(B) | | | 0.76 | %(B) |
Ratio of Net Investment Income to Average Net Assets | | | 2.71 | % | | | 3.15 | % | | | 2.30 | % | | | 1.97 | % | | | 2.69 | % | | | | | | | | | | | 4.08 | % | | | 4.02 | % | | | 3.14 | % | | | 2.56 | % | | | 3.25 | % |
Portfolio Turnover Rate | | | 11 | % | | | 22 | % | | | 15 | % | | | 15 | % | | | 9 | % | | | | | | | | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund fees and expenses incurred by the Portfolio indirectly as a result of Portfolio’s investment in Underlying Funds as follows: | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | | | | | | | | | 0.19 | % | | | 0.19 | % | | | 0.20 | % | | | 0.23 | % | | | 0.24 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | World Ex U.S. Core Equity Portfolio | | | | | World Ex U.S. Targeted Value Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 10.35 | | | $ | 13.84 | | | $ | 10.44 | | | $ | 11.17 | | | $ | 10.65 | | | | | $ | 11.02 | | | $ | 15.29 | | | $ | 10.91 | | | $ | 12.45 | | | $ | 12.52 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.38 | | | | 0.40 | | | | 0.33 | | | | 0.24 | | | | 0.33 | | | | | | 0.40 | | | | 0.39 | | | | 0.32 | | | | 0.23 | | | | 0.32 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 1.08 | | | | (3.48 | ) | | | 3.40 | | | | (0.74 | ) | | | 0.56 | | | | | | 1.35 | | | | (3.55 | ) | | | 4.34 | | | | (1.45 | ) | | | 0.26 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.46 | | | | (3.08 | ) | | | 3.73 | | | | (0.50 | ) | | | 0.89 | | | | | | 1.75 | | | | (3.16 | ) | | | 4.66 | | | | (1.22 | ) | | | 0.58 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.37 | ) | | | (0.41 | ) | | | (0.33 | ) | | | (0.23 | ) | | | (0.32 | ) | | | | | (0.38 | ) | | | (0.39 | ) | | | (0.28 | ) | | | (0.21 | ) | | | (0.29 | ) |
Net Realized Gains | | | — | | | | — | | | | — | | | | — | | | | (0.05 | ) | | | | | — | | | | (0.72 | ) | | | — | | | | (0.11 | ) | | | (0.36 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.37 | ) | | | (0.41 | ) | | | (0.33 | ) | | | (0.23 | ) | | | (0.37 | ) | | | | | (0.38 | ) | | | (1.11 | ) | | | (0.28 | ) | | | (0.32 | ) | | | (0.65 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 11.44 | | | $ | 10.35 | | | $ | 13.84 | | | $ | 10.44 | | | $ | 11.17 | | | | | $ | 12.39 | | | $ | 11.02 | | | $ | 15.29 | | | $ | 10.91 | | | $ | 12.45 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 14.01 | % | | | (22.55 | %) | | | 35.87 | % | | | (4.42 | %) | | | 8.64 | % | | | | | 15.76 | % | | | (21.77 | %) | | | 42.81 | % | | | (9.96 | %) | | | 4.99 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 3,343,709 | | | $ | 3,122,060 | | | $ | 4,089,166 | | | $ | 3,210,237 | | | $ | 3,719,313 | | | | | $ | 637,254 | | | $ | 567,557 | | | $ | 774,324 | | | $ | 508,058 | | | $ | 533,046 | |
Ratio of Expenses to Average Net Assets | | | 0.30 | % | | | 0.30 | % | | | 0.32 | % | | | 0.35 | % | | | 0.37 | % | | | | | 0.48 | % | | | 0.52 | % | | | 0.55 | % | | | 0.64 | % | | | 0.68 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly) | | | 0.30 | % | | | 0.30 | % | | | 0.32 | % | | | 0.36 | % | | | 0.38 | % | | | | | 0.48 | % | | | 0.52 | % | | | 0.55 | % | | | 0.64 | % | | | 0.69 | % |
Ratio of Net Investment Income to Average Net Assets | | | 3.12 | % | | | 3.25 | % | | | 2.49 | % | | | 2.26 | % | | | 3.02 | % | | | | | 3.08 | % | | | 2.98 | % | | | 2.20 | % | | | 2.02 | % | | | 2.58 | % |
Portfolio Turnover Rate | | | 10 | % | | | 12 | % | | | 6 | % | | | 13 | % | | | 8 | % | | | | | 24 | % | | | 35 | % | | | 28 | % | | | 22 | % | | | 27 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | World Core Equity Portfolio | | | | | | | | | Selectively Hedged Global Equity Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | | | | | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 18.24 | | | $ | 22.56 | | | $ | 16.29 | | | $ | 16.42 | | | $ | 15.40 | | | | | | | | | | | $ | 18.09 | | | $ | 22.35 | | | $ | 16.21 | | | $ | 16.54 | | | $ | 15.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.39 | | | | 0.45 | | | | 0.34 | | | | 0.29 | | | | 0.35 | | | | | | | | | | | | 0.37 | | | | 0.44 | | | | 0.33 | | | | 0.28 | | | | 0.35 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 1.38 | | | | (4.15 | ) | | | 6.27 | | | | (0.10 | ) | | | 1.13 | | | | | | | | | | | | 1.28 | | | | (3.29 | ) | | | 6.21 | | | | (0.18 | ) | | | 1.12 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.77 | | | | (3.70 | ) | | | 6.61 | | | | 0.19 | | | | 1.48 | | | | | | | | | | | | 1.65 | | | | (2.85 | ) | | | 6.54 | | | | 0.10 | | | | 1.47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.39 | ) | | | (0.45 | ) | | | (0.34 | ) | | | (0.29 | ) | | | (0.35 | ) | | | | | | | | | | | (1.03 | ) | | | (0.44 | ) | | | (0.20 | ) | | | (0.43 | ) | | | (0.44 | ) |
Net Realized Gains | | | (0.27 | ) | | | (0.17 | ) | | | — | | | | (0.03 | ) | | | (0.11 | ) | | | | | | | | | | | (0.61 | ) | | | (0.97 | ) | | | (0.20 | ) | | | — | | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.66 | ) | | | (0.62 | ) | | | (0.34 | ) | | | (0.32 | ) | | | (0.46 | ) | | | | | | | | | | | (1.64 | ) | | | (1.41 | ) | | | (0.40 | ) | | | (0.43 | ) | | | (0.64 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 19.35 | | | $ | 18.24 | | | $ | 22.56 | | | $ | 16.29 | | | $ | 16.42 | | | | | | | | | | | $ | 18.10 | | | $ | 18.09 | | | $ | 22.35 | | | $ | 16.21 | | | $ | 16.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 9.65 | % | | | (16.62 | %) | | | 40.75 | % | | | 1.25 | % | | | 9.94 | % | | | | | | | | | | | 9.43 | % | | | (13.65 | %) | | | 40.81 | % | | | 0.47 | % | | | 10.10 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 957,732 | | | $ | 949,017 | | | $ | 1,088,714 | | | $ | 769,602 | | | $ | 879,553 | | | | | | | | | | | $ | 255,330 | | | $ | 270,708 | | | $ | 348,707 | | | $ | 288,509 | | | $ | 375,832 | |
Ratio of Expenses to Average Net Assets * | | | 0.27 | % | | | 0.27 | % | | | 0.28 | % | | | 0.32 | % | | | 0.33 | % | | | | | | | | | | | 0.32 | % | | | 0.31 | % | | | 0.32 | % | | | 0.36 | % | | | 0.37 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) * | | | 0.44 | % | | | 0.45 | % | | | 0.46 | % | | | 0.56 | % | | | 0.60 | % | | | | | | | | | | | 0.52 | % | | | 0.51 | % | | | 0.53 | % | | | 0.61 | % | | | 0.63 | % |
Ratio of Net Investment Income to Average Net Assets | | | 1.94 | % | | | 2.22 | % | | | 1.64 | % | | | 1.81 | % | | | 2.23 | % | | | | | | | | | | | 2.02 | % | | | 2.25 | % | | | 1.60 | % | | | 1.78 | % | | | 2.25 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund fees and expenses incurred by the Portfolio indirectly as a result of Portfolio’s investment in Underlying Funds as follows: | | | 0.20 | % | | | 0.20 | % | | | 0.22 | % | | | 0.25 | % | | | 0.27 | % | | | | | | | | | | | 0.23 | % | | | 0.24 | % | | | 0.25 | % | | | 0.28 | % | | | 0.30 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Emerging Markets Portfolio | | | | | Emerging Markets Small Cap Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 22.78 | | | $ | 33.05 | | | $ | 27.64 | | | $ | 27.56 | | | $ | 25.46 | | | | | $ | 18.76 | | | $ | 26.03 | | | $ | 19.67 | | | $ | 20.07 | | | $ | 18.72 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.82 | | | | 0.88 | | | | 0.74 | | | | 0.55 | | | | 0.73 | | | | | | 0.55 | | | | 0.59 | | | | 0.52 | | | | 0.41 | | | | 0.48 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 2.17 | | | | (9.07 | ) | | | 5.32 | | | | 0.07 | | | | 2.05 | | | | | | 2.28 | | | | (6.16 | ) | | | 6.41 | | | | (0.24 | ) | | | 1.87 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 2.99 | | | | (8.19 | ) | | | 6.06 | | | | 0.62 | | | | 2.78 | | | | | | 2.83 | | | | (5.57 | ) | | | 6.93 | | | | 0.17 | | | | 2.35 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.77 | ) | | | (0.91 | ) | | | (0.65 | ) | | | (0.54 | ) | | | (0.68 | ) | | | | | (0.49 | ) | | | (1.00 | ) | | | (0.57 | ) | | | (0.44 | ) | | | (0.46 | ) |
Net Realized Gains | | | (0.06 | ) | | | (1.17 | ) | | | — | | | | — | | | | — | | | | | | (0.41 | ) | | | (0.70 | ) | | | — | | | | (0.13 | ) | | | (0.54 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.83 | ) | | | (2.08 | ) | | | (0.65 | ) | | | (0.54 | ) | | | (0.68 | ) | | | | | (0.90 | ) | | | (1.70 | ) | | | (0.57 | ) | | | (0.57 | ) | | | (1.00 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 24.94 | | | $ | 22.78 | | | $ | 33.05 | | | $ | 27.64 | | | $ | 27.56 | | | | | $ | 20.69 | | | $ | 18.76 | | | $ | 26.03 | | | $ | 19.67 | | | $ | 20.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 13.02 | % | | | (25.94 | %) | | | 21.91 | % | | | 2.36 | % | | | 11.06 | % | | | | | 15.09 | % | | | (22.57 | %) | | | 35.51 | % | | | 0.81 | % | | | 12.96 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 4,327,065 | | | $ | 3,938,781 | | | $ | 6,225,187 | | | $ | 5,652,358 | | | $ | 5,968,318 | | | | | $ | 3,804,119 | | | $ | 3,511,909 | | | $ | 5,115,924 | | | $ | 4,879,733 | | | $ | 6,423,859 | |
Ratio of Expenses to Average Net Assets | | | 0.35 | % | | | 0.36 | % | | | 0.39 | % | | | 0.44 | % | | | 0.48 | % | | | | | 0.59 | % | | | 0.59 | % | | | 0.63 | % | | | 0.69 | % | | | 0.72 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) | | | 0.45 | % | | | 0.46 | % | | | 0.49 | % | | | 0.54 | % | | | 0.58 | % | | | | | 0.79 | % | | | 0.79 | % | | | 0.83 | % | | | 0.89 | % | | | 0.92 | % |
Ratio of Net Investment Income to Average Net Assets | | | 3.11 | % | | | 3.05 | % | | | 2.19 | % | | | 2.07 | % | | | 2.70 | % | | | | | 2.59 | % | | | 2.57 | % | | | 2.10 | % | | | 2.20 | % | | | 2.44 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
133
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Emerging Markets Value Portfolio | | | | | Emerging Markets Core Equity Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 24.08 | | | $ | 31.48 | | | $ | 23.93 | | | $ | 27.34 | | | $ | 26.81 | | | | | $ | 18.13 | | | $ | 25.16 | | | $ | 20.34 | | | $ | 20.59 | | | $ | 18.95 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment
Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 1.12 | | | | 1.32 | | | | 0.90 | | | | 0.71 | | | | 0.70 | | | | | | 0.67 | | | | 0.75 | | | | 0.57 | | | | 0.43 | | | | 0.53 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 2.68 | | | | (7.34 | ) | | | 7.50 | | | | (3.35 | ) | | | 0.57 | | | | | | 2.15 | | | | (6.97 | ) | | | 4.76 | | | | (0.22 | ) | | | 1.64 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 3.80 | | | | (6.02 | ) | | | 8.40 | | | | (2.64 | ) | | | 1.27 | | | | | | 2.82 | | | | (6.22 | ) | | | 5.33 | | | | 0.21 | | | | 2.17 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (1.09 | ) | | | (1.39 | ) | | | (0.85 | ) | | | (0.77 | ) | | | (0.74 | ) | | | | | (0.63 | ) | | | (0.81 | ) | | | (0.51 | ) | | | (0.46 | ) | | | (0.53 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (1.09 | ) | | | (1.39 | ) | | | (0.85 | ) | | | (0.77 | ) | | | (0.74 | ) | | | | | (0.63 | ) | | | (0.81 | ) | | | (0.51 | ) | | | (0.46 | ) | | | (0.53 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 26.79 | | | $ | 24.08 | | | $ | 31.48 | | | $ | 23.93 | | | $ | 27.34 | | | | | $ | 20.32 | | | $ | 18.13 | | | $ | 25.16 | | | $ | 20.34 | | | $ | 20.59 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 15.71 | % | | | (19.51 | %) | | | 35.24 | % | | | (9.75 | %) | | | 4.83 | % | | | | | 15.49 | % | | | (25.06 | %) | | | 26.19 | % | | | 1.13 | % | | | 11.61 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 9,936,834 | | | $ | 9,600,125 | | | $ | 13,258,001 | | | $ | 12,596,902 | | | $ | 17,161,936 | | | | | $ | 22,994,927 | | | $ | 20,968,575 | | | $ | 29,155,369 | | | $ | 24,780,700 | | | $ | 28,622,610 | |
Ratio of Expenses to Average Net Assets | | | 0.44 | % | | | 0.45 | % | | | 0.49 | % | | | 0.52 | % | | | 0.56 | % | | | | | 0.39 | % | | | 0.40 | % | | | 0.42 | % | | | 0.49 | % | | | 0.52 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly) | | | 0.54 | % | | | 0.55 | % | | | 0.59 | % | | | 0.62 | % | | | 0.66 | % | | | | | 0.39 | % | | | 0.40 | % | | | 0.42 | % | | | 0.50 | % | | | 0.53 | % |
Ratio of Net Investment Income to Average Net Assets | | | 4.03 | % | | | 4.49 | % | | | 2.92 | % | | | 2.87 | % | | | 2.54 | % | | | | | 3.18 | % | | | 3.33 | % | | | 2.26 | % | | | 2.19 | % | | | 2.62 | % |
Portfolio Turnover Rate | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | | | 11 | % | | | 14 | % | | | 10 | % | | | 15 | % | | | 4 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Emerging Markets Targeted Value Portfolio | | | | | Emerging
Markets Ex China Core
Equity Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Period
Nov 14,
2018ʊ to
Oct 31,
2019 | | | | | Year
Ended
Oct 31,
2023 | | | Period
Nov 15,
2021ʊ to
Oct 31,
2022 | |
Net Asset Value, Beginning of Period | | $ | 9.29 | | | $ | 13.13 | | | $ | 9.71 | | | $ | 10.43 | | | $ | 10.00 | | | | | $ | 7.76 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.27 | | | | 0.30 | | | | 0.28 | | | | 0.21 | | | | 0.24 | | | | | | 0.26 | | | | 0.28 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 1.13 | | | | (2.85 | ) | | | 3.39 | | | | (0.59 | ) | | | 0.20 | | | | | | 0.83 | | | | (2.28 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.40 | | | | (2.55 | ) | | | 3.67 | | | | (0.38 | ) | | | 0.44 | | | | | | 1.09 | | | | (2.00 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.24 | ) | | | (0.42 | ) | | | (0.23 | ) | | | (0.23 | ) | | | (0.01 | ) | | | | | (0.23 | ) | | | (0.24 | ) |
Net Realized Gains | | | (0.18 | ) | | | (0.87 | ) | | | (0.02 | ) | | | (0.11 | ) | | | — | | | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.42 | ) | | | (1.29 | ) | | | (0.25 | ) | | | (0.34 | ) | | | (0.01 | ) | | | | | (0.23 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 10.27 | | | $ | 9.29 | | | $ | 13.13 | | | $ | 9.71 | | | $ | 10.43 | | | | | $ | 8.62 | | | $ | 7.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 15.20 | % | | | (21.40 | %) | | | 38.29 | % | | | (3.89 | %) | | | 4.38 | %(C) | | | | | 14.04 | % | | | (20.16 | %)(C) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Period (thousands) | | $ | 219,178 | | | $ | 189,926 | | | $ | 234,921 | | | $ | 170,163 | | | $ | 114,360 | | | | | $ | 571,090 | | | $ | 424,447 | |
Ratio of Expenses to Average Net Assets | | | 0.66 | % | | | 0.66 | % | | | 0.72 | % | | | 0.84 | % | | | 0.85 | %(D)(E) | | | | | 0.42 | % | | | 0.43 | %(D) |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly) | | | 0.67 | % | | | 0.66 | % | | | 0.72 | % | | | 0.87 | % | | | 0.95 | %(D)(E) | | | | | 0.47 | % | | | 0.54 | %(D) |
Ratio of Net Investment Income to Average Net Assets | | | 2.55 | % | | | 2.72 | % | | | 2.19 | % | | | 2.26 | % | | | 2.30 | %(D)(E) | | | | | 2.94 | % | | | 3.20 | %(D) |
Portfolio Turnover Rate | | | 24 | % | | | 28 | % | | | 29 | % | | | 34 | % | | | 12 | %(C) | | | | | 16 | % | | | 41 | %(C) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes. See page 1-2 for the Definitions of Abbreviations and Footnotes. See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
DFA Investment Dimensions Group Inc. (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940 (the “1940 Act”), whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of one hundred and two operational portfolios, of which twenty-four (the “Portfolios”) are included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolios are investment companies, and accordingly, follow the accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”), Topic 946, “Financial Services-Investment Companies.”
Of the Portfolios, seven invest all of their assets in a corresponding series or fund (each such Portfolio, a “Feeder Fund”). Of the Feeder Funds, six invest all of their assets in a corresponding series of The DFA Investment Trust Company (“DFAITC”) and one invests all of its assets in the Dimensional Emerging Markets Value Fund (“DEM”) (each such series within DFAITC and DEM, a “Master Fund”, treated as partnerships for federal income tax purposes). Six of the Portfolios generally allocate their assets among other funds managed by Dimensional Fund Advisors LP (each such Portfolio, a “Fund of Funds”). The Fund of Funds may also invest in affiliated and unaffiliated registered and unregistered money market funds. The International Small Company Portfolio invests in five Master Funds within DFAITC. The Global Small Company Portfolio invests in six Master Funds within DFAITC and one underlying fund within the Fund (each such underlying fund within the Fund, an “Underlying Fund”). The DFA Global Real Estate Securities Portfolio invests in two Underlying Funds within the Fund and directly in securities. The World ex U.S. Value Portfolio invests in three Master/Underlying Funds within the Fund, DFAITC, and DEM. The World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio each invest in three Underlying Funds within the Fund. As of October 31, 2023, the following Portfolios were the owner of record of the following approximate percentages of the total outstanding shares of the following Master/Underlying Funds as detailed below:
| | | | | | |
Feeder Funds | | Master/Underlying Funds | | Percentage
Ownership
at 10/31/23 | |
Japanese Small Company Portfolio | | The Japanese Small Company Series | | | 10 | % |
Asia Pacific Small Company Portfolio | | The Asia Pacific Small Company Series | | | 14 | % |
United Kingdom Small Company Portfolio | | The United Kingdom Small Company Series | | | 43 | % |
Continental Small Company Portfolio | | The Continental Small Company Series | | | — | |
Emerging Markets Portfolio | | The Emerging Markets Series | | | 99 | % |
Emerging Markets Small Cap Portfolio | | The Emerging Markets Small Cap Series | | | — | |
Emerging Markets Value Portfolio | | Dimensional Emerging Markets Value Fund | | | 98 | % |
| | | | | | |
Funds of Funds | | Underlying Funds | | Percentage
Ownership
at 10/31/23 | |
International Small Company Portfolio | | The Continental Small Company Series | | | 86 | % |
| | The Japanese Small Company Series | | | 91 | % |
| | The United Kingdom Small Company Series | | | 98 | % |
| | The Asia Pacific Small Company Series | | | 86 | % |
| | The Canadian Small Company Series | | | 96 | % |
| | |
Global Small Company Portfolio | | U.S. Small Cap Portfolio | | | — | |
| | The Continental Small Company Series | | | — | |
| | The Japanese Small Company Series | | | — | |
| | The Asia Pacific Small Company Series | | | — | |
136
| | | | | | |
Funds of Funds | | Underlying Funds | | Percentage
Ownership
at 10/31/23 | |
| | The Canadian Small Company Series | | | — | |
| | The Emerging Markets Small Cap Series | | | — | |
| | The United Kingdom Small Company Series | | | — | |
| | |
DFA Global Real Estate Securities Portfolio* | | DFA Real Estate Securities Portfolio | | | — | |
| | DFA International Real Estate Securities Portfolio | | | 59 | % |
| | |
World ex U.S. Value Portfolio | | Dimensional Emerging Markets Value Fund | | | 7 | % |
| | DFA International Small Cap Value Portfolio | | | — | |
| | The DFA International Value Series | | | — | |
| | |
World Core Equity Portfolio | | U.S. Core Equity 1 Portfolio | | | 2 | % |
| | International Core Equity Portfolio | | | 1 | % |
| | Emerging Markets Core Equity Portfolio | | | — | |
| | |
Selectively Hedged Global Equity Portfolio | | U.S. Core Equity 2 Portfolio | | | 1 | % |
| | International Core Equity Portfolio | | | — | |
| | Emerging Markets Core Equity Portfolio | | | — | |
| * | DFA Global Real Estate Securities Portfolio invests in two Underlying Funds as indicated and securities listed on its Summary Schedule of Investments. |
To achieve its investment objective, each Feeder Fund and Fund of Funds invests substantially all of its assets in corresponding Master and/or Underlying Funds as indicated above. The DFA Global Real Estate Securities Portfolio may pursue its investment objective by investing its assets in its Underlying Funds and/or directly in securities of companies in the real estate industry. Each Feeder Fund and Fund of Funds also invests in short-term temporary cash investments and futures. In addition, each Fund of Funds may engage in forward currency contracts.
The financial statements of the Feeder Funds’ Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds.
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 Fund 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 fair value of investments, the reported amounts of assets and liabilities, the 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 use a fair value hierarchy, which prioritizes the inputs-to-valuation techniques used to measure fair value into three broad levels described below:
| | • | | Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, and futures contracts) |
| | • | | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
137
| | • | | Level 3 – significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments) |
Securities held by Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Core Equity Portfolio, World ex U.S. Targeted Value Portfolio, Emerging Markets Core Equity Portfolio, International High Relative Profitability Portfolio, Emerging Markets Targeted Value Portfolio and Emerging Markets ex China Core Equity Portfolio (the “International Equity Portfolios”), including over-the-counter securities, are valued at the last quoted sale price of the day. International equity securities are subject to a fair value factor, as described later in this note. Securities held by 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 International Equity Portfolios value the securities at the mean between the most recent quoted bid and ask prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management 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 Rule 2a-5 under the 1940 Act pursuant to procedures approved by the Board of Directors of the Fund. 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 Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio is calculated. When fair value pricing is used, the prices of securities used by the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 or Level 3 in the hierarchy.
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, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time at which 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 pricing of the International Equity Portfolios’ 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 calculated closing prices of the foreign investments on their primary foreign securities markets or exchanges. For these purposes, Dimensional Fund Advisors LP 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 International Equity Portfolios uses 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. These securities are generally categorized as Level 2 in the hierarchy.
Debt securities held by the Portfolios are valued on the basis of evaluated 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 that 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. These securities are generally categorized as Level 2 or Level 3 in the hierarchy.
138
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 quoted markets and are categorized as Level 2 in the hierarchy.
Shares held by the Portfolios in other investment companies (such as the Master/Underlying Funds) are valued at their respective daily net asset values as reported by their administrator. The Feeder Funds’, International Small Company Portfolio’s, Global Small Company Portfolio’s and World ex U.S. Value Portfolio’s investments in series of either DFAITC or DEM reflect their proportionate interest in the net assets of such corresponding Master Fund(s). 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 previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments (except for the Feeder Funds). The methodology or inputs used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
2. Foreign Currency Translation: Securities and other assets and liabilities of the Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and ask prices for the U.S. dollar as quoted by generally recognized reliable sources. To facilitate the translation, the Portfolios enter into foreign currency contracts. A foreign currency contract is a spot agreement between two parties to buy and sell currencies at current market exchange rates, for settlement generally within two business days. 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. The Portfolios also enter into forward currency contracts 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 foreign exchange rate fluctuations from the effect of fluctuations in the market prices of securities, whether realized or unrealized. However, the Selectively Hedged Global Equity Portfolio does isolate the effect of foreign currency rate fluctuations 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 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 of securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the International Equity Portfolios and Selectively Hedged Global Equity Portfolio and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director of the Fund may elect to participate in the Fee Deferral Plan for Independent Directors and Trustees (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: the U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Large Company 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, DFA Inflation-Protected Securities 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.
The Directors may receive their distributions of proceeds by 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 (the “Notice”) to defer the receipt of the Director’s deferred compensation until a date specified by such Director in the Notice. The 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 Directors 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
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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 (unless the Director files an amended Notice selecting a different distribution date).
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 and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividend income received in the form of securities in-lieu of cash, if any, are recorded at the fair value of securities received. Distributions received on securities and from the investment in affiliated investment companies that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of received distributions 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, using the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or the Portfolios are allocated using methods approved by the Board, generally based on average net assets.
Organizational costs are expensed during the fiscal year of inception of the Portfolios. Offering costs are amortized over a twelve-month period from the inception of the Portfolios.
The Feeder Funds, International Small Company Portfolio, Global Small Company Portfolio, and World ex U.S. Value Portfolio recognize their pro-rata shares of net investment income and realized and unrealized gains/losses on a daily basis from their respective Master Fund(s) within DFAITC or DEM, 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. Additionally, 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 Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, Global Small Company Portfolio, World ex U.S. Value Portfolio, World ex U.S. Core Portfolio, World ex U.S. Targeted Value Portfolio, Emerging Markets Core Equity Portfolio, Emerging Markets Targeted Value Portfolio and Emerging Markets ex China Core Equity Portfolio are subject to tax on short-term and long-term capital gains for investments in India. Such taxes are accrued on a daily basis and due upon sale of individual securities.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Portfolios. For the year ended October 31, 2023, the Portfolios’ investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
| | | | |
Large Cap International Portfolio | | | 0.14 | % |
International Core Equity Portfolio | | | 0.20 | % |
Global Small Company Portfolio | | | 0.35 | % |
International Small Company Portfolio | | | 0.25 | % |
Japanese Small Company Portfolio | | | 0.35 | % |
Asia Pacific Small Company Portfolio | | | 0.35 | % |
United Kingdom Small Company Portfolio | | | 0.35 | % |
Continental Small Company Portfolio | | | 0.35 | % |
DFA International Real Estate Securities Portfolio | | | 0.24 | % |
DFA Global Real Estate Securities Portfolio | | | 0.19 | %* |
DFA International Small Cap Value Portfolio | | | 0.39 | % |
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| | | | |
International Vector Equity Portfolio | | | 0.30 | % |
International High Relative Profitability Portfolio | | | 0.25 | % |
World ex U.S. Value Portfolio | | | 0.32 | % |
World ex U.S. Core Equity Portfolio | | | 0.25 | % |
World ex U.S. Targeted Value Portfolio | | | 0.40 | % |
World Core Equity Portfolio | | | 0.22 | % |
Selectively Hedged Global Equity Portfolio | | | 0.24 | % |
Emerging Markets Portfolio | | | 0.29 | % |
Emerging Markets Small Cap Portfolio | | | 0.52 | % |
Emerging Markets Value Portfolio | | | 0.38 | % |
Emerging Markets Core Equity Portfolio | | | 0.33 | % |
Emerging Markets Targeted Value Portfolio | | | 0.52 | % |
Emerging Markets ex China Core Equity Portfolio | | | 0.33 | % |
| * | Effective as of February 28, 2023, the management fee payable by the DFA Global Real Estate Securities Portfolio was reduced from 0.20% to 0.19%. |
Pursuant to Amended and Restated Fee Waiver and/or Expense Assumption Agreements (each, a “Fee Waiver Agreement”), the Advisor has contractually agreed to waive certain fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreements for the non-Feeder Funds, and a portion of the Fee Waiver Agreement for certain Feeder Funds below, will remain in effect through February 28, 2024, may only be terminated by the Fund’s Board of Directors prior to that date and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. The Fee Waiver Agreement with respect to the total management fees paid by the Feeder Funds, as described in the notes below, will remain in effect permanently, unless terminated by a Feeder Fund. During the year ended October 31, 2023, 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 assumed expenses (amounts in thousands), as listed below. The net amount of waived fees/expenses assumed (recovered previously waived fees/expenses assumed) during the year ended October 31, 2023, and the previously waived fees/expenses assumed subject to future recovery by the Advisor as of October 31, 2023, are also reflected below (amounts in thousands). At any time that the Portfolio Expenses (defined below) of a class of a Portfolio are less than the applicable Expense Limitation Amount/Total Management Fee Limit listed below, the Advisor retains the right to recover fees previously waived and/or expenses previously assumed to the extent that the expense ratio following such recovery would be less than the Expense Limitation Amount/Total Management Fee Limit that was in place when such prior year fees were waived and/or expenses assumed, and less than the current Expense Limitation Amount/Total Management Fee Limit in place for the Portfolio. The Advisor, however, will not be reimbursed by a Feeder Portfolio in connection with its Permanent Fee Waiver. The Fund, on behalf of a Portfolio, is also 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. With respect to the World ex U.S. Value Portfolio, World Core Equity Portfolio, World ex U.S. Targeted Value Portfolio and Selectively Hedged Global Equity Portfolio, the Advisor shall also not be reimbursed for any management fees previously waived to offset a Portfolio’s proportionate share of the management fees paid by such Portfolio through its investment in other funds managed by the Advisor.
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| | | | | | | | | | | | | | | | | | | | |
Institutional Class Shares | | Expense
Limitation
Amount | | | Total
Management
Fee Limit | | | Recovery
of Previously
Waived Fees/
Expenses Assumed | | | Net Waived
Fees | | | Previously
Waived Fees/
Expenses Assumed
Subject to Future
Recovery | |
Large Cap International Portfolio (1) | | | 0.24 | % | | | — | | | | — | | | | — | | | | — | |
International Core Equity Portfolio (1) | | | 0.30 | % | | | — | | | | — | | | | — | | | | — | |
Global Small Company Portfolio (2) | | | 0.42 | % | | | — | | | $ | 6 | | | $ | 194 | | | $ | 619 | |
International Small Company Portfolio (3) | | | 0.45 | % | | | — | | | | — | | | | — | | | | — | |
Japanese Small Company Portfolio (4) | | | 0.42 | % | | | 0.35 | % | | | — | | | | 259 | | | | — | |
Asia Pacific Small Company Portfolio (4) | | | 0.42 | % | | | 0.35 | % | | | — | | | | 218 | | | | — | |
United Kingdom Small Company Portfolio (4) | | | 0.42 | % | | | 0.35 | % | | | — | | | | 21 | | | | 23 | |
Continental Small Company Portfolio (4) | | | 0.42 | % | | | 0.35 | % | | | 1 | | | | 724 | | | | — | |
DFA International Real Estate Securities Portfolio (1) | | | 0.29 | % | | | — | | | | — | | | | — | | | | — | |
DFA Global Real Estate Securities Portfolio (5) | | | 0.22 | % | | | — | | | | — | | | | 6,580 | | | | 24,177 | |
International Vector Equity Portfolio (1) | | | 0.60 | % | | | — | | | | — | | | | — | | | | — | |
International High Relative Profitability Portfolio (2) | | | 0.35 | % | | | — | | | | — | | | | — | | | | — | |
World ex U.S. Value Portfolio (6) | | | 0.60 | % | | | 0.32 | % | | | — | | | | 458 | | | | — | |
World ex U.S. Core Equity Portfolio (7) | | | 0.39 | % | | | — | | | | — | | | | — | | | | — | |
World ex U.S. Targeted Value Portfolio (8) | | | 0.80 | % | | | 0.40 | % | | | — | | | | — | | | | — | |
World Core Equity Portfolio (9) | | | 0.27 | % | | | 0.22 | % | | | 16 | | | | 1,774 | | | | 419 | |
Selectively Hedged Global Equity Portfolio (10) | | | 0.40 | % | | | 0.24 | % | | | — | | | | 552 | | | | — | |
Emerging Markets Portfolio (11) | | | 0.49 | % | | | 0.29 | % | | | — | | | | 4,504 | | | | — | |
Emerging Markets Small Cap Portfolio (12) | | | — | | | | 0.52 | % | | | — | | | | 7,925 | | | | — | |
Emerging Markets Value Portfolio (12) | | | — | | | | 0.38 | % | | | — | | | | 10,558 | | | | — | |
Emerging Markets Core Equity Portfolio (1) | | | 0.54 | % | | | — | | | | — | | | | — | | | | — | |
Emerging Markets Targeted Value Portfolio (2) | | | 0.85 | % | | | — | | | | — | | | | — | | | | — | |
Emerging Markets ex China Core Equity Portfolio (2) | | | 0.43 | % | | | — | | | | 55 | | | | 212 | | | | 541 | |
| (1) | The Advisor has contractually agreed to waive all or a portion of its management 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 (the “Expense Limitation Amount”). |
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| (2) | The Advisor has contractually agreed to waive all or a portion of its management fee and to assume the ordinary operating expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor, excluding money market funds, 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 a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). Prior to February 28, 2022, the Expense Limitation Amount for the Global Small Company Portfolio was 0.47% of the average net assets of such class of the Portfolio on an annualized basis. |
| (3) | The Advisor has contractually agreed to waive all or a portion of its management fee and to assume the other direct expenses of a class of the Portfolio (excluding expenses incurred through its investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). |
| (4) | Effective February 28, 2022, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio to the extent necessary to limit the total management fees paid to the Advisor by each Portfolio, including the proportionate share of the management fees a Portfolio pays indirectly through its investment in other funds managed by the Advisor, except for the fees paid indirectly through its investment of securities lending cash collateral in the Money Market Series, to 0.35% of the average net assets of a class of a Portfolio on an annualized basis (the “Permanent Fee Waiver”). From February 28, 2021 to February 27, 2022, the Permanent Fee Waiver Limit was 0.40%. From February 28, 2020 to February 27, 2021, the Permanent Fee Waiver Limit was 0.47%. From July 21, 2015 to February 27, 2020, the Permanent Fee Waiver Limit was 0.50%. In addition to the Permanent Fee Waiver, the Advisor has contractually agreed to further waive all or a portion of its management fee and to assume the other direct expenses of a class of each Portfolio (excluding expenses incurred through its investment in other investment companies managed by the Advisor) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of each class of a Portfolio to the rates listed above as a percentage of the average net assets of each class of such Portfolios on an annualized basis (the “Expense Limitation Amount”). |
| (5) | Effective February 28, 2023, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of its Master/Underlying Funds but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series and 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 the Portfolio’s average net assets on an annualized basis (the “Expense Limitation Amount”). Prior to February 28, 2023, the Expense Limitation Amount for the DFA Global Real Estate Securities Portfolio was 0.24% of the average net assets of such class of the Portfolio on an annualized basis. |
| (6) | Effective February 28, 2022, the Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.32% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master/Underlying Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (the “Total Management Fee Limit”). From February 28, 2021 to February 27, 2022, the Total Management Fee Limit was 0.37%. From February 28, 2020 to February 27, 2021, the Total Management Fee Limit was 0.43%. Prior to February 28, 2020, the Total Management Fee Limit was 0.47%. In addition, under the Fee Waiver Agreement, the Advisor also has agreed to waive all or a portion of the management fee that remains payable by the Portfolio (i.e., the management fee remaining after the proportionate share of the Master/Underlying Funds’ management fees have been offset (the “Remaining Management Fee”)) to the extent necessary to reduce the Portfolio’s ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) to the rate listed above as a percentage of average net assets on an annualized basis (the “Expense Limitation Amount”). The maximum amount that may be waived to limit Portfolio Expenses is the amount of the Remaining Management Fee. |
| (7) | The Advisor has contractually agreed to waive all or a portion of its management fee and to assume the expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of its Master/ Underlying Funds but excluding the expenses that the Portfolio incurs indirectly through its investment of its securities lending cash collateral in the Money Market Series and its investment in unaffiliated investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). |
| (8) | Effective February 28, 2022, the Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.40% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in other funds managed by the Advisor, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (the “Total Management Fee Limit”). From February 28, 2021 to February 27, 2022, the Total Management Fee Limit was 0.45%. From February 28, 2020 to February 27, 2021, the Total Management Fee Limit was 0.53%. Prior to February 28, 2020, the Total Management Fee Limit was 0.58%. In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the ordinary operating expenses of a class of the Portfolio (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). |
| (9) | Effective February 28, 2021, the Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.22% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master/Underlying Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (including the Portfolio’s proportionate share of any management fees that a Master/Underlying Fund paid through its investment in an affiliated cash management fund) (the “Total Management Fee Limit”). From February 28, 2020 to February 27, 2021, the Total Management Fee Limit was 0.27%. Prior to February 28, 2020, the Total Management Fee Limit was 0.30%. In addition, under the Fee Waiver Agreement, the Advisor has also agreed to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) of a class of the Portfolio so that such Portfolio Expenses do not exceed the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). From February 28, 2019 to February 27, 2021, the Expense Limitation Amount was 0.32% of the average net assets of such class of the Portfolio on an annualized basis. From June 27, 2014 to February 27, 2019, the Expense Limitation Amount was 0.35% of the average net assets of such class of the Portfolio on an annualized basis. |
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| (10) | Effective February 28, 2021, the Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.24% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master/Underlying Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (the “Total Management Fee Limit”). From February 28, 2020 to February 27, 2021, the Total Management Fee Limit was 0.28%. Prior to February 28, 2020, the Total Management Fee Limit was 0.30%. In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) of the Portfolio to the rate listed above as a percentage of average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). |
| (11) | Effective February 28, 2021, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, including the proportionate share of the management fees the Portfolio pays indirectly through its investment in other funds managed by the Advisor, except for the fees paid indirectly through its investment of securities lending cash collateral in the Money Market Series, to 0.29% of the average net assets of a class of the Portfolio on an annualized basis (the “Permanent Fee Waiver”). From February 28, 2020 to February 27, 2021, the Permanent Fee Waiver Limit was 0.37%. From July 21, 2015 to February 27, 2020, the Permanent Fee Waiver Limit was 0.42%. In addition to the Permanent Fee Waiver, the Advisor has contractually agreed to further waive all or a portion of its management fee and to assume the other direct expenses of a class of the Portfolio (excluding expenses incurred through its investment in other investment companies managed by the Advisor) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of each class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). |
| (12) | Effective February 28, 2021 (February 28, 2022, with respect to the Emerging Markets Value Portfolio), the Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio to the extent necessary to limit the total management fees paid to the Advisor by a Portfolio, including the proportionate share of the management fees a Portfolio pays indirectly through its investment in other funds managed by the Advisor, except for the fees paid indirectly through its investment of securities lending cash collateral in The DFA Short Term Investment Fund (the “Money Market Series”), to the rate listed above as a percentage of the average net assets of a class of a Portfolio on an annualized basis (the “Permanent Fee Waiver”). From February 28, 2021 to February 27, 2022, the Permanent Fee Waiver Limit for the Emerging Markets Value Portfolio was 0.41%. From February 28, 2020 to February 27, 2021, the Permanent Fee Waiver Limits for the Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio were 0.60% and 0.45%, respectively. From July 21, 2015 to February 27, 2020, the Permanent Fee Waiver Limits for the Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio were 0.65% and 0.50%, respectively. |
Earned Income Credit:
Additionally, Portfolios have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolios’ custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of each Portfolio’s net assets. During the year ended October 31, 2023, expenses reduced were as follows (amounts in thousands):
| | | | |
| | | Fees Paid
Indirectly | |
Large Cap International Portfolio | | $ | 286 | |
DFA International Real Estate Securities Portfolio | | | 310 | |
DFA Global Real Estate Securities Portfolio | | | 36 | |
DFA International Small Cap Value Portfolio | | | 96 | |
International Vector Equity Portfolio | | | 103 | |
World ex U.S. Core Equity Portfolio | | | 60 | |
Emerging Markets Core Equity Portfolio | | | 892 | |
Emerging Markets Targeted Value Portfolio | | | 22 | |
Emerging Markets ex China Core Equity Portfolio | | | 69 | |
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and Directors of the Fund; however, such Officers and Directors (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2023, the total related amount paid by the Fund to the CCO was $177 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statements of Operations.
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D. Deferred Compensation:
As of October 31, 2023, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statements of Assets and Liabilities as follows (amounts in thousands):
| | | | |
Large Cap International Portfolio | | $ | 32 | |
International Core Equity Portfolio | | | 41 | |
Global Small Company Portfolio | | | — | |
International Small Company Portfolio | | | 109 | |
Japanese Small Company Portfolio | | | 7 | |
Asia Pacific Small Company Portfolio | | | 4 | |
United Kingdom Small Company Portfolio | | | 1 | |
Continental Small Company Portfolio | | | 1 | |
DFA International Real Estate Securities Portfolio | | | 17 | |
DFA Global Real Estate Securities Portfolio | | | 11 | |
DFA International Small Cap Value Portfolio | | | 179 | |
International Vector Equity Portfolio | | | 6 | |
International High Relative Profitability Portfolio | | | 2 | |
World ex U.S. Value Portfolio | | | — | |
World ex U.S. Core Equity Portfolio | | | 5 | |
World ex U.S. Targeted Value Portfolio | | | 1 | |
World Core Equity Portfolio | | | 1 | |
Selectively Hedged Global Equity Portfolio | | | 1 | |
Emerging Markets Portfolio | | | 57 | |
Emerging Markets Small Cap Portfolio | | | 52 | |
Emerging Markets Value Portfolio | | | 270 | |
Emerging Markets Core Equity Portfolio | | | 99 | |
Emerging Markets Targeted Value Portfolio | | | — | |
Emerging Markets ex China Core Equity Portfolio | | | 1 | |
E. Purchases and Sales of Securities:
For the year ended October 31, 2023, the Portfolios’ transactions related to investment securities, other than short-term securities, in-kind redemptions and U.S. government securities (amounts in thousands), were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Large Cap International Portfolio | | $ | 445,653 | | | $ | 638,423 | |
International Core Equity Portfolio | | | 2,595,949 | | | | 3,953,148 | |
DFA International Real Estate Securities Portfolio | | | 245,204 | | | | 875,339 | |
DFA Global Real Estate Securities Portfolio | | | 452,934 | | | | 1,761 | |
DFA International Small Cap Value Portfolio | | | 1,327,022 | | | | 2,066,743 | |
International Vector Equity Portfolio | | | 423,929 | | | | 568,949 | |
International High Relative Profitability Portfolio | | | 179,700 | | | | 496,273 | |
World ex U.S. Core Equity Portfolio | | | 362,060 | | | | 456,909 | |
World ex U.S. Targeted Value Portfolio | | | 166,543 | | | | 159,044 | |
Emerging Markets Core Equity Portfolio | | | 2,515,235 | | | | 3,006,798 | |
Emerging Markets Targeted Value Portfolio | | | 56,645 | | | | 53,036 | |
Emerging Markets ex China Core Equity Portfolio | | | 184,133 | | | | 83,889 | |
There were no purchases or sales of long-term U.S. government securities.
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For the year ended October 31, 2023, transactions related to Affiliated Investment Companies, excluding in-kind redemptions, are presented below.
The amounts presented below may differ from the respective amounts presented in the corresponding Schedule of Investments/Summary Schedule of Portfolio Holdings, Statements of Assets and Liabilities or Statements of Operations due to rounding. The amounts are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balance at
October 31, 2022 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain/(Loss)
on Sales | | | Change in
Unrealized
Appreciation/
Depreciation | | | Balance at
October 31, 2023 | | | Shares as of
October 31, 2023 | | | Dividend
Income | | | Capital Gain
Distributions | |
Large Cap International Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 246,081 | | | $ | 1,249,435 | | | $ | 1,277,656 | | | $ | 13 | | | $ | 91 | | | $ | 217,964 | | | | 18,844 | | | $ | 10,484 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 246,081 | | | $ | 1,249,435 | | | $ | 1,277,656 | | | $ | 13 | | | $ | 91 | | | $ | 217,964 | | | | 18,844 | | | $ | 10,484 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
International Core Equity Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 1,476,616 | | | $ | 5,370,625 | | | $ | 5,835,027 | | | $ | 120 | | | $ | 607 | | | $ | 1,012,941 | | | | 87,572 | | | $ | 61,158 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,476,616 | | | $ | 5,370,625 | | | $ | 5,835,027 | | | $ | 120 | | | $ | 607 | | | $ | 1,012,941 | | | | 87,572 | | | $ | 61,158 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Global Small Company Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Small Cap Portfolio | | $ | 51,475 | | | $ | 5,910 | | | $ | 8,627 | | | $ | (937 | ) | | $ | (3,170 | ) | | $ | 44,651 | | | | 1,192 | | | $ | 633 | | | $ | 1,919 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 51,475 | | | $ | 5,910 | | | $ | 8,627 | | | $ | (937 | ) | | $ | (3,170 | ) | | $ | 44,651 | | | | 1,192 | | | $ | 633 | | | $ | 1,919 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
DFA International Real Estate Securities Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 259,980 | | | $ | 1,847,237 | | | $ | 2,013,383 | | | $ | 39 | | | $ | 76 | | | $ | 93,949 | | | | 8,122 | | | $ | 6,419 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 259,980 | | | $ | 1,847,237 | | | $ | 2,013,383 | | | $ | 39 | | | $ | 76 | | | $ | 93,949 | | | | 8,122 | | | $ | 6,419 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
DFA Global Real Estate Securities Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
DFA International Real Estate Securities Portfolio | | $ | 2,755,650 | | | $ | 105,182 | | | $ | 767,460 | | | $ | (245,719 | ) | | $ | 212,156 | | | $ | 2,059,809 | | | | 631,843 | | | | — | | | | — | |
The DFA Short Term Investment Fund | | | 194,324 | | | | 1,692,576 | | | | 1,547,063 | | | | 49 | | | | 64 | | | | 339,950 | | | | 29,390 | | | $ | 9,556 | | | | — | |
DFA Real Estate Securities Portfolio | | | 281,217 | | | | — | | | | 277,000 | | | | 189,292 | | | | (193,509 | ) | | | — | | | | — | | | | 5,372 | | | $ | 8,561 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 3,231,191 | | | $ | 1,797,758 | | | $ | 2,591,523 | | | $ | (56,378 | ) | | $ | 18,711 | | | $ | 2,399,759 | | | | 661,233 | | | $ | 14,928 | | | $ | 8,561 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
DFA International Small Cap Value Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 279,235 | | | $ | 1,446,511 | | | $ | 1,559,635 | | | $ | 18 | | | $ | 120 | | | $ | 166,249 | | | | 14,373 | | | $ | 12,799 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 279,235 | | | $ | 1,446,511 | | | $ | 1,559,635 | | | $ | 18 | | | $ | 120 | | | $ | 166,249 | | | | 14,373 | | | $ | 12,799 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
146
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balance at
October 31, 2022 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain/(Loss)
on Sales | | �� | Change in
Unrealized
Appreciation/
Depreciation | | | Balance at
October 31, 2023 | | | Shares as of
October 31, 2023 | | | Dividend
Income | | | Capital Gain
Distributions | |
International Vector Equity Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 159,430 | | | $ | 696,063 | | | $ | 731,977 | | | $ | (2 | ) | | $ | 65 | | | $ | 123,579 | | | | 10,684 | | | $ | 6,675 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 159,430 | | | $ | 696,063 | | | $ | 731,977 | | | $ | (2 | ) | | $ | 65 | | | $ | 123,579 | | | | 10,684 | | | $ | 6,675 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
International High Relative Profitability Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 113,814 | | | $ | 832,542 | | | $ | 871,453 | | | $ | 5 | | | $ | 41 | | | $ | 74,949 | | | | 6,480 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 113,814 | | | $ | 832,542 | | | $ | 871,453 | | | $ | 5 | | | $ | 41 | | | $ | 74,949 | | | | 6,480 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
World ex U.S. Value Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
DFA International Small Cap Value Portfolio | | $ | 16,152 | | | $ | 4,999 | | | $ | 2,463 | | | $ | 5 | | | $ | 2,376 | | | $ | 21,069 | | | | 1,097 | | | $ | 632 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 16,152 | | | $ | 4,999 | | | $ | 2,463 | | | $ | 5 | | | $ | 2,376 | | | $ | 21,069 | | | | 1,097 | | | $ | 632 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
World ex U.S. Core Equity Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 167,297 | | | $ | 537,040 | | | $ | 606,644 | | | $ | (11 | ) | | $ | 71 | | | $ | 97,753 | | | | 8,451 | | | $ | 5,816 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 167,297 | | | $ | 537,040 | | | $ | 606,644 | | | $ | (11 | ) | | $ | 71 | | | $ | 97,753 | | | | 8,451 | | | $ | 5,816 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
World ex U.S. Targeted Value Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 1,599 | | | $ | 31,637 | | | $ | 23,712 | | | $ | 1 | | | $ | 1 | | | $ | 9,526 | | | | 824 | | | $ | 131 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,599 | | | $ | 31,637 | | | $ | 23,712 | | | $ | 1 | | | $ | 1 | | | $ | 9,526 | | | | 824 | | | $ | 131 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
World Core Equity Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Core Equity 1 Portfolio | | $ | 585,918 | | | $ | 45,846 | | | $ | 66,040 | | | $ | (674 | ) | | $ | 17,184 | | | $ | 582,234 | | | | 18,478 | | | $ | 8,933 | | | $ | 13,934 | |
International Core Equity Portfolio | | | 260,575 | | | | 14,400 | | | | 39,457 | | | | (398 | ) | | | 30,022 | | | | 265,142 | | | | 19,597 | | | | 8,026 | | | | — | |
Emerging Markets Core Equity Portfolio | | | 103,159 | | | | 9,390 | | | | 15,064 | | | | (620 | ) | | | 13,526 | | | | 110,391 | | | | 5,433 | | | | 3,536 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 949,652 | | | $ | 69,636 | | | $ | 120,561 | | | $ | (1,692 | ) | | $ | 60,732 | | | $ | 957,767 | | | | 43,508 | | | $ | 20,495 | | | $ | 13,934 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
147
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balance at
October 31, 2022 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain/(Loss)
on Sales | | | Change in
Unrealized
Appreciation/
Depreciation | | | Balance at
October 31, 2023 | | | Shares as of
October 31, 2023 | | | Dividend
Income | | | Capital Gain
Distributions | |
Selectively Hedged Global Equity Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Core Equity 2 Portfolio | | $ | 153,472 | | | $ | 17,521 | | | $ | 31,792 | | | $ | 5,117 | | | $ | (2,700 | ) | | $ | 141,618 | | | | 4,994 | | | $ | 2,196 | | | $ | 4,197 | |
International Core Equity Portfolio | | | 69,823 | | | | 7,386 | | | | 19,191 | | | | 2,241 | | | | 5,954 | | | | 66,213 | | | | 4,894 | | | | 2,037 | | | | — | |
Emerging Markets Core Equity Portfolio | | | 44,197 | | | | 6,962 | | | | 12,562 | | | | 609 | | | | 5,024 | | | | 44,230 | | | | 2,177 | | | | 1,443 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 267,492 | | | $ | 31,869 | | | $ | 63,545 | | | $ | 7,967 | | | $ | 8,278 | | | $ | 252,061 | | | | 12,065 | | | $ | 5,676 | | | $ | 4,197 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Core Equity Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 424,406 | | | $ | 1,458,369 | | | $ | 1,636,786 | | | $ | 24 | | | $ | 172 | | | $ | 246,185 | | | | 21,283 | | | $ | 15,514 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 424,406 | | | $ | 1,458,369 | | | $ | 1,636,786 | | | $ | 24 | | | $ | 172 | | | $ | 246,185 | | | | 21,283 | | | $ | 15,514 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Targeted Value Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 1,666 | | | $ | 13,740 | | | $ | 13,682 | | | $ | 1 | | | $ | 1 | | | $ | 1,726 | | | | 149 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,666 | | | $ | 13,740 | | | $ | 13,682 | | | $ | 1 | | | $ | 1 | | | $ | 1,726 | | | | 149 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | �� | | | | | | | | | | | | | | | | | | |
Emerging Markets ex China Core Equity Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 6,638 | | | $ | 55,590 | | | $ | 54,230 | | | | — | | | $ | 3 | | | $ | 8,001 | | | | 692 | | | $ | 174 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 6,638 | | | $ | 55,590 | | | $ | 54,230 | | | | — | | | $ | 3 | | | $ | 8,001 | | | | 692 | | | $ | 174 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 GAAP. These book/tax differences are either temporary or permanent in nature. To the extent that these differences are permanent, they are charged or credited to paid-in capital or distributable earnings, undistributed net investment income, accumulated net realized gains or losses, or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the permanent differences as of October 31, 2023, can occur as a result of realized gains on securities considered to be “passive foreign investment companies,” non-deductible expenses, realized foreign capital gains tax, the use of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes, net foreign currency gains/losses, distributions received from real estate investment trusts and distribution redesignations, and were reclassified to the accounts mentioned above. These reclassifications had no effect on net assets or net asset value per share.
148
The tax character of dividends and distributions declared and paid during the years ended October 31, 2022, and October 31, 2023, were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Net Investment
Income and
Short-Term
Capital Gains | | | Long-Term
Capital Gains | | | Tax Exempt
Income | | | Total | |
Large Cap International Portfolio | | | | | | | | | | | | | | | | |
2022 | | $ | 180,306 | | | | — | | | | — | | | $ | 180,306 | |
2023 | | | 153,335 | | | | — | | | | — | | | | 153,335 | |
International Core Equity Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 1,137,901 | | | | — | | | | — | | | | 1,137,901 | |
2023 | | | 813,378 | | | | — | | | | — | | | | 813,378 | |
Global Small Company Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 1,603 | | | $ | 1,952 | | | | — | | | | 3,555 | |
2023 | | | 1,067 | | | | — | | | | — | | | | 1,067 | |
International Small Company Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 483,283 | | | | 367,884 | | | | — | | | | 851,167 | |
2023 | | | 310,109 | | | | 121,655 | | | | — | | | | 431,764 | |
Japanese Small Company Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 9,064 | | | | 9,423 | | | | — | | | | 18,487 | |
2023 | | | 3,684 | | | | 12,000 | | | | — | | | | 15,684 | |
Asia Pacific Small Company Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 15,273 | | | | 26,996 | | | | — | | | | 42,269 | |
2023 | | | 9,900 | | | | 13,433 | | | | — | | | | 23,333 | |
United Kingdom Small Company Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 1,165 | | | | 742 | | | | — | | | | 1,907 | |
2023 | | | 438 | | | | — | | | | — | | | | 438 | |
Continental Small Company Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 24,283 | | | | 13,197 | | | | — | | | | 37,480 | |
2023 | | | 21,516 | | | | — | | | | — | | | | 21,516 | |
DFA International Real Estate Securities Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 447,007 | | | | — | | | | — | | | | 447,007 | |
2023 | | | — | | | | — | | | | — | | | | — | |
DFA Global Real Estate Securities Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 384,272 | | | | 96,161 | | | | — | | | | 480,433 | |
2023 | | | 111,720 | | | | 315,311 | | | | — | | | | 427,031 | |
DFA International Small Cap Value Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 477,746 | | | | 38,826 | | | | — | | | | 516,572 | |
2023 | | | 325,253 | | | | — | | | | — | | | | 325,253 | |
International Vector Equity Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 118,326 | | | | 68,984 | | | | — | | | | 187,310 | |
2023 | | | 87,142 | | | | — | | | | — | | | | 87,142 | |
International High Relative Profitability Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 68,053 | | | | 10,953 | | | | — | | | | 79,006 | |
2023 | | | 42,438 | | | | — | | | | — | | | | 42,438 | |
World ex U.S. Value Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 10,666 | | | | — | | | | — | | | | 10,666 | |
2023 | | | 9,912 | | | | — | | | | — | | | | 9,912 | |
149
| | | | | | | | | | | | | | | | |
| | | Net Investment
Income and
Short-Term
Capital Gains | | | Long-Term
Capital Gains | | | Tax Exempt
Income | | | Total | |
World ex U.S. Core Equity Portfolio | | | | | | | | | | | | | | | | |
2022 | | $ | 119,143 | | | | — | | | | — | | | $ | 119,143 | |
2023 | | | 109,998 | | | | — | | | | — | | | | 109,998 | |
World ex U.S. Targeted Value Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 20,430 | | | $ | 36,246 | | | | — | | | | 56,676 | |
2023 | | | 19,463 | | | | — | | | | — | | | | 19,463 | |
World Core Equity Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 22,839 | | | | 8,329 | | | | — | | | | 31,168 | |
2023 | | | 19,655 | | | | 13,609 | | | | — | | | | 33,264 | |
Selectively Hedged Global Equity Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 7,741 | | | | 13,787 | | | | — | | | | 21,528 | |
2023 | | | 15,289 | | | | 8,996 | | | | — | | | | 24,285 | |
Emerging Markets Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 157,133 | | | | 215,646 | | | | — | | | | 372,779 | |
2023 | | | 130,795 | | | | 10,990 | | | | — | | | | 141,785 | |
Emerging Markets Small Cap Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 235,523 | | | | 93,647 | | | | — | | | | 329,170 | |
2023 | | | 90,978 | | | | 75,855 | | | | — | | | | 166,833 | |
Emerging Markets Value Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 558,916 | | | | — | | | | — | | | | 558,916 | |
2023 | | | 411,459 | | | | — | | | | — | | | | 411,459 | |
Emerging Markets Core Equity Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 942,726 | | | | — | | | | — | | | | 942,726 | |
2023 | | | 718,790 | | | | — | | | | — | | | | 718,790 | |
Emerging Markets Targeted Value Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 11,192 | | | | 10,941 | | | | — | | | | 22,133 | |
2023 | | | 4,927 | | | | 3,666 | | | | — | | | | 8,593 | |
Emerging Markets ex China Core Equity Portfolio | | | | | | | | | | | | | | | | |
2022 | | | 10,224 | | | | — | | | | — | | | | 10,224 | |
2023 | | | 14,175 | | | | — | | | | — | | | | 14,175 | |
As of October 31, 2023, 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 use 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 | |
Large Cap International Portfolio | | $ | (7,959 | ) | | | — | | | $ | (7,959 | ) |
International Core Equity Portfolio | | | (41,303 | ) | | | — | | | | (41,303 | ) |
Global Small Company Portfolio | | | (176 | ) | | $ | (105 | ) | | | (281 | ) |
International Small Company Portfolio | | | (14,553 | ) | | | — | | | | (14,553 | ) |
Japanese Small Company Portfolio | | | (1,146 | ) | | | (47 | ) | | | (1,193 | ) |
Asia Pacific Small Company Portfolio | | | (981 | ) | | | — | | | | (981 | ) |
150
| | | | | | | | | | | | |
| | | Net Investment
Income and
Short-Term
Capital Gains | | | Long-Term
Capital Gains | | | Total | |
Continental Small Company Portfolio | | $ | (269 | ) | | | — | | | $ | (269 | ) |
DFA Global Real Estate Securities Portfolio | | | (3,291 | ) | �� | $ | (6,592 | ) | | | (9,883 | ) |
DFA International Small Cap Value Portfolio | | | (22,333 | ) | | | — | | | | (22,333 | ) |
International Vector Equity Portfolio | | | (4,070 | ) | | | — | | | | (4,070 | ) |
International High Relative Profitability Portfolio | | | (1,875 | ) | | | — | | | | (1,875 | ) |
World ex U.S. Value Portfolio | | | (516 | ) | | | — | | | | (516 | ) |
World ex U.S. Core Equity Portfolio | | | (4,530 | ) | | | — | | | | (4,530 | ) |
World ex U.S. Targeted Value Portfolio | | | (485 | ) | | | — | | | | (485 | ) |
World Core Equity Portfolio | | | (143 | ) | | | (1,073 | ) | | | (1,216 | ) |
Selectively Hedged Global Equity Portfolio | | | (623 | ) | | | (801 | ) | | | (1,424 | ) |
Emerging Markets Portfolio | | | (6,739 | ) | | | — | | | | (6,739 | ) |
Emerging Markets Small Cap Portfolio | | | (5,646 | ) | | | — | | | | (5,646 | ) |
Emerging Markets Value Portfolio | | | (30,475 | ) | | | — | | | | (30,475 | ) |
Emerging Markets Core Equity Portfolio | | | (45,692 | ) | | | — | | | | (45,692 | ) |
Emerging Markets Targeted Value Portfolio | | | (890 | ) | | | — | | | | (890 | ) |
Emerging Markets ex China Core Equity Portfolio | | | (925 | ) | | | — | | | | (925 | ) |
As of October 31, 2023, 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
Carryforwards | | | Unrealized
Appreciation
(Depreciation) | | | Total Net
Distributable
Earnings
(Accumulated
Losses) | |
Large Cap International Portfolio | | $ | 42,109 | | | | — | | | $ | (540,587 | ) | | $ | 1,208,895 | | | $ | 710,417 | |
International Core Equity Portfolio | | | 234,460 | | | | — | | | | (1,084,106 | ) | | | 2,863,285 | | | | 2,013,639 | |
Global Small Company Portfolio | | | 1,321 | | | $ | 645 | | | | — | | | | 1,908 | | | | 3,874 | |
International Small Company Portfolio | | | 96,949 | | | | — | | | | (139,844 | ) | | | (135,810 | ) | | | (178,705 | ) |
Japanese Small Company Portfolio | | | 9,815 | | | | 2,791 | | | | — | | | | (1,877 | ) | | | 10,729 | |
Asia Pacific Small Company Portfolio | | | 7,520 | | | | — | | | | (14,737 | ) | | | (64,352 | ) | | | (71,569 | ) |
United Kingdom Small Company Portfolio | | | 340 | | | | — | | | | (3,826 | ) | | | (2,125 | ) | | | (5,611 | ) |
Continental Small Company Portfolio | | | 3,114 | | | | — | | | | (32,327 | ) | | | 29,640 | | | | 427 | |
DFA International Real Estate Securities Portfolio | | | 149,439 | | | | — | | | | (1,065,065 | ) | | | (1,164,461 | ) | | | (2,080,087 | ) |
DFA Global Real Estate Securities Portfolio | | | 91,948 | | | | 121 | | | | — | | | | (1,205,501 | ) | | | (1,113,432 | ) |
DFA International Small Cap Value Portfolio | | | 154,700 | | | | 13,281 | | | | — | | | | 552,541 | | | | 720,522 | |
International Vector Equity Portfolio | | | 37,675 | | | | — | | | | (53,879 | ) | | | 370,630 | | | | 354,426 | |
International High Relative Profitability Portfolio | | | 2,900 | | | | — | | | | (77,106 | ) | | | 156,700 | | | | 82,494 | |
World ex U.S. Value Portfolio | | | 2,800 | | | | — | | | | (11,823 | ) | | | 22,126 | | | | 13,103 | |
World ex U.S. Core Equity Portfolio | | | 27,153 | | | | — | | | | (86,490 | ) | | | 261,155 | | | | 201,818 | |
World ex U.S. Targeted Value Portfolio | | | 2,262 | | | | — | | | | (25,411 | ) | | | (5,090 | ) | | | (28,239 | ) |
World Core Equity Portfolio | | | — | | | | 11,417 | | | | — | | | | 225,178 | | | | 236,595 | |
151
| | | | | | | | | | | | | | | | | | | | |
| | | Undistributed
Net Investment
Income and
Short-Term
Capital Gains | | | Undistributed
Long-Term
Capital Gains | | | Capital Loss
Carryforwards | | | Unrealized
Appreciation
(Depreciation) | | | Total Net
Distributable
Earnings
(Accumulated
Losses) | |
Selectively Hedged Global Equity Portfolio | | $ | 4,411 | | | $ | 9,926 | | | | — | | | $ | 86,208 | | | $ | 100,545 | |
Emerging Markets Portfolio | | | 51,190 | | | | — | | | $ | (76,641 | ) | | | 1,220,797 | | | | 1,195,346 | |
Emerging Markets Small Cap Portfolio | | | 46,116 | | | | — | | | | (60,028 | ) | | | 201,098 | | | | 187,186 | |
Emerging Markets Value Portfolio | | | 171,121 | | | | — | | | | (1,349,492 | ) | | | 392,080 | | | | (786,291 | ) |
Emerging Markets Core Equity Portfolio | | | 280,994 | | | | — | | | | (2,449,745 | ) | | | 3,306,794 | | | | 1,138,043 | |
Emerging Markets Targeted Value Portfolio | | | 8,154 | | | | 3,295 | | | | — | | | | (854 | ) | | | 10,595 | |
Emerging Markets ex China Core Equity Portfolio | | | 3,975 | | | | — | | | | (22,892 | ) | | | (34,123 | ) | | | (53,040 | ) |
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, 2023, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains with no expiration date (amounts in thousands):
| | | | | | | | |
| | | Unlimited | | | Total | |
Large Cap International Portfolio | | $ | 540,587 | | | $ | 540,587 | |
International Core Equity Portfolio | | | 1,084,106 | | | | 1,084,106 | |
International Small Company Portfolio | | | 139,844 | | | | 139,844 | |
Asia Pacific Small Company Portfolio | | | 14,737 | | | | 14,737 | |
United Kingdom Small Company Portfolio | | | 3,826 | | | | 3,826 | |
Continental Small Company Portfolio | | | 32,327 | | | | 32,327 | |
DFA International Real Estate Securities Portfolio | | | 1,065,065 | | | | 1,065,065 | |
International Vector Equity Portfolio | | | 53,879 | | | | 53,879 | |
International High Relative Profitability Portfolio | | | 77,106 | | | | 77,106 | |
World ex U.S. Value Portfolio | | | 11,823 | | | | 11,823 | |
World ex U.S. Core Equity Portfolio | | | 86,490 | | | | 86,490 | |
World ex U.S. Targeted Value Portfolio | | | 25,411 | | | | 25,411 | |
Emerging Markets Portfolio | | | 76,641 | | | | 76,641 | |
Emerging Markets Small Cap Portfolio | | | 60,028 | | | | 60,028 | |
Emerging Markets Value Portfolio | | | 1,349,492 | | | | 1,349,492 | |
Emerging Markets Core Equity Portfolio | | | 2,449,745 | | | | 2,449,745 | |
Emerging Markets ex China Core Equity Portfolio | | | 22,892 | | | | 22,892 | |
During the year ended October 31, 2023, the following Portfolios used the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands):
| | | | |
DFA International Small Cap Value Portfolio | | $ | 57,347 | |
Emerging Markets Value Portfolio | | | 10,859 | |
152
As of October 31, 2023, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Federal
Tax Cost | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | | | Net
Unrealized
Appreciation
(Depreciation) | |
Large Cap International Portfolio | | $ | 4,050,456 | | | $ | 1,480,280 | | | $ | (270,534 | ) | | $ | 1,209,746 | |
International Core Equity Portfolio | | | 25,150,105 | | | | 6,171,795 | | | | (3,299,983 | ) | | | 2,871,812 | |
Global Small Company Portfolio | | �� | 71,818 | | | | 1,992 | | | | — | | | | 1,992 | |
International Small Company Portfolio | | | 10,176,197 | | | | 166,724 | | | | (302,507 | ) | | | (135,783 | ) |
Japanese Small Company Portfolio | | | 250,569 | | | | 4,759 | | | | (6,638 | ) | | | (1,879 | ) |
Asia Pacific Small Company Portfolio | | | 227,600 | | | | — | | | | (64,352 | ) | | | (64,352 | ) |
United Kingdom Small Company Portfolio | | | 20,823 | | | | — | | | | (2,125 | ) | | | (2,125 | ) |
Continental Small Company Portfolio | | | 627,416 | | | | 137,143 | | | | (107,502 | ) | | | 29,641 | |
DFA International Real Estate Securities Portfolio | | | 4,713,839 | | | | 4 | | | | (1,163,652 | ) | | | (1,163,648 | ) |
DFA Global Real Estate Securities Portfolio | | | 8,209,527 | | | | 628,553 | | | | (1,834,068 | ) | | | (1,205,515 | ) |
DFA International Small Cap Value Portfolio | | | 9,470,280 | | | | 1,779,931 | | | | (1,224,703 | ) | | | 555,228 | |
International Vector Equity Portfolio | | | 2,736,874 | | | | 646,346 | | | | (275,364 | ) | | | 370,982 | |
International High Relative Profitability Portfolio | | | 1,376,563 | | | | 256,124 | | | | (99,421 | ) | | | 156,703 | |
World ex U.S. Value Portfolio | | | 218,660 | | | | 22,576 | | | | — | | | | 22,576 | |
World ex U.S. Core Equity Portfolio | | | 3,136,400 | | | | 726,637 | | | | (460,217 | ) | | | 266,420 | |
World ex U.S. Targeted Value Portfolio | | | 647,508 | | | | 82,719 | | | | (86,208 | ) | | | (3,489 | ) |
World Core Equity Portfolio | | | 732,609 | | | | 225,178 | | | | — | | | | 225,178 | |
Selectively Hedged Global Equity Portfolio | | | 165,853 | | | | 86,208 | | | | — | | | | 86,208 | |
Emerging Markets Portfolio | | | 3,100,772 | | | | 1,227,529 | | | | — | | | | 1,227,529 | |
Emerging Markets Small Cap Portfolio | | | 3,606,582 | | | | 199,283 | | | | — | | | | 199,283 | |
Emerging Markets Value Portfolio | | | 9,608,543 | | | | 384,365 | | | | — | | | | 384,365 | |
Emerging Markets Core Equity Portfolio | | | 19,670,835 | | | | 7,047,504 | | | | (3,544,522 | ) | | | 3,502,982 | |
Emerging Markets Targeted Value Portfolio | | | 219,311 | | | | 35,504 | | | | (34,327 | ) | | | 1,177 | |
Emerging Markets ex China Core Equity Portfolio | | | 609,323 | | | | 55,393 | | | | (87,530 | ) | | | (32,137 | ) |
The difference between GAAP-basis and tax-basis unrealized gains (losses) can occur as a result of wash sales and net mark-to-market gains (losses) on regulated futures contracts, net mark-to-market gains (losses) on foreign currency contracts, and differences in the tax treatment of passive foreign investment company investments or other investments.
ASC 740 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 positions and has concluded that no additional provision for income tax is required in the Portfolios’ financial statements. The Portfolios are not aware of any tax positions for which it is more likely than not 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 remain subject to examination by the Internal Revenue Service.
153
G. Financial Instruments:
In accordance with the Portfolios’ investment objectives and policies, the Portfolios may invest either directly or indirectly (through their investments in corresponding Master/Underlying Funds), 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. Foreign Market Risks: Investments in foreign markets may involve certain considerations 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 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.
Portfolios that have significant exposure to certain countries, such as the United Kingdom Small Company Portfolio’s Master Fund that concentrates investments in the United Kingdom, can be expected to be impacted by the political and economic conditions within such countries. For example, there is continuing uncertainty around the future of the euro and the European Union (EU) following the United Kingdom’s (UK) exit from the EU (referred to as “Brexit”). Brexit may cause greater market volatility and illiquidity, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and increased likelihood of a recession in the UK. While it is not possible to determine the precise impact these events may have on the Portfolios, the ultimate impact on the UK, EU countries, other countries or parties that transact with the UK and EU, and the broader global economy could be significant and could adversely affect the value and liquidity of the Portfolios’ investments.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by the Portfolios.
2. Forward Currency Contracts: The Portfolios listed below may enter into foreign currency exchange transactions, including foreign currency forward contracts, in connection with the settlement of foreign securities or to transfer cash balances from one currency to another currency. The Selectively Hedged Global Equity Portfolio may hedge some or all of the currency exposure of its foreign securities by entering into forward currency contracts. The decision to hedge the Selectively Hedged Global Equity 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 forward currency contracts. 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 forward currency contracts. 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.
3. Futures Contracts: Each Portfolio listed below may purchase or sell futures contracts and options on futures contracts for equity securities and indices to increase or decrease market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Selectively Hedged Global Equity Portfolio may also use futures contracts to hedge some or all of the currency exposure of its foreign securities. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. Government securities to a broker in an amount 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 Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios 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.
154
Risks may arise upon entrance 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. A Portfolio entering into stock index futures is subject to equity price risk from those futures contracts.
Securities have been segregated as collateral for open futures contracts.
The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2023 was as follows (amounts in thousands):
| | | | | | | | |
| | | Forward
Currency
Contracts* | | | Futures** | |
Large Cap International Portfolio | | $ | — | | | $ | 44,606 | |
International Core Equity Portfolio | | | — | | | | 245,514 | |
International Small Company Portfolio | | | — | | | | 84,471 | |
DFA International Real Estate Securities Portfolio | | | — | | | | 32,204 | |
DFA Global Real Estate Securities Portfolio | | | — | | | | 2,481 | |
DFA International Small Cap Value Portfolio | | | — | | | | 102,225 | |
International Vector Equity Portfolio | | | — | | | | 24,271 | |
International High Relative Profitability Portfolio | | | — | | | | 4,785 | |
World ex U.S. Core Equity Portfolio | | | — | | | | 29,745 | |
World ex U.S. Targeted Value Portfolio | | | — | | | | 806 | |
Selectively Hedged Global Equity Portfolio | | | 78,611 | | | | 3,499 | |
Emerging Markets Core Equity Portfolio | | | — | | | | 198,524 | |
Emerging Markets Targeted Value Portfolio | | | — | | | | 1,321 | |
Emerging Markets ex China Core Equity Portfolio | | | — | | | | 1,341 | |
| * | Average amount of Currency Purchased/Sold in USD. |
| ** | Average Notional Value of futures contracts. |
The following is a summary of the Portfolios’ derivative instrument holdings categorized by primary risk exposure as of October 31, 2023 (amounts in thousands):
| | | | | | | | |
| | | Asset Derivatives Value | |
| | | Total Value
at
October 31, 2023 | | | Forward
Currency
Contracts (1) | |
Selectively Hedged Global Equity Portfolio | | $ | 479 | | | $ | 479 | |
| | | | | | | | | | | | |
| | | Liability Derivatives Value | |
| | | Total Value
at
October 31, 2023 | | | Forward
Currency
Contracts (2) | | | Equity
Contracts (3) | |
Large Cap International Portfolio | | $ | (2,143 | ) | | | — | | | $ | (2,143 | ) |
International Core Equity Portfolio | | | (13,180 | ) | | | — | | | | (13,180 | ) |
International Small Company Portfolio | | | (1,668 | ) | | | — | | | | (1,668 | ) |
DFA International Real Estate Securities Portfolio | | | (996 | ) | | | — | | | | (996 | ) |
DFA International Small Cap Value Portfolio | | | (2,188 | ) | | | — | | | | (2,188 | ) |
International Vector Equity Portfolio | | | (316 | ) | | | — | | | | (316 | ) |
International High Relative Profitability Portfolio | | | (104 | ) | | | — | | | | (104 | ) |
155
| | | | | | | | | | | | |
| | | Liability Derivatives Value | |
| | | Total Value
at
October 31, 2023 | | | Forward
Currency
Contracts (2) | | | Equity
Contracts (3) | |
World ex U.S. Core Equity Portfolio | | $ | (1,191 | ) | | | — | | | $ | (1,191 | ) |
Selectively Hedged Global Equity Portfolio | | | (254 | ) | | $ | (31 | ) | | | (223 | ) |
Emerging Markets Core Equity Portfolio | | | (9,504 | ) | | | — | | | | (9,504 | ) |
Emerging Markets Targeted Value Portfolio | | | (98 | ) | | | — | | | | (98 | ) |
| (1) | Presented on Statements of Assets and Liabilities as Unrealized Gain on Forward Currency Contracts. |
| (2) | Presented on Statements of Assets and Liabilities as Unrealized Loss on Forward Currency Contracts. |
| (3) | Presented on Statements of Assets and Liabilities as Payables: Futures Margin Variation. |
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 for the year ended October 31, 2023 (amounts in thousands):
| | | | | | | | | | | | |
| | | Realized Gain (Loss) on
Derivatives | |
| | | Total | | | Forward
Currency
Contracts (1) | | | Equity
Contracts (2) | |
Large Cap International Portfolio | | $ | 8,432 | | | | — | | | $ | 8,432 | |
International Core Equity Portfolio | | | 32,560 | | | | — | | | | 32,560 | |
International Small Company Portfolio | | | 11,496 | | | | — | | | | 11,496 | |
DFA International Real Estate Securities Portfolio | | | 1,094 | | | | — | | | | 1,094 | |
DFA Global Real Estate Securities Portfolio | | | 935 | | | | — | | | | 935 | |
DFA International Small Cap Value Portfolio | | | 12,515 | | | | — | | | | 12,515 | |
International Vector Equity Portfolio | | | 1,361 | | | | — | | | | 1,361 | |
International High Relative Profitability Portfolio | | | 1,386 | | | | — | | | | 1,386 | |
World ex U.S. Core Equity Portfolio | | | 3,739 | | | | — | | | | 3,739 | |
World ex U.S. Targeted Value Portfolio | | | 423 | | | | — | | | | 423 | |
Selectively Hedged Global Equity Portfolio | | | (155 | ) | | $ | (418 | ) | | | 263 | |
Emerging Markets Core Equity Portfolio | | | 21,786 | | | | — | | | | 21,786 | |
Emerging Markets Targeted Value Portfolio | | | 254 | | | | — | | | | 254 | |
Emerging Markets ex China Core Equity Portfolio | | | 249 | | | | — | | | | 249 | |
| | | | | | | | | | | | |
| | | Change in Unrealized Appreciation
(Depreciation) on Derivatives | |
| | | Total | | | Forward
Currency
Contracts (3) | | | Equity
Contracts (4) | |
Large Cap International Portfolio | | $ | (3,575 | ) | | | — | | | $ | (3,575 | ) |
International Core Equity Portfolio | | | (19,076 | ) | | | — | | | | (19,076 | ) |
International Small Company Portfolio | | | (4,080 | ) | | | — | | | | (4,080 | ) |
DFA International Real Estate Securities Portfolio | | | (2,577 | ) | | | — | | | | (2,577 | ) |
DFA Global Real Estate Securities Portfolio | | | (1,144 | ) | | | — | | | | (1,144 | ) |
DFA International Small Cap Value Portfolio | | | (5,611 | ) | | | — | | | | (5,611 | ) |
156
| | | | | | | | | | | | |
| | | Change in Unrealized Appreciation
(Depreciation) on Derivatives | |
| | | Total | | | Forward
Currency
Contracts (3) | | | Equity
Contracts (4) | |
International Vector Equity Portfolio | | $ | (755 | ) | | | — | | | $ | (755 | ) |
International High Relative Profitability Portfolio | | | (104 | ) | | | — | | | | (104 | ) |
World ex U.S. Core Equity Portfolio | | | (2,058 | ) | | | — | | | | (2,058 | ) |
Selectively Hedged Global Equity Portfolio | | | 253 | | | $ | 344 | | | | (91 | ) |
Emerging Markets Core Equity Portfolio | | | (15,235 | ) | | | — | | | | (15,235 | ) |
Emerging Markets Targeted Value Portfolio | | | (98 | ) | | | — | | | | (98 | ) |
| (1) | Presented on Statements of Operations as Net Realized Gain (Loss) on: Forward Currency Contracts. |
| (2) | Presented on Statements of Operations as Net Realized Gain (Loss) on: Futures. |
| (3) | Presented on Statements of Operations as Change in Unrealized Appreciation (Depreciation) of: Forward Currency Contracts. |
| (4) | Presented on Statements of Operations as Change in Unrealized Appreciation (Depreciation) of: Futures. |
Offsetting of Derivative Assets and Derivative Liabilities:
In order to better define its contractual rights and to secure rights that will help a Portfolio mitigate its counterparty risk, the Fund on behalf of applicable Portfolios entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund, on behalf of a Portfolio, and a counterparty that governs over-the-counter (OTC) derivatives and forward currency contracts and typically contains, among other things, provisions in the event of a default and/or termination event and may also include collateral posting items. Under an ISDA Master Agreement, a Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted, if any, and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
157
The following table presents the Portfolios’ gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolios as of October 31, 2023 (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Gross
Amounts of
Recognized
Assets
(a) | | | Net
Amounts
of
Assets
Presented
in the
Statements
of Assets
and
Liabilities | | | Gross Amounts Not
Offset in the
Statements of Assets
and Liabilities | | | Net
Amount
(c) | | | Gross
Amounts of
Recognized
Liabilities
(a) | | | Net
Amounts
of
Liabilities
Presented
in the
Statements
of Assets
and
Liabilities | | | Gross Amounts Not
Offset in the
Statements of Assets
and Liabilities | | | Net
Amount
(e) | |
Description | | Financial
Instruments
(b) | | | Non-Cash
Collateral
Received | | | Cash
Collateral
Received | | | Financial
Instruments
(d) | | | Non-Cash
Collateral
Pledged | | | Cash
Collateral
Pledged | |
| | | Assets | | | Liabilities | |
Selectively Hedged Global Equity Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Citibank, N.A | | $ | 44 | | | $ | 44 | | | $ | (1 | ) | | | — | | | | — | | | $ | 43 | | | $ | 1 | | | $ | 1 | | | $ | (1 | ) | | | — | | | | — | | | | — | |
Barclays Capital | | | 53 | | | | 53 | | | | — | | | | — | | | | — | | | | 53 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Societe Generale | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
State Street Bank and Trust | | | 368 | | | | 368 | | | | (21 | ) | | | — | | | | — | | | | 347 | | | | 21 | | | | 21 | | | | (21 | ) | | | — | | | | — | | | | — | |
Bank of America Corp. | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 9 | | | | 9 | | | | — | | | | — | | | | — | | | $ | 9 | |
Morgan Stanley and Co. International | | | 14 | | | | 14 | | | | — | | | | — | | | | — | | | | 14 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 479 | | | $ | 479 | | | $ | (22 | ) | | | — | | | | — | | | $ | 457 | | | $ | 31 | | | $ | 31 | | | $ | (22 | ) | | | — | | | | — | | | $ | 9 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | No amounts have been netted against the gross amounts recognized in the Statements of Assets and Liabilities. |
| (b) | Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. |
| (c) | Represents the net amount due from counterparties in the event of default. |
| (d) | Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. |
| (e) | Represents the net amount due to counterparties in the event of default. |
H. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective April 5, 2023, with its domestic custodian bank. A line of credit with similar terms was in effect through April 5, 2023. 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 $500 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 agreement for the line of credit expires on April 3, 2024.
The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $700 million unsecured line of credit with its international custodian bank effective December 28, 2022. A line of credit with similar terms was in effect through December 28, 2022. Each portfolio is permitted to borrow, subject to its investment limitations, up to the lower of one-quarter of such portfolio’s net assets or $500 million, as long as total borrowings under the line of credit do not exceed $700 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 upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on December 27, 2023.
158
For the year ended October 31, 2023, borrowings by the following Portfolios under the lines 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 | | | Outstanding
Borrowings
as of 10/31/2023 | |
Large Cap International Portfolio | | | 5.64 | % | | $ | 2,734 | | | | 18 | | | $ | 8 | | | $ | 9,549 | | | | — | |
International Core Equity Portfolio | | | 5.47 | % | | | 2,191 | | | | 33 | | | | 11 | | | | 22,349 | | | | — | |
Global Small Company Portfolio | | | 5.59 | % | | | 50 | | | | 49 | | | | — | | | | 172 | | | $ | 22 | |
DFA International Real Estate Securities Portfolio | | | 5.74 | % | | | 5,697 | | | | 44 | | | | 40 | | | | 21,790 | | | | — | |
DFA Global Real Estate Securities Portfolio | | | 5.47 | % | | | 4,710 | | | | 31 | | | | 21 | | | | 17,333 | | | | — | |
DFA International Small Cap Value Portfolio | | | 5.56 | % | | | 1,900 | | | | 51 | | | | 15 | | | | 11,643 | | | | — | |
International Vector Equity Portfolio | | | 5.46 | % | | | 1,000 | | | | 8 | | | | 1 | | | | 3,907 | | | | — | |
International High Relative Profitability Portfolio | | | 5.39 | % | | | 1,878 | | | | 181 | | | | 49 | | | | 15,148 | | | | — | |
World ex U.S. Value Portfolio | | | 5.66 | % | | | 150 | | | | 53 | | | | 1 | | | | 778 | | | | — | |
World ex U.S. Core Equity Portfolio | | | 5.66 | % | | | 1,529 | | | | 39 | | | | 9 | | | | 17,052 | | | | — | |
World ex U.S. Targeted Value Portfolio | | | 5.66 | % | | | 421 | | | | 102 | | | | 7 | | | | 2,024 | | | | 699 | |
World Core Equity Portfolio | | | 5.52 | % | | | 2,001 | | | | 44 | | | | 13 | | | | 8,963 | | | | — | |
Emerging Markets Core Equity Portfolio | | | 5.65 | % | | | 26,066 | | | | 10 | | | | 42 | | | | 83,195 | | | | — | |
Emerging Markets Targeted Value Portfolio | | | 5.46 | % | | | 495 | | | | 13 | | | | 1 | | | | 2,297 | | | | — | |
Emerging Markets ex China Core Equity Portfolio | | | 5.64 | % | | | 3,040 | | | | 31 | | | | 15 | | | | 10,799 | | | | — | |
| * | Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2023, that each Portfolio’s available line of credit was used. |
Pursuant to an exemptive order issued by the SEC (the “Order”), the Portfolios may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice.
159
For the year ended October 31, 2023, activity by the Portfolios under the interfund lending program was as follows (amounts in thousands, except percentages and days):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Borrower or
Lender | | | Weighted
Average
Interest Rate | | | Weighted
Average Loan
Balance | | | Number of
Days
Outstanding1 | | | Interest
Expense/
Income | | | Maximum Amount
Borrowed/Loaned
During the Period | | | Outstanding
Borrowings
as of 10/31/2023 | |
DFA International Real Estate Securities Portfolio | | | Borrower | | | | 4.86 | % | | $ | 39,933 | | | | 9 | | | $ | 47 | | | $ | 73,588 | | | | — | |
DFA Global Real Estate Securities Portfolio | | | Borrower | | | | 4.57 | % | | | 44,389 | | | | 4 | | | | 23 | | | | 49,086 | | | | — | |
Emerging Markets ex China Core Equity Portfolio | | | Borrower | | | | 4.69 | % | | | 24,627 | | | | 5 | | | | 16 | | | | 39,932 | | | | — | |
| 1 | Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2023 that each Portfolio utilized the interfund lending program. |
I. Affiliated Trades:
Cross trades for the year ended October 31, 2023, if any, were executed by the Portfolios pursuant to procedures adopted by the Board of Directors of the Fund to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common Directors and/or common Officers. At its regularly scheduled meetings, the CCO certifies to the Board that the 17a-7 transactions entered into by the Portfolios complied with the Rule 17a-7 Procedures adopted by the Board of Directors of the Fund.
For the year ended October 31, 2023, cross trades by the Portfolios under Rule 17a-7 were as follows (amounts in thousands):
| | | | | | | | | | | | |
Portfolio | | Purchases | | | Sales | | | Realized Gain (Loss) | |
Large Cap International Portfolio | | $ | 75,525 | | | $ | 71,801 | | | $ | (18,402 | ) |
International Core Equity Portfolio | | | 162,646 | | | | 251,668 | | | | (57,350 | ) |
DFA Global Real Estate Securities Portfolio | | | 17,999 | | | | — | | | | — | |
DFA International Small Cap Value Portfolio | | | 256,456 | | | | 295,828 | | | | (45,300 | ) |
International Vector Equity Portfolio | | | 44,443 | | | | 67,303 | | | | (10,978 | ) |
International High Relative Profitability Portfolio | | | 13,376 | | | | 60,396 | | | | (5,040 | ) |
World ex U.S. Core Equity Portfolio | | | 26,262 | | | | 31,594 | | | | (5,759 | ) |
World ex U.S. Targeted Value Portfolio | | | 22,890 | | | | 13,140 | | | | (2,054 | ) |
Emerging Markets Core Equity Portfolio | | | 4,669 | | | | 22,614 | | | | (4,950 | ) |
Emerging Markets Targeted Value Portfolio | | | 417 | | | | 526 | | | | 18 | |
Emerging Markets ex China Core Equity Portfolio | | | 913 | | | | 390 | | | | (67 | ) |
160
J. Securities Lending:
As of October 31, 2023, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. The Portfolios also received non-cash collateral consisting of short- and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amounts in thousands):
| | | | |
| | | Non-Cash
Collateral
Market
Value | |
Large Cap International Portfolio | | $ | 50,017 | |
International Core Equity Portfolio | | | 341,835 | |
DFA International Real Estate Securities Portfolio | | | 51,460 | |
DFA International Small Cap Value Portfolio | | | 86,972 | |
International Vector Equity Portfolio | | | 43,888 | |
International High Relative Profitability Portfolio | | | 13,516 | |
World ex U.S. Core Equity Portfolio | | | 54,769 | |
World ex U.S. Targeted Value Portfolio | | | 10,475 | |
Emerging Markets Core Equity Portfolio | | | 902,075 | |
Emerging Markets Targeted Value Portfolio | | | 4,752 | |
Emerging Markets ex China Core Equity Portfolio | | | 8,084 | |
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 in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 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, cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities, and 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. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, each Portfolio with securities on loan will generally invest the cash collateral received for the loaned securities in 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. Income received from the Money Market Series is netted with fees for securities lending and collateral investment expenses and with other payments to and from borrowers of securities. Each 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 or unaffiliated money market funds that are registered or unregistered. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. Additionally, 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 for taxation at qualified dividend income rates.
161
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2023 (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of October 31, 2023 | |
| | | Overnight and
Continuous | | | <30 days | | | Between
30 & 90 days | | | >90 days | | | Total | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Large Cap International Portfolio Common Stocks | | $ | 218,056 | | | | — | | | | — | | | | — | | | $ | 218,056 | |
International Core Equity Portfolio Common Stocks, Rights/Warrants | | | 1,013,399 | | | | — | | | | — | | | | — | | | | 1,013,399 | |
DFA International Real Estate Securities Portfolio Common Stocks | | | 94,116 | | | | — | | | | — | | | | — | | | | 94,116 | |
DFA Global Real Estate Securities Portfolio Common Stocks | | | 339,940 | | | | — | | | | — | | | | — | | | | 339,940 | |
DFA International Small Cap Value Portfolio Common Stocks | | | 166,247 | | | | — | | | | — | | | | — | | | | 166,247 | |
International Vector Equity Portfolio Common Stocks, Rights/Warrants | | | 123,605 | | | | — | | | | — | | | | — | | | | 123,605 | |
International High Relative Profitability Portfolio Common Stocks | | | 74,978 | | | | — | | | | — | | | | — | | | | 74,978 | |
World ex U.S. Core Equity Portfolio Common Stocks | | | 97,824 | | | | — | | | | — | | | | — | | | | 97,824 | |
World ex U.S. Targeted Value Portfolio Common Stocks, Preferred Stocks, Rights/Warrants | | | 9,527 | | | | — | | | | — | | | | — | | | | 9,527 | |
Emerging Markets Core Equity Portfolio Common Stocks | | | 246,300 | | | | — | | | | — | | | | — | | | | 246,300 | |
Emerging Markets Targeted Value Portfolio Common Stocks | | | 1,727 | | | | — | | | | — | | | | — | | | | 1,727 | |
Emerging Markets ex China Core Equity Portfolio Common Stocks | | | 8,001 | | | | — | | | | — | | | | — | | | | 8,001 | |
K. Shareholder Servicing Fees:
On June 9, 2023, pursuant to a Plan of Recapitalization the Class R2 shares (“Class R shares”) of the Emerging Markets Value Portfolio converted into Institutional Class shares of the Portfolio (the “Recapitalization”). As a result of the Recapitalization, shareholders holding Class R shares of the Portfolio received Institutional Class shares of the Portfolio in exchange for their Class R shares with an aggregate net asset value equal to the aggregate net asset value of the Class R shares so exchanged. The value of a shareholder’s investment in the Portfolio was not impacted by the conversion; however, each shareholder received fewer Institutional Class shares than the number of Class R shares held at the time of the conversion because the Class R shares had a higher net asset value per share. Following the Recapitalization, the Class R shares of the Portfolio have ceased operations. See the Statements of Changes for activity related to the Recapitalization.
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.
162
In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that 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 and Regulations:
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs were effective for certain reference rate-related contract modifications that occurred during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and determined the adoption of these ASUs will not have a material impact on the Portfolios’ financial statements.
In October 2022, the SEC adopted rule and form amendments requiring open-end management investment companies, including mutual funds and exchange-traded funds, to transmit concise and visually engaging semi-annual and annual reports that highlight key information, including fund expenses, performance, and holdings to shareholders. Other information, including financial statements, will no longer appear in the Portfolios’ shareholder reports but will be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Accordingly, the rule and form amendments will not impact the Portfolios’ until the 2024 annual shareholder reports, and will have no effect on the Portfolios’ accounting policies or financial statements.
N. Other:
As of October 31, 2023, the following number of shareholders held the following approximate percentages of the Portfolios’ outstanding shares. 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 | |
Large Cap International Portfolio | | 4 | | | 78 | % |
International Core Equity Portfolio | | 3 | | | 70 | % |
Global Small Company Portfolio | | 4 | | | 98 | % |
International Small Company Portfolio | | 3 | | | 80 | % |
Japanese Small Company Portfolio | | 3 | | | 86 | % |
Asia Pacific Small Company Portfolio | | 2 | | | 91 | % |
United Kingdom Small Company Portfolio | | 3 | | | 91 | % |
Continental Small Company Portfolio | | 2 | | | 95 | % |
DFA International Real Estate Securities Portfolio | | 4 | | | 93 | % |
DFA Global Real Estate Securities Portfolio | | 2 | | | 65 | % |
DFA International Small Cap Value Portfolio | | 3 | | | 76 | % |
International Vector Equity Portfolio | | 2 | | | 83 | % |
International High Relative Profitability Portfolio | | 2 | | | 86 | % |
World ex U.S. Value Portfolio | | 5 | | | 79 | % |
World ex U.S. Core Equity Portfolio | | 2 | | | 74 | % |
World ex U.S. Targeted Value Portfolio | | 2 | | | 97 | % |
World Core Equity Portfolio | | 4 | | | 81 | % |
163
| | | | | | |
| | | Number of
Shareholders | | Approximate
Percentage
of Outstanding
Shares | |
Selectively Hedged Global Equity Portfolio | | 2 | | | 82 | % |
Emerging Markets Portfolio | | 2 | | | 66 | % |
Emerging Markets Small Cap Portfolio | | 2 | | | 61 | % |
Emerging Markets Value Portfolio | | 3 | | | 49 | % |
Emerging Markets Core Equity Portfolio | | 2 | | | 63 | % |
Emerging Markets Targeted Value Portfolio | | 2 | | | 93 | % |
Emerging Markets ex China Core Equity Portfolio | | 3 | | | 93 | % |
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, claw back litigation against former shareholders of portfolio companies that filed for bankruptcy, such as the now ended litigation involving The Tribune Company and the ongoing litigation involving Nine West). Although management currently believes that resolving claims against the Portfolios, individually or in aggregate, will not have a material adverse impact on the Portfolios’ financial position, results of operations, or 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 through the date on which the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
164
Report of Independent Registered Public Accounting Firm
To the Board of Directors of DFA Investment Dimensions Group Inc. and Shareholders of each of the twenty-four portfolios listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings or schedules of investments, of each of the portfolios indicated in the table below (twenty-four of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter collectively referred to as the “Portfolios”) as of October 31, 2023, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated in the table below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of October 31, 2023, the results of each of their operations, the changes in each of their net assets, and each of the financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
| | | | | | |
Portfolio | | Statement of operations | | Statement of changes in net assets | | Financial highlights |
| Large Cap International Portfolio (1) | | For the year ended October 31, 2023 | | For the years ended October 31, 2023 and 2022 | | For each of the periods indicated therein |
| International Core Equity Portfolio (1) |
| Global Small Company Portfolio (2) |
| International Small Company Portfolio (2) |
| Japanese Small Company Portfolio (2) | | | | | | |
| Asia Pacific Small Company Portfolio (2) | | | | | | |
| United Kingdom Small Company Portfolio (2) | | | | | | |
| Continental Small Company Portfolio (2) | | | | | | |
| DFA International Real Estate Securities Portfolio (1) | | | | | | |
| DFA Global Real Estate Securities Portfolio (1) | | | | | | |
| DFA International Small Cap Value Portfolio (1) | | | | | | |
| International Vector Equity Portfolio (1) | | | | | | |
| International High Relative Profitability Portfolio (1) | | | | | | |
| World ex U.S. Value Portfolio (2) | | | | | | |
| World ex U.S. Core Equity Portfolio (1) | | | | | | |
| World ex U.S. Targeted Value Portfolio (1) | | | | | | |
| World Core Equity Portfolio (2) | | | | | | |
| Selectively Hedged Global Equity Portfolio (2) | | | | | | |
| Emerging Markets Portfolio (2) | | | | | | |
| Emerging Markets Small Cap Portfolio (2) | | | | | | |
| Emerging Markets Value Portfolio (2) | | | | | | |
| Emerging Markets Core Equity Portfolio (1) | | | | | | |
| Emerging Markets Targeted Value Portfolio (1) | | | | | | |
| | |
| Emerging Markets ex China Core Equity Portfolio (1) | | For the year ended October 31, 2023 | | For the year ended October 31, 2023 and the period November 15, 2021 (commencement of operations) through October 31, 2022 |
| (1) | Summary schedule of portfolio holdings |
| (2) | Schedule of investments |
|
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330-3000, www.pwc.com/us |
165
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023 by correspondence with the custodians, brokers and transfer agent of the investee fund; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2023
We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.
|
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330-3000, www.pwc.com/us |
166
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
DFA International Value Portfolio — Institutional Class vs.
MSCI World ex USA Value Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 16.93% | | | | 4.96% | | | | 3.25% | | | |
167
MANAGEMENT’S DISCUSSION AND ANALYSIS
| | |
International Equity Market Review | | 12 Months Ended October 31, 2023 |
Performance of non-U.S. developed markets was positive for the period outperforming the US and emerging markets. As measured by the MSCI World ex USA indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks underperformed large-cap stocks but outperformed small-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI World ex USA indices.
| | | | |
| Total Return for 12 Months Ended October 31, 2023 | |
| |
| | | Return in U.S. Dollars | |
MSCI World ex USA Index | | | 12.56 | % |
MSCI World ex USA Mid Cap Index (a subset of the large-cap universe) | | | 9.62 | % |
MSCI World ex USA Small Cap Index | | | 5.66 | % |
MSCI World ex USA Value Index | | | 15.70 | % |
MSCI World ex USA Growth Index | | | 9.49 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.
| | | | | | | | |
| Total Return for 12 Months Ended October 31, 2023 | |
| | |
Ten Largest Foreign Developed Markets by Market Cap | | Local Return | | | Return in U.S. Dollars | |
Japan | | | 19.00 | % | | | 16.79 | % |
United Kingdom | | | 7.11 | % | | | 12.88 | % |
Canada | | | 0.51 | % | | | -1.24 | % |
France | | | 10.52 | % | | | 18.19 | % |
Switzerland | | | -2.37 | % | | | 7.36 | % |
Australia | | | 4.89 | % | | | 3.85 | % |
Germany | | | 10.73 | % | | | 18.42 | % |
Netherlands | | | 11.07 | % | | | 18.56 | % |
Sweden | | | 7.32 | % | | | 6.14 | % |
Denmark | | | 31.92 | % | | | 40.72 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
Emerging markets had positive performance for the period and outperformed U.S. markets while underperforming non-U.S. developed markets. As measured by the MSCI Emerging Markets indices, small-cap stocks outperformed large-cap stocks and mid-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI Emerging Markets indices.
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| | | | |
| Total Return for 12 Months Ended October 31, 2023 | |
| |
| | | Return in U.S. Dollars | |
MSCI Emerging Markets Index | | | 10.80 | % |
MSCI Emerging Markets Mid Cap Index (a subset of the large-cap universe) | | | 10.42 | % |
MSCI Emerging Markets Small Cap Index | | | 17.20 | % |
MSCI Emerging Markets Value Index | | | 13.43 | % |
MSCI Emerging Markets Growth Index | | | 8.33 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of emerging markets currencies. Overall, currency movements had a positive impact on the U.S. dollar denominated returns of emerging markets.
| | | | | | | | |
| Total Return for 12 Months Ended October 31, 2023 | |
| | |
Ten Largest Emerging Markets by Market Cap | | Local Return | | | Return in U.S. | |
Dollars | | | | | | |
China | | | 20.83 | % | | | 21.12 | % |
India | | | 4.76 | % | | | 4.16 | % |
Taiwan | | | 27.06 | % | | | 26.22 | % |
Korea | | | 2.72 | % | | | 8.34 | % |
Brazil | | | -1.84 | % | | | 2.14 | % |
Saudi Arabia | | | -11.52 | % | | | -11.38 | % |
South Africa | | | 3.73 | % | | | 1.69 | % |
Mexico | | | 0.13 | % | | | 10.10 | % |
Indonesia | | | -5.51 | % | | | -7.22 | % |
Thailand | | | -9.60 | % | | | -4.28 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2023, these differences generally contributed positively to non-US developed markets Portfolios’ relative performance and were not material to emerging markets Portfolios’ relative performance.
DFA International Value Portfolio
The DFA International Value Portfolio invests in developed ex U.S. large company value stocks by purchasing shares of the DFA International Value Series, a Master Fund managed by Dimensional that invests in such securities. The Master Fund generally excludes real estate investment trusts (REITs) and highly regulated utilities. The investment strategy is process driven, emphasizing broad diversification,
169
with increased exposure to stocks with smaller total market capitalizations, lower relative price (value), and higher-profitability within the large-cap value segment of developed ex U.S. markets. As of October 31, 2023, the Master Fund held approximately 530 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.
For the 12 months ended October 31, 2023, total returns were 16.93% for the Portfolio and 15.70% for the MSCI World ex USA Value Index, the Portfolio’s benchmark. With value stocks outperforming growth stocks, the Master Fund’s focus on value stocks contributed positively to performance relative to the benchmark. The Master Fund’s exclusion of REITs also contributed positively to relative performance, as REITs generally underperformed.
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DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(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 and 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” reflects 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, 2023
EXPENSE TABLE
| | | | | | | | | | | | | | | | |
| | | Beginning
Account
Value
05/01/23 | | | Ending
Account
Value
10/31/23 | | | Annualized
Expense
Ratio (1) | | | Expenses
Paid
During
Period (1) | |
DFA International Value Portfolio (2) | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 961.00 | | | | 0.29 | % | | $ | 1.43 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.74 | | | | 0.29 | % | | $ | 1.48 | |
| (1) | 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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DISCLOSURE OF FUND EXPENSES
CONTINUED
| (2) | The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the allocation of the Feeder Fund’s portion of the expenses of its Master Fund (Affiliated Investment Company). |
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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 as an exhibit to their reports on Form N-PORT. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-PORT with the SEC on September 29, 2023. They are available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.
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 used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this requirement.
The categories of industry classification for the Affiliated Investment Company are represented in its Disclosure of Portfolio Holdings, which is included elsewhere in the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Affiliated Investment Company’s holdings, which reflect the investments by category.
FEEDER FUND
| | | | |
| | | Affiliated Investment Company | |
DFA International Value Portfolio | | | 100.0 | % |
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DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | |
| | | Value† | |
AFFILIATED INVESTMENT COMPANIES — (100.0%) | | | | |
Investment in The DFA International Value Series of
The DFA Investment Trust Company | | $ | 8,239,972,883 | |
| | | | |
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES | | $ | 8,239,972,883 | |
| | | | |
Summary of the Portfolio’s Master Fund’s investments as of October 31, 2023, based on their valuation inputs, is located in this report (See Security Valuation Note).
See accompanying Notes to Financial Statements.
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DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands, except share and per share amounts)
| | | | |
| | | DFA
International
Value Portfolio | |
ASSETS: | | | | |
Investments in Affiliated Investment Company at Value | | $ | 8,239,973 | |
Receivables: | | | | |
Fund Shares Sold | | | 4,657 | |
Prepaid Expenses and Other Assets | | | 31 | |
| | | | |
Total Assets | | | 8,244,661 | |
| | | | |
LIABILITIES: | | | | |
Payables: | | | | |
Fund Shares Redeemed | | | 5,793 | |
Due to Advisor | | | 359 | |
Accrued Expenses and Other Liabilities | | | 382 | |
| | | | |
Total Liabilities | | | 6,534 | |
| | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | |
NET ASSETS | | $ | 8,238,127 | |
| | | | |
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | | | | |
Institutional Class Shares — based on net assets of $8,238,127 and shares outstanding of 453,371,382, $0.01 Par Value (1) | | $ | 18.17 | |
| | | | |
(1) NUMBER OF SHARES AUTHORIZED | | | 1,500,000,000 | |
| | | | |
NET ASSETS CONSIST OF: | | | | |
Paid-In Capital | | $ | 7,849,086 | |
Total Distributable Earnings (Loss) | | | 389,041 | |
| | | | |
NET ASSETS | | $ | 8,238,127 | |
| | | | |
See accompanying Notes to Financial Statements.
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DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | |
| | | DFA
International
Value Portfolio* | |
Investment Income | | | | |
Net Investment Income Allocated from Affiliated Investment Companies: | | | | |
Dividends (Net of Foreign Taxes Withheld of $37,062) | | $ | 387,340 | |
Interest | | | 387 | |
Income from Securities Lending, Net | | | 3,453 | |
Expenses Allocated from Affiliated Investment Companies | | | (18,308 | ) |
| | | | |
Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies | | | 372,872 | |
| | | | |
Fund Expenses | | | | |
Investment Management Fees | | | 21,485 | |
Accounting & Transfer Agent Fees | | | 1,143 | |
Shareholder Servicing Fees | | | | |
Institutional Class Shares1 | | | 4 | |
Filing Fees | | | 172 | |
Shareholders’ Reports | | | 449 | |
Directors’/Trustees’ Fees & Expenses | | | 63 | |
Professional Fees | | | 112 | |
Other | | | 37 | |
| | | | |
Total Fund Expenses | | | 23,465 | |
| | | | |
Fees Waived, Expenses Reimbursed by Advisor (Note C) | | | | |
Institutional Class Shares | | | 17,188 | |
| | | | |
Net Expenses | | | 6,277 | |
| | | | |
Net Investment Income (Loss) | | | 366,595 | |
| | | | |
Realized and Unrealized Gain (Loss) | | | | |
Net Realized Gain (Loss) on: | | | | |
Transactions Allocated from Affiliated Investment Company** | | | (47,315 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | |
Transactions Allocated from Affiliated Investment Company | | | 949,714 | |
| | | | |
Net Realized and Unrealized Gain (Loss) | | | 902,399 | |
| | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 1,268,994 | |
| | | | |
| ** | Net of foreign capital gain taxes withheld of $0. |
| 1 | Class R2 shares of the Portfolio converted into Institutional Class shares on June 9, 2023. |
| * | 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.
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DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | |
| | | DFA International Value
Portfolio*** | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | |
Increase (Decrease) in Net Assets | | | | | | | | |
Operations: | | | | | | | | |
Net Investment Income (Loss) | | $ | 366,595 | | | $ | 350,567 | |
Net Realized Gain (Loss) on: | | | | | | | | |
Transactions Allocated from Affiliated Investment Company*,** | | | (47,315 | ) | | | (7,444 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | |
Transactions Allocated from Affiliated Investment Company | | | 949,714 | | | | (1,569,559 | ) |
| | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,268,994 | | | | (1,226,436 | ) |
| | | | | | | | |
Distributions: | | | | | | | | |
Class R2 Shares | | | 43 | | | | (78 | ) |
Institutional Class Shares | | | (351,486 | ) | | | (402,623 | ) |
| | | | | | | | |
Total Distributions | | | (351,443 | ) | | | (402,701 | ) |
| | | | | | | | |
Capital Share Transactions (1): | | | | | | | | |
Shares Issued | | | 1,196,309 | | | | 2,471,605 | |
Shares Issued in Lieu of Cash Distributions | | | 344,995 | | | | 396,749 | |
Shares Redeemed | | | (1,714,650 | ) | | | (2,059,528 | ) |
| | | | | | | | |
Net Increase (Decrease) from Capital Share Transactions | | | (173,346 | ) | | | 808,826 | |
| | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 744,205 | | | | (820,311 | ) |
Net Assets | | | | | | | | |
Beginning of Year | | | 7,493,922 | | | | 8,314,233 | |
| | | | | | | | |
End of Year | | $ | 8,238,127 | | | $ | 7,493,922 | |
| | | | | | | | |
(1) Shares Issued and Redeemed: | | | | | | | | |
Shares Issued | | | 63,752 | | | | 134,715 | |
Shares Issued in Lieu of Cash Distributions | | | 18,392 | | | | 22,689 | |
Shares Redeemed | | | (91,729 | ) | | | (114,398 | ) |
| | | | | | | | |
Net Increase (Decrease) from Shares Issued and Redeemed | | | (9,585 | ) | | | 43,006 | |
| | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $0. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $0. |
| *** | 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.
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DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | |
| | | DFA International Value Portfolio | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 16.19 | | | $ | 19.80 | | | $ | 13.54 | | | $ | 17.18 | | | $ | 17.74 | |
| | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations (A) | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 0.80 | | | | 0.79 | | | | 0.62 | | | | 0.38 | | | | 0.63 | |
Net Gains (Losses) on Securities (Realized and Unrealized) | | | 1.96 | | | | (3.49 | ) | | | 6.23 | | | | (3.58 | ) | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 2.76 | | | | (2.70 | ) | | | 6.85 | | | | (3.20 | ) | | | 0.52 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | (0.78 | ) | | | (0.87 | ) | | | (0.59 | ) | | | (0.44 | ) | | | (0.56 | ) |
Net Realized Gains | | | — | | | | (0.04 | ) | | | — | | | | — | | | | (0.52 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.78 | ) | | | (0.91 | ) | | | (0.59 | ) | | | (0.44 | ) | | | (1.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 18.17 | | | $ | 16.19 | | | $ | 19.80 | | | $ | 13.54 | | | $ | 17.18 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 16.93 | % | | | (13.90 | %) | | | 50.90 | % | | | (18.87 | %) | | | 3.37 | % |
| | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 8,238,127 | | | $ | 7,492,497 | | | $ | 8,312,480 | | | $ | 6,557,488 | | | $ | 9,173,478 | |
Ratio of Expenses to Average Net Assets | | | 0.29 | % | | | 0.30 | % | | | 0.36 | % | | | 0.40 | % | | | 0.44 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) | | | 0.49 | % | | | 0.50 | % | | | 0.56 | % | | | 0.60 | % | | | 0.64 | % |
Ratio of Net Investment Income to Average Net Assets | | | 4.27 | % | | | 4.30 | % | | | 3.36 | % | | | 2.57 | % | | | 3.70 | % |
| | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes. 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.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940 (the “1940 Act”), whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of ten portfolios, one of which, the DFA International Value Portfolio (the “Portfolio”), is presented in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolio is an investment company, and accordingly, follows the accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”), Topic 946, “Financial Services-Investment Companies.”
The Portfolio invests substantially all of its assets in The DFA International Value Series (the “Series”), a corresponding series of The DFA Investment Trust Company. As of October 31, 2023, the Portfolio owned 71% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Such policies are consistently followed by the Fund 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 fair value of investments, the reported amounts of assets and liabilities, the 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 Portfolio uses a fair value hierarchy, which prioritizes the inputs-to-valuation techniques used to measure fair value into three broad levels described below:
| | • | | Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, and futures contracts) |
| | • | | 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 Portfolio’s investment reflects its proportionate interests in the net assets of the Series. The valuation is classified 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 Rule 2a-5 under the 1940 Act pursuant to procedures approved by the Board of Directors of the Fund. 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 Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio 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. These securities are generally categorized as Level 2 or Level 3 in the hierarchy.
A summary of the inputs used to value the Portfolio’s investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Schedule of Investments. The methodology or inputs used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
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2. Deferred Compensation Plan: Each eligible Director of the Fund may elect to participate in the Fee Deferral Plan for Independent Directors and Trustees (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: the U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Large Company 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, DFA Inflation-Protected Securities 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.
The Directors may receive their distributions of proceeds by 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 (the “Notice”) to defer the receipt of the Director’s deferred compensation until a date specified by such Director in the Notice. The 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 Directors 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 (unless the Director files an amended Notice selecting a different distribution date).
3. Other: The Portfolio 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. Non-cash dividend income received in the form of securities in-lieu of cash, if any, are recorded at the fair value of securities received. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolio estimates the character of received distributions that may be considered return of capital distributions. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund or the Portfolio are allocated using methods approved by the Board of Directors, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Portfolio. For the year ended October 31, 2023, the Portfolio’s investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rate of average daily net assets:
| | | | |
DFA International Value Portfolio | | | 0.25 | % |
Pursuant to an Amended and Restated Fee Waiver Agreement (the “Fee Waiver Agreement”), the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, as described in the notes below. The Fee Waiver Agreement will remain in effect permanently, unless terminated by the Fund’s Board of Directors. During the year ended October 31, 2023, the Portfolio had a total management fee limit based on a percentage of its average net assets on an annualized basis and waived fees (amount in thousands) as reflected below.
| | | | | | | | | | | | | | | | |
Institutional Class Shares | | Total
Management
Fee Limit | | | Recovery
of Previously
Waived Fees/
Expenses Assumed | | | Net Waived
Fees | | | Previously
Waived Fees/
Expenses Assumed
Subject to Future
Recovery | |
DFA International Value Portfolio (1) | | | 0.25 | % | | | — | | | $ | 17,188 | | | | — | |
| (1) | Effective February 28, 2022, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, including the proportionate share of the |
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| | management fees the Portfolio pays indirectly through its investment in other funds managed by the Advisor, except for the fees paid indirectly through its investment of securities lending cash collateral in The DFA Short Term Investment Fund, to the rate listed above as a percentage of the average net assets of the Institutional Class of the Portfolio on an annualized basis (the “Permanent Fee Waiver”). From February 28, 2021 to February 27, 2022, the Permanent Fee Waiver Limit was 0.30%. From February 28, 2020 to February 27, 2021, the Permanent Fee Waiver Limit was 0.35%. From July 21, 2015 to February 27, 2020, the Permanent Fee Waiver Limit was 0.40%. |
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and Directors of the Fund; however, such Officers and Directors (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2023, the total related amounts paid by the Fund to the CCO were $18 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations.
D. Deferred Compensation:
As of October 31, 2023, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amount in thousands):
| | | | |
DFA International Value Portfolio | | $ | 113 | |
E. Federal Income Taxes:
The 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 GAAP. These book/tax differences are either temporary or permanent in nature. To the extent that these differences are permanent, they are charged or credited to paid-in capital or distributable earnings, undistributed net investment income, accumulated net realized gains or losses, or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the permanent differences as of October 31, 2023, can occur as a result of realized gains on securities considered to be “passive foreign investment companies”, non-deductible expenses, realized foreign capital gains tax, the use of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes, net foreign currency gains/losses, distributions received from real estate investment trusts and distribution redesignations, and were reclassified to the accounts mentioned above.
The tax character of dividends and distributions declared and paid during the years ended October 31, 2022, and October 31, 2023, were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Net Investment
Income and
Short-Term
Capital Gains | | | Long-Term
Capital Gains | | | Tax Exempt
Income | | | Total | |
DFA International Value Portfolio | | | | | | | | | | | | | | | | |
2022 | | $ | 402,701 | | | | — | | | | — | | | $ | 402,701 | |
2023 | | | 351,443 | | | | — | | | | — | | | | 351,443 | |
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As of October 31, 2023, 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 use 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 | |
DFA International Value Portfolio | | $ | (14,751 | ) | | | — | | | $ | (14,751 | ) |
As of October 31, 2023, 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
Carryforwards | | | Unrealized
Appreciation
(Depreciation) | | | Total Net
Distributable
Earnings
(Accumulated
Losses) | |
DFA International Value Portfolio | | $ | 87,620 | | | | — | | | $ | (94,697 | ) | | $ | 396,246 | | | $ | 389,169 | |
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, 2023, the Portfolio had the following capital loss carryforwards available to offset future realized capital gains with no expiration date (amounts in thousands):
| | | | | | | | |
| | | Unlimited | | | Total | |
DFA International Value Portfolio | | $ | 94,697 | | | $ | 94,697 | |
During the year ended October 31, 2023, the Portfolio did not use capital loss carryforwards to offset realized capital gains for federal income tax purposes.
As of October 31, 2023, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Federal
Tax Cost | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | | | Net
Unrealized
Appreciation
(Depreciation) | |
DFA International Value Portfolio | | $ | 7,847,044 | | | $ | 538,964 | | | $ | (142,718 | ) | | $ | 396,246 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) can occur as a result of wash sales and net mark-to-market gains (losses) on regulated futures contracts, net mark-to-market gains (losses) on foreign currency contracts, and differences in the tax treatment of passive foreign investment company investments or other investments.
ASC 740 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 Portfolio’s tax positions and has concluded that no additional provision for income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolio’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
F. Shareholder Servicing Fees:
On June 9, 2023, pursuant to a Plan of Recapitalization the Class R2 (“Class R shares”) shares of the DFA International Value Portfolio converted into Institutional Class shares of the Portfolio (the “Recapitalization”). As a result of the Recapitalization, shareholders holding Class R shares of the Portfolio received Institutional Class shares
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of the Portfolio in exchange for their Class R shares with an aggregate net asset value equal to the aggregate net asset value of the Class R shares so exchanged. The value of a shareholder’s investment in the Portfolio was not impacted by the conversion; however, each shareholder received fewer Institutional Class shares than the number of Class R shares held at the time of the conversion because the Class R shares had a higher net asset value per share. Following the Recapitalization, the Class R shares of the Portfolio have ceased operations. See the Statements of Changes for activity related to the Recapitalization.
G. 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 that 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.
H. Recently Issued Accounting Standards and Regulations:
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs were effective for certain reference rate-related contract modifications that occurred during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and determined the adoption of these ASUs will not have a material impact on the Portfolio’s financial statements.
In October 2022, the SEC adopted rule and form amendments requiring open-end management investment companies, including mutual funds and exchange-traded funds, to transmit concise and visually engaging semi-annual and annual reports that highlight key information, including fund expenses, performance, and holdings to shareholders. Other information, including financial statements, will no longer appear in the Portfolio’s shareholder reports but will be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Accordingly, the rule and form amendments will not impact the Portfolio until the 2024 annual shareholder reports, and will have no effect on the Portfolio’s accounting policies or financial statements.
I. Other:
As of October 31, 2023, the following number of shareholders held the following approximate percentages of the Portfolio’s outstanding shares. 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 | |
DFA International Value Portfolio | | | 3 | | | | 70 | % |
The Portfolio is subject to claims and suits that arise from time to time in the ordinary course of business (for example, claw back litigation against former shareholders of portfolio companies that filed for bankruptcy, such as the now ended litigation involving The Tribune Company and the ongoing litigation involving Nine West). Although management currently believes that resolving claims against the Portfolio, individually or in aggregate, will not have a material adverse impact on the Portfolio’s financial position, results of operations, or cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.
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J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were issued 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 Board of Directors of Dimensional Investment Group Inc. and Shareholders of DFA International Value Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of DFA International Value Portfolio (one of the portfolios constituting Dimensional Investment Group Inc., referred to hereafter as the “Portfolio”) as of October 31, 2023, the related statement of operations for the year ended October 31, 2023, the statement of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of October 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2023 and the financial highlights for each of the five years in the period ended October 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of the security owned as of October 31, 2023 by correspondence with the transfer agent of the investee fund. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2023
We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.
|
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330-3000, www.pwc.com/us |
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THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
The DFA International Value Series vs.
MSCI World ex USA Value Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 17.00% | | | | 5.12% | | | | 3.43% | | | |
The Japanese Small Company Series vs.
MSCI Japan Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 18.71% | | | | 0.99% | | | | 4.69% | | | |
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THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
The Asia Pacific Small Company Series vs.
MSCI Pacific ex Japan Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 0.60% | | | | 1.47% | | | | 1.33% | | | |
The United Kingdom Small Company Series vs.
MSCI UK Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 9.20% | | | | 0.83% | | | | 1.45% | | | |
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THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
The Continental Small Company Series vs.
MSCI Europe ex UK Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 11.76% | | | | 4.91% | | | | 5.66% | | | |
The Canadian Small Company Series vs.
MSCI Canada Small Cap Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 3.53% | | | | 9.14% | | | | 3.08% | | | |
188
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
The Emerging Markets Series vs.
MSCI Emerging Markets Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 13.27% | | | | 3.28% | | | | 2.28% | | | |
The Emerging Markets Small Cap Series vs.
MSCI Emerging Markets Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 15.47% | | | | 6.99% | | | | 4.59% | | | |
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MANAGEMENT’S DISCUSSION AND ANALYSIS
| | |
| International Equity Market Review | | 12 Months Ended October 31, 2023 |
Performance of non-U.S. developed markets was positive for the period outperforming the US and emerging markets. As measured by the MSCI World ex USA indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks underperformed large-cap stocks but outperformed small-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI World ex USA indices.
Total Return for 12 Months Ended October 31, 2023
| | | | |
| | | Return in U.S. Dollars | |
MSCI World ex USA Index | | | 12.56 | % |
MSCI World ex USA Mid Cap Index (a subset of the large-cap universe) | | | 9.62 | % |
MSCI World ex USA Small Cap Index | | | 5.66 | % |
MSCI World ex USA Value Index | | | 15.70 | % |
MSCI World ex USA Growth Index | | | 9.49 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.
Total Return for 12 Months Ended October 31, 2023
| | | | | | | | |
Ten Largest Foreign Developed Markets by Market Cap | | Local Return | | | Return in U.S. Dollars | |
Japan | | | 19.00 | % | | | 16.79 | % |
United Kingdom | | | 7.11 | % | | | 12.88 | % |
Canada | | | 0.51 | % | | | -1.24 | % |
France | | | 10.52 | % | | | 18.19 | % |
Switzerland | | | -2.37 | % | | | 7.36 | % |
Australia | | | 4.89 | % | | | 3.85 | % |
Germany | | | 10.73 | % | | | 18.42 | % |
Netherlands | | | 11.07 | % | | | 18.56 | % |
Sweden | | | 7.32 | % | | | 6.14 | % |
Denmark | | | 31.92 | % | | | 40.72 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
Emerging markets had positive performance for the period and outperformed U.S. markets while underperforming non-U.S. developed markets. As measured by the MSCI Emerging Markets indices, small-cap stocks outperformed large-cap stocks and mid-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI Emerging Markets indices.
190
Total Return for 12 Months Ended October 31, 2023
| | | | |
| | | Return in U.S. Dollars | |
MSCI Emerging Markets Index | | | 10.80 | % |
MSCI Emerging Markets Mid Cap Index (a subset of the large-cap universe) | | | 10.42 | % |
MSCI Emerging Markets Small Cap Index | | | 17.20 | % |
MSCI Emerging Markets Value Index | | | 13.43 | % |
MSCI Emerging Markets Growth Index | | | 8.33 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of emerging markets currencies. Overall, currency movements had a positive impact on the U.S. dollar denominated returns of emerging markets.
Total Return for 12 Months Ended October 31, 2023
| | | | | | | | |
Ten Largest Emerging Markets by Market Cap | | Local Return | | | Return in U.S. | |
Dollars | | | | | | |
China | | | 20.83 | % | | | 21.12 | % |
India | | | 4.76 | % | | | 4.16 | % |
Taiwan | | | 27.06 | % | | | 26.22 | % |
Korea | | | 2.72 | % | | | 8.34 | % |
Brazil | | | -1.84 | % | | | 2.14 | % |
Saudi Arabia | | | -11.52 | % | | | -11.38 | % |
South Africa | | | 3.73 | % | | | 1.69 | % |
Mexico | | | 0.13 | % | | | 10.10 | % |
Indonesia | | | -5.51 | % | | | -7.22 | % |
Thailand | | | -9.60 | % | | | -4.28 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2023, these differences generally contributed positively to non-US developed markets Portfolios’ relative performance and were not material to emerging markets Portfolios’ relative performance.
The DFA International Value Series
The DFA International Value Series invests in developed ex U.S. large company value stocks. The Series generally excludes real estate investment trusts (REITs) and highly regulated utilities. The investment strategy is process driven, emphasizing broad diversification, with increased exposure to stocks with smaller total market capitalizations, lower relative price (value), and higher-profitability within the large-cap value segment of developed ex U.S. markets. As of October 31, 2023, the Series held approximately 530 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Series’ assets.
191
For the 12 months ended October 31, 2023, total returns were 17.00% for the Series and 15.70% for the MSCI World ex USA Value Index, the Series’ benchmark. With value stocks outperforming growth stocks, the Series’ focus on value stocks contributed positively to performance relative to the benchmark. The Series’ exclusion of REITs also contributed positively to relative performance, as REITs generally underperformed.
The Japanese Small Company Series
The Japanese Small Company Series invests in Japanese small company stocks. The Series generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Series held approximately 1,700 securities. Average cash exposure throughout the year was less than 1% of the Series’ assets.
For the 12 months ended October 31, 2023, total returns were 18.71% for the Series and 13.35% for the MSCI Japan Small Cap Index (net dividends), the Series’ benchmark. The Series’ exclusion of stocks with the lowest profitability and highest relative price contributed positively to performance relative to the benchmark as those stocks underperformed. The Series’ exclusion of REITs also contributed positively to relative performance, as REITs generally underperformed.
The Asia Pacific Small Company Series
The Asia Pacific Small Company Series invests in small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The Series generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Series held approximately 790 securities in 4 eligible countries. Average cash exposure throughout the year was less than 1% of the Series’ assets.
For the 12 months ended October 31, 2023, total returns were 0.60% for the Series and -2.12% for the MSCI Pacific ex Japan Small Cap Index (net dividends), the Series’ benchmark. The Series’ exclusion of stocks with the lowest profitability and highest relative price contributed positively to relative performance, as did the Series’ exclusion of stocks with high asset growth, as those securities underperformed. The Series’ exclusion of REITs also contributed positively to performance relative to the benchmark, as REITs generally underperformed.
The United Kingdom Small Company Series
The United Kingdom Small Company Series invests in small company stocks in the U.K. The Series generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Series held approximately 310 securities. Average cash exposure throughout the year was less than 1% of the Series’ assets.
For the 12 months ended October 31, 2023, total returns were 9.20% for the Series and 5.16% for the MSCI United Kingdom Small Cap Index (net dividends), the Series’ benchmark. The Series’ exclusion of stocks with the lowest profitability and highest relative price contributed positively to relative performance, as did the Series’ exclusion of stocks with high asset growth, as those securities underperformed. The Series’ exclusion of REITs also contributed positively to performance relative to the benchmark, as REITs generally underperformed.
192
The Continental Small Company Series
The Continental Small Company Series invests in small company stocks in the developed markets of Europe (excluding the U.K.) and Israel. The Series generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Series held approximately 1,140 securities in 15 eligible countries. Average cash exposure throughout the year was less than 1% of the Series’ assets.
For the 12 months ended October 31, 2023, total returns were 11.76% for the Series and 8.05% for the MSCI Europe ex U.K. Small Cap Index (net dividends), the Series’ benchmark. Differences in size definitions between the Series and the benchmark led to weight differences between countries, which contributed positively to performance relative to the benchmark. The Series’ exclusion of stocks with the lowest profitability and highest relative price also contributed positively to relative performance, as did the Series’ exclusion of stocks with high asset growth, as those securities underperformed for the year. Additionally, the Series’ exclusion of REITs contributed positively to performance relative to the benchmark, as REITs generally underperformed.
The Canadian Small Company Series
The Canadian Small Company Series invests in small company stocks in Canada. The Series generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process-driven, emphasizing broad diversification. As of October 31, 2023, the Series held approximately 330 securities. Average cash exposure throughout the year was less than 1% of the Series’ assets.
For the 12 months ended October 31, 2023, total returns were 3.53% for the Series and -1.25% for the MSCI Canada Small Cap Index (net dividends), the Series’ benchmark. The Series’ exclusion of stocks with the lowest profitability and highest relative price contributed positively to performance relative to the benchmark, as those securities underperformed. Additionally, the Series’ exclusion of REITs also contributed positively to performance relative to the benchmark, as REITs generally underperformed.
The Emerging Markets Series
The Emerging Markets Series invests in large-cap stocks in emerging markets. The Series generally excludes real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification with increased exposure to stocks with smaller market capitalizations, lower relative price (value), and higher-profitability within the large-cap segment of emerging markets. As of October 31, 2023, the Series held approximately 1,840 securities in 24 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Series’ assets.
For the 12 months ended October 31, 2023, total returns were 13.27% for the Series and 10.80% for the MSCI Emerging Markets Index (net dividends), the Series’ benchmark. The Series’ greater emphasis on value stocks contributed positively to performance relative to the benchmark, as value stocks outperformed growth stocks in emerging markets. The Series’ emphasis on stocks with smaller
193
market capitalizations also contributed positively to relative performance, as these stocks outperformed. Additionally, the Series’ emphasis on stocks with higher profitability contributed positively to performance relative to the benchmark, as these stocks generally outperformed.
The Emerging Markets Small Cap Series
The Emerging Markets Small Cap Series invests in small company stocks in emerging markets. The Series generally excludes stocks with the lowest profitability and highest relative price, certain companies with high asset growth, and real estate investment trusts (REITs). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2023, the Series held approximately 4,830 securities in 21 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Series’ assets.
For the 12 months ended October 31, 2023, total returns were 15.47% for the Series and 10.80% for the MSCI Emerging Markets Index (net dividends), the Series’ benchmark. With small-cap stocks outperforming large-cap stocks in emerging markets, the Series’ inclusion of stocks with smaller market capitalizations contributed positively to performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks.
194
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(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 and 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” reflects 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, 2023
EXPENSE TABLES
| | | | | | | | | | | | | | | | |
| | | Beginning
Account
Value
05/01/23 | | | Ending
Account
Value
10/31/23 | | | Annualized
Expense
Ratio (1) | | | Expenses
Paid
During
Period (1) | |
The DFA International Value Series | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 961.20 | | | | 0.21 | % | | $ | 1.04 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.15 | | | | 0.21 | % | | $ | 1.07 | |
| | | | |
The Japanese Small Company Series | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 988.70 | | | | 0.12 | % | | $ | 0.60 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.60 | | | | 0.12 | % | | $ | 0.61 | |
195
DISCLOSURE OF FUND EXPENSES
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Beginning
Account
Value
05/01/23 | | | Ending
Account
Value
10/31/23 | | | Annualized
Expense
Ratio (1) | | | Expenses
Paid
During
Period (1) | |
The Asia Pacific Small Company Series | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 883.50 | | | | 0.12 | % | | $ | 0.57 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.60 | | | | 0.12 | % | | $ | 0.61 | |
| | | | |
The United Kingdom Small Company Series | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 870.20 | | | | 0.11 | % | | $ | 0.52 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.65 | | | | 0.11 | % | | $ | 0.56 | |
| | | | |
The Continental Small Company Series | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 888.10 | | | | 0.12 | % | | $ | 0.57 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.60 | | | | 0.12 | % | | $ | 0.61 | |
| | | | |
The Canadian Small Company Series | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 940.70 | | | | 0.11 | % | | $ | 0.54 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.65 | | | | 0.11 | % | | $ | 0.56 | |
| | | | |
The Emerging Markets Series | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 964.60 | | | | 0.14 | % | | $ | 0.69 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,024.50 | | | | 0.14 | % | | $ | 0.71 | |
| | | | |
The Emerging Markets Small Cap Series | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 991.10 | | | | 0.25 | % | | $ | 1.25 | |
Hypothetical 5% Annual Return | | $ | 1,000.00 | | | $ | 1,023.95 | | | | 0.25 | % | | $ | 1.28 | |
| (1) | 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. |
196
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 as an exhibit to their reports on Form N-PORT. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-PORT with the SEC on September 29, 2023. They are available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.
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 regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
A 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; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.
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 used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.
INTERNATIONAL EQUITY PORTFOLIOS
| | | | |
| The DFA International Value Series | |
Communication Services | | | 3.4 | % |
Consumer Discretionary | | | 12.7 | % |
Consumer Staples | | | 3.9 | % |
Energy | | | 16.0 | % |
Financials | | | 28.3 | % |
Health Care | | | 6.9 | % |
Industrials | | | 10.9 | % |
Information Technology | | | 1.9 | % |
Materials | | �� | 12.7 | % |
Real Estate | | | 2.1 | % |
Utilities | | | 1.2 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| The Japanese Small Company Series | |
Communication Services | | | 2.1 | % |
Consumer Discretionary | | | 14.7 | % |
Consumer Staples | | | 8.5 | % |
Energy | | | 0.8 | % |
Financials | | | 10.1 | % |
Health Care | | | 5.1 | % |
Industrials | | | 28.8 | % |
Information Technology | | | 13.8 | % |
Materials | | | 12.9 | % |
Real Estate | | | 1.5 | % |
Utilities | | | 1.7 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| The Asia Pacific Small Company Series | |
Communication Services | | | 5.1 | % |
Consumer Discretionary | | | 20.9 | % |
Consumer Staples | | | 6.7 | % |
Energy | | | 5.5 | % |
Financials | | | 13.4 | % |
Health Care | | | 5.2 | % |
Industrials | | | 12.3 | % |
Information Technology | | | 7.2 | % |
Materials | | | 16.1 | % |
Real Estate | | | 6.9 | % |
Utilities | | | 0.7 | % |
| | | | |
| | | 100.0 | % |
197
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
| | | | |
| The United Kingdom Small Company Series | |
Communication Services | | | 4.0 | % |
Consumer Discretionary | | | 19.1 | % |
Consumer Staples | | | 8.3 | % |
Energy | | | 3.1 | % |
Financials | | | 20.3 | % |
Health Care | | | 3.1 | % |
Industrials | | | 24.4 | % |
Information Technology | | | 6.5 | % |
Materials | | | 5.8 | % |
Real Estate | | | 2.8 | % |
Utilities | | | 2.6 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| The Continental Small Company Series | |
Communication Services | | | 4.9 | % |
Consumer Discretionary | | | 8.0 | % |
Consumer Staples | | | 4.9 | % |
Energy | | | 3.9 | % |
Financials | | | 17.2 | % |
Health Care | | | 5.9 | % |
Industrials | | | 26.7 | % |
Information Technology | | | 10.5 | % |
Materials | | | 9.0 | % |
Real Estate | | | 5.0 | % |
Utilities | | | 4.0 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| The Canadian Small Company Series | |
Communication Services | | | 0.9 | % |
Consumer Discretionary | | | 3.9 | % |
Consumer Staples | | | 4.8 | % |
Energy | | | 28.2 | % |
Financials | | | 7.1 | % |
Health Care | | | 2.1 | % |
Industrials | | | 15.0 | % |
Information Technology | | | 4.0 | % |
Materials | | | 24.1 | % |
Real Estate | | | 3.2 | % |
Utilities | | | 6.7 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| The Emerging Markets Series | |
Communication Services | | | 8.4 | % |
Consumer Discretionary | | | 11.8 | % |
Consumer Staples | | | 6.2 | % |
Energy | | | 5.9 | % |
Financials | | | 21.6 | % |
Health Care | | | 3.9 | % |
Industrials | | | 7.6 | % |
Information Technology | | | 20.7 | % |
Materials | | | 9.4 | % |
Real Estate | | | 1.9 | % |
Utilities | | | 2.6 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| The Emerging Markets Small Cap Series | |
Communication Services | | | 3.4 | % |
Consumer Discretionary | | | 12.8 | % |
Consumer Staples | | | 6.8 | % |
Energy | | | 1.8 | % |
Financials | | | 10.3 | % |
Health Care | | | 8.5 | % |
Industrials | | | 16.7 | % |
Information Technology | | | 15.5 | % |
Materials | | | 15.0 | % |
Real Estate | | | 5.2 | % |
Utilities | | | 4.0 | % |
| | | | |
| | | 100.0 | % |
198
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (95.9%) | | | | | | | | | | | | |
AUSTRALIA — (6.0%) | | | | | | | | | | | | |
| | ANZ Group Holdings Ltd. | | | 3,680,652 | | | $ | 58,040,113 | | | | 0.5 | % |
| | National Australia Bank Ltd. | | | 5,308,636 | | | | 95,100,201 | | | | 0.8 | % |
| | Santos Ltd. | | | 14,074,222 | | | | 68,674,552 | | | | 0.6 | % |
| | Westpac Banking Corp. | | | 5,237,352 | | | | 68,775,704 | | | | 0.6 | % |
| | Woodside Energy Group Ltd. | | | 3,980,187 | | | | 86,687,647 | | | | 0.8 | % |
| | Other Securities | | | | | | | 314,300,818 | | | | 2.8 | % |
| | | | | | | | | | | | | | |
TOTAL AUSTRALIA | | | | | | | 691,579,035 | | | | 6.1 | % |
| | | | | | | | | | | | | | |
AUSTRIA — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 10,556,242 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
BELGIUM — (0.6%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 68,158,356 | | | | 0.6 | % |
| | | | | | | | | | | | | | |
CANADA — (9.1%) | | | | | | | | | | | | |
| | Bank of Montreal | | | 1,331,346 | | | | 100,583,190 | | | | 0.9 | % |
| | Bank of Nova Scotia | | | 683,012 | | | | 27,655,399 | | | | 0.2 | % |
| | Bank of Nova Scotia | | | 2,162,349 | | | | 87,510,264 | | | | 0.8 | % |
| | Canadian Imperial Bank of Commerce | | | 1,736,371 | | | | 61,240,963 | | | | 0.5 | % |
| | Fairfax Financial Holdings Ltd. | | | 96,097 | | | | 79,970,305 | | | | 0.7 | % |
| | Manulife Financial Corp. | | | 3,267,295 | | | | 56,916,279 | | | | 0.5 | % |
| | Suncor Energy, Inc. | | | 2,388,283 | | | | 77,380,369 | | | | 0.7 | % |
| | Teck Resources Ltd., Class B | | | 2,373,766 | | | | 83,888,890 | | | | 0.7 | % |
| | Other Securities | | | | | | | 480,476,534 | | | | 4.2 | % |
| | | | | | | | | | | | | | |
TOTAL CANADA | | | | | | | 1,055,622,193 | | | | 9.2 | % |
| | | | | | | | | | | | | | |
DENMARK — (2.2%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 251,518,708 | | | | 2.2 | % |
| | | | | | | | | | | | | | |
FINLAND — (0.8%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 95,535,714 | | | | 0.8 | % |
| | | | | | | | | | | | | | |
FRANCE — (11.3%) | | | | | | | | | | | | |
| | AXA SA | | | 2,402,612 | | | | 71,190,414 | | | | 0.6 | % |
| | BNP Paribas SA | | | 1,438,342 | | | | 82,710,427 | | | | 0.7 | % |
| | Cie de Saint-Gobain SA | | | 1,911,069 | | | | 104,027,435 | | | | 0.9 | % |
| | Cie Generale des Etablissements Michelin SCA | | | 2,726,689 | | | | 81,005,707 | | | | 0.7 | % |
| | Engie SA | | | 3,701,762 | | | | 58,876,095 | | | | 0.5 | % |
| | Orange SA | | | 7,475,414 | | | | 87,926,131 | | | | 0.8 | % |
| | Sanofi SA | | | 956,125 | | | | 86,822,112 | | | | 0.8 | % |
| | TotalEnergies SE | | | 6,840,726 | | | | 457,353,790 | | | | 4.0 | % |
| | Other Securities | | | | | | | 287,207,408 | | | | 2.5 | % |
| | | | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 1,317,119,519 | | | | 11.5 | % |
| | | | | | | | | | | | | | |
GERMANY — (6.2%) | | | | | | | | | | | | |
| | BASF SE | | | 1,595,449 | | | | 73,721,149 | | | | 0.6 | % |
| | Bayer AG | | | 2,226,814 | | | | 96,217,422 | | | | 0.8 | % |
| | Bayerische Motoren Werke AG | | | 942,197 | | | | 87,628,385 | | | | 0.8 | % |
| | Mercedes-Benz Group AG | | | 2,471,518 | | | | 145,409,910 | | | | 1.3 | % |
199
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
GERMANY — (Continued) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 321,888,239 | | | | 2.8 | % |
| | | | | | | | | | | | | | |
TOTAL GERMANY | | | | | | | 724,865,105 | | | | 6.3 | % |
| | | | | | | | | | | | | | |
HONG KONG — (1.5%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 170,991,702 | | | | 1.5 | % |
| | | | | | | | | | | | | | |
IRELAND — (0.2%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 25,038,980 | | | | 0.2 | % |
| | | | | | | | | | | | | | |
ISRAEL — (0.4%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 51,951,842 | | | | 0.5 | % |
| | | | | | | | | | | | | | |
ITALY — (2.3%) | | | | | | | | | | | | |
| | Stellantis NV | | | 3,233,234 | | | | 60,404,388 | | | | 0.5 | % |
| | UniCredit SpA | | | 4,159,978 | | | | 104,289,031 | | | | 0.9 | % |
| | Other Securities | | | | | | | 101,608,790 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
TOTAL ITALY | | | | | | | 266,302,209 | | | | 2.3 | % |
| | | | | | | | | | | | | | |
JAPAN — (21.2%) | | | | | | | | | | | | |
| | Honda Motor Co. Ltd. | | | 10,566,000 | | | | 108,288,524 | | | | 1.0 | % |
| | Mitsubishi Corp. | | | 2,313,200 | | | | 107,831,082 | | | | 0.9 | % |
| | Mitsubishi UFJ Financial Group, Inc. | | | 10,193,750 | | | | 85,516,868 | | | | 0.8 | % |
| | Sumitomo Mitsui Financial Group, Inc. | | | 1,370,700 | | | | 66,078,671 | | | | 0.6 | % |
# | | Takeda Pharmaceutical Co. Ltd. | | | 2,592,971 | | | | 70,385,489 | | | | 0.6 | % |
| | Toyota Motor Corp. | | | 7,782,350 | | | | 136,142,401 | | | | 1.2 | % |
| | Other Securities | | | | | | | 1,885,791,758 | | | | 16.4 | % |
| | | | | | | | | | | | | | |
TOTAL JAPAN | | | | | | | 2,460,034,793 | | | | 21.5 | % |
| | | | | | | | | | | | | | |
NETHERLANDS — (3.5%) | | | | | | | | | | | | |
| | ING Groep NV | | | 4,971,616 | | | | 63,738,727 | | | | 0.6 | % |
| | Koninklijke Ahold Delhaize NV | | | 4,003,663 | | | | 118,555,624 | | | | 1.0 | % |
| | Other Securities | | | | | | | 228,550,902 | | | | 2.0 | % |
| | | | | | | | | | | | | | |
TOTAL NETHERLANDS | | | | | | | 410,845,253 | | | | 3.6 | % |
| | | | | | | | | | | | | | |
NEW ZEALAND — (0.2%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 20,727,048 | | | | 0.2 | % |
| | | | | | | | | | | | | | |
NORWAY — (0.9%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 101,952,505 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
PORTUGAL — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 14,600,091 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
SINGAPORE — (1.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 119,239,175 | | | | 1.0 | % |
| | | | | | | | | | | | | | |
SPAIN — (2.4%) | | | | | | | | | | | | |
# | | Banco Santander SA | | | 34,833,091 | | | | 128,113,786 | | | | 1.1 | % |
# | | Banco Santander SA, Sponsored ADR | | | 219,342 | | | | 796,211 | | | | 0.0 | % |
| | Repsol SA | | | 5,269,796 | | | | 77,161,128 | | | | 0.7 | % |
| | Other Securities | | | | | | | 76,139,234 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
TOTAL SPAIN | | | | | | | 282,210,359 | | | | 2.5 | % |
| | | | | | | | | | | | | | |
200
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SWEDEN — (2.5%) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 292,244,822 | | | | 2.6 | % |
| | | | | | | | | | | | | | |
SWITZERLAND — (9.9%) | | | | | | | | | | | | |
| | Cie Financiere Richemont SA, Class A | | | 809,027 | | | | 95,445,330 | | | | 0.8 | % |
| | Holcim AG | | | 974,130 | | | | 60,228,276 | | | | 0.5 | % |
| | Novartis AG | | | 1,526,421 | | | | 142,902,858 | | | | 1.3 | % |
# | | Novartis AG, Sponsored ADR | | | 1,378,570 | | | | 129,006,581 | | | | 1.1 | % |
| | Swisscom AG | | | 94,854 | | | | 56,835,455 | | | | 0.5 | % |
| | UBS Group AG | | | 6,031,321 | | | | 141,714,501 | | | | 1.2 | % |
#* | | UBS Group AG | | | 1,233,582 | | | | 28,939,820 | | | | 0.3 | % |
| | Zurich Insurance Group AG | | | 348,909 | | | | 165,729,170 | | | | 1.5 | % |
| | Other Securities | | | | | | | 330,054,021 | | | | 2.9 | % |
| | | | | | | | | | | | | | |
TOTAL SWITZERLAND | | | | | | | 1,150,856,012 | | | | 10.1 | % |
| | | | | | | | | | | | | | |
UNITED KINGDOM — (12.8%) | | | | | | | | | | | | |
| | BP PLC, Sponsored ADR | | | 1,698,003 | | | | 62,112,950 | | | | 0.5 | % |
| | British American Tobacco PLC | | | 1,884,352 | | | | 56,290,123 | | | | 0.5 | % |
| | Glencore PLC | | | 12,424,779 | | | | 65,811,861 | | | | 0.6 | % |
| | HSBC Holdings PLC | | | 13,535,003 | | | | 97,728,348 | | | | 0.9 | % |
# | | HSBC Holdings PLC, Sponsored ADR | | | 2,324,211 | | | | 84,438,585 | | | | 0.7 | % |
| | Lloyds Banking Group PLC | | | 124,313,687 | | | | 60,503,314 | | | | 0.5 | % |
| | Shell PLC | | | 307,658 | | | | 9,914,840 | | | | 0.1 | % |
# | | Shell PLC, ADR | | | 9,015,405 | | | | 587,263,482 | | | | 5.1 | % |
| | Other Securities | | | | | | | 467,100,882 | | | | 4.1 | % |
| | | | | | | | | | | | | | |
TOTAL UNITED KINGDOM | | | | | | | 1,491,164,385 | | | | 13.0 | % |
| | | | | | | | | | | | | | |
UNITED STATES — (0.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 82,198,731 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 11,155,312,779 | | | | 97.5 | % |
| | | | | | | | | | | | | | |
PREFERRED STOCKS — (0.7%) | | | | | | | | | | | | |
GERMANY — (0.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 75,043,140 | | | | 0.6 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $10,152,946,131) | | | | | | | 11,230,355,919 | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (3.4%) | | | | | | | | | | | | |
@§ | | The DFA Short Term Investment Fund | | | 34,363,676 | | | | 397,484,640 | | | | 3.5 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $10,550,431,199) | | | | | | $ | 11,627,840,559 | | | | 101.6 | % |
| | | | | | | | | | | | | | |
201
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
As of October 31, 2023, The DFA International Value Series had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
S&P 500® E-Mini Index | | | 490 | | | | 12/15/23 | | | $ | 107,657,486 | | | $ | 103,200,125 | | | $ | (4,457,361 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 107,657,486 | | | $ | 103,200,125 | | | $ | (4,457,361 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Series’ investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | | — | | | $ | 691,579,035 | | | | — | | | $ | 691,579,035 | |
Austria | | | — | | | | 10,556,242 | | | | — | | | | 10,556,242 | |
Belgium | | | — | | | | 68,158,356 | | | | — | | | | 68,158,356 | |
Canada | | $ | 1,055,622,193 | | | | — | | | | — | | | | 1,055,622,193 | |
Denmark | | | — | | | | 251,518,708 | | | | — | | | | 251,518,708 | |
Finland | | | 4,405,789 | | | | 91,129,925 | | | | — | | �� | | 95,535,714 | |
France | | | — | | | | 1,317,119,519 | | | | — | | | | 1,317,119,519 | |
Germany | | | 16,328,138 | | | | 708,536,967 | | | | — | | | | 724,865,105 | |
Hong Kong | | | — | | | | 170,991,702 | | | | — | | | | 170,991,702 | |
Ireland | | | — | | | | 25,038,980 | | | | — | | | | 25,038,980 | |
Israel | | | — | | | | 51,951,842 | | | | — | | | | 51,951,842 | |
Italy | | | 51,149,858 | | | | 215,152,351 | | | | — | | | | 266,302,209 | |
Japan | | | 23,469,350 | | | | 2,436,565,443 | | | | — | | | | 2,460,034,793 | |
Netherlands | | | 23,539,526 | | | | 387,305,727 | | | | — | | | | 410,845,253 | |
New Zealand | | | — | | | | 20,727,048 | | | | — | | | | 20,727,048 | |
Norway | | | — | | | | 101,952,505 | | | | — | | | | 101,952,505 | |
Portugal | | | — | | | | 14,600,091 | | | | — | | | | 14,600,091 | |
Singapore | | | — | | | | 119,239,175 | | | | — | | | | 119,239,175 | |
Spain | | | 8,288,581 | | | | 273,921,778 | | | | — | | | | 282,210,359 | |
Sweden | | | — | | | | 292,244,822 | | | | — | | | | 292,244,822 | |
Switzerland | | | 178,193,050 | | | | 972,662,962 | | | | — | | | | 1,150,856,012 | |
United Kingdom | | | 804,084,889 | | | | 687,079,496 | | | | — | | | | 1,491,164,385 | |
United States | | | 82,198,731 | | | | — | | | | — | | | | 82,198,731 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | — | | | | 75,043,140 | | | | — | | | | 75,043,140 | |
Securities Lending Collateral | | | — | | | | 397,484,640 | | | | — | | | | 397,484,640 | |
Futures Contracts** | | | (4,457,361 | ) | | | — | | | | — | | | | (4,457,361 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 2,242,822,744 | | | $ | 9,380,560,454 | | | | — | | | $ | 11,623,383,198 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
See accompanying Notes to Financial Statements.
202
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (99.0%) | | | | | | | | | | | | |
COMMUNICATION SERVICES — (2.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 57,215,453 | | | | 2.0 | % |
| | | | | | | | | | | | | | |
CONSUMER DISCRETIONARY — (14.6%) | | | | | | | | | | | | |
| | Food & Life Cos. Ltd. | | | 473,500 | | | | 7,980,732 | | | | 0.3 | % |
# | | Kyoritsu Maintenance Co. Ltd. | | | 179,000 | | | | 6,846,028 | | | | 0.3 | % |
| | Resorttrust, Inc. | | | 514,664 | | | | 7,406,083 | | | | 0.3 | % |
| | Tomy Co. Ltd. | | | 549,293 | | | | 7,576,172 | | | | 0.3 | % |
| | Yoshinoya Holdings Co. Ltd. | | | 333,700 | | | | 7,798,729 | | | | 0.3 | % |
| | Other Securities | | | | | | | 372,773,265 | | | | 13.1 | % |
| | | | | | | | | | | | | | |
TOTAL CONSUMER DISCRETIONARY | | | | | | | 410,381,009 | | | | 14.6 | % |
| | | | | | | | | | | | | | |
CONSUMER STAPLES — (8.4%) | | | | | | | | | | | | |
| | Morinaga & Co. Ltd. | | | 212,599 | | | | 7,667,235 | | | | 0.3 | % |
| | Nissui Corp. | | | 1,771,500 | | | | 8,596,290 | | | | 0.3 | % |
| | Pigeon Corp. | | | 722,925 | | | | 7,675,931 | | | | 0.3 | % |
| | Sapporo Holdings Ltd. | | | 258,920 | | | | 9,115,564 | | | | 0.3 | % |
| | Other Securities | | | | | | | 204,377,820 | | | | 7.2 | % |
| | | | | | | | | | | | | | |
TOTAL CONSUMER STAPLES | | | | | | | 237,432,840 | | | | 8.4 | % |
| | | | | | | | | | | | | | |
ENERGY — (0.8%) | | | | | | | | | | | | |
| | Japan Petroleum Exploration Co. Ltd. | | | 215,300 | | | | 7,372,216 | | | | 0.3 | % |
| | Other Securities | | | | | | | 14,740,245 | | | | 0.5 | % |
| | | | | | | | | | | | | | |
TOTAL ENERGY | | | | | | | 22,112,461 | | | | 0.8 | % |
| | | | | | | | | | | | | | |
FINANCIALS — (10.0%) | | | | | | | | | | | | |
| | 77 Bank Ltd. | | | 351,052 | | | | 7,824,613 | | | | 0.3 | % |
| | Gunma Bank Ltd. | | | 2,072,540 | | | | 10,015,697 | | | | 0.4 | % |
| | Hirogin Holdings, Inc. | | | 1,509,400 | | | | 9,597,788 | | | | 0.3 | % |
| | Hokuhoku Financial Group, Inc. | | | 688,853 | | | | 8,042,412 | | | | 0.3 | % |
| | Kyushu Financial Group, Inc. | | | 1,844,437 | | | | 11,622,672 | | | | 0.4 | % |
| | Nishi-Nippon Financial Holdings, Inc. | | | 739,500 | | | | 8,831,931 | | | | 0.3 | % |
| | Shiga Bank Ltd. | | | 279,100 | | | | 7,380,889 | | | | 0.3 | % |
| | Yamaguchi Financial Group, Inc. | | | 1,237,672 | | | | 11,358,673 | | | | 0.4 | % |
| | Other Securities | | | | | | | 206,999,387 | | | | 7.3 | % |
| | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | 281,674,062 | | | | 10.0 | % |
| | | | | | | | | | | | | | |
HEALTH CARE — (5.0%) | | | | | | | | | | | | |
| | Jeol Ltd. | | | 252,800 | | | | 7,137,389 | | | | 0.3 | % |
| | Nakanishi, Inc. | | | 351,400 | | | | 7,717,880 | | | | 0.3 | % |
| | Other Securities | | | | | | | 127,231,236 | | | | 4.4 | % |
| | | | | | | | | | | | | | |
TOTAL HEALTH CARE | | | | | | | 142,086,505 | | | | 5.0 | % |
| | | | | | | | | | | | | | |
INDUSTRIALS — (28.5%) | | | | | | | | | | | | |
| | Daiseki Co. Ltd. | | | 285,355 | | | | 7,880,789 | | | | 0.3 | % |
| | DMG Mori Co. Ltd. | | | 674,700 | | | | 11,159,541 | | | | 0.4 | % |
| | EXEO Group, Inc. | | | 493,200 | | | | 10,243,644 | | | | 0.4 | % |
| | Hazama Ando Corp. | | | 1,150,400 | | | | 8,904,120 | | | | 0.3 | % |
| | Kokuyo Co. Ltd. | | | 454,525 | | | | 7,045,125 | | | | 0.3 | % |
| | Mabuchi Motor Co. Ltd. | | | 254,834 | | | | 7,280,487 | | | | 0.3 | % |
| | Meitec Group Holdings, Inc. | | | 478,200 | | | | 8,416,362 | | | | 0.3 | % |
203
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
INDUSTRIALS — (Continued) | | | | | | | | | | | | |
| | Mirait One Corp. | | | 565,135 | | | $ | 7,490,157 | | | | 0.3 | % |
| | Nagase & Co. Ltd. | | | 584,600 | | | | 8,856,159 | | | | 0.3 | % |
| | Nichias Corp. | | | 378,700 | | | | 7,513,304 | | | | 0.3 | % |
| | Nikkon Holdings Co. Ltd. | | | 369,900 | | | | 7,848,810 | | | | 0.3 | % |
| | Ushio, Inc. | | | 592,600 | | | | 7,227,008 | | | | 0.3 | % |
| | Other Securities | | | | | | | 705,369,769 | | | | 24.7 | % |
| | | | | | | | | | | | | | |
TOTAL INDUSTRIALS | | | | | | | 805,235,275 | | | | 28.5 | % |
| | | | | | | | | | | | | | |
INFORMATION TECHNOLOGY — (13.7%) | | | | | | | | | | | | |
| | Alps Alpine Co. Ltd. | | | 911,442 | | | | 7,479,491 | | | | 0.3 | % |
| | Citizen Watch Co. Ltd. | | | 1,550,700 | | | | 9,043,705 | | | | 0.3 | % |
| | Daiwabo Holdings Co. Ltd. | | | 574,800 | | | | 10,925,050 | | | | 0.4 | % |
| | Dexerials Corp. | | | 345,400 | | | | 7,878,683 | | | | 0.3 | % |
| | Maruwa Co. Ltd. | | | 50,800 | | | | 8,913,540 | | | | 0.3 | % |
| | NET One Systems Co. Ltd. | | | 492,716 | | | | 7,520,285 | | | | 0.3 | % |
# | | Nippon Electric Glass Co. Ltd. | | | 393,736 | | | | 7,871,676 | | | | 0.3 | % |
| | NSD Co. Ltd. | | | 482,660 | | | | 8,397,741 | | | | 0.3 | % |
| | Tokyo Seimitsu Co. Ltd. | | | 203,000 | | | | 9,489,316 | | | | 0.3 | % |
| | Ulvac, Inc. | | | 200,200 | | | | 6,884,710 | | | | 0.3 | % |
| | Other Securities | | | | | | | 300,915,943 | | | | 10.6 | % |
| | | | | | | | | | | | | | |
TOTAL INFORMATION TECHNOLOGY | | | | | | | 385,320,140 | | | | 13.7 | % |
| | | | | | | | | | | | | | |
MATERIALS — (12.8%) | | | | | | | | | | | | |
| | ADEKA Corp. | | | 507,000 | | | | 8,476,143 | | | | 0.3 | % |
| | Mitsui Mining & Smelting Co. Ltd. | | | 345,600 | | | | 8,974,059 | | | | 0.3 | % |
| | Sumitomo Bakelite Co. Ltd. | | | 171,900 | | | | 7,649,191 | | | | 0.3 | % |
| | Taiheiyo Cement Corp. | | | 478,091 | | | | 8,193,349 | | | | 0.3 | % |
| | Teijin Ltd. | | | 754,588 | | | | 6,829,833 | | | | 0.3 | % |
| | Tokai Carbon Co. Ltd. | | | 943,200 | | | | 7,238,009 | | | | 0.3 | % |
| | UBE Corp. | | | 611,100 | | | | 9,410,201 | | | | 0.3 | % |
| | Other Securities | | | | | | | 304,800,022 | | | | 10.7 | % |
| | | | | | | | | | | | | | |
TOTAL MATERIALS | | | | | | | 361,570,807 | | | | 12.8 | % |
| | | | | | | | | | | | | | |
REAL ESTATE — (1.5%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 42,985,677 | | | | 1.5 | % |
| | | | | | | | | | | | | | |
UTILITIES — (1.7%) | | | | | | | | | | | | |
| | Nippon Gas Co. Ltd. | | | 676,700 | | | | 10,170,459 | | | | 0.4 | % |
| | Other Securities | | | | | | | 37,326,611 | | | | 1.3 | % |
| | | | | | | | | | | | | | |
TOTAL UTILITIES | | | | | | | 47,497,070 | | | | 1.7 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS
(Cost $2,743,166,586) | | | | | | | 2,793,511,299 | | | | 99.0 | % |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (1.0%) | | | | | | | | | | | | |
@§ | | The DFA Short Term Investment Fund | | | 2,508,802 | | | | 29,019,314 | | | | 1.0 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $2,772,186,608) | | | | | | $ | 2,822,530,613 | | | | 100.0 | % |
| | | | | | | | | | | | | | |
204
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series’ investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | | — | | | $ | 57,215,453 | | | | — | | | $ | 57,215,453 | |
Consumer Discretionary | | $ | 1,476,840 | | | | 408,904,169 | | | | — | | | | 410,381,009 | |
Consumer Staples | | | — | | | | 237,432,840 | | | | — | | | | 237,432,840 | |
Energy | | | — | | | | 22,112,461 | | | | — | | | | 22,112,461 | |
Financials | | | — | | | | 281,674,062 | | | | — | | | | 281,674,062 | |
Health Care | | | — | | | | 142,086,505 | | | | — | | | | 142,086,505 | |
Industrials | | | — | | | | 805,235,275 | | | | — | | | | 805,235,275 | |
Information Technology | | | — | | | | 385,320,140 | | | | — | | | | 385,320,140 | |
Materials | | | — | | | | 361,570,807 | | | | — | | | | 361,570,807 | |
Real Estate | | | — | | | | 42,985,677 | | | | — | | | | 42,985,677 | |
Utilities | | | — | | | | 47,497,070 | | | | — | | | | 47,497,070 | |
Securities Lending Collateral | | | — | | | | 29,019,314 | | | | — | | | | 29,019,314 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 1,476,840 | | | $ | 2,821,053,773 | | | | — | | | $ | 2,822,530,613 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
205
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (99.0%) | | | | | | | | | | | | |
AUSTRALIA — (64.1%) | | | | | | | | | | | | |
| | AMP Ltd. | | | 16,394,773 | | | $ | 10,923,695 | | | | 0.9 | % |
| | Ansell Ltd. | | | 667,276 | | | | 9,015,436 | | | | 0.8 | % |
# | | ARB Corp. Ltd. | | | 516,706 | | | | 9,641,932 | | | | 0.8 | % |
| | AUB Group Ltd. | | | 653,490 | | | | 11,222,709 | | | | 0.9 | % |
# | | Bank of Queensland Ltd. | | | 3,124,152 | | | | 10,152,388 | | | | 0.8 | % |
| | Bapcor Ltd. | | | 2,047,713 | | | | 6,970,109 | | | | 0.6 | % |
| | Beach Energy Ltd. | | | 8,618,391 | | | | 8,488,701 | | | | 0.7 | % |
* | | Bellevue Gold Ltd. | | | 8,798,707 | | | | 8,001,775 | | | | 0.7 | % |
* | | Boss Energy Ltd. | | | 2,371,994 | | | | 6,536,645 | | | | 0.5 | % |
# | | Breville Group Ltd. | | | 613,229 | | | | 8,311,031 | | | | 0.7 | % |
* | | Capricorn Metals Ltd. | | | 2,313,472 | | | | 6,883,469 | | | | 0.6 | % |
# | | Champion Iron Ltd. | | | 1,787,152 | | | | 8,128,867 | | | | 0.7 | % |
| | Corporate Travel Management Ltd. | | | 706,323 | | | | 7,474,030 | | | | 0.6 | % |
| | CSR Ltd. | | | 3,025,097 | | | | 10,809,247 | | | | 0.9 | % |
| | Domino’s Pizza Enterprises Ltd. | | | 284,704 | | | | 9,226,985 | | | | 0.8 | % |
| | Downer EDI Ltd. | | | 4,102,725 | | | | 9,867,275 | | | | 0.8 | % |
| | Eagers Automotive Ltd. | | | 877,469 | | | | 7,216,825 | | | | 0.6 | % |
# | | Flight Centre Travel Group Ltd. | | | 991,677 | | | | 11,788,395 | | | | 1.0 | % |
| | Gold Road Resources Ltd. | | | 8,223,152 | | | | 9,774,805 | | | | 0.8 | % |
| | GUD Holdings Ltd. | | | 1,021,707 | | | | 6,947,914 | | | | 0.6 | % |
# | | Harvey Norman Holdings Ltd. | | | 3,154,895 | | | | 7,374,464 | | | | 0.6 | % |
| | HUB24 Ltd. | | | 477,073 | | | | 9,211,187 | | | | 0.8 | % |
| | Iluka Resources Ltd. | | | 1,561,869 | | | | 7,212,329 | | | | 0.6 | % |
| | InvoCare Ltd. | | | 908,018 | | | | 7,307,553 | | | | 0.6 | % |
| | IPH Ltd. | | | 1,569,172 | | | | 6,819,157 | | | | 0.6 | % |
* | | Karoon Energy Ltd. | | | 4,021,732 | | | | 6,476,220 | | | | 0.5 | % |
| | Metcash Ltd. | | | 4,615,181 | | | | 10,807,985 | | | | 0.9 | % |
| | Netwealth Group Ltd. | | | 806,030 | | | | 6,549,114 | | | | 0.5 | % |
| | New Hope Corp. Ltd. | | | 3,051,610 | | | | 11,230,195 | | | | 0.9 | % |
| | nib holdings Ltd. | | | 2,762,115 | | | | 12,729,528 | | | | 1.1 | % |
| | Nine Entertainment Co. Holdings Ltd. | | | 7,806,987 | | | | 9,199,665 | | | | 0.8 | % |
| | Orora Ltd. | | | 8,207,195 | | | | 12,861,724 | | | | 1.1 | % |
* | | Paladin Energy Ltd. | | | 16,031,454 | | | | 9,660,647 | | | | 0.8 | % |
| | Perpetual Ltd. | | | 638,190 | | | | 7,802,171 | | | | 0.7 | % |
| | Perseus Mining Ltd. | | | 7,999,202 | | | | 8,546,820 | | | | 0.7 | % |
| | Reliance Worldwide Corp. Ltd. | | | 4,522,177 | | | | 10,079,750 | | | | 0.8 | % |
* | | Sandfire Resources Ltd. | | | 3,123,483 | | | | 11,848,150 | | | | 1.0 | % |
| | Sims Ltd. | | | 999,254 | | | | 7,965,428 | | | | 0.7 | % |
| | Super Retail Group Ltd. | | | 1,077,207 | | | | 9,063,950 | | | | 0.8 | % |
| | Tabcorp Holdings Ltd. | | | 13,480,179 | | | | 6,651,512 | | | | 0.6 | % |
| | Technology One Ltd. | | | 742,435 | | | | 6,885,186 | | | | 0.6 | % |
W | | Viva Energy Group Ltd. | | | 6,590,681 | | | | 11,867,968 | | | | 1.0 | % |
#* | | Webjet Ltd. | | | 2,302,818 | | | | 8,948,714 | | | | 0.7 | % |
| | Other Securities | | | | | | | 387,123,834 | | | | 32.0 | % |
| | | | | | | | | | | | | | |
TOTAL AUSTRALIA | | | | | | | 771,605,484 | | | | 64.2 | % |
| | | | | | | | | | | | | | |
CAYMAN ISLANDS — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 23,977 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
CHINA — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 789,268 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
206
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
HONG KONG — (21.0%) | | | | | | | | | | | | |
| | ASMPT Ltd. | | | 1,562,400 | | | $ | 13,232,824 | | | | 1.1 | % |
| | Luk Fook Holdings International Ltd. | | | 3,378,000 | | | | 8,380,129 | | | | 0.7 | % |
| | NWS Holdings Ltd. | | | 6,279,000 | | | | 7,429,555 | | | | 0.6 | % |
| | Pacific Basin Shipping Ltd. | | | 28,378,000 | | | | 8,211,841 | | | | 0.7 | % |
| | PCCW Ltd. | | | 18,348,545 | | | | 8,980,462 | | | | 0.8 | % |
*W | | Samsonite International SA | | | 3,780,000 | | | | 11,707,104 | | | | 1.0 | % |
| | Other Securities | | | | | | | 194,764,988 | | | | 16.1 | % |
| | | | | | | | | | | | | | |
TOTAL HONG KONG | | | | | | | 252,706,903 | | | | 21.0 | % |
| | | | | | | | | | | | | | |
NEW ZEALAND — (3.2%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 39,180,066 | | | | 3.2 | % |
| | | | | | | | | | | | | | |
SINGAPORE — (10.6%) | | | | | | | | | | | | |
| | ComfortDelGro Corp. Ltd. | | | 9,516,700 | | | | 9,191,833 | | | | 0.8 | % |
| | Other Securities | | | | | | | 118,504,758 | | | | 9.8 | % |
| | | | | | | | | | | | | | |
TOTAL SINGAPORE | | | | | | | 127,696,591 | | | | 10.6 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 1,192,002,289 | | | | 99.1 | % |
| | | | | | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
AUSTRALIA — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 1,336 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $1,516,440,464) | | | | | | | 1,192,003,625 | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (1.0%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 1,022,740 | | | | 11,830,034 | | | | 1.0 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $1,528,270,413) | | | | | | $ | 1,203,833,659 | | | | 100.1 | % |
| | | | | | | | | | | | | | |
Summary of the Series’ investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | $ | 13,693 | | | $ | 771,242,347 | | | $ | 349,444 | | | $ | 771,605,484 | |
Cayman Islands | | | — | | | | 23,977 | | | | — | | | | 23,977 | |
China | | | — | | | | 789,268 | | | | — | | | | 789,268 | |
Hong Kong | | | — | | | | 252,398,888 | | | | 308,015 | | | | 252,706,903 | |
New Zealand | | | — | | | | 39,180,066 | | | | — | | | | 39,180,066 | |
Singapore | | | — | | | | 127,046,839 | | | | 649,752 | | | | 127,696,591 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Australia | | | — | | | | 1,336 | | | | — | | | | 1,336 | |
Securities Lending Collateral | | | — | | | | 11,830,034 | | | | — | | | | 11,830,034 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 13,693 | | | $ | 1,202,512,755 | | | $ | 1,307,211 | ^ | | $ | 1,203,833,659 | |
| | | | | | | | | | | | | | | | |
207
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
208
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (99.1%) | | | | | | | | | | | | |
COMMUNICATION SERVICES — (4.0%) | | | | | | | | | | | | |
| | 4imprint Group PLC | | | 165,738 | | | $ | 10,143,389 | | | | 0.8 | % |
| | ITV PLC | | | 14,659,552 | | | | 11,414,423 | | | | 0.9 | % |
| | Moneysupermarket.com Group PLC | | | 3,209,924 | | | | 10,129,507 | | | | 0.8 | % |
| | Other Securities | | | | | | | 18,523,765 | | | | 1.5 | % |
| | | | | | | | | | | | | | |
TOTAL COMMUNICATION SERVICES | | | | | | | 50,211,084 | | | | 4.0 | % |
| | | | | | | | | | | | | | |
CONSUMER DISCRETIONARY — (19.0%) | | | | | | | | | | | | |
| | Bellway PLC | | | 596,527 | | | | 15,180,838 | | | | 1.2 | % |
| | Domino’s Pizza Group PLC | | | 3,097,499 | | | | 12,924,628 | | | | 1.0 | % |
| | Games Workshop Group PLC | | | 177,416 | | | | 21,331,156 | | | | 1.7 | % |
| | Greggs PLC | | | 601,854 | | | | 17,359,651 | | | | 1.4 | % |
| | Inchcape PLC | | | 2,145,919 | | | | 17,397,976 | | | | 1.4 | % |
| | Persimmon PLC | | | 978,415 | | | | 12,116,690 | | | | 1.0 | % |
| | Pets at Home Group PLC | | | 2,876,399 | | | | 9,834,326 | | | | 0.8 | % |
| | Redrow PLC | | | 1,640,617 | | | | 9,722,304 | | | | 0.8 | % |
| | Vistry Group PLC | | | 1,581,400 | | | | 13,630,585 | | | | 1.1 | % |
| | Other Securities | | | | | | | 107,540,636 | | | | 8.5 | % |
| | | | | | | | | | | | | | |
TOTAL CONSUMER DISCRETIONARY | | | | | | | 237,038,790 | | | | 18.9 | % |
| | | | | | | | | | | | | | |
CONSUMER STAPLES — (8.3%) | | | | | | | | | | | | |
| | Britvic PLC | | | 1,626,728 | | | | 16,593,568 | | | | 1.3 | % |
| | Cranswick PLC | | | 366,623 | | | | 15,588,013 | | | | 1.3 | % |
* | | Marks & Spencer Group PLC | | | 9,096,384 | | | | 24,019,747 | | | | 1.9 | % |
| | Tate & Lyle PLC | | | 2,193,476 | | | | 16,830,969 | | | | 1.3 | % |
| | Other Securities | | | | | | | 30,051,812 | | | | 2.4 | % |
| | | | | | | | | | | | | | |
TOTAL CONSUMER STAPLES | | | | | | | 103,084,109 | | | | 8.2 | % |
| | | | | | | | | | | | | | |
ENERGY — (3.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 38,047,863 | | | | 3.0 | % |
| | | | | | | | | | | | | | |
FINANCIALS — (20.1%) | | | | | | | | | | | | |
| | Bank of Georgia Group PLC | | | 269,724 | | | | 10,920,373 | | | | 0.9 | % |
| | Beazley PLC | | | 3,110,587 | | | | 19,485,841 | | | | 1.6 | % |
| | Burford Capital Ltd. | | | 974,033 | | | | 12,043,015 | | | | 1.0 | % |
| | Close Brothers Group PLC | | | 934,202 | | | | 9,069,257 | | | | 0.7 | % |
* | | Direct Line Insurance Group PLC | | | 5,736,832 | | | | 10,577,314 | | | | 0.8 | % |
| | Hiscox Ltd. | | | 1,481,388 | | | | 16,914,945 | | | | 1.3 | % |
| | IG Group Holdings PLC | | | 1,557,868 | | | | 12,102,444 | | | | 1.0 | % |
| | Lancashire Holdings Ltd. | | | 1,629,727 | | | | 11,253,076 | | | | 0.9 | % |
| | Man Group PLC | | | 7,541,211 | | | | 20,162,454 | | | | 1.6 | % |
| | Paragon Banking Group PLC | | | 1,921,607 | | | | 10,365,204 | | | | 0.8 | % |
| | Plus500 Ltd. | | | 531,015 | | | | 9,109,342 | | | | 0.7 | % |
| | Virgin Money U.K. PLC | | | 6,394,358 | | | | 11,617,099 | | | | 0.9 | % |
| | Other Securities | | | | | | | 97,536,245 | | | | 7.9 | % |
| | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | 251,156,609 | | | | 20.1 | % |
| | | | | | | | | | | | | | |
HEALTH CARE — (3.0%) | | | | | | | | | | | | |
* | | Indivior PLC | | | 766,956 | | | | 14,704,637 | | | | 1.2 | % |
| | Other Securities | | | | | | | 23,358,121 | | | | 1.9 | % |
| | | | | | | | | | | | | | |
TOTAL HEALTH CARE | | | | | | | 38,062,758 | | | | 3.1 | % |
| | | | | | | | | | | | | | |
209
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
INDUSTRIALS — (24.2%) | | | | | | | | | | | | |
* | | Babcock International Group PLC | | | 2,641,605 | | | $ | 12,568,828 | | | | 1.0 | % |
| | Balfour Beatty PLC | | | 3,585,302 | | | | 13,512,546 | | | | 1.1 | % |
| | Diploma PLC | | | 428,815 | | | | 14,867,363 | | | | 1.2 | % |
| | Grafton Group PLC | | | 1,489,341 | | | | 14,019,677 | | | | 1.1 | % |
| | Hays PLC | | | 9,150,271 | | | | 10,722,745 | | | | 0.9 | % |
| | Howden Joinery Group PLC | | | 1,391,766 | | | | 10,808,598 | | | | 0.9 | % |
* | | International Distributions Services PLC | | | 3,240,163 | | | | 9,959,380 | | | | 0.8 | % |
| | JET2 PLC | | | 813,756 | | | | 9,944,724 | | | | 0.8 | % |
| | Mitie Group PLC | | | 7,951,370 | | | | 9,543,633 | | | | 0.8 | % |
| | QinetiQ Group PLC | | | 3,297,003 | | | | 13,291,365 | | | | 1.1 | % |
| | Rotork PLC | | | 4,407,598 | | | | 15,761,223 | | | | 1.3 | % |
| | Serco Group PLC | | | 5,743,194 | | | | 9,978,356 | | | | 0.8 | % |
| | Travis Perkins PLC | | | 1,117,269 | | | | 10,066,748 | | | | 0.8 | % |
| | Other Securities | | | | | | | 146,925,070 | | | | 11.5 | % |
| | | | | | | | | | | | | | |
TOTAL INDUSTRIALS | | | | | | | 301,970,256 | | | | 24.1 | % |
| | | | | | | | | | | | | | |
INFORMATION TECHNOLOGY — (6.4%) | | | | | | | | | | | | |
| | Computacenter PLC | | | 501,247 | | | | 15,677,786 | | | | 1.3 | % |
| | Softcat PLC | | | 689,548 | | | | 10,622,540 | | | | 0.8 | % |
| | Spectris PLC | | | 361,445 | | | | 13,657,892 | | | | 1.1 | % |
| | Other Securities | | | | | | | 40,018,928 | | | | 3.2 | % |
| | | | | | | | | | | | | | |
TOTAL INFORMATION TECHNOLOGY | | | | | | | 79,977,146 | | | | 6.4 | % |
| | | | | | | | | | | | | | |
MATERIALS — (5.7%) | | | | | | | | | | | | |
| | Hill & Smith PLC | | | 550,246 | | | | 11,030,269 | | | | 0.9 | % |
| | Other Securities | | | | | | | 60,717,342 | | | | 4.8 | % |
| | | | | | | | | | | | | | |
TOTAL MATERIALS | | | | | | | 71,747,611 | | | | 5.7 | % |
| | | | | | | | | | | | | | |
REAL ESTATE — (2.8%) | | | | | | | | | | | | |
| | Grainger PLC | | | 4,251,088 | | | | 11,765,849 | | | | 1.0 | % |
| | Savills PLC | | | 971,680 | | | | 9,308,536 | | | | 0.8 | % |
| | Other Securities | | | | | | | 13,332,369 | | | | 1.0 | % |
| | | | | | | | | | | | | | |
TOTAL REAL ESTATE | | | | | | | 34,406,754 | | | | 2.8 | % |
| | | | | | | | | | | | | | |
UTILITIES — (2.6%) | | | | | | | | | | | | |
| | Drax Group PLC | | | 2,467,126 | | | | 12,675,532 | | | | 1.0 | % |
| | Pennon Group PLC | | | 1,364,308 | | | | 12,065,996 | | | | 1.0 | % |
| | Other Security | | | | | | | 7,989,073 | | | | 0.6 | % |
| | | | | | | | | | | | | | |
TOTAL UTILITIES | | | | | | | 32,730,601 | | | | 2.6 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS
(Cost $1,353,648,625) | | | | | | | 1,238,433,581 | | | | 98.9 | % |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (0.9%) | | | | | | | | | | | | |
@§ | | The DFA Short Term Investment Fund | | | 1,003,030 | | | | 11,602,045 | | | | 1.0 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $1,365,250,747) | | | | | | $ | 1,250,035,626 | | | | 99.9 | % |
| | | | | | | | | | | | | | |
210
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series’ investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 9,735 | | | $ | 50,201,349 | | | | — | | | $ | 50,211,084 | |
Consumer Discretionary | | | — | | | | 237,038,790 | | | | — | | | | 237,038,790 | |
Consumer Staples | | | — | | | | 103,084,109 | | | | — | | | | 103,084,109 | |
Energy | | | — | | | | 37,923,815 | | | $ | 124,048 | | | | 38,047,863 | |
Financials | | | — | | | | 251,155,569 | | | | 1,040 | | | | 251,156,609 | |
Health Care | | | — | | | | 38,062,758 | | | | — | | | | 38,062,758 | |
Industrials | | | — | | | | 301,970,256 | | | | — | | | | 301,970,256 | |
Information Technology | | | — | | | | 79,977,146 | | | | — | | | | 79,977,146 | |
Materials | | | — | | | | 71,747,611 | | | | — | | | | 71,747,611 | |
Real Estate | | | — | | | | 34,406,754 | | | | — | | | | 34,406,754 | |
Utilities | | | — | | | | 32,730,601 | | | | — | | | | 32,730,601 | |
Securities Lending Collateral | | | — | | | | 11,602,045 | | | | — | | | | 11,602,045 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 9,735 | | | $ | 1,249,900,803 | | | $ | 125,088 | ^ | | $ | 1,250,035,626 | |
| | | | | | | | | | | | | | | | |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
211
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (95.9%) | | | | | | | | | | | | |
AUSTRIA — (3.2%) | | | | | | | | | | | | |
| | ANDRITZ AG | | | 438,579 | | | $ | 20,187,397 | | | | 0.4 | % |
W | | BAWAG Group AG | | | 434,580 | | | | 19,356,361 | | | | 0.4 | % |
| | Other Securities | | | | | | | 111,012,363 | | | | 2.4 | % |
| | | | | | | | | | | | | | |
TOTAL AUSTRIA | | | | | | | 150,556,121 | | | | 3.2 | % |
| | | | | | | | | | | | | | |
BELGIUM — (3.8%) | | | | | | | | | | | | |
| | Ackermans & van Haaren NV | | | 171,688 | | | | 25,487,591 | | | | 0.6 | % |
| | Euronav NV | | | 1,303,139 | | | | 23,326,697 | | | | 0.5 | % |
| | Other Securities | | | | | | | 132,117,956 | | | | 2.8 | % |
| | | | | | | | | | | | | | |
TOTAL BELGIUM | | | | | | | 180,932,244 | | | | 3.9 | % |
| | | | | | | | | | | | | | |
DENMARK — (6.4%) | | | | | | | | | | | | |
* | | Jyske Bank AS | | | 437,851 | | | | 30,857,271 | | | | 0.7 | % |
| | Ringkjoebing Landbobank AS | | | 197,625 | | | | 26,935,971 | | | | 0.6 | % |
| | Royal Unibrew AS | | | 312,981 | | | | 22,640,649 | | | | 0.5 | % |
| | Sydbank AS | | | 461,164 | | | | 20,032,806 | | | | 0.4 | % |
| | Other Securities | | | | | | | 203,835,973 | | | | 4.4 | % |
| | | | | | | | | | | | | | |
TOTAL DENMARK | | | | | | | 304,302,670 | | | | 6.6 | % |
| | | | | | | | | | | | | | |
FINLAND — (5.1%) | | | | | | | | | | | | |
| | Huhtamaki OYJ | | | 631,957 | | | | 21,724,252 | | | | 0.5 | % |
| | Orion OYJ, Class B | | | 629,985 | | | | 25,064,275 | | | | 0.6 | % |
# | | Valmet OYJ | | | 886,762 | | | | 19,900,132 | | | | 0.4 | % |
| | Wartsila OYJ Abp | | | 2,378,105 | | | | 28,379,105 | | | | 0.6 | % |
| | Other Securities | | | | | | | 146,586,296 | | | | 3.1 | % |
| | | | | | | | | | | | | | |
TOTAL FINLAND | | | | | | | 241,654,060 | | | | 5.2 | % |
| | | | | | | | | | | | | | |
FRANCE — (11.3%) | | | | | | | | | | | | |
| | Elis SA | | | 1,272,724 | | | | 20,872,644 | | | | 0.5 | % |
| | Gaztransport Et Technigaz SA | | | 171,206 | | | | 21,898,963 | | | | 0.5 | % |
| | Rexel SA | | | 1,427,474 | | | | 29,152,980 | | | | 0.6 | % |
| | SCOR SE | | | 850,826 | | | | 25,400,939 | | | | 0.5 | % |
* | | SOITEC | | | 147,840 | | | | 22,066,351 | | | | 0.5 | % |
| | Sopra Steria Group SACA | | | 120,549 | | | | 21,642,911 | | | | 0.5 | % |
| | SPIE SA | | | 860,805 | | | | 22,637,026 | | | | 0.5 | % |
| | Other Securities | | | | | | | 372,000,758 | | | | 7.9 | % |
| | | | | | | | | | | | | | |
TOTAL FRANCE | | | | | | | 535,672,572 | | | | 11.5 | % |
| | | | | | | | | | | | | | |
GERMANY — (14.1%) | | | | | | | | | | | | |
# | | Bechtle AG | | | 434,992 | | | | 19,441,013 | | | | 0.4 | % |
| | CTS Eventim AG & Co. KGaA | | | 322,671 | | | | 19,536,483 | | | | 0.4 | % |
| | Freenet AG | | | 931,981 | | | | 23,656,380 | | | | 0.5 | % |
| | Gerresheimer AG | | | 239,432 | | | | 22,332,589 | | | | 0.5 | % |
| | Hugo Boss AG | | | 412,000 | | | | 24,095,810 | | | | 0.5 | % |
| | thyssenkrupp AG | | | 3,151,431 | | | | 21,964,393 | | | | 0.5 | % |
| | Other Securities | | | | | | | 536,826,812 | | | | 11.6 | % |
| | | | | | | | | | | | | | |
TOTAL GERMANY | | | | | | | 667,853,480 | | | | 14.4 | % |
| | | | | | | | | | | | | | |
212
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
IRELAND — (1.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 45,236,596 | | | | 1.0 | % |
| | | | | | | | | | | | | | |
ISRAEL — (1.9%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 91,075,560 | | | | 2.0 | % |
| | | | | | | | | | | | | | |
ITALY — (10.6%) | | | | | | | | | | | | |
| | Banco BPM SpA | | | 9,876,720 | | | | 50,532,629 | | | | 1.1 | % |
# | | BPER Banca | | | 6,542,561 | | | | 21,290,464 | | | | 0.5 | % |
| | Brunello Cucinelli SpA | | | 248,717 | | | | 20,006,230 | | | | 0.4 | % |
| | Leonardo SpA | | | 2,654,010 | | | | 40,108,685 | | | | 0.9 | % |
| | Other Securities | | | | | | | 371,549,104 | | | | 7.9 | % |
| | | | | | | | | | | | | | |
TOTAL ITALY | | | | | | | 503,487,112 | | | | 10.8 | % |
| | | | | | | | | | | | | | |
NETHERLANDS — (4.9%) | | | | | | | | | | | | |
| | Aalberts NV | | | 673,240 | | | | 21,020,076 | | | | 0.5 | % |
| | Arcadis NV | | | 526,995 | | | | 22,273,333 | | | | 0.5 | % |
| | BE Semiconductor Industries NV | | | 392,853 | | | | 40,581,596 | | | | 0.9 | % |
W | | Signify NV | | | 743,928 | | | | 19,284,717 | | | | 0.4 | % |
| | Other Securities | | | | | | | 131,580,048 | | | | 2.8 | % |
| | | | | | | | | | | | | | |
TOTAL NETHERLANDS | | | | | | | 234,739,770 | | | | 5.1 | % |
| | | | | | | | | | | | | | |
NORWAY — (2.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 97,377,918 | | | | 2.1 | % |
| | | | | | | | | | | | | | |
PORTUGAL — (1.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 50,590,874 | | | | 1.1 | % |
| | | | | | | | | | | | | | |
SPAIN — (6.4%) | | | | | | | | | | | | |
| | Banco de Sabadell SA | | | 36,362,876 | | | | 45,213,373 | | | | 1.0 | % |
| | Bankinter SA | | | 4,245,482 | | | | 26,846,128 | | | | 0.6 | % |
# | | Enagas SA | | | 1,457,648 | | | | 24,384,537 | | | | 0.5 | % |
| | Other Securities | | | | | | | 206,882,969 | | | | 4.4 | % |
| | | | | | | | | | | | | | |
TOTAL SPAIN | | | | | | | 303,327,007 | | | | 6.5 | % |
| | | | | | | | | | | | | | |
SWEDEN — (5.4%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 258,456,868 | | | | 5.6 | % |
| | | | | | | | | | | | | | |
SWITZERLAND — (18.7%) | | | | | | | | | | | | |
| | Adecco Group AG | | | 573,691 | | | | 21,710,502 | | | | 0.5 | % |
| | Allreal Holding AG | | | 123,491 | | | | 19,816,056 | | | | 0.4 | % |
| | Belimo Holding AG | | | 65,574 | | | | 27,607,771 | | | | 0.6 | % |
| | BKW AG | | | 161,471 | | | | 27,144,558 | | | | 0.6 | % |
| | Bucher Industries AG | | | 54,010 | | | | 19,279,744 | | | | 0.4 | % |
* | | Dufry AG | | | 554,235 | | | | 19,428,293 | | | | 0.4 | % |
| | Flughafen Zurich AG | | | 145,858 | | | | 27,255,287 | | | | 0.6 | % |
W | | Galenica AG | | | 285,324 | | | | 21,555,903 | | | | 0.5 | % |
| | Georg Fischer AG | | | 626,442 | | | | 32,506,926 | | | | 0.7 | % |
| | Helvetia Holding AG | | | 262,788 | | | | 35,327,584 | | | | 0.8 | % |
| | PSP Swiss Property AG | | | 337,750 | | | | 41,556,493 | | | | 0.9 | % |
| | Siegfried Holding AG | | | 32,647 | | | | 25,889,674 | | | | 0.6 | % |
| | Temenos AG | | | 344,252 | | | | 24,801,829 | | | | 0.5 | % |
W | | VAT Group AG | | | 71,846 | | | | 25,477,992 | | | | 0.5 | % |
213
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SWITZERLAND — (Continued) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 516,718,458 | | | | 11.1 | % |
| | | | | | | | | | | | | | |
TOTAL SWITZERLAND | | | | | | | 886,077,070 | | | | 19.1 | % |
| | | | | | | | | | | | | | |
UNITED STATES — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 1,431,685 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 4,552,771,607 | | | | 98.1 | % |
| | | | | | | | | | | | | | |
PREFERRED STOCKS — (0.9%) | | | | | | | | | | | | |
GERMANY — (0.9%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 41,269,340 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
FINLAND — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 1,801,296 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
SPAIN — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 477,756 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 2,279,052 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $4,294,866,091) | | | | | | | 4,596,319,999 | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (3.2%) | | | | | | | | | | | | |
@§ | | The DFA Short Term Investment Fund | | | 13,062,502 | | | | 151,093,958 | | | | 3.3 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $4,445,959,349) | | | | | | $ | 4,747,413,957 | | | | 102.3 | % |
| | | | | | | | | | | | | | |
Summary of the Series’ investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Austria | | $ | 974,623 | | | $ | 149,581,498 | | | | — | | | $ | 150,556,121 | |
Belgium | | | 792,151 | | | | 180,140,093 | | | | — | | | | 180,932,244 | |
Denmark | | | — | | | | 304,302,670 | | | | — | | | | 304,302,670 | |
Finland | | | — | | | | 241,654,060 | | | | — | | | | 241,654,060 | |
France | | | — | | | | 535,672,572 | | | | — | | | | 535,672,572 | |
Germany | | | 1,775,471 | | | | 666,078,009 | | | | — | | | | 667,853,480 | |
Ireland | | | — | | | | 45,236,596 | | | | — | | | | 45,236,596 | |
Israel | | | 1,713,493 | | | | 89,362,067 | | | | — | | | | 91,075,560 | |
Italy | | | — | | | | 503,487,112 | | | | — | | | | 503,487,112 | |
Netherlands | | | — | | | | 234,739,770 | | | | — | | | | 234,739,770 | |
Norway | | | — | | | | 97,377,918 | | | | — | | | | 97,377,918 | |
Portugal | | | — | | | | 50,590,874 | | | | — | | | | 50,590,874 | |
Spain | | | — | | | | 303,327,007 | | | | — | | | | 303,327,007 | |
Sweden | | | — | | | | 258,456,868 | | | | — | | | | 258,456,868 | |
Switzerland | | | — | | | | 886,077,070 | | | | — | | | | 886,077,070 | |
214
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
United States | | | — | | | $ | 1,431,685 | | | | — | | | $ | 1,431,685 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | — | | | | 41,269,340 | | | | — | | | | 41,269,340 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Finland | | | — | | | | 1,801,296 | | | | — | | | | 1,801,296 | |
Spain | | | — | | | | 477,756 | | | | — | | | | 477,756 | |
Securities Lending Collateral | | | — | | | | 151,093,958 | | | | — | | | | 151,093,958 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 5,255,738 | | | $ | 4,742,158,219 | | | | — | | | $ | 4,747,413,957 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
215
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (93.2%) | | | | | | | | | | | | |
COMMUNICATION SERVICES — (0.8%) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 10,370,357 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
CONSUMER DISCRETIONARY — (3.7%) | | | | | | | | | | | | |
#* | | Aritzia, Inc. | | | 490,659 | | | | 7,631,884 | | | | 0.6 | % |
| | Linamar Corp. | | | 254,133 | | | | 10,988,148 | | | | 0.9 | % |
| | Other Securities | | | | | | | 27,506,543 | | | | 2.4 | % |
| | | | | | | | | | | | | | |
TOTAL CONSUMER DISCRETIONARY | | | | | | | 46,126,575 | | | | 3.9 | % |
| | | | | | | | | | | | | | |
CONSUMER STAPLES — (4.5%) | | | | | | | | | | | | |
| | Maple Leaf Foods, Inc. | | | 468,524 | | | | 9,328,248 | | | | 0.8 | % |
# | | Premium Brands Holdings Corp. | | | 244,773 | | | | 15,758,668 | | | | 1.3 | % |
| | Primo Water Corp. | | | 92,255 | | | | 1,204,850 | | | | 0.1 | % |
| | Primo Water Corp. | | | 799,922 | | | | 10,434,894 | | | | 0.9 | % |
| | Other Securities | | | | | | | 19,771,521 | | | | 1.7 | % |
| | | | | | | | | | | | | | |
TOTAL CONSUMER STAPLES | | | | | | | 56,498,181 | | | | 4.8 | % |
| | | | | | | | | | | | | | |
ENERGY — (26.3%) | | | | | | | | | | | | |
* | | Advantage Energy Ltd. | | | 1,218,356 | | | | 8,847,193 | | | | 0.8 | % |
| | Baytex Energy Corp. | | | 2,680,011 | | | | 11,595,505 | | | | 1.0 | % |
# | | Birchcliff Energy Ltd. | | | 1,577,017 | | | | 8,710,979 | | | | 0.7 | % |
| | Crescent Point Energy Corp. | | | 2,232,271 | | | | 17,900,021 | | | | 1.5 | % |
| | Crescent Point Energy Corp. | | | 739,368 | | | | 5,922,338 | | | | 0.5 | % |
| | Enerplus Corp. | | | 1,253,055 | | | | 21,189,212 | | | | 1.8 | % |
| | Enerplus Corp. | | | 28,353 | | | | 479,449 | | | | 0.0 | % |
# | | Gibson Energy, Inc. | | | 854,905 | | | | 12,989,254 | | | | 1.1 | % |
* | | MEG Energy Corp. | | | 1,231,299 | | | | 24,328,533 | | | | 2.1 | % |
* | | NuVista Energy Ltd. | | | 996,250 | | | | 9,662,565 | | | | 0.8 | % |
| | Paramount Resources Ltd., Class A | | | 453,102 | | | | 10,890,136 | | | | 0.9 | % |
| | Parex Resources, Inc. | | | 560,334 | | | | 10,739,988 | | | | 0.9 | % |
| | Parkland Corp. | | | 743,571 | | | | 22,504,182 | | | | 1.9 | % |
# | | Peyto Exploration & Development Corp. | | | 1,064,787 | | | | 11,210,305 | | | | 1.0 | % |
# | | PrairieSky Royalty Ltd. | | | 1,219,867 | | | | 21,419,695 | | | | 1.8 | % |
| | Secure Energy Services, Inc. | | | 1,822,233 | | | | 10,118,041 | | | | 0.9 | % |
# | | Vermilion Energy, Inc. | | | 681,624 | | | | 9,835,440 | | | | 0.8 | % |
| | Vermilion Energy, Inc. | | | 233,451 | | | | 3,366,363 | | | | 0.3 | % |
# | | Whitecap Resources, Inc. | | | 1,388,207 | | | | 10,721,255 | | | | 0.9 | % |
| | Other Securities | | | | | | | 98,781,619 | | | | 8.4 | % |
| | | | | | | | | | | | | | |
TOTAL ENERGY | | | | | | | 331,212,073 | | | | 28.1 | % |
| | | | | | | | | | | | | | |
FINANCIALS — (6.6%) | | | | | | | | | | | | |
| | Canadian Western Bank | | | 530,725 | | | | 10,516,909 | | | | 0.9 | % |
| | CI Financial Corp. | | | 992,058 | | | | 8,992,370 | | | | 0.8 | % |
# | | EQB, Inc. | | | 161,831 | | | | 8,031,159 | | | | 0.7 | % |
| | Onex Corp. | | | 171,939 | | | | 9,636,271 | | | | 0.8 | % |
| | Other Securities | | | | | | | 46,037,310 | | | | 3.9 | % |
| | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | 83,214,019 | | | | 7.1 | % |
| | | | | | | | | | | | | | |
HEALTH CARE — (2.0%) | | | | | | | | | | | | |
| | Bausch Health Cos., Inc. | | | 1,551,796 | | | | 10,583,249 | | | | 0.9 | % |
#* | | Bausch Health Cos., Inc. | | | 17,777 | | | | 121,013 | | | | 0.0 | % |
216
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
HEALTH CARE — (Continued) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 14,052,775 | | | | 1.2 | % |
| | | | | | | | | | | | | | |
TOTAL HEALTH CARE | | | | | | | 24,757,037 | | | | 2.1 | % |
| | | | | | | | | | | | | | |
INDUSTRIALS — (13.9%) | | | | | | | | | | | | |
* | | ATS Corp. | | | 439,439 | | | | 14,798,487 | | | | 1.3 | % |
* | | Bombardier, Inc., Class A | | | 13,489 | | | | 433,632 | | | | 0.0 | % |
* | | Bombardier, Inc., Class B | | | 454,361 | | | | 14,576,904 | | | | 1.2 | % |
| | Boyd Group Services, Inc. | | | 120,716 | | | | 20,581,131 | | | | 1.8 | % |
| | Finning International, Inc. | | | 840,489 | | | | 22,522,135 | | | | 1.9 | % |
| | Richelieu Hardware Ltd. | | | 316,493 | | | | 9,466,832 | | | | 0.8 | % |
| | Russel Metals, Inc. | | | 357,603 | | | | 8,909,453 | | | | 0.8 | % |
| | SNC-Lavalin Group, Inc. | | | 978,592 | | | | 27,182,523 | | | | 2.3 | % |
| | Other Securities | | | | | | | 57,389,909 | | | | 4.8 | % |
| | | | | | | | | | | | | | |
TOTAL INDUSTRIALS | | | | | | | 175,861,006 | | | | 14.9 | % |
| | | | | | | | | | | | | | |
INFORMATION TECHNOLOGY — (3.7%) | | | | | | | | | | | | |
* | | Celestica, Inc. | | | 58,598 | | | | 1,368,263 | | | | 0.1 | % |
* | | Celestica, Inc. | | | 584,405 | | | | 13,641,384 | | | | 1.2 | % |
#* | | Lightspeed Commerce, Inc. | | | 662,243 | | | | 8,251,548 | | | | 0.7 | % |
| | Other Securities | | | | | | | 23,295,357 | | | | 2.0 | % |
| | | | | | | | | | | | | | |
TOTAL INFORMATION TECHNOLOGY | | | | | | | 46,556,552 | | | | 4.0 | % |
| | | | | | | | | | | | | | |
MATERIALS — (22.5%) | | | | | | | | | | | | |
| | Alamos Gold, Inc., Class A | | | 1,993,469 | | | | 24,682,065 | | | | 2.1 | % |
| | Alamos Gold, Inc., Class A | | | 41,121 | | | | 509,078 | | | | 0.1 | % |
| | B2Gold Corp. | | | 1,611,233 | | | | 5,158,735 | | | | 0.4 | % |
| | B2Gold Corp. | | | 5,340,960 | | | | 17,251,301 | | | | 1.5 | % |
* | | Capstone Copper Corp. | | | 2,311,783 | | | | 7,868,481 | | | | 0.7 | % |
| | Eldorado Gold Corp. | | | 682,069 | | | | 7,377,705 | | | | 0.6 | % |
#* | | Eldorado Gold Corp. | | | 467,945 | | | | 5,058,485 | | | | 0.4 | % |
# | | Labrador Iron Ore Royalty Corp. | | | 346,569 | | | | 7,622,394 | | | | 0.7 | % |
| | Methanex Corp. | | | 206,998 | | | | 8,547,111 | | | | 0.7 | % |
| | Methanex Corp. | | | 144,520 | | | | 5,961,450 | | | | 0.5 | % |
| | OceanaGold Corp. | | | 4,732,563 | | | | 7,917,466 | | | | 0.7 | % |
| | Osisko Gold Royalties Ltd. | | | 649,135 | | | | 7,934,262 | | | | 0.7 | % |
| | Osisko Gold Royalties Ltd. | | | 299,402 | | | | 3,658,692 | | | | 0.3 | % |
| | SSR Mining, Inc. | | | 847,686 | | | | 11,730,370 | | | | 1.0 | % |
# | | SSR Mining, Inc. | | | 365,680 | | | | 5,075,638 | | | | 0.4 | % |
| | Stella-Jones, Inc. | | | 304,188 | | | | 15,933,814 | | | | 1.4 | % |
| | Other Securities | | | | | | | 141,075,036 | | | | 11.9 | % |
| | | | | | | | | | | | | | |
TOTAL MATERIALS | | | | | | | 283,362,083 | | | | 24.1 | % |
| | | | | | | | | | | | | | |
REAL ESTATE — (3.0%) | | | | | | | | | | | | |
| | Altus Group Ltd. | | | 245,393 | | | | 8,334,603 | | | | 0.7 | % |
| | Tricon Residential, Inc. | | | 1,228,695 | | | | 8,142,569 | | | | 0.7 | % |
| | Other Securities | | | | | | | 21,600,844 | | | | 1.8 | % |
| | | | | | | | | | | | | | |
TOTAL REAL ESTATE | | | | | | | 38,078,016 | | | | 3.2 | % |
| | | | | | | | | | | | | | |
UTILITIES — (6.2%) | | | | | | | | | | | | |
| | Atco Ltd., Class I | | | 445,141 | | | | 11,411,403 | | | | 1.0 | % |
# | | Boralex, Inc., Class A | | | 508,523 | | | | 9,464,560 | | | | 0.8 | % |
# | | Capital Power Corp. | | | 688,895 | | | | 17,630,347 | | | | 1.5 | % |
217
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
UTILITIES — (Continued) | | | | | | | | | | | | |
# | | TransAlta Corp. | | | 1,716,689 | | | $ | 12,564,913 | | | | 1.1 | % |
| | Other Securities | | | | | | | 27,796,553 | | | | 2.3 | % |
| | | | | | | | | | | | | | |
TOTAL UTILITIES | | | | | | | 78,867,776 | | | | 6.7 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS
(Cost $1,116,658,978) | | | | | | | 1,174,903,675 | | | | 99.8 | % |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (6.8%) | | | | | | | | | | | | |
@§ | | The DFA Short Term Investment Fund | | | 7,370,255 | | | | 85,251,738 | | | | 7.2 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $1,201,910,716) | | | | | | $ | 1,260,155,413 | | | | 107.0 | % |
| | | | | | | | | | | | | | |
Summary of the Series’ investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 7,521,380 | | | $ | 2,848,977 | | | | — | | | $ | 10,370,357 | |
Consumer Discretionary | | | 46,126,575 | | | | — | | | | — | | | | 46,126,575 | |
Consumer Staples | | | 56,498,181 | | | | — | | | | — | | | | 56,498,181 | |
Energy | | | 331,212,073 | | | | — | | | | — | | | | 331,212,073 | |
Financials | | | 83,115,371 | | | | 98,648 | | | | — | | | | 83,214,019 | |
Health Care | | | 24,744,942 | | | | — | | | $ | 12,095 | | | | 24,757,037 | |
Industrials | | | 175,861,006 | | | | — | | | | — | | | | 175,861,006 | |
Information Technology | | | 46,556,552 | | | | — | | | | — | | | | 46,556,552 | |
Materials | | | 282,952,684 | | | | 409,399 | | | | — | | | | 283,362,083 | |
Real Estate | | | 38,078,016 | | | | — | | | | — | | | | 38,078,016 | |
Utilities | | | 78,867,776 | | | | — | | | | — | | | | 78,867,776 | |
Securities Lending Collateral | | | — | | | | 85,251,738 | | | | — | | | | 85,251,738 | |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 1,171,534,556 | | | $ | 88,608,762 | | | $ | 12,095 | ^ | | $ | 1,260,155,413 | |
| | | | | | | | | | | | | | | | |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
218
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (98.0%) | | | | | | | | | | | | |
BRAZIL — (3.9%) | | | | | | | | | | | | |
| | Petroleo Brasileiro SA | | | 2,733,556 | | | $ | 20,516,241 | | | | 0.5 | % |
| | Petroleo Brasileiro SA, Sponsored ADR | | | 511,889 | | | | 7,079,425 | | | | 0.2 | % |
| | Petroleo Brasileiro SA, Sponsored ADR | | | 227,883 | | | | 3,418,245 | | | | 0.1 | % |
| | Vale SA | | | 1,834,275 | | | | 25,103,376 | | | | 0.6 | % |
| | Other Securities | | | | | | | 115,560,546 | | | | 2.5 | % |
| | | | | | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 171,677,833 | | | | 3.9 | % |
| | | | | | | | | | | | | | |
CHILE — (0.5%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 20,560,416 | | | | 0.5 | % |
| | | | | | | | | | | | | | |
CHINA — (25.7%) | | | | | | | | | | | | |
* | | Alibaba Group Holding Ltd. | | | 3,987,600 | | | | 41,052,633 | | | | 1.0 | % |
* | | Alibaba Group Holding Ltd., Sponsored ADR | | | 706,990 | | | | 58,354,955 | | | | 1.4 | % |
* | | Baidu, Inc., Class A | | | 1,330,750 | | | | 17,471,152 | | | | 0.4 | % |
| | Bank of China Ltd., Class H | | | 43,912,181 | | | | 15,340,063 | | | | 0.4 | % |
# | | BYD Co. Ltd., Class H | | | 533,886 | | | | 16,235,529 | | | | 0.4 | % |
| | China Construction Bank Corp., Class H | | | 59,766,590 | | | | 33,801,467 | | | | 0.8 | % |
| | China Resources Land Ltd. | | | 3,998,666 | | | | 14,967,431 | | | | 0.4 | % |
| | CSPC Pharmaceutical Group Ltd. | | | 16,771,200 | | | | 14,649,127 | | | | 0.4 | % |
| | Geely Automobile Holdings Ltd. | | | 10,501,000 | | | | 11,922,045 | | | | 0.3 | % |
| | Industrial & Commercial Bank of China Ltd., Class H | | | 30,774,185 | | | | 14,748,359 | | | | 0.4 | % |
| | JD.com, Inc., Class A | | | 1,150,871 | | | | 14,631,204 | | | | 0.4 | % |
| | Kweichow Moutai Co. Ltd., Class A | | | 55,993 | | | | 12,895,393 | | | | 0.3 | % |
| | Lenovo Group Ltd. | | | 11,967,278 | | | | 13,926,695 | | | | 0.3 | % |
*W | | Meituan, Class B | | | 1,414,140 | | | | 20,045,441 | | | | 0.5 | % |
| | NetEase, Inc., ADR | | | 193,704 | | | | 20,710,832 | | | | 0.5 | % |
* | | PDD Holdings, Inc., ADR | | | 122,979 | | | | 12,472,530 | | | | 0.3 | % |
| | Ping An Insurance Group Co. of China Ltd., Class H | | | 4,658,000 | | | | 23,627,589 | | | | 0.6 | % |
| | Tencent Holdings Ltd. | | | 3,804,300 | | | | 140,792,312 | | | | 3.2 | % |
*W | | Xiaomi Corp., Class B | | | 10,152,800 | | | | 18,204,201 | | | | 0.4 | % |
| | Yum China Holdings, Inc. | | | 240,132 | | | | 12,621,338 | | | | 0.3 | % |
| | Other Securities | | | | | | | 603,721,675 | | | | 13.1 | % |
| | | | | | | | | | | | | | |
TOTAL CHINA | | | | | | | 1,132,191,971 | | | | 25.8 | % |
| | | | | | | | | | | | | | |
COLOMBIA — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 4,445,371 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
CZECH REPUBLIC — (0.2%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 8,439,885 | | | | 0.2 | % |
| | | | | | | | | | | | | | |
EGYPT — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 1,668,825 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
GREECE — (0.5%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 22,255,031 | | | | 0.5 | % |
| | | | | | | | | | | | | | |
HUNGARY — (0.3%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 13,109,685 | | | | 0.3 | % |
| | | | | | | | | | | | | | |
INDIA — (16.9%) | | | | | | | | | | | | |
| | Axis Bank Ltd. | | | 1,479,255 | | | | 17,430,034 | | | | 0.4 | % |
| | Bajaj Finance Ltd. | | | 139,763 | | | | 12,585,919 | | | | 0.3 | % |
219
THE EMERGING MARKETS SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
INDIA — (Continued) | |
| | Bharti Airtel Ltd. | | | 1,469,776 | | | $ | 16,135,794 | | | | 0.4 | % |
| | HDFC Bank Ltd. | | | 1,841,080 | | | | 32,635,910 | | | | 0.7 | % |
| | Hindustan Unilever Ltd. | | | 440,646 | | | | 13,150,373 | | | | 0.3 | % |
| | ICICI Bank Ltd. | | | 1,390,129 | | | | 15,309,796 | | | | 0.3 | % |
| | ICICI Bank Ltd., Sponsored ADR | | | 649,989 | | | | 14,423,245 | | | | 0.3 | % |
| | Infosys Ltd. | | | 1,779,532 | | | | 29,305,332 | | | | 0.7 | % |
| | Mahindra & Mahindra Ltd. | | | 967,659 | | | | 17,021,272 | | | | 0.4 | % |
| | Reliance Industries Ltd. | | | 1,374,995 | | | | 37,827,485 | | | | 0.9 | % |
| | Tata Consultancy Services Ltd. | | | 551,248 | | | | 22,336,702 | | | | 0.5 | % |
| | Tata Steel Ltd. | | | 11,675,250 | | | | 16,681,472 | | | | 0.4 | % |
| | Other Securities | | | | | | | 499,912,976 | | | | 11.4 | % |
| | | | | | | | | | | | | | |
TOTAL INDIA | | | | | | | 744,756,310 | | | | 17.0 | % |
| | | | | | | | | | | | | | |
INDONESIA — (2.0%) | |
| | Bank Central Asia Tbk. PT | | | 28,212,600 | | | | 15,542,902 | | | | 0.4 | % |
| | Other Securities | | | | | | | 71,268,056 | | | | 1.6 | % |
| | | | | | | | | | | | | | |
TOTAL INDONESIA | | | | 86,810,958 | | | | 2.0 | % |
| | | | | | | | | | | | | | |
KUWAIT — (0.4%) | |
| | Other Securities | | | | | | | 18,707,976 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
MALAYSIA — (1.6%) | |
| | Other Securities | | | | | | | 69,566,794 | | | | 1.6 | % |
| | | | | | | | | | | | | | |
MEXICO — (2.4%) | |
| | America Movil SAB de CV, Class B | | | 16,845,136 | | | | 13,930,943 | | | | 0.3 | % |
| | Grupo Financiero Banorte SAB de CV, Class O | | | 1,486,046 | | | | 12,038,217 | | | | 0.3 | % |
| | Other Securities | | | | | | | 79,854,727 | | | | 1.8 | % |
| | | | | | | | | | | | | | |
TOTAL MEXICO | | | | 105,823,887 | | | | 2.4 | % |
| | | | | | | | | | | | | | |
PERU — (0.1%) | |
| | Other Securities | | | | | | | 4,524,673 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
PHILIPPINES — (0.7%) | |
| | Other Securities | | | | | | | 30,675,092 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
POLAND — (1.1%) | |
| | Other Securities | | | | | | | 46,682,641 | | | | 1.1 | % |
| | | | | | | | | | | | | | |
QATAR — (0.8%) | |
| | Qatar National Bank QPSC | | | 3,144,150 | | | | 12,865,365 | | | | 0.3 | % |
| | Other Securities | | | | | | | 24,863,602 | | | | 0.6 | % |
| | | | | | | | | | | | | | |
TOTAL QATAR | | | | 37,728,967 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
SAUDI ARABIA — (4.0%) | |
| | Al Rajhi Bank | | | 1,034,714 | | | | 18,521,965 | | | | 0.4 | % |
W | | Saudi Arabian Oil Co. | | | 1,399,216 | | | | 12,431,128 | | | | 0.3 | % |
| | Saudi Telecom Co. | | | 1,236,802 | | | | 12,669,933 | | | | 0.3 | % |
| | Other Securities | | | | | | | 131,916,585 | | | | 3.0 | % |
| | | | | | | | | | | | | | |
TOTAL SAUDI ARABIA | | | | 175,539,611 | | | | 4.0 | % |
| | | | | | | | | | | | | | |
220
THE EMERGING MARKETS SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SOUTH AFRICA — (2.8%) | |
| | Other Securities | | | | | | $ | 125,726,821 | | | | 2.9 | % |
| | | | | | | | | | | | | | |
SOUTH KOREA — (12.3%) | |
| | LG Electronics, Inc. | | | 168,961 | | | | 12,534,032 | | | | 0.3 | % |
| | Samsung Electronics Co. Ltd. | | | 3,140,501 | | | | 156,318,054 | | | | 3.6 | % |
| | SK Hynix, Inc. | | | 384,567 | | | | 33,396,605 | | | | 0.8 | % |
| | Other Securities | | | | | | | 339,086,158 | | | | 7.7 | % |
| | | | | | | | | | | | | | |
TOTAL SOUTH KOREA | | | | 541,334,849 | | | | 12.4 | % |
| | | | | | | | | | | | | | |
TAIWAN — (16.8%) | |
| | CTBC Financial Holding Co. Ltd. | | | 16,115,175 | | | | 12,136,388 | | | | 0.3 | % |
| | Hon Hai Precision Industry Co. Ltd. | | | 5,925,322 | | | | 17,685,388 | | | | 0.4 | % |
| | MediaTek, Inc. | | | 759,995 | | | | 19,835,377 | | | | 0.5 | % |
| | Taiwan Semiconductor Manufacturing Co. Ltd. | | | 13,600,808 | | | | 222,135,277 | | | | 5.1 | % |
| | Other Securities | | | | | | | 469,047,954 | | | | 10.6 | % |
| | | | | | | | | | | | | | |
TOTAL TAIWAN | | | | 740,840,384 | | | | 16.9 | % |
| | | | | | | | | | | | | | |
THAILAND — (2.2%) | |
| | Other Securities | | | | | | | 95,388,325 | | | | 2.2 | % |
| | | | | | | | | | | | | | |
TURKEY — (0.9%) | |
| | Other Securities | | | | | | | 38,483,090 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
UNITED ARAB EMIRATES — (1.7%) | |
| | Emaar Properties PJSC | | | 6,790,733 | | | | 12,371,246 | | | | 0.3 | % |
| | Other Securities | | | | | | | 62,727,968 | | | | 1.4 | % |
| | | | | | | | | | | | | | |
TOTAL UNITED ARAB EMIRATES | | | | 75,099,214 | | | | 1.7 | % |
| | | | | | | | | | | | | | |
UNITED KINGDOM — (0.1%) | |
| | Other Security | | | | | | | 4,175,381 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
UNITED STATES — (0.0%) | |
| | Other Security | | | | | | | 1,398,665 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | 4,317,612,655 | | | | 98.6 | % |
| | | | | | | | | | | | | | |
PREFERRED STOCKS — (1.1%) | |
BRAZIL — (1.1%) | |
| | Petroleo Brasileiro SA, 10.467% | | | 2,952,047 | | | | 20,340,975 | | | | 0.5 | % |
| | Other Securities | | | | | | | 26,826,224 | | | | 0.6 | % |
| | | | | | | | | | | | | | |
TOTAL BRAZIL | | | | 47,167,199 | | | | 1.1 | % |
| | | | | | | | | | | | | | |
CHILE — (0.0%) | |
| | Other Security | | | | | | | 566,774 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
COLOMBIA — (0.0%) | |
| | Other Securities | | | | | | | 426,021 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
SOUTH KOREA — (0.0%) | |
| | Other Security | | | | | | | 5,937 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL PREFERRED STOCKS | | | | 48,165,931 | | | | 1.1 | % |
| | | | | | | | | | | | | | |
221
THE EMERGING MARKETS SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
RIGHTS/WARRANTS — (0.0%) | |
BRAZIL — (0.0%) | |
| | Other Security | | | | | | $ | 115 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
KUWAIT — (0.0%) | |
| | Other Security | | | | | | | 2,043 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
SOUTH KOREA — (0.0%) | |
| | Other Securities | | | | | | | 20,215 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TAIWAN — (0.0%) | |
| | Other Security | | | | | | | 16,630 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | 39,003 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $2,983,451,891) | | | | 4,365,817,589 | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (0.9%) | | | | | | | | | |
@§ | | The DFA Short Term Investment Fund | | | 3,587,676 | | | | 41,498,653 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $3,024,951,072) | | | $ | 4,407,316,242 | | | | 100.6 | % |
| | | | | | | | | | | | | | |
As of October 31, 2023, The Emerging Markets Series had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
E-Mini MSCI Emerging Markets Index | | | 630 | | | | 12/15/23 | | | $ | 30,915,005 | | | $ | 28,954,800 | | | $ | (1,960,205 | ) |
S&P 500® E-Mini Index | | | 9 | | | | 12/15/23 | | | | 1,944,443 | | | | 1,895,513 | | | | (48,930 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 32,859,448 | | | $ | 30,850,313 | | | $ | (2,009,135 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Series’ investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Brazil | | $ | 171,677,833 | | | | — | | | | — | | | $ | 171,677,833 | |
Chile | | | 8,570,015 | | | $ | 11,990,401 | | | | — | | | | 20,560,416 | |
China | | | 146,289,624 | | | | 985,902,347 | | | | — | | | | 1,132,191,971 | |
Colombia | | | 4,380,149 | | | | 65,222 | | | | — | | | | 4,445,371 | |
Czech Republic | | | — | | | | 8,439,885 | | | | — | | | | 8,439,885 | |
Egypt | | | 139,222 | | | | 1,529,603 | | | | — | | | | 1,668,825 | |
Greece | | | — | | | | 22,255,031 | | | | — | | | | 22,255,031 | |
Hungary | | | — | | | | 13,109,685 | | | | — | | | | 13,109,685 | |
India | | | 31,954,623 | | | | 712,196,875 | | | $ | 604,812 | | | | 744,756,310 | |
Indonesia | | | — | | | | 86,810,958 | | | | — | | | | 86,810,958 | |
Kuwait | | | 16,196,403 | | | | 2,511,573 | | | | — | | | | 18,707,976 | |
Malaysia | | | — | | | | 69,566,794 | | | | — | | | | 69,566,794 | |
222
THE EMERGING MARKETS SERIES
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Mexico | | $ | 105,823,887 | | | | — | | | | — | | | $ | 105,823,887 | |
Peru | | | 4,524,673 | | | | — | | | | — | | | | 4,524,673 | |
Philippines | | | — | | | $ | 30,675,092 | | | | — | | | | 30,675,092 | |
Poland | | | — | | | | 46,682,641 | | | | — | | | | 46,682,641 | |
Qatar | | | — | | | | 37,728,967 | | | | — | | | | 37,728,967 | |
Saudi Arabia | | | — | | | | 175,539,611 | | | | — | | | | 175,539,611 | |
South Africa | | | 15,175,175 | | | | 110,551,646 | | | | — | | | | 125,726,821 | |
South Korea | | | 4,074,644 | | | | 537,260,205 | | | | — | | | | 541,334,849 | |
Taiwan | | | 3,960,666 | | | | 736,879,718 | | | | — | | | | 740,840,384 | |
Thailand | | | 86,922,062 | | | | 8,466,263 | | | | — | | | | 95,388,325 | |
Turkey | | | — | | | | 38,483,090 | | | | — | | | | 38,483,090 | |
United Arab Emirates | | | — | | | | 75,099,214 | | | | — | | | | 75,099,214 | |
United Kingdom | | | 4,175,381 | | | | — | | | | — | | | | 4,175,381 | |
United States | | | — | | | | 1,398,665 | | | | — | | | | 1,398,665 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Brazil | | | 47,167,199 | | | | — | | | | — | | | | 47,167,199 | |
Chile | | | — | | | | 566,774 | | | | — | | | | 566,774 | |
Colombia | | | 426,021 | | | | — | | | | — | | | | 426,021 | |
South Korea | | | — | | | | 5,937 | | | | — | | | | 5,937 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Brazil | | | — | | | | 115 | | | | — | | | | 115 | |
Kuwait | | | — | | | | 2,043 | | | | — | | | | 2,043 | |
South Korea | | | — | | | | 20,215 | | | | — | | | | 20,215 | |
Taiwan | | | — | | | | 16,630 | | | | — | | | | 16,630 | |
Securities Lending Collateral | | | — | | | | 41,498,653 | | | | — | | | | 41,498,653 | |
Futures Contracts** | | | (2,009,135 | ) | | | — | | | | — | | | | (2,009,135 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 649,448,442 | | | $ | 3,755,253,853 | | | $ | 604,812 | ^ | | $ | 4,405,307,107 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
223
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (98.1%) | | | | | | | | | | | | |
BRAZIL — (4.6%) | | | | | | | | | | | | |
| | TOTVS SA | | | 1,646,258 | | | $ | 8,264,352 | | | | 0.2 | % |
| | Transmissora Alianca de Energia Eletrica SA | | | 1,269,523 | | | | 8,508,391 | | | | 0.2 | % |
| | Ultrapar Participacoes SA | | | 1,899,071 | | | | 7,702,881 | | | | 0.2 | % |
| | Other Securities | | | | | | | 152,904,656 | | | | 4.0 | % |
| | | | | | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 177,380,280 | | | | 4.6 | % |
| | | | | | | | | | | | | | |
CAYMAN ISLANDS — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 170,410 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
CHILE — (0.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 25,424,110 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
CHINA — (20.8%) | | | | | | | | | | | | |
W | | China Feihe Ltd. | | | 9,856,000 | | | | 6,124,242 | | | | 0.2 | % |
| | China Gas Holdings Ltd. | | | 7,812,400 | | | | 7,023,397 | | | | 0.2 | % |
| | China Medical System Holdings Ltd. | | | 5,196,500 | | | | 8,309,710 | | | | 0.2 | % |
| | China Merchants Port Holdings Co. Ltd. | | | 4,896,107 | | | | 6,232,419 | | | | 0.2 | % |
| | China National Building Material Co. Ltd., Class H | | | 12,606,000 | | | | 6,000,398 | | | | 0.2 | % |
# | | China Power International Development Ltd. | | | 16,804,333 | | | | 6,530,760 | | | | 0.2 | % |
| | Chinasoft International Ltd. | | | 9,242,000 | | | | 6,705,229 | | | | 0.2 | % |
| | Hengan International Group Co. Ltd. | | | 2,167,000 | | | | 7,257,928 | | | | 0.2 | % |
W | | Hygeia Healthcare Holdings Co. Ltd., Class C | | | 1,068,800 | | | | 6,453,486 | | | | 0.2 | % |
| | Kingboard Holdings Ltd. | | | 2,602,421 | | | | 6,337,610 | | | | 0.2 | % |
| | Kingsoft Corp. Ltd. | | | 3,176,200 | | | | 11,083,278 | | | | 0.3 | % |
| | Kunlun Energy Co. Ltd. | | | 8,932,000 | | | | 7,441,280 | | | | 0.2 | % |
| | Minth Group Ltd. | | | 2,797,000 | | | | 6,243,537 | | | | 0.2 | % |
| | Shandong Weigao Group Medical Polymer Co. Ltd., Class H | | | 7,160,000 | | | | 6,645,852 | | | | 0.2 | % |
* | | Tongcheng Travel Holdings Ltd. | | | 3,499,200 | | | | 6,685,049 | | | | 0.2 | % |
W | | Yadea Group Holdings Ltd. | | | 3,806,000 | | | | 6,947,313 | | | | 0.2 | % |
*W | | ZhongAn Online P&C Insurance Co. Ltd., Class H | | | 2,175,200 | | | | 5,961,389 | | | | 0.2 | % |
| | Other Securities | | | | | | | 683,940,851 | | | | 17.5 | % |
| | | | | | | | | | | | | | |
TOTAL CHINA | | | | | | | 801,923,728 | | | | 21.0 | % |
| | | | | | | | | | | | | | |
COLOMBIA — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 5,331,154 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
GREECE — (0.4%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 17,076,446 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
HONG KONG — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 261,817 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
HUNGARY — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 2,412,230 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
INDIA — (21.6%) | | | | | | | | | | | | |
| | AIA Engineering Ltd. | | | 171,273 | | | | 7,251,816 | | | | 0.2 | % |
| | Coforge Ltd. | | | 116,666 | | | | 6,994,499 | | | | 0.2 | % |
| | Dixon Technologies India Ltd. | | | 107,580 | | | | 6,603,013 | | | | 0.2 | % |
| | Federal Bank Ltd. | | | 5,124,938 | | | | 8,658,566 | | | | 0.2 | % |
| | Fortis Healthcare Ltd. | | | 1,671,935 | | | | 6,486,796 | | | | 0.2 | % |
224
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
INDIA — (Continued) | | | | | | | | | | | | |
| | Jindal Stainless Ltd. | | | 1,250,402 | | | $ | 6,669,960 | | | | 0.2 | % |
| | KEI Industries Ltd. | | | 207,523 | | | | 5,979,370 | | | | 0.2 | % |
| | KPIT Technologies Ltd. | | | 686,673 | | | | 10,107,153 | | | | 0.3 | % |
| | Persistent Systems Ltd. | | | 159,198 | | | | 11,772,203 | | | | 0.3 | % |
| | Phoenix Mills Ltd. | | | 348,097 | | | | 7,614,407 | | | | 0.2 | % |
| | REC Ltd. | | | 2,883,444 | | | | 9,973,561 | | | | 0.3 | % |
| | Solar Industries India Ltd. | | | 97,125 | | | | 6,386,222 | | | | 0.2 | % |
| | Supreme Industries Ltd. | | | 197,528 | | | | 10,272,595 | | | | 0.3 | % |
* | | Suzlon Energy Ltd. | | | 23,338,088 | | | | 8,616,933 | | | | 0.2 | % |
| | Tube Investments of India Ltd. | | | 249,568 | | | | 9,453,997 | | | | 0.3 | % |
* | | Zee Entertainment Enterprises Ltd. | | | 2,602,393 | | | | 8,073,057 | | | | 0.2 | % |
| | Other Securities | | | | | | | 702,425,219 | | | | 18.1 | % |
| | | | | | | | | | | | | | |
TOTAL INDIA | | | | | | | 833,339,367 | | | | 21.8 | % |
| | | | | | | | | | | | | | |
INDONESIA — (2.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 75,237,255 | | | | 2.0 | % |
| | | | | | | | | | | | | | |
KUWAIT — (0.4%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 17,170,701 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
MALAYSIA — (1.5%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 59,242,538 | | | | 1.6 | % |
| | | | | | | | | | | | | | |
MEXICO — (2.9%) | | | | | | | | | | | | |
W | | Banco del Bajio SA | | | 2,520,069 | | | | 7,672,449 | | | | 0.2 | % |
| | Grupo Comercial Chedraui SA de CV | | | 1,708,398 | | | | 9,951,520 | | | | 0.3 | % |
* | | Grupo Simec SAB de CV, Class B | | | 945,472 | | | | 10,042,592 | | | | 0.3 | % |
* | | Industrias CH SAB de CV, Class B | | | 1,689,942 | | | | 18,090,787 | | | | 0.5 | % |
| | Other Securities | | | | | | | 67,515,113 | | | | 1.7 | % |
| | | | | | | | | | | | | | |
TOTAL MEXICO | | | | | | | 113,272,461 | | | | 3.0 | % |
| | | | | | | | | | | | | | |
PHILIPPINES — (0.8%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 32,641,582 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
POLAND — (1.3%) | | | | | | | | | | | | |
# | | Grupa Kety SA | | | 53,775 | | | | 9,070,956 | | | | 0.3 | % |
| | KRUK SA | | | 64,574 | | | | 7,143,470 | | | | 0.2 | % |
| | Other Securities | | | | | | | 35,422,015 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
TOTAL POLAND | | | | | | | 51,636,441 | | | | 1.4 | % |
| | | | | | | | | | | | | | |
QATAR — (0.8%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 29,934,707 | | | | 0.8 | % |
| | | | | | | | | | | | | | |
SAUDI ARABIA — (4.2%) | | | | | | | | | | | | |
* | | Bank Al-Jazira | | | 1,426,073 | | | | 6,222,820 | | | | 0.2 | % |
| | Co. for Cooperative Insurance | | | 241,112 | | | | 7,765,292 | | | | 0.2 | % |
* | | Dar Al Arkan Real Estate Development Co. | | | 1,733,568 | | | | 6,981,333 | | | | 0.2 | % |
| | Other Securities | | | | | | | 142,354,939 | | | | 3.7 | % |
| | | | | | | | | | | | | | |
TOTAL SAUDI ARABIA | | | | | | | 163,324,384 | | | | 4.3 | % |
| | | | | | | | | | | | | | |
SOUTH AFRICA — (2.7%) | | | | | | | | | | | | |
| | Harmony Gold Mining Co. Ltd., Sponsored ADR | | | 1,802,955 | | | | 8,095,268 | | | | 0.2 | % |
225
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SOUTH AFRICA — (Continued) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 95,189,039 | | | | 2.5 | % |
| | | | | | | | | | | | |
TOTAL SOUTH AFRICA | | | | | | | 103,284,307 | | | | 2.7 | % |
| | | | | | | | | | | | |
SOUTH KOREA — (10.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 411,472,340 | | | | 10.8 | % |
| | | | | | | | | | | | |
TAIWAN — (17.2%) | | | | | | | | | | | | |
King Yuan Electronics Co. Ltd. | | | 2,765,979 | | | | 6,553,158 | | | | 0.2 | % |
Makalot Industrial Co. Ltd. | | | 572,481 | | | | 6,407,462 | | | | 0.2 | % |
Taichung Commercial Bank Co. Ltd. | | | 13,545,371 | | | | 6,148,358 | | | | 0.2 | % |
Other Securities | | | | | | | 643,018,770 | | | | 16.8 | % |
| | | | | | | | | | | | |
TOTAL TAIWAN | | | | | | | 662,127,748 | | | | 17.4 | % |
| | | | | | | | | | | | |
THAILAND — (1.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 65,434,892 | | | | 1.7 | % |
| | | | | | | | | | | | |
TURKEY — (2.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 76,231,283 | | | | 2.0 | % |
| | | | | | | | | | | | |
UNITED ARAB EMIRATES — (1.6%) | | | | | | | | | | | | |
Abu Dhabi Islamic Bank PJSC | | | 4,054,847 | | | | 11,362,242 | | | | 0.3 | % |
Other Securities | | | | | | | 49,777,110 | | | | 1.3 | % |
| | | | | | | | | | | | |
TOTAL UNITED ARAB EMIRATES | | | | | | | 61,139,352 | | | | 1.6 | % |
| | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 3,785,469,533 | | | | 99.3 | % |
| | | | | | | | | | | | |
MUTUAL FUNDS — (0.0%) | | | | | | | | | | | | |
UNITED STATES — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 7,839 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL MUTUAL FUNDS | | | | | | | 7,839 | | | | 0.0 | % |
| | | | | | | | | | | | |
PREFERRED STOCKS — (0.7%) | | | | | | | | | | | | |
BRAZIL — (0.7%) | | | | | | | | | | | | |
Other Securities | | | | | | | 26,602,729 | | | | 0.7 | % |
| | | | | | | | | | | | |
CHILE — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 865,135 | | | | 0.0 | % |
| | | | | | | | | | | | |
COLOMBIA — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 38,359 | | | | 0.0 | % |
| | | | | | | | | | | | |
INDIA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 158,662 | | | | 0.0 | % |
| | | | | | | | | | | | |
PHILIPPINES — (0.0%) | | | | | | | | | | | | |
Other Security | | | | | | | 244,095 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL PREFERRED STOCKS | | | | | | | 27,908,980 | | | | 0.7 | % |
| | | | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
BRAZIL — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 13,045 | | | | 0.0 | % |
| | | | | | | | | | | | |
226
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
| | | | | | | | | | | | |
| | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SOUTH KOREA — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | $ | 83,999 | | | | 0.0 | % |
| | | | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 24,228 | | | | 0.0 | % |
| | | | | | | | | | | | |
THAILAND — (0.0%) | | | | | | | | | | | | |
Other Securities | | | | | | | 9,714 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 130,986 | | | | 0.0 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $3,457,278,740) | | | | | | | 3,813,517,338 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (1.2%) | | | | | | | | | | | | |
@§ The DFA Short Term Investment Fund | | | 4,017,185 | | | | 46,466,777 | | | | 1.2 | % |
| | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $3,503,745,702) | | | | | | $ | 3,859,984,115 | | | | 101.2 | % |
| | | | | | | | | | | | |
As of October 31, 2023, The Emerging Markets Small Cap Series had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
E-Mini MSCI Emerging Markets Index | | | 565 | | | | 12/15/23 | | | $ | 27,725,462 | | | $ | 25,967,400 | | | $ | (1,758,062 | ) |
S&P 500® E-Mini Index | | | 4 | | | | 12/15/23 | | | | 901,944 | | | | 842,450 | | | | (59,494 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 28,627,406 | | | $ | 26,809,850 | | | $ | (1,817,556 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Series’ investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Brazil | | $ | 171,278,992 | | | $ | 6,101,288 | | | | — | | | $ | 177,380,280 | |
Cayman Islands | | | 170,410 | | | | — | | | | — | | | | 170,410 | |
Chile | | | 534,124 | | | | 24,889,986 | | | | — | | | | 25,424,110 | |
China | | | 27,466,960 | | | | 767,496,662 | | | $ | 6,960,106 | | | | 801,923,728 | |
Colombia | | | 4,857,721 | | | | 473,433 | | | | — | | | | 5,331,154 | |
Greece | | | 271,842 | | | | 16,804,604 | | | | — | | | | 17,076,446 | |
Hong Kong | | | — | | | | 224,110 | | | | 37,707 | | | | 261,817 | |
Hungary | | | — | | | | 2,412,230 | | | | — | | | | 2,412,230 | |
India | | | 2,882,984 | | | | 830,456,383 | | | | — | | | | 833,339,367 | |
Indonesia | | | 207,506 | | | | 74,584,924 | | | | 444,825 | | | | 75,237,255 | |
Kuwait | | | 16,105,498 | | | | 1,065,203 | | | | — | | | | 17,170,701 | |
Malaysia | | | — | | | | 59,242,538 | | | | — | | | | 59,242,538 | |
Mexico | | | 108,181,957 | | | | 5,090,504 | | | | — | | | | 113,272,461 | |
Philippines | | | — | | | | 32,214,530 | | | | 427,052 | | | | 32,641,582 | |
Poland | | | — | | | | 51,636,441 | | | | — | | | | 51,636,441 | |
Qatar | | | — | | | | 29,934,707 | | | | — | | | | 29,934,707 | |
227
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Saudi Arabia | | $ | 362,043 | | | $ | 162,962,341 | | | | — | | | $ | 163,324,384 | |
South Africa | | | 8,234,247 | | | | 95,050,060 | | | | — | | | | 103,284,307 | |
South Korea | | | 471,417 | | | | 409,039,997 | | | $ | 1,960,926 | | | | 411,472,340 | |
Taiwan | | | — | | | | 661,989,841 | | | | 137,907 | | | | 662,127,748 | |
Thailand | | | 61,807,779 | | | | 3,620,500 | | | | 6,613 | | | | 65,434,892 | |
Turkey | | | — | | | | 76,231,283 | | | | — | | | | 76,231,283 | |
United Arab Emirates | | | — | | | | 61,139,352 | | | | — | | | | 61,139,352 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Brazil | | | 26,493,386 | | | | 109,343 | | | | — | | | | 26,602,729 | |
Chile | | | — | | | | 865,135 | | | | — | | | | 865,135 | |
Colombia | | | 38,359 | | | | — | | | | — | | | | 38,359 | |
India | | | — | | | | 158,662 | | | | — | | | | 158,662 | |
Philippines | | | — | | | | 244,095 | | | | — | | | | 244,095 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Brazil | | | — | | | | 13,045 | | | | — | | | | 13,045 | |
South Korea | | | — | | | | 83,999 | | | | — | | | | 83,999 | |
Taiwan | | | — | | | | 24,228 | | | | — | | | | 24,228 | |
Thailand | | | — | | | | 9,714 | | | | — | | | | 9,714 | |
Mutual Funds | | | 7,839 | | | | — | | | | — | | | | 7,839 | |
Securities Lending Collateral | | | — | | | | 46,466,777 | | | | — | | | | 46,466,777 | |
Futures Contracts** | | | (1,817,556 | ) | | | — | | | | — | | | | (1,817,556 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 427,555,508 | | | $ | 3,420,635,915 | | | $ | 9,975,136 | ^ | | $ | 3,858,166,559 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
228
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | The DFA
International
Value Series* | | | The Japanese
Small
Company
Series* | | | The Asia
Pacific Small
Company
Series* | | | The United
Kingdom Small
Company
Series* | |
ASSETS: | | | | | | | | | | | | | | | | |
Investment Securities at Value (including $401,265, $144,277, $87,690 and $10,904 of securities on loan, respectively) | | $ | 11,230,356 | | | $ | 2,793,511 | | | $ | 1,192,004 | | | $ | 1,238,434 | |
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $397,485, $29,020, $11,830 and $11,602, respectively) | | | 397,485 | | | | 29,019 | | | | 11,830 | | | | 11,602 | |
Segregated Cash for Futures Contracts | | | 5,488 | | | | — | | | | — | | | | — | |
Foreign Currencies at Value | | | 107,753 | | | | 367 | | | | 126 | | | | 1,126 | |
Cash | | | 4,870 | | | | 3,941 | | | | 2,581 | | | | 5,965 | |
Receivables: | | | | | | | | | | | | | | | | |
Investment Securities Sold | | | 31,561 | | | | 1,099 | | | | 5,954 | | | | 7,091 | |
Dividends, Interest and Tax Reclaims | | | 96,299 | | | | 24,650 | | | | 1,908 | | | | 4,885 | |
Securities Lending Income | | | 243 | | | | 202 | | | | 194 | | | | 13 | |
Futures Margin Variation | | | 649 | | | | — | | | | — | | | | — | |
Unrealized Gain on Foreign Currency Contracts | | | 10 | | | | — | | | | — | | | | — | |
Prepaid Expenses and Other Assets | | | — | | | | 1 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 11,874,714 | | | | 2,852,790 | | | | 1,214,597 | | | | 1,269,116 | |
| | | | | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Upon Return of Securities Loaned | | | 397,378 | | | | 29,068 | | | | 11,844 | | | | 11,604 | |
Investment Securities Purchased | | | 33,006 | | | | 2,142 | | | | 414 | | | | 5,420 | |
Due to Advisor | | | 1,995 | | | | 239 | | | | 103 | | | | 107 | |
Unrealized Loss on Foreign Currency Contracts | | | — | | | | 11 | | | | — | | | | — | |
Accrued Expenses and Other Liabilities | | | 562 | | | | 157 | | | | 95 | | | | 72 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | �� | 432,941 | | | | 31,617 | | | | 12,456 | | | | 17,203 | |
| | | | | | | | | | | | | | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 11,441,773 | | | $ | 2,821,173 | | | $ | 1,202,141 | | | $ | 1,251,913 | |
| | | | | | | | | | | | | | | | |
Investment Securities at Cost | | $ | 10,152,946 | | | $ | 2,743,167 | | | $ | 1,516,440 | | | $ | 1,353,649 | |
| | | | | | | | | | | | | | | | |
Foreign Currencies at Cost | | $ | 108,265 | | | $ | 371 | | | $ | 126 | | | $ | 1,135 | |
| | | | | | | | | | | | | | | | |
| * | See Note J in the Notes to Financial Statements for additional information about securities lending collateral. |
See accompanying Notes to Financial Statements.
229
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | The
Continental
Small
Company
Series* | | | The Canadian
Small
Company
Series* | | | The Emerging
Markets
Series* | | | The Emerging
Markets Small
Cap Series* | |
ASSETS: | | | | | | | | | | | | | | | | |
Investment Securities at Value (including $146,635, $85,567, $141,036 and $311,012 of securities on loan, respectively) | | $ | 4,596,320 | | | $ | 1,174,904 | | | $ | 4,365,818 | | | $ | 3,813,517 | |
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $151,093, $85,252, $41,499 and $46,467, respectively) | | | 151,094 | | | | 85,252 | | | | 41,499 | | | | 46,467 | |
Segregated Cash for Futures Contracts | | | — | | | | — | | | | 940 | | | | 797 | |
Foreign Currencies at Value | | | 649 | | | | 64 | | | | 35,727 | | | | 26,210 | |
Cash | | | 5,879 | | | | 1,520 | | | | 6,763 | | | | 8,546 | |
Receivables: | | | | | | | | | | | | | | | | |
Investment Securities Sold | | | 2,473 | | | | 243 | | | | 7,580 | | | | 3,448 | |
Dividends, Interest and Tax Reclaims | | | 36,818 | | | | 855 | | | | 5,871 | | | | 3,941 | |
Securities Lending Income | | | 312 | | | | 93 | | | | 354 | | | | 1,219 | |
Prepaid Expenses and Other Assets | | | 1 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 4,793,546 | | | | 1,262,931 | | | | 4,464,552 | | | | 3,904,145 | |
| | | | | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | |
Upon Return of Securities Loaned | | | 151,199 | | | | 85,324 | | | | 41,562 | | | | 46,451 | |
Investment Securities Purchased | | | 1 | | | | 53 | | | | 3,370 | | | | — | |
Due to Advisor | | | 395 | | | | 102 | | | | 380 | | | | 662 | |
Futures Margin Variation | | | — | | | | — | | | | 175 | | | | 162 | |
Unrealized Loss on Foreign Currency Contracts | | | — | | | | — | | | | 9 | | | | — | |
Deferred Taxes Payable | | | — | | | | — | | | | 39,486 | | | | 41,696 | |
Accrued Expenses and Other Liabilities | | | 238 | | | | 53 | | | | 575 | | | | 735 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 151,833 | | | | 85,532 | | | | 85,557 | | | | 89,706 | |
| | | | | | | | | | | | | | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 4,641,713 | | | $ | 1,177,399 | | | $ | 4,378,995 | | | $ | 3,814,439 | |
| | | | | | | | | | | | | | | | |
Investment Securities at Cost | | $ | 4,294,866 | | | $ | 1,116,659 | | | $ | 2,983,452 | | | $ | 3,457,279 | |
| | | | | | | | | | | | | | | | |
Foreign Currencies at Cost | | $ | 650 | | | $ | 64 | | | $ | 35,737 | | | $ | 26,171 | |
| | | | | | | | | | | | | | | | |
| * | See Note J in the Notes to Financial Statements for additional information about securities lending collateral. |
See accompanying Notes to Financial Statements.
230
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | The DFA
International
Value Series# | | | The Japanese
Small
Company
Series# | | | The Asia
Pacific Small
Company
Series# | | | The United
Kingdom Small
Company
Series# | |
Investment Income | | | | | | | | | | | | | | | | |
Dividends (Net of Foreign Taxes Withheld of $51,846, $8,462, $678 and $332, respectively) | | $ | 542,295 | | | $ | 76,217 | | | $ | 54,841 | | | $ | 53,262 | |
Income from Securities Lending, Net | | | 4,834 | | | | 2,094 | | | | 3,120 | | | | 304 | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 547,129 | | | | 78,311 | | | | 57,961 | | | | 53,566 | |
| | | | | | | | | | | | | | | | |
Expenses | | | | | | | | | | | | | | | | |
Investment Management Fees | | | 24,037 | | | | 2,849 | | | | 1,290 | | | | 1,341 | |
Accounting & Transfer Agent Fees | | | 390 | | | | 93 | | | | 30 | | | | 43 | |
Custodian Fees | | | 550 | | | | 224 | | | | 130 | | | | 51 | |
Shareholders’ Reports | | | 37 | | | | 21 | | | | 19 | | | | 18 | |
Directors’/Trustees’ Fees & Expenses | | | 89 | | | | 22 | | | | 10 | | | | 10 | |
Professional Fees | | | 299 | | | | 46 | | | | 21 | | | | 22 | |
Other | | | 354 | | | | 89 | | | | 49 | | | | 37 | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 25,756 | | | | 3,344 | | | | 1,549 | | | | 1,522 | |
| | | | | | | | | | | | | | | | |
Fees Paid Indirectly (Note C) | | | 156 | | | | 27 | | | | 22 | | | | 1 | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 25,600 | | | | 3,317 | | | | 1,527 | | | | 1,521 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 521,529 | | | | 74,994 | | | | 56,434 | | | | 52,045 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investment Securities Sold** | | | (82,311 | ) | | | (18,627 | ) | | | (71,672 | ) | | | (66,245 | ) |
Affiliated Investment Companies Shares Sold | | | 40 | | | | 5 | | | | 2 | | | | 5 | |
Futures | | | 13,590 | | | | — | | | | — | | | | (38 | ) |
Foreign Currency Transactions | | | (3,403 | ) | | | (1,676 | ) | | | (160 | ) | | | 624 | |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 1,357,100 | | | | 411,469 | | | | 24,799 | | | | 124,537 | |
Affiliated Investment Companies Shares | | | 193 | | | | 18 | | | | 7 | | | | 7 | |
Futures | | | (9,976 | ) | | | — | | | | — | | | | — | |
Translation of Foreign Currency-Denominated Amounts | | | 3,266 | | | | 363 | | | | (26 | ) | | | (27 | ) |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | 1,278,499 | | | | 391,552 | | | | (47,050 | ) | | | 58,863 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 1,800,028 | | | $ | 466,546 | | | $ | 9,384 | | | $ | 110,908 | |
| | | | | | | | | | | | | | | | |
| ** | Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. |
| # | Portion of income is from investment in affiliated fund. |
See accompanying Notes to Financial Statements.
231
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | 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 $21,279, $5,302, $20,183 and $14,256, respectively) | | $ | 158,253 | | | $ | 31,562 | | | $ | 153,689 | | | $ | 113,933 | |
Income from Securities Lending, Net | | | 5,038 | | | | 1,433 | | | | 3,938 | | | | 12,660 | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 163,291 | | | | 32,995 | | | | 157,627 | | | | 126,593 | |
| | | | | | | | | | | | | | | | |
Expenses | | | | | | | | | | | | | | | | |
Investment Management Fees | | | 5,020 | | | | 1,280 | | | | 4,560 | | | | 7,946 | |
Accounting & Transfer Agent Fees | | | 150 | | | | 42 | | | | 124 | | | | 110 | |
Custodian Fees | | | 351 | | | | 39 | | | | 1,615 | | | | 2,004 | |
Shareholders’ Reports | | | 25 | | | | 19 | | | | 24 | | | | 23 | |
Directors’/Trustees’ Fees & Expenses | | | 37 | | | | 10 | | | | 34 | | | | 29 | |
Professional Fees | | | 160 | | | | 22 | | | | 135 | | | | 132 | |
Other | | | 156 | | | | 35 | | | | 132 | | | | 118 | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 5,899 | | | | 1,447 | | | | 6,624 | | | | 10,362 | |
| | | | | | | | | | | | | | | | |
Fees Paid Indirectly (Note C) | | | 3 | | | | 11 | | | | 340 | | | | 254 | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 5,896 | | | | 1,436 | | | | 6,284 | | | | 10,108 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 157,395 | | | | 31,559 | | | | 151,343 | | | | 116,485 | |
| | | | | | | | | | | | | | | | |
Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investment Securities Sold** | | | (20,150 | ) | | | 39,665 | | | | (74,176 | ) | | | (52,118 | ) |
Affiliated Investment Companies Shares Sold | | | 32 | | | | 12 | | | | (7 | ) | | | 13 | |
Futures | | | — | | | | 100 | | | | 1,925 | | | | 2,911 | |
Foreign Currency Transactions | | | (947 | ) | | | (104 | ) | | | (1,157 | ) | | | (623 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 387,371 | | | | (25,591 | ) | | | 447,867 | | | | 476,799 | |
Affiliated Investment Companies Shares | | | 103 | | | | 84 | | | | 35 | | | | 25 | |
Futures | | | — | | | | — | | | | 140 | | | | 1,364 | |
Translation of Foreign Currency-Denominated Amounts | | | 2,185 | | | | (11 | ) | | | (15 | ) | | | 8 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | 368,594 | | | | 14,155 | | | | 374,612 | | | | 428,379 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 525,989 | | | $ | 45,714 | | | $ | 525,955 | | | $ | 544,864 | |
| | | | | | | | | | | | | | | | |
| ** | Net of foreign capital gain taxes withheld of $0, $0, $5,865 and $7,734, respectively. |
| # | Portion of income is from investment in affiliated fund. |
See accompanying Notes to Financial Statements.
232
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | The DFA International
Value Series | | | The Japanese Small
Company Series | | | The Asia Pacific Small
Company Series | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 521,529 | | | $ | 508,688 | | | $ | 74,994 | | | $ | 74,322 | | | $ | 56,434 | | | $ | 65,743 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold*,** | | | (82,311 | ) | | | 6,848 | | | | (18,627 | ) | | | 5,574 | | | | (71,672 | ) | | | 33,519 | |
Affiliated Investment Companies Shares Sold | | | 40 | | | | 36 | | | | 5 | | | | (8 | ) | | | 2 | | | | (10 | ) |
Futures | | | 13,590 | | | | (16,735 | ) | | | — | | | | — | | | | — | | | | 349 | |
Foreign Currency Transactions | | | (3,403 | ) | | | (13,407 | ) | | | (1,676 | ) | | | (5,554 | ) | | | (160 | ) | | | (731 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 1,357,100 | | | | (2,198,406 | ) | | | 411,469 | | | | (862,888 | ) | | | 24,799 | | | | (565,107 | ) |
Affiliated Investment Companies Shares | | | 193 | | | | (280 | ) | | | 18 | | | | (32 | ) | | | 7 | | | | (12 | ) |
Futures | | | (9,976 | ) | | | 2,503 | | | | — | | | | — | | | | — | | | | — | |
Translation of Foreign Currency-Denominated Amounts | | | 3,266 | | | | (4,633 | ) | | | 363 | | | | (284 | ) | | | (26 | ) | | | (8 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,800,028 | | | | (1,715,386 | ) | | | 466,546 | | | | (788,870 | ) | | | 9,384 | | | | (466,257 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Transactions in Interest: | | | | | | | | | | | | | | | | | | | | | | | | |
Contributions | | | 250,078 | | | | 1,269,316 | | | | 89,497 | | | | 112,114 | | | | 142,192 | | | | 49,404 | |
Withdrawals | | | (1,135,466 | ) | | | (1,324,290 | ) | | | (255,213 | ) | | | (219,045 | ) | | | (143,456 | ) | | | (212,093 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Transactions in Interest | | | (885,388 | ) | | | (54,974 | ) | | | (165,716 | ) | | | (106,931 | ) | | | (1,264 | ) | | | (162,689 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 914,640 | | | | (1,770,360 | ) | | | 300,830 | | | | (895,801 | ) | | | 8,120 | | | | (628,946 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 10,527,133 | | | | 12,297,493 | | | | 2,520,343 | | | | 3,416,144 | | | | 1,194,021 | | | | 1,822,967 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 11,441,773 | | | $ | 10,527,133 | | | $ | 2,821,173 | | | $ | 2,520,343 | | | $ | 1,202,141 | | | $ | 1,194,021 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $0, $0 and $0, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $0, $0 and $0, respectively. |
See accompanying Notes to Financial Statements.
233
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | The United Kingdom Small
Company Series | | | The Continental Small
Company Series | | | The Canadian Small
Company Series | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 52,045 | | | $ | 62,067 | | | $ | 157,395 | | | $ | 153,871 | | | $ | 31,559 | | | $ | 39,942 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities Sold*,** | | | (66,245 | ) | | | (4,763 | ) | | | (20,150 | ) | | | 53,125 | | | | 39,665 | | | | 84,639 | |
Affiliated Investment Companies Shares Sold | | | 5 | | | | (3 | ) | | | 32 | | | | (59 | ) | | | 12 | | | | (66 | ) |
Futures | | | (38 | ) | | | — | | | | — | | | | — | | | | 100 | | | | 27 | |
Foreign Currency Transactions | | | 624 | | | | (1,687 | ) | | | (947 | ) | | | (2,690 | ) | | | (104 | ) | | | (101 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 124,537 | | | | (665,322 | ) | | | 387,371 | | | | (2,054,707 | ) | | | (25,591 | ) | | | (295,189 | ) |
Affiliated Investment Companies Shares | | | 7 | | | | (11 | ) | | | 103 | | | | (130 | ) | | | 84 | | | | (101 | ) |
Translation of Foreign Currency-Denominated Amounts | | | (27 | ) | | | (66 | ) | | | 2,185 | | | | (3,148 | ) | | | (11 | ) | | | (9 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 110,908 | | | | (609,785 | ) | | | 525,989 | | | | (1,853,738 | ) | | | 45,714 | | | | (170,858 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Transactions in Interest: | | | | | | | | | | | | | | | | | | | | | | | | |
Contributions | | | 49,887 | | | | 38,338 | | | | 78,110 | | | | 179,167 | | | | 11,312 | | | | 51,681 | |
Withdrawals | | | (76,729 | ) | | | (157,982 | ) | | | (308,949 | ) | | | (517,971 | ) | | | (94,687 | ) | | | (117,171 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Transactions in Interest | | | (26,842 | ) | | | (119,644 | ) | | | (230,839 | ) | | | (338,804 | ) | | | (83,375 | ) | | | (65,490 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 84,066 | | | | (729,429 | ) | | | 295,150 | | | | (2,192,542 | ) | | | (37,661 | ) | | | (236,348 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of Year | | | 1,167,847 | | | | 1,897,276 | | | | 4,346,563 | | | | 6,539,105 | | | | 1,215,060 | | | | 1,451,408 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
End of Year | | $ | 1,251,913 | | | $ | 1,167,847 | | | $ | 4,641,713 | | | $ | 4,346,563 | | | $ | 1,177,399 | | | $ | 1,215,060 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $0, $0 and $0, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $0, $0 and $0, respectively. |
See accompanying Notes to Financial Statements.
234
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | The Emerging Markets
Series | | | The Emerging Markets
Small Cap Series | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | |
Increase (Decrease) in Net Assets | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 151,343 | | | $ | 169,766 | | | $ | 116,485 | | | $ | 130,163 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investment Securities Sold*,** | | | (74,176 | ) | | | 37,299 | | | | (52,118 | ) | | | 106,869 | |
Affiliated Investment Companies Shares Sold | | | (7 | ) | | | (29 | ) | | | 13 | | | | (18 | ) |
Futures | | | 1,925 | | | | (15,196 | ) | | | 2,911 | | | | (6,942 | ) |
Foreign Currency Transactions | | | (1,157 | ) | | | (2,541 | ) | | | (623 | ) | | | (2,550 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | | | | | | | | | |
Investment Securities and Foreign Currency | | | 447,867 | | | | (1,639,645 | ) | | | 476,799 | | | | (1,297,378 | ) |
Affiliated Investment Companies Shares | | | 35 | | | | (47 | ) | | | 25 | | | | (41 | ) |
Futures | | | 140 | | | | (1,197 | ) | | | 1,364 | | | | (3,235 | ) |
Translation of Foreign Currency-Denominated Amounts | | | (15 | ) | | | 8 | | | | 8 | | | | 80 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 525,955 | | | | (1,451,582 | ) | | | 544,864 | | | | (1,073,052 | ) |
| | | | | | | | | | | | | | | | |
Transactions in Interest: | | | | | | | | | | | | | | | | |
Contributions | | | 213,807 | | | | 434,631 | | | | 188,166 | | | | 283,303 | |
Withdrawals | | | (353,195 | ) | | | (1,299,951 | ) | | | (439,510 | ) | | | (818,051 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) from Transactions in Interest | | | (139,388 | ) | | | (865,320 | ) | | | (251,344 | ) | | | (534,748 | ) |
| | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 386,567 | | | | (2,316,902 | ) | | | 293,520 | | | | (1,607,800 | ) |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of Year | | | 3,992,428 | | | | 6,309,330 | | | | 3,520,919 | | | | 5,128,719 | |
| | | | | | | | | | | | | | | | |
End of Year | | $ | 4,378,995 | | | $ | 3,992,428 | | | $ | 3,814,439 | | | $ | 3,520,919 | |
| | | | | | | | | | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $5,865 and $7,734, respectively. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $4,922 and $9,059, respectively. |
See accompanying Notes to Financial Statements.
235
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | The DFA International Value Series | | | The Japanese Small Company Series | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Total Return | | | 17.00 | % | | | (13.82 | %) | | | 51.09 | % | | | (18.68 | %) | | | 3.60 | % | | | 18.71 | % | | | (23.60 | %) | | | 13.08 | % | | | (1.93 | %) | | | 4.47 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 11,441,773 | | | $ | 10,527,133 | | | $ | 12,297,493 | | | $ | 9,481,550 | | | $ | 12,420,850 | | | $ | 2,821,173 | | | $ | 2,520,343 | | | $ | 3,416,144 | | | $ | 2,943,153 | | | $ | 3,748,177 | |
Ratio of Expenses to Average Net Assets | | | 0.21 | % | | | 0.21 | % | | | 0.22 | % | | | 0.21 | % | | | 0.21 | % | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % | | | 0.13 | % | | | 0.12 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | | | 0.21 | % | | | 0.21 | % | | | 0.22 | % | | | 0.22 | % | | | 0.22 | % | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % | | | 0.13 | % | | | 0.12 | % |
Ratio of Net Investment Income to Average Net Assets | | | 4.34 | % | | | 4.36 | % | | | 3.50 | % | | | 2.77 | % | | | 3.92 | % | | | 2.63 | % | | | 2.56 | % | | | 2.11 | % | | | 2.13 | % | | | 2.32 | % |
Portfolio Turnover Rate | | | 13 | % | | | 15 | % | | | 9 | % | | | 12 | % | | | 16 | % | | | 9 | % | | | 11 | % | | | 11 | % | | | 5 | % | | | 12 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
236
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | The Asia Pacific Small Company Series | | | The United Kingdom Small Company Series | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Total Return | | | 0.60 | % | | | (26.65 | %) | | | 38.31 | % | | | 0.14 | % | | | 5.27 | % | | | 9.20 | % | | | (33.34 | %) | | | 51.93 | % | | | (14.87 | %) | | | 10.67 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 1,202,141 | | | $ | 1,194,021 | | | $ | 1,822,967 | | | $ | 1,527,014 | | | $ | 1,641,843 | | | $ | 1,251,913 | | | $ | 1,167,847 | | | $ | 1,897,276 | | | $ | 1,475,782 | | | $ | 2,277,451 | |
Ratio of Expenses to Average Net Assets | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % | | | 0.13 | % | | | 0.13 | % | | | 0.11 | % | | | 0.11 | % | | | 0.12 | % | | | 0.12 | % | | | 0.11 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % | | | 0.13 | % | | | 0.13 | % | | | 0.11 | % | | | 0.11 | % | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % |
Ratio of Net Investment Income to Average Net Assets | | | 4.37 | % | | | 4.23 | % | | | 3.42 | % | | | 4.21 | % | | | 4.11 | % | | | 3.88 | % | | | 4.07 | % | | | 2.27 | % | | | 2.38 | % | | | 3.43 | % |
Portfolio Turnover Rate | | | 17 | % | | | 19 | % | | | 19 | % | | | 18 | % | | | 18 | % | | | 9 | % | | | 14 | % | | | 12 | % | | | 9 | % | | | 18 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
237
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | The Continental Small Company Series | | | The Canadian Small Company Series | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Total Return | | | 11.76 | % | | | (29.07 | %) | | | 51.24 | % | | | (2.23 | %) | | | 8.43 | % | | | 3.53 | % | | | (12.52 | %) | | | 59.72 | % | | | 6.02 | % | | | 1.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 4,641,713 | | | $ | 4,346,563 | | | $ | 6,539,105 | | | $ | 4,601,945 | | | $ | 5,607,495 | | | $ | 1,177,399 | | | $ | 1,215,060 | | | $ | 1,451,408 | | | $ | 970,883 | | | $ | 1,148,615 | |
Ratio of Expenses to Average Net Assets | | | 0.12 | % | | | 0.13 | % | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % | | | 0.11 | % | | | 0.11 | % | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | | | 0.12 | % | | | 0.13 | % | | | 0.12 | % | | | 0.12 | % | | | 0.13 | % | | | 0.11 | % | | | 0.11 | % | | | 0.12 | % | | | 0.12 | % | | | 0.12 | % |
Ratio of Net Investment Income to Average Net Assets | | | 3.14 | % | | | 2.85 | % | | | 2.11 | % | | | 2.15 | % | | | 2.74 | % | | | 2.47 | % | | | 3.00 | % | | | 1.90 | % | | | 2.08 | % | | | 2.37 | % |
Portfolio Turnover Rate | | | 11 | % | | | 11 | % | | | 17 | % | | | 8 | % | | | 17 | % | | | 17 | % | | | 15 | % | | | 27 | % | | | 18 | % | | | 12 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
238
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | The Emerging Markets Series | | | The Emerging Markets Small Cap Series | |
| | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | | | Year
Ended
Oct 31,
2023 | | | Year
Ended
Oct 31,
2022 | | | Year
Ended
Oct 31,
2021 | | | Year
Ended
Oct 31,
2020 | | | Year
Ended
Oct 31,
2019 | |
Total Return | | | 13.27 | % | | | (25.79 | %) | | | 22.22 | % | | | 2.67 | % | | | 11.40 | % | | | 15.47 | % | | | (22.31 | %) | | | 36.03 | % | | | 1.25 | % | | | 13.47 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 4,378,995 | | | $ | 3,992,428 | | | $ | 6,309,330 | | | $ | 5,724,325 | | | $ | 6,034,162 | | | $ | 3,814,439 | | | $ | 3,520,919 | | | $ | 5,128,719 | | | $ | 4,906,954 | | | $ | 6,430,367 | |
Ratio of Expenses to Average Net Assets | | | 0.14 | % | | | 0.15 | % | | | 0.15 | % | | | 0.13 | % | | | 0.14 | % | | | 0.25 | % | | | 0.26 | % | | | 0.27 | % | | | 0.25 | % | | | 0.24 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | | | 0.15 | % | | | 0.16 | % | | | 0.15 | % | | | 0.14 | % | | | 0.15 | % | | | 0.26 | % | | | 0.26 | % | | | 0.27 | % | | | 0.26 | % | | | 0.25 | % |
Ratio of Net Investment Income to Average Net Assets | | | 3.32 | % | | | 3.26 | % | | | 2.42 | % | | | 2.38 | % | | | 3.04 | % | | | 2.93 | % | | | 2.91 | % | | | 2.47 | % | | | 2.64 | % | | | 2.90 | % |
Portfolio Turnover Rate | | | 14 | % | | | 10 | % | | | 19 | % | | | 22 | % | | | 9 | % | | | 19 | % | | | 12 | % | | | 16 | % | | | 18 | % | | | 12 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
239
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940 (the “1940 Act”), The Trust consists of ten operational portfolios, eight of which, 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 and The Emerging Markets Small Cap Series are included in this section of the report (collectively, the “Series”). The remaining operational portfolios are presented in separate reports. The Series are investment companies, and accordingly, follow the accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”), Topic 946, “Financial Services-Investment Companies.”
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 fair value of investments, the reported amounts of assets and liabilities, the 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 use a fair value hierarchy, which prioritizes the inputs-to-valuation techniques used to measure fair value into three broad levels described below:
| | • | | Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, and futures contracts) |
| | • | | 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. International equity securities are subject to a fair value factor, as described later in this note. 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 value the securities at the mean between the most recent quoted bid and ask prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management 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 Rule 2a-5 under the 1940 Act pursuant to procedures approved by the Board of Trustees of the Trust. 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 Dimensional Fund Advisors LP) occur before the net asset value of the Series 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. These securities are generally categorized as Level 2 or Level 3 in the hierarchy.
240
The Series 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, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the Series are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Series price their shares at the close of the NYSE, the Series 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 Series’ foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, Dimensional Fund Advisors LP 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 Series uses data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When a Series uses fair value pricing, the values assigned to the Series’ foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy.
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.
Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 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 previously in this note. Valuation hierarchy tables have been included at the end of the Summary Schedules of Portfolio Holdings. The methodology or inputs used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
2. Foreign Currency Translation: Securities and other assets and liabilities of the Series, whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and ask prices for the U.S. dollar as quoted by generally recognized reliable sources. To facilitate the translation, the Series enter into foreign currency contracts. A foreign currency contract is a spot agreement between two parties to buy and sell currencies at current market exchange rates, for settlement generally within two business days. 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.
The Series do not isolate the effect of foreign currency rate fluctuations 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 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 of securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the Series and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect to participate in the Fee Deferral Plan for Independent Directors and Trustees (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: the U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Large Company 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, DFA Inflation-Protected Securities 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.
241
The Trustees may receive their distributions of proceeds by 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 (the “Notice”) to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice. The 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 Trustees of the Trust; 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 (unless the Trustee files an amended Notice selecting a different distribution date).
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 and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividend income received in the form of securities in-lieu of cash, if any, are recorded at the fair value of securities received. Distributions received on securities and that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series estimate the character of received distributions 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, using 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 Trustees, generally based on average net assets.
The Series 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. Additionally, 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 are subject to tax on short-term and long-term capital gains for investments in India. Such taxes are accrued on a daily basis and due upon sale of individual securities.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Series. For the year ended October 31, 2023, investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
| | | | |
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 | % |
242
Earned Income Credit:
Additionally, the Series have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Series’ custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of each Series’ net assets. During the year ended October 31, 2023, expenses reduced were as follows (amounts in thousands):
| | | | |
| | | Fees Paid
Indirectly | |
The DFA International Value Series | | $ | 156 | |
The Japanese Small Company Series | | | 27 | |
The Asia Pacific Small Company Series | | | 22 | |
The United Kingdom Small Company Series | | | 1 | |
The Continental Small Company Series | | | 3 | |
The Canadian Small Company Series | | | 11 | |
The Emerging Markets Series | | | 340 | |
The Emerging Markets Small Cap Series | | | 254 | |
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Trust; however, such Officers and Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Trust. For the year ended October 31, 2023, the total related amounts paid by the Trust to the CCO were $35 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statements of Operations.
D. Deferred Compensation:
As of October 31, 2023, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statements of Assets and Liabilities as follows (amounts in thousands):
| | | | |
The DFA International Value Series | | $ | 147 | |
The Japanese Small Company Series | | | 38 | |
The Asia Pacific Small Company Series | | | 18 | |
The United Kingdom Small Company Series | | | 24 | |
The Continental Small Company Series | | | 32 | |
The Canadian Small Company Series | | | 8 | |
The Emerging Markets Series | | | 60 | |
The Emerging Markets Small Cap Series | | | 53 | |
E. Purchases and Sales of Securities:
For the year ended October 31, 2023, the Series’ transactions related to investment securities, other than short-term securities, in-kind redemptions and U.S. Government securities (amounts in thousands), were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
The DFA International Value Series | | $ | 1,473,241 | | | $ | 1,778,732 | |
The Japanese Small Company Series | | | 257,634 | | | | 350,049 | |
The Asia Pacific Small Company Series | | | 289,283 | | | | 212,456 | |
The United Kingdom Small Company Series | | | 206,132 | | | | 121,054 | |
The Continental Small Company Series | | | 548,017 | | | | 600,534 | |
The Canadian Small Company Series | | | 211,353 | | | | 213,760 | |
243
| | | | | | | | |
| | | Purchases | | | Sales | |
The Emerging Markets Series | | $ | 657,873 | | | $ | 634,434 | |
The Emerging Markets Small Cap Series | | | 742,279 | | | | 868,591 | |
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2023, transactions related to Affiliated Investment Companies, excluding in-kind redemptions, are presented below.
The amounts presented below may differ from the respective amounts presented in the corresponding Summary Schedule of Portfolio Holdings, Statement of Assets and Liabilities or Statement of Operations due to rounding. The amounts are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balance at
October 31,
2022 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain/(Loss)
on Sales | | | Change in
Unrealized
Appreciation/
Depreciation | | | Balance at
October 31,
2023 | | | Shares as of
October 31,
2023 | | | Dividend
Income | | | Capital Gain
Distributions | |
The DFA International Value Series | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 482,853 | | | $ | 3,556,268 | | | $ | 3,641,869 | | | $ | 40 | | | $ | 193 | | | $ | 397,485 | | | | 34,364 | | | $ | 18,562 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 482,853 | | | $ | 3,556,268 | | | $ | 3,641,869 | | | $ | 40 | | | $ | 193 | | | $ | 397,485 | | | | 34,364 | | | $ | 18,562 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The Japanese Small Company Series | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 55,545 | | | $ | 409,986 | | | $ | 436,535 | | | $ | 5 | | | $ | 18 | | | $ | 29,019 | | | | 2,509 | | | $ | 2,286 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 55,545 | | | $ | 409,986 | | | $ | 436,535 | | | $ | 5 | | | $ | 18 | | | $ | 29,019 | | | | 2,509 | | | $ | 2,286 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The Asia Pacific Small Company Series | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 17,305 | | | $ | 50,834 | | | $ | 56,318 | | | $ | 2 | | | $ | 7 | | | $ | 11,830 | | | | 1,023 | | | $ | 660 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 17,305 | | | $ | 50,834 | | | $ | 56,318 | | | $ | 2 | | | $ | 7 | | | $ | 11,830 | | | | 1,023 | | | $ | 660 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The United Kingdom Small Company Series | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 29,468 | | | $ | 65,577 | | | $ | 83,455 | | | $ | 5 | | | $ | 7 | | | $ | 11,602 | | | | 1,003 | | | $ | 550 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 29,468 | | | $ | 65,577 | | | $ | 83,455 | | | $ | 5 | | | $ | 7 | | | $ | 11,602 | | | | 1,003 | | | $ | 550 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The Continental Small Company Series | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 256,520 | | | $ | 965,555 | | | $ | 1,071,116 | | | $ | 32 | | | $ | 103 | | | $ | 151,094 | | | | 13,063 | | | $ | 12,324 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 256,520 | | | $ | 965,555 | | | $ | 1,071,116 | | | $ | 32 | | | $ | 103 | | | $ | 151,094 | | | | 13,063 | | | $ | 12,324 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The Canadian Small Company Series | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 199,722 | | | $ | 635,925 | | | $ | 750,491 | | | $ | 12 | | | $ | 84 | | | $ | 85,252 | | | | 7,370 | | | $ | 6,907 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 199,722 | | | $ | 635,925 | | | $ | 750,491 | | | $ | 12 | | | $ | 84 | | | $ | 85,252 | | | | 7,370 | | | $ | 6,907 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
244
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balance at
October 31,
2022 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain/(Loss)
on Sales | | | Change in
Unrealized
Appreciation/
Depreciation | | | Balance at
October 31,
2023 | | | Shares as of
October 31,
2023 | | | Dividend
Income | | | Capital Gain
Distributions | |
The Emerging Markets Series | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 106,739 | | | $ | 566,549 | | | $ | 631,817 | | | $ | (7 | ) | | $ | 35 | | | $ | 41,499 | | | | 3,588 | | | $ | 2,616 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 106,739 | | | $ | 566,549 | | | $ | 631,817 | | | $ | (7 | ) | | $ | 35 | | | $ | 41,499 | | | | 3,588 | | | $ | 2,616 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The Emerging Markets Small Cap Series | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 65,972 | | | $ | 364,053 | | | $ | 383,596 | | | $ | 13 | | | $ | 25 | | | $ | 46,467 | | | | 4,017 | | | $ | 2,465 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 65,972 | | | $ | 364,053 | | | $ | 383,596 | | | $ | 13 | | | $ | 25 | | | $ | 46,467 | | | | 4,017 | | | $ | 2,465 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.
As of October 31, 2023, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Federal
Tax Cost | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | | | Net
Unrealized
Appreciation
(Depreciation) | |
The DFA International Value Series | | $ | 10,616,293 | | | $ | 2,031,198 | | | $ | (1,019,651 | ) | | $ | 1,011,547 | |
The Japanese Small Company Series | | | 2,854,583 | | | | 430,053 | | | | (462,105 | ) | | | (32,052 | ) |
The Asia Pacific Small Company Series | | | 1,560,606 | | | | 159,336 | | | | (516,108 | ) | | | (356,772 | ) |
The United Kingdom Small Company Series | | | 1,375,890 | | | | 232,484 | | | | (358,339 | ) | | | (125,855 | ) |
The Continental Small Company Series | | | 4,486,860 | | | | 1,092,830 | | | | (832,276 | ) | | | 260,554 | |
The Canadian Small Company Series | | | 1,226,935 | | | | 233,676 | | | | (200,455 | ) | | | 33,221 | |
The Emerging Markets Series | | | 3,096,658 | | | | 1,692,791 | | | | (382,132 | ) | | | 1,310,659 | |
The Emerging Markets Small Cap Series | | | 3,613,773 | | | | 1,075,384 | | | | (829,173 | ) | | | 246,211 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) can occur as a result of wash sales and net mark-to-market gains (losses) on regulated futures contracts, net mark-to-market gains (losses) on foreign currency contracts, and differences in the tax treatment of passive foreign investment company investments or other investments.
ASC 740 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 Series’ tax positions and has concluded that no additional provision for income tax is required in any Series’ financial statements. The Series are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Series’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
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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. Foreign Market Risks: Investments in foreign markets may involve certain considerations 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 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 Series may be inhibited.
Series that have significant exposure to certain countries, such as The United Kingdom Small Company Series that concentrates investments in the United Kingdom, can be expected to be impacted by the political and economic conditions within such countries. For example, there is continuing uncertainty around the future of the euro and the European Union (EU) following the United Kingdom’s (UK) exit from the EU (referred to as “Brexit”). Brexit may cause greater market volatility and illiquidity, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and increased likelihood of a recession in the UK. While it is not possible to determine the precise impact these events may have on the Series, the ultimate impact on the UK, EU countries, other countries or parties that transact with the UK and EU, and the broader global economy could be significant and could adversely affect the value and liquidity of the Series’ investments.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by the Series.
2. Futures Contracts: The Series listed below may purchase or sell futures contracts and options on futures contracts for equity securities and indices to increase or decrease market exposure based on actual or expected cash inflows to or outflows from the Series. Upon entering into a futures contract, a Series deposits cash or pledges U.S. Government securities to a broker in an amount 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 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 entrance 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. A Portfolio entering into stock index futures is subject to equity price risk from those futures contracts.
Securities have been segregated as collateral for open futures contracts.
The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2023 was as follows (amounts in thousands):
| | | | |
| | | Futures* | |
The DFA International Value Series | | $ | 105,692 | |
The Canadian Small Company Series | | | 544 | |
The Emerging Markets Series | | | 32,710 | |
The Emerging Markets Small Cap Series | | | 29,598 | |
| * | Average Notional Value of futures contracts. |
246
The following is a summary of the Series’ derivative instrument holdings categorized by primary risk exposure as of October 31, 2023 (amounts in thousands):
| | | | | | | | |
| | | Liability Derivatives Value | |
| | | Total Value
at
October 31, 2023 | | | Equity
Contracts *,(1) | |
The DFA International Value Series | | $ | (4,457 | ) | | $ | (4,457 | ) |
The Emerging Markets Series | | | (2,009 | ) | | | (2,009 | ) |
The Emerging Markets Small Cap Series | | | (1,818 | ) | | | (1,818 | ) |
| (1) | Presented on Statements of Assets and Liabilities as Payables: Futures Margin Variation. |
| * | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. |
The following is a summary of the realized and change in unrealized gains and losses from the Series’ derivative instrument holdings categorized by primary risk exposure for the year ended October 31, 2023 (amounts in thousands):
| | | | | | | | |
| | | Realized Gain (Loss) on
Derivatives | |
| | | Total | | | Equity
Contracts (1) | |
The DFA International Value Series | | $ | 13,590 | | | $ | 13,590 | |
The United Kingdom Small Company Series | | | (38 | ) | | | (38 | ) |
The Canadian Small Company Series | | | 100 | | | | 100 | |
The Emerging Markets Series | | | 1,925 | | | | 1,925 | |
The Emerging Markets Small Cap Series | | | 2,911 | | | | 2,911 | |
| |
| | | Change in Unrealized Appreciation
(Depreciation) on Derivatives | |
| | | Total | | | Equity
Contracts (2) | |
The DFA International Value Series | | $ | (9,976 | ) | | $ | (9,976 | ) |
The Emerging Markets Series | | | 140 | | | | 140 | |
The Emerging Markets Small Cap Series | | | 1,364 | | | | 1,364 | |
| (1) | Presented on Statements of Operations as Net Realized Gain (Loss) on: Futures. |
| (2) | Presented on Statements of Operations as Change in Unrealized Appreciation (Depreciation) of: Futures. |
H. Line of Credit and Interfund Lending Program:
The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective April 5, 2023, with its domestic custodian bank. A line of credit with similar terms was in effect through April 5, 2023. 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 $500 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 agreement for the line of credit expires on April 3, 2024.
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The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $700 million unsecured line of credit with its international custodian bank effective December 28, 2022. A line of credit with similar terms was in effect through December 28, 2022. Each portfolio is permitted to borrow, subject to its investment limitations, up to the lower of one-quarter of such portfolio’s net assets or $500 million, as long as total borrowings under the line of credit do not exceed $700 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 upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on December 27, 2023.
For the year ended October 31, 2023, borrowings by the following Series under the lines 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 | | | Outstanding
Borrowings
as of 10/31/2023 | |
The DFA International Value Series | | | 5.78 | % | | $ | 3,406 | | | | 20 | | | $ | 11 | | | $ | 21,628 | | | | — | |
The Japanese Small Company Series | | | 5.65 | % | | | 2,224 | | | | 20 | | | | 7 | | | | 17,047 | | | | — | |
The Asia Pacific Small Company Series | | | 5.69 | % | | | 1,891 | | | | 37 | | | | 12 | | | | 13,300 | | | | — | |
The United Kingdom Small Company Series | | | 4.91 | % | | | 53 | | | | 6 | | | | — | | | | 101 | | | | — | |
The Continental Small Company Series | | | 5.30 | % | | | 358 | | | | 32 | | | | 2 | | | | 3,496 | | | | — | |
The Canadian Small Company Series | | | 5.05 | % | | | 71 | | | | 8 | | | | — | | | | 127 | | | | — | |
The Emerging Markets Series | | | 4.58 | % | | | 135 | | | | 3 | | | | — | | | | 213 | | | | — | |
The Emerging Markets Small Cap Series | | | 5.08 | % | | | 6,998 | | | | 3 | | | | 3 | | | | 18,908 | | | | — | |
| * | Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2023, that the Series’ available line of credit was used. |
Pursuant to an exemptive order issued by the SEC (the “Order”), the Series may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice.
The Series did not use the interfund lending program during the year ended October 31, 2023.
I. Affiliated Trades:
Cross trades for the year ended October 31, 2023, if any, were executed by the Series pursuant to procedures adopted by the Board of Trustees of the Trust to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of a common investment advisor (or affiliated investment advisors), common Trustees and/or common Officers. At its regularly scheduled meetings, the CCO certifies to the Board that the 17a-7 transactions entered into by the Series complied with the Rule 17a-7 Procedures adopted by the Board of Trustees of the Trust.
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For the year ended October 31, 2023, cross trades by the Series under Rule 17a-7 were as follows (amounts in thousands):
| | | | | | | | | | | | |
Series | | Purchases | | | Sales | | | Realized Gain (Loss) | |
The DFA International Value Series | | $ | 219,294 | | | $ | 101,439 | | | $ | (227 | ) |
The Japanese Small Company Series | | | 38,826 | | | | 40,169 | | | | 4,216 | |
The Asia Pacific Small Company Series | | | 32,803 | | | | 22,243 | | | | (11,010 | ) |
The United Kingdom Small Company Series | | | 28,477 | | | | 16,306 | | | | (19,690 | ) |
The Continental Small Company Series | | | 26,493 | | | | 35,701 | | | | (6,460 | ) |
The Canadian Small Company Series | | | 34,457 | | | | 23,182 | | | | 6,623 | |
The Emerging Markets Series | | | 5,789 | | | | 2,816 | | | | (1,384 | ) |
The Emerging Markets Small Cap Series | | | 3,353 | | | | 4,249 | | | | (1,718 | ) |
J. Securities Lending:
As of October 31, 2023, the Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. The Series also received non-cash collateral consisting of short- and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amounts in thousands):
| | | | |
| | | Non-Cash
Collateral
Market
Value | |
The DFA International Value Series | | $ | 19,352 | |
The Japanese Small Company Series | | | 130,156 | |
The Asia Pacific Small Company Series | | | 83,547 | |
The Continental Small Company Series | | | 6,467 | |
The Canadian Small Company Series | | | 6,333 | |
The Emerging Markets Series | | | 111,563 | |
The Emerging Markets Small Cap Series | | | 289,839 | |
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 in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 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, cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities, and 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. In the event of the bankruptcy of the borrower, the Series could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value.
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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. Income received from the Money Market Series is netted with fees for securities lending and collateral investment expenses and with other payments to and from borrowers of securities. The 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 or unaffiliated money market funds that are registered or unregistered. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. Additionally, 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 for taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2023 (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of October 31, 2023 | |
| | | Overnight and
Continuous | | | <30 days | | | Between
30 & 90 days | | | >90 days | | | Total | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
The DFA International Value Series Common Stocks | | $ | 397,378 | | | | — | | | | — | | | | — | | | $ | 397,378 | |
The Japanese Small Company Series Common Stocks | | | 29,068 | | | | — | | | | — | | | | — | | | | 29,068 | |
The Asia Pacific Small Company Series Common Stocks | | | 11,844 | | | | — | | | | — | | | | — | | | | 11,844 | |
The United Kingdom Small Company Series Common Stocks | | | 11,604 | | | | — | | | | — | | | | — | | | | 11,604 | |
The Continental Small Company Series Common Stocks, Rights/Warrants | | | 151,199 | | | | — | | | | — | | | | — | | | | 151,199 | |
The Canadian Small Company Series Common Stocks, Rights/Warrants | | | 85,324 | | | | — | | | | — | | | | — | | | | 85,324 | |
The Emerging Markets Series Common Stocks | | | 41,562 | | | | — | | | | — | | | | — | | | | 41,562 | |
The Emerging Markets Small Cap Series Common Stocks | | | 46,451 | | | | — | | | | — | | | | — | | | | 46,451 | |
K. 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 that 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.
250
L. Recently Issued Accounting Standards and Regulations:
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs were effective for certain reference rate-related contract modifications that occurred during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and determined the adoption of these ASUs will not have a material impact on the Series’ financial statements.
In October 2022, the SEC adopted rule and form amendments requiring open-end management investment companies, including mutual funds and exchange-traded funds, to transmit concise and visually engaging semi-annual and annual reports that highlight key information, including fund expenses, performance, and holdings to shareholders. Other information, including financial statements, will no longer appear in the Series’ shareholder reports but will be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Accordingly, the rule and form amendments will not impact the Series until the 2024 annual shareholder reports, and will have no effect on the Series’ accounting policies or financial statements.
M. Other:
The Series and the Trust are subject to claims and suits that arise from time to time in the ordinary course of business (for example, claw back litigation against former shareholders of portfolio companies that filed for bankruptcy, such as the now ended litigation involving The Tribune Company and the ongoing litigation involving Nine West). Although management currently believes that resolving claims against the Series and the Trust, individually or in aggregate, will not have a material adverse impact on the Series’ and the Trust’s financial position, results of operations, or 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 through the date on which the financial statements were issued 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 Board of Trustees of The DFA Investment Trust Company and Shareholders of 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 and The Emerging Markets Small Cap Series
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, of 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 and The Emerging Markets Small Cap Series (eight of the series constituting The DFA Investment Trust Company, hereafter collectively referred to as the “Series”) as of October 31, 2023, the related statements of operations for the year ended October 31, 2023, the statements of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Series as of October 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2023, and each of the financial highlights for each of the five years in the period ended October 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Series’ management. Our responsibility is to express an opinion on the Series’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Series in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023 by correspondence with the custodian, brokers and transfer agent of the investee fund; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2023
We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.
|
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330-3000, www.pwc.com/us |
252
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
Dimensional Emerging Markets Value Fund vs.
MSCI Emerging Markets Value Index (net dividends)
October 31, 2013-October 31, 2023
| | | | | | | | | | | | | | | | | | |
| | Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data © MSCI 2023, all rights reserved. |
| | | Average Annual
Total Return | | One
Year | | | Five
Years | | | Ten
Years | | | |
| | | | | 16.09% | | | | 3.93% | | | | 2.61% | | | |
253
MANAGEMENT’S DISCUSSION AND ANALYSIS
| | |
| International Equity Market Review | | 12 Months Ended October 31, 2023 |
Performance of non-U.S. developed markets was positive for the period outperforming the US and emerging markets. As measured by the MSCI World ex USA indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks underperformed large-cap stocks but outperformed small-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI World ex USA indices.
Total Return for 12 Months Ended October 31, 2023
| | | | |
| | | Return in U.S. Dollars | |
MSCI World ex USA Index | | | 12.56 | % |
MSCI World ex USA Mid Cap Index (a subset of the large-cap universe) | | | 9.62 | % |
MSCI World ex USA Small Cap Index | | | 5.66 | % |
MSCI World ex USA Value Index | | | 15.70 | % |
MSCI World ex USA Growth Index | | | 9.49 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.
Total Return for 12 Months Ended October 31, 2023
| | | | | | | | |
Ten Largest Foreign Developed Markets by Market Cap | | Local Return | | | Return in U.S. Dollars | |
Japan | | | 19.00 | % | | | 16.79 | % |
United Kingdom | | | 7.11 | % | | | 12.88 | % |
Canada | | | 0.51 | % | | | -1.24 | % |
France | | | 10.52 | % | | | 18.19 | % |
Switzerland | | | -2.37 | % | | | 7.36 | % |
Australia | | | 4.89 | % | | | 3.85 | % |
Germany | | | 10.73 | % | | | 18.42 | % |
Netherlands | | | 11.07 | % | | | 18.56 | % |
Sweden | | | 7.32 | % | | | 6.14 | % |
Denmark | | | 31.92 | % | | | 40.72 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
Emerging markets had positive performance for the period and outperformed U.S. markets while underperforming non-U.S. developed markets. As measured by the MSCI Emerging Markets indices, small-cap stocks outperformed large-cap stocks and mid-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI Emerging Markets indices.
254
Total Return for 12 Months Ended October 31, 2023
| | | | |
| | | Return in U.S. Dollars | |
MSCI Emerging Markets Index | | | 10.80 | % |
MSCI Emerging Markets Mid Cap Index (a subset of the large-cap universe) | | | 10.42 | % |
MSCI Emerging Markets Small Cap Index | | | 17.20 | % |
MSCI Emerging Markets Value Index | | | 13.43 | % |
MSCI Emerging Markets Growth Index | | | 8.33 | % |
For the 12 months ended October 31, 2023, the U.S. dollar appreciated against more than half of emerging markets currencies. Overall, currency movements had a positive impact on the U.S. dollar denominated returns of emerging markets.
Total Return for 12 Months Ended October 31, 2023
| | | | | | | | |
Ten Largest Emerging Markets by Market Cap | | Local Return | | | Return in U.S. Dollars | |
China | | | 20.83 | % | | | 21.12 | % |
India | | | 4.76 | % | | | 4.16 | % |
Taiwan | | | 27.06 | % | | | 26.22 | % |
Korea | | | 2.72 | % | | | 8.34 | % |
Brazil | | | -1.84 | % | | | 2.14 | % |
Saudi Arabia | | | -11.52 | % | | | -11.38 | % |
South Africa | | | 3.73 | % | | | 1.69 | % |
Mexico | | | 0.13 | % | | | 10.10 | % |
Indonesia | | | -5.51 | % | | | -7.22 | % |
Thailand | | | -9.60 | % | | | -4.28 | % |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2024, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2023, these differences generally contributed positively to non-US developed markets Portfolios’ relative performance and were not material to emerging markets Portfolios’ relative performance.
Dimensional Emerging Markets Value Fund
The Dimensional Emerging Markets Value Fund invests in value stocks of large and small companies in emerging markets. Additionally, the Fund generally excludes real estate investment trusts (REITs) and highly regulated utilities. The investment strategy is process driven, emphasizing broad diversification with increased exposure to stocks with smaller market capitalizations, lower relative price (value), and higher profitability within the value segment of emerging markets. As of October 31, 2023, the Fund held approximately 3,230 securities in 22 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Fund’s assets.
255
For the 12 months ended October 31, 2023, total returns were 16.09% for the Fund, 13.43% for the MSCI Emerging Markets Value Index (net dividends), and 10.80% for the MSCI Emerging Markets Index (net dividends). The Fund’s focus on value stocks contributed positively to performance relative to the benchmarks, as value stocks outperformed growth stocks in emerging markets. The Fund’s emphasis on stocks with smaller market capitalizations also contributed positively to relative performance, as these stocks outperformed. Additionally, the Fund’s emphasis on stocks with higher profitability contributed positively to performance relative to the benchmarks, as these stocks generally outperformed.
256
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(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 and 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” reflects 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.
257
DISCLOSURE OF FUND EXPENSES
CONTINUED
Six Months Ended October 31, 2023
EXPENSE TABLE
| | | | | | | | | | | | | | | | |
| | | Beginning
Account
Value
05/01/23 | | | Ending
Account
Value
10/31/23 | | | Annualized
Expense
Ratio (1) | | | Expenses
Paid
During
Period (1) | |
Dimensional Emerging Markets Value Fund | | | | | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Institutional Class Shares | | $ | 1,000.00 | | | $ | 986.50 | | | | 0.15 | % | | $ | 0.75 | |
| | | | |
Hypothetical 5% Annual Return | | | | | | | | | | | | | | | | |
Institutional Class Shares | | $ | 1,000.00 | | | $ | 1,024.45 | | | | 0.15 | % | | $ | 0.77 | |
| (1) | 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. |
258
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 as an exhibit to their reports on Form N-PORT. For the Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-PORT with the SEC on September 29, 2023. They are available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; by visiting the SEC’s website at http://www.sec.gov; or by visiting 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 regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
A 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; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.
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 used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this 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 | |
Communication Services | | | 2.4 | % |
Consumer Discretionary | | | 9.0 | % |
Consumer Staples | | | 2.6 | % |
Energy | | | 11.3 | % |
Financials | | | 31.0 | % |
Health Care | | | 2.3 | % |
Industrials | | | 9.7 | % |
Information Technology | | | 12.5 | % |
Materials | | | 14.0 | % |
Real Estate | | | 3.9 | % |
Utilities | | | 1.3 | % |
| | | | |
| | | 100.0 | % |
259
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2023
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
COMMON STOCKS — (97.9%) | | | | | | | | | | | | |
BRAZIL — (4.3%) | | | | | | | | | | | | |
| | Petroleo Brasileiro SA | | | 11,148,884 | | | $ | 83,676,059 | | | | 0.8 | % |
| | Petroleo Brasileiro SA, Sponsored ADR | | | 9,391,055 | | | | 129,878,291 | | | | 1.3 | % |
# | | Petroleo Brasileiro SA, Sponsored ADR | | | 3,971,518 | | | | 59,572,770 | | | | 0.6 | % |
| | Other Securities | | | | | | | 168,636,621 | | | | 1.7 | % |
| | | | | | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 441,763,741 | | | | 4.4 | % |
| | | | | | | | | | | | | | |
CAYMAN ISLANDS — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 41,872 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
CHILE — (0.5%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 53,499,957 | | | | 0.5 | % |
| | | | | | | | | | | | | | |
CHINA — (25.7%) | | | | | | | | | | | | |
| | Agricultural Bank of China Ltd., Class H | | | 93,468,000 | | | | 34,523,002 | | | | 0.4 | % |
* | | Alibaba Group Holding Ltd. | | | 12,917,900 | | | | 132,990,722 | | | | 1.3 | % |
* | | Baidu, Inc., Sponsored ADR | | | 624,224 | | | | 65,543,520 | | | | 0.7 | % |
| | Bank of China Ltd., Class H | | | 287,427,817 | | | | 100,408,607 | | | | 1.0 | % |
| | China Construction Bank Corp., Class H | | | 393,120,101 | | | | 222,332,181 | | | | 2.2 | % |
| | China Merchants Bank Co. Ltd., Class H | | | 15,854,500 | | | | 60,140,735 | | | | 0.6 | % |
| | China Petroleum & Chemical Corp., Class H | | | 95,493,575 | | | | 48,839,016 | | | | 0.5 | % |
# | | China Resources Land Ltd. | | | 15,272,000 | | | | 57,164,716 | | | | 0.6 | % |
| | China Shenhua Energy Co. Ltd., Class H | | | 14,249,500 | | | | 43,674,296 | | | | 0.5 | % |
| | Industrial & Commercial Bank of China Ltd., Class H | | | 225,953,996 | | | | 108,287,209 | | | | 1.1 | % |
| | PetroChina Co. Ltd., Class H | | | 105,708,000 | | | | 68,997,223 | | | | 0.7 | % |
| | Ping An Insurance Group Co. of China Ltd., Class H | | | 25,646,000 | | | | 130,088,697 | | | | 1.3 | % |
* | | Trip.com Group Ltd., ADR | | | 1,314,289 | | | | 44,685,826 | | | | 0.5 | % |
*W | | Xiaomi Corp., Class B | | | 23,429,000 | | | | 42,008,729 | | | | 0.4 | % |
| | Other Securities | | | | | | | 1,457,394,626 | | | | 14.0 | % |
| | | | | | | | | | | | | | |
TOTAL CHINA | | | | | | | 2,617,079,105 | | | | 25.8 | % |
| | | | | | | | | | | | | | |
COLOMBIA — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 8,137,039 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
CZECH REPUBLIC — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 11,383,173 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
GREECE — (0.5%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 45,968,273 | | | | 0.5 | % |
| | | | | | | | | | | | | | |
HONG KONG — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 142,532 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
HUNGARY — (0.2%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 22,255,196 | | | | 0.2 | % |
| | | | | | | | | | | | | | |
INDIA — (17.9%) | | | | | | | | | | | | |
| | Axis Bank Ltd. | | | 10,198,375 | | | | 120,167,264 | | | | 1.2 | % |
| | HDFC Bank Ltd. | | | 3,924,781 | | | | 69,572,642 | | | | 0.7 | % |
| | Hindalco Industries Ltd. | | | 7,802,509 | | | | 43,119,455 | | | | 0.4 | % |
| | ICICI Bank Ltd., Sponsored ADR | | | 3,095,733 | | | | 68,694,312 | | | | 0.7 | % |
| | JSW Steel Ltd. | | | 4,041,124 | | | | 35,719,760 | | | | 0.4 | % |
| | Larsen & Toubro Ltd. | | | 2,234,738 | | | | 78,479,974 | | | | 0.8 | % |
260
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
INDIA — (Continued) | | | | | | | | | | | | |
| | Mahindra & Mahindra Ltd. | | | 3,728,125 | | | $ | 65,578,299 | | | | 0.7 | % |
| | Reliance Industries Ltd. | | | 11,159,703 | | | | 307,014,572 | | | | 3.0 | % |
| | State Bank of India | | | 7,741,976 | | | | 52,644,536 | | | | 0.5 | % |
| | Tata Steel Ltd. | | | 30,487,674 | | | | 43,560,463 | | | | 0.4 | % |
| | Other Securities | | | | | | | 931,951,446 | | | | 9.1 | % |
| | | | | | | | | | | | | | |
TOTAL INDIA | | | | | | | 1,816,502,723 | | | | 17.9 | % |
| | | | | | | | | | | | | | |
INDONESIA — (1.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 173,755,669 | | | | 1.7 | % |
| | | | | | | | | | | | | | |
KUWAIT — (0.2%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 21,224,392 | | | | 0.2 | % |
| | | | | | | | | | | | | | |
MALAYSIA — (1.8%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 178,401,444 | | | | 1.8 | % |
| | | | | | | | | | | | | | |
MEXICO — (2.9%) | | | | | | | | | | | | |
| | Grupo Financiero Banorte SAB de CV, Class O | | | 6,941,553 | | | | 56,232,397 | | | | 0.6 | % |
| | Grupo Mexico SAB de CV, Class B | | | 9,956,499 | | | | 41,346,890 | | | | 0.4 | % |
| | Other Securities | | | | | | | 199,645,020 | | | | 1.9 | % |
| | | | | | | | | | | | | | |
TOTAL MEXICO | | | | | | | 297,224,307 | | | | 2.9 | % |
| | | | | | | | | | | | | | |
PHILIPPINES — (0.9%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 87,862,315 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
POLAND — (1.0%) | | | | | | | | | | | | |
| | ORLEN SA | | | 2,543,352 | | | | 40,220,351 | | | | 0.4 | % |
| | Other Securities | | | | | | | 58,387,513 | | | | 0.6 | % |
| | | | | | | | | | | | | | |
TOTAL POLAND | | | | | | | 98,607,864 | | | | 1.0 | % |
| | | | | | | | | | | | | | |
QATAR — (0.7%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 68,791,296 | | | | 0.7 | % |
| | | | | | | | | | | | | | |
SAUDI ARABIA — (3.7%) | | | | | | | | | | | | |
| | Saudi Basic Industries Corp. | | | 3,683,121 | | | | 75,685,362 | | | | 0.8 | % |
| | Saudi National Bank | | | 7,279,260 | | | | 65,135,874 | | | | 0.7 | % |
| | Other Securities | | | | | | | 238,713,656 | | | | 2.2 | % |
| | | | | | | | | | | | | | |
TOTAL SAUDI ARABIA | | | | | | | 379,534,892 | | | | 3.7 | % |
| | | | | | | | | | | | | | |
SOUTH AFRICA — (2.8%) | | | | | | | | | | | | |
| | Absa Group Ltd. | | | 3,603,572 | | | | 32,881,273 | | | | 0.3 | % |
| | Other Securities | | | | | | | 248,601,141 | | | | 2.5 | % |
| | | | | | | | | | | | | | |
TOTAL SOUTH AFRICA | | | | | | | 281,482,414 | | | | 2.8 | % |
| | | | | | | | | | | | | | |
SOUTH KOREA — (11.8%) | | | | | | | | | | | | |
| | Hyundai Motor Co. | | | 482,676 | | | | 60,809,506 | | | | 0.6 | % |
| | KB Financial Group, Inc., ADR | | | 1,859,247 | | | | 70,948,865 | | | | 0.7 | % |
| | Kia Corp. | | | 1,118,017 | | | | 63,873,904 | | | | 0.7 | % |
| | LG Electronics, Inc. | | | 538,144 | | | | 39,921,129 | | | | 0.4 | % |
| | POSCO Holdings, Inc., Sponsored ADR | | | 787,409 | | | | 60,244,662 | | | | 0.6 | % |
| | Samsung Electronics Co. Ltd. | | | 3,630,212 | | | | 180,693,359 | | | | 1.8 | % |
| | SK Hynix, Inc. | | | 499,444 | | | | 43,372,765 | | | | 0.4 | % |
261
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
SOUTH KOREA — (Continued) | | | | | | | | | | | | |
| | Other Securities | | | | | | $ | 682,144,373 | | | | 6.7 | % |
| | | | | | | | | | | | | | |
TOTAL SOUTH KOREA | | | | | | | 1,202,008,563 | | | | 11.9 | % |
| | | | | | | | | | | | | | |
TAIWAN — (16.6%) | | | | | | | | | | | | |
| | ASE Technology Holding Co. Ltd. | | | 14,047,000 | | | | 49,178,252 | | | | 0.5 | % |
| | Cathay Financial Holding Co. Ltd. | | | 23,968,201 | | | | 32,526,032 | | | | 0.3 | % |
| | China Steel Corp. | | | 50,221,320 | | | | 37,467,800 | | | | 0.4 | % |
| | CTBC Financial Holding Co. Ltd. | | | 76,433,073 | | | | 57,561,980 | | | | 0.6 | % |
| | Fubon Financial Holding Co. Ltd. | | | 29,813,365 | | | | 55,440,762 | | | | 0.6 | % |
| | Hon Hai Precision Industry Co. Ltd. | | | 44,889,192 | | | | 133,981,382 | | | | 1.3 | % |
# | | United Microelectronics Corp. | | | 42,425,681 | | | | 61,012,968 | | | | 0.6 | % |
| | Other Securities | | | | | | | 1,261,053,018 | | | | 12.4 | % |
| | | | | | | | | | | | | | |
TOTAL TAIWAN | | | | | | | 1,688,222,194 | | | | 16.7 | % |
| | | | | | | | | | | | | | |
THAILAND — (2.1%) | | | | | | | | | | | | |
| | PTT PCL | | | 46,991,800 | | | | 43,471,582 | | | | 0.4 | % |
| | Other Securities | | | | | | | 166,872,455 | | | | 1.7 | % |
| | | | | | | | | | | | | | |
TOTAL THAILAND | | | | | | | 210,344,037 | | | | 2.1 | % |
| | | | | | | | | | | | | | |
TURKEY — (1.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 105,867,189 | | | | 1.0 | % |
| | | | | | | | | | | | | | |
UNITED ARAB EMIRATES — (1.3%) | | | | | | | | | | | | |
| | Emaar Properties PJSC | | | 24,247,455 | | | | 44,173,615 | | | | 0.4 | % |
| | Other Securities | | | | | | | 92,472,273 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
TOTAL UNITED ARAB EMIRATES | | | | | | | 136,645,888 | | | | 1.3 | % |
| | | | | | | | | | | | | | |
UNITED KINGDOM — (0.1%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 12,532,457 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 9,959,278,532 | | | | 98.3 | % |
| | | | | | | | | | | | | | |
PREFERRED STOCKS — (0.9%) | | | | | | | | | | | | |
BRAZIL — (0.8%) | | | | | | | | | | | | |
| | Petroleo Brasileiro SA , 10.467% | | | 5,630,679 | | | | 38,797,994 | | | | 0.4 | % |
| | Other Securities | | | | | | | 44,621,788 | | | | 0.4 | % |
| | | | | | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 83,419,782 | | | | 0.8 | % |
| | | | | | | | | | | | | | |
COLOMBIA — (0.1%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 3,028,452 | | | | 0.1 | % |
| | | | | | | | | | | | | | |
INDIA — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 31,477 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
PHILIPPINES — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 489,494 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 894,664 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL PREFERRED STOCKS | | | | | | | 87,863,869 | | | | 0.9 | % |
| | | | | | | | | | | | | | |
262
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | | | | | |
| | | | | Shares | | | Value» | | | Percentage
of Net Assets‡ | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | | | | | |
BRAZIL — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | $ | 20,733 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
KUWAIT — (0.0%) | | | | | | | | | | | | |
| | Other Security | | | | | | | 6,324 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 60,751 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
THAILAND — (0.0%) | | | | | | | | | | | | |
| | Other Securities | | | | | | | 10,410 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 98,218 | | | | 0.0 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $9,279,218,045) | | | | | | | 10,047,240,619 | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | Value† | | | | |
SECURITIES LENDING COLLATERAL — (1.2%) | | | | | | | | | | | | |
@§ | | The DFA Short Term Investment Fund | | | 10,694,234 | | | | 123,700,201 | | | | 1.2 | % |
| | | | | | | | | | | | | | |
TOTAL INVESTMENTS—(100.0%)
(Cost $9,402,920,240) | | | | | | $ | 10,170,940,820 | | | | 100.4 | % |
| | | | | | | | | | | | | | |
As of October 31, 2023, Dimensional Emerging Markets Value Fund had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
E-Mini MSCI Emerging Markets Index | | | 650 | | | | 12/15/23 | | | $ | 31,896,217 | | | $ | 29,874,000 | | | $ | (2,022,217 | ) |
S&P 500® E-Mini Index | | | 204 | | | | 12/15/23 | | | | 44,484,376 | | | | 42,964,950 | | | | (1,519,426 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 76,380,593 | | | $ | 72,838,950 | | | $ | (3,541,643 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Fund’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Brazil | | $ | 440,372,660 | | | $ | 1,391,081 | | | | — | | | $ | 441,763,741 | |
Cayman Islands | | | — | | | | 41,872 | | | | — | | | | 41,872 | |
Chile | | | — | | | | 53,499,957 | | | | — | | | | 53,499,957 | |
China | | | 147,179,841 | | | | 2,459,541,479 | | | $ | 10,357,785 | | | | 2,617,079,105 | |
Colombia | | | 8,134,954 | | | | 2,085 | | | | — | | | | 8,137,039 | |
Czech Republic | | | — | | | | 11,383,173 | | | | — | | | | 11,383,173 | |
Greece | | | — | | | | 45,968,273 | | | | — | | | | 45,968,273 | |
Hong Kong | | | — | | | | 140,634 | | | | 1,898 | | | | 142,532 | |
Hungary | | | — | | | | 22,255,196 | | | | — | | | | 22,255,196 | |
India | | | 107,198,961 | | | | 1,708,224,505 | | | | 1,079,257 | | | | 1,816,502,723 | |
Indonesia | | | — | | | | 173,319,703 | | | | 435,966 | | | | 173,755,669 | |
Kuwait | | | 17,322,319 | | | | 3,902,073 | | | | — | | | | 21,224,392 | |
263
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Malaysia | | | — | | | $ | 178,401,444 | | | | — | | | $ | 178,401,444 | |
Mexico | | $ | 291,033,142 | | | | 6,191,165 | | | | — | | | | 297,224,307 | |
Philippines | | | — | | | | 87,185,615 | | | $ | 676,700 | | | | 87,862,315 | |
Poland | | | — | | | | 98,607,864 | | | | — | | | | 98,607,864 | |
Qatar | | | — | | | | 68,791,296 | | | | — | | | | 68,791,296 | |
Saudi Arabia | | | 615,684 | | | | 378,919,208 | | | | — | | | | 379,534,892 | |
South Africa | | | 16,997,651 | | | | 264,484,763 | | | | — | | | | 281,482,414 | |
South Korea | | | 168,705,665 | | | | 1,031,877,679 | | | | 1,425,219 | | | | 1,202,008,563 | |
Taiwan | | | 15,135,014 | | | | 1,672,942,363 | | | | 144,817 | | | | 1,688,222,194 | |
Thailand | | | 198,740,181 | | | | 11,603,856 | | | | — | | | | 210,344,037 | |
Turkey | | | — | | | | 105,867,189 | | | | — | | | | 105,867,189 | |
United Arab Emirates | | | — | | | | 136,645,888 | | | | — | | | | 136,645,888 | |
United Kingdom | | | 12,532,457 | | | | — | | | | — | | | | 12,532,457 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Brazil | | | 83,352,201 | | | | 67,581 | | | | — | | | | 83,419,782 | |
Colombia | | | 3,028,452 | | | | — | | | | — | | | | 3,028,452 | |
India | | | — | | | | 31,477 | | | | — | | | | 31,477 | |
Philippines | | | — | | | | 489,494 | | | | — | | | | 489,494 | |
Taiwan | | | — | | | | 894,664 | | | | — | | | | 894,664 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Brazil | | | — | | | | 20,733 | | | | — | | | | 20,733 | |
Kuwait | | | — | | | | 6,324 | | | | — | | | | 6,324 | |
Taiwan | | | — | | | | 60,751 | | | | — | | | | 60,751 | |
Thailand | | | — | | | | 10,410 | | | | — | | | | 10,410 | |
Securities Lending Collateral | | | — | | | | 123,700,201 | | | | — | | | | 123,700,201 | |
Futures Contracts** | | | (3,541,643 | ) | | | — | | | | — | | | | (3,541,643 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 1,506,807,539 | | | $ | 8,646,469,996 | | | $ | 14,121,642 | ^ | | $ | 10,167,399,177 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
See accompanying Notes to Financial Statements.
264
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2023
(Amounts in thousands)
| | | | |
| | | Dimensional
Emerging
Markets
Value Fund | |
ASSETS: | | | | |
Investment Securities at Value (including $371,406 of securities on loan)* | | $ | 10,047,241 | |
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $123,702) | | | 123,700 | |
Segregated Cash for Futures Contracts | | | 3,151 | |
Foreign Currencies at Value | | | 88,976 | |
Cash | | | 46,181 | |
Receivables: | | | | |
Investment Securities Sold | | | 17,780 | |
Dividends, Interest and Tax Reclaims | | | 7,999 | |
Securities Lending Income | | | 1,011 | |
Futures Margin Variation | | | 78 | |
Unrealized Gain on Foreign Currency Contracts | | | 5 | |
| | | | |
Total Assets | | | 10,336,122 | |
| | | | |
LIABILITIES: | | | | |
Payables: | | | | |
Upon Return of Securities Loaned | | | 123,708 | |
Due to Advisor | | | 883 | |
Unrealized Loss on Foreign Currency Contracts | | | 25 | |
Deferred Taxes Payable | | | 79,826 | |
Accrued Expenses and Other Liabilities | | | 1,394 | |
| | | | |
Total Liabilities | | | 205,836 | |
| | | | |
COMMITMENTS AND CONTINGENT LIABILITIES (NOTE C) | | | | |
NET ASSETS | | $ | 10,130,286 | |
| | | | |
Investment Securities at Cost | | $ | 9,279,218 | |
| | | | |
Foreign Currencies at Cost | | $ | 90,463 | |
| | | | |
| * | See Note I in the Notes to Financial Statements for additional information about securities lending collateral. |
See accompanying Notes to Financial Statements.
265
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2023
(Amounts in thousands)
| | | | |
| | | Dimensional
Emerging
Markets
Value Fund# | |
Investment Income | | | | |
Dividends (Net of Foreign Taxes Withheld of $57,877) | | $ | 468,173 | |
Income from Securities Lending, Net | | | 9,527 | |
| | | | |
Total Investment Income | | | 477,700 | |
| | | | |
Expenses | | | | |
Investment Management Fees | | | 10,695 | |
Accounting & Transfer Agent Fees | | | 317 | |
Custodian Fees | | | 3,511 | |
Shareholders’ Reports | | | 57 | |
Directors’/Trustees’ Fees & Expenses | | | 80 | |
Professional Fees | | | 332 | |
Other | | | 538 | |
| | | | |
Total Expenses | | | 15,530 | |
| | | | |
Fees Paid Indirectly (Note C) | | | 542 | |
| | | | |
Net Expenses | | | 14,988 | |
| | | | |
Net Investment Income (Loss) | | | 462,712 | |
| | | | |
Realized and Unrealized Gain (Loss) | | | | |
Net Realized Gain (Loss) on: | | | | |
Investment Securities Sold** | | | 13,066 | |
Affiliated Investment Companies Shares Sold | | | 36 | |
Futures | | | 6,571 | |
Foreign Currency Transactions | | | (5,395 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | |
Investment Securities and Foreign Currency | | | 1,083,861 | |
Affiliated Investment Companies Shares | | | 81 | |
Futures | | | (1,409 | ) |
Translation of Foreign Currency-Denominated Amounts | | | (14 | ) |
| | | | |
Net Realized and Unrealized Gain (Loss) | | | 1,096,797 | |
| | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 1,559,509 | |
| | | | |
| ** | Net of foreign capital gain taxes withheld of $12,151. |
| # | Portion of income is from investment in affiliated fund. |
See accompanying Notes to Financial Statements.
266
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
| | | | | | | | |
| | | Dimensional Emerging | |
| | | Markets Value Fund | |
| | | Year | | | Year | |
| | | Ended | | | Ended | |
| | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | |
Increase (Decrease) in Net Assets | | | | | | | | |
Operations: | | | | | | | | |
Net Investment Income (Loss) | | $ | 462,712 | | | $ | 575,340 | |
Net Realized Gain (Loss) on: | | | | | | | | |
Investment Securities Sold*,** | | | 13,066 | | | | 390,078 | |
Affiliated Investment Companies Shares Sold | | | 36 | | | | 6 | |
Futures | | | 6,571 | | | | (15,965 | ) |
Foreign Currency Transactions | | | (5,395 | ) | | | (11,657 | ) |
Change in Unrealized Appreciation (Depreciation) of: | | | | | | | | |
Investment Securities and Foreign Currency | | | 1,083,861 | | | | (3,314,774 | ) |
Affiliated Investment Companies Shares | | | 81 | | | | (133 | ) |
Futures | | | (1,409 | ) | | | (2,584 | ) |
Translation of Foreign Currency-Denominated Amounts | | | (14 | ) | | | (62 | ) |
| | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,559,509 | | | | (2,379,751 | ) |
| | | | | | | | |
Transactions in Interest: | | | | | | | | |
Contributions | | | 466,478 | | | | 611,182 | |
Withdrawals | | | (1,655,840 | ) | | | (1,940,997 | ) |
| | | | | | | | |
Net Increase (Decrease) from Transactions in Interest | | | (1,189,362 | ) | | | (1,329,815 | ) |
| | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 370,147 | | | | (3,709,566 | ) |
Net Assets | | | | | | | | |
Beginning of Year | | | 9,760,139 | | | | 13,469,705 | |
| | | | | | | | |
End of Year | | $ | 10,130,286 | | | $ | 9,760,139 | |
| | | | | | | | |
| * | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2023 of $12,151. |
| ** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2022 of $11,622. |
See accompanying Notes to Financial Statements.
267
DIMENSIONAL EMERGING MARKETS VALUE FUND
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Dimensional Emerging Markets Value Fund | |
| | | Year | | | Year | | | Year | | | Year | | | Year | |
| | | Ended | | | Ended | | | Ended | | | Ended | | | Ended | |
| | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | | | Oct 31, | |
| | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
Total Return | | | 16.09 | % | | | (19.27 | %) | | | 35.69 | % | | | (9.41 | %) | | | 5.24 | % |
| | | | | | | | | | | | | | | | | | | | |
Net Assets, End of Year (thousands) | | $ | 10,130,286 | | | $ | 9,760,139 | | | $ | 13,469,705 | | | $ | 12,870,255 | | | $ | 17,426,097 | |
Ratio of Expenses to Average Net Assets | | | 0.14 | % | | | 0.15 | % | | | 0.14 | % | | | 0.14 | % | | | 0.13 | % |
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | | | 0.15 | % | | | 0.15 | % | | | 0.14 | % | | | 0.14 | % | | | 0.15 | % |
Ratio of Net Investment Income to Average Net Assets | | | 4.33 | % | | | 4.79 | % | | | 3.26 | % | | | 3.25 | % | | | 2.95 | % |
Portfolio Turnover Rate | | | 12 | % | | | 14 | % | | | 14 | % | | | 20 | % | | | 14 | % |
| | | | | | | | | | | | | | | | | | | | |
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
268
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Emerging Markets Value Fund (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940 (the “1940 Act”). The Fund meets the definition as an investment company and follows the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies.” The Fund consists of one series.
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 Fund 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 fair value of investments, the reported amounts of assets and liabilities, the 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 uses a fair value hierarchy, which prioritizes the inputs-to-valuation techniques used to measure fair value into three broad levels described below:
| | • | | Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, and futures contracts) |
| | • | | 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. International equity securities are subject to a fair value factor, as described later in this note.
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 between the most recent quoted bid and ask prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management 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 Rule 2a-5 under the 1940 Act pursuant to procedures approved by the Board of Trustees of the Fund. 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 Dimensional Fund Advisors LP) occur before the net asset value of the Fund 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. These securities are generally categorized as Level 2 or Level 3 in the hierarchy.
The Fund 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, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time at which the net asset
269
value of the Fund is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the pricing of the Fund’s 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 calculated closing prices of the foreign investments on their primary foreign securities markets or exchanges. For these purposes, Dimensional Fund Advisors LP 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 uses 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. These securities are generally categorized as Level 2 in the hierarchy.
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 previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The methodology or inputs used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
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 recent bid and ask prices for the U.S. dollar as quoted by generally recognized reliable sources. To facilitate the translation, the Fund enters into foreign currency contracts. A foreign currency contract is a spot agreement between two parties to buy and sell currencies at current market exchange rates, for settlement generally within two business days. 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. The Fund does not isolate the effect of foreign exchange rate fluctuations 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 of securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the Fund and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Fund may elect to participate in the Fee Deferral Plan for Independent Directors and Trustees (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: the U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Large Company 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, DFA Inflation-Protected Securities 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. As of October 31, 2023, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities in the amount of $278 (in thousands).
The Trustees may receive their distributions of proceeds by 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 (the “Notice”) to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice. The 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 Trustees of the Fund; and (ii) five years following the effective date of the Trustee’s first deferral election. If a Trustee
270
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 (unless the Trustee files an amended Notice selecting a different distribution date).
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 and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividend income received in the form of securities in-lieu of cash, if any, are recorded at the fair value of securities received. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Fund estimates the character of received distributions that may be considered return of capital distributions. Interest income is recorded on an 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 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 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. Additionally, 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 is subject to tax on short-term and long-term capital gains for investments in India. Such taxes are accrued on a daily basis and due upon sale of individual securities.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Fund.
For the year ended October 31, 2023, the Fund’s investment management fee was accrued daily and paid monthly to the Advisor based on the following effective annual rate of average daily net assets:
| | | | |
Dimensional Emerging Markets Value Fund | | | 0.10 | % |
Earned Income Credit:
Additionally, the Fund has entered into arrangements with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Fund’s custody expense. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of the Fund’s net assets. During the year ended October 31, 2023, expenses reduced were the following (amount in thousands):
| | | | |
| | | Fees Paid
Indirectly | |
Dimensional Emerging Markets Value Fund | | $ | 542 | |
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Fund; however, such Officers and Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2023, the total related amounts paid by the Fund to the CCO were $5 (in thousands) and are included in Other Expenses on the Statement of Operations.
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D. Deferred Compensation:
As of October 31, 2023, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amount in thousands):
| | | | |
Dimensional Emerging Markets Value Fund | | $ | 278 | |
E. Purchases and Sales of Securities:
For the year ended October 31, 2023, the Fund’s transactions related to investment securities, other than short-term securities, in-kind redemptions and U.S. Government securities (amounts in thousands), were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Dimensional Emerging Markets Value Fund | | $ | 1,237,990 | | | $ | 2,035,042 | |
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2023, transactions related to Affiliated Investment Companies, excluding in-kind redemptions, are presented below.
The amounts presented below may differ from the respective amounts presented in the corresponding Summary Schedule of Portfolio Holdings, Statement of Assets and Liabilities or Statement of Operations due to rounding. The amounts are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balance at
October 31,
2022 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain/(Loss)
on Sales | | | Change in
Unrealized
Appreciation/
Depreciation | | | Balance at
October 31,
2023 | | | Shares as of
October 31,
2023 | | | Dividend
Income | | | Capital Gain
Distributions | |
Dimensional Emerging Markets Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The DFA Short Term Investment Fund | | $ | 204,252 | | | $ | 1,013,812 | | | $ | 1,094,481 | | | $ | 36 | | | $ | 81 | | | $ | 123,700 | | | | 10,694 | | | $ | 7,767 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 204,252 | | | $ | 1,013,812 | | | $ | 1,094,481 | | | $ | 36 | | | $ | 81 | | | $ | 123,700 | | | | 10,694 | | | $ | 7,767 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
F. Federal Income Taxes:
No provision for federal income taxes is required since the Fund is treated as a partnership 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.
As of October 31, 2023, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Federal
Tax Cost | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | | | Net
Unrealized
Appreciation
(Depreciation) | |
Dimensional Emerging Markets Value Fund | | $ | 9,639,112 | | | $ | 2,377,239 | | | $ | (1,845,410 | ) | | $ | 531,829 | |
The difference between GAAP-basis and tax basis unrealized gains (losses) can occur as a result of wash sales and net mark-to-market gains (losses) on regulated futures contracts, net mark-to-market gains (losses) on foreign currency contracts, and differences in tax treatment of passive foreign investment company investments or other investments.
272
ASC 740 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 Fund’s tax positions and has concluded that no additional provision for income tax is required in the Fund’s financial statements. The Fund is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund’s 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 Fund’s investment objective 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. Foreign Market Risks: Investments in foreign markets may involve certain considerations 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 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 held by the Fund may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by the Fund.
2. Futures Contracts: The Fund may purchase or sell futures contracts and options on futures contracts for foreign or U.S. equity securities and indices, to increase or decrease market exposure based on actual or expected cash inflows to or outflows from the Fund. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. government securities to a broker in an amount 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 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 entrance into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities or indices, 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. A Portfolio entering into stock index futures is subject to equity price risk from those futures contracts.
Securities have been segregated as collateral for open futures contracts.
The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2023 was as follows (amount in thousands):
| | | | |
| | | Futures* | |
Dimensional Emerging Markets Value Fund | | $ | 75,695 | |
| * | Average Notional Value of futures contracts. |
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The following is a summary of the Fund’s derivative instrument holdings categorized by primary risk exposure as of October 31, 2023 (amounts in thousands):
| | | | | | | | |
| | | Liability Derivatives Value | |
| | | Total Value at
October 31, 2023 | | | Equity
Contracts *,(1) | |
Dimensional Emerging Markets Value Fund | | $ | (3,542 | ) | | $ | (3,542 | ) |
| (1) | Presented on Statement of Assets and Liabilities as Payables: Futures Margin Variation. |
| * | 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 realized and change in unrealized gains and losses from the Fund’s derivative instrument holdings categorized by primary risk exposure for the year ended October 31, 2023 (amounts in thousands):
| | | | | | | | |
| | | Realized Gain (Loss) on
Derivatives | |
| | | Total | | | Equity
Contracts (1) | |
Dimensional Emerging Markets Value Fund | | $ | 6,571 | | | $ | 6,571 | |
| | | | | | | | |
| | | Change in Unrealized Appreciation
(Depreciation) on Derivatives | |
| | | Total | | | Equity
Contracts (2) | |
Dimensional Emerging Markets Value Fund | | $ | (1,409 | ) | | $ | (1,409 | ) |
| (1) | Presented on Statement of Operations as Net Realized Gain (Loss) on: Futures. |
| (2) | Presented on Statement of Operations as Change in Unrealized Appreciation (Depreciation) of: Futures. |
H. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective April 5, 2023, with its domestic custodian bank. A line of credit with similar terms was in effect through April 5, 2023. 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 $500 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 agreement for the line of credit expires on April 3, 2024.
The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $700 million unsecured line of credit with its international custodian bank effective December 28, 2022. A line of credit with similar terms was in effect through December 28, 2022. Each portfolio is permitted to borrow, subject to its investment limitations, up to the lower of one-quarter of such portfolio’s net assets or $500 million, as long as total borrowings under the line of credit do not exceed $700 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 upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on December 27, 2023.
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For the year ended October 31, 2023, borrowings by the Fund under the lines 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 | | | Outstanding
Borrowings
as of 10/31/2023 | |
Dimensional Emerging Markets Value Fund | | | 4.65 | % | | $ | 6,303 | | | | 11 | | | $ | 9 | | | $ | 14,112 | | | | — | |
| * | Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2023, that the Fund’s available line of credit was used. |
Pursuant to an exemptive order issued by the SEC (the “Order”), the Fund may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice.
For the year ended October 31, 2023, activity by the Fund under the interfund lending program was as follows (amounts in thousands, except percentages and days):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Borrower or
Lender | | | Weighted
Average
Interest Rate | | | Weighted
Average
Loan Balance | | | Number of
Days
Outstanding* | | | Interest
Expense/
Income | | | Maximum Amount
Borrowed/Loaned
During the Period | | | Outstanding
Borrowings
as of 10/31/2023 | |
Dimensional Emerging Markets Value Fund | | | Borrower | | | | 4.59 | % | | $ | 51,943 | | | | 5 | | | $ | 33 | | | $ | 66,546 | | | | — | |
| * | Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2023 that the Fund utilized the interfund lending program. |
I. Affiliated Trades:
Cross trades for the year ended October 31, 2023, if any, were executed by the Fund pursuant to procedures adopted by the Board of Trustees of the Fund to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of a common investment advisor (or affiliated investment advisors), common Trustees and/or common Officers. At its regularly scheduled meetings, the CCO certifies to the Board that the 17a-7 transactions entered into by the Fund complied with the Rule 17a-7 Procedures adopted by the Board of Trustees of the Fund.
For the year ended October 31, 2023, cross trades by the Fund under Rule 17a-7 were as follows (amounts in thousands):
| | | | | | | | | | | | |
Portfolio | | Purchases | | | Sales | | | Realized Gain (Loss) | |
Dimensional Emerging Markets Value Fund | | $ | 8,796 | | | $ | 2,505 | | | $ | (492 | ) |
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J. Securities Lending:
As of October 31, 2023, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. The Fund also received non-cash collateral consisting of short- and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amount in thousands):
| | | | |
| | | Non-Cash
Collateral
Market
Value | |
Dimensional Emerging Markets Value Fund | | $ | 367,466 | |
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 expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. 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, cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities, and 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. In the event of the bankruptcy of the borrower, the Fund could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, 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. Income received from the Money Market Series is netted with fees for securities lending and collateral investment expenses and with other payments to and from borrowers of securities. 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 or unaffiliated money market funds that are registered or unregistered. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. Additionally, 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 for taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2023 (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of October 31, 2023 | |
| | | Overnight and
Continuous | | | <30 days | | | Between
30 & 90 days | | | >90 days | | | Total | |
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Dimensional Emerging Markets Value Fund
Common Stocks | | $ | 123,708 | | | | — | | | | — | | | | — | | | $ | 123,708 | |
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K. Indemnitees; Contractual Obligations:
Under the Fund’s organizational documents, its Officers and Trustees 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 that 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.
L. Recently Issued Accounting Standards and Regulations:
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs were effective for certain reference rate-related contract modifications that occurred during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and determined the adoption of these ASUs will not have a material impact on the Fund’s financial statements.
In October 2022, the SEC adopted rule and form amendments requiring open-end management investment companies, including mutual funds and exchange-traded funds, to transmit concise and visually engaging semi-annual and annual reports that highlight key information, including fund expenses, performance, and holdings to shareholders. Other information, including financial statements, will no longer appear in the Fund’s shareholder reports but will be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. Accordingly, the rule and form amendments will not impact the Fund until the 2024 annual shareholder reports, and will have no effect on the Fund’s accounting policies or financial statements.
M. Other:
The Fund is subject to claims and suits that arise from time to time in the ordinary course of business (for example, claw back litigation against former shareholders of portfolio companies that filed for bankruptcy, such as the now ended litigation involving The Tribune Company and the ongoing litigation involving Nine West). Although management currently believes that resolving claims against the Fund, individually or in aggregate, will not have a material adverse impact on the Fund’s financial position, results of operations, or 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 Fund through the date on which the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
277
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, of Dimensional Emerging Markets Value Fund (the “Fund”) as of October 31, 2023, the related statement of operations for the year ended October 31, 2023, the statement of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2023 and the financial highlights for each of the five years in the period ended October 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023 by correspondence with the custodian, brokers and transfer agent of the investee fund; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2023
We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.
|
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330-3000, www.pwc.com/us |
278
FUND MANAGEMENT
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors (each, the “Board” and collectively, the “Boards”) of The DFA Investment Trust Company (“DFAITC”), DFA Investment Dimensions Group Inc. (“DFAIDG”), Dimensional Investment Group Inc. (“DIG”), Dimensional ETF Trust (“ETF Trust”), and Dimensional Emerging Markets Value Fund (“DEM”) (each, a “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 Trustees/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 four standing committees, an Audit Committee, a Nominating and Governance Committee (the “Nominating Committee”), a Mutual Funds-ETF Relations committee and an Investment Strategy Committee (the “Strategy Committee”). The Audit Committee is composed of Reena Aggarwal, George M. Constantinides, Francis A. Longstaff, Abbie J. Smith and Ingrid M. Werner. Each member of the Audit Committee is a disinterested Trustee/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 acts as a liaison between the Fund’s independent registered certified public accounting firm and the full Board. There were three Audit Committee meetings held during the fiscal year ended October 31, 2023.
Each Board’s Nominating Committee is composed of Reena Aggarwal, George M. Constantinides, Douglas W. Diamond, Francis A. Longstaff, and Heather E. Tookes. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the disinterested Board members and to the full Board. The Nominating Committee works closely with the other disinterested Trustees to evaluate a candidate’s qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee also periodically reviews the Board governance practices, policies, procedures, and operations; reviews the membership of each committee of the Board; reviews and makes recommendations regarding the Independent Trustees’ compensation; oversees the annual self-assessment of the Board and each committee; considers and recommends to the Board, the selection of “independent legal counsel” (as that term is defined in the 1940 Act); and monitors and considers corporate governance issues that may arise from time to time. There were two Nominating Committee meetings held during the fiscal year ended October 31, 2023.
Each Board’s Strategy Committee is composed of Gerard K. O’Reilly, Douglas W. Diamond, Darrell Duffie, and Heather E. Tookes. The Strategy Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. At the request of the Board or the Advisor, the Strategy Committee (i) reviews the design of possible new series of the Fund, (ii) reviews performance of existing portfolios of the Funds and discusses and recommends possible enhancements to the portfolios’ investment strategies, (iii) reviews proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) considers issues relating to investment services for each portfolio of the Fund. There were two Strategy Committee meetings held during the fiscal year ended October 31, 2023.
The Mutual Funds-ETF Relations Committee is comprised of George M. Constantinides, Darrell Duffie, and Ingrid M. Werner. At the request of the Board, the Mutual Funds-ETF Relations Committee (i) reviews any newly-proposed expenses to be borne by the ETFs in the Dimensional ETF Trust (“Dimensional ETFs”), portfolios in the DFA mutual fund complex (“Fund Complex”) or changes to the existing expense allocations among the Dimensional ETFs, portfolios in the Fund Complex, and the Advisor, (ii) considers any conflicts of interest that may arise in the operations of the Dimensional ETFs and the portfolios in the Fund Complex, (iii) reviews and considers relevant information relating to the operations of the Dimensional ETFs, and (iv) considers asset flows and performance differences between the similarly managed mutual funds and ETFs of the Funds. There were two Mutual Funds-ETF Relations Committee meetings held during the fiscal year ended October 31, 2023.
279
Certain biographical information for each disinterested Trustee/Director and 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, TX 78746. Prospectuses are also available at http://us.dimensional.com.
280
Disinterested Directors/Trustees
| | | | | | | | | | |
Name, Address and Year of Birth | | Position | | Term of Office1 and Length of Service | | Principal Occupation During Past 5 Years | | Portfolios within the DFA Fund Complex2 Overseen | | Other Directorships of Public Companies Held
During Past 5 Years |
Reena Aggarwal
c/o Dimensional Fund Advisors LP
6300 Bee Cave Road, Building One Austin, TX 78746 1957 | | Director/ Trustee | | Since 2021 | | Robert E. McDonough Professor of Finance (since 2003) and Professor of Finance (since 2000), McDonough School of Business, Georgetown University and Director, Georgetown Center for Financial Markets and Policy (since 2010). Formerly, Vice Provost of Faculty, Georgetown University (2016-2020). | | 157 portfolios in 5 investment companies | | Director, Cohen & Steers (asset management firm) (since 2017) and Director, Nuveen Churchill Direct Lending (private business development company) (since 2019). Formerly, Director, New York Life Investment Management IndexIQ (2008- 2021) (22 funds); formerly, Director, REAN Cloud (technology) (2015-2018); formerly, Director, FBR & Co. (investment banking) (2011- 2017); and formerly, Director, Brightwood Capital Advisors, L.P. (private equity) (2013-2020). |
| | | | | |
George M. Constantinides University of Chicago Booth School of Business 5807 S. Woodlawn Avenue
Chicago, IL 60637 1947 | | Director/ Trustee | | DFAIDG – Since 1983; DIG & DEM – Since 1993; DFAITC – Since 1992; ETF Trust – Since 2020 | | Leo Melamed Professor of Finance, University of Chicago Booth School of Business (since 1978). | | 157 portfolios in 5 investment companies | | None |
| | | | | |
Douglas W. Diamond
c/o Dimensional Fund Advisors LP
6300 Bee Cave Road, Building One Austin, TX 78746 1953 | | Director/ Trustee | | DFAIDG, DIG, DEM & DFAITC – Since 2017; ETF Trust – Since 2020 | | Merton H. Miller Distinguished Service Professor of Finance, University of Chicago Booth School of Business (since 1979). Formerly, Visiting Scholar, Federal Reserve Bank of Richmond (1990-2019). | | 157 portfolios in 5 investment companies | | None |
| | | | | |
Darrell Duffie
c/o Dimensional Fund Advisors LP
6300 Bee Cave Road, Building One Austin, TX 78746 1954 | | Director/ Trustee | | DFAIDG, DIG, DEM & DFAITC – Since 2019; ETF Trust – Since 2020 | | Adams Distinguished Professor of Management and Professor of Finance, Stanford University (since 1984) and Director, TNB Inc. (bank) (since 2020). | | 157 portfolios in 5 investment companies | | Formerly, Director, Moody’s Corporation (financial information and information technology) (2008-2018). |
281
| | | | | | | | | | |
Name, Address and Year of Birth | | Position | | Term of Office1 and Length of Service | | Principal Occupation During Past 5 Years | | Portfolios within the DFA Fund Complex2 Overseen | | Other Directorships of Public Companies Held
During Past 5 Years |
Francis A. Longstaff
c/o Dimensional Fund Advisors LP
6300 Bee Cave Road, Building One Austin, TX 78746 1956 | | Director/ Trustee | | Since 2021 | | Allstate Professor of Insurance and Finance, UCLA, Anderson School of Management (since 1992); Consultant, NERA Economic Consulting (since 2018); Consultant, Charles River Associates (economic consulting firm) (since 2013); Consultant, Simplex Holdings, Inc. (technology firm) (since 1998); and Expert Witness, Analysis Group (economic consulting firm) (since 2012). | | 157 portfolios in 5 investment companies | | None |
| | | | | |
Abbie J. Smith University of Chicago Booth School of Business 5807 S. Woodlawn Avenue
Chicago, IL 60637 1953 | | Director/ Trustee | | DFAIDG, DIG, DEM & DFAITC – Since 2000; ETF Trust – Since 2020 | | Boris and Irene Stern Distinguished Service Professor of Accounting and James S. Ely, III Faculty Fellow, University of Chicago Booth School of Business (since 1980). | | 157 portfolios in 5 investment companies | | Director, (since 2000) and formerly, Audit Committee Chair (2019-2022) and Lead Director (2014-2017), HNI Corporation (office furniture); Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003); and Trustee and Audit Committee member (since 2022), UBS Funds (3 investment companies within the fund complex) (12 portfolios) (since 2009). |
| | | | | |
Heather E. Tookes Yale School of Management
165 Whitney Avenue New Haven, CT 06511 1974 | | Director/ Trustee | | Since 2021 | | Deputy Dean for Faculty (since 2022) and Professor of Finance (since 2004), Yale School of Management. | | 157 portfolios in 5 investment companies | | Director, Payoneer Inc. (digital payments) (since 2021); Director, Ariel Investments LLC (investment adviser) (since 2017); Director, Charles River Associates (economic consulting firm) (since 2022); and Director, Community Foundation of Greater New Haven (community foundation and grant-making) (since 2022). Formerly, Director, KCG Holdings (trading company) (January 2017-July 2017). |
282
| | | | | | | | | | |
Name, Address and Year of Birth | | Position | | Term of Office1 and Length of Service | | Principal Occupation During Past 5 Years | | Portfolios within the DFA Fund Complex2 Overseen | | Other Directorships of Public Companies Held
During Past 5 Years |
Ingrid M. Werner c/o Dimensional Fund Advisors LP 6300 Bee Cave Road, Building One Austin, TX 78746 1961 | | Director/ Trustee | | DFAIDG, DIG, DEM & DFAITC – Since 2019; ETF Trust – Since 2020 | | Martin and Andrew Murrer Professor of Finance, Fisher College of Business, The Ohio State University (since 1998). Adjunct Member, the Prize Committee for the Swedish Riksbank Prize in Economic Sciences in Memory of Alfred Nobel (annual award for significant scientific research contribution) (since 2018). Member, Scientific Board, Leibniz Institute for Financial Research (institute supporting academic research in finance) (since 2020). Chair, Economic Advisory Committee, FINRA (since 2017). Chairman, Scientific Advisory Board, Swedish House of Finance (institute supporting academic research in finance) (since 2014). Member, Scientific Board, Danish Finance Institute (institute supporting academic research in finance) (since 2017). Fellow, Center for Analytical Finance (academic research) (since 2015). Formerly, President, Western Finance Association (global association of academic researchers and practitioners in finance) (2018- 2019); formerly, Member, Academic Board, Mistra Financial Systems (organization funding academic research on environment, governance and climate/sustainability in finance) (2016-2021); formerly, Director, American Finance Association (global association of academic researchers and practitioners in finance) (2019-2022); formerly, Associate Editor, Journal of Finance (2016-2022). | | 157 portfolios in 5 investment companies | | Director, Fourth Swedish AP Fund (pension fund asset management) (since 2017). |
283
Interested Directors/Trustees
The following interested Directors/Trustees are described as such because each is deemed to be an “interested person,” as that term is defined under the 1940 Act, due to his position with the Advisor.
| | | | | | | | | | |
Name, Address and Year of Birth | | Position | | Term of Office1 and Length of Service | | Principal Occupation During Past 5 Years | | Portfolios within the DFA Fund Complex2 Overseen | | Other Directorships of Public Companies
Held During Past 5 Years |
David P. Butler
c/o Dimensional Fund Advisors LP
6300 Bee Cave Road, Building One, Austin,
TX 78746 1964 | | Director/ Trustee Co-Chief Executive Officer | | Director/ Trustee since 2021 Co-Chief Executive Officer since 2017 (DFAIDG, DIG, DEM & DFAITC); 2020 (ETF Trust) | | Co-Chief Executive Officer of Dimensional Emerging Markets Value Fund (“DEM”), DFA Investment Dimensions Group Inc. (“DFAIDG”), Dimensional Investment Group Inc. (“DIG”), The DFA Investment Trust Company (“DFAITC”), Dimensional Holdings Inc., Dimensional Fund Advisors LP, Dimensional Investment LLC, and DFA Securities LLC (collectively with DEM, DFAIDG, DIG and DFAITC, the “DFA Entities”) (since 2017) and Dimensional ETF Trust (since 2020), DFA Canada LLC (since 2018), Dimensional Holdings LLC (since 2017), and the Trust (since 2020); Chief Executive Officer of Dimensional Fund Advisors Canada ULC (since 2018), Director (since 2017) of Dimensional Holdings Inc., Dimensional Fund Advisors Canada ULC, Dimensional Japan Ltd., Dimensional Advisors Ltd., and DFA Australia Limited; Director and Co-Chief Executive Officer (since 2017) of Dimensional Cayman Commodity Fund I Ltd.; Head of Global Financial Advisor Services for Dimensional Investment LLC (since 2017). Formerly, Director (2017-2021) of Dimensional Fund Advisors Ltd. | | 157 portfolios in 5 investment companies | | None |
| | | | | |
Gerard K. O’Reilly c/o Dimensional Fund Advisors LP 6300 Bee Cave Road, Building One, Austin, TX 78746 1976 | | Chairman and Director/ Trustee Co-Chief Executive Officer and Chief Investment Officer | | Chairman and Director/ Trustee since 2021 Co-Chief Executive Officer and Chief Investment Officer since 2017 (DFAIDG, DIG, DEM & DFAITC); 2020 (ETF Trust) | | Co-Chief Executive Officer and Chief Investment Officer of the DFA Entities (since 2017) and Dimensional ETF Trust (since 2020); Co-Chief Executive Officer of DFA Canada LLC (since 2018); Chief Investment Officer of Dimensional Fund Advisors Canada ULC (since 2017); Director and Chief Investment Officer (since 2017) and Vice President (since 2014) of DFA Australia Limited; Chief Investment Officer (since 2018) and Vice President (since 2016) of Dimensional Japan Ltd.; Co-Chief Executive Officer and Chief Investment Officer of Dimensional Holdings, LLC (since 2017); Director, Co-Chief Executive Officer and Chief Investment Officer (since 2017) of Dimensional Cayman Commodity Fund I Ltd.; Director of Dimensional Funds plc (since 2014), Dimensional Fund II plc (since 2014), Dimensional Holdings Inc. (since 2017), Dimensional Advisors Ltd. (since 2017), and Dimensional Ireland Limited (since 2018). Formerly, Director of Dimensional Fund Advisors Ltd. (2018-2021). | | 157 portfolios in 5 investment companies | | None |
| 1 | Each Director/Trustee holds office for an indefinite term until his or her successor is elected and qualified. |
| 2 | Each Director/Trustee is a director or trustee of each of the five registered investment companies within the DFA Fund Complex, which include: DFAIDG; DIG; DEM; DFAITC and Dimensional ETF Trust. Each disinterested Director/Trustee also serves on the Independent Review Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by the Advisor’s affiliate, Dimensional Fund Advisors Canada ULC. |
284
Officers
Below is the name, year of birth, information regarding positions with the Funds and the principal occupation for each officer of the Funds. The address of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below holds the same office (except as otherwise noted) in the DFA Entities.
| | | | | | |
Name and Year of
Birth | | Position | | Term of Office1 and Length of Service | | Principal Occupation During Past 5 Years |
Valerie A. Brown 1967 | | Vice President and Assistant Secretary | | Since | | Vice President and Assistant Secretary of |
| | 2001 | | • all the DFA Entities (since 2001) |
| | | |
| | | | | | • DFA Australia Limited (since 2002) |
| | | |
| | | | | | • Dimensional Fund Advisors Ltd. (since 2002) |
| | | |
| | | | | | • Dimensional Cayman Commodity Fund I Ltd. (since 2010) |
| | | |
| | | | | | • Dimensional Fund Advisors Pte. Ltd. (since 2012) |
| | | |
| | | | | | • Dimensional Hong Kong Limited (since 2012) |
| | | |
| | | | | | • Dimensional ETF Trust (since 2020) |
| | | |
| | | | | | Director, Vice President and Assistant Secretary (since 2003) of |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC |
| | | |
Ryan P. Buechner 1982 | | Vice President and Assistant Secretary | | Since 2019 | | Vice President and Assistant Secretary of |
| | • DFAIDG, DIG, DFAITC and DEM (since 2019) |
| | | |
| | | | | | • Dimensional ETF Trust (since 2020) |
| | | |
| | | | | | Vice President (since January 2018) of |
| | | |
| | | | | | • Dimensional Holdings Inc. |
| | | |
| | | | | | • Dimensional Fund Advisors LP |
| | | |
| | | | | | • Dimensional Investment LLC |
| | | |
| | | | | | • DFA Securities LLC |
| | | |
Stephen A. Clark 1972 | | Executive Vice President | | Since 2017 | | Executive Vice President of |
| | • all the DFA Entities (since 2017) |
| | | |
| | | | | | • Dimensional ETF Trust (since 2020) |
| | | |
| | | | | | Director and Vice President (since 2016) of |
| | | |
| | | | | | • Dimensional Japan Ltd. |
| | | |
| | | | | | Chairman (since 2018) of |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC |
| | | |
| | | | | | President and Director (since 2016) of |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC |
| | | |
| | | | | | Vice President (since 2008) and Director (since 2016) of |
| | | |
| | | | | | • DFA Australia Limited |
| | | |
| | | | | | Director (since 2016) of |
| | | |
| | | | | | • Dimensional Advisors Ltd. |
| | | |
| | | | | | • Dimensional Fund Advisors Pte. Ltd. |
| | | |
| | | | | | • Dimensional Hong Kong Limited |
| | | |
| | | | | | Vice President of |
| | | |
| | | | | | • Dimensional Advisors Ltd. (since 2016) |
| | | |
| | | | | | • Dimensional Hong Kong Limited (since 2016) |
| | | |
| | | | | | • Dimensional Fund Advisors Pte. Ltd. (since 2019) |
| | | |
| | | | | | Formerly, Director (2016 – 2021) of |
| | | |
| | | | | | • Dimensional Fund Advisors Ltd. |
| | | |
| | | | | | Formerly, Vice President (2004 – 2017) of |
| | | |
| | | | | | • all the DFA Entities |
| | | |
| | | | | | Formerly, Vice President (2010 – 2016) of |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC |
| | | |
| | | | | | Formerly, Vice President (2016 – 2019) of |
| | | |
| | | | | | • Dimensional Fund Advisors Pte. Ltd. |
285
| | | | | | |
Name and Year of
Birth | | Position | | Term of Office1 and Length of Service | | Principal Occupation During Past 5 Years |
| | | |
| | | | | | Formerly, Interim Chief Executive Officer (2019 – 2020) of |
| | | |
| | | | | | • Dimensional Fund Advisors Pte. Ltd. |
| | | |
| | | | | | Formerly, Head of Institutional, North America (2012 – 2013) and Head of Global Institutional Services (2014-2018) for |
| | | |
| | | | | | • Dimensional Fund Advisors LP |
| | | |
| Lisa M. Dallmer 1972 | | Chief Operating Officer | | Since June 2021 | | Chief Operating Officer (since June 2021) of • the DFA Fund Complex |
| | | |
| | | | | | Executive Vice President (since January 2020) of |
| | | |
| | | | | | • Dimensional Holdings Inc. |
| | | |
| | | | | | • Dimensional Fund Advisors LP |
| | | |
| | | | | | • Dimensional Investment LLC |
| | | |
| | | | | | • DFA Securities LLC |
| | | |
| | | | | | Chief Operating Officer (since December 2019) of |
| | | |
| | | | | | • Dimensional Holdings Inc. |
| | | |
| | | | | | • Dimensional Fund Advisors LP |
| | | |
| | | | | | • Dimensional Investment LLC |
| | | |
| | | | | | • DFA Securities LLC |
| | | |
| | | | | | Vice President (since 2020) of |
| | | |
| | | | | | • DFA Australia Limited |
| | | |
| | | | | | • Dimensional Advisors Ltd. |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC |
| | | |
| | | | | | • Dimensional Fund Advisors Pte. Ltd. |
| | | |
| | | | | | • Dimensional Ireland Limited |
| | | |
| | | | | | • Dimensional Japan Ltd. |
| | | |
| | | | | | Formerly, Vice President, Chief Financial Officer, and Treasurer (June 2020 – June 2021) of |
| | | |
| | | | | | • the DFA Fund Complex |
| | | |
| | | | | | Formerly, Senior Vice President, Business Operations (March 2019 – October 2019) at |
| | | |
| | | | | | • Delphix Inc. |
| | | |
| | | | | | Formerly, Chief Operating Officer Global Technology & Operations, Managing Director (2014 – 2018) of |
| | | |
| | | | | | • BlackRock Inc. |
| | | |
| Bernard J. Grzelak 1971 | | Vice President | | Since June 2021 | | Vice President (since June 2021) of • the DFA Fund Complex Vice President, Chief Financial Officer and Treasurer (since September 2020) of |
| | | |
| | | | | | • DFA Australia Limited |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC |
| | | |
| | | | | | • DFA Securities LLC |
| | | |
| | | | | | • Dimensional Advisors Ltd. |
| | | |
| | | | | | • Dimensional Fund Advisors LP |
| | | |
| | | | | | • Dimensional Fund Advisors Ltd. |
| | | |
| | | | | | • Dimensional Fund Advisors Pte. Ltd. |
| | | |
| | | | | | • Dimensional Holdings Inc. |
| | | |
| | | | | | • Dimensional Hong Kong Limited |
| | | |
| | | | | | • Dimensional Investment LLC |
| | | |
| | | | | | Vice President (since March 2021) of |
| | | |
| | | | | | • Dimensional Ireland Limited |
| | | |
| | | | | | Formerly, Partner (2008 – 2020), Chief Operating Officer, Global Funds and Risk (2018 – 2020), Chief Operations Officer (2016 – 2018), and Director of Fund Administration (2003 – 2016) of |
| | | |
| | | | | | • Lord Abbett & Co. LLC |
286
| | | | | | |
Name and Year of
Birth | | Position | | Term of Office1 and Length of Service | | Principal Occupation During Past 5 Years |
| | | |
| | | | | | Formerly, Chief Financial Officer (2017 – 2020) and Treasurer (2003 – 2017) of |
| | | |
| | | | | | • Lord Abbett Family of Funds |
| | | |
Eric Hall 1978 | | Vice President and Assistant Treasurer | | Since June 2021 | | Vice President and Assistant Treasurer (since June 2021) of • the DFA Fund Complex |
| | | |
| | | | | | Formerly, Data Integrity Team Lead (December 2019 – April 2021) of |
| | | |
| | | | | | • Clearwater Analytics |
| | | |
| | | | | | Formerly, Assistant Vice President and Assistant Treasurer (March 2015 – November 2019) at |
| | | |
| | | | | | • INVESCO, U.S. (formerly, OppenheimerFunds, Inc.) |
| | | |
Jeff J. Jeon 1973 | | Vice President | | Since 2004 | | Vice President (since 2004) of • all the DFA Entities |
| | | |
| | | | | | Vice President (since 2020) of |
| | | |
| | | | | | • Dimensional ETF Trust |
| | | |
| | | | | | Vice President and Assistant Secretary (since 2010) of |
| | | |
| | | | | | • Dimensional Cayman Commodity Fund I Ltd. |
| | | |
| | | | | | Formerly, Assistant Secretary (2017 – 2019) of |
| | | |
| | | | | | • all the DFA Entities |
| | | |
Joy Lopez 1971 | | Vice President and Assistant Treasurer | | Vice President since 2015 and Assistant Treasurer since 2017 | | Vice President of • all the DFA Entities (since 2015) • Dimensional Fund Advisors Ltd. (since 2015) • Dimensional ETF Trust (since 2020) • DFA Australia Limited (since 2020) • Dimensional Fund Advisors Canada ULC (since 2020) |
| | | |
| | | | | | • Dimensional Ireland Limited (since 2020) |
| | | |
| | | | | | Assistant Treasurer of |
| | | |
| | | | | | • DFAIDG, DIG, DFAITC and DEM (since 2017) |
| | | |
| | | | | | • the Trust (since 2020) |
| | | |
Kenneth M. Manell 1972 | | Vice President | | Since 2010 | | Vice President of • all the DFA Entities (since 2010) |
| | | |
| | | | | | • Dimensional Cayman Commodity Fund I Ltd. (since 2010) |
| | | |
| | | | | | • Dimensional ETF Trust (since 2020) |
| | | |
Jan Miller 1963 | | Vice President, Chief Financial Officer, and Treasurer | | Since June 2021 | | Vice President (since January 2023) of • Dimensional Holdings Inc. • Dimensional Fund Advisors LP • Dimensional Investments LLC |
| | | |
| | | | | | • DFA Securities LLC |
| | | |
| | | | | | Vice President (since April 2022) of |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC |
| | | |
| | | | | | Vice President, Chief Financial Officer, and Treasurer (since June 2021) of |
| | | |
| | | | | | • the DFA Fund Complex |
| | | |
| | | | | | Formerly, Director (May 2019 – January 2021) at |
| | | |
| | | | | | • INVESCO, U.S. (formerly, OppenheimerFunds, Inc.) |
| | | |
| | | | | | Formerly, Vice President and Assistant Treasurer (September 2012 – May 2019) at |
| | | |
| | | | | | • OppenheimerFunds, Inc. |
| | | |
Catherine L. Newell 1964 | | President and General Counsel | | President since 2017 and General Counsel since 2001 | | President of • DFAIDG, DIG, DFAITC and DEM (since 2017) • Dimensional ETF Trust (since 2020) General Counsel of • all the DFA Entities (since 2001) |
| | | |
| | | | | | • Dimensional Fund Advisors LP (since 2006) |
| | | |
| | | | | | • Dimensional Holdings Inc. (since 2006) |
287
| | | | | | |
Name and Year of
Birth | | Position | | Term of Office1 and Length of Service | | Principal Occupation During Past 5 Years |
| | | |
| | | | | | • Dimensional Investment LLC (since 2009) • DFA Canada LLC (since 2009) • Dimensional ETF Trust (since 2020) Executive Vice President (since 2017) of • Dimensional Fund Advisors LP • Dimensional Holdings Inc. • DFA Securities LLC • Dimensional Investment LLC Secretary of • Dimensional Fund Advisors LP (since 2006) • Dimensional Holdings Inc. (since 2006) • DFA Securities LLC (since 2006) • Dimensional Investment LLC (since 2009) Vice President (since 1997) and Secretary (since 2002) of • DFA Australia Limited • Dimensional Fund Advisors Ltd. Vice President and Secretary of • Dimensional Fund Advisors Canada ULC (since 2003) • DFA Canada LLC (since 2009) • Dimensional Cayman Commodity Fund I Ltd. (since 2010) • Dimensional Japan Ltd. (since 2012) • Dimensional Advisors Ltd (since 2014) • Dimensional Fund Advisors Pte. Ltd. (since 2012) Vice President and Assistant Secretary (since 2012) of • Dimensional Hong Kong Limited |
| | | |
| | | | | | Director of |
| | | |
| | | | | | • Dimensional Australia Limited (since 2007) |
| | | |
| | | | | | • Dimensional Funds plc (since 2002) |
| | | |
| | | | | | • Dimensional Funds II plc (since 2006) |
| | | |
| | | | | | • Director of Dimensional Japan Ltd. (since 2012) |
| | | |
| | | | | | • Dimensional Advisors Ltd. (since 2012) |
| | | |
| | | | | | • Dimensional Fund Advisors Pte. Ltd. (since 2012) |
| | | |
| | | | | | • Dimensional Hong Kong Limited (since 2012) |
| | | |
| | | | | | • Dimensional Ireland Limited (since 2018) |
| | | |
| | | | | | Formerly, Vice President and Secretary (2010 – 2014) of |
| | | |
| | | | | | • Dimensional SmartNest (US) LLC |
| | | |
| | | | | | Formerly, Vice President (1997 – 2017) and Secretary (2000 – 2017) of |
| | | |
| | | | | | • DFAIDG, DIG, DFAITC and DEM |
| | | |
| | | | | | Formerly, Vice President of |
| | | |
| | | | | | • Dimensional Fund Advisors LP (1997 – 2017) |
| | | |
| | | | | | • Dimensional Holdings Inc. (2006 – 2017) |
| | | |
| | | | | | • DFA Securities LLC (1997 – 2017) |
| | | |
| | | | | | • Dimensional Investment LLC (2009 – 2017) |
| | | |
| | | | | | Formerly, Director (2002 – 2021) of |
| | | |
| | | | | | • Dimensional Fund Advisors Ltd. |
| | | |
Selwyn J. Notelovitz 1961 | | Vice President | | Since September 2021 | | Vice President (since September 2021) of • the DFA Fund Complex Vice President (since December 2012) and Chief Compliance Officer (since July 2020) of |
| | | |
| | | | | | • DFA Securities LLC |
| | | |
| | | | | | • Dimensional Fund Advisors LP |
| | | |
| | | | | | • Dimensional Holdings Inc. |
288
| | | | | | |
Name and Year of
Birth | | Position | | Term of
Office1
and
Length of
Service | | Principal Occupation During Past 5 Years |
| | | |
| | | | | | • Dimensional Investment LLC |
| | | |
| | | | | | Chief Compliance Officer (since July 2020) of: |
| | | |
| | | | | | • DFA Australia Limited |
| | | |
| | | | | | • Dimensional Fund Advisors Ltd. |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC |
| | | |
| | | | | | Formerly, Deputy Chief Compliance Officer (2013 – 2020) of: |
| | | |
| | | | | | • the DFA Fund Complex |
| | | |
| | | | | | • DFA Securities LLC |
| | | |
| | | | | | • Dimensional Fund Advisors LP |
| | | |
| | | | | | • Dimensional Holdings Inc. |
| | | |
| | | | | | • Dimensional Investment LLC |
| | | |
| | | | | | Formerly, Vice President (2013 – 2020) of: |
| | | |
| | | | | | • the DFA Fund Complex |
| | | |
| | | | | | Formerly, Director (2019 – 2021) of: |
| | | |
| | | | | | • Dimensional Ireland Limited |
| | | |
Carolyn L. O 1974 | | Vice President and Secretary | | Vice President since 2010 and Secretary since 2017 | | Vice President and Secretary of • DFAIDG, DIG, DFAITC and DEM (since 2010 and 2017, respectively) • Dimensional ETF Trust (since 2020) Vice President (since 2010) and Assistant Secretary (since 2016) of • Dimensional Fund Advisors LP |
| | | |
| | | | | | • Dimensional Holdings Inc. |
| | | |
| | | | | | • Dimensional Investment LLC |
| | | |
| | | | | | Vice President of |
| | | |
| | | | | | • DFA Securities LLC (since 2010) |
| | | |
| | | | | | • Dimensional Cayman Commodity Fund I Ltd. (since 2010) |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC (since 2016) |
| | | |
| | | | | | Assistant Secretary (since 2016) of |
| | | |
| | | | | | • DFA Securities LLC |
| | | |
Randy C. Olson 1980 | | Chief Compliance Officer | | Since 2020 | | Chief Compliance Officer (since 2020) of • the DFA Fund Complex |
| | | |
| | | | | | Vice President (since 2016) of |
| | | |
| | | | | | • DFA Securities LLC |
| | | |
| | | | | | • Dimensional Fund Advisors LP |
| | | |
| | | | | | • Dimensional Holdings Inc. |
| | | |
| | | | | | • Dimensional Investment LLC |
| | | |
| | | | | | Formerly, Vice President – Senior Compliance Officer of |
| | | |
| | | | | | • Dimensional Investment Advisors LP (January 2020 – August 2020 and July 2014 – March 2017) |
| | | |
| | | | | | Formerly, Vice President – Head of Compliance & Operations Asia Ex-Japan of |
| | | |
| | | | | | • Dimensional Investment Advisors LP (April 2017 – January 2020) |
| | | |
James J. Taylor 1983 | | Vice President and Assistant Treasurer | | Since 2020 | | Vice President and Assistant Treasurer (since 2020) of • the DFA Fund Complex |
| | | |
| | | | | | Vice President of |
| | | |
| | | | | | • Dimensional Holdings Inc. (since 2016) |
| | | |
| | | | | | • Dimensional Fund Advisors LP (since 2016) |
| | | |
| | | | | | • Dimensional Investment LLC (since 2016) |
| | | |
| | | | | | • DFA Securities LLC (since 2016) |
| | | |
| | | | | | • Dimensional Fund Advisors Canada ULC (since 2020) |
| 1 | Each officer holds office for an indefinite term at the pleasure of the Board of Directors and until his or her successor is elected and qualified. |
289
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting proxies relating to securities held in the portfolio is available (1) without charge, upon request, by calling collect: (512) 306-7400; (2) from the Advisor’s website at www.dimensional.com; and (3) on the SEC’s website at http://www.sec.gov. 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 www.dimensional.com/who-we-are/investment-stewardship and reflects the twelve-month period beginning July 1st and ending June 30th.
290
TAX NOTICE TO SHAREHOLDERS
(Unaudited)
The following information is solely for informational purposes. Each Portfolio is designating the U.S. federal income tax character of the following items with respect to distributions paid or expected to be paid to shareholders related to the fiscal year ended October 31, 2023. All designations are based on financial information available as of the date of this annual report and, accordingly are subject to change. For each classification below and including “Section 163(j) interest dividends” as defined in Treasury Regulation §1.163(j)-1(b)(35) and “Section 199A dividends” as defined in Treasury Regulation §1.199A -3(d), it is the intent of the Portfolio to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
For U.S. federal income tax purposes, shareholders generally must report distributions received from a Portfolio on a calendar-year basis, which therefore may include distributions with respect to portions of two fiscal years of the Portfolio. Annual statements needed by shareholders concerning the tax status of distributions received for the calendar year 2023 (e.g., IRS Form 1099-DIV) will be provided in early 2023. Shareholders should refer to these statements in preparing their calendar year 2023 tax returns. Please consult your tax advisor for the proper treatment of this information. Unless otherwise noted, the amounts in the table are expressed as a percentage of the distributions paid with respect to the fiscal year ended October 31, 2023.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | Qualified
Dividends
(for
Corporate
Dividends
Received
Deduction) (1) | | | Qualified
Dividend
Income (2) | | | U.S.
Government
Interest (3) | | | Foreign
Tax
Credit (4) | | | Foreign
Source
Income (5) | | | Qualified
Net
Interest
Income (6) | | | Qualified
Short-
Term
Capital
Gain (7) | |
Large Cap International Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 80 | % | | | — | | | | 6 | % | | | 94 | % | | | — | | | | — | |
International Core Equity Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 80 | % | | | — | | | | 7 | % | | | 94 | % | | | — | | | | — | |
Global Small Company Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | 35 | % | | | 91 | % | | | — | | | | 6 | % | | | 58 | % | | | 2 | % | | | — | |
International Small Company Portfolio | | | 72 | % | | | — | | | | 28 | % | | | — | | | | — | | | | 100 | % | | | — | | | | 85 | % | | | — | | | | 7 | % | | | 91 | % | | | 2 | % | | | — | |
Japanese Small Company Portfolio | | | 24 | % | | | — | | | | 76 | % | | | — | | | | — | | | | 100 | % | | | — | | | | 57 | % | | | — | | | | 6 | % | | | 58 | % | | | — | | | | — | |
Asia Pacific Small Company Portfolio | | | 42 | % | | | — | | | | 58 | % | | | — | | | | — | | | | 100 | % | | | — | | | | 55 | % | | | — | | | | 1 | % | | | 87 | % | | | — | | | | — | |
United Kingdom Small Company Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | 1 | % | | | 95 | % | | | — | | | | 1 | % | | | 95 | % | | | — | | | | — | |
Continental Small Company Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 100 | % | | | — | | | | 12 | % | | | 100 | % | | | — | | | | — | |
DFA International Real Estate Securities Portfolio | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 68 | % | | | — | | | | 8 | % | | | 100 | % | | | — | | | | — | |
DFA Global Real Estate Securities Portfolio | | | 26 | % | | | — | | | | 74 | % | | | — | | | | — | | | | 100 | % | | | — | | | | 37 | % | | | — | | | | — | | | | — | | | | — | | | | — | |
DFA International Small Cap Value Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 84 | % | | | — | | | | 8 | % | | | 91 | % | | | — | | | | — | |
International Vector Equity Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 75 | % | | | — | | | | 7 | % | | | 92 | % | | | — | | | | — | |
International High Relative Profitability Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 82 | % | | | — | | | | 7 | % | | | 100 | % | | | — | | | | — | |
World ex U.S. Value Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 74 | % | | | — | | | | 7 | % | | | 91 | % | | | — | | | | — | |
World ex U.S. Core Equity Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 65 | % | | | — | | | | 7 | % | | | 91 | % | | | — | | | | — | |
World ex U.S. Targeted Value Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 100 | % | | | — | | | | 12 | % | | | 100 | % | | | — | | | | — | |
World Core Equity Portfolio | | | 59 | % | | | — | | | | 41 | % | | | — | | | | — | | | | 100 | % | | | 41 | % | | | 84 | % | | | — | | | | 5 | % | | | 67 | % | | | 2 | % | | | — | |
Selectively Hedged Global Equity Portfolio | | | 63 | % | | | — | | | | 37 | % | | | — | | | | — | | | | 100 | % | | | 36 | % | | | 78 | % | | | — | | | | 5 | % | | | 62 | % | | | 1 | % | | | — | |
See accompanying Notes to Financial Statements.
291
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | Qualified
Dividends
(for
Corporate
Dividends
Received
Deduction) (1) | | | Qualified
Dividend
Income (2) | | | U.S.
Government
Interest (3) | | | Foreign
Tax
Credit (4) | | | Foreign
Source
Income (5) | | | Qualified
Net
Interest
Income (6) | | | Qualified
Short-
Term
Capital
Gain (7) | |
Emerging Markets Portfolio | | | 92 | % | | | — | | | | 8 | % | | | — | | | | — | | | | 100 | % | | | — | | | | 48 | % | | | — | | | | 10 | % | | | 86 | % | | | — | | | | — | |
Emerging Markets Small Cap Portfolio | | | 55 | % | | | — | | | | 45 | % | | | — | | | | — | | | | 100 | % | | | — | | | | 31 | % | | | — | | | | 11 | % | | | 71 | % | | | — | | | | — | |
Emerging Markets Value Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 56 | % | | | — | | | | 9 | % | | | 83 | % | | | — | | | | — | |
Emerging Markets Core Equity Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 43 | % | | | — | | | | 8 | % | | | 85 | % | | | — | | | | — | |
Emerging Markets Targeted Value Portfolio | | | 57 | % | | | — | | | | 43 | % | | | — | | | | — | | | | 100 | % | | | — | | | | 34 | % | | | — | | | | 8 | % | | | 64 | % | | | — | | | | — | |
Emerging Markets ex China Core Equity Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 52 | % | | | — | | | | 7 | % | | | 88 | % | | | — | | | | — | |
| (1) | Qualified Dividends represents the amount that qualifies for the corporate dividends-received deduction under Section 243 of the Internal Revenue Code and is reflected as a percentage of estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. |
| (2) | Qualified Dividend Income represents the amount that qualifies for the reduced capital gain tax rate under Section 1(h)(11) of the Internal Revenue Code and is reflected as a percentage of estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. |
| (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 estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. Generally, interest from direct U.S. Government obligations is exempt from state income tax. Please consult your tax advisor for the availability of a state tax exemption based on your individual circumstances. |
| (4) | Foreign Tax Credit represents the amount of dividends that qualify for the foreign tax credit pass through under Section 853 of the Internal Revenue Code and is reflected as a percentage of “investment company taxable income” (as defined in Section 852(b)(2) of the Internal Revenue Code). |
| (5) | Foreign Source Income represents the amount of dividends derived from foreign sources and is reflected as a percentage of “investment company taxable income” (as defined in Section 852(b)(2) of the Internal Revenue Code). |
| (6) | Qualified Net Interest Income represents the amount of interest income available as interest-related dividends generally exempt from withholding taxes for non-U.S. shareholders under Section 871(k)(1) of the Internal Revenue Code. The information is reflected as a percentage estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. |
| (7) | Qualified Short-Term Capital Gain represents the amount available as short-term capital gain dividends generally exempt from withholding taxes for non-U.S. shareholders under Section 871(k)(2) of the Internal Revenue Code. The information is reflected as a percentage of estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dimensional
Investment Group Inc. | | Net
Investment
Income
Distributions | | | Short-Term
Capital Gain
Distributions | | | Long-Term
Capital Gain
Distributions | | | Return of
Capital | | | Tax-Exempt
Interest | | | Total
Distributions | | | Qualified
Dividends
(for
Corporate
Dividends
Received
Deduction) (1) | | | Qualified
Dividend
Income (2) | | | U.S.
Government
Interest (3) | | | Foreign
Tax
Credit (4) | | | Foreign
Source
Income (5) | | | Qualified
Net
Interest
Income (6) | | | Qualified
Short-
Term
Capital
Gain (7) | |
DFA International Value Portfolio | | | 100 | % | | | — | | | | — | | | | — | | | | — | | | | 100 | % | | | — | | | | 82 | % | | | — | | | | 6 | % | | | 93 | % | | | — | | | | — | |
| (1) | Qualified Dividends represents the amount that qualifies for the corporate dividends-received deduction under Section 243 of the Internal Revenue Code and is reflected as a percentage of estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. |
See accompanying Notes to Financial Statements.
292
|
(2) Qualified Dividend Income represents the amount that qualifies for the reduced capital gain tax rate under Section 1(h)(11) of the Internal Revenue Code and is reflected as a percentage of estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. (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 estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. Generally, interest from direct U.S. Government obligations is exempt from state income tax. Please consult your tax advisor for the availability of a state tax exemption based on your individual circumstances. (4) Foreign Tax Credit represents the amount of dividends that qualify for the foreign tax credit pass through under Section 853 of the Internal Revenue Code and is reflected as a percentage of “investment company taxable income” (as defined in Section 852(b)(2) of the Internal Revenue Code). (5) Foreign Source Income represents the amount of dividends derived from foreign sources and is reflected as a percentage of “investment company taxable income” (as defined in Section 852(b)(2) of the Internal Revenue Code). (6) Qualified Net Interest Income represents the amount of interest income available as interest-related dividends generally exempt from withholding taxes for non-U.S. shareholders under Section 871(k)(1) of the Internal Revenue Code. The information is reflected as a percentage estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. (7) Qualified Short-Term Capital Gain represents the amount available as short-term capital gain dividends generally exempt from withholding taxes for non-U.S. shareholders under Section 871(k)(2) of the Internal Revenue Code. The information is reflected as a percentage of estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2023. See accompanying Notes to Financial Statements. |
293
| | |
 | | DFA103123-001AI 00293581 |
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 Co-Principal Executive Officers 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. |
Fiscal Year Ended October 31, 2023: $64,316
Fiscal Year Ended October 31, 2022: $57,378
Fees for Registrant Fiscal Year Ended October 31, 2023: $5,092
Fiscal Year Ended October 31, 2022: $4,641
For fiscal years ended October 31, 2023 and October 31, 2022, Audit-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, 2023: $235,000
Fiscal Year Ended October 31, 2022: $225,000
For the fiscal years ended October 31, 2023 and October 31, 2022, 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 SSAE 16 over controls at the Registrant’s investment adviser.
Fees for Registrant Fiscal Year Ended October 31, 2023: $0
Fiscal Year Ended October 31, 2022: $0
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.
Fees for Registrant Fiscal Year Ended October 31, 2023: $0
Fiscal Year Ended October 31, 2022: $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.
| | 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. |
| | 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, 2023 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, 2023: $2,157,342
Fiscal Year Ended October 31, 2022: $1,647,046
| | (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.
| (a) | The Registrant’s schedule of investments is provided below. |
DIMENSIONAL EMERGING MARKETS VALUE FUND
SCHEDULE OF INVESTMENTS
October 31, 2023
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
COMMON STOCKS — (97.9%) | | | | | | | | |
BRAZIL — (4.3%) | | | | | | | | |
* | | Allianca Saude e Participacoes SA | | | 10,802 | | | $ | 20,889 | |
* | | Anima Holding SA | | | 405,400 | | | | 209,062 | |
| | Atacadao SA | | | 1,115,768 | | | | 1,985,112 | |
| | Banco Bradesco SA, ADR | | | 1,008,174 | | | | 2,812,806 | |
| | Banco Bradesco SA | | | 3,830,236 | | | | 9,336,758 | |
| | Banco do Brasil SA | | | 2,702,352 | | | | 25,915,351 | |
| | Banco Santander Brasil SA | | | 1,048,219 | | | | 5,596,877 | |
| | BrasilAgro - Co. Brasileira de Propriedades Agricolas | | | 179,815 | | | | 882,357 | |
* | | BRF SA | | | 2,222,385 | | | | 4,703,297 | |
* | | C&A Modas SA | | | 297,100 | | | | 304,068 | |
| | Camil Alimentos SA | | | 637,291 | | | | 870,915 | |
| | Cia Brasileira de Aluminio | | | 178,800 | | | | 134,763 | |
* | | Cia Brasileira de Distribuicao | | | 866,358 | | | | 622,049 | |
| | Cia Siderurgica Nacional SA, Sponsored ADR | | | 748,986 | | | | 1,730,158 | |
| | Cia Siderurgica Nacional SA | | | 2,224,837 | | | | 5,189,484 | |
* | | Cogna Educacao SA | | | 4,847,861 | | | | 2,307,704 | |
| | Cyrela Brazil Realty SA Empreendimentos e Participacoes | | | 1,704,604 | | | | 6,082,377 | |
| | Dexco SA | | | 1,287,922 | | | | 1,752,396 | |
| | Diagnosticos da America SA | | | 15,700 | | | | 30,175 | |
* | | Embraer SA | | | 2,588,587 | | | | 9,031,238 | |
* | | Embraer SA, Sponsored ADR | | | 170,040 | | | | 2,370,358 | |
| | Empreendimentos Pague Menos SA | | | 94,109 | | | | 55,998 | |
| | Enauta Participacoes SA | | | 633,561 | | | | 2,190,305 | |
| | Eternit SA | | | 140,300 | | | | 205,925 | |
| | Even Construtora e Incorporadora SA | | | 668,356 | | | | 841,783 | |
| | Ez Tec Empreendimentos e Participacoes SA | | | 386,153 | | | | 1,100,614 | |
* | | Gafisa SA | | | 39,777 | | | | 40,946 | |
| | Gafisa SA, ADR | | | 18,331 | | | | 32,355 | |
| | Gerdau SA, Sponsored ADR | | | 4,617,515 | | | | 20,040,014 | |
| | Grupo Casas Bahia SA | | | 9,920,272 | | | | 885,431 | |
| | Grupo De Moda Soma SA | | | 1,189,687 | | | | 1,248,266 | |
* | | Guararapes Confeccoes SA | | | 458,800 | | | | 430,431 | |
* W | | Hapvida Participacoes e Investimentos SA | | | 13,879,894 | | | | 10,158,538 | |
* †† | | Hua Han Health Industry Holdings Ltd. | | | 17,852,160 | | | | 0 | |
* | | International Meal Co. Alimentacao SA, Class A | | | 714,142 | | | | 225,217 | |
| | Iochpe Maxion SA | | | 897,390 | | | | 2,007,747 | |
* | | IRB-Brasil Resseguros SA | | | 207,357 | | | | 1,673,494 | |
| | Jalles Machado SA | | | 93,438 | | | | 153,081 | |
| | JBS SA | | | 3,264,948 | | | | 12,971,073 | |
| | JHSF Participacoes SA | | | 2,062,505 | | | | 1,754,975 | |
| | Lavvi Empreendimentos Imobiliarios SA | | | 170,000 | | | | 227,937 | |
* | | Moura Dubeux Engenharia SA | | | 27,000 | | | | 54,785 | |
| | Movida Participacoes SA | | | 258,069 | | | | 447,881 | |
| | MRV Engenharia e Participacoes SA | | | 1,419,447 | | | | 2,322,693 | |
* | | Multilaser Industrial SA | | | 132,000 | | | | 46,341 | |
* | | Natura & Co. Holding SA | | | 3,325,538 | | | | 8,409,899 | |
# * | | Natura & Co. Holding SA, ADR | | | 49,497 | | | | 247,485 | |
| | Petroleo Brasileiro SA, Sponsored ADR | | | 9,391,055 | | | | 129,878,291 | |
# | | Petroleo Brasileiro SA, Sponsored ADR | | | 3,971,518 | | | | 59,572,770 | |
| | Petroleo Brasileiro SA | | | 11,148,884 | | | | 83,676,059 | |
| | Positivo Tecnologia SA | | | 385,008 | | | | 478,802 | |
| | Qualicorp Consultoria e Corretora de Seguros SA | | | 95,400 | | | | 54,306 | |
| | Romi SA | | | 282,009 | | | | 641,572 | |
* | | Sao Carlos Empreendimentos e Participacoes SA | | | 60,300 | | | | 297,568 | |
* W | | Ser Educacional SA | | | 42,900 | | | | 52,585 | |
| | TIM SA | | | 2,352,879 | | | | 7,079,521 | |
| | Trisul SA | | | 403,505 | | | | 372,152 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
BRAZIL — (Continued) | | | | | | | | |
| | Tupy SA | | | 388,884 | | | $ | 1,881,268 | |
| | Ultrapar Participacoes SA | | | 472,611 | | | | 1,916,972 | |
| | Usinas Siderurgicas de Minas Gerais SA Usiminas | | | 512,648 | | | | 675,159 | |
| | Vale SA | | | 116,849 | | | | 1,599,168 | |
| | Vale SA, Sponsored ADR, Class B | | | 6,867 | | | | 94,147 | |
| | Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao SA | | | 174,237 | | | | 546,721 | |
| | Vibra Energia SA | | | 622,034 | | | | 2,441,623 | |
| | YDUQS Participacoes SA | | | 218,700 | | | | 769,088 | |
* | | Zamp SA | | | 59,200 | | | | 74,561 | |
| | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 441,763,741 | |
| | | | | | | | | | |
CAYMAN ISLANDS — (0.0%) | | | | | | | | |
| | Eastech Holding Ltd. | | | 23,000 | | | | 41,872 | |
| | | | | | | | | | |
CHILE — (0.5%) | | | | | | | | |
| | Banco de Credito e Inversiones SA | | | 38,444 | | | | 919,622 | |
| | Besalco SA | | | 530,992 | | | | 231,103 | |
| | Camanchaca SA | | | 1,334,309 | | | | 72,370 | |
| | CAP SA | | | 564,938 | | | | 3,089,707 | |
| | Cementos BIO BIO SA | | | 665,307 | | | | 490,495 | |
| | Cencosud SA | | | 4,424,023 | | | | 7,169,784 | |
| | Cia Sud Americana de Vapores SA | | | 46,849,671 | | | | 2,601,552 | |
| | Cristalerias de Chile SA | | | 264,624 | | | | 866,101 | |
| | Empresa Nacional de Telecomunicaciones SA | | | 714,381 | | | | 2,411,181 | |
| | Empresas CMPC SA | | | 4,198,444 | | | | 7,508,683 | |
| | Empresas Copec SA | | | 1,591,396 | | | | 10,535,451 | |
| | Empresas Hites SA | | | 1,783,807 | | | | 189,406 | |
* | | Enel Americas SA | | | 31,194,929 | | | | 3,207,188 | |
| | Falabella SA | | | 1,358,030 | | | | 2,766,417 | |
| | Grupo Security SA | | | 4,213,159 | | | | 965,363 | |
| | Inversiones Aguas Metropolitanas SA | | | 2,219,249 | | | | 1,587,203 | |
| | Masisa SA | | | 9,452,384 | | | | 186,818 | |
| | PAZ Corp. SA | | | 1,562,812 | | | | 832,431 | |
| | Ripley Corp. SA | | | 575,325 | | | | 96,471 | |
| | Salfacorp SA | | | 2,712,464 | | | | 1,084,400 | |
| | Sigdo Koppers SA | | | 187,924 | | | | 245,754 | |
| | SMU SA | | | 2,906,860 | | | | 503,620 | |
| | Sociedad Matriz SAAM SA | | | 44,535,462 | | | | 4,763,457 | |
| | Socovesa SA | | | 3,702,080 | | | | 372,219 | |
| | SONDA SA | | | 233,491 | | | | 92,623 | |
| | Vina Concha y Toro SA | | | 636,185 | | | | 710,538 | |
| | | | | | | | | | |
TOTAL CHILE | | | | | | | 53,499,957 | |
| | | | | | | | | | |
CHINA — (25.7%) | | | | | | | | |
* | | 360 Security Technology, Inc., Class A | | | 484,433 | | | | 595,235 | |
| | 361 Degrees International Ltd. | | | 4,980,000 | | | | 2,424,281 | |
W | | 3SBio, Inc. | | | 5,535,500 | | | | 4,924,613 | |
* | | 5I5J Holding Group Co. Ltd., Class A | | | 1,102,800 | | | | 362,542 | |
* †† | | A Metaverse Co. | | | 270,000 | | | | 1,001 | |
# | | AAC Technologies Holdings, Inc. | | | 3,635,500 | | | | 6,544,030 | |
| | ADAMA Ltd., Class A | | | 191,800 | | | | 194,575 | |
| | Addsino Co. Ltd., Class A | | | 533,100 | | | | 619,378 | |
| | Advanced Technology & Materials Co. Ltd., Class A | | | 308,500 | | | | 399,910 | |
| | AECC Aero-Engine Control Co. Ltd., Class A | | | 244,300 | | | | 693,515 | |
| | AECC Aviation Power Co. Ltd., Class A | | | 267,307 | | | | 1,292,537 | |
| | Aerospace Hi-Tech Holdings Group Ltd., Class A | | | 348,523 | | | | 461,521 | |
# * | | Agile Group Holdings Ltd. | | | 6,776,999 | | | | 649,410 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
CHINA — (Continued) | | | | | | | | |
| | Agricultural Bank of China Ltd., Class H | | | 93,468,000 | | | $ | 34,523,002 | |
| | Aisino Corp., Class A | | | 596,467 | | | | 904,859 | |
| | Ajisen China Holdings Ltd. | | | 3,383,000 | | | | 357,619 | |
* | | Alibaba Group Holding Ltd. | | | 12,917,900 | | | | 132,990,722 | |
# * | | Alibaba Pictures Group Ltd. | | | 41,200,000 | | | | 2,632,383 | |
* W | | A-Living Smart City Services Co. Ltd. | | | 2,959,000 | | | | 1,395,137 | |
| | Allmed Medical Products Co. Ltd., Class A | | | 87,600 | | | | 121,848 | |
| | Aluminum Corp. of China Ltd., Class H | | | 18,350,000 | | | | 9,815,975 | |
| | Angang Steel Co. Ltd., Class H | | | 8,213,632 | | | | 1,805,816 | |
| | Anhui Conch Cement Co. Ltd., Class H | | | 4,681,500 | | | | 11,650,822 | |
| | Anhui Construction Engineering Group Co. Ltd., Class A | | | 569,100 | | | | 375,474 | |
| | Anhui Guangxin Agrochemical Co. Ltd., Class A | | | 260,482 | | | | 592,660 | |
| | Anhui Hengyuan Coal Industry & Electricity Power Co. Ltd., Class A | | | 499,340 | | | | 639,708 | |
| | Anhui Honglu Steel Construction Group Co. Ltd., Class A | | | 56,851 | | | | 195,291 | |
| | Anhui Huilong Agricultural Means of Production Co. Ltd., Class A | | | 338,500 | | | | 290,044 | |
| | Anhui Jiangnan Chemical Industry Co. Ltd., Class A | | | 910,803 | | | | 595,438 | |
| | Anhui Jinhe Industrial Co. Ltd., Class A | | | 213,500 | | | | 635,478 | |
* | | Anhui Tatfook Technology Co. Ltd., Class A | | | 204,100 | | | | 314,939 | |
| | Anhui Transport Consulting & Design Institute Co. Ltd., Class A | | | 28,680 | | | | 33,957 | |
| | Anhui Truchum Advanced Materials & Technology Co. Ltd., Class A | | | 416,600 | | | | 414,515 | |
| | Anhui Zhongding Sealing Parts Co. Ltd., Class A | | | 443,604 | | | | 781,994 | |
* | | Anton Oilfield Services Group | | | 15,688,000 | | | | 974,403 | |
* | | Aoshikang Technology Co. Ltd., Class A | | | 95,600 | | | | 410,065 | |
* | | Aotecar New Energy Technology Co. Ltd., Class A | | | 905,900 | | | | 330,894 | |
| | APT Satellite Holdings Ltd. | | | 154,000 | | | | 43,134 | |
* | | Asia - Potash International Investment Guangzhou Co. Ltd., Class A | | | 208,277 | | | | 811,916 | |
| | Asia Cement China Holdings Corp. | | | 2,825,500 | | | | 875,872 | |
W | | AsiaInfo Technologies Ltd. | | | 632,000 | | | | 653,635 | |
| | Avary Holding Shenzhen Co. Ltd., Class A | | | 697,181 | | | | 2,042,943 | |
| | AVIC Industry-Finance Holdings Co. Ltd., Class A | | | 2,042,900 | | | | 930,259 | |
| | AviChina Industry & Technology Co. Ltd., Class H | | | 12,969,000 | | | | 5,877,767 | |
W | | BAIC Motor Corp. Ltd., Class H | | | 9,775,500 | | | | 2,852,878 | |
* | | Baidu, Inc., Sponsored ADR | | | 624,224 | | | | 65,543,520 | |
W | | BAIOO Family Interactive Ltd. | | | 1,124,000 | | | | 35,952 | |
| | Bank of Beijing Co. Ltd., Class A | | | 4,898,822 | | | | 3,054,422 | |
| | Bank of Changsha Co. Ltd., Class A | | | 1,373,600 | | | | 1,379,789 | |
| | Bank of Chengdu Co. Ltd., Class A | | | 1,372,128 | | | | 2,318,984 | |
| | Bank of China Ltd., Class H | | | 287,427,817 | | | | 100,408,607 | |
| | Bank of Chongqing Co. Ltd., Class H | | | 3,051,500 | | | | 1,575,871 | |
| | Bank of Communications Co. Ltd., Class H | | | 27,933,574 | | | | 16,522,868 | |
| | Bank of Guiyang Co. Ltd., Class A | | | 1,238,651 | | | | 882,141 | |
| | Bank of Hangzhou Co. Ltd., Class A | | | 1,852,505 | | | | 2,709,472 | |
| | Bank of Jiangsu Co. Ltd., Class A | | | 5,223,615 | | | | 4,927,940 | |
| | Bank of Nanjing Co. Ltd., Class A | | | 3,569,531 | | | | 3,825,768 | |
| | Bank of Ningbo Co. Ltd., Class A | | | 2,278,081 | | | | 7,779,666 | |
| | Bank of Shanghai Co. Ltd., Class A | | | 3,354,147 | | | | 2,783,277 | |
| | Bank of Suzhou Co. Ltd., Class A | | | 1,286,708 | | | | 1,104,698 | |
* | | Bank of Tianjin Co. Ltd., Class H | | | 29,000 | | | | 6,440 | |
# * W | | Bank of Zhengzhou Co. Ltd., Class H | | | 487,143 | | | | 54,189 | |
| | Baoshan Iron & Steel Co. Ltd., Class A | | | 5,102,177 | | | | 4,364,540 | |
* | | Baoye Group Co. Ltd., Class H | | | 1,561,120 | | | | 780,866 | |
* | | Baozun, Inc., Class A | | | 47,900 | | | | 47,057 | |
| | BBMG Corp., Class H | | | 12,954,000 | | | | 1,276,446 | |
| | Befar Group Co. Ltd., Class A | | | 254,600 | | | | 157,310 | |
| | Beibuwan Port Co. Ltd., Class A | | | 312,900 | | | | 316,169 | |
| | Beijing Capital Development Co. Ltd., Class A | | | 389,880 | | | | 198,098 | |
| | Beijing Capital Eco-Environment Protection Group Co. Ltd., Class A | | | 3,199,879 | | | | 1,206,989 | |
* | | Beijing Capital International Airport Co. Ltd., Class H | | | 9,724,000 | | | | 3,581,713 | |
| | Beijing Dabeinong Technology Group Co. Ltd., Class A | | | 764,000 | | | | 729,985 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
CHINA — (Continued) | | | | | | | | |
| | Beijing Easpring Material Technology Co. Ltd., Class A | | | 173,221 | | | $ | 1,044,440 | |
| | Beijing Energy International Holding Co. Ltd. | | | 4,182,000 | | | | 107,998 | |
| | Beijing Enlight Media Co. Ltd., Class A | | | 387,100 | | | | 413,937 | |
| | Beijing Enterprises Holdings Ltd. | | | 2,882,000 | | | | 9,602,420 | |
| | Beijing Enterprises Water Group Ltd. | | | 17,994,000 | | | | 3,796,827 | |
| | Beijing GeoEnviron Engineering & Technology, Inc., Class A | | | 459,128 | | | | 493,284 | |
* | | Beijing Health Holdings Ltd. | | | 3,048,000 | | | | 30,637 | |
* | | Beijing Hezong Science & Technology Co. Ltd., Class A | | | 208,000 | | | | 116,729 | |
* | | Beijing Jetsen Technology Co. Ltd., Class A | | | 832,100 | | | | 553,362 | |
* | | Beijing Jingyuntong Technology Co. Ltd., Class A | | | 1,013,000 | | | | 639,836 | |
| | Beijing New Building Materials PLC, Class A | | | 465,110 | | | | 1,555,063 | |
* | | Beijing North Star Co. Ltd., Class H | | | 5,166,000 | | | | 521,887 | |
* | | Beijing Orient National Communication Science & Technology Co. Ltd., Class A | | | 57,400 | | | | 81,784 | |
| | Beijing Originwater Technology Co. Ltd., Class A | | | 753,163 | | | | 520,902 | |
| | Beijing Shougang Co. Ltd., Class A | | | 1,194,166 | | | | 632,942 | |
* | | Beijing Shunxin Agriculture Co. Ltd., Class A | | | 91,822 | | | | 285,795 | |
* | | Beijing Sinnet Technology Co. Ltd., Class A | | | 241,828 | | | | 335,788 | |
| | Beijing SPC Environment Protection Tech Co. Ltd., Class A | | | 223,235 | | | | 158,209 | |
W | | Beijing Urban Construction Design & Development Group Co. Ltd., Class H | | | 476,000 | | | | 117,436 | |
| | Beijing Yanjing Brewery Co. Ltd., Class A | | | 556,129 | | | | 790,553 | |
| | Beijing Zhong Ke San Huan High-Tech Co. Ltd., Class A | | | 396,102 | | | | 562,222 | |
| | Beijing-Shanghai High Speed Railway Co. Ltd., Class A | | | 6,501,356 | | | | 4,444,027 | |
* | | Bengang Steel Plates Co. Ltd., Class A | | | 746,400 | | | | 395,860 | |
| | Best Pacific International Holdings Ltd., Class H | | | 396,000 | | | | 51,624 | |
| | Bestsun Energy Co. Ltd., Class A | | | 173,200 | | | | 100,115 | |
| | BGI Genomics Co. Ltd., Class A | | | 117,100 | | | | 787,820 | |
| | Black Peony Group Co. Ltd., Class A | | | 151,800 | | | | 120,609 | |
W | | BOC Aviation Ltd. | | | 292,500 | | | | 1,798,899 | |
| | BOC International China Co. Ltd., Class A | | | 442,600 | | | | 659,603 | |
| | BOE Technology Group Co. Ltd., Class A | | | 8,021,226 | | | | 4,299,299 | |
| | BOE Varitronix Ltd. | | | 240,000 | | | | 204,116 | |
* | | Bohai Leasing Co. Ltd., Class A | | | 2,291,900 | | | | 749,084 | |
| | Bright Dairy & Food Co. Ltd., Class A | | | 630,905 | | | | 814,174 | |
| | Bright Real Estate Group Co. Ltd., Class A | | | 171,200 | | | | 52,188 | |
†† | | Brilliance China Automotive Holdings Ltd. | | | 16,650,000 | | | | 7,654,574 | |
* | | BTG Hotels Group Co. Ltd., Class A | | | 286,313 | | | | 653,629 | |
| | BYD Electronic International Co. Ltd. | | | 2,284,000 | | | | 9,534,586 | |
| | C C Land Holdings Ltd. | | | 15,072,429 | | | | 2,427,398 | |
| | C&D International Investment Group Ltd. | | | 741,698 | | | | 1,668,649 | |
| | Cabbeen Fashion Ltd. | | | 859,000 | | | | 54,960 | |
| | Caitong Securities Co. Ltd., Class A | | | 997,510 | | | | 1,082,874 | |
| | Camel Group Co. Ltd., Class A | | | 362,820 | | | | 408,464 | |
| | Cangzhou Mingzhu Plastic Co. Ltd., Class A | | | 448,300 | | | | 254,894 | |
| | Canmax Technologies Co. Ltd., Class A | | | 254,416 | | | | 946,195 | |
| | Capital Environment Holdings Ltd. | | | 12,116,000 | | | | 173,364 | |
| | Carrianna Group Holdings Co. Ltd. | | | 3,478,391 | | | | 139,912 | |
| | CECEP Solar Energy Co. Ltd., Class A | | | 1,309,900 | | | | 1,027,761 | |
| | CECEP Wind-Power Corp., Class A | | | 2,054,970 | | | | 890,631 | |
| | Central China Management Co. Ltd. | | | 7,334,350 | | | | 327,725 | |
| | Central China New Life Ltd. | | | 110,000 | | | | 30,392 | |
* | | Central China Real Estate Ltd. | | | 1,409,836 | | | | 16,329 | |
# | | CGN New Energy Holdings Co. Ltd. | | | 6,484,000 | | | | 1,691,139 | |
| | CGN Nuclear Technology Development Co. Ltd., Class A | | | 249,800 | | | | 248,007 | |
| | Changchun Faway Automobile Components Co. Ltd., Class A | | | 175,420 | | | | 220,547 | |
| | Changjiang Securities Co. Ltd., Class A | | | 1,260,190 | | | | 980,110 | |
| | Chaowei Power Holdings Ltd. | | | 3,239,000 | | | | 538,244 | |
| | Chengdu Hongqi Chain Co. Ltd., Class A | | | 482,110 | | | | 340,031 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
CHINA — (Continued) | | | | | | | | |
| | Chengdu Kanghong Pharmaceutical Group Co. Ltd., Class A | | | 83,100 | | | $ | 201,704 | |
| | Chengdu Wintrue Holding Co. Ltd., Class A | | | 338,300 | | | | 386,212 | |
* | | Chengtun Mining Group Co. Ltd., Class A | | | 50,764 | | | | 31,599 | |
| | Chenguang Biotech Group Co. Ltd., Class A | | | 40,200 | | | | 74,285 | |
| | Chengxin Lithium Group Co. Ltd., Class A | | | 270,700 | | | | 869,364 | |
| | Chengzhi Co. Ltd., Class A | | | 306,611 | | | | 351,041 | |
| | China Aerospace International Holdings Ltd. | | | 12,534,000 | | | | 536,534 | |
| | China Aircraft Leasing Group Holdings Ltd. | | | 896,000 | | | | 409,923 | |
| | China BlueChemical Ltd., Class H | | | 9,122,878 | | | | 2,134,927 | |
# * W | | China Bohai Bank Co. Ltd., Class H | | | 957,000 | | | | 140,639 | |
# * | | China Boton Group Co. Ltd. | | | 262,000 | | | | 39,104 | |
| | China CAMC Engineering Co. Ltd., Class A | | | 439,100 | | | | 527,548 | |
| | China Cinda Asset Management Co. Ltd., Class H | | | 35,063,000 | | | | 3,409,628 | |
| | China CITIC Bank Corp. Ltd., Class H | | | 33,541,112 | | | | 14,962,960 | |
| | China Coal Energy Co. Ltd., Class H | | | 10,805,000 | | | | 8,486,965 | |
| | China Communications Services Corp. Ltd., Class H | | | 13,261,071 | | | | 5,424,125 | |
# * | | China Conch Environment Protection Holdings Ltd. | | | 784,000 | | | | 192,851 | |
# | | China Conch Venture Holdings Ltd. | | | 5,507,000 | | | | 4,560,750 | |
| | China Construction Bank Corp., Class H | | | 393,120,101 | | | | 222,332,181 | |
| | China CSSC Holdings Ltd., Class A | | | 375,700 | | | | 1,329,252 | |
| | China Design Group Co. Ltd., Class A | | | 48,100 | | | | 50,339 | |
# * †† | | China Dili Group | | | 4,137,899 | | | | 65,464 | |
| | China Dongxiang Group Co. Ltd. | | | 4,834,000 | | | | 160,873 | |
| | China Education Group Holdings Ltd. | | | 550,000 | | | | 456,922 | |
| | China Electronics Huada Technology Co. Ltd. | | | 160,000 | | | | 26,035 | |
| | China Electronics Optics Valley Union Holding Co. Ltd. | | | 3,112,000 | | | | 139,202 | |
| | China Energy Engineering Corp. Ltd., Class A | | | 6,490,514 | | | | 1,934,331 | |
| | China Energy Engineering Corp. Ltd., Class H | | | 3,658,000 | | | | 397,887 | |
| | China Everbright Bank Co. Ltd., Class H | | | 12,961,000 | | | | 3,697,080 | |
# W | | China Everbright Greentech Ltd | | | 3,443,000 | | | | 348,206 | |
| | China Everbright Ltd. | | | 5,485,869 | | | | 3,263,572 | |
W | | China Feihe Ltd. | | | 3,880,000 | | | | 2,410,923 | |
* | | China Financial Services Holdings Ltd. | | | 94,200 | | | | 3,236 | |
| | China Foods Ltd. | | | 2,550,000 | | | | 883,052 | |
| | China Galaxy Securities Co. Ltd., Class H | | | 12,507,000 | | | | 6,401,187 | |
| | China Gas Holdings Ltd. | | | 12,467,800 | | | | 11,208,631 | |
| | China Glass Holdings Ltd. | | | 4,496,000 | | | | 431,625 | |
| | China Gold International Resources Corp. Ltd. | | | 334,500 | | | | 1,419,388 | |
| | China Great Wall Securities Co. Ltd., Class A | | | 427,300 | | | | 488,129 | |
| | China Greatwall Technology Group Co. Ltd., Class A | | | 353,300 | | | | 530,902 | |
| | China Green Electricity Investment of Tianjin Co. Ltd., Class A | | | 451,200 | | | | 676,607 | |
| | China Hanking Holdings Ltd. | | | 911,000 | | | | 82,578 | |
| | China Harmony Auto Holding Ltd. | | | 4,980,500 | | | | 433,068 | |
* | | China High Speed Railway Technology Co. Ltd., Class A | | | 716,600 | | | | 231,257 | |
# * | | China High Speed Transmission Equipment Group Co. Ltd. | | | 1,942,000 | | | | 454,220 | |
# | | China Hongqiao Group Ltd. | | | 11,456,000 | | | | 10,725,261 | |
# *†† W | | China Huarong Asset Management Co. Ltd., Class H | | | 32,996,000 | | | | 1,477,318 | |
†† | | China Huiyuan Juice Group Ltd. | | | 4,182,433 | | | | 187,388 | |
| | China International Marine Containers Group Co. Ltd., Class H | | | 4,642,920 | | | | 2,448,407 | |
# | | China Isotope & Radiation Corp. | | | 8,000 | | | | 12,858 | |
# | | China Jinmao Holdings Group Ltd. | | | 33,417,750 | | | | 4,098,914 | |
| | China Jushi Co. Ltd., Class A | | | 1,384,441 | | | | 2,191,039 | |
| | China Kepei Education Group Ltd. | | | 1,630,000 | | | | 429,516 | |
| | China Lesso Group Holdings Ltd. | | | 6,345,000 | | | | 3,407,090 | |
| | China Lilang Ltd. | | | 1,796,000 | | | | 868,044 | |
* | | China Longevity Group Co. Ltd. | | | 1,152,649 | | | | 37,856 | |
* †† | | China Maple Leaf Educational Systems Ltd. | | | 7,422,000 | | | | 63,547 | |
| | China Medical System Holdings Ltd. | | | 3,628,000 | | | | 5,801,525 | |
| | China Meheco Co. Ltd., Class A | | | 425,320 | | | | 694,997 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
CHINA — (Continued) | | | | | | | | |
# | | China Meidong Auto Holdings Ltd. | | | 352,000 | | | $ | 188,774 | |
| | China Merchants Bank Co. Ltd., Class H | | | 15,854,500 | | | | 60,140,735 | |
| | China Merchants Expressway Network & Technology Holdings Co. Ltd., Class A | | | 409,000 | | | | 521,565 | |
| | China Merchants Land Ltd. | | | 11,372,000 | | | | 458,422 | |
| | China Merchants Port Holdings Co. Ltd. | | | 7,044,291 | | | | 8,966,915 | |
| | China Merchants Property Operation & Service Co. Ltd., Class A | | | 175,700 | | | | 320,607 | |
W | | China Merchants Securities Co. Ltd., Class H | | | 573,220 | | | | 474,331 | |
| | China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A | | | 1,390,510 | | | | 2,097,397 | |
# * †† | | China Metal Recycling Holdings Ltd. | | | 3,259,800 | | | | 0 | |
| | China Minsheng Banking Corp. Ltd., Class H | | | 18,898,400 | | | | 6,282,975 | |
| | China Modern Dairy Holdings Ltd. | | | 10,563,000 | | | | 1,080,677 | |
| | China National Accord Medicines Corp. Ltd., Class A | | | 209,307 | | | | 823,878 | |
| | China National Building Material Co. Ltd., Class H | | | 20,975,250 | | | | 9,984,122 | |
| | China National Chemical Engineering Co. Ltd., Class A | | | 1,518,600 | | | | 1,453,420 | |
| | China National Medicines Corp. Ltd., Class A | | | 258,300 | | | | 1,016,387 | |
| | China National Nuclear Power Co. Ltd., Class A | | | 6,406,843 | | | | 6,498,756 | |
W | | China New Higher Education Group Ltd. | | | 2,511,000 | | | | 626,903 | |
* | | China Nonferrous Metal Industry’s Foreign Engineering & Construction Co. Ltd., Class A | | | 600,500 | | | | 374,242 | |
| | China Nonferrous Mining Corp. Ltd. | | | 741,000 | | | | 449,315 | |
* | | China Oil & Gas Group Ltd. | | | 18,900,000 | | | | 592,468 | |
| | China Oilfield Services Ltd., Class H | | | 6,294,000 | | | | 7,441,520 | |
| | China Oriental Group Co. Ltd. | | | 6,382,000 | | | | 980,973 | |
| | China Overseas Grand Oceans Group Ltd. | | | 10,946,742 | | | | 3,731,447 | |
| | China Overseas Land & Investment Ltd. | | | 12,609,000 | | | | 23,794,553 | |
| | China Pacific Insurance Group Co. Ltd., Class H | | | 7,156,200 | | | | 17,628,355 | |
| | China Petroleum & Chemical Corp., Class H | | | 95,493,575 | | | | 48,839,016 | |
| | China Railway Group Ltd., Class H | | | 15,465,000 | | | | 7,298,923 | |
W | | China Railway Signal & Communication Corp. Ltd., Class H | | | 6,029,000 | | | | 1,888,055 | |
| | China Railway Tielong Container Logistics Co. Ltd., Class A | | | 303,900 | | | | 251,786 | |
* | | China Rare Earth Holdings Ltd. | | | 3,822,600 | | | | 175,901 | |
| | China Reinsurance Group Corp., Class H | | | 24,824,000 | | | | 1,397,507 | |
# * †† W | | China Renaissance Holdings Ltd. | | | 192,200 | | | | 67,053 | |
# | | China Resources Cement Holdings Ltd. | | | 13,460,000 | | | | 3,460,952 | |
| | China Resources Double Crane Pharmaceutical Co. Ltd., Class A | | | 347,381 | | | | 814,246 | |
| | China Resources Gas Group Ltd. | | | 2,786,200 | | | | 8,236,351 | |
# | | China Resources Land Ltd. | | | 15,272,000 | | | | 57,164,716 | |
| | China Resources Medical Holdings Co. Ltd. | | | 4,937,000 | | | | 2,911,733 | |
W | | China Resources Pharmaceutical Group Ltd. | | | 8,926,500 | | | | 5,545,107 | |
# | | China Risun Group Ltd. | | | 2,704,000 | | | | 1,105,570 | |
* | | China Sanjiang Fine Chemicals Co. Ltd. | | | 4,261,000 | | | | 545,422 | |
# * | | China SCE Group Holdings Ltd. | | | 6,432,000 | | | | 143,022 | |
# W | | China Shengmu Organic Milk Ltd. | | | 729,000 | | | | 27,927 | |
| | China Shenhua Energy Co. Ltd., Class H | | | 14,249,500 | | | | 43,674,296 | |
| | China Shineway Pharmaceutical Group Ltd. | | | 1,750,000 | | | | 1,552,018 | |
# * | | China Shuifa Singyes Energy Holdings Ltd. | | | 926,000 | | | | 47,330 | |
* | | China Silver Group Ltd. | | | 8,162,000 | | | | 196,948 | |
# | | China South City Holdings Ltd. | | | 26,638,000 | | | | 1,413,093 | |
| | China South Publishing & Media Group Co. Ltd., Class A | | | 602,000 | | | | 931,346 | |
| | China Starch Holdings Ltd. | | | 13,595,000 | | | | 234,909 | |
| | China State Construction Engineering Corp. Ltd., Class A | | | 13,504,506 | | | | 9,557,524 | |
| | China State Construction International Holdings Ltd. | | | 648,000 | | | | 694,098 | |
* | | China Sunshine Paper Holdings Co. Ltd. | | | 2,001,000 | | | | 650,126 | |
| | China Taiping Insurance Holdings Co. Ltd. | | | 8,050,600 | | | | 7,436,952 | |
* | | China Tianrui Group Cement Co. Ltd., Class C | | | 45,000 | | | | 33,529 | |
* | | China Tianying, Inc., Class A | | | 948,700 | | | | 766,914 | |
W | | China Tower Corp. Ltd., Class H | | | 167,822,000 | | | | 15,649,518 | |
| | China Traditional Chinese Medicine Holdings Co. Ltd. | | | 15,456,000 | | | | 7,615,879 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
CHINA — (Continued) | | | | | | | | |
* | | China TransInfo Technology Co. Ltd., Class A | | | 178,482 | | | $ | 281,304 | |
| | China Travel International Investment Hong Kong Ltd. | | | 13,015,631 | | | | 2,315,446 | |
| | China Tungsten & Hightech Materials Co. Ltd., Class A | | | 393,552 | | | | 479,263 | |
| | China Vanke Co. Ltd., Class H | | | 7,556,105 | | | | 7,069,158 | |
| | China West Construction Group Co. Ltd., Class A | | | 394,200 | | | | 363,064 | |
W | | China Xinhua Education Group Ltd. | | | 294,000 | | | | 22,486 | |
| | China XLX Fertiliser Ltd. | | | 2,216,000 | | | | 963,727 | |
| | China Yongda Automobiles Services Holdings Ltd. | | | 5,064,000 | | | | 1,944,838 | |
# * W | | China Yuhua Education Corp. Ltd. | | | 470,000 | | | | 36,078 | |
# | | China Zheshang Bank Co. Ltd., Class H | | | 1,029,800 | | | | 255,391 | |
| | China Zhongwang Holdings Ltd. | | | 13,622,954 | | | | 548,383 | |
| | China-Singapore Suzhou Industrial Park Development Group Co. Ltd., Class A | | | 96,800 | | | | 108,262 | |
| | Chinasoft International Ltd. | | | 7,386,000 | | | | 5,358,670 | |
| | Chinese Universe Publishing & Media Group Co. Ltd., Class A | | | 356,500 | | | | 563,991 | |
| | Chongqing Changan Automobile Co. Ltd., Class A | | | 2,578,342 | | | | 5,335,763 | |
| | Chongqing Department Store Co. Ltd., Class A | | | 140,984 | | | | 520,734 | |
* | | Chongqing Iron & Steel Co. Ltd., Class H | | | 798,000 | | | | 81,611 | |
| | Chongqing Machinery & Electric Co. Ltd., Class H | | | 1,022,000 | | | | 71,954 | |
| | Chongqing Rural Commercial Bank Co. Ltd., Class H | | | 13,077,000 | | | | 4,950,705 | |
| | Chongqing Sanfeng Environment Group Corp. Ltd., Class A | | | 543,700 | | | | 578,197 | |
| | Chongqing Zongshen Power Machinery Co. Ltd., Class A | | | 423,300 | | | | 369,732 | |
| | Chow Tai Seng Jewellery Co. Ltd., Class A | | | 185,700 | | | | 374,683 | |
| | Chu Kong Shipping Enterprises Group Co. Ltd. | | | 526,000 | | | | 53,888 | |
| | CIFI Ever Sunshine Services Group Ltd. | | | 698,000 | | | | 115,117 | |
| | CIMC Enric Holdings Ltd. | | | 3,668,000 | | | | 3,113,012 | |
W | | CIMC Vehicles Group Co. Ltd., Class H | | | 37,500 | | | | 27,218 | |
| | Cinda Real Estate Co. Ltd., Class A | | | 783,100 | | | | 417,339 | |
| | Cisen Pharmaceutical Co. Ltd., Class A | | | 161,500 | | | | 315,411 | |
| | CITIC Ltd. | | | 17,848,483 | | | | 15,170,103 | |
| | CITIC Resources Holdings Ltd. | | | 15,150,000 | | | | 629,647 | |
| | CITIC Securities Co. Ltd., Class H | | | 5,156,825 | | | | 10,034,444 | |
| | City Development Environment Co. Ltd., Class A | | | 50,400 | | | | 75,773 | |
* | | Citychamp Watch & Jewellery Group Ltd. | | | 476,000 | | | | 74,686 | |
* | | CMGE Technology Group Ltd. | | | 74,000 | | | | 12,413 | |
| | CMOC Group Ltd., Class H | | | 3,837,000 | | | | 2,288,428 | |
| | CMST Development Co. Ltd., Class A | | | 759,700 | | | | 530,974 | |
* | | CNFinance Holdings Ltd., ADR | | | 5,312 | | | | 13,333 | |
| | CNGR Advanced Material Co. Ltd., Class A | | | 19,600 | | | | 145,796 | |
| | CNNC Hua Yuan Titanium Dioxide Co. Ltd., Class A | | | 714,560 | | | | 465,248 | |
| | CNOOC Energy Technology & Services Ltd., Class A | | | 2,122,901 | | | | 883,161 | |
| | CNSIG Inner Mongolia Chemical Industry Co. Ltd., Class A | | | 586,677 | | | | 641,207 | |
| | COFCO Biotechnology Co. Ltd., Class A | | | 629,700 | | | | 587,226 | |
* | | COFCO Joycome Foods Ltd. | | | 2,398,000 | | | | 558,120 | |
| | Comba Telecom Systems Holdings Ltd. | | | 634,000 | | | | 72,097 | |
| | Concord New Energy Group Ltd. | | | 35,720,000 | | | | 2,925,085 | |
| | Consun Pharmaceutical Group Ltd. | | | 2,094,000 | | | | 1,231,652 | |
* | | Coolpad Group Ltd. | | | 13,182,079 | | | | 97,736 | |
| | COSCO SHIPPING Development Co. Ltd., Class H | | | 14,221,000 | | | | 1,454,227 | |
| | COSCO SHIPPING Energy Transportation Co. Ltd., Class H | | | 2,280,000 | | | | 2,418,013 | |
| | COSCO SHIPPING Holdings Co. Ltd., Class H | | | 14,007,500 | | | | 14,246,148 | |
| | COSCO SHIPPING International Hong Kong Co. Ltd. | | | 3,516,000 | | | | 1,330,388 | |
| | COSCO SHIPPING Ports Ltd. | | | 9,744,389 | | | | 5,878,709 | |
| | CPMC Holdings Ltd. | | | 4,066,000 | | | | 3,119,053 | |
| | CQ Pharmaceutical Holding Co. Ltd., Class A | | | 507,600 | | | | 356,783 | |
# * | | Crazy Sports Group Ltd. | | | 8,236,000 | | | | 113,738 | |
| | CRRC Corp. Ltd., Class H | | | 1,377,000 | | | | 573,691 | |
| | CSG Holding Co. Ltd., Class A | | | 632,849 | | | | 467,822 | |
| | CSSC Hong Kong Shipping Co. Ltd. | | | 916,000 | | | | 161,692 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
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| | | | | Shares | | | Value» | |
CHINA — (Continued) | | | | | | | | |
| | CTS International Logistics Corp. Ltd., Class A | | | 433,870 | | | $ | 429,516 | |
| | Daan Gene Co. Ltd., Class A | | | 484,033 | | | | 644,941 | |
| | Dalian Huarui Heavy Industry Group Co. Ltd., Class A | | | 619,671 | | | | 387,269 | |
| | Daqin Railway Co. Ltd., Class A | | | 6,249,361 | | | | 6,159,369 | |
| | Dashang Co. Ltd., Class A | | | 178,708 | | | | 418,330 | |
| | Dawnrays Pharmaceutical Holdings Ltd. | | | 684,000 | | | | 98,141 | |
| | Dazhong Transportation Group Co. Ltd., Class A | | | 359,539 | | | | 149,896 | |
| | Dazzle Fashion Co. Ltd., Class A | | | 16,100 | | | | 30,947 | |
| | DBG Technology Co. Ltd., Class A | | | 298,278 | | | | 1,242,468 | |
| | DHC Software Co. Ltd., Class A | | | 820,400 | | | | 706,934 | |
| | Dian Diagnostics Group Co. Ltd., Class A | | | 158,900 | | | | 499,672 | |
| | Digital China Group Co. Ltd., Class A | | | 90,100 | | | | 383,543 | |
| | Digital China Holdings Ltd. | | | 3,497,000 | | | | 959,745 | |
| | Digital China Information Service Group Co. Ltd., Class A | | | 316,700 | | | | 528,338 | |
| | Dong-E-E-Jiao Co. Ltd., Class A | | | 124,013 | | | | 786,711 | |
| | Dongfang Electric Corp. Ltd., Class H | | | 973,200 | | | | 933,695 | |
| | Dongfeng Motor Group Co. Ltd., Class H | | | 12,524,000 | | | | 5,513,367 | |
| | Dongguan Aohai Technology Co. Ltd., Class A | | | 5,400 | | | | 28,276 | |
| | Dongguan Development Holdings Co. Ltd., Class A | | | 308,200 | | | | 380,181 | |
| | Dongxing Securities Co. Ltd., Class A | | | 763,900 | | | | 835,380 | |
| | Dongyue Group Ltd. | | | 6,472,000 | | | | 5,155,265 | |
| | Dynagreen Environmental Protection Group Co. Ltd., Class H | | | 638,000 | | | | 189,293 | |
| | E-Commodities Holdings Ltd. | | | 5,880,000 | | | | 1,015,451 | |
| | Edvantage Group Holdings Ltd. | | | 351,596 | | | | 110,478 | |
| | EIT Environmental Development Group Co. Ltd., Class A | | | 840 | | | | 1,729 | |
| | Elion Energy Co. Ltd., Class A | | | 807,498 | | | | 302,556 | |
| | ENN Natural Gas Co. Ltd., Class A | | | 219,900 | | | | 518,961 | |
| | Era Co. Ltd., Class A | | | 302,300 | | | | 219,389 | |
| | Essex Bio-technology Ltd. | | | 207,000 | | | | 74,022 | |
| | Eternal Asia Supply Chain Management Ltd., Class A | | | 363,800 | | | | 217,875 | |
# | | EVA Precision Industrial Holdings Ltd. | | | 4,192,000 | | | | 418,215 | |
* | | Everbright Jiabao Co. Ltd., Class A | | | 332,766 | | | | 123,628 | |
# W | | Everbright Securities Co. Ltd., Class H | | | 727,200 | | | | 493,920 | |
* | | Fangda Carbon New Material Co. Ltd., Class A | | | 915,594 | | | | 738,463 | |
* | | Fangda Special Steel Technology Co. Ltd., Class A | | | 738,170 | | | | 501,354 | |
# | | Far East Horizon Ltd. | | | 7,898,000 | | | | 5,557,321 | |
* | | FAW Jiefang Group Co. Ltd., Class A | | | 724,752 | | | | 913,218 | |
| | FAWER Automotive Parts Co. Ltd., Class A | | | 470,012 | | | | 338,048 | |
| | Fiberhome Telecommunication Technologies Co. Ltd., Class A | | | 312,178 | | | | 767,291 | |
* | | FIH Mobile Ltd. | | | 4,468,000 | | | | 331,628 | |
| | Financial Street Holdings Co. Ltd., Class A | | | 299,830 | | | | 168,717 | |
| | FinVolution Group, ADR | | | 239,660 | | | | 1,133,592 | |
| | First Capital Securities Co. Ltd., Class A | | | 539,800 | | | | 431,667 | |
| | Fosun International Ltd. | | | 9,712,683 | | | | 5,819,261 | |
| | Founder Securities Co. Ltd., Class A | | | 1,689,907 | | | | 1,751,425 | |
| | Foxconn Industrial Internet Co. Ltd., Class A | | | 1,612,993 | | | | 3,249,910 | |
| | Fu Shou Yuan International Group Ltd. | | | 2,126,000 | | | | 1,427,321 | |
# | | Fufeng Group Ltd. | | | 8,982,000 | | | | 4,665,002 | |
| | Fujian Funeng Co. Ltd., Class A | | | 644,857 | | | | 755,006 | |
| | Fujian Star-net Communication Co. Ltd., Class A | | | 188,271 | | | | 465,071 | |
| | Fujian Sunner Development Co. Ltd., Class A | | | 371,798 | | | | 914,435 | |
* | | Gansu Qilianshan Cement Group Co. Ltd., Class A | | | 256,400 | | | | 380,477 | |
| | Gansu Shangfeng Cement Co. Ltd., Class A | | | 334,680 | | | | 399,457 | |
| | GCL Energy Technology Co. Ltd., Class A | | | 367,800 | | | | 584,690 | |
| | GCL Technology Holdings Ltd. | | | 28,393,000 | | | | 4,181,366 | |
* | | GDS Holdings Ltd., Class A | | | 1,723,600 | | | | 2,195,767 | |
| | Geely Automobile Holdings Ltd. | | | 23,097,000 | | | | 26,222,596 | |
| | GEM Co. Ltd., Class A | | | 1,341,600 | | | | 1,074,996 | |
| | Gemdale Corp., Class A | | | 1,042,554 | | | | 735,725 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
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CHINA — (Continued) | | | | | | | | |
# | | Gemdale Properties & Investment Corp. Ltd. | | | 33,144,000 | | | $ | 981,895 | |
W | | Genertec Universal Medical Group Co. Ltd. | | | 5,172,500 | | | | 2,626,544 | |
| | GF Securities Co. Ltd., Class H | | | 2,865,000 | | | | 3,730,120 | |
| | Giant Network Group Co. Ltd., Class A | | | 283,200 | | | | 457,261 | |
* | | Glorious Property Holdings Ltd. | | | 11,363,000 | | | | 14,408 | |
* | | Glory Health Industry Ltd. | | | 2,648,000 | | | | 26,529 | |
| | GoerTek, Inc., Class A | | | 826,631 | | | | 2,040,760 | |
| | Goldcard Smart Group Co. Ltd., Class A | | | 156,680 | | | | 264,560 | |
| | GoldenHome Living Co. Ltd., Class A | | | 68,570 | | | | 244,817 | |
| | Goldenmax International Group Ltd., Class A | | | 263,500 | | | | 349,338 | |
| | Goldlion Holdings Ltd. | | | 1,887,000 | | | | 246,545 | |
| | Goldpac Group Ltd. | | | 1,296,000 | | | | 231,929 | |
| | Goldwind Science & Technology Co. Ltd., Class H | | | 2,934,000 | | | | 1,399,883 | |
* | | Gotion High-tech Co. Ltd., Class A | | | 307,483 | | | | 957,251 | |
* | | Grand Baoxin Auto Group Ltd. | | | 5,086,500 | | | | 125,401 | |
| | Grand Pharmaceutical Group Ltd., Class L | | | 3,642,500 | | | | 1,958,100 | |
* | | Grandjoy Holdings Group Co. Ltd., Class A | | | 904,100 | | | | 429,827 | |
* | | Greattown Holdings Ltd., Class A | | | 299,300 | | | | 130,936 | |
* | | Greatview Aseptic Packaging Co. Ltd. | | | 2,172,000 | | | | 553,114 | |
| | Gree Electric Appliances, Inc. of Zhuhai, Class A | | | 985,500 | | | | 4,570,825 | |
* | | Greenland Hong Kong Holdings Ltd. | | | 7,597,575 | | | | 247,827 | |
| | Greentown China Holdings Ltd. | | | 4,946,591 | | | | 4,798,889 | |
| | Greentown Service Group Co. Ltd. | | | 592,000 | | | | 230,896 | |
| | GRG Banking Equipment Co. Ltd., Class A | | | 289,500 | | | | 461,970 | |
| | Guangdong Advertising Group Co. Ltd., Class A | | | 394,637 | | | | 272,785 | |
* | | Guangdong Dongfang Precision Science & Technology Co. Ltd., Class A | | | 601,100 | | | | 378,740 | |
| | Guangdong Dongpeng Holdings Co. Ltd., Class A | | | 195,700 | | | | 240,879 | |
| | Guangdong HEC Technology Holding Co. Ltd., Class A | | | 965,600 | | | | 939,277 | |
| | Guangdong Hybribio Biotech Co. Ltd., Class A | | | 119,400 | | | | 150,035 | |
| | Guangdong Provincial Expressway Development Co. Ltd., Class A | | | 283,660 | | | | 313,509 | |
* | | Guangdong Shirongzhaoye Co. Ltd., Class A | | | 163,300 | | | | 148,290 | |
| | Guangdong South New Media Co. Ltd., Class A | | | 29,400 | | | | 145,989 | |
| | Guangdong Tapai Group Co. Ltd., Class A | | | 353,173 | | | | 364,035 | |
| | Guangdong Xinbao Electrical Appliances Holdings Co. Ltd., Class A | | | 255,935 | | | | 586,841 | |
| | Guangdong Zhongnan Iron & Steel Co. Ltd., Class A | | | 773,600 | | | | 306,860 | |
| | Guanghui Energy Co. Ltd., Class A | | | 2,236,238 | | | | 2,295,686 | |
* | | Guangshen Railway Co. Ltd., Class H | | | 1,216,000 | | | | 217,477 | |
| | Guangxi Liugong Machinery Co. Ltd., Class A | | | 457,590 | | | | 401,665 | |
| | Guangxi LiuYao Group Co. Ltd., Class A | | | 152,811 | | | | 433,315 | |
| | Guangzhou Automobile Group Co. Ltd., Class H | | | 9,030,000 | | | | 4,230,535 | |
* | | Guangzhou Baiyun International Airport Co. Ltd., Class A | | | 27,300 | | | | 39,520 | |
| | Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class H | | | 648,000 | | | | 1,723,878 | |
| | Guangzhou Haige Communications Group, Inc. Co., Class A | | | 224,400 | | | | 356,346 | |
| | Guangzhou KDT Machinery Co. Ltd., Class A | | | 49,200 | | | | 121,320 | |
| | Guangzhou Yuexiu Capital Holdings Group Co. Ltd., Class A | | | 852,956 | | | | 765,219 | |
| | Guangzhou Zhujiang Brewery Co. Ltd., Class A | | | 218,300 | | | | 253,755 | |
| | Guizhou Panjiang Refined Coal Co. Ltd., Class A | | | 952,832 | | | | 793,317 | |
| | Guizhou Xinbang Pharmaceutical Co. Ltd., Class A | | | 564,000 | | | | 376,060 | |
| | Guosen Securities Co. Ltd., Class A | | | 1,426,327 | | | | 1,873,496 | |
* | | Guosheng Financial Holding, Inc., Class A | | | 257,924 | | | | 350,264 | |
W | | Guotai Junan Securities Co. Ltd., Class H | | | 1,397,800 | | | | 1,560,119 | |
| | Guoyuan Securities Co. Ltd., Class A | | | 915,650 | | | | 866,531 | |
| | Haier Smart Home Co. Ltd., Class A | | | 1,220,096 | | | | 3,707,053 | |
* | | Hainan Meilan International Airport Co. Ltd., Class H | | | 119,000 | | | | 96,504 | |
| | Haitian International Holdings Ltd. | | | 1,575,000 | | | | 3,757,291 | |
| | Haitong Securities Co. Ltd., Class H | | | 9,292,800 | | | | 5,335,793 | |
| | Hang Zhou Great Star Industrial Co. Ltd., Class A | | | 329,000 | | | | 891,344 | |
| | Hangcha Group Co. Ltd., Class A | | | 207,500 | | | | 623,895 | |
| | Hangxiao Steel Structure Co. Ltd., Class A | | | 701,322 | | | | 330,934 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
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| | | | | Shares | | | Value» | |
CHINA — (Continued) | | | | | | | | |
| | Hangzhou Binjiang Real Estate Group Co. Ltd., Class A | | | 717,400 | | | $ | 821,079 | |
| | Hangzhou Haoyue Personal Care Co. Ltd., Class A | | | 2,100 | | | | 11,420 | |
| | Hangzhou Robam Appliances Co. Ltd., Class A | | | 150,000 | | | | 473,230 | |
| | Han’s Laser Technology Industry Group Co. Ltd., Class A | | | 461,214 | | | | 1,353,882 | |
* W | | Harbin Bank Co. Ltd., Class H | | | 1,611,000 | | | | 48,804 | |
| | Harbin Electric Co. Ltd., Class H | | | 3,817,474 | | | | 1,098,080 | |
| | HBIS Resources Co. Ltd., Class A | | | 162,900 | | | | 364,536 | |
| | Health & Happiness H&H International Holdings Ltd. | | | 594,000 | | | | 671,571 | |
* | | Hebei Construction Group Corp. Ltd., Class H | | | 322,500 | | | | 29,264 | |
| | Hefei Urban Construction Development Co. Ltd., Class A | | | 191,329 | | | | 179,676 | |
| | Hello Group, Inc., Sponsored ADR | | | 186,735 | | | | 1,322,084 | |
| | Henan Mingtai Al Industrial Co. Ltd., Class A | | | 313,400 | | | | 526,370 | |
| | Henan Shenhuo Coal & Power Co. Ltd., Class A | | | 570,300 | | | | 1,281,955 | |
* | | Henan Yicheng New Energy Co. Ltd., Class A | | | 617,040 | | | | 402,479 | |
| | Henan Yuguang Gold & Lead Co. Ltd., Class A | | | 306,905 | | | | 259,116 | |
| | Henan Zhongyuan Expressway Co. Ltd., Class A | | | 608,400 | | | | 296,815 | |
| | Hengan International Group Co. Ltd. | | | 2,720,500 | | | | 9,111,764 | |
* | | Hengdeli Holdings Ltd. | | | 14,156,000 | | | | 253,183 | |
* | | Hengli Petrochemical Co. Ltd., Class A | | | 1,657,374 | | | | 3,320,151 | |
| | Hengtong Optic-electric Co. Ltd., Class A | | | 654,008 | | | | 1,179,180 | |
* | | Hengyi Petrochemical Co. Ltd., Class A | | | 915,641 | | | | 900,116 | |
| | Hesteel Co. Ltd., Class A | | | 3,844,300 | | | | 1,176,974 | |
| | Hexing Electrical Co. Ltd., Class A | | | 202,190 | | | | 627,532 | |
* | | Hi Sun Technology China Ltd. | | | 9,864,000 | | | | 642,801 | |
* | | Hongda Xingye Co. Ltd., Class A | | | 216,456 | | | | 40,912 | |
* | | Honghua Group Ltd. | | | 15,729,000 | | | | 237,477 | |
* | | Hongli Zhihui Group Co. Ltd., Class A | | | 72,500 | | | | 81,911 | |
* W | | Honworld Group Ltd. | | | 1,002,500 | | | | 62,613 | |
#* W | | Hope Education Group Co. Ltd. | | | 6,644,000 | | | | 391,350 | |
* | | Hopson Development Holdings Ltd. | | | 6,102,462 | | | | 3,573,196 | |
* W | | Hua Hong Semiconductor Ltd. | | | 2,386,000 | | | | 5,874,529 | |
| | Huabao Flavours & Fragrances Co. Ltd., Class A | | | 78,204 | | | | 238,031 | |
| | Huafon Chemical Co. Ltd., Class A | | | 1,592,348 | | | | 1,578,947 | |
* | | Huafu Fashion Co. Ltd., Class A | | | 458,898 | | | | 224,630 | |
| | Huaibei Mining Holdings Co. Ltd., Class A | | | 856,600 | | | | 1,716,983 | |
| | Huapont Life Sciences Co. Ltd., Class A | | | 604,400 | | | | 401,560 | |
W | | Huatai Securities Co. Ltd., Class H | | | 4,600,200 | | | | 6,022,591 | |
| | Huaxi Securities Co. Ltd., Class A | | | 598,255 | | | | 648,212 | |
| | Huaxia Bank Co. Ltd., Class A | | | 4,263,587 | | | | 3,263,997 | |
| | Huaxin Cement Co. Ltd., Class A | | | 624,228 | | | | 1,271,328 | |
| | Huayu Automotive Systems Co. Ltd., Class A | | | 1,157,145 | | | | 2,775,128 | |
| | Hubei Jumpcan Pharmaceutical Co. Ltd., Class A | | | 283,294 | | | | 1,049,528 | |
| | Hubei Xingfa Chemicals Group Co. Ltd., Class A | | | 406,300 | | | | 1,091,431 | |
| | Huishang Bank Corp. Ltd., Class H | | | 1,603,900 | | | | 483,858 | |
| | Humanwell Healthcare Group Co. Ltd., Class A | | | 204,700 | | | | 654,430 | |
| | Hunan Aihua Group Co. Ltd., Class A | | | 97,600 | | | | 305,293 | |
| | Hunan Gold Corp. Ltd., Class A | | | 391,600 | | | | 624,236 | |
| | Hunan Valin Steel Co. Ltd., Class A | | | 2,598,080 | | | | 2,069,882 | |
| | Hunan Zhongke Electric Co. Ltd., Class A | | | 203,000 | | | | 296,395 | |
* | | Hytera Communications Corp. Ltd., Class A | | | 591,700 | | | | 509,357 | |
* | | IBO Technology Co. Ltd. | | | 12,000 | | | | 237 | |
* W | | iDreamSky Technology Holdings Ltd. | | | 286,000 | | | | 93,035 | |
W | | IMAX China Holding, Inc. | | | 76,600 | | | | 70,627 | |
| | Industrial & Commercial Bank of China Ltd., Class H | | | 225,953,996 | | | | 108,287,209 | |
| | Industrial Bank Co. Ltd., Class A | | | 7,237,953 | | | | 14,923,943 | |
| | Industrial Securities Co. Ltd., Class A | | | 2,239,692 | | | | 1,910,910 | |
| | Infore Environment Technology Group Co. Ltd., Class A | | | 701,856 | | | | 468,151 | |
# W | | Ingdan, Inc. | | | 1,339,000 | | | | 213,386 | |
* | | Inkeverse Group Ltd. | | | 1,693,000 | | | | 151,885 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
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CHINA — (Continued) | | | | | | | | |
* | | Inner Mongolia BaoTou Steel Union Co. Ltd., Class A | | | 8,308,700 | | | $ | 1,840,778 | |
| | Inner Mongolia Dian Tou Energy Corp. Ltd., Class A | | | 824,337 | | | | 1,533,466 | |
| | Inner Mongolia ERDOS Resources Co. Ltd., Class A | | | 338,268 | | | | 432,528 | |
| | Inner Mongolia Junzheng Energy & Chemical Industry Group Co. Ltd., Class A | | | 3,342,751 | | | | 1,827,969 | |
| | Inner Mongolia Yuan Xing Energy Co. Ltd., Class A | | | 755,550 | | | | 702,779 | |
| | Inspur Digital Enterprise Technology Ltd. | | | 224,000 | | | | 58,483 | |
| | Intco Medical Technology Co. Ltd., Class A | | | 214,573 | | | | 647,418 | |
| | Intron Technology Holdings Ltd. | | | 182,000 | | | | 66,111 | |
| | JCET Group Co. Ltd., Class A | | | 687,546 | | | | 2,901,566 | |
| | JD.com, Inc., Class A | | | 736,400 | | | | 9,361,969 | |
| | JH Educational Technology, Inc. | | | 104,000 | | | | 12,026 | |
| | Jiangling Motors Corp. Ltd., Class A | | | 245,529 | | | | 546,684 | |
* | | Jiangsu Bioperfectus Technologies Co. Ltd., Class A | | | 13,243 | | | | 95,745 | |
| | Jiangsu Changshu Rural Commercial Bank Co. Ltd., Class A | | | 920,462 | | | | 925,793 | |
| | Jiangsu Eastern Shenghong Co. Ltd., Class A | | | 838,957 | | | | 1,220,431 | |
| | Jiangsu Guotai International Group Co. Ltd., Class A | | | 555,480 | | | | 584,583 | |
| | Jiangsu Huahong Technology Stock Co. Ltd., Class A | | | 55,400 | | | | 73,474 | |
| | Jiangsu Jiangyin Rural Commercial Bank Co. Ltd., Class A | | | 1,074,820 | | | | 539,200 | |
| | Jiangsu Lihua Animal Husbandry Stock Co. Ltd., Class A | | | 126,540 | | | | 292,594 | |
| | Jiangsu Linyang Energy Co. Ltd., Class A | | | 686,100 | | | | 624,835 | |
| | Jiangsu Provincial Agricultural Reclamation & Development Corp., Class A | | | 460,561 | | | | 666,734 | |
| | Jiangsu Shagang Co. Ltd., Class A | | | 629,500 | | | | 345,907 | |
| | Jiangsu Shuangxing Color Plastic New Materials Co. Ltd., Class A | | | 361,761 | | | | 435,432 | |
| | Jiangsu Sopo Chemical Co., Class A | | | 78,029 | | | | 78,569 | |
| | Jiangsu Zhangjiagang Rural Commercial Bank Co. Ltd., Class A | | | 982,958 | | | | 565,471 | |
| | Jiangsu Zhongtian Technology Co. Ltd., Class A | | | 880,300 | | | | 1,685,939 | |
| | Jiangxi Copper Co. Ltd., Class H | | | 3,769,000 | | | | 5,329,198 | |
| | Jiangxi Wannianqing Cement Co. Ltd., Class A | | | 226,480 | | | | 229,082 | |
| | Jiaozuo Wanfang Aluminum Manufacturing Co. Ltd., Class A | | | 280,400 | | | | 219,559 | |
| | Jilin Aodong Pharmaceutical Group Co. Ltd., Class A | | | 286,556 | | | | 629,925 | |
* | | Jilin Jiutai Rural Commercial Bank Corp. Ltd., Class H | | | 47,113 | | | | 12,253 | |
# | | Jinchuan Group International Resources Co. Ltd. | | | 1,833,000 | | | | 111,612 | |
| | Jinmao Property Services Co. Ltd. | | | 458,891 | | | | 124,788 | |
| | Jinneng Holding Shanxi Coal Industry Co. Ltd., Class A | | | 670,614 | | | | 1,080,956 | |
| | Jinneng Science&Technology Co. Ltd., Class A | | | 386,533 | | | | 435,330 | |
| | Jizhong Energy Resources Co. Ltd., Class A | | | 1,280,000 | | | | 1,123,504 | |
| | JNBY Design Ltd. | | | 384,000 | | | | 467,789 | |
| | Joincare Pharmaceutical Group Industry Co. Ltd., Class A | | | 771,916 | | | | 1,250,926 | |
| | Jointown Pharmaceutical Group Co. Ltd., Class A | | | 1,220,251 | | | | 1,187,448 | |
| | Joy City Property Ltd. | | | 20,316,000 | | | | 641,337 | |
| | Joyoung Co. Ltd., Class A | | | 79,500 | | | | 145,088 | |
| | JSTI Group, Class A | | | 398,875 | | | | 303,837 | |
| | Ju Teng International Holdings Ltd. | | | 5,890,249 | | | | 846,576 | |
* | | Jutal Offshore Oil Services Ltd. | | | 590,000 | | | | 36,877 | |
* | | Kaiser China Cultural Co. Ltd., Class A | | | 41,200 | | | | 25,577 | |
* W | | Kangda International Environmental Co. Ltd. | | | 3,759,000 | | | | 112,503 | |
* | | Kasen International Holdings Ltd. | | | 2,592,000 | | | | 83,538 | |
* | | Keeson Technology Corp. Ltd., Class A | | | 14,200 | | | | 21,769 | |
| | Keshun Waterproof Technologies Co. Ltd., Class A | | | 347,400 | | | | 322,954 | |
| | Kinetic Development Group Ltd. | | | 296,000 | | | | 17,786 | |
| | Kingboard Holdings Ltd. | | | 3,880,345 | | | | 9,449,705 | |
# | | Kingboard Laminates Holdings Ltd. | | | 4,735,500 | | | | 4,440,910 | |
| | Kingfa Sci & Tech Co. Ltd., Class A | | | 602,400 | | | | 632,605 | |
| | Kingsoft Corp. Ltd. | | | 880,800 | | | | 3,073,532 | |
| | KPC Pharmaceuticals, Inc., Class A | | | 182,100 | | | | 531,458 | |
| | Kunlun Energy Co. Ltd. | | | 19,424,000 | | | | 16,182,202 | |
* | | KWG Group Holdings Ltd. | | | 1,701,000 | | | | 163,317 | |
# * | | KWG Living Group Holdings Ltd. | | | 5,782,250 | | | | 350,538 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
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CHINA — (Continued) | | | | | | | | |
| | Lao Feng Xiang Co. Ltd., Class A | | | 95,454 | | | $ | 812,263 | |
| | LB Group Co. Ltd., Class A | | | 889,133 | | | | 2,262,877 | |
| | Lee & Man Chemical Co. Ltd. | | | 254,000 | | | | 99,975 | |
| | Lee & Man Paper Manufacturing Ltd. | | | 7,436,000 | | | | 2,117,842 | |
| | Lee’s Pharmaceutical Holdings Ltd. | | | 1,039,500 | | | | 161,907 | |
W | | Legend Holdings Corp., Class H | | | 2,595,200 | | | | 2,314,115 | |
| | Lenovo Group Ltd. | | | 3,030,000 | | | | 3,526,106 | |
| | Lens Technology Co. Ltd., Class A | | | 1,553,261 | | | | 2,774,791 | |
* | | Leo Group Co. Ltd., Class A | | | 2,336,500 | | | | 705,760 | |
| | Lepu Medical Technology Beijing Co. Ltd., Class A | | | 111,600 | | | | 262,804 | |
| | LexinFintech Holdings Ltd., ADR | | | 224,980 | | | | 410,588 | |
| | Leyard Optoelectronic Co. Ltd., Class A | | | 669,100 | | | | 561,172 | |
| | Lianhe Chemical Technology Co. Ltd., Class A | | | 280,000 | | | | 298,056 | |
* | | Liao Ning Oxiranchem, Inc., Class A | | | 167,700 | | | | 163,096 | |
| | Liaoning Cheng Da Co. Ltd., Class A | | | 400,300 | | | | 669,687 | |
| | Lier Chemical Co. Ltd., Class A | | | 264,760 | | | | 436,427 | |
* | | Lingbao Gold Group Co. Ltd., Class H | | | 132,000 | | | | 20,303 | |
| | Lingyi iTech Guangdong Co., Class A | | | 1,546,165 | | | | 1,285,196 | |
* | | Liuzhou Iron & Steel Co. Ltd., Class A | | | 280,000 | | | | 132,869 | |
| | Livzon Pharmaceutical Group, Inc., Class H | | | 285,500 | | | | 844,339 | |
| | Lizhong Sitong Light Alloys Group Co. Ltd., Class A | | | 92,600 | | | | 282,116 | |
* | | Long Yuan Construction Group Co. Ltd., Class A | | | 367,100 | | | | 221,334 | |
W | | Longfor Group Holdings Ltd. | | | 8,453,000 | | | | 12,305,540 | |
| | Longhua Technology Group Luoyang Co. Ltd., Class A | | | 69,200 | | | | 68,169 | |
| | Lonking Holdings Ltd. | | | 11,218,000 | | | | 1,732,964 | |
| | Luenmei Quantum Co. Ltd., Class A | | | 658,903 | | | | 529,638 | |
| | Luoniushan Co. Ltd., Class A | | | 661,991 | | | | 526,550 | |
| | Luxi Chemical Group Co. Ltd., Class A | | | 683,600 | | | | 1,061,058 | |
#* W | | Luye Pharma Group Ltd. | | | 8,612,500 | | | | 4,172,815 | |
* | | LVGEM China Real Estate Investment Co. Ltd. | | | 94,000 | | | | 10,538 | |
# | | Maanshan Iron & Steel Co. Ltd., Class H | | | 1,895,775 | | | | 312,639 | |
| | Maccura Biotechnology Co. Ltd., Class A | | | 183,900 | | | | 395,452 | |
| | Mango Excellent Media Co. Ltd., Class A | | | 327,194 | | | | 1,130,927 | |
* W | | Maoyan Entertainment | | | 851,400 | | | | 1,023,066 | |
| | Mayinglong Pharmaceutical Group Co. Ltd., Class A | | | 111,700 | | | | 349,402 | |
| | Metallurgical Corp. of China Ltd., Class H | | | 13,278,000 | | | | 2,632,976 | |
| | M-Grass Ecology & Environment Group Co. Ltd., Class A | | | 369,600 | | | | 213,410 | |
W | | Midea Real Estate Holding Ltd. | | | 562,600 | | | | 384,880 | |
| | Min Xin Holdings Ltd. | | | 708,418 | | | | 255,939 | |
| | Ming Yang Smart Energy Group Ltd., Class A | | | 767,500 | | | | 1,467,143 | |
* | | Mingfa Group International Co. Ltd. | | | 608,000 | | | | 14,097 | |
* | | Minmetals Land Ltd. | | | 9,789,205 | | | | 387,280 | |
W | | Minsheng Education Group Co. Ltd. | | | 1,078,000 | | | | 32,902 | |
| | Minth Group Ltd. | | | 2,852,000 | | | | 6,366,309 | |
| | MLS Co. Ltd., Class A | | | 513,262 | | | | 651,112 | |
* | | MMG Ltd. | | | 12,944,000 | | | | 3,816,969 | |
| | MYS Group Co. Ltd., Class A | | | 393,300 | | | | 189,349 | |
| | Nanjing Iron & Steel Co. Ltd., Class A | | | 1,634,600 | | | | 849,173 | |
| | Nanjing Xinjiekou Department Store Co. Ltd., Class A | | | 418,400 | | | | 440,377 | |
* | | NavInfo Co. Ltd., Class A | | | 404,200 | | | | 552,847 | |
| | NetDragon Websoft Holdings Ltd. | | | 1,115,500 | | | | 1,982,040 | |
| | New China Life Insurance Co. Ltd., Class H | | | 2,965,200 | | | | 6,504,638 | |
* | | New Hope Liuhe Co. Ltd., Class A | | | 748,864 | | | | 1,039,196 | |
* | | New World Department Store China Ltd. | | | 2,778,000 | | | | 177,464 | |
| | Newland Digital Technology Co. Ltd., Class A | | | 240,160 | | | | 561,675 | |
| | Nexteer Automotive Group Ltd. | | | 4,938,000 | | | | 2,380,471 | |
| | Nine Dragons Paper Holdings Ltd. | | | 8,986,000 | | | | 5,115,543 | |
| | Ningbo Huaxiang Electronic Co. Ltd., Class A | | | 364,355 | | | | 646,801 | |
| | Ningbo Joyson Electronic Corp., Class A | | | 370,841 | | | | 956,230 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
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CHINA — (Continued) | | | | | | | | |
| | Ningbo Sanxing Medical Electric Co. Ltd., Class A | | | 329,600 | | | $ | 735,862 | |
| | Ningbo Zhoushan Port Co. Ltd., Class A | | | 1,357,400 | | | | 640,095 | |
| | Ningxia Baofeng Energy Group Co. Ltd., Class A | | | 480,400 | | | | 947,204 | |
| | Ningxia Jiaze New Energy Co. Ltd., Class A | | | 104,000 | | | | 51,202 | |
| | Noah Holdings Ltd., Sponsored ADR | | | 26,604 | | | | 304,350 | |
| | North Huajin Chemical Industries Co. Ltd., Class A | | | 534,019 | | | | 427,507 | |
| | Northeast Pharmaceutical Group Co. Ltd., Class A | | | 454,424 | | | | 338,929 | |
| | Northeast Securities Co. Ltd., Class A | | | 583,400 | | | | 601,132 | |
| | Offshore Oil Engineering Co. Ltd., Class A | | | 1,189,601 | | | | 1,010,666 | |
| | Opple Lighting Co. Ltd., Class A | | | 42,600 | | | | 113,682 | |
| | ORG Technology Co. Ltd., Class A | | | 823,720 | | | | 503,388 | |
| | Orient Overseas International Ltd. | | | 267,500 | | | | 3,373,119 | |
W | | Orient Securities Co. Ltd., Class H | | | 2,368,000 | | | | 1,103,199 | |
* | | Oriental Energy Co. Ltd., Class A | | | 546,180 | | | | 785,839 | |
| | Oriental Pearl Group Co. Ltd., Class A | | | 912,860 | | | | 921,416 | |
| | Pacific Shuanglin Bio-pharmacy Co. Ltd., Class A | | | 47,800 | | | | 156,504 | |
| | PAX Global Technology Ltd. | | | 4,285,000 | | | | 2,957,741 | |
| | People’s Insurance Co. Group of China Ltd. , Class H | | | 21,836,000 | | | | 7,204,991 | |
| | PetroChina Co. Ltd., Class H | | | 105,708,000 | | | | 68,997,223 | |
| | PhiChem Corp., Class A | | | 155,300 | | | | 376,189 | |
| | PICC Property & Casualty Co. Ltd., Class H | | | 24,635,000 | | | | 28,132,063 | |
| | Ping An Bank Co. Ltd., Class A | | | 6,675,613 | | | | 9,547,979 | |
| | Ping An Insurance Group Co. of China Ltd., Class H | | | 25,646,000 | | | | 130,088,697 | |
| | Pingdingshan Tianan Coal Mining Co. Ltd., Class A | | | 950,203 | | | | 1,299,878 | |
* | | Poly Culture Group Co. Ltd., Class H | | | 402,000 | | | | 443,200 | |
| | Poly Property Group Co. Ltd. | | | 10,173,870 | | | | 2,093,940 | |
W | | Postal Savings Bank of China Co. Ltd., Class H | | | 29,907,000 | | | | 13,650,418 | |
| | Pou Sheng International Holdings Ltd. | | | 9,206,000 | | | | 787,710 | |
| | Power Construction Corp. of China Ltd., Class A | | | 4,101,720 | | | | 2,949,346 | |
# | | Prinx Chengshan Holdings Ltd. | | | 214,000 | | | | 178,300 | |
| | PW Medtech Group Ltd. | | | 1,439,000 | | | | 137,661 | |
# * | | Q Technology Group Co. Ltd. | | | 2,050,000 | | | | 1,036,377 | |
| | Qifu Technology, Inc., ADR | | | 188,279 | | | | 2,784,646 | |
| | Qingdao East Steel Tower Stock Co. Ltd., Class A | | | 291,200 | | | | 283,892 | |
| | Qingdao Gon Technology Co. Ltd., Class A | | | 36,435 | | | | 104,811 | |
| | Qingdao Hanhe Cable Co. Ltd., Class A | | | 1,114,800 | | | | 586,472 | |
W | | Qingdao Port International Co. Ltd., Class H | | | 643,000 | | | | 321,208 | |
* | | Qingdao Rural Commercial Bank Corp., Class A | | | 1,513,500 | | | | 560,788 | |
* | | Qingdao Sentury Tire Co. Ltd., Class A | | | 178,100 | | | | 740,851 | |
| | Qingdao TGOOD Electric Co. Ltd., Class A | | | 176,300 | | | | 434,334 | |
* | | Qingling Motors Co. Ltd., Class H | | | 5,326,000 | | | | 381,765 | |
| | Qinhuangdao Port Co. Ltd., Class H | | | 845,000 | | | | 139,417 | |
* | | Qudian, Inc., Sponsored ADR | | | 319,605 | | | | 536,936 | |
# * | | Radiance Holdings Group Co. Ltd. | | | 783,000 | | | | 325,143 | |
| | Rainbow Digital Commercial Co. Ltd., Class A | | | 496,976 | | | | 367,626 | |
# W | | Red Star Macalline Group Corp. Ltd., Class H | | | 1,908,097 | | | | 602,232 | |
#*††W | | Redco Properties Group Ltd. | | | 3,306,000 | | | | 422,479 | |
| | Renhe Pharmacy Co. Ltd., Class A | | | 672,100 | | | | 634,794 | |
| | Rianlon Corp., Class A | | | 22,300 | | | | 96,459 | |
| | Risen Energy Co. Ltd., Class A | | | 19,600 | | | | 47,592 | |
| | Riyue Heavy Industry Co. Ltd., Class A | | | 195,809 | | | | 376,756 | |
| | Rongan Property Co. Ltd., Class A | | | 1,161,156 | | | | 441,149 | |
| | Rongsheng Petrochemical Co. Ltd., Class A | | | 1,743,936 | | | | 2,716,142 | |
| | SAIC Motor Corp. Ltd., Class A | | | 1,450,573 | | | | 2,880,033 | |
| | Sailun Group Co. Ltd., Class A | | | 569,900 | | | | 875,059 | |
| | Sanan Optoelectronics Co. Ltd., Class A | | | 290,000 | | | | 590,216 | |
| | Sansteel Minguang Co. Ltd. Fujian, Class A | | | 986,480 | | | | 637,675 | |
| | Sansure Biotech, Inc., Class A | | | 190,429 | | | | 435,486 | |
| | Sany Heavy Equipment International Holdings Co. Ltd. | | | 753,000 | | | | 989,153 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
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CHINA — (Continued) | | | | | | | | |
| | Sany Heavy Industry Co. Ltd., Class A | | | 1,634,242 | | | $ | 3,231,275 | |
* | | Satellite Chemical Co. Ltd., Class A | | | 892,331 | | | | 1,983,189 | |
| | Sealand Securities Co. Ltd., Class A | | | 1,406,195 | | | | 694,034 | |
# * | | Seazen Group Ltd. | | | 9,334,857 | | | | 1,514,947 | |
* | | Seazen Holdings Co. Ltd., Class A | | | 608,815 | | | | 988,624 | |
# | | S-Enjoy Service Group Co. Ltd. | | | 129,000 | | | | 62,003 | |
| | SF Holding Co. Ltd., Class A | | | 474,358 | | | | 2,545,071 | |
| | Shaanxi Coal Industry Co. Ltd., Class A | | | 3,660,550 | | | | 9,024,383 | |
* | | Shaanxi Construction Machinery Co. Ltd., Class A | | | 221,930 | | | | 122,494 | |
| | Shan Xi Hua Yang Group New Energy Co. Ltd., Class A | | | 1,450,800 | | | | 1,599,756 | |
| | Shandong Bohui Paper Industrial Co. Ltd., Class A | | | 380,900 | | | | 361,986 | |
| | Shandong Buchang Pharmaceuticals Co. Ltd., Class A | | | 340,209 | | | | 806,520 | |
* | | Shandong Chenming Paper Holdings Ltd., Class H | | | 2,035,727 | | | | 596,865 | |
| | Shandong Himile Mechanical Science & Technology Co. Ltd., Class A | | | 28,900 | | | | 127,046 | |
| | Shandong Hi-Speed New Energy Group Ltd. | | | 97,600 | | | | 31,762 | |
| | Shandong Hi-Speed Road & Bridge Co. Ltd., Class A | | | 285,400 | | | | 227,503 | |
| | Shandong Hualu Hengsheng Chemical Co. Ltd., Class A | | | 544,799 | | | | 2,396,035 | |
* | | Shandong Humon Smelting Co. Ltd., Class A | | | 275,500 | | | | 438,246 | |
| | Shandong Jincheng Pharmaceutical Group Co. Ltd., Class A | | | 101,700 | | | | 255,837 | |
| | Shandong Linglong Tyre Co. Ltd., Class A | | | 343,587 | | | | 940,384 | |
| | Shandong Nanshan Aluminum Co. Ltd., Class A | | | 3,082,850 | | | | 1,306,411 | |
| | Shandong Publishing & Media Co. Ltd., Class A | | | 363,633 | | | | 410,398 | |
| | Shandong Sun Paper Industry JSC Ltd., Class A | | | 1,046,881 | | | | 1,779,359 | |
| | Shandong Weigao Group Medical Polymer Co. Ltd., Class H | | | 5,496,400 | | | | 5,101,713 | |
| | Shanghai AJ Group Co. Ltd., Class A | | | 709,952 | | | | 505,815 | |
| | Shanghai Construction Group Co. Ltd., Class A | | | 1,619,329 | | | | 582,278 | |
* | | Shanghai Electric Group Co. Ltd., Class H | | | 9,162,000 | | | | 1,931,440 | |
| | Shanghai Environment Group Co. Ltd., Class A | | | 300,489 | | | | 388,919 | |
| | Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H | | | 208,500 | | | | 481,104 | |
| | Shanghai Industrial Development Co. Ltd., Class A | | | 291,990 | | | | 151,124 | |
| | Shanghai Industrial Holdings Ltd. | | | 2,414,918 | | | | 2,954,947 | |
| | Shanghai Industrial Urban Development Group Ltd. | | | 15,578,501 | | | | 687,148 | |
| | Shanghai International Port Group Co. Ltd., Class A | | | 89,716 | | | | 61,318 | |
| | Shanghai Jinjiang International Hotels Co. Ltd., Class A | | | 217,750 | | | | 977,645 | |
| | Shanghai Lingang Holdings Corp. Ltd., Class A | | | 364,760 | | | | 534,970 | |
| | Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd., Class A | | | 450,558 | | | | 563,609 | |
| | Shanghai Mechanical & Electrical Industry Co. Ltd., Class A | | | 175,890 | | | | 300,815 | |
| | Shanghai Pharmaceuticals Holding Co. Ltd., Class H | | | 3,299,900 | | | | 4,800,695 | |
| | Shanghai Pudong Construction Co. Ltd., Class A | | | 244,593 | | | | 217,109 | |
| | Shanghai Pudong Development Bank Co. Ltd., Class A | | | 6,948,728 | | | | 6,478,599 | |
| | Shanghai QiFan Cable Co. Ltd., Class A | | | 60,300 | | | | 159,224 | |
| | Shanghai RAAS Blood Products Co. Ltd., Class A | | | 1,563,662 | | | | 1,493,183 | |
| | Shanghai Runda Medical Technology Co. Ltd., Class A | | | 151,137 | | | | 407,990 | |
| | Shanghai Stonehill Technology Co. Ltd., Class A | | | 1,491,000 | | | | 571,198 | |
| | Shanghai Tongji Science & Technology Industrial Co. Ltd., Class A | | | 181,900 | | | | 247,494 | |
| | Shanghai Tunnel Engineering Co. Ltd., Class A | | | 940,434 | | | | 723,861 | |
| | Shanghai Waigaoqiao Free Trade Zone Group Co. Ltd., Class A | | | 229,976 | | | | 336,871 | |
| | Shanghai Yongguan Adhesive Products Corp. Ltd., Class A | | | 19,200 | | | | 37,459 | |
| | Shanghai Yuyuan Tourist Mart Group Co. Ltd., Class A | | | 1,055,262 | | | | 937,418 | |
| | Shanghai Zhangjiang High-Tech Park Development Co. Ltd., Class A | | | 115,000 | | | | 377,254 | |
| | Shanghai Zijiang Enterprise Group Co. Ltd., Class A | | | 451,400 | | | | 301,189 | |
| | Shanxi Blue Flame Holding Co. Ltd., Class A | | | 267,100 | | | | 283,210 | |
| | Shanxi Coking Coal Energy Group Co. Ltd., Class A | | | 1,899,935 | | | | 2,247,132 | |
| | Shanxi Lu’an Environmental Energy Development Co. Ltd., Class A | | | 1,115,580 | | | | 2,902,179 | |
* | | Shanxi Meijin Energy Co. Ltd., Class A | | | 1,144,973 | | | | 1,097,794 | |
| | Shanxi Securities Co. Ltd., Class A | | | 888,260 | | | | 682,245 | |
| | Shanxi Taigang Stainless Steel Co. Ltd., Class A | | | 1,595,000 | | | | 852,586 | |
* | | Shanying International Holding Co. Ltd., Class A | | | 1,447,600 | | | | 433,490 | |
| | Shenghe Resources Holding Co. Ltd., Class A | | | 501,193 | | | | 732,695 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
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CHINA — (Continued) | | | | | | | | |
* W | | Shengjing Bank Co. Ltd., Class H | | | 481,000 | | | $ | 115,410 | |
| | Shenguan Holdings Group Ltd. | | | 3,610,000 | | | | 129,115 | |
| | Shengyi Technology Co. Ltd., Class A | | | 510,110 | | | | 1,226,543 | |
W | | Shenwan Hongyuan Group Co. Ltd., Class H | | | 4,568,800 | | | | 847,813 | |
| | Shenzhen Agricultural Products Group Co. Ltd., Class A | | | 659,326 | | | | 591,125 | |
* | | Shenzhen Airport Co. Ltd., Class A | | | 492,100 | | | | 455,192 | |
| | Shenzhen Aisidi Co. Ltd., Class A | | | 405,800 | | | | 431,304 | |
| | Shenzhen Cereals Holdings Co. Ltd., Class A | | | 237,540 | | | | 235,449 | |
| | Shenzhen Gas Corp. Ltd., Class A | | | 489,200 | | | | 453,670 | |
| | Shenzhen Gongjin Electronics Co. Ltd., Class A | | | 269,900 | | | | 344,217 | |
| | Shenzhen Heungkong Holding Co. Ltd., Class A | | | 640,300 | | | | 166,297 | |
| | Shenzhen Huaqiang Industry Co. Ltd., Class A | | | 181,500 | | | | 284,644 | |
# | | Shenzhen International Holdings Ltd. | | | 7,178,489 | | | | 4,731,512 | |
| | Shenzhen Investment Ltd. | | | 15,950,414 | | | | 2,344,485 | |
| | Shenzhen Jinjia Group Co. Ltd., Class A | | | 461,283 | | | | 370,704 | |
| | Shenzhen Jufei Optoelectronics Co. Ltd., Class A | | | 226,000 | | | | 172,657 | |
| | Shenzhen Kaifa Technology Co. Ltd., Class A | | | 225,448 | | | | 530,308 | |
| | Shenzhen Kinwong Electronic Co. Ltd., Class A | | | 269,240 | | | | 814,502 | |
| | Shenzhen Laibao Hi-tech Co. Ltd., Class A | | | 107,900 | | | | 155,292 | |
| | Shenzhen Leaguer Co. Ltd., Class A | | | 218,600 | | | | 230,936 | |
| | Shenzhen Microgate Technology Co. Ltd., Class A | | | 224,200 | | | | 337,611 | |
| | Shenzhen MTC Co. Ltd., Class A | | | 1,254,928 | | | | 919,609 | |
* | | Shenzhen Neptunus Bioengineering Co. Ltd., Class A | | | 857,448 | | | | 361,029 | |
| | Shenzhen New Nanshan Holding Group Co. Ltd., Class A | | | 617,000 | | | | 263,834 | |
* | | Shenzhen Overseas Chinese Town Co. Ltd., Class A | | | 1,926,161 | | | | 951,886 | |
| | Shenzhen Suntak Circuit Technology Co. Ltd., Class A | | | 351,808 | | | | 485,412 | |
| | Shenzhen Sunway Communication Co. Ltd., Class A | | | 230,000 | | | | 823,922 | |
| | Shenzhen Tagen Group Co. Ltd., Class A | | | 605,500 | | | | 419,066 | |
| | Shenzhen Woer Heat-Shrinkable Material Co. Ltd., Class A | | | 384,100 | | | | 375,041 | |
| | Shenzhen Yan Tian Port Holding Co. Ltd., Class A | | | 718,800 | | | | 484,432 | |
| | Shenzhen YUTO Packaging Technology Co. Ltd., Class A | | | 300,694 | | | | 1,079,398 | |
| | Shenzhen Zhenye Group Co. Ltd., Class A | | | 501,200 | | | | 295,543 | |
| | Shenzhen Zhongjin Lingnan Nonfemet Co. Ltd., Class A | | | 1,038,400 | | | | 669,803 | |
* †† | | Shimao Group Holdings Ltd. | | | 978,535 | | | | 69,090 | |
| | Shoucheng Holdings Ltd. | | | 8,895,683 | | | | 1,456,987 | |
| | Shougang Fushan Resources Group Ltd. | | | 10,162,277 | | | | 3,337,581 | |
| | Shui On Land Ltd. | | | 20,477,303 | | | | 1,805,135 | |
| | Sichuan Development Lomon Co. Ltd., Class A | | | 651,400 | | | | 635,506 | |
* | | Sichuan Haite High-tech Co. Ltd., Class A | | | 39,800 | | | | 52,089 | |
| | Sichuan Hebang Biotechnology Co. Ltd., Class A | | | 2,960,500 | | | | 963,507 | |
* | | Sichuan Hexie Shuangma Co. Ltd., Class A | | | 152,178 | | | | 317,843 | |
| | Sichuan Kelun Pharmaceutical Co. Ltd., Class A | | | 288,455 | | | | 1,083,450 | |
* | | Sichuan Lutianhua Co. Ltd., Class A | | | 412,400 | | | | 241,326 | |
| | Sichuan Road & Bridge Group Co. Ltd., Class A | | | 2,207,798 | | | | 2,326,744 | |
| | Sichuan Yahua Industrial Group Co. Ltd., Class A | | | 365,800 | | | | 704,526 | |
| | Sihuan Pharmaceutical Holdings Group Ltd. | | | 658,000 | | | | 55,573 | |
* | | Silver Grant International Holdings Group Ltd. | | | 6,302,804 | | | | 193,162 | |
| | Sino Biopharmaceutical Ltd. | | | 793,000 | | | | 308,064 | |
| | Sinochem International Corp., Class A | | | 575,231 | | | | 390,840 | |
# | | Sinofert Holdings Ltd. | | | 12,342,000 | | | | 1,403,938 | |
* | | Sinolink Worldwide Holdings Ltd. | | | 16,481,714 | | | | 236,369 | |
| | Sinoma International Engineering Co., Class A | | | 473,500 | | | | 638,484 | |
| | Sinoma Science & Technology Co. Ltd., Class A | | | 621,062 | | | | 1,468,209 | |
| | Sinomine Resource Group Co. Ltd., Class A | | | 36,300 | | | | 185,575 | |
| | Sinopec Engineering Group Co. Ltd., Class H | | | 8,177,000 | | | | 4,086,562 | |
| | Sinopec Kantons Holdings Ltd. | | | 5,664,000 | | | | 2,229,874 | |
* | | Sinopec Shanghai Petrochemical Co. Ltd., Class H | | | 16,670,000 | | | | 2,237,599 | |
| | Sinopharm Group Co. Ltd., Class H | | | 7,101,600 | | | | 16,981,928 | |
| | Sino-Platinum Metals Co. Ltd., Class A | | | 116,900 | | | | 232,944 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
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CHINA — (Continued) | | | | | | | | |
| | Sinosteel Engineering & Technology Co. Ltd., Class A | | | 181,300 | | | $ | 152,729 | |
| | Sinotrans Ltd., Class H | | | 11,250,000 | | | | 3,697,448 | |
| | Sinotruk Hong Kong Ltd. | | | 3,891,335 | | | | 7,329,336 | |
| | Sinotruk Jinan Truck Co. Ltd., Class A | | | 315,558 | | | | 636,054 | |
| | Skyworth Group Ltd. | | | 7,025,114 | | | | 2,538,493 | |
| | Sobute New Materials Co. Ltd., Class A | | | 129,500 | | | | 208,937 | |
* | | SOHO China Ltd. | | | 11,467,888 | | | | 1,187,434 | |
| | SooChow Securities Co. Ltd., Class A | | | 1,078,430 | | | | 1,182,447 | |
# * †† | | South Manganese Investment Ltd. | | | 1,336,000 | | | | 31,756 | |
| | Southwest Securities Co. Ltd., Class A | | | 910,400 | | | | 510,265 | |
| | SPIC Industry-Finance Holdings Co. Ltd., Class A | | | 292,100 | | | | 166,164 | |
* | | SPT Energy Group, Inc. | | | 4,862,000 | | | | 158,727 | |
| | SSY Group Ltd. | | | 2,578,000 | | | | 1,414,093 | |
* | | STO Express Co. Ltd., Class A | | | 514,500 | | | | 672,478 | |
| | Sumavision Technologies Co. Ltd., Class A | | | 269,300 | | | | 205,249 | |
| | Sun Art Retail Group Ltd. | | | 4,275,000 | | | | 902,495 | |
| | Suning Universal Co. Ltd., Class A | | | 1,358,605 | | | | 510,406 | |
*†† W | | Sunshine 100 China Holdings Ltd. | | | 112,000 | | | | 830 | |
* | | Sunward Intelligent Equipment Co. Ltd., Class A | | | 318,700 | | | | 256,086 | |
| | Sunwoda Electronic Co. Ltd., Class A | | | 384,600 | | | | 847,070 | |
| | Suzhou Anjie Technology Co. Ltd., Class A | | | 195,900 | | | | 383,737 | |
| | Suzhou Dongshan Precision Manufacturing Co. Ltd., Class A | | | 534,200 | | | | 1,368,047 | |
| | Suzhou Gold Mantis Construction Decoration Co. Ltd., Class A | | | 763,175 | | | | 431,859 | |
| | Tangshan Jidong Cement Co. Ltd., Class A | | | 761,444 | | | | 744,445 | |
| | TangShan Port Group Co. Ltd., Class A | | | 1,646,190 | | | | 801,294 | |
| | Tangshan Sanyou Chemical Industries Co. Ltd., Class A | | | 660,100 | | | | 521,541 | |
| | TBEA Co. Ltd., Class A | | | 1,814,098 | | | | 3,471,736 | |
| | TCL Electronics Holdings Ltd. | | | 4,884,666 | | | | 1,699,000 | |
* | | TCL Technology Group Corp., Class A | | | 4,257,698 | | | | 2,289,392 | |
| | TCL Zhonghuan Renewable Energy Technology Co. Ltd., Class A | | | 573,500 | | | | 1,447,878 | |
| | Ten Pao Group Holdings Ltd. | | | 304,000 | | | | 39,822 | |
* | | Tencent Music Entertainment Group, ADR | | | 1,008,265 | | | | 7,320,004 | |
| | Tian An China Investment Co. Ltd. | | | 4,049,000 | | | | 1,958,669 | |
| | Tian Di Science & Technology Co. Ltd., Class A | | | 1,183,500 | | | | 834,626 | |
| | Tiangong International Co. Ltd. | | | 4,966,000 | | | | 1,459,698 | |
| | Tianjin Capital Environmental Protection Group Co. Ltd., Class H | | | 24,000 | | | | 8,189 | |
| | Tianjin Chase Sun Pharmaceutical Co. Ltd., Class A | | | 990,211 | | | | 609,687 | |
| | Tianjin Port Development Holdings Ltd. | | | 16,373,657 | | | | 1,089,398 | |
| | Tianjin Ringpu Bio-Technology Co. Ltd., Class A | | | 42,400 | | | | 100,934 | |
| | Tianjin Teda Co. Ltd., Class A | | | 134,611 | | | | 74,482 | |
| | Tianjin You Fa Steel Pipe Group Stock Co. Ltd., Class A | | | 228,400 | | | | 199,613 | |
* | | Tianma Microelectronics Co. Ltd., Class A | | | 825,024 | | | | 1,105,331 | |
# | | Tianneng Power International Ltd. | | | 4,030,000 | | | | 3,639,005 | |
| | Tianshan Aluminum Group Co. Ltd., Class A | | | 1,392,729 | | | | 1,233,529 | |
| | Tianshui Huatian Technology Co. Ltd., Class A | | | 1,018,076 | | | | 1,243,370 | |
†† | | Tianyun International Holdings Ltd. | | | 744,000 | | | | 279,304 | |
* | | Titan Wind Energy Suzhou Co. Ltd., Class A | | | 203,500 | | | | 371,149 | |
| | Tomson Group Ltd. | | | 3,532,757 | | | | 750,037 | |
| | Tong Ren Tang Technologies Co. Ltd., Class H | | | 2,407,000 | | | | 1,835,656 | |
| | TongFu Microelectronics Co. Ltd., Class A | | | 480,800 | | | | 1,349,895 | |
* | | Tongkun Group Co. Ltd., Class A | | | 547,222 | | | | 1,080,911 | |
| | Tongling Jingda Special Magnet Wire Co. Ltd., Class A | | | 656,500 | | | | 367,169 | |
| | Tongling Nonferrous Metals Group Co. Ltd., Class A | | | 3,571,846 | | | | 1,517,103 | |
| | Tongwei Co. Ltd., Class A | | | 825,114 | | | | 3,082,036 | |
| | Tongyu Heavy Industry Co. Ltd., Class A | | | 1,192,100 | | | | 404,169 | |
| | Top Spring International Holdings Ltd. | | | 146,000 | | | | 9,710 | |
* | | Topsec Technologies Group, Inc., Class A | | | 28,515 | | | | 36,644 | |
| | Transfar Zhilian Co. Ltd., Class A | | | 1,128,500 | | | | 765,236 | |
* | | Trigiant Group Ltd. | | | 4,254,000 | | | | 177,274 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
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CHINA — (Continued) | | | | | | | | |
| | Trina Solar Co. Ltd., Class A | | | 505,986 | | | $ | 2,066,069 | |
* | | Trip.com Group Ltd., ADR | | | 1,314,289 | | | | 44,685,826 | |
* | | Trip.com Group Ltd. | | | 19,800 | | | | 674,816 | |
* †† | | Trony Solar Holdings Co. Ltd. | | | 8,775,000 | | | | 0 | |
| | Truking Technology Ltd., Class A | | | 167,700 | | | | 258,017 | |
| | Truly International Holdings Ltd. | | | 3,992,000 | | | | 409,721 | |
| | Unilumin Group Co. Ltd., Class A | | | 406,300 | | | | 355,999 | |
| | Uni-President China Holdings Ltd. | | | 2,071,000 | | | | 1,409,502 | |
* | | Unisplendour Corp. Ltd., Class A | | | 872,664 | | | | 2,341,562 | |
| | United Energy Group Ltd. | | | 10,248,000 | | | | 1,636,312 | |
| | Universal Scientific Industrial Shanghai Co. Ltd., Class A | | | 506,737 | | | | 1,006,464 | |
| | Valiant Co. Ltd., Class A | | | 147,046 | | | | 345,278 | |
| | Victory Giant Technology Huizhou Co. Ltd., Class A | | | 170,431 | | | | 474,272 | |
# | | Vinda International Holdings Ltd. | | | 858,000 | | | | 2,120,315 | |
* | | Vipshop Holdings Ltd., ADR | | | 1,407,270 | | | | 20,067,670 | |
* W | | Viva Biotech Holdings | | | 410,000 | | | | 67,210 | |
* | | Vnet Group, Inc., ADR | | | 407,681 | | | | 1,310,694 | |
| | Wangneng Environment Co. Ltd., Class A | | | 130,540 | | | | 265,428 | |
| | Wangsu Science & Technology Co. Ltd., Class A | | | 577,700 | | | | 554,054 | |
| | Wanxiang Qianchao Co. Ltd., Class A | | | 1,053,660 | | | | 744,947 | |
| | Wasion Holdings Ltd. | | | 2,834,000 | | | | 1,047,933 | |
| | Wasu Media Holding Co. Ltd., Class A | | | 497,586 | | | | 493,925 | |
| | Weibo Corp., Sponsored ADR | | | 123,100 | | | | 1,456,273 | |
| | Weibo Corp., Class A | | | 1,100 | | | | 12,979 | |
| | Weichai Power Co. Ltd., Class H | | | 7,564,000 | | | | 11,321,954 | |
| | Weifu High-Technology Group Co. Ltd., Class A | | | 229,800 | | | | 507,338 | |
* | | Weiqiao Textile Co., Class H | | | 3,099,500 | | | | 633,573 | |
| | Wellhope Foods Co. Ltd., Class A | | | 352,688 | | | | 424,991 | |
| | West China Cement Ltd. | | | 11,940,000 | | | | 1,084,653 | |
| | Western Securities Co. Ltd., Class A | | | 968,948 | | | | 881,964 | |
# | | Wharf Holdings Ltd. | | | 2,011,000 | | | | 5,102,804 | |
| | Windey Energy Technology Group Co. Ltd., Class A | | | 182,430 | | | | 264,624 | |
* | | Wingtech Technology Co. Ltd., Class A | | | 278,000 | | | | 1,892,264 | |
| | Winner Medical Co. Ltd., Class A | | | 51,660 | | | | 283,713 | |
| | Wolong Electric Group Co. Ltd., Class A | | | 443,900 | | | | 681,573 | |
| | Wuchan Zhongda Group Co. Ltd., Class A | | | 1,831,400 | | | | 1,144,244 | |
| | Wuhu Token Science Co. Ltd., Class A | | | 1,055,600 | | | | 932,346 | |
| | Wushang Group Co. Ltd., Class A | | | 309,900 | | | | 365,526 | |
* | | Wuxi Taiji Industry Co. Ltd., Class A | | | 411,647 | | | | 364,070 | |
| | XCMG Construction Machinery Co. Ltd., Class A | | | 2,845,700 | | | | 2,228,694 | |
| | Xiamen Bank Co. Ltd., Class A | | | 569,300 | | | | 412,595 | |
| | Xiamen C & D, Inc., Class A | | | 868,100 | | | | 1,159,967 | |
| | Xiamen ITG Group Corp. Ltd., Class A | | | 611,502 | | | | 574,360 | |
| | Xiamen Tungsten Co. Ltd., Class A | | | 299,740 | | | | 694,649 | |
| | Xiamen Xiangyu Co. Ltd., Class A | | | 671,801 | | | | 588,880 | |
| | Xiandai Investment Co. Ltd., Class A | | | 184,100 | | | | 101,926 | |
| | Xiangcai Co. Ltd., Class A | | | 226,000 | | | | 251,494 | |
* W | | Xiaomi Corp., Class B | | | 23,429,000 | | | | 42,008,729 | |
| | Xilinmen Furniture Co. Ltd., Class A | | | 97,400 | | | | 255,655 | |
* | | Xinfengming Group Co. Ltd., Class A | | | 420,160 | | | | 723,528 | |
| | Xingda International Holdings Ltd. | | | 7,644,215 | | | | 1,290,980 | |
| | Xingfa Aluminium Holdings Ltd. | | | 447,000 | | | | 366,065 | |
| | Xinhu Zhongbao Co. Ltd., Class A | | | 2,810,943 | | | | 914,798 | |
| | Xinhua Winshare Publishing & Media Co. Ltd., Class H | | | 1,828,000 | | | | 1,536,682 | |
| | Xinjiang Tianshan Cement Co. Ltd., Class A | | | 469,700 | | | | 457,689 | |
| | Xinjiang Xinxin Mining Industry Co. Ltd., Class H | | | 1,208,000 | | | | 125,119 | |
| | Xinjiang Zhongtai Chemical Co. Ltd., Class A | | | 671,300 | | | | 614,467 | |
# * | | Xinte Energy Co. Ltd., Class H | | | 1,556,400 | | | | 2,365,176 | |
* | | Xinxiang Chemical Fiber Co. Ltd., Class A | | | 161,070 | | | | 73,975 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
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CHINA — (Continued) | | | | | | | | |
| | Xinxing Ductile Iron Pipes Co. Ltd., Class A | | | 1,389,600 | | | $ | 779,078 | |
| | Xinyi Energy Holdings Ltd. | | | 3,621,026 | | | | 634,301 | |
| | Xinyu Iron & Steel Co. Ltd., Class A | | | 1,099,800 | | | | 611,767 | |
* | | XPeng, Inc., Class A | | | 661,300 | | | | 4,805,518 | |
| | Xuji Electric Co. Ltd., Class A | | | 233,200 | | | | 547,974 | |
* | | Yanchang Petroleum International Ltd. | | | 101,000 | | | | 5,162 | |
| | Yankuang Energy Group Co. Ltd., Class H | | | 5,550,999 | | | | 9,640,739 | |
| | Yantai Changyu Pioneer Wine Co. Ltd., Class A | | | 142,501 | | | | 536,831 | |
| | Yantai Jereh Oilfield Services Group Co. Ltd., Class A | | | 405,403 | | | | 1,585,129 | |
| | Yibin Tianyuan Group Co. Ltd., Class A | | | 181,690 | | | | 136,599 | |
* W | | YiChang HEC ChangJiang Pharmaceutical Co. Ltd., Class H | | | 1,494,000 | | | | 1,583,691 | |
* | | Yifan Pharmaceutical Co. Ltd., Class A | | | 89,100 | | | | 168,272 | |
| | Yintai Gold Co. Ltd., Class A | | | 92,074 | | | | 170,344 | |
| | Yip’s Chemical Holdings Ltd. | | | 842,000 | | | | 157,129 | |
* | | Yiren Digital Ltd., Sponsored ADR | | | 131,369 | | | | 290,325 | |
W | | Yixin Group Ltd. | | | 485,000 | | | | 38,458 | |
| | Yixintang Pharmaceutical Group Co. Ltd., Class A | | | 228,663 | | | | 664,653 | |
| | Yonfer Agricultural Technology Co. Ltd., Class A | | | 435,300 | | | | 690,892 | |
| | YongXing Special Materials Technology Co. Ltd., Class A | | | 57,210 | | | | 391,270 | |
| | Yotrio Group Co. Ltd., Class A | | | 629,200 | | | | 272,642 | |
| | Youngor Group Co. Ltd., Class A | | | 1,239,313 | | | | 1,143,646 | |
| | YTO Express Group Co. Ltd., Class A | | | 1,174,363 | | | | 2,180,761 | |
| | Yuexiu Property Co. Ltd. | | | 8,006,357 | | | | 8,327,875 | |
| | Yunda Holding Co. Ltd., Class A | | | 932,989 | | | | 1,162,862 | |
| | Yunnan Aluminium Co. Ltd., Class A | | | 1,180,130 | | | | 2,243,310 | |
| | Yunnan Copper Co. Ltd., Class A | | | 660,600 | | | | 996,040 | |
| | Yunnan Energy New Material Co. Ltd., Class A | | | 190,700 | | | | 1,750,317 | |
| | Yunnan Tin Co. Ltd., Class A | | | 466,300 | | | | 900,727 | |
| | Zhefu Holding Group Co. Ltd., Class A | | | 1,567,740 | | | | 792,799 | |
* | | Zhejiang Century Huatong Group Co. Ltd., Class A | | | 1,164,754 | | | | 934,144 | |
| | Zhejiang China Commodities City Group Co. Ltd., Class A | | | 679,700 | | | | 723,167 | |
| | Zhejiang Chint Electrics Co. Ltd., Class A | | | 779,352 | | | | 2,462,572 | |
| | Zhejiang Communications Technology Co. Ltd., Class A | | | 850,341 | | | | 444,794 | |
| | Zhejiang Crystal-Optech Co. Ltd., Class A | | | 400,600 | | | | 755,497 | |
| | Zhejiang Dahua Technology Co. Ltd., Class A | | | 583,623 | | | | 1,629,050 | |
| | Zhejiang Garden Biopharmaceutical Co. Ltd., Class A | | | 126,864 | | | | 184,646 | |
# * †† | | Zhejiang Glass Co. Ltd., Class H | | | 437,000 | | | | 0 | |
| | Zhejiang Hailiang Co. Ltd., Class A | | | 650,665 | | | | 960,021 | |
| | Zhejiang Hangmin Co. Ltd., Class A | | | 477,181 | | | | 553,925 | |
| | Zhejiang Hisoar Pharmaceutical Co. Ltd., Class A | | | 402,700 | | | | 396,836 | |
| | Zhejiang Huace Film & Television Co. Ltd., Class A | | | 447,632 | | | | 344,149 | |
| | Zhejiang Huayou Cobalt Co. Ltd., Class A | | | 263,931 | | | | 1,328,319 | |
| | Zhejiang Jiahua Energy Chemical Industry Co. Ltd., Class A | | | 470,400 | | | | 540,095 | |
| | Zhejiang Jianfeng Group Co. Ltd., Class A | | | 52,300 | | | | 80,557 | |
| | Zhejiang Jiecang Linear Motion Technology Co. Ltd., Class A | | | 96,700 | | | | 264,226 | |
* | | Zhejiang Jingu Co. Ltd., Class A | | | 389,500 | | | | 415,389 | |
| | Zhejiang Jingxin Pharmaceutical Co. Ltd., Class A | | | 406,551 | | | | 734,541 | |
| | Zhejiang JIULI Hi-tech Metals Co. Ltd., Class A | | | 242,000 | | | | 671,696 | |
| | Zhejiang Juhua Co. Ltd., Class A | | | 510,398 | | | | 1,056,658 | |
| | Zhejiang Longsheng Group Co. Ltd., Class A | | | 1,137,433 | | | | 1,383,793 | |
| | Zhejiang Medicine Co. Ltd., Class A | | | 382,817 | | | | 567,521 | |
* | | Zhejiang Narada Power Source Co. Ltd., Class A | | | 104,000 | | | | 190,468 | |
| | Zhejiang NHU Co. Ltd., Class A | | | 1,002,676 | | | | 2,216,977 | |
| | Zhejiang Orient Financial Holdings Group Co. Ltd., Class A | | | 274,200 | | | | 137,956 | |
| | Zhejiang Orient Gene Biotech Co. Ltd., Class A | | | 14,532 | | | | 78,102 | |
| | Zhejiang Runtu Co. Ltd., Class A | | | 378,930 | | | | 346,145 | |
| | Zhejiang Semir Garment Co. Ltd., Class A | | | 747,199 | | | | 623,384 | |
| | Zhejiang Southeast Space Frame Co. Ltd., Class A | | | 326,700 | | | | 256,465 | |
| | Zhejiang Wanfeng Auto Wheel Co. Ltd., Class A | | | 920,600 | | | | 639,742 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
CHINA — (Continued) | | | | | | | | |
* | | Zhejiang Wanliyang Co. Ltd., Class A | | | 366,141 | | | $ | 396,550 | |
| | Zhejiang Xianju Pharmaceutical Co. Ltd., Class A | | | 203,700 | | | | 325,419 | |
| | Zhejiang Xinan Chemical Industrial Group Co. Ltd., Class A | | | 380,828 | | | | 509,090 | |
| | Zhejiang Yinlun Machinery Co. Ltd., Class A | | | 130,100 | | | | 312,565 | |
| | Zhengzhou Coal Mining Machinery Group Co. Ltd., Class H | | | 1,255,200 | | | | 1,184,280 | |
| | Zheshang Securities Co. Ltd., Class A | | | 999,300 | | | | 1,376,242 | |
* | | Zhong An Group Ltd. | | | 15,060,600 | | | | 217,274 | |
| | Zhongjin Gold Corp. Ltd., Class A | | | 1,506,102 | | | | 2,239,023 | |
| | Zhongshan Broad Ocean Motor Co. Ltd., Class A | | | 767,500 | | | | 533,147 | |
| | Zhongsheng Group Holdings Ltd. | | | 880,000 | | | | 2,032,180 | |
| | Zhongtai Securities Co. Ltd., Class A | | | 1,037,500 | | | | 1,015,524 | |
* †† | | Zhongtian Financial Group Co. Ltd., Class A | | | 926,500 | | | | 37,981 | |
| | Zhongyuan Environment-Protection Co. Ltd., Class A | | | 163,500 | | | | 160,282 | |
| | Zhuhai Huafa Properties Co. Ltd., Class A | | | 523,500 | | | | 600,699 | |
| | Zhuzhou CRRC Times Electric Co. Ltd., Class H | | | 654,200 | | | | 2,111,343 | |
| | Zhuzhou Kibing Group Co. Ltd., Class A | | | 884,646 | | | | 965,027 | |
| | Zoomlion Heavy Industry Science & Technology Co. Ltd., Class H | | | 4,619,800 | | | | 2,401,745 | |
| | | | | | | | | | |
TOTAL CHINA | | | | | | | 2,617,079,105 | |
| | | | | | | | | | |
COLOMBIA — (0.1%) | | | | | | | | |
| | Almacenes Exito SA, BDR | | | 866,358 | | | | 2,998,551 | |
| | BAC Holding International Corp. | | | 41,257 | | | | 2,085 | |
| | Bancolombia SA, Sponsored ADR | | | 39,549 | | | | 1,003,754 | |
| | Bancolombia SA | | | 50,766 | | | | 361,998 | |
| | Cementos Argos SA | | | 442,467 | | | | 509,117 | |
| | Corp. Financiera Colombiana SA | | | 45,324 | | | | 138,967 | |
| | Grupo Argos SA | | | 1,415,756 | | | | 3,068,159 | |
| | Mineros SA | | | 128,115 | | | | 54,408 | |
| | | | | | | | | | |
TOTAL COLOMBIA | | | | | | | 8,137,039 | |
| | | | | | | | | | |
CZECH REPUBLIC — (0.1%) | | | | | | | | |
| | CEZ AS | | | 48,626 | | | | 2,081,512 | |
| | Komercni Banka AS | | | 245,766 | | | | 7,203,044 | |
W | | Moneta Money Bank AS | | | 542,815 | | | | 2,098,617 | |
| | | | | | | | | | |
TOTAL CZECH REPUBLIC | | | | | | | 11,383,173 | |
| | | | | | | | | | |
GREECE — (0.5%) | | | | | | | | |
* | | Alpha Services & Holdings SA | | | 5,957,345 | | | | 8,917,744 | |
| | Autohellas Tourist & Trading SA | | | 18,721 | | | | 252,227 | |
| | Bank of Greece | | | 50,963 | | | | 739,147 | |
* | | Eurobank Ergasias Services & Holdings SA, Class A | | | 5,886,190 | | | | 9,621,117 | |
| | Fourlis Holdings SA | | | 61,713 | | | | 264,785 | |
| | Helleniq Energy Holdings SA | | | 172,741 | | | | 1,268,299 | |
| | Intracom Holdings SA | | | 283,664 | | | | 599,346 | |
| | JUMBO SA | | | 7,085 | | | | 186,410 | |
| | Motor Oil Hellas Corinth Refineries SA | | | 109,001 | | | | 2,596,141 | |
| | Mytilineos SA | | | 203,339 | | | | 7,532,571 | |
* | | National Bank of Greece SA | | | 1,478,632 | | | | 8,468,644 | |
* | | Piraeus Financial Holdings SA | | | 1,220,386 | | | | 3,617,402 | |
| | Titan Cement International SA | | | 101,687 | | | | 1,904,440 | |
| | | | | | | | | | |
TOTAL GREECE | | | | | | | 45,968,273 | |
| | | | | | | | | | |
HONG KONG — (0.0%) | | | | | | | | |
* †† | | Anxin-China Holdings Ltd. | | | 6,152,000 | | | | 0 | |
* †† | | CECEP COSTIN New Materials Group Ltd. | | | 132,000 | | | | 0 | |
* †† | | China Common Rich Renewable Energy Investments Ltd. | | | 14,642,000 | | | | 0 | |
* †† | | CTEG | | | 9,748,000 | | | | 0 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
HONG KONG — (Continued) | | | | | | | | |
* | | Kai Yuan Holdings Ltd. | | | 11,080,000 | | | $ | 27,033 | |
* †† | | Tenwow International Holdings Ltd. | | | 2,984,000 | | | | 0 | |
* | | Tongda Group Holdings Ltd. | | | 5,735,000 | | | | 79,996 | |
†† | | Untrade.Ch Wood Opti | | | 88,000 | | | | 1,898 | |
| | Untrade.Chinaproperties | | | 3,380,000 | | | | 33,605 | |
* †† | | Untrade.Lumena Newmat | | | 1,315,048 | | | | 0 | |
| | | | | | | | | | |
TOTAL HONG KONG | | | | | | | 142,532 | |
| | | | | | | | | | |
HUNGARY — (0.2%) | | | | | | | | |
| | MOL Hungarian Oil & Gas PLC | | | 2,741,643 | | | | 21,823,816 | |
| | OTP Bank Nyrt | | | 11,590 | | | | 431,380 | |
| | | | | | | | | | |
TOTAL HUNGARY | | | | | | | 22,255,196 | |
| | | | | | | | | | |
INDIA — (17.9%) | | | | | | | | |
| | 360 ONE WAM Ltd. | | | 380,138 | | �� | | 2,398,309 | |
| | Aarti Drugs Ltd. | | | 10,733 | | | | 60,400 | |
| | ACC Ltd. | | | 276,564 | | | | 6,268,200 | |
* | | Aditya Birla Capital Ltd. | | | 2,750,825 | | | | 5,694,037 | |
| | Advanced Enzyme Technologies Ltd. | | | 3,682 | | | | 13,704 | |
| | AGI Greenpac Ltd. | | | 39,925 | | | | 424,475 | |
| | Alembic Ltd. | | | 378,534 | | | | 368,709 | |
| | Alembic Pharmaceuticals Ltd. | | | 110,023 | | | | 942,485 | |
| | Allcargo Logistics Ltd. | | | 406,354 | | | | 1,249,885 | |
| | Allcargo Terminals Ltd. | | | 406,354 | | | | 188,392 | |
| | Amara Raja Energy & Mobility Ltd. | | | 150,393 | | | | 1,103,409 | |
| | Ambuja Cements Ltd. | | | 1,927,880 | | | | 9,825,057 | |
| | Anant Raj Ltd. | | | 44,114 | | | | 128,473 | |
| | Andhra Sugars Ltd. | | | 128,052 | | | | 163,651 | |
| | Apar Industries Ltd. | | | 13,972 | | | | 868,643 | |
| | Apollo Tyres Ltd. | | | 1,942,429 | | | | 8,906,862 | |
| | Arvind Ltd. | | | 917,465 | | | | 2,150,881 | |
* | | Ashoka Buildcon Ltd. | | | 159,243 | | | | 247,892 | |
* W | | Aster DM Healthcare Ltd. | | | 207,797 | | | | 822,333 | |
| | Astra Microwave Products Ltd. | | | 4,668 | | | | 26,016 | |
| | Aurobindo Pharma Ltd. | | | 1,264,242 | | | | 12,891,587 | |
| | Avadh Sugar & Energy Ltd. | | | 2,336 | | | | 21,310 | |
| | Avanti Feeds Ltd. | | | 21,703 | | | | 104,985 | |
| | Axis Bank Ltd. | | | 10,198,375 | | | | 120,167,264 | |
| | Bajaj Consumer Care Ltd. | | | 69,062 | | | | 192,698 | |
* | | Bajaj Hindusthan Sugar Ltd. | | | 69,831 | | | | 22,325 | |
| | Bajaj Holdings & Investment Ltd. | | | 196,382 | | | | 16,299,397 | |
| | Balmer Lawrie & Co. Ltd. | | | 400,330 | | | | 645,493 | |
| | Balrampur Chini Mills Ltd. | | | 725,111 | | | | 3,598,359 | |
| | Banco Products India Ltd. | | | 54,069 | | | | 290,410 | |
W | | Bandhan Bank Ltd. | | | 1,211,428 | | | | 3,118,669 | |
| | Bank of Baroda | | | 4,069,275 | | | | 9,585,236 | |
| | Bank of India | | | 1,033,756 | | | | 1,188,237 | |
| | Bank of Maharashtra | | | 1,853,921 | | | | 929,853 | |
| | BEML Ltd. | | | 85,018 | | | | 2,064,735 | |
| | Bhansali Engineering Polymers Ltd. | | | 48,508 | | | | 50,822 | |
| | Bharat Bijlee Ltd. | | | 2,912 | | | | 131,254 | |
| | Bharat Electronics Ltd. | | | 7,770,155 | | | | 12,471,859 | |
| | Bharat Heavy Electricals Ltd. | | | 4,379,773 | | | | 6,356,600 | |
| | Birla Corp. Ltd. | | | 162,296 | | | | 2,474,453 | |
| | Birlasoft Ltd. | | | 366,333 | | | | 2,408,889 | |
| | Bodal Chemicals Ltd. | | | 45,065 | | | | 40,599 | |
| | Bombay Burmah Trading Co. | | | 25,062 | | | | 405,834 | |
| | Brigade Enterprises Ltd. | | | 39,746 | | | | 292,929 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
INDIA — (Continued) | | | | | | | | |
| | BSE Ltd. | | | 105,986 | | | $ | 2,384,205 | |
* | | Camlin Fine Sciences Ltd. | | | 47,294 | | | | 81,762 | |
| | Can Fin Homes Ltd. | | | 112,407 | | | | 1,032,847 | |
| | Canara Bank | | | 1,292,841 | | | �� | 5,959,736 | |
* | | Capacit’e Infraprojects Ltd. | | | 52,067 | | | | 131,406 | |
| | Caplin Point Laboratories Ltd. | | | 7,420 | | | | 91,332 | |
| | Ceat Ltd. | | | 144,694 | | | | 3,657,197 | |
* | | Central Bank of India Ltd. | | | 466,247 | | | | 242,013 | |
| | Century Enka Ltd. | | | 32,855 | | | | 178,560 | |
| | Century Textiles & Industries Ltd. | | | 89,031 | | | | 1,160,126 | |
| | CG Power & Industrial Solutions Ltd. | | | 1,525,063 | | | | 7,125,534 | |
| | Chambal Fertilisers & Chemicals Ltd. | | | 931,126 | | | | 3,227,204 | |
* †† | | Chennai Super Kings Cricket Ltd. | | | 5,080,767 | | | | 0 | |
| | Cholamandalam Financial Holdings Ltd. | | | 423,629 | | | | 5,763,194 | |
| | CIE Automotive India Ltd. | | | 370,717 | | | | 2,052,943 | |
| | Cigniti Technologies Ltd. | | | 4,594 | | | | 57,074 | |
| | Cipla Ltd. | | | 789,429 | | | | 11,409,111 | |
| | City Union Bank Ltd. | | | 1,270,222 | | | | 2,110,779 | |
W | | Cochin Shipyard Ltd. | | | 136,354 | | | | 1,555,506 | |
| | Container Corp. of India Ltd. | | | 312,168 | | | | 2,581,544 | |
| | Coromandel International Ltd. | | | 3,673 | | | | 46,013 | |
| | Cosmo First Ltd. | | | 7,049 | | | | 53,950 | |
* | | CSB Bank Ltd. | | | 90,064 | | | | 358,082 | |
| | Cyient Ltd. | | | 147,084 | | | | 2,803,361 | |
| | Dalmia Bharat Ltd. | | | 313,123 | | | | 7,918,406 | |
| | Dalmia Bharat Sugar & Industries Ltd. | | | 29,477 | | | | 158,960 | |
| | DB Corp. Ltd. | | | 129,970 | | | | 467,832 | |
| | DCB Bank Ltd. | | | 1,048,996 | | | | 1,447,217 | |
| | DCM Shriram Ltd. | | | 219,859 | | | | 2,444,719 | |
| | DCW Ltd. | | | 318,812 | | | | 204,725 | |
| | Deepak Fertilisers & Petrochemicals Corp. Ltd. | | | 309,410 | | | | 2,391,523 | |
| | Delta Corp. Ltd. | | | 336,051 | | | | 515,934 | |
* | | DEN Networks Ltd. | | | 357,048 | | | | 199,115 | |
| | Dhampur Bio Organics Ltd. | | | 96,163 | | | | 181,996 | |
| | Dhampur Sugar Mills Ltd. | | | 164,532 | | | | 524,068 | |
W | | Dilip Buildcon Ltd. | | | 17,125 | | | | 62,844 | |
* | | Dish TV India Ltd. | | | 1,175,913 | | | | 239,777 | |
* | | Dishman Carbogen Amcis Ltd. | | | 321,072 | | | | 546,981 | |
| | DLF Ltd. | | | 1,774,933 | | | | 12,002,754 | |
| | Dr Reddy’s Laboratories Ltd., ADR | | | 71,016 | | | | 4,625,272 | |
| | Dr Reddy’s Laboratories Ltd. | | | 2,765 | | | | 178,348 | |
| | Dwarikesh Sugar Industries Ltd. | | | 216,856 | | | | 234,269 | |
| | eClerx Services Ltd. | | | 17,658 | | | | 412,131 | |
| | EID Parry India Ltd. | | | 507,826 | | | | 2,811,011 | |
| | Electrosteel Castings Ltd. | | | 905,668 | | | | 928,032 | |
| | Engineers India Ltd. | | | 597,063 | | | | 882,883 | |
| | EPL Ltd. | | | 116,279 | | | | 253,481 | |
W | | Equitas Small Finance Bank Ltd. | | | 325,660 | | | | 361,466 | |
| | Escorts Kubota Ltd. | | | 71,108 | | | | 2,682,458 | |
| | Everest Industries Ltd. | | | 8,915 | | | | 126,577 | |
| | Everest Kanto Cylinder Ltd. | | | 22,567 | | | | 31,081 | |
| | Excel Industries Ltd. | | | 8,306 | | | | 85,365 | |
| | Exide Industries Ltd. | | | 801,069 | | | | 2,460,227 | |
* | | FDC Ltd. | | | 119,390 | | | | 516,941 | |
| | Federal Bank Ltd. | | | 9,464,464 | | | | 15,990,180 | |
| | FIEM Industries Ltd. | | | 17,260 | | | | 363,868 | |
| | Filatex India Ltd. | | | 576,966 | | | | 330,978 | |
| | Finolex Cables Ltd. | | | 360,904 | | | | 3,887,023 | |
| | Finolex Industries Ltd. | | | 783,938 | | | | 1,798,313 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
INDIA — (Continued) | | | | | | | | |
| | Firstsource Solutions Ltd. | | | 1,699,392 | | | $ | 3,182,398 | |
| | Force Motors Ltd. | | | 8,527 | | | | 348,297 | |
| | Fortis Healthcare Ltd. | | | 1,023,248 | | | | 3,970,011 | |
| | Gabriel India Ltd. | | | 229,139 | | | | 924,277 | |
| | GAIL India Ltd. | | | 10,789,667 | | | | 15,537,393 | |
| | Gateway Distriparks Ltd. | | | 1,300,508 | | | | 1,368,924 | |
W | | General Insurance Corp. of India | | | 139,344 | | | | 381,946 | |
| | Genus Power Infrastructures Ltd. | | | 97,038 | | | | 286,831 | |
| | GHCL Ltd. | | | 319,929 | | | | 2,237,144 | |
* | | GHCL Textiles Ltd. | | | 319,929 | | | | 288,736 | |
| | GIC Housing Finance Ltd. | | | 54,860 | | | | 130,595 | |
| | Glenmark Pharmaceuticals Ltd. | | | 864,022 | | | | 7,791,777 | |
| | Godawari Power & Ispat Ltd. | | | 56,804 | | | | 421,380 | |
| | Godfrey Phillips India Ltd. | | | 82,657 | | | | 2,255,124 | |
* | | Godrej Industries Ltd. | | | 12,983 | | | | 97,587 | |
| | Granules India Ltd. | | | 851,817 | | | | 3,333,129 | |
| | Graphite India Ltd. | | | 87,286 | | | | 487,140 | |
| | Grasim Industries Ltd. | | | 964,640 | | | | 21,886,871 | |
| | Grauer & Weil India Ltd. | | | 41,217 | | | | 58,552 | |
| | Great Eastern Shipping Co. Ltd. | | | 503,782 | | | | 4,823,640 | |
| | Greenpanel Industries Ltd. | | | 8,423 | | | | 35,761 | |
| | Gujarat Alkalies & Chemicals Ltd. | | | 122,273 | | | | 1,051,934 | |
| | Gujarat Ambuja Exports Ltd. | | | 320,377 | | | | 1,258,572 | |
| | Gujarat Fluorochemicals Ltd. | | | 81,735 | | | | 2,721,360 | |
| | Gujarat Mineral Development Corp. Ltd. | | | 465,476 | | | | 1,994,181 | |
| | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | | | 390,910 | | | | 3,240,963 | |
| | Gujarat Pipavav Port Ltd. | | | 753,876 | | | | 1,100,410 | |
| | Gujarat State Fertilizers & Chemicals Ltd. | | | 1,098,200 | | | | 2,647,910 | |
| | Gujarat State Petronet Ltd. | | | 1,318,554 | | | | 4,230,141 | |
* | | Hathway Cable & Datacom Ltd. | | | 1,645,904 | | | | 357,930 | |
| | HBL Power Systems Ltd. | | | 107,935 | | | | 381,119 | |
| | HDFC Bank Ltd. | | | 3,924,781 | | | | 69,572,642 | |
| | HEG Ltd. | | | 38,504 | | | | 754,611 | |
| | HeidelbergCement India Ltd. | | | 332,100 | | | | 752,261 | |
| | Heritage Foods Ltd. | | | 26,682 | | | | 71,522 | |
| | Hero MotoCorp Ltd. | | | 272,541 | | | | 10,125,782 | |
| | HFCL Ltd. | | | 1,517,967 | | | | 1,187,569 | |
| | HG Infra Engineering Ltd. | | | 13,314 | | | | 143,613 | |
| | Hikal Ltd. | | | 207,988 | | | | 687,050 | |
| | HIL Ltd. | | | 19,540 | | | | 653,337 | |
| | Himadri Speciality Chemical Ltd. | | | 751,378 | | | | 2,158,632 | |
* | | Himatsingka Seide Ltd. | | | 105,201 | | | | 193,943 | |
| | Hindalco Industries Ltd. | | | 7,802,509 | | | | 43,119,455 | |
| | Hinduja Global Solutions Ltd. | | | 90,207 | | | | 1,013,248 | |
| | Hindustan Aeronautics Ltd. | | | 285,268 | | | | 6,249,695 | |
| | Huhtamaki India Ltd. | | | 14,023 | | | | 47,486 | |
| | I G Petrochemicals Ltd. | | | 6,631 | | | | 38,680 | |
| | ICICI Bank Ltd., Sponsored ADR | | | 3,095,733 | | | | 68,694,312 | |
| | ICICI Bank Ltd. | | | 726,431 | | | | 8,000,344 | |
* | | IDFC First Bank Ltd. | | | 10,321,772 | | | | 10,269,683 | |
| | IDFC Ltd. | | | 3,895,441 | | | | 5,369,743 | |
| | IIFL Finance Ltd. | | | 647,553 | | | | 4,828,808 | |
| | IIFL Securities Ltd. | | | 1,373,833 | | | | 1,662,243 | |
* | | India Cements Ltd. | | | 444,625 | | | | 1,114,763 | |
| | India Glycols Ltd. | | | 71,166 | | | | 572,962 | |
| | India Nippon Electricals Ltd. | | | 6,634 | | | | 39,485 | |
| | Indiabulls Housing Finance Ltd. | | | 1,917,170 | | | | 3,726,313 | |
| | Indian Bank | | | 544,017 | | | | 2,738,808 | |
* | | Indian Overseas Bank | | | 1,190,933 | | | | 564,033 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
INDIA — (Continued) | | | | | | | | |
W | | Indian Railway Finance Corp. Ltd. | | | 6,030,028 | | | $ | 5,262,026 | |
| | Indo Count Industries Ltd. | | | 254,848 | | | | 868,705 | |
| | Indoco Remedies Ltd. | | | 9,903 | | | | 37,828 | |
* | | Indus Towers Ltd. | | | 1,391,870 | | | | 2,888,650 | |
| | IndusInd Bank Ltd. | | | 1,591,931 | | | | 27,572,113 | |
| | Infibeam Avenues Ltd. | | | 5,141,087 | | | | 1,174,608 | |
| | Info Edge India Ltd. | | | 67,098 | | | | 3,305,537 | |
| | Insecticides India Ltd. | | | 2,483 | | | | 15,318 | |
| | IOL Chemicals & Pharmaceuticals Ltd. | | | 91,980 | | | | 465,238 | |
| | Ipca Laboratories Ltd. | | | 38,656 | | | | 457,704 | |
W | | IRCON International Ltd. | | | 839,889 | | | | 1,399,345 | |
| | ISGEC Heavy Engineering Ltd. | | | 2,418 | | | | 19,560 | |
| | ITD Cementation India Ltd. | | | 283,266 | | | | 674,605 | |
| | J Kumar Infraprojects Ltd. | | | 202,447 | | | | 983,334 | |
* | | Jagran Prakashan Ltd. | | | 450,732 | | | | 540,933 | |
| | Jai Corp. Ltd. | | | 183,191 | | | | 665,691 | |
| | Jammu & Kashmir Bank Ltd. | | | 1,448,162 | | | | 1,854,493 | |
| | JB Chemicals & Pharmaceuticals Ltd. | | | 40,294 | | | | 675,549 | |
| | Jindal Poly Films Ltd. | | | 54,978 | | | | 414,325 | |
| | Jindal Saw Ltd. | | | 934,025 | | | | 4,991,011 | |
| | Jindal Stainless Ltd. | | | 688,606 | | | | 3,673,196 | |
| | Jindal Steel & Power Ltd. | | | 2,350,467 | | | | 17,896,841 | |
* | | Jio Financial Services Ltd. | | | 11,255,226 | | | | 29,490,324 | |
| | JK Lakshmi Cement Ltd. | | | 242,018 | | | | 1,998,193 | |
| | JK Paper Ltd. | | | 443,447 | | | | 2,033,531 | |
| | JK Tyre & Industries Ltd. | | | 567,910 | | | | 2,078,643 | |
| | JM Financial Ltd. | | | 2,405,311 | | | | 2,370,068 | |
| | JSW Energy Ltd. | | | 1,906,183 | | | | 8,819,170 | |
| | JSW Steel Ltd. | | | 4,041,124 | | | | 35,719,760 | |
| | Jubilant Ingrevia Ltd. | | | 258,072 | | | | 1,301,868 | |
| | Jubilant Pharmova Ltd. | | | 444,607 | | | | 2,000,269 | |
| | Kalpataru Projects International Ltd. | | | 421,283 | | | | 3,336,195 | |
| | Kalyani Steels Ltd. | | | 85,498 | | | | 470,367 | |
| | Karnataka Bank Ltd. | | | 1,019,469 | | | | 2,812,264 | |
| | Karur Vysya Bank Ltd. | | | 2,422,829 | | | | 4,175,322 | |
* | | Kaveri Seed Co. Ltd. | | | 89,790 | | | | 669,084 | |
| | KCP Ltd. | | | 60,061 | | | | 94,393 | |
| | KEC International Ltd. | | | 87,065 | | | | 660,043 | |
* | | Kiri Industries Ltd. | | | 1,368 | | | | 4,452 | |
| | Kirloskar Brothers Ltd. | | | 9,242 | | | | 99,743 | |
| | Kirloskar Ferrous Industries Ltd. | | | 22,923 | | | | 130,324 | |
| | Kirloskar Oil Engines Ltd. | | | 317,117 | | | | 2,089,246 | |
| | Kitex Garments Ltd. | | | 28,810 | | | | 70,108 | |
| | KNR Constructions Ltd. | | | 427,290 | | | | 1,348,016 | |
| | Kolte-Patil Developers Ltd. | | | 110,452 | | | | 635,266 | |
| | KPIT Technologies Ltd. | | | 123,674 | | | | 1,820,360 | |
| | KRBL Ltd. | | | 186,853 | | | | 808,452 | |
| | Krsnaa Diagnostics Ltd. | | | 4,378 | | | | 36,875 | |
| | L&T Finance Holdings Ltd. | | | 4,068,555 | | | | 6,490,470 | |
| | Larsen & Toubro Ltd. | | | 2,234,738 | | | | 78,479,974 | |
| | LG Balakrishnan & Bros Ltd. | | | 49,453 | | | | 633,521 | |
| | LIC Housing Finance Ltd. | | | 1,813,830 | | | | 10,004,475 | |
| | LT Foods Ltd. | | | 920,767 | | | | 1,820,098 | |
| | Lumax Auto Technologies Ltd. | | | 34,557 | | | | 145,694 | |
| | Lupin Ltd. | | | 628,073 | | | | 8,491,418 | |
| | LUX Industries Ltd. | | | 3,036 | | | | 49,498 | |
| | Maharashtra Seamless Ltd. | | | 300,155 | | | | 2,586,502 | |
| | Mahindra & Mahindra Financial Services Ltd. | | | 3,322,250 | | | | 9,811,726 | |
| | Mahindra & Mahindra Ltd. | | | 3,728,125 | | | | 65,578,299 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
INDIA — (Continued) | | | | | | | | |
| | Mahindra Lifespace Developers Ltd. | | | 99,924 | | | $ | 589,624 | |
| | Maithan Alloys Ltd. | | | 16,659 | | | | 207,558 | |
| | Manappuram Finance Ltd. | | | 2,320,125 | | | | 3,818,286 | |
| | Marksans Pharma Ltd. | | | 1,230,067 | | | | 1,562,561 | |
W | | MAS Financial Services Ltd. | | | 6,085 | | | | 64,864 | |
| | Max Estates Ltd. | | | 16,842 | | | | 54,394 | |
| | Mayur Uniquoters Ltd. | | | 21,970 | | | | 137,586 | |
| | Mazagon Dock Shipbuilders Ltd. | | | 6,431 | | | | 152,122 | |
| | Meghmani Organics Ltd. | | | 808,679 | | | | 714,786 | |
| | Minda Corp. Ltd. | | | 56,052 | | | | 217,453 | |
W | | Mishra Dhatu Nigam Ltd. | | | 21,931 | | | | 104,033 | |
| | MOIL Ltd. | | | 323,328 | | | | 904,824 | |
| | Monte Carlo Fashions Ltd. | | | 30,939 | | | | 284,381 | |
* | | Morepen Laboratories Ltd. | | | 305,950 | | | | 123,161 | |
| | Motilal Oswal Financial Services Ltd. | | | 18,528 | | | | 231,659 | |
| | MRF Ltd. | | | 6,712 | | | | 8,749,330 | |
| | Muthoot Finance Ltd. | | | 121,083 | | | | 1,901,354 | |
| | Natco Pharma Ltd. | | | 23,885 | | | | 229,016 | |
| | National Aluminium Co. Ltd. | | | 4,348,995 | | | | 4,838,902 | |
| | National Fertilizers Ltd. | | | 369,527 | | | | 307,742 | |
| | Nava Ltd. | | | 507,459 | | | | 2,519,068 | |
| | Navneet Education Ltd. | | | 86,741 | | | | 158,357 | |
| | NCC Ltd. | | | 2,062,919 | | | | 3,587,674 | |
| | NCL Industries Ltd. | | | 12,157 | | | | 30,094 | |
| | NESCO Ltd. | | | 24,121 | | | | 187,385 | |
| | Neuland Laboratories Ltd. | | | 6,532 | | | | 303,536 | |
| | NIIT Learning Systems Ltd. | | | 437,883 | | | | 2,054,021 | |
* | | NIIT Ltd. | | | 437,883 | | | | 672,405 | |
| | Nilkamal Ltd. | | | 35,747 | | | | 1,027,571 | |
| | NMDC Ltd. | | | 2,233,783 | | | | 4,138,479 | |
* †† | | NMDC Steel Ltd. | | | 2,233,783 | | | | 1,079,257 | |
| | NOCIL Ltd. | | | 369,373 | | | | 979,244 | |
| | NRB Bearings Ltd. | | | 85,234 | | | | 265,455 | |
| | Nucleus Software Exports Ltd. | | | 24,787 | | | | 460,027 | |
| | Oberoi Realty Ltd. | | | 445,028 | | | | 6,072,791 | |
* | | OnMobile Global Ltd. | | | 27,413 | | | | 35,958 | |
| | Orient Cement Ltd. | | | 636,362 | | | | 1,521,090 | |
| | Oriental Hotels Ltd. | | | 14,714 | | | | 17,084 | |
| | Panama Petrochem Ltd. | | | 55,120 | | | | 212,204 | |
* W | | Parag Milk Foods Ltd. | | | 67,277 | | | | 164,566 | |
* | | Patel Engineering Ltd. | | | 699,355 | | | | 406,141 | |
| | PCBL Ltd. | | | 1,018,571 | | | | 2,434,977 | |
| | Petronet LNG Ltd. | | | 3,965,707 | | | | 9,477,066 | |
| | Piramal Enterprises Ltd. | | | 342,965 | | | | 4,018,373 | |
* | | Piramal Pharma Ltd. | | | 1,687,208 | | | | 2,107,247 | |
* W | | PNB Housing Finance Ltd. | | | 286,117 | | | | 2,536,082 | |
| | PNC Infratech Ltd. | | | 378,425 | | | | 1,505,662 | |
| | Polyplex Corp. Ltd. | | | 96,705 | | | | 1,187,206 | |
| | Power Finance Corp. Ltd. | | | 6,354,839 | | | | 18,846,518 | |
| | Power Mech Projects Ltd. | | | 6,909 | | | | 297,196 | |
* | | Prakash Industries Ltd. | | | 444,157 | | | | 848,915 | |
| | Prestige Estates Projects Ltd. | | | 653,042 | | | | 5,986,805 | |
* | | Pricol Ltd. | | | 180,384 | | | | 767,308 | |
| | PTC India Financial Services Ltd. | | | 1,159,942 | | | | 398,009 | |
| | PTC India Ltd. | | | 1,090,055 | | | | 1,838,496 | |
| | Punjab National Bank | | | 6,093,734 | | | | 5,337,618 | |
W | | Quess Corp. Ltd. | | | 33,800 | | | | 170,532 | |
| | Rain Industries Ltd. | | | 975,589 | | | | 1,803,918 | |
| | Rajesh Exports Ltd. | | | 368,708 | | | | 1,999,672 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
INDIA — (Continued) | | | | | | | | |
| | Rallis India Ltd. | | | 368,604 | | | $ | 961,689 | |
| | Ramco Cements Ltd. | | | 124,692 | | | | 1,487,672 | |
| | Ramco Industries Ltd. | | | 78,099 | | | | 200,739 | |
| | Ramkrishna Forgings Ltd. | | | 77,635 | | | | 600,097 | |
| | Rane Holdings Ltd. | | | 1,527 | | | | 22,018 | |
| | Rashtriya Chemicals & Fertilizers Ltd. | | | 953,874 | | | | 1,459,614 | |
| | Raymond Ltd. | | | 176,695 | | | | 3,736,527 | |
W | | RBL Bank Ltd. | | | 1,253,163 | | | | 3,327,804 | |
| | REC Ltd. | | | 7,646,370 | | | | 26,448,075 | |
| | Redington Ltd. | | | 3,602,635 | | | | 6,165,781 | |
* | | Redtape Ltd. | | | 93,391 | | | | 572,121 | |
| | Reliance Industries Ltd. | | | 11,159,703 | | | | 307,014,572 | |
* | | Reliance Power Ltd. | | | 8,732,244 | | | | 1,794,394 | |
| | Repco Home Finance Ltd. | | | 193,967 | | | | 960,636 | |
| | Rico Auto Industries Ltd. | | | 124,266 | | | | 131,106 | |
| | RITES Ltd. | | | 59,631 | | | | 326,038 | |
| | RSWM Ltd. | | | 46,984 | | | | 100,541 | |
| | Rupa & Co. Ltd. | | | 14,398 | | | | 43,298 | |
| | Sagar Cements Ltd. | | | 15,384 | | | | 45,397 | |
| | Samvardhana Motherson International Ltd. | | | 5,361,206 | | | | 5,921,061 | |
* | | Sanghi Industries Ltd. | | | 14,900 | | | | 21,000 | |
| | Sanghvi Movers Ltd. | | | 26,527 | | | | 234,113 | |
| | Sarda Energy & Minerals Ltd. | | | 174,620 | | | | 424,287 | |
| | Sasken Technologies Ltd. | | | 7,289 | | | | 100,655 | |
* | | Satin Creditcare Network Ltd. | | | 12,537 | | | | 36,527 | |
| | Savita Oil Technologies Ltd. | | | 15,655 | | | | 68,210 | |
| | Seshasayee Paper & Boards Ltd. | | | 78,768 | | | | 327,853 | |
W | | SH Kelkar & Co. Ltd. | | | 56,839 | | | | 98,053 | |
| | Shankara Building Products Ltd. | | | 5,132 | | | | 44,527 | |
| | Sharda Cropchem Ltd. | | | 52,923 | | | | 258,705 | |
* | | Shilpa Medicare Ltd. | | | 2,879 | | | | 12,254 | |
| | Shipping Corp. of India Ltd. | | | 839,608 | | | | 1,405,655 | |
| | Shipping Corp. of India Ltd. | | | 839,608 | | | | 102,255 | |
| | Shriram Finance Ltd. | | | 877,901 | | | | 19,868,975 | |
| | Siyaram Silk Mills Ltd. | | | 30,146 | | | | 192,066 | |
| | Sobha Ltd. | | | 231,253 | | | | 1,985,960 | |
| | Somany Ceramics Ltd. | | | 6,642 | | | | 53,019 | |
| | South Indian Bank Ltd. | | | 4,961,219 | | | | 1,442,278 | |
* | | Spandana Sphoorty Financial Ltd. | | | 30,589 | | | | 326,885 | |
* | | Star Cement Ltd. | | | 34,342 | | | | 65,199 | |
| | State Bank of India | | | 7,741,976 | | | | 52,644,536 | |
| | State Bank of India, GDR | | | 19,590 | | | | 1,326,243 | |
| | Steel Authority of India Ltd. | | | 5,294,172 | | | | 5,337,492 | |
| | Strides Pharma Science Ltd. | | | 328,728 | | | | 1,887,969 | |
| | Sun Pharmaceutical Industries Ltd. | | | 1,910,692 | | | | 24,898,051 | |
| | Sun TV Network Ltd. | | | 326,890 | | | | 2,486,041 | |
* | | Sunflag Iron & Steel Co. Ltd. | | | 28,711 | | | | 58,955 | |
| | Sunteck Realty Ltd. | | | 224,123 | | | | 1,166,115 | |
| | Surya Roshni Ltd. | | | 147,734 | | | | 1,018,035 | |
| | Tamil Nadu Newsprint & Papers Ltd. | | | 40,714 | | | | 136,152 | |
* | | TARC Ltd. | | | 263,704 | | | | 324,505 | |
| | Tata Chemicals Ltd. | | | 757,897 | | | | 8,724,109 | |
| | Tata Coffee Ltd. | | | 314,920 | | | | 996,979 | |
| | Tata Consumer Products Ltd. | | | 734,817 | | | | 7,946,836 | |
| | Tata Metaliks Ltd. | | | 1,879 | | | | 20,245 | |
| | Tata Steel Ltd. | | | 30,487,674 | | | | 43,560,463 | |
| | TD Power Systems Ltd. | | | 29,730 | | | | 86,705 | |
| | Tech Mahindra Ltd. | | | 167,414 | | | | 2,281,237 | |
| | Techno Electric & Engineering Co. Ltd. | | | 100,353 | | | | 601,827 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
INDIA — (Continued) | | | | | | | | |
* †† | | Teledata Marine Solutions Ltd. | | | 267,258 | | | $ | 0 | |
| | Texmaco Rail & Engineering Ltd. | | | 310,000 | | | | 455,273 | |
| | Thirumalai Chemicals Ltd. | | | 144,596 | | | | 345,223 | |
| | Tide Water Oil Co. India Ltd. | | | 12,468 | | | | 173,309 | |
| | Time Technoplast Ltd. | | | 700,810 | | | | 1,343,050 | |
| | Tinplate Co. of India Ltd. | | | 177,942 | | | | 802,575 | |
| | Titagarh Rail System Ltd. | | | 44,875 | | | | 410,485 | |
* | | TransIndia Real Estate Ltd. | | | 406,354 | | | | 190,588 | |
| | Transport Corp. of India Ltd. | | | 129,526 | | | | 1,277,716 | |
| | Trident Ltd. | | | 569,558 | | | | 238,072 | |
| | Triveni Engineering & Industries Ltd. | | | 479,523 | | | | 2,054,433 | |
| | Tube Investments of India Ltd. | | | 182,079 | | | | 6,897,416 | |
| | TV Today Network Ltd. | | | 55,663 | | | | 142,397 | |
* | | TV18 Broadcast Ltd. | | | 1,616,955 | | | | 802,604 | |
| | TVS Holdings Ltd. | | | 2,169 | | | | 140,874 | |
| | TVS Holdings Pvt Ltd. | | | 2,169 | | | | 26,606 | |
| | TVS Srichakra Ltd. | | | 7,003 | | | | 324,255 | |
| | Uflex Ltd. | | | 197,481 | | | | 1,006,198 | |
| | Ujjivan Financial Services Ltd. | | | 79,056 | | | | 508,462 | |
* | | Unichem Laboratories Ltd. | | | 148,098 | | | | 773,650 | |
| | Union Bank of India Ltd. | | | 852,360 | | | | 1,037,073 | |
| | UPL Ltd. | | | 1,488,493 | | | | 9,666,503 | |
| | Usha Martin Ltd. | | | 466,300 | | | | 1,655,799 | |
| | UTI Asset Management Co. Ltd. | | | 10,556 | | | | 95,119 | |
* | | VA Tech Wabag Ltd. | | | 167,419 | | | | 968,000 | |
| | Vakrangee Ltd. | | | 91,871 | | | | 19,524 | |
| | Vardhman Textiles Ltd. | | | 720,669 | | | | 3,202,582 | |
* W | | Varroc Engineering Ltd. | | | 60,475 | | | | 335,331 | |
| | Vedanta Ltd. | | | 2,085,561 | | | | 5,427,312 | |
| | Venky’s India Ltd. | | | 10,325 | | | | 243,049 | |
| | Vindhya Telelinks Ltd. | | | 23,855 | | | | 703,767 | |
| | Visaka Industries Ltd. | | | 11,915 | | | | 12,225 | |
| | VL E-Governance & IT Solutions Ltd. | | | 9,187 | | | | 3,294 | |
* | | Vodafone Idea Ltd. | | | 4,085,048 | | | | 581,556 | |
| | Voltamp Transformers Ltd. | | | 1,791 | | | | 103,144 | |
| | Welspun Corp. Ltd. | | | 712,250 | | | | 3,637,594 | |
| | Welspun Enterprises Ltd. | | | 425,978 | | | | 1,343,526 | |
| | Welspun India Ltd. | | | 1,450,693 | | | | 2,624,279 | |
| | West Coast Paper Mills Ltd. | | | 193,782 | | | | 1,708,158 | |
| | Wipro Ltd. | | | 4,641,341 | | | | 21,368,489 | |
* | | Wockhardt Ltd. | | | 57,359 | | | | 156,159 | |
* | | Yes Bank Ltd. | | | 20,413,661 | | | | 3,924,660 | |
* | | Zee Entertainment Enterprises Ltd. | | | 3,660,922 | | | | 11,356,791 | |
| | Zensar Technologies Ltd. | �� | | 423,215 | | | | 2,491,680 | |
* | | Zomato Ltd. | | | 7,259,083 | | | | 9,150,888 | |
| | Zydus Lifesciences Ltd. | | | 274,482 | | | | 1,899,106 | |
| | Zydus Wellnes Ltd. | | | 11,732 | | | | 216,614 | |
| | | | | | | | | | |
TOTAL INDIA | | | | | | | 1,816,502,723 | |
| | | | | | | | | | |
INDONESIA — (1.7%) | | | | | | | | |
| | ABM Investama Tbk. PT | | | 492,900 | | | | 118,436 | |
| | Ace Hardware Indonesia Tbk. PT | | | 24,930,800 | | | | 1,255,322 | |
| | Adaro Energy Indonesia Tbk. PT | | | 81,977,800 | | | | 13,227,047 | |
* | | Adhi Karya Persero Tbk. PT | | | 7,282,600 | | | | 184,358 | |
* | | Adi Sarana Armada Tbk. PT | | | 2,725,700 | | | | 139,018 | |
* | | Alam Sutera Realty Tbk. PT | | | 39,430,800 | | | | 411,921 | |
| | Aneka Tambang Tbk. PT | | | 18,081,100 | | | | 1,937,269 | |
| | Astra Agro Lestari Tbk. PT | | | 2,837,066 | | | | 1,258,373 | |
| | Astra International Tbk. PT | | | 76,166,100 | | | | 27,707,670 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
INDONESIA — (Continued) | | | | | | | | |
| | Astra Otoparts Tbk. PT | | | 646,300 | | | $ | 112,313 | |
* †† | | Bakrie Telecom Tbk. PT | | | 160,430,200 | | | | 0 | |
* | | Bank Capital Indonesia Tbk. PT | | | 15,302,200 | | | | 126,205 | |
| | Bank Mandiri Persero Tbk. PT | | | 40,221,924 | | | | 14,369,365 | |
| | Bank Negara Indonesia Persero Tbk. PT | | | 38,738,982 | | | | 11,690,905 | |
| | Bank OCBC Nisp Tbk. PT | | | 927,600 | | | | 64,832 | |
* | | Bank Pan Indonesia Tbk. PT | | | 47,387,801 | | | | 3,388,570 | |
| | Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk. PT | | | 17,941,684 | | | | 1,282,245 | |
| | Bank Pembangunan Daerah Jawa Timur Tbk. PT | | | 19,489,500 | | | | 742,477 | |
| | Bank Tabungan Negara Persero Tbk. PT | | | 33,890,015 | | | | 2,614,526 | |
* | | Bekasi Fajar Industrial Estate Tbk. PT | | | 13,160,500 | | | | 110,183 | |
| | BISI International Tbk. PT | | | 10,049,400 | | | | 987,242 | |
| | Blue Bird Tbk. PT | | | 497,500 | | | | 62,024 | |
* | | Buana Lintas Lautan Tbk. PT | | | 32,672,400 | | | | 156,235 | |
* | | Bukalapak.com Tbk. PT | | | 5,666,400 | | | | 75,020 | |
| | Bukit Asam Tbk. PT | | | 22,579,100 | | | | 3,524,551 | |
* | | Bumi Resources Minerals Tbk. PT | | | 13,596,800 | | | | 165,978 | |
* | | Bumi Resources Tbk. PT | | | 38,978,000 | | | | 277,352 | |
* | | Bumi Serpong Damai Tbk. PT | | | 16,787,300 | | | | 1,061,678 | |
| | Ciputra Development Tbk. PT | | | 58,496,278 | | | | 4,081,910 | |
* | | City Retail Developments Tbk. PT | | | 1,000,000 | | | | 8,782 | |
| | Dayamitra Telekomunikasi PT | | | 2,162,800 | | | | 84,373 | |
| | Delta Dunia Makmur Tbk. PT | | | 23,546,000 | | | | 512,903 | |
| | Dharma Satya Nusantara Tbk. PT | | | 8,751,700 | | | | 314,155 | |
| | Elang Mahkota Teknologi Tbk. PT | | | 10,516,700 | | | | 331,348 | |
| | Elnusa Tbk. PT | | | 15,056,100 | | | | 409,924 | |
| | Erajaya Swasembada Tbk. PT | | | 51,296,600 | | | | 1,292,000 | |
* | | Gajah Tunggal Tbk. PT | | | 8,135,800 | | | | 450,541 | |
| | Gudang Garam Tbk. PT | | | 890,100 | | | | 1,304,618 | |
* †† | | Hanson International Tbk. PT | | | 37,319,300 | | | | 0 | |
| | Harum Energy Tbk. PT | | | 3,498,100 | | | | 355,850 | |
| | Indah Kiat Pulp & Paper Tbk. PT | | | 14,843,400 | | | | 8,971,386 | |
| | Indika Energy Tbk. PT | | | 11,304,900 | | | | 1,291,968 | |
| | Indo Tambangraya Megah Tbk. PT | | | 2,252,600 | | | | 3,762,379 | |
| | Indocement Tunggal Prakarsa Tbk. PT | | | 1,629,000 | | | | 951,603 | |
| | Indofood Sukses Makmur Tbk. PT | | | 24,262,000 | | | | 10,157,374 | |
| | Indomobil Sukses Internasional Tbk. PT | | | 252,400 | | | | 21,771 | |
* | | Integra Indocabinet Tbk. PT | | | 4,584,200 | | | | 96,958 | |
* | | Intiland Development Tbk. PT | | | 16,318,400 | | | | 203,472 | |
| | Japfa Comfeed Indonesia Tbk. PT | | | 29,403,550 | | | | 2,267,219 | |
| | Jaya Real Property Tbk. PT | | | 43,375,300 | | | | 1,898,157 | |
* | | Kawasan Industri Jababeka Tbk. PT | | | 149,763,656 | | | | 1,244,867 | |
| | KMI Wire & Cable Tbk. PT | | | 10,201,300 | | | | 210,660 | |
* | | Krakatau Steel Persero Tbk. PT | | | 3,578,500 | | | | 38,057 | |
* | | Lippo Cikarang Tbk. PT | | | 2,408,310 | | | | 136,457 | |
* | | Lippo Karawaci Tbk. PT | | | 220,161,662 | | | | 1,219,877 | |
* | | Malindo Feedmill Tbk. PT | | | 6,123,100 | | | | 171,176 | |
| | Medco Energi Internasional Tbk. PT | | | 41,795,832 | | | | 3,360,179 | |
| | Media Nusantara Citra Tbk. PT | | | 34,716,400 | | | | 1,079,971 | |
| | Metrodata Electronics Tbk. PT | | | 5,280,550 | | | | 167,807 | |
| | Mitra Pinasthika Mustika Tbk. PT | | | 4,852,200 | | | | 305,461 | |
| | Mulia Industrindo Tbk. PT | | | 1,679,400 | | | | 43,143 | |
* | | Multipolar Tbk. PT | | | 10,396,600 | | | | 48,459 | |
* †† | | Omni Inovasi Indonesia Tbk. PT | | | 6,628,800 | | | | 15,649 | |
| | Pabrik Kertas Tjiwi Kimia Tbk. PT | | | 4,558,300 | | | | 2,195,650 | |
| | Pakuwon Jati Tbk. PT | | | 12,571,800 | | | | 316,423 | |
* | | Panin Financial Tbk. PT | | | 65,059,000 | | | | 1,113,978 | |
* | | Paninvest Tbk. PT | | | 9,027,200 | | | | 565,976 | |
| | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | | | 17,633,584 | | | | 1,015,746 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
INDONESIA — (Continued) | | | | | | | | |
* | | PP Persero Tbk. PT | | | 4,882,900 | | | $ | 173,672 | |
| | Puradelta Lestari Tbk. PT | | | 2,516,000 | | | | 27,069 | |
| | Ramayana Lestari Sentosa Tbk. PT | | | 10,387,700 | | | | 325,813 | |
| | Salim Ivomas Pratama Tbk. PT | | | 22,834,800 | | | | 540,425 | |
| | Samator Indo Gas Tbk. PT | | | 380,600 | | | | 37,741 | |
| | Sampoerna Agro Tbk. PT | | | 8,192,041 | | | | 1,041,453 | |
| | Samudera Indonesia Tbk. PT | | | 5,703,500 | | | | 108,425 | |
* | | Sarana Meditama Metropolitan Tbk. PT | | | 563,000 | | | | 12,188 | |
| | Sawit Sumbermas Sarana Tbk. PT | | | 3,164,600 | | | | 228,093 | |
| | Semen Indonesia Persero Tbk. PT | | | 12,747,351 | | | | 4,898,205 | |
| | Siloam International Hospitals Tbk. PT | | | 6,493,900 | | | | 981,646 | |
| | Sinar Mas Agro Resources & Technology Tbk. PT | | | 1,174,500 | | | | 316,418 | |
* †† | | Sri Rejeki Isman Tbk. PT | | | 63,289,500 | | | | 109,068 | |
| | Steel Pipe Industry of Indonesia PT | | | 695,900 | | | | 12,795 | |
| | Summarecon Agung Tbk. PT | | | 21,875,200 | | | | 736,354 | |
| | Surya Citra Media Tbk. PT | | | 5,514,900 | | | | 52,442 | |
| | Surya Esa Perkasa Tbk. PT | | | 3,064,200 | | | | 115,747 | |
* | | Surya Semesta Internusa Tbk. PT | | | 25,894,300 | | | | 668,225 | |
* †† | | Suryainti Permata Tbk. PT | | | 17,378,000 | | | | 0 | |
| | Tempo Scan Pacific Tbk. PT | | | 917,400 | | | | 96,448 | |
| | Timah Tbk. PT | | | 8,284,800 | | | | 359,747 | |
* †† | | Trada Alam Minera Tbk. PT | | | 188,544,700 | | | | 0 | |
| | Trias Sentosa Tbk. PT | | | 336,500 | | | | 10,855 | |
| | Triputra Agro Persada PT | | | 1,841,500 | | | | 63,768 | |
| | Tunas Baru Lampung Tbk. PT | | | 20,560,800 | | | | 1,100,827 | |
| | Unggul Indah Cahaya Tbk. PT | | | 288,335 | | | | 146,618 | |
| | United Tractors Tbk. PT | | | 9,294,100 | | | | 14,707,988 | |
| | Vale Indonesia Tbk. PT | | | 9,453,400 | | | | 2,946,149 | |
* †† | | Waskita Beton Precast Tbk. PT | | | 22,419,100 | | | | 70,570 | |
* †† | | Waskita Karya Persero Tbk. PT | | | 25,152,582 | | | | 240,679 | |
| | Wijaya Karya Beton Tbk. PT | | | 18,377,300 | | | | 158,477 | |
* | | Wijaya Karya Persero Tbk. PT | | | 17,873,100 | | | | 431,839 | |
* | | Wintermar Offshore Marine Tbk. PT | | | 566,000 | | | | 15,349 | |
| | XL Axiata Tbk. PT | | | 27,641,503 | | | | 3,951,234 | |
| | | | | | | | | | |
TOTAL INDONESIA | | | | | | | 173,755,669 | |
| | | | | | | | | | |
KUWAIT — (0.2%) | | | | | | | | |
| | A’ayan Leasing & Investment Co. KSCP | | | 2,647,486 | | | | 1,317,540 | |
* | | Agility Public Warehousing Co. KSC | | | 2,984,981 | | | | 5,073,841 | |
| | Ahli United Bank KSCP | | | 66,212 | | | | 53,064 | |
| | Al Ahli Bank of Kuwait KSCP | | | 513,355 | | | | 355,010 | |
| | Al-Eid Food KSC | | | 39,469 | | | | 21,555 | |
| | Arzan Financial Group for Financing & Investment KPSC | | | 2,315,113 | | | | 1,219,465 | |
* | | Asiya Capital Investments Co. KSCP | | | 893,372 | | | | 122,696 | |
| | Boubyan Petrochemicals Co. KSCP | | | 296,991 | | | | 588,319 | |
| | Burgan Bank SAK | | | 948,107 | | | | 499,407 | |
| | Combined Group Contracting Co. SAK | | | 258,763 | | | | 352,041 | |
| | Gulf Bank KSCP | | | 4,169,592 | | | | 3,193,386 | |
| | Gulf Cables & Electrical Industries Group Co. KSCP | | | 8,643 | | | | 32,958 | |
| | Heavy Engineering & Ship Building Co. KSCP, Class B | | | 45,014 | | | | 109,826 | |
| | Integrated Holding Co. KCSC | | | 293,266 | | | | 418,884 | |
| | Kuwait Finance House KSCP | | | 492,519 | | | | 1,088,651 | |
| | Kuwait International Bank KSCP | | | 1,401,522 | | | | 665,774 | |
| | Mezzan Holding Co. KSCC | | | 342,272 | | | | 553,033 | |
| | Mobile Telecommunications Co. KSCP | | | 2,231,678 | | | | 3,468,855 | |
| | National Industries Group Holding SAK | | | 1,639,271 | | | | 942,932 | |
| | National Investments Co. KSCP | | | 151,444 | | | | 91,028 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
KUWAIT — (Continued) | | | | | | | | |
| | Warba Bank KSCP | | | 1,900,108 | | | $ | 1,056,127 | |
| | | | | | | | | | |
TOTAL KUWAIT | | | | | | | 21,224,392 | |
| | | | | | | | | | |
MALAYSIA — (1.8%) | | | | | | | | |
| | Aeon Co. M Bhd | | | 1,758,700 | | | | 398,899 | |
# | | AFFIN Bank Bhd | | | 8,112,759 | | | | 3,439,778 | |
| | Alliance Bank Malaysia Bhd | | | 5,120,300 | | | | 3,687,399 | |
| | Allianz Malaysia Bhd | | | 93,300 | | | | 313,727 | |
| | AMMB Holdings Bhd | | | 7,516,262 | | | | 6,029,864 | |
| | Axiata Group Bhd | | | 309,600 | | | | 141,654 | |
| | Bank Islam Malaysia Bhd | | | 1,520,407 | | | | 686,382 | |
| | Batu Kawan Bhd | | | 1,621,150 | | | | 6,971,015 | |
# * | | Berjaya Assets Bhd | | | 604,700 | | | | 36,917 | |
* | | Berjaya Corp. Bhd | | | 12,296,429 | | | | 748,661 | |
# * | | Berjaya Land Bhd | | | 5,491,800 | | | | 322,573 | |
# | | Boustead Plantations Bhd | | | 2,996,900 | | | | 918,740 | |
# * | | Bumi Armada Bhd | | | 13,388,700 | | | | 1,548,925 | |
| | Cahya Mata Sarawak Bhd | | | 2,178,700 | | | | 507,866 | |
| | CB Industrial Product Holding Bhd | | | 1,285,500 | | | | 291,200 | |
| | CIMB Group Holdings Bhd | | | 24,930,756 | | | | 29,869,458 | |
# * | | Coastal Contracts Bhd | | | 18,700 | | | | 7,571 | |
# | | CSC Steel Holdings Bhd | | | 821,256 | | | | 201,854 | |
# * | | Dagang NeXchange Bhd | | | 162,900 | | | | 14,905 | |
| | Dayang Enterprise Holdings Bhd | | | 340,600 | | | | 133,153 | |
# | | DRB-Hicom Bhd | | | 4,774,600 | | | | 1,394,681 | |
| | Eco World Development Group Bhd | | | 4,326,900 | | | | 917,778 | |
# * | | Ekovest Bhd | | | 7,842,200 | | | | 782,689 | |
| | Gadang Holdings Bhd | | | 2,586,100 | | | | 176,506 | |
| | Gamuda Bhd | | | 6,029,007 | | | | 5,873,789 | |
| | Genting Bhd | | | 6,998,500 | | | | 5,922,013 | |
# | | Genting Malaysia Bhd | | | 7,868,200 | | | | 3,998,283 | |
| | Genting Plantations Bhd | | | 82,800 | | | | 94,171 | |
| | George Kent Malaysia Bhd | | | 1,855,600 | | | | 181,243 | |
| | HAP Seng Consolidated Bhd | | | 324,482 | | | | 334,473 | |
# | | Hengyuan Refining Co. Bhd | | | 634,000 | | | | 423,394 | |
| | Hiap Teck Venture Bhd | | | 6,366,200 | | | | 555,272 | |
| | Hibiscus Petroleum Bhd | | | 1,251,400 | | | | 702,570 | |
# | | Hong Leong Financial Group Bhd | | | 1,453,534 | | | | 5,355,632 | |
| | Hong Leong Industries Bhd | | | 129,100 | | | | 244,035 | |
| | IGB Bhd | | | 3,022,296 | | | | 1,371,757 | |
# | | IJM Corp. Bhd | | | 13,018,318 | | | | 5,194,053 | |
| | Insas Bhd | | | 2,517,100 | | | | 454,285 | |
# | | IOI Properties Group Bhd | | | 4,986,225 | | | | 1,936,319 | |
* | | Iskandar Waterfront City Bhd | | | 1,951,300 | | | | 252,255 | |
# * | | JAKS Resources Bhd | | | 6,225,780 | | | | 254,711 | |
# | | Jaya Tiasa Holdings Bhd | | | 2,431,633 | | | | 438,974 | |
| | Keck Seng Malaysia Bhd | | | 732,600 | | | | 684,214 | |
# * | | KNM Group Bhd | | | 11,856,690 | | | | 247,934 | |
# | | Kossan Rubber Industries Bhd | | | 935,700 | | | | 265,202 | |
# * | | KSL Holdings Bhd | | | 1,650,051 | | | | 374,702 | |
# | | Kumpulan Fima Bhd | | | 575,200 | | | | 214,872 | |
| | Land & General Bhd | | | 11,345,220 | | | | 285,965 | |
# | | LBS Bina Group Bhd | | | 3,741,134 | | | | 404,785 | |
# W | | Lotte Chemical Titan Holding Bhd | | | 955,993 | | | | 226,720 | |
# | | Magnum Bhd | | | 4,548,645 | | | | 1,021,239 | |
# | | Mah Sing Group Bhd | | | 6,587,962 | | | | 1,135,013 | |
| | Malayan Banking Bhd | | | 9,729,712 | | | | 18,423,757 | |
# | | Malayan Flour Mills Bhd | | | 3,257,475 | | | | 437,699 | |
# | | Malaysia Building Society Bhd | | | 9,653,843 | | | | 1,470,792 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
MALAYSIA — (Continued) | | | | | | | | |
# | | Malaysian Resources Corp. Bhd | | | 9,629,347 | | | $ | 870,063 | |
| | Matrix Concepts Holdings Bhd | | | 1,342,450 | | | | 433,542 | |
# | | MBM Resources Bhd | | | 769,903 | | | | 630,542 | |
| | Mega First Corp. Bhd | | | 370,400 | | | | 268,936 | |
| | MISC Bhd | | | 3,931,404 | | | | 5,985,078 | |
# | | MKH Bhd | | | 1,882,878 | | | | 553,389 | |
# | | MNRB Holdings Bhd | | | 1,983,779 | | | | 495,876 | |
| | MPHB Capital Bhd | | | 178,400 | | | | 40,145 | |
| | Muda Holdings Bhd | | | 280,700 | | | | 83,099 | |
# * | | Muhibbah Engineering M Bhd | | | 2,526,000 | | | | 366,007 | |
* | | OCK Group Bhd | | | 204,300 | | | | 16,941 | |
| | Oriental Holdings Bhd | | | 2,554,379 | | | | 3,378,504 | |
| | OSK Holdings Bhd | | | 6,539,006 | | | | 1,618,821 | |
| | Pantech Group Holdings Bhd | | | 2,022,394 | | | | 369,380 | |
# | | Paramount Corp. Bhd | | | 1,807,455 | | | | 348,958 | |
# | | Petron Malaysia Refining & Marketing Bhd | | | 247,800 | | | | 234,688 | |
# * | | Pos Malaysia Bhd | | | 1,777,400 | | | | 190,304 | |
# | | PPB Group Bhd | | | 1,952,239 | | | | 6,220,517 | |
# | | RHB Bank Bhd | | | 7,433,092 | | | | 8,706,396 | |
* | | Sapura Energy Bhd | | | 39,709,700 | | | | 416,558 | |
# | | Sarawak Oil Palms Bhd | | | 1,041,700 | | | | 557,693 | |
| | Sime Darby Bhd | | | 13,651,000 | | | | 6,560,906 | |
| | Sime Darby Property Bhd | | | 7,330,900 | | | | 946,761 | |
| | SP Setia Bhd. Group | | | 8,294,573 | | | | 1,464,201 | |
* †† | | Sumatec Resources Bhd | | | 2,855,100 | | | | 0 | |
| | Sunway Bhd | | | 6,852,886 | | | | 2,660,768 | |
| | Suria Capital Holdings Bhd | | | 793,880 | | | | 263,436 | |
# | | Ta Ann Holdings Bhd | | | 878,826 | | | | 617,586 | |
| | Tan Chong Motor Holdings Bhd | | | 658,600 | | | | 139,593 | |
* | | Top Glove Corp. Bhd | | | 9,001,200 | | | | 1,370,155 | |
# * | | Tropicana Corp. Bhd | | | 4,993,061 | | | | 1,268,000 | |
| | TSH Resources Bhd | | | 278,100 | | | | 56,043 | |
# | | UEM Edgenta Bhd | | | 1,204,400 | | | | 257,932 | |
# | | UEM Sunrise Bhd | | | 3,598,745 | | | | 601,315 | |
| | UMW Holdings Bhd | | | 84,600 | | | | 86,130 | |
| | United Malacca Bhd | | | 902,000 | | | | 961,009 | |
# | | UOA Development Bhd | | | 9,677,999 | | | | 3,433,828 | |
* | | Velesto Energy Bhd | | | 14,367,928 | | | | 769,918 | |
* | | Wasco Bhd | | | 447,780 | | | | 91,201 | |
# | | WCT Holdings Bhd | | | 4,268,224 | | | | 462,063 | |
# | | Yinson Holdings Bhd | | | 916,980 | | | | 471,564 | |
* | | YNH Property Bhd | | | 2,049,750 | | | | 2,193,132 | |
# | | YTL Corp. Bhd | | | 11,794,921 | | | | 3,618,148 | |
| | | | | | | | | | |
TOTAL MALAYSIA | | | | | | | 178,401,444 | |
| | | | | | | | | | |
MEXICO — (2.9%) | | | | | | | | |
| | Alfa SAB de CV, Class A | | | 23,173,117 | | | | 14,395,635 | |
# | | Alpek SAB de CV | | | 1,714,722 | | | | 1,009,108 | |
| | Arca Continental SAB de CV | | | 23,788 | | | | 213,457 | |
W | | Banco del Bajio SA | | | 1,512,528 | | | | 4,604,951 | |
* | | Cemex SAB de CV | | | 2,064,609 | | | | 1,235,628 | |
* | | Cemex SAB de CV, Sponsored ADR | | | 3,267,721 | | | | 19,508,291 | |
| | Coca-Cola Femsa SAB de CV | | | 761,364 | | | | 5,788,039 | |
| | Consorcio ARA SAB de CV | | | 3,207,049 | | | | 588,792 | |
* | | Controladora AXTEL SAB de CV | | | 23,823,748 | | | | 303,925 | |
| | Corp. Actinver SAB de CV | | | 89,268 | | | | 74,270 | |
| | Corp. Interamericana de Entretenimiento SAB de CV, Class B | | | 815,461 | | | | 759,873 | |
# | | Cydsa SAB de CV | | | 5,874 | | | | 6,109 | |
| | Dine SAB de CV | | | 993,764 | | | | 1,271,350 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
MEXICO — (Continued) | | | | | | | | |
| | El Puerto de Liverpool SAB de CV, Class C1 | | | 547,480 | | | $ | 2,787,353 | |
| | Fomento Economico Mexicano SAB de CV | | | 407,748 | | | | 4,610,092 | |
| | Fomento Economico Mexicano SAB de CV, Sponsored ADR | | | 81,239 | | | | 9,213,315 | |
| | GCC SAB de CV | | | 520,672 | | | | 4,645,587 | |
| | Genomma Lab Internacional SAB de CV, Class B | | | 1,481,559 | | | | 1,102,808 | |
| | Gentera SAB de CV | | | 3,252,884 | | | | 3,446,119 | |
| | Grupo Carso SAB de CV | | | 2,298,841 | | | | 14,734,820 | |
| | Grupo Comercial Chedraui SA de CV | | | 1,285,019 | | | | 7,485,312 | |
# | | Grupo Elektra SAB de CV | | | 6,915 | | | | 441,465 | |
| | Grupo Financiero Banorte SAB de CV, Class O | | | 6,941,553 | | | | 56,232,397 | |
* | | Grupo Financiero Inbursa SAB de CV, Class O | | | 5,823,829 | | | | 12,019,783 | |
* | | Grupo Gigante SAB de CV | | | 471,076 | | | | 794,315 | |
| | Grupo Industrial Saltillo SAB de CV | | | 1,352,696 | | | | 2,007,023 | |
| | Grupo KUO SAB De CV, Class B | | | 1,904,343 | | | | 3,881,780 | |
| | Grupo Mexico SAB de CV, Class B | | | 9,956,499 | | | | 41,346,890 | |
* | | Grupo Pochteca SAB de CV | | | 67,810 | | | | 27,344 | |
* | | Grupo Posadas SAB de CV | | | 95,956 | | | | 142,106 | |
* | | Grupo Simec SAB de CV, Class B | | | 689,708 | | | | 7,325,924 | |
| | Grupo Televisa SAB, Sponsored ADR | | | 713,059 | | | | 1,647,166 | |
* W | | Grupo Traxion SAB de CV | | | 85,118 | | | | 126,055 | |
* | | Hoteles City Express SAB de CV | | | 259,134 | | | | 78,190 | |
* | | Industrias CH SAB de CV, Class B | | | 1,839,785 | | | | 19,694,853 | |
# * | | Industrias Penoles SAB de CV | | | 519,156 | | | | 5,744,148 | |
| | La Comer SAB de CV | | | 3,014,480 | | | | 6,012,574 | |
| | Megacable Holdings SAB de CV | | | 1,065,091 | | | | 2,088,356 | |
* | | Minera Frisco SAB de CV, Class A1 | | | 12,021,781 | | | | 1,540,314 | |
* W | | Nemak SAB de CV | | | 8,698,292 | | | | 1,543,876 | |
| | Orbia Advance Corp. SAB de CV | | | 4,119,110 | | | | 6,685,072 | |
* | | Organizacion Cultiba SAB de CV | | | 157,421 | | | | 96,920 | |
# * | | Organizacion Soriana SAB de CV, Class B | | | 13,628,251 | | | | 23,523,832 | |
| | Promotora y Operadora de Infraestructura SAB de CV | | | 574,258 | | | | 4,732,237 | |
| | Regional SAB de CV | | | 70,902 | | | | 537,359 | |
* | | Vista Energy SAB de CV, ADR | | | 3,552 | | | | 96,685 | |
| | Vitro SAB de CV, Class A | | | 927,658 | | | | 1,072,809 | |
| | | | | | | | | | |
TOTAL MEXICO | | | | | | | 297,224,307 | |
| | | | | | | | | | |
PHILIPPINES — (0.9%) | | | | | | | | |
†† | | ACR Mining Corp. | | | 105,455 | | | | 6,238 | |
| | AllHome Corp. | | | 1,554,000 | | | | 41,162 | |
| | Alliance Global Group, Inc. | | | 16,970,806 | | | | 3,170,036 | |
| | Alsons Consolidated Resources, Inc. | | | 3,162,000 | | | | 30,710 | |
| | Apex Mining Co., Inc. | | | 2,152,000 | | | | 97,364 | |
* | | Atlas Consolidated Mining & Development Corp. | | | 4,214,600 | | | | 229,873 | |
| | Ayala Corp. | | | 237,470 | | | | 2,538,972 | |
| | Ayala Land, Inc. | | | 1,074,900 | | | | 528,906 | |
| | Bank of the Philippine Islands | | | 2,984,222 | | | | 5,290,913 | |
| | BDO Unibank, Inc. | | | 6,379,537 | | | | 14,360,165 | |
| | Belle Corp. | | | 4,041,000 | | | | 84,201 | |
* | | Cebu Air, Inc. | | | 8,930 | | | | 5,195 | |
* W | | CEMEX Holdings Philippines, Inc. | | | 159,480 | | | | 2,282 | |
| | China Banking Corp. | | | 7,846,432 | | | | 4,183,121 | |
| | Cosco Capital, Inc. | | | 13,204,600 | | | | 1,072,926 | |
| | DMCI Holdings, Inc. | | | 10,223,900 | | | | 1,653,155 | |
| | East West Banking Corp. | | | 2,667,000 | | | | 415,506 | |
| | Filinvest Development Corp. | | | 384,400 | | | | 36,313 | |
| | Filinvest Land, Inc. | | | 73,198,031 | | | | 787,427 | |
| | First Philippine Holdings Corp. | | | 3,175,100 | | | | 3,377,475 | |
* †† | | Fwbc Holdings, Inc. | | | 5,471,786 | | | | 0 | |
| | Global Ferronickel Holdings, Inc. | | | 9,391,116 | | | | 425,462 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
PHILIPPINES — (Continued) | | | | | | | | |
| | GT Capital Holdings, Inc. | | | 116,817 | | | $ | 1,130,243 | |
* | | Integrated Micro-Electronics, Inc. | | | 2,128,500 | | | | 130,819 | |
| | JG Summit Holdings, Inc. | | | 10,053,957 | | | | 6,521,393 | |
| | LT Group, Inc. | | | 9,164,300 | | | | 1,430,452 | |
| | Megaworld Corp. | | | 46,669,300 | | | | 1,630,150 | |
| | Metropolitan Bank & Trust Co. | | | 8,138,062 | | | | 7,504,095 | |
| | Petron Corp. | | | 14,705,900 | | | | 848,560 | |
†† | | Philcomsat Holdings Corp. | | | 497,957 | | | | 664,001 | |
| | Philex Mining Corp. | | | 4,703,000 | | | | 240,340 | |
* | | Philippine National Bank | | | 3,173,985 | | | | 1,044,013 | |
* †† | | Philippine National Construction Corp. | | | 398,900 | | | | 6,461 | |
| | Philippine Savings Bank | | | 1,950,769 | | | | 1,889,067 | |
* †† | | Philtown Properties, Inc. | | | 6,701 | | | | 0 | |
* | | Phoenix Petroleum Philippines, Inc. | | | 1,259,500 | | | | 133,027 | |
| | Premium Leisure Corp. | | | 6,804,000 | | | | 70,753 | |
| | Puregold Price Club, Inc. | | | 815,100 | | | | 389,364 | |
| | RFM Corp. | | | 762,400 | | | | 40,186 | |
| | Rizal Commercial Banking Corp. | | | 4,608,906 | | | | 1,901,888 | |
| | Robinsons Land Corp. | | | 12,082,608 | | | | 2,970,300 | |
| | Robinsons Retail Holdings, Inc. | | | 799,160 | | | | 577,350 | |
| | San Miguel Corp. | | | 4,864,616 | | | | 9,010,591 | |
| | Security Bank Corp. | | | 1,430,944 | | | | 1,942,635 | |
* | | Shell Pilipinas Corp. | | | 112,730 | | | | 25,440 | |
* | | Top Frontier Investment Holdings, Inc. | | | 526,832 | | | | 882,006 | |
| | Union Bank of the Philippines | | | 6,880,418 | | | | 7,216,602 | |
| | Vista Land & Lifescapes, Inc. | | | 46,966,968 | | | | 1,325,177 | |
| | | | | | | | | | |
TOTAL PHILIPPINES | | | | | | | 87,862,315 | |
| | | | | | | | | | |
POLAND — (1.0%) | | | | | | | | |
* | | Agora SA | | | 230,402 | | | | 507,713 | |
* | | Alior Bank SA | | | 407,525 | | | | 6,415,564 | |
* | | Amica SA | | | 9,232 | | | | 155,866 | |
# | | Arctic Paper SA | | | 10,901 | | | | 46,038 | |
| | Asseco Poland SA | | | 72,905 | | | | 1,334,875 | |
| | Bank Handlowy w Warszawie SA | | | 8,741 | | | | 179,100 | |
* | | Bank Millennium SA | | | 1,435,443 | | | | 2,497,636 | |
| | Bank Polska Kasa Opieki SA | | | 298,511 | | | | 9,070,906 | |
# | | Boryszew SA | | | 290,767 | | | | 415,896 | |
# | | Cognor Holding SA | | | 28,557 | | | | 56,333 | |
# * | | Cyfrowy Polsat SA | | | 660,904 | | | | 2,060,662 | |
| | Develia SA | | | 1,336,579 | | | | 1,569,940 | |
* | | Enea SA | | | 865,304 | | | | 1,499,865 | |
* | | Grenevia SA | | | 115,828 | | | | 82,499 | |
* | | Grupa Azoty SA | | | 28,856 | | | | 150,980 | |
* | | Jastrzebska Spolka Weglowa SA | | | 280,580 | | | | 3,333,159 | |
| | KGHM Polska Miedz SA | | | 501,152 | | | | 13,373,382 | |
# | | Lubelski Wegiel Bogdanka SA | | | 25,099 | | | | 219,485 | |
* | | mBank SA | | | 24,628 | | | | 3,044,595 | |
| | ORLEN SA | | | 2,543,352 | | | | 40,220,351 | |
* | | PGE Polska Grupa Energetyczna SA | | | 3,181,321 | | | | 5,525,051 | |
* | | PKP Cargo SA | | | 139,836 | | | | 511,150 | |
* | | Powszechna Kasa Oszczednosci Bank Polski SA | | | 77,411 | | | | 801,882 | |
* | | Santander Bank Polska SA | | | 8,183 | | | | 888,731 | |
| | Stalexport Autostrady SA | | | 176,122 | | | | 107,851 | |
* | | Tauron Polska Energia SA | | | 5,160,346 | | | | 4,538,354 | |
| | | | | | | | | | |
TOTAL POLAND | | | | | | | 98,607,864 | |
| | | | | | | | | | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
QATAR — (0.7%) | | | | | | | | |
| | Aamal Co. | | | 6,832,725 | | | $ | 1,542,115 | |
| | Al Khaleej Takaful Group QSC | | | 588,658 | | | | 490,601 | |
| | Alijarah Holding Co. QPSC | | | 1,962,869 | | | | 370,452 | |
* | | Baladna | | | 5,068,644 | | | | 1,561,840 | |
| | Barwa Real Estate Co. | | | 6,921,171 | | | | 4,816,015 | |
| | Commercial Bank PSQC | | | 7,440,194 | | | | 10,480,139 | |
| | Doha Bank QPSC | | | 7,558,791 | | | | 3,147,347 | |
| | Doha Insurance Co. QSC | | | 63,045 | | | | 39,604 | |
| | Gulf International Services QSC | | | 6,287,158 | | | | 4,741,191 | |
| | Gulf Warehousing Co. | | | 886,842 | | | | 722,969 | |
* | | Lesha Bank LLC | | | 1,273,329 | | | | 482,639 | |
| | Masraf Al Rayan QSC | | | 15,129,920 | | | | 8,730,737 | |
* | | Mazaya Real Estate Development QPSC | | | 3,976,974 | | | | 657,594 | |
| | Medicare Group | | | 33,315 | | | | 49,318 | |
| | Mesaieed Petrochemical Holding Co. | | | 10,002,202 | | | | 4,375,264 | |
| | Ooredoo QPSC | | | 3,550,263 | | | | 9,639,693 | |
| | Qatar Aluminum Manufacturing Co. | | | 1,709,059 | | | | 580,254 | |
| | Qatar Fuel QSC | | | 504,369 | | | | 2,058,423 | |
| | Qatar Industrial Manufacturing Co. QSC | | | 47,636 | | | | 39,269 | |
* | | Qatar Insurance Co. SAQ | | | 3,130,088 | | | | 2,125,897 | |
| | Qatar National Cement Co. QSC | | | 574,051 | | | | 554,601 | |
| | Qatar Navigation QSC | | | 1,865,164 | | | | 4,624,323 | |
* | | Salam International Investment Ltd. QSC | | | 5,738,848 | | | | 940,654 | |
| | United Development Co. QSC | | | 9,476,366 | | | | 2,537,402 | |
| | Vodafone Qatar QSC | | | 7,116,855 | | | | 3,482,955 | |
| | | | | | | | | | |
TOTAL QATAR | | | | | | | 68,791,296 | |
| | | | | | | | | | |
RUSSIA — (0.0%) | | | | | | | | |
* †† | | Gazprom PJSC, Sponsored ADR | | | 9,648,397 | | | | 0 | |
* †† | | Lukoil PJSC, Sponsored ADR | | | 919,241 | | | | 0 | |
* †† | | Magnitogorsk Iron & Steel Works PJSC, GDR | | | 3,296 | | | | 0 | |
* †† | | Rosneft Oil Co. PJSC, GDR | | | 1,520,319 | | | | 0 | |
* †† | | RusHydro PJSC, ADR | | | 4,402,355 | | | | 0 | |
* †† | | Sberbank of Russia PJSC, Sponsored ADR | | | 31,829 | | | | 0 | |
* †† | | VTB Bank PJSC, GDR | | | 5,107,496 | | | | 0 | |
| | | | | | | | | | |
SAUDI ARABIA — (3.7%) | | | | | | | | |
| | Al Babtain Power & Telecommunication Co. | | | 224,875 | | | | 1,116,775 | |
* | | Al Hassan Ghazi Ibrahim Shaker Co. | | | 86,701 | | | | 470,765 | |
* | | Al Jouf Cement Co. | | | 372,442 | | | | 1,149,831 | |
* | | Al Khaleej Training & Education Co. | | | 113,723 | | | | 590,526 | |
* | | AlAbdullatif Industrial Investment Co. | | | 56,817 | | | | 217,948 | |
* | | Al-Etihad Cooperative Insurance Co. | | | 152,177 | | | | 810,850 | |
* | | AlJazira Takaful Ta’awuni Co. | | | 252,086 | | | | 964,318 | |
* | | Allianz Saudi Fransi Cooperative Insurance Co. | | | 135,143 | | | | 579,110 | |
* | | Alujain Corp. | | | 19,105 | | | | 192,874 | |
| | Amlak International Finance Co. | | | 4,912 | | | | 16,034 | |
| | Arab National Bank | | | 2,270,979 | | | | 14,393,444 | |
| | Arabian Cement Co. | | | 362,707 | | | | 3,013,369 | |
| | Arriyadh Development Co. | | | 190,908 | | | | 1,018,611 | |
| | Astra Industrial Group | | | 66,708 | | | | 1,619,081 | |
* | | Bank Al-Jazira | | | 2,336,942 | | | | 10,197,493 | |
| | Banque Saudi Fransi | | | 1,899,436 | | | | 18,160,248 | |
| | Basic Chemical Industries Ltd. | | | 70,641 | | | | 563,558 | |
* | | Buruj Cooperative Insurance Co. | | | 28,096 | | | | 143,634 | |
| | City Cement Co. | | | 464,766 | | | | 2,157,043 | |
* | | Dar Al Arkan Real Estate Development Co. | | | 2,254,833 | | | | 9,080,544 | |
* | | Dur Hospitality Co. | | | 281,135 | | | | 1,778,330 | |
| | Eastern Province Cement Co. | | | 299,249 | | | | 2,947,811 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SAUDI ARABIA — (Continued) | | | | | | | | |
* | | Emaar Economic City | | | 1,409,305 | | | $ | 2,749,053 | |
| | Etihad Etisalat Co. | | | 1,928,223 | | | | 23,702,566 | |
| | Gulf Insurance Group | | | 116,422 | | | | 911,151 | |
| | Hail Cement Co. | | | 324,890 | | | | 987,702 | |
* | | Jazan Energy & Development Co. | | | 150,160 | | | | 519,058 | |
| | L’Azurde Co. for Jewelry | | | 36,569 | | | | 118,993 | |
* | | Methanol Chemicals Co. | | | 197,004 | | | | 973,550 | |
| | Middle East Paper Co. | | | 5,207 | | | | 38,044 | |
* | | Middle East Specialized Cables Co. | | | 63,395 | | | | 270,792 | |
| | Mobile Telecommunications Co. Saudi Arabia | | | 2,571,371 | | | | 9,466,508 | |
| | Najran Cement Co. | | | 528,846 | | | | 1,503,421 | |
| | National Co. for Glass Industries | | | 62,974 | | | | 522,065 | |
* | | National Gypsum | | | 29,938 | | | | 160,932 | |
* | | National Industrialization Co., Class C | | | 1,491,859 | | | | 4,623,575 | |
| | Nayifat Finance Co. | | | 20,204 | | | | 69,751 | |
| | Northern Region Cement Co. | | | 616,161 | | | | 1,683,150 | |
* | | Rabigh Refining & Petrochemical Co. | | | 1,245,042 | | | | 3,347,892 | |
| | Riyad Bank | | | 1,706,831 | | | | 12,086,590 | |
| | Sahara International Petrochemical Co. | | | 1,991,848 | | | | 17,156,609 | |
| | Saudi Awwal Bank | | | 3,398,651 | | | | 30,346,916 | |
| | Saudi Basic Industries Corp. | | | 3,683,121 | | | | 75,685,362 | |
| | Saudi Ceramic Co. | | | 233,333 | | | | 1,481,764 | |
| | Saudi Chemical Co. Holding | | | 2,499,201 | | | | 2,665,789 | |
| | Saudi Industrial Investment Group | | | 1,364,135 | | | | 8,725,360 | |
| | Saudi Industrial Services Co. | | | 279,157 | | | | 1,872,550 | |
| | Saudi Investment Bank | | | 1,421,028 | | | | 5,570,214 | |
* | | Saudi Kayan Petrochemical Co. | | | 3,707,218 | | | | 10,462,311 | |
| | Saudi Marketing Co. | | | 115,490 | | | | 615,684 | |
| | Saudi National Bank | | | 7,279,260 | | | | 65,135,874 | |
* | | Saudi Reinsurance Co. | | | 85,898 | | | | 394,620 | |
| | Savola Group | | | 385,639 | | | | 3,742,803 | |
* | | Seera Group Holding | | | 807,306 | | | | 5,076,610 | |
| | SHL Finance Co. | | | 3,598 | | | | 17,266 | |
* | | Sinad Holding Co. | | | 369,414 | | | | 1,004,138 | |
| | Southern Province Cement Co. | | | 1,815 | | | | 19,701 | |
* | | Tabuk Cement Co. | | | 313,915 | | | | 1,217,134 | |
* | | Umm Al-Qura Cement Co. | | | 177,305 | | | | 709,438 | |
| | United International Transportation Co. | | | 11,115 | | | | 199,388 | |
| | Yamama Cement Co. | | | 702,169 | | | | 5,429,940 | |
| | Yanbu Cement Co. | | | 28,562 | | | | 245,656 | |
| | Yanbu National Petrochemical Co. | | | 600,169 | | | | 6,065,949 | |
* | | Zamil Industrial Investment Co. | | | 145,468 | | | | 776,826 | |
| | | | | | | | | | |
TOTAL SAUDI ARABIA | | | | | | | 379,534,892 | |
| | | | | | | | | | |
SOUTH AFRICA — (2.8%) | | | | | | | | |
| | Absa Group Ltd. | | | 3,603,572 | | | | 32,881,273 | |
| | Adcock Ingram Holdings Ltd. | | | 39,417 | | | | 114,524 | |
| | Advtech Ltd. | | | 74,600 | | | | 84,957 | |
| | AECI Ltd. | | | 658,150 | | | | 3,900,932 | |
| | African Rainbow Minerals Ltd. | | | 387,032 | | | | 3,189,672 | |
| | Alexander Forbes Group Holdings Ltd. | | | 2,296,660 | | | | 787,183 | |
| | Altron Ltd., Class A | | | 134,145 | | | | 61,502 | |
| | Anglo American Platinum Ltd. | | | 5,821 | | | | 194,489 | |
| | Aspen Pharmacare Holdings Ltd. | | | 1,214,818 | | | | 11,049,320 | |
| | Astral Foods Ltd. | | | 179,116 | | | | 1,404,959 | |
| | Barloworld Ltd. | | | 1,215,034 | | | | 5,119,895 | |
* | | Blue Label Telecoms Ltd. | | | 2,430,088 | | | | 422,686 | |
# * | | Brait PLC | | | 5,322,564 | | | | 694,913 | |
| | Caxton & CTP Publishers & Printers Ltd. | | | 1,280,784 | | | | 747,025 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SOUTH AFRICA — (Continued) | | | | | | | | |
| | DataTec Ltd. | | | 3,964,348 | | | $ | 7,505,220 | |
| | Discovery Ltd. | | | 258,519 | | | | 1,782,570 | |
| | DRDGOLD Ltd. | | | 857,535 | | | | 752,277 | |
| | Exxaro Resources Ltd. | | | 980,241 | | | | 9,838,586 | |
| | Foschini Group Ltd. | | | 671,637 | | | | 3,633,098 | |
| | Gold Fields Ltd., Sponsored ADR | | | 711,550 | | | | 9,264,381 | |
| | Grindrod Ltd. | | | 140,868 | | | | 81,996 | |
# | | Harmony Gold Mining Co. Ltd. | | | 573,795 | | | | 2,630,775 | |
| | Harmony Gold Mining Co. Ltd., Sponsored ADR | | | 277,875 | | | | 1,247,659 | |
| | Hudaco Industries Ltd. | | | 161,173 | | | | 1,336,112 | |
| | Impala Platinum Holdings Ltd. | | | 4,059,147 | | | | 16,908,741 | |
| | Investec Ltd. | | | 948,409 | | | | 5,191,675 | |
* | | KAP Ltd. | | | 8,682,242 | | | | 1,040,049 | |
| | Lewis Group Ltd. | | | 831,398 | | | | 1,730,667 | |
| | Life Healthcare Group Holdings Ltd. | | | 1,938,240 | | | | 1,931,832 | |
| | Merafe Resources Ltd. | | | 8,130,071 | | | | 509,422 | |
* | | Metair Investments Ltd. | | | 1,108,694 | | | | 877,071 | |
| | Momentum Metropolitan Holdings | | | 5,912,789 | | | | 6,658,182 | |
| | Motus Holdings Ltd. | | | 449,240 | | | | 2,231,520 | |
| | Mpact Ltd. | | | 1,846,736 | | | | 2,779,057 | |
| | MTN Group Ltd. | �� | | 1,769,358 | | | | 8,644,976 | |
| | Nedbank Group Ltd. | | | 1,726,016 | | | | 18,591,975 | |
| | Oceana Group Ltd. | | | 170,496 | | | | 633,475 | |
| | Old Mutual Ltd. | | | 17,961,165 | | | | 11,422,648 | |
| | Omnia Holdings Ltd. | | | 1,060,632 | | | | 3,295,020 | |
W | | Pepkor Holdings Ltd. | | | 5,619,937 | | | | 5,129,273 | |
* | | PPC Ltd. | | | 6,609,462 | | | | 988,045 | |
| | Raubex Group Ltd. | | | 1,283,198 | | | | 1,680,570 | |
* | | RCL Foods Ltd. | | | 159,113 | | | | 70,114 | |
| | Reunert Ltd. | | | 855,015 | | | | 2,695,707 | |
| | RFG Holdings Ltd. | | | 23,326 | | | | 13,149 | |
| | Sappi Ltd. | | | 3,181,243 | | | | 6,695,790 | |
| | Sasol Ltd. | | | 2,278,774 | | | | 28,803,094 | |
| | Sibanye Stillwater Ltd. | | | 5,264,531 | | | | 6,715,180 | |
# | | Sibanye Stillwater Ltd., ADR | | | 1,276,695 | | | | 6,485,611 | |
| | Standard Bank Group Ltd. | | | 3,236,588 | | | | 31,765,825 | |
| | Super Group Ltd. | | | 2,297,774 | | | | 3,920,841 | |
* | | Telkom SA SOC Ltd. | | | 1,534,994 | | | | 1,798,557 | |
| | Thungela Resources Ltd. | | | 70,227 | | | | 627,085 | |
* | | Trencor Ltd. | | | 1,135,741 | | | | 431,357 | |
* | | Wilson Bayly Holmes-Ovcon Ltd. | | | 281,978 | | | | 1,786,120 | |
* | | Zeda Ltd. | | | 1,219,983 | | | | 703,782 | |
| | | | | | | | | | |
TOTAL SOUTH AFRICA | | | | | | | 281,482,414 | |
| | | | | | | | | | |
SOUTH KOREA — (11.8%) | | | | | | | | |
| | Advanced Process Systems Corp. | | | 4,230 | | | | 51,207 | |
| | Aekyung Chemical Co. Ltd. | | | 5,153 | | | | 41,592 | |
* | | Agabang&Company | | | 17,128 | | | | 46,057 | |
| | AJ Networks Co. Ltd. | | | 64,478 | | | | 185,508 | |
* | | Ajin Industrial Co. Ltd. | | | 191,527 | | | | 568,602 | |
| | AK Holdings, Inc. | | | 12,344 | | | | 159,642 | |
# | | Amorepacific Group | | | 71,293 | | | | 1,514,499 | |
* | | Amotech Co. Ltd. | | | 2,225 | | | | 11,659 | |
* | | Ananti, Inc. | | | 63,105 | | | | 311,610 | |
| | Asia Cement Co. Ltd. | | | 83,810 | | | | 644,097 | |
| | ASIA Holdings Co. Ltd. | | | 4,097 | | | | 519,192 | |
| | Asia Paper Manufacturing Co. Ltd. | | | 25,121 | | | | 730,680 | |
| | AUK Corp. | | | 113,262 | | | | 159,754 | |
| | Aurora World Corp. | | | 19,282 | | | | 95,715 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SOUTH KOREA — (Continued) | | | | | | | | |
| | Baiksan Co. Ltd. | | | 12,777 | | | $ | 79,080 | |
* | | Barunson Entertainment & Arts Corp. | | | 76,043 | | | | 34,661 | |
| | BGF Co. Ltd. | | | 108,329 | | | | 266,913 | |
| | BGFecomaterials Co. Ltd. | | | 12,553 | | | | 35,849 | |
| | Binggrae Co. Ltd. | | | 16,369 | | | | 664,187 | |
* | | BioSmart Co. Ltd. | | | 54,215 | | | | 144,421 | |
| | Bixolon Co. Ltd. | | | 27,536 | | | | 115,648 | |
| | BNK Financial Group, Inc. | | | 944,501 | | | | 4,753,824 | |
| | Bookook Securities Co. Ltd. | | | 20,358 | | | | 318,198 | |
| | BYC Co. Ltd. | | | 752 | | | | 203,338 | |
| | Byucksan Corp. | | | 196,118 | | | | 466,130 | |
* | | ChinHung International, Inc. | | | 17,489 | | | | 14,885 | |
| | Chinyang Holdings Corp. | | | 83,349 | | | | 195,497 | |
| | Chongkundang Holdings Corp. | | | 8,612 | | | | 328,399 | |
* †† | | Chorokbaem Media Co. Ltd. | | | 33,099 | | | | 99,257 | |
| | Chosun Refractories Co. Ltd. | | | 24,614 | | | | 333,885 | |
# | | CJ CheilJedang Corp. | | | 39,967 | | | | 8,372,950 | |
| | CJ Corp. | | | 73,717 | | | | 4,598,198 | |
* | | CJ ENM Co. Ltd. | | | 43,688 | | | | 1,689,472 | |
| | CJ Freshway Corp. | | | 2,997 | | | | 46,569 | |
| | CJ Logistics Corp. | | | 25,997 | | | | 1,461,592 | |
# | | Com2uSCorp. | | | 24,035 | | | | 749,774 | |
* | | Comtec Systems Co. Ltd. | | | 330,288 | | | | 158,059 | |
| | CR Holdings Co. Ltd. | | | 58,435 | | | | 263,060 | |
| | Cuckoo Holdings Co. Ltd. | | | 5,600 | | | | 70,406 | |
| | Cuckoo Homesys Co. Ltd. | | | 5,966 | | | | 90,015 | |
| | Dae Hyun Co. Ltd. | | | 150,199 | | | | 226,821 | |
| | Dae Won Kang Up Co. Ltd. | | | 215,821 | | | | 813,396 | |
* †† | | Dae Yu Co. Ltd. | | | 22,377 | | | | 14,299 | |
# * | | Daechang Co. Ltd. | | | 239,534 | | | | 214,368 | |
| | Daechang Forging Co. Ltd. | | | 23,600 | | | | 104,478 | |
| | Daedong Corp. | | | 65,009 | | | | 594,167 | |
| | Daehan Flour Mill Co. Ltd. | | | 5,781 | | | | 522,240 | |
| | Daehan Steel Co. Ltd. | | | 69,851 | | | | 672,801 | |
# | | Daesang Corp. | | | 116,435 | | | | 1,716,625 | |
| | Daesang Holdings Co. Ltd. | | | 69,236 | | | | 338,332 | |
* | | Daesung Industrial Co. Ltd. | | | 9,856 | | | | 27,685 | |
| | Daewon San Up Co. Ltd. | | | 61,406 | | | | 246,716 | |
* | | Daewoo Engineering & Construction Co. Ltd. | | | 1,044,086 | | | | 3,046,085 | |
# | | Daewoong Co. Ltd. | | | 18,999 | | | | 209,927 | |
* †† | | Dahaam E-Tec Co. Ltd. | | | 3,535 | | | | 34,257 | |
| | Daihan Pharmaceutical Co. Ltd. | | | 14,428 | | | | 286,296 | |
| | Daishin Securities Co. Ltd. | | | 167,158 | | | | 1,734,992 | |
| | Daol Investment & Securities Co. Ltd. | | | 186,184 | | | | 528,284 | |
| | Daou Data Corp. | | | 10,912 | | | | 92,493 | |
| | Daou Technology, Inc. | | | 131,192 | | | | 1,587,951 | |
* | | Dasan Networks, Inc. | | | 12,426 | | | | 32,456 | |
| | DB Financial Investment Co. Ltd. | | | 171,696 | | | | 485,297 | |
| | DB Insurance Co. Ltd. | | | 156,903 | | | | 10,207,935 | |
* | | DB, Inc. | | | 57,306 | | | | 67,326 | |
| | Deutsch Motors, Inc. | | | 69,902 | | | | 254,417 | |
| | Device ENG Co. Ltd. | | | 2,161 | | | | 20,796 | |
| | DGB Financial Group, Inc. | | | 872,289 | | | | 5,080,415 | |
| | DI Dong Il Corp. | | | 31,247 | | | | 615,681 | |
| | Display Tech Co. Ltd. | | | 36,701 | | | | 134,651 | |
| | DL Construction Co. Ltd. | | | 7,274 | | | | 66,622 | |
| | DL E&C Co. Ltd. | | | 231,235 | | | | 5,877,353 | |
# | | DL Holdings Co. Ltd. | | | 68,570 | | | | 2,159,534 | |
| | DMS Co. Ltd. | | | 60,802 | | | | 246,980 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SOUTH KOREA — (Continued) | | | | | | | | |
| | DN Automotive Corp. | | | 1,890 | | | $ | 110,876 | |
| | Dong A Eltek Co. Ltd. | | | 36,986 | | | | 141,023 | |
| | Dong-A Socio Holdings Co. Ltd. | | | 6,683 | | | | 493,376 | |
| | Dong-A ST Co. Ltd. | | | 1,603 | | | | 66,062 | |
| | Dong-Ah Geological Engineering Co. Ltd. | | | 8,041 | | | | 74,488 | |
* | | Dongbang Transport Logistics Co. Ltd. | | | 18,374 | | | | 24,771 | |
| | Dongbu Corp. | | | 36,803 | | | | 155,109 | |
* | | Dongkuk CM Co. Ltd. | | | 108,073 | | | | 552,366 | |
| | Dongkuk Holdings Co. Ltd. | | | 59,977 | | | | 383,281 | |
| | Dongkuk Industries Co. Ltd. | | | 55,343 | | | | 180,987 | |
* | | Dongkuk Steel Mill Co. Ltd. | | | 186,823 | | | | 1,462,449 | |
| | Dongsung Chemical Co. Ltd. | | | 159,407 | | | | 485,382 | |
| | Dongwha Pharm Co. Ltd. | | | 56,374 | | | | 404,957 | |
| | Dongwon Development Co. Ltd. | | | 229,359 | | | | 541,161 | |
| | Dongwon F&B Co. Ltd. | | | 15,560 | | | | 335,716 | |
| | Dongwon Industries Co. Ltd. | | | 24,891 | | | | 551,371 | |
# | | Dongyang E&P, Inc. | | | 28,974 | | | | 396,921 | |
| | Doosan Bobcat, Inc. | | | 233,044 | | | | 6,695,589 | |
| | Doosan Co. Ltd. | | | 28,833 | | | | 1,590,746 | |
| | DoubleUGames Co. Ltd. | | | 20,931 | | | | 642,248 | |
| | Dreamtech Co. Ltd. | | | 24,619 | | | | 190,447 | |
* | | Duksan Hi-Metal Co. Ltd. | | | 31,358 | | | | 139,729 | |
| | DY Corp. | | | 89,127 | | | | 361,840 | |
| | DY POWER Corp. | | | 23,114 | | | | 200,606 | |
| | Eagon Industrial Ltd. | | | 37,684 | | | | 186,860 | |
| | Easy Holdings Co. Ltd. | | | 239,082 | | | | 456,648 | |
| | EBEST Investment & Securities Co. Ltd. | | | 3,604 | | | | 10,077 | |
* †† | | Eco Volt Co. Ltd. | | | 44,453 | | | | 33,985 | |
| | Ecoplastic Corp. | | | 7,162 | | | | 27,174 | |
| | Elentec Co. Ltd. | | | 4,867 | | | | 30,828 | |
| | E-MART, Inc. | | | 60,575 | | | | 3,265,776 | |
| | ENF Technology Co. Ltd. | | | 5,044 | | | | 70,440 | |
| | Estechpharma Co. Ltd. | | | 22,481 | | | | 101,155 | |
# | | Eugene Corp. | | | 285,673 | | | | 693,506 | |
| | Eugene Investment & Securities Co. Ltd. | | | 276,229 | | | | 826,199 | |
| | Eusu Holdings Co. Ltd. | | | 64,565 | | | | 287,052 | |
| | Fila Holdings Corp. | | | 65,137 | | | | 1,724,775 | |
| | Fursys, Inc. | | | 20,360 | | | | 438,012 | |
* | | GAEASOFT | | | 9,468 | | | | 41,871 | |
| | Gaon Cable Co. Ltd. | | | 13,401 | | | | 157,986 | |
| | Gemvaxlink Co. Ltd. | | | 117,017 | | | | 88,010 | |
| | Geumhwa PSC Co. Ltd. | | | 976 | | | | 18,646 | |
| | Global Standard Technology Co. Ltd. | | | 1,389 | | | | 20,911 | |
| | Golfzon Newdin Holdings Co. Ltd. | | | 125,101 | | | | 340,220 | |
| | Gradiant Corp. | | | 4,076 | | | | 32,627 | |
| | Green Cross Holdings Corp. | | | 8,748 | | | | 87,839 | |
# | | GS Engineering & Construction Corp. | | | 214,489 | | | | 2,099,397 | |
* | | GS Global Corp. | | | 240,697 | | | | 399,096 | |
| | GS Holdings Corp. | | | 249,541 | | | | 7,287,061 | |
| | GS Retail Co. Ltd. | | | 126,681 | | | | 2,282,086 | |
| | Gwangju Shinsegae Co. Ltd. | | | 19,015 | | | | 424,189 | |
| | Haitai Confectionery & Foods Co. Ltd. | | | 12,558 | | | | 46,920 | |
| | Hana Financial Group, Inc. | | | 1,106,230 | | | | 32,165,577 | |
| | Handok, Inc. | | | 19,195 | | | | 165,095 | |
# | | Handsome Co. Ltd. | | | 77,889 | | | | 1,076,896 | |
| | Hanil Cement Co. Ltd. | | | 3,609 | | | | 32,633 | |
| | Hanil Holdings Co. Ltd. | | | 81,808 | | | | 669,722 | |
| | Hanjin Transportation Co. Ltd. | | | 45,583 | | | | 639,019 | |
| | Hankook Tire & Technology Co. Ltd. | | | 258,952 | | | | 7,346,862 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SOUTH KOREA — (Continued) | | | | | | | | |
| | Hanshin Construction Co. Ltd. | | | 31,766 | | | $ | 164,584 | |
| | Hansol Holdings Co. Ltd. | | | 183,549 | | | | 361,133 | |
* | | Hansol HomeDeco Co. Ltd. | | | 394,971 | | | | 248,209 | |
| | Hansol Paper Co. Ltd. | | | 87,967 | | | | 651,304 | |
| | Hansol Technics Co. Ltd. | | | 152,097 | | | | 677,547 | |
| | Hanwha Corp. | | | 160,503 | | | | 2,643,827 | |
* | | Hanwha Galleria Corp. | | | 338,132 | | | | 253,067 | |
* | | Hanwha General Insurance Co. Ltd. | | | 85,465 | | | | 262,835 | |
* | | Hanwha Investment & Securities Co. Ltd. | | | 574,779 | | | | 980,672 | |
* | | Hanwha Life Insurance Co. Ltd. | | | 1,322,367 | | | | 2,717,409 | |
# * | | Hanwha Solutions Corp. | | | 299,817 | | | | 6,386,173 | |
| | Hanyang Eng Co. Ltd. | | | 53,693 | | | | 560,099 | |
| | Hanyang Securities Co. Ltd. | | | 48,595 | | | | 334,202 | |
| | Harim Co. Ltd. | | | 38,639 | | | | 79,321 | |
| | Harim Holdings Co. Ltd. | | | 217,823 | | | | 1,069,279 | |
| | HB Technology Co. Ltd. | | | 97,773 | | | | 173,333 | |
| | HD Hyundai Co. Ltd. | | | 176,492 | | | | 7,517,212 | |
| | HD Hyundai Construction Equipment Co. Ltd. | | | 67,332 | | | | 2,222,390 | |
| | HD Hyundai Energy Solutions Co. Ltd. | | | 3,228 | | | | 52,373 | |
# | | HD Hyundai Infracore Co. Ltd. | | | 342,785 | | | | 1,700,831 | |
* | | HD Korea Shipbuilding & Offshore Engineering Co. Ltd. | | | 129,727 | | | | 8,702,480 | |
| | HDC Holdings Co. Ltd. | | | 14,787 | | | | 67,961 | |
| | HDC Hyundai Development Co-Engineering & Construction, Class E | | | 108,252 | | | | 934,860 | |
| | HDC Hyundai Engineering Plastics Co. Ltd. | | | 60,620 | | | | 182,810 | |
* | | Heungkuk Fire & Marine Insurance Co. Ltd. | | | 81,716 | | | | 184,859 | |
| | Hitejinro Holdings Co. Ltd. | | | 41,023 | | | | 257,918 | |
* | | HL D&I Halla Corp. | | | 124,417 | | | | 187,610 | |
| | HL Holdings Corp. | | | 32,020 | | | | 756,429 | |
| | HL Mando Co. Ltd. | | | 70,464 | | | | 1,716,020 | |
# | | HMM Co. Ltd. | | | 993,997 | | | | 10,766,265 | |
| | HS Industries Co. Ltd. | | | 25,835 | | | | 67,247 | |
* | | Huneed Technologies | | | 2,929 | | | | 18,699 | |
| | Huons Global Co. Ltd. | | | 19,207 | | | | 285,885 | |
| | Husteel Co. Ltd. | | | 14,673 | | | | 49,878 | |
* | | Huvis Corp. | | | 55,058 | | | | 173,062 | |
| | Hwa Shin Co. Ltd. | | | 17,871 | | | | 133,998 | |
| | Hwangkum Steel & Technology Co. Ltd. | | | 48,647 | | | | 249,036 | |
| | Hwaseung Enterprise Co. Ltd. | | | 6,489 | | | | 40,514 | |
| | HwaSung Industrial Co. Ltd. | | | 34,966 | | | | 252,615 | |
| | Hy-Lok Corp. | | | 39,093 | | | | 686,730 | |
# | | Hyosung Corp. | | | 27,435 | | | | 1,199,953 | |
* | | Hyosung Heavy Industries Corp. | | | 2,255 | | | | 286,017 | |
| | Hyundai BNG Steel Co. Ltd. | | | 48,669 | | | | 511,259 | |
| | Hyundai Corp. | | | 35,993 | | | | 471,180 | |
| | Hyundai Corp. Holdings, Inc. | | | 31,933 | | | | 241,630 | |
| | Hyundai Department Store Co. Ltd. | | | 70,386 | | | | 2,787,604 | |
| | Hyundai Engineering & Construction Co. Ltd. | | | 257,439 | | | | 6,384,687 | |
| | Hyundai Futurenet Co. Ltd. | | | 104,556 | | | | 250,809 | |
| | Hyundai GF Holdings | | | 545,074 | | | | 1,407,349 | |
| | Hyundai Glovis Co. Ltd. | | | 65,045 | | | | 8,254,915 | |
* | | Hyundai Green Food | | | 1,499 | | | | 12,583 | |
| | Hyundai Home Shopping Network Corp. | | | 31,878 | | | | 979,478 | |
* | | Hyundai Livart Furniture Co. Ltd. | | | 68,316 | | | | 403,819 | |
| | Hyundai Marine & Fire Insurance Co. Ltd. | | | 238,168 | | | | 5,555,735 | |
| | Hyundai Mobis Co. Ltd. | | | 146,327 | | | | 22,660,896 | |
| | Hyundai Motor Co. | | | 482,676 | | | | 60,809,506 | |
| | Hyundai Motor Securities Co. Ltd. | | | 109,849 | | | | 665,051 | |
| | Hyundai Steel Co. | | | 347,546 | | | | 8,451,760 | |
| | Hyundai Wia Corp. | | | 71,583 | | | | 2,979,836 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SOUTH KOREA — (Continued) | | | | | | | | |
| | IDIS Holdings Co. Ltd. | | | 25,924 | | | $ | 218,575 | |
| | Iljin Electric Co. Ltd. | | | 37,569 | | | | 349,464 | |
| | Iljin Holdings Co. Ltd. | | | 91,947 | | | | 249,048 | |
| | Ilshin Spinning Co. Ltd. | | | 78,231 | | | | 497,491 | |
| | Ilsung Pharmaceuticals Co. Ltd. | | | 29,215 | | | | 423,169 | |
| | iMarketKorea, Inc. | | | 88,543 | | | | 513,092 | |
| | Industrial Bank of Korea | | | 1,115,796 | | | | 9,234,298 | |
| | Innocean Worldwide, Inc. | | | 24,894 | | | | 805,680 | |
# | | INTOPS Co. Ltd. | | | 44,013 | | | | 781,547 | |
| | Inzi Controls Co. Ltd. | | | 8,200 | | | | 45,148 | |
* | | IS Dongseo Co. Ltd. | | | 61,006 | | | | 1,139,729 | |
| | JASTECH Ltd. | | | 17,210 | | | | 96,220 | |
| | JB Financial Group Co. Ltd. | | | 558,592 | | | | 4,178,298 | |
| | JC Chemical Co. Ltd. | | | 27,149 | | | | 134,567 | |
| | Jinsung T.E.C. | | | 6,256 | | | | 44,593 | |
| | Kangnam Jevisco Co. Ltd. | | | 19,813 | | | | 290,032 | |
# | | Kangwon Land, Inc. | | | 73,681 | | | | 802,280 | |
| | KAON Group Co. Ltd. | | | 13,479 | | | | 58,552 | |
| | KB Financial Group, Inc., ADR | | | 1,859,247 | | | | 70,948,865 | |
| | KC Co. Ltd. | | | 39,745 | | | | 447,728 | |
| | KC Tech Co. Ltd. | | | 15,033 | | | | 212,169 | |
| | KCC Corp. | | | 16,696 | | | | 2,942,563 | |
| | KCC Glass Corp. | | | 59,922 | | | | 1,799,961 | |
| | KCTC | | | 7,171 | | | | 20,736 | |
| | KG Chemical Corp. | | | 52,148 | | | | 234,301 | |
| | KG Eco Technology Service Co. Ltd. | | | 24,292 | | | | 201,183 | |
* †† | | KG Mobility Co. | | | 14,301 | | | | 77,721 | |
# | | Kginicis Co. Ltd. | | | 39,007 | | | | 299,404 | |
| | KGMobilians Co. Ltd. | | | 12,054 | | | | 42,578 | |
| | Kia Corp. | | | 1,118,017 | | | | 63,873,904 | |
| | KISCO Corp. | | | 58,802 | | | | 267,678 | |
| | KISCO Holdings Co. Ltd. | | | 32,652 | | | | 503,674 | |
| | KISWIRE Ltd. | | | 58,470 | | | | 818,779 | |
# | | KIWOOM Securities Co. Ltd. | | | 76,502 | | | | 4,573,982 | |
| | Kolmar Korea Holdings Co. Ltd. | | | 49,584 | | | | 246,781 | |
| | Kolon Corp. | | | 38,037 | | | | 447,985 | |
| | Kolon Global Corp. | | | 20,943 | | | | 197,842 | |
# | | Kolon Industries, Inc. | | | 94,021 | | | | 3,037,186 | |
* | | Kolon Mobility Group Corp. | | | 75,401 | | | | 148,289 | |
| | Komelon Corp. | | | 29,152 | | | | 182,248 | |
| | Kook Soon Dang Brewery Co. Ltd. | | | 26,660 | | | | 94,920 | |
| | Korea Alcohol Industrial Co. Ltd. | | | 70,875 | | | | 535,682 | |
| | Korea Asset In Trust Co. Ltd. | | | 256,587 | | | | 613,560 | |
* | | Korea Circuit Co. Ltd. | | | 29,784 | | | | 300,419 | |
| | Korea Electric Terminal Co. Ltd. | | | 31,731 | | | | 1,484,005 | |
| | Korea Export Packaging Industrial Co. Ltd. | | | 18,130 | | | | 36,263 | |
| | Korea Investment Holdings Co. Ltd. | | | 149,319 | | | | 5,582,082 | |
* | | Korea Line Corp. | | | 871,544 | | | | 1,080,698 | |
| | Korea Movenex Co. Ltd. | | | 134,001 | | | | 886,979 | |
# | | Korea Petrochemical Ind Co. Ltd. | | | 18,759 | | | | 2,215,949 | |
| | Korea Real Estate Investment & Trust Co. Ltd. | | | 742,948 | | | | 642,955 | |
| | Korea United Pharm, Inc. | | | 5,533 | | | | 95,708 | |
# | | Korea Zinc Co. Ltd. | | | 6,272 | | | | 2,179,635 | |
| | Korean Air Lines Co. Ltd. | | | 475,142 | | | | 7,229,368 | |
| | Korean Reinsurance Co. | | | 545,536 | | | | 3,588,234 | |
| | Kortek Corp. | | | 52,428 | | | | 264,997 | |
| | KPX Chemical Co. Ltd. | | | 12,798 | | | | 402,967 | |
| | KSS LINE Ltd. | | | 82,545 | | | | 481,611 | |
| | KT Skylife Co. Ltd. | | | 111,351 | | | | 486,266 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SOUTH KOREA — (Continued) | | | | | | | | |
| | KTCS Corp. | | | 33,683 | | | $ | 88,716 | |
| | Ktis Corp. | | | 138,562 | | | | 305,692 | |
| | Kukdo Chemical Co. Ltd. | | | 3,664 | | | | 106,147 | |
| | Kukdong Oil & Chemicals Co. Ltd. | | | 26,930 | | | | 104,860 | |
* | | Kumho HT, Inc. | | | 168,166 | | | | 81,098 | |
| | Kumho Petrochemical Co. Ltd. | | | 50,295 | | | | 4,727,053 | |
# * | | Kumho Tire Co., Inc. | | | 334,738 | | | | 1,042,826 | |
| | KUMHOE&C Co. Ltd. | | | 7,074 | | | | 26,507 | |
| | Kumkang Kind Co. Ltd. | | | 96,105 | | | | 380,162 | |
| | Kwang Dong Pharmaceutical Co. Ltd. | | | 88,955 | | | | 486,604 | |
* | | KX Hitech Co. Ltd. | | | 81,334 | | | | 62,370 | |
| | Kyeryong Construction Industrial Co. Ltd. | | | 39,211 | | | | 366,885 | |
| | Kyobo Securities Co. Ltd. | | | 108,288 | | | | 390,234 | |
| | Kyungbang Co. Ltd. | | | 61,163 | | | | 361,222 | |
| | Kyungdong Pharm Co. Ltd. | | | 14,689 | | | | 68,625 | |
| | Kyung-In Synthetic Corp. | | | 6,399 | | | | 17,111 | |
* | | LB Semicon, Inc. | | | 13,988 | | | | 61,360 | |
| | LEADCORP, Inc. | | | 81,748 | | | | 319,456 | |
| | LF Corp. | | | 98,637 | | | | 1,020,337 | |
| | LG Chem Ltd. | | | 12,349 | | | | 4,047,287 | |
| | LG Corp. | | | 286,875 | | | | 16,420,441 | |
* | | LG Display Co. Ltd., ADR | | | 2,590,012 | | | | 11,499,653 | |
| | LG Electronics, Inc. | | | 538,144 | | | | 39,921,129 | |
| | LG HelloVision Co. Ltd. | | | 155,009 | | | | 381,543 | |
| | LG Uplus Corp. | | | 1,141,523 | | | | 8,555,384 | |
| | Lotte Chemical Corp. | | | 60,689 | | | | 6,590,638 | |
| | Lotte Chilsung Beverage Co. Ltd. | | | 9,787 | | | | 1,055,373 | |
# | | Lotte Corp. | | | 93,211 | | | | 1,797,683 | |
* | | Lotte Data Communication Co. | | | 2,794 | | | | 57,933 | |
# | | LOTTE Fine Chemical Co. Ltd. | | | 84,305 | | | | 3,501,964 | |
| | LOTTE Himart Co. Ltd. | | | 38,788 | | | | 273,979 | |
* | | Lotte Non-Life Insurance Co. Ltd. | | | 340,947 | | | | 605,080 | |
| | Lotte Rental Co. Ltd. | | | 3,972 | | | | 75,751 | |
| | Lotte Shopping Co. Ltd. | | | 38,263 | | | | 2,046,248 | |
# | | Lotte Wellfood Co. Ltd. | | | 8,218 | | | | 694,549 | |
| | LS Corp. | | | 63,826 | | | | 3,711,002 | |
* | | Lumens Co. Ltd. | | | 190,857 | | | | 181,194 | |
* | | LVMC Holdings | | | 327,548 | | | | 508,205 | |
| | LX Hausys Ltd. | | | 28,062 | | | | 796,203 | |
| | LX Holdings Corp. | | | 153,703 | | | | 768,768 | |
# | | LX International Corp. | | | 149,044 | | | | 2,752,551 | |
| | Maeil Dairies Co. Ltd. | | | 6,841 | | | | 229,373 | |
| | MegaStudy Co. Ltd. | | | 43,791 | | | | 352,215 | |
| | Meritz Financial Group, Inc. | | | 87,632 | | | | 3,261,438 | |
| | Mi Chang Oil Industrial Co. Ltd. | | | 4,014 | | | | 215,335 | |
* | | Mirae Asset Life Insurance Co. Ltd. | | | 325,842 | | | | 1,220,626 | |
| | Mirae Asset Securities Co. Ltd. | | | 1,019,702 | | | | 4,995,213 | |
| | MK Electron Co. Ltd. | | | 88,121 | | | | 708,728 | |
| | Mobase Electronics Co. Ltd. | | | 16,407 | | | | 22,527 | |
| | Moorim P&P Co. Ltd. | | | 125,039 | | | | 283,851 | |
| | Moorim Paper Co. Ltd. | | | 105,332 | | | | 163,016 | |
| | Motonic Corp. | | | 51,452 | | | | 313,223 | |
| | MS Autotech Co. Ltd. | | | 11,058 | | | | 42,089 | |
| | Muhak Co. Ltd. | | | 20,838 | | | | 83,689 | |
| | Nam Hwa Construction Co. Ltd. | | | 23,163 | | | | 106,845 | |
| | Namyang Dairy Products Co. Ltd. | | | 1,824 | | | | 623,625 | |
| | Nature Holdings Co. Ltd. | | | 7,642 | | | | 122,663 | |
* | | Neowiz Holdings Corp. | | | 19,890 | | | | 294,628 | |
* | | Nepes Ark Corp. | | | 1,099 | | | | 14,266 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SOUTH KOREA — (Continued) | | | | | | | | |
#* W | | Netmarble Corp. | | | 52,212 | | | $ | 1,498,960 | |
| | Nexen Corp. | | | 120,151 | | | | 348,196 | |
| | Nexen Tire Corp. | | | 195,924 | | | | 1,081,346 | |
| | NH Investment & Securities Co. Ltd., Class C | | | 507,699 | | | | 3,642,451 | |
* | | NHN Corp. | | | 87,669 | | | | 1,390,664 | |
| | NI Steel Co. Ltd. | | | 17,889 | | | | 75,621 | |
| | NICE Holdings Co. Ltd. | | | 15,181 | | | | 134,996 | |
| | Nice Information & Telecommunication, Inc. | | | 11,567 | | | | 174,995 | |
| | NICE Total Cash Management Co. Ltd., Class C | | | 7,446 | | | | 31,195 | |
| | Nong Shim Holdings Co. Ltd. | | | 11,334 | | | | 549,861 | |
# | | Nong Woo Bio Co. Ltd. | | | 21,556 | | | | 119,289 | |
| | NongShim Co. Ltd. | | | 8,019 | | | | 2,637,410 | |
| | NOROO Paint & Coatings Co. Ltd. | | | 54,335 | | | | 366,726 | |
| | NOVAREX Co. Ltd. | | | 19,084 | | | | 178,062 | |
| | NPC | | | 66,175 | | | | 239,020 | |
* | | OCI Co. Ltd. | | | 25,583 | | | | 1,979,681 | |
# | | OCI Holdings Co. Ltd. | | | 56,461 | | | | 4,079,428 | |
| | OPTUS Pharmaceutical Co. Ltd. | | | 21,387 | | | | 76,340 | |
# | | Orion Holdings Corp. | | | 129,555 | | | | 1,523,462 | |
* †† | | Osung Advanced Materials Co. Ltd. | | | 213,691 | | | | 221,843 | |
# | | Ottogi Corp. | | | 3,246 | | | | 900,388 | |
# | | Pan Ocean Co. Ltd. | | | 1,286,716 | | | | 4,107,977 | |
| | Partron Co. Ltd. | | | 103,692 | | | | 667,771 | |
| | PHA Co. Ltd. | | | 46,943 | | | | 313,126 | |
# | | Poongsan Corp. | | | 88,816 | | | | 2,370,255 | |
| | Poongsan Holdings Corp. | | | 28,395 | | | | 675,650 | |
| | POSCO Holdings, Inc., Sponsored ADR | | | 787,409 | | | | 60,244,662 | |
| | POSCO Holdings, Inc. | | | 58,373 | | | | 17,869,444 | |
| | Rayence Co. Ltd. | | | 15,304 | | | | 102,397 | |
* | | RFTech Co. Ltd. | | | 49,408 | | | | 135,411 | |
| | Sajo Industries Co. Ltd. | | | 12,362 | | | | 357,941 | |
| | Sajodaerim Corp. | | | 10,562 | | | | 218,410 | |
| | Sam Young Electronics Co. Ltd. | | | 66,503 | | | | 390,230 | |
| | Sambo Corrugated Board Co. Ltd. | | | 31,268 | | | | 197,141 | |
| | Sambo Motors Co. Ltd. | | | 51,326 | | | | 198,451 | |
| | Samho Development Co. Ltd. | | | 108,856 | | | | 263,720 | |
| | SAMHWA Paints Industrial Co. Ltd. | | | 68,665 | | | | 306,950 | |
| | Samick Musical Instruments Co. Ltd. | | | 299,467 | | | | 229,379 | |
| | Samji Electronics Co. Ltd. | | | 15,508 | | | | 85,123 | |
* | | Samjin LND Co. Ltd. | | | 82,899 | | | | 100,471 | |
* | | Samkee Corp. | | | 38,245 | | | | 57,362 | |
| | Sammok S-Form Co. Ltd. | | | 26,629 | | | | 300,482 | |
# | | SAMPYO Cement Co. Ltd. | | | 165,855 | | | | 380,104 | |
| | Samsung C&T Corp. | | | 214,285 | | | | 16,942,590 | |
# | | Samsung Card Co. Ltd. | | | 106,008 | | | | 2,462,119 | |
| | Samsung Electronics Co. Ltd. | | | 3,630,212 | | | | 180,693,359 | |
| | Samsung Fire & Marine Insurance Co. Ltd. | | | 87,926 | | | | 16,813,424 | |
| | Samsung Life Insurance Co. Ltd. | | | 208,367 | | | | 11,155,826 | |
| | Samsung SDS Co. Ltd. | | | 25,676 | | | | 2,631,916 | |
| | Samsung Securities Co. Ltd. | | | 218,225 | | | | 5,716,695 | |
| | SAMT Co. Ltd. | | | 116,800 | | | | 220,048 | |
| | Samyang Corp. | | | 15,049 | | | | 463,783 | |
| | Samyang Holdings Corp. | | | 20,956 | | | | 1,055,235 | |
| | Samyang Packaging Corp. | | | 1,251 | | | | 13,960 | |
| | Samyang Tongsang Co. Ltd. | | | 7,531 | | | | 260,423 | |
# * | | Sangsangin Co. Ltd. | | | 31,964 | | | | 100,143 | |
| | SAVEZONE I&C Corp. | | | 83,806 | | | | 149,389 | |
| | SeAH Besteel Holdings Corp. | | | 84,469 | | | | 1,364,541 | |
| | SeAH Holdings Corp. | | | 4,354 | | | | 343,004 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SOUTH KOREA — (Continued) | | | | | | | | |
| | SeAH Steel Corp. | | | 5,976 | | | $ | 546,247 | |
| | SeAH Steel Holdings Corp. | | | 8,469 | | | | 1,257,488 | |
| | Sebang Co. Ltd. | | | 51,264 | | | | 403,453 | |
| | Sebang Global Battery Co. Ltd. | | | 30,660 | | | | 1,123,941 | |
| | Seegene, Inc. | | | 28,464 | | | | 403,212 | |
| | Segyung Hitech Co. Ltd. | | | 14,098 | | | | 106,540 | |
| | Sejong Industrial Co. Ltd. | | | 91,161 | | | | 354,324 | |
| | Sempio Co. | | | 1,814 | | | | 63,184 | |
| | Seohan Co. Ltd. | | | 460,494 | | | | 310,020 | |
* | | Seojin System Co. Ltd. | | | 4,669 | | | | 57,979 | |
| | Seoul Semiconductor Co. Ltd. | | | 33,946 | | | | 254,012 | |
| | SEOWONINTECH Co. Ltd. | | | 6,241 | | | | 25,699 | |
| | Seoyon Co. Ltd. | | | 61,121 | | | | 300,528 | |
| | Seoyon E-Hwa Co. Ltd. | | | 81,828 | | | | 868,380 | |
| | SGC e Tec E&C Co. Ltd. | | | 11,889 | | | | 161,877 | |
| | SGC Energy Co. Ltd. | | | 17,739 | | | | 354,590 | |
| | Shin Heung Energy & Electronics Co. Ltd. | | | 1,618 | | | | 43,929 | |
# | | Shindaeyang Paper Co. Ltd. | | | 79,366 | | | | 321,943 | |
| | Shinhan Financial Group Co. Ltd. | | | 709,922 | | | | 18,247,986 | |
| | Shinhan Financial Group Co. Ltd., ADR | | | 1,007,399 | | | | 25,678,600 | |
| | Shinsegae Engineering & Construction Co. Ltd. | | | 13,456 | | | | 126,710 | |
| | Shinsegae Food Co. Ltd. | | | 2,444 | | | | 65,053 | |
| | Shinsegae Information & Communication Co. Ltd. | | | 6,640 | | | | 55,591 | |
# | | Shinsegae International, Inc. | | | 32,143 | | | | 371,309 | |
# | | Shinsegae, Inc. | | | 33,139 | | | | 4,150,683 | |
| | Shinsung Tongsang Co. Ltd. | | | 11,144 | | | | 17,101 | |
| | Shinyoung Securities Co. Ltd. | | | 25,871 | | | | 1,073,304 | |
* | | Signetics Corp. | | | 72,547 | | | | 54,075 | |
| | Silla Co. Ltd. | | | 36,116 | | | | 223,307 | |
| | Simmtech Holdings Co. Ltd. | | | 23,148 | | | | 41,188 | |
| | SIMPAC, Inc. | | | 112,228 | | | | 273,792 | |
| | Sindoh Co. Ltd. | | | 25,367 | | | | 600,344 | |
| | Sinil Pharm Co. Ltd. | | | 28,347 | | | | 135,714 | |
# | | SK Chemicals Co. Ltd. | | | 6,802 | | | | 284,764 | |
| | SK D&D Co. Ltd. | | | 2,764 | | | | 56,267 | |
| | SK Discovery Co. Ltd. | | | 54,980 | | | | 1,507,416 | |
| | SK Gas Ltd. | | | 6,258 | | | | 686,436 | |
| | SK Hynix, Inc. | | | 499,444 | | | | 43,372,765 | |
* | | SK Innovation Co. Ltd. | | | 209,073 | | | | 19,047,498 | |
# | | SK Networks Co. Ltd. | | | 628,706 | | | | 2,596,252 | |
| | SK Securities Co. Ltd. | | | 1,783,971 | | | | 762,843 | |
| | SK, Inc. | | | 133,375 | | | | 14,061,841 | |
# | | SL Corp. | | | 64,147 | | | | 1,417,223 | |
| | SNT Dynamics Co. Ltd. | | | 49,889 | | | | 485,137 | |
| | SNT Holdings Co. Ltd. | | | 35,428 | | | | 420,604 | |
| | SNT Motiv Co. Ltd. | | | 42,825 | | | | 1,283,801 | |
| | S-Oil Corp. | | | 150,990 | | | | 7,451,745 | |
* | | Solborn, Inc. | | | 19,961 | | | | 56,867 | |
| | Songwon Industrial Co. Ltd. | | | 42,555 | | | | 541,135 | |
# | | Soulbrain Holdings Co. Ltd. | | | 14,138 | | | | 342,508 | |
| | Spigen Korea Co. Ltd. | | | 7,426 | | | | 167,832 | |
| | Sugentech, Inc. | | | 23,287 | | | | 103,657 | |
| | Suheung Co. Ltd. | | | 12,964 | | | | 272,706 | |
| | Sung Kwang Bend Co. Ltd. | | | 91,464 | | | | 915,951 | |
* | | Sungchang Enterprise Holdings Ltd. | | | 256,533 | | | | 335,636 | |
| | Sungshin Cement Co. Ltd. | | | 89,238 | | | | 548,512 | |
| | Sungwoo Hitech Co. Ltd. | | | 306,796 | | | | 1,797,980 | |
| | Sunjin Co. Ltd. | | | 49,238 | | | | 261,123 | |
* | | Suprema, Inc. | | | 3,215 | | | | 46,067 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
SOUTH KOREA — (Continued) | | | | | | | | |
| | SurplusGLOBAL, Inc. | | | 4,256 | | | $ | 9,193 | |
| | Systems Technology, Inc. | | | 7,795 | | | | 158,935 | |
| | Tae Kyung Industrial Co. Ltd. | | | 64,197 | | | | 316,594 | |
# | | Taekwang Industrial Co. Ltd. | | | 1,637 | | | | 701,045 | |
* †† | | Taewoong Co. Ltd. | | | 82,505 | | | | 943,857 | |
| | Taeyoung Engineering & Construction Co. Ltd. | | | 102,807 | | | | 274,089 | |
* | | Thinkware Systems Corp. | | | 15,806 | | | | 164,953 | |
| | TK Corp. | | | 35,200 | | | | 396,920 | |
| | TKG Huchems Co. Ltd. | | | 4,456 | | | | 72,230 | |
* | | Tongyang Life Insurance Co. Ltd. | | | 229,091 | | | | 745,252 | |
| | Tongyang, Inc. | | | 243,708 | | | | 179,518 | |
* | | Top Engineering Co. Ltd. | | | 67,035 | | | | 269,962 | |
| | Tovis Co. Ltd. | | | 27,256 | | | | 344,055 | |
| | TS Corp. | | | 219,521 | | | | 495,571 | |
| | TY Holdings Co. Ltd. | | | 127,479 | | | | 496,103 | |
| | TYM Corp. | | | 19,399 | | | | 71,429 | |
| | Uju Electronics Co. Ltd. | | | 11,348 | | | | 107,718 | |
* | | Unid Btplus Co. Ltd. | | | 31,596 | | | | 176,483 | |
| | Unid Co. Ltd. | | | 19,927 | | | | 1,128,344 | |
| | Uniquest Corp. | | | 27,217 | | | | 102,328 | |
| | Viatron Technologies, Inc. | | | 23,585 | | | | 140,640 | |
| | Vitzro Tech Co. Ltd. | | | 9,673 | | | | 53,732 | |
| | Webzen, Inc. | | | 3,005 | | | | 30,612 | |
| | Whanin Pharmaceutical Co. Ltd. | | | 28,020 | | | | 291,973 | |
* | | WillBes & Co. | | | 5,971 | | | | 2,025 | |
| | WiSoL Co. Ltd. | | | 74,300 | | | | 332,823 | |
* | | WONIK CUBE Corp. | | | 25,551 | | | | 26,898 | |
* | | Wonik Holdings Co. Ltd. | | | 217,978 | | | | 481,280 | |
# | | Wonik Materials Co. Ltd. | | | 14,917 | | | | 289,625 | |
| | Woongjin Thinkbig Co. Ltd. | | | 113,256 | | | | 204,519 | |
* | | Wooree Bio Co. Ltd. | | | 29,640 | | | | 53,668 | |
| | Woori Financial Group, Inc. | | | 2,109,635 | | | | 18,633,880 | |
# * | | Woori Technology Investment Co. Ltd. | | | 30,291 | | | | 92,742 | |
| | Woorison F&G Co. Ltd. | | | 86,772 | | | | 99,819 | |
| | Y G-1 Co. Ltd. | | | 76,255 | | | | 299,333 | |
| | Y-entec Co. Ltd. | | | 43,424 | | | | 226,991 | |
| | Yoosung Enterprise Co. Ltd. | | | 98,733 | | | | 208,622 | |
# | | Young Poong Corp. | | | 1,950 | | | | 679,824 | |
| | Young Poong Precision Corp. | | | 53,659 | | | | 468,210 | |
| | Youngone Corp. | | | 119,395 | | | | 4,799,618 | |
| | Youngone Holdings Co. Ltd. | | | 26,091 | | | | 1,513,709 | |
| | Yuanta Securities Korea Co. Ltd. | | | 473,188 | | | | 830,495 | |
| | YuHwa Securities Co. Ltd. | | | 130,435 | | | | 209,141 | |
| | Yuyu Pharma, Inc. | | | 30,382 | | | | 97,436 | |
| | Zinus, Inc. | | | 5,733 | | | | 80,892 | |
| | | | | | | | | | |
TOTAL SOUTH KOREA | | | | 1,202,008,563 | |
| | | | | | | | | | |
TAIWAN — (16.6%) | | | | | | | | |
| | ABC Taiwan Electronics Corp. | | | 14,690 | | | | 10,614 | |
| | Abico Avy Co. Ltd. | | | 647,364 | | | | 465,088 | |
# | | Ability Enterprise Co. Ltd. | | | 1,079,330 | | | | 750,713 | |
# | | Acer, Inc. | | | 12,869,109 | | | | 13,601,175 | |
# | | ACES Electronic Co. Ltd. | | | 564,778 | | | | 493,053 | |
* | | Acon Holding, Inc. | | | 45,000 | | | | 13,034 | |
| | Acter Group Corp. Ltd. | | | 52,000 | | | | 288,871 | |
| | Action Electronics Co. Ltd. | | | 85,000 | | | | 41,217 | |
# | | Advanced International Multitech Co. Ltd. | | | 463,000 | | | | 948,597 | |
| | Advanced Optoelectronic Technology, Inc. | | | 543,000 | | | | 296,779 | |
| | AEON Motor Co. Ltd. | | | 67,000 | | | | 73,105 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
# | | AGV Products Corp. | | | 1,831,211 | | | $ | 660,560 | |
| | Airmate Cayman International Co. Ltd. | | | 53,084 | | | | 27,906 | |
* | | ALI Corp. | | | 162,000 | | | | 119,553 | |
| | Alltek Technology Corp. | | | 219,120 | | | | 227,627 | |
# | | Alpha Networks, Inc. | | | 1,013,086 | | | | 1,111,276 | |
| | Altek Corp. | | | 1,387,365 | | | | 1,447,620 | |
| | Ambassador Hotel | | | 1,397,000 | | | | 2,040,019 | |
| | Ampire Co. Ltd. | | | 17,000 | | | | 19,032 | |
# | | AMPOC Far-East Co. Ltd. | | | 354,000 | | | | 769,378 | |
| | AmTRAN Technology Co. Ltd. | | | 3,554,388 | | | | 1,254,093 | |
| | Anji Technology Co. Ltd. | | | 22,000 | | | | 25,102 | |
| | Apacer Technology, Inc. | | | 534,210 | | | | 907,641 | |
# | | APCB, Inc. | | | 740,000 | | | | 413,651 | |
| | Apex Biotechnology Corp. | | | 59,000 | | | | 48,617 | |
| | Apex International Co. Ltd. | | | 662,263 | | | | 954,859 | |
| | Apex Science & Engineering | | | 94,386 | | | | 32,367 | |
| | Arcadyan Technology Corp. | | | 422,000 | | | | 2,015,079 | |
| | Ardentec Corp. | | | 2,214,058 | | | | 4,455,923 | |
| | Argosy Research, Inc. | | | 25,000 | | | | 90,348 | |
| | ASE Technology Holding Co. Ltd. | | | 14,047,000 | | | | 49,178,252 | |
| | Asia Cement Corp. | | | 7,915,589 | | | | 9,774,760 | |
| | Asia Electronic Material Co. Ltd. | | | 144,000 | | | | 73,502 | |
| | Asia Optical Co., Inc. | | | 247,000 | | | | 462,553 | |
* | | Asia Pacific Telecom Co. Ltd. | | | 5,141,204 | | | | 1,077,670 | |
* | | Asia Plastic Recycling Holding Ltd. | | | 671,942 | | | | 145,380 | |
# | | Asia Polymer Corp. | | | 2,200,530 | | | | 1,600,999 | |
| | Asia Tech Image, Inc. | | | 68,000 | | | | 135,391 | |
| | Asia Vital Components Co. Ltd. | | | 427,487 | | | | 3,777,370 | |
| | ASolid Technology Co. Ltd. | | | 16,000 | | | | 46,640 | |
| | Asustek Computer, Inc. | | | 2,322,000 | | | | 24,346,467 | |
| | Aten International Co. Ltd. | | | 7,000 | | | | 17,183 | |
| | Audix Corp. | | | 399,332 | | | | 695,653 | |
| | AUO Corp., ADR | | | 3,064,962 | | | | 14,527,920 | |
| | AVer Information, Inc. | | | 129,000 | | | | 186,939 | |
| | Avermedia Technologies | | | 109,600 | | | | 111,440 | |
* | | Azurewave Technologies, Inc. | | | 37,000 | | | | 36,004 | |
# * | | Bank of Kaohsiung Co. Ltd. | | | 3,004,720 | | | | 1,080,381 | |
| | Basso Industry Corp. | | | 255,000 | | | | 305,770 | |
# | | BenQ Materials Corp. | | | 195,000 | | | | 207,949 | |
# | | BES Engineering Corp. | | | 7,377,443 | | | | 2,664,895 | |
# | | Bin Chuan Enterprise Co. Ltd. | | | 239,000 | | | | 160,155 | |
# * | | Biostar Microtech International Corp. | | | 901,055 | | | | 659,137 | |
| | Bizlink Holding, Inc. | | | 192,000 | | | | 1,496,176 | |
# | | Bright Led Electronics Corp. | | | 539,000 | | | | 274,089 | |
| | Brighton-Best International Taiwan, Inc. | | | 92,000 | | | | 94,547 | |
| | C Sun Manufacturing Ltd. | | | 18,540 | | | | 25,431 | |
| | Cameo Communications, Inc. | | | 1,053,712 | | | | 305,036 | |
| | Capital Securities Corp. | | | 9,159,158 | | | | 4,037,056 | |
# | | Career Technology MFG. Co. Ltd. | | | 1,606,085 | | | | 998,817 | |
# | | Carnival Industrial Corp. | | | 691,007 | | | | 253,079 | |
| | Caswell, Inc. | | | 10,000 | | | | 25,539 | |
| | Catcher Technology Co. Ltd. | | | 2,080,000 | | | | 11,668,575 | |
| | Cathay Chemical Works | | | 284,000 | | | | 339,840 | |
| | Cathay Financial Holding Co. Ltd. | | | 23,968,201 | | | | 32,526,032 | |
# | | Cathay Real Estate Development Co. Ltd. | | | 2,926,694 | | | | 1,372,453 | |
# | | Cayman Engley Industrial Co. Ltd. | | | 110,000 | | | | 188,149 | |
| | CCP Contact Probes Co. Ltd. | | | 19,000 | | | | 23,728 | |
# | | Celxpert Energy Corp. | | | 450,304 | | | | 390,042 | |
| | Center Laboratories, Inc. | | | 297,214 | | | | 419,539 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
# * | | Central Reinsurance Co. Ltd. | | | 1,026,148 | | | $ | 711,882 | |
# | | Chain Chon Industrial Co. Ltd. | | | 673,419 | | | | 270,495 | |
* | | ChainQui Construction Development Co. Ltd. | | | 571,393 | | | | 268,106 | |
| | Champion Building Materials Co. Ltd. | | | 1,207,445 | | | | 334,987 | |
| | Chang Hwa Commercial Bank Ltd. | | | 16,206,252 | | | | 8,585,719 | |
| | Chang Wah Electromaterials, Inc. | | | 44,000 | | | | 41,030 | |
| | Charoen Pokphand Enterprise | | | 99,600 | | | | 278,476 | |
| | CHC Healthcare Group | | | 551,000 | | | | 1,030,680 | |
| | CHC Resources Corp. | | | 17,000 | | | | 28,983 | |
# | | Chen Full International Co. Ltd. | | | 281,000 | | | | 321,136 | |
# | | Cheng Loong Corp. | | | 4,361,659 | | | | 3,810,637 | |
# | | Cheng Mei Materials Technology Corp. | | | 1,535,880 | | | | 586,293 | |
| | Cheng Shin Rubber Industry Co. Ltd. | | | 6,726,000 | | | | 9,191,367 | |
| | Cheng Uei Precision Industry Co. Ltd. | | | 2,096,635 | | | | 2,491,573 | |
# | | Chenming Electronic Technology Corp. | | | 385,000 | | | | 503,799 | |
| | Chia Chang Co. Ltd. | | | 635,000 | | | | 813,489 | |
# | | Chia Hsin Cement Corp. | | | 2,597,114 | | | | 1,428,883 | |
| | Chian Hsing Forging Industrial Co. Ltd. | | | 45,100 | | | | 42,497 | |
| | Chicony Electronics Co. Ltd. | | | 132,000 | | | | 508,166 | |
| | Chien Kuo Construction Co. Ltd. | | | 857,797 | | | | 357,553 | |
| | Chien Shing Harbour Service Co. Ltd. | | | 24,496 | | | | 28,903 | |
# | | China Airlines Ltd. | | | 13,804,353 | | | | 8,275,097 | |
| | China Bills Finance Corp. | | | 3,514,000 | | | | 1,544,823 | |
# | | China Chemical & Pharmaceutical Co. Ltd. | | | 1,198,264 | | | | 849,903 | |
| | China Container Terminal Corp. | | | 82,000 | | | | 50,676 | |
# * | | China Development Financial Holding Corp. | | | 57,705,205 | | | | 20,171,352 | |
# | | China Electric Manufacturing Corp. | | | 1,100,432 | | | | 537,863 | |
# | | China General Plastics Corp. | | | 1,108,585 | | | | 731,249 | |
# | | China Glaze Co. Ltd. | | | 602,799 | | | | 258,931 | |
# * | | China Man-Made Fiber Corp. | | | 6,929,014 | | | | 1,696,195 | |
| | China Metal Products | | | 1,402,969 | | | | 1,519,109 | |
| | China Motor Corp. | | | 1,050,099 | | | | 2,815,457 | |
* | | China Petrochemical Development Corp. | | | 19,537,068 | | | | 6,126,294 | |
| | China Steel Corp. | | | 50,221,320 | | | | 37,467,800 | |
# | | China Wire & Cable Co. Ltd. | | | 434,600 | | | | 455,374 | |
# | | Chinese Maritime Transport Ltd. | | | 388,270 | | | | 470,441 | |
| | Ching Feng Home Fashions Co. Ltd. | | | 42,025 | | | | 22,188 | |
| | Chin-Poon Industrial Co. Ltd. | | | 2,049,815 | | | | 2,205,214 | |
| | Chipbond Technology Corp. | | | 2,302,000 | | | | 4,835,387 | |
| | ChipMOS Technologies, Inc. | | | 2,725,085 | | | | 3,453,937 | |
| | ChipMOS Technologies, Inc., ADR | | | 24,284 | | | | 607,094 | |
| | Chong Hong Construction Co. Ltd. | | | 97,000 | | | | 216,135 | |
| | Chun YU Works & Co. Ltd. | | | 834,750 | | | | 564,380 | |
# | | Chun Yuan Steel Industry Co. Ltd. | | | 2,324,287 | | | | 1,159,914 | |
# | | Chung Hwa Chemical Industrial Works Ltd. | | | 57,000 | | | | 49,701 | |
# | | Chung Hwa Pulp Corp. | | | 1,942,353 | | | | 1,250,302 | |
* †† | | Chung Shing Textile Co. | | | 600 | | | | 0 | |
| | Chunghwa Chemical Synthesis & Biotech Co. Ltd. | | | 50,000 | | | | 83,390 | |
| | Chyang Sheng Dyeing & Finishing Co. Ltd. | | | 167,000 | | | | 86,663 | |
| | Clevo Co. | | | 1,297,000 | | | | 1,252,386 | |
* | | CMC Magnetics Corp. | | | 5,117,019 | | | | 1,769,873 | |
# | | CoAsia Electronics Corp. | | | 320,663 | | | | 109,772 | |
# | | Collins Co. Ltd. | | | 641,224 | | | | 315,377 | |
# | | Compal Electronics, Inc. | | | 16,126,332 | | | | 14,027,240 | |
# | | Compeq Manufacturing Co. Ltd. | | | 5,127,000 | | | | 8,383,110 | |
# | | Compucase Enterprise | | | 57,000 | | | | 114,130 | |
# * | | Concord Securities Co. Ltd. | | | 2,251,489 | | | | 901,638 | |
# | | Continental Holdings Corp. | | | 2,142,540 | | | | 1,778,615 | |
# | | Contrel Technology Co. Ltd. | | | 714,000 | | | | 368,864 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
| | Coretronic Corp. | | | 1,639,800 | | | $ | 3,704,793 | |
# | | Coxon Precise Industrial Co. Ltd. | | | 434,000 | | | | 189,470 | |
| | CTBC Financial Holding Co. Ltd. | | | 76,433,073 | | | | 57,561,980 | |
| | CTCI Corp. | | | 189,000 | | | | 230,094 | |
| | CviLux Corp. | | | 109,000 | | | | 125,272 | |
| | Cyberlink Corp. | | | 8,000 | | | | 21,998 | |
# * | | CyberTAN Technology, Inc. | | | 799,000 | | | | 567,046 | |
| | DA CIN Construction Co. Ltd. | | | 1,298,063 | | | | 1,535,189 | |
| | Da-Li Development Co. Ltd. | | | 31,500 | | | | 30,868 | |
| | Darfon Electronics Corp. | | | 433,000 | | | | 581,078 | |
# | | Darwin Precisions Corp. | | | 2,051,635 | | | | 877,814 | |
| | De Licacy Industrial Co. Ltd. | | | 103,880 | | | | 41,680 | |
# | | Depo Auto Parts Ind Co. Ltd. | | | 538,000 | | | | 2,165,994 | |
| | Dimerco Express Corp. | | | 27,000 | | | | 66,074 | |
| | D-Link Corp. | | | 2,996,068 | | | | 1,700,607 | |
| | Dyaco International, Inc. | | | 34,117 | | | | 33,310 | |
| | Dynamic Holding Co. Ltd. | | | 977,873 | | | | 2,360,874 | |
| | Dynapack International Technology Corp. | | | 750,000 | | | | 1,816,459 | |
| | E.Sun Financial Holding Co. Ltd. | | | 29,487,630 | | | | 21,727,632 | |
* | | Eastern Media International Corp. | | | 40,000 | | | | 27,002 | |
# | | Edimax Technology Co. Ltd. | | | 982,902 | | | | 413,723 | |
# | | Edison Opto Corp. | | | 577,250 | | | | 419,260 | |
# | | Edom Technology Co. Ltd. | | | 988,350 | | | | 710,707 | |
# | | Elite Advanced Laser Corp. | | | 103,000 | | | | 184,107 | |
| | Elitegroup Computer Systems Co. Ltd. | | | 1,627,395 | | | | 1,288,228 | |
| | Emerging Display Technologies Corp. | | | 39,000 | | | | 33,443 | |
†† | | ENG Electric Co. Ltd. | | | 239,997 | | | | 1,013 | |
| | Ennoconn Corp. | | | 204,599 | | | | 1,579,284 | |
# * | | Ennostar, Inc. | | | 2,645,210 | | | | 3,375,700 | |
# | | EnTie Commercial Bank Co. Ltd. | | | 2,417,232 | | | | 1,047,348 | |
* | | Epileds Technologies, Inc. | | | 79,000 | | | | 35,273 | |
| | Eson Precision Ind Co. Ltd. | | | 266,000 | | | | 466,137 | |
| | Eternal Materials Co. Ltd. | | | 2,005,487 | | | | 1,723,143 | |
# | | Eva Airways Corp. | | | 11,359,355 | | | | 9,632,889 | |
* | | Everest Textile Co. Ltd. | | | 2,226,813 | | | | 509,957 | |
| | Evergreen International Storage & Transport Corp. | | | 2,563,000 | | | | 2,366,414 | |
# | | Evergreen Marine Corp. Taiwan Ltd. | | | 3,931,658 | | | | 13,083,681 | |
| | Evergreen Steel Corp. | | | 169,000 | | | | 368,177 | |
# | | Everlight Chemical Industrial Corp. | | | 849,950 | | | | 505,341 | |
| | Everlight Electronics Co. Ltd. | | | 2,272,000 | | | | 3,112,948 | |
* | | Everspring Industry Co. Ltd. | | | 45,000 | | | | 21,019 | |
| | Excel Cell Electronic Co. Ltd. | | | 37,000 | | | | 26,644 | |
# | | Excelsior Medical Co. Ltd. | | | 554,665 | | | | 1,478,705 | |
| | Far Eastern Department Stores Ltd. | | | 4,119,445 | | | | 3,046,661 | |
| | Far Eastern International Bank | | | 12,877,978 | | | | 4,575,612 | |
| | Far Eastern New Century Corp. | | | 13,226,528 | | | | 12,050,849 | |
| | Farcent Enterprise Co. Ltd. | | | 11,000 | | | | 19,058 | |
| | Farglory F T Z Investment Holding Co. Ltd. | | | 62,000 | | | | 89,135 | |
| | Farglory Land Development Co. Ltd. | | | 1,437,264 | | | | 2,649,148 | |
# | | Feedback Technology Corp. | | | 115,000 | | | | 308,613 | |
| | Feng Hsin Steel Co. Ltd. | | | 28,000 | | | | 54,364 | |
| | First Financial Holding Co. Ltd. | | | 28,967,955 | | | | 23,178,590 | |
# | | First Hi-Tec Enterprise Co. Ltd. | | | 11,000 | | | | 37,218 | |
| | First Hotel | | | 890,857 | | | | 400,027 | |
| | First Insurance Co. Ltd. | | | 1,382,064 | | | | 718,939 | |
# * | | First Steamship Co. Ltd. | | | 3,419,042 | | | | 853,664 | |
# | | FIT Holding Co. Ltd. | | | 254,150 | | | | 254,892 | |
| | Fitipower Integrated Technology, Inc. | | | 186,550 | | | | 1,544,215 | |
| | Fittech Co. Ltd. | | | 127,000 | | | | 224,008 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
# | | FLEXium Interconnect, Inc. | | | 1,453,000 | | | $ | 3,747,572 | |
# | | Forcecon Tech Co. Ltd. | | | 135,000 | | | | 553,300 | |
* | | Forest Water Environment Engineering Co. Ltd. | | | 21,400 | | | | 17,764 | |
# | | Formosa Advanced Technologies Co. Ltd. | | | 968,000 | | | | 1,153,956 | |
| | Formosa Chemicals & Fibre Corp. | | | 7,119,000 | | | | 13,394,219 | |
# | | Formosa Laboratories, Inc. | | | 530,478 | | | | 1,412,393 | |
| | Formosa Plastics Corp. | | | 9,924,000 | | | | 23,600,971 | |
# | | Formosa Taffeta Co. Ltd. | | | 3,107,511 | | | | 2,417,078 | |
| | Formosan Rubber Group, Inc. | | | 1,162,761 | | | | 838,072 | |
# | | Formosan Union Chemical | | | 1,809,843 | | | | 1,145,335 | |
# | | Founding Construction & Development Co. Ltd. | | | 1,012,418 | | | | 602,919 | |
| | Foxconn Technology Co. Ltd. | | | 3,210,142 | | | | 5,208,554 | |
| | Foxsemicon Integrated Technology, Inc. | | | 57,000 | | | | 321,866 | |
| | Franbo Lines Corp. | | | 209,392 | | | | 103,011 | |
# | | Froch Enterprise Co. Ltd. | | | 1,037,734 | | | | 555,993 | |
| | FSP Technology, Inc. | | | 793,292 | | | | 1,170,765 | |
| | Fu Chun Shin Machinery Manufacture Co. Ltd. | | | 121,097 | | | | 61,125 | |
# | | Fu Hua Innovation Co. Ltd. | | | 1,354,890 | | | | 1,078,141 | |
| | Fubon Financial Holding Co. Ltd. | | | 29,813,365 | | | | 55,440,762 | |
# | | Fulgent Sun International Holding Co. Ltd. | | | 220,000 | | | | 874,127 | |
| | Fullerton Technology Co. Ltd. | | | 529,200 | | | | 315,099 | |
# | | Fulltech Fiber Glass Corp. | | | 2,075,964 | | | | 1,082,280 | |
# | | Fwusow Industry Co. Ltd. | | | 1,241,194 | | | | 718,788 | |
# | | G Shank Enterprise Co. Ltd. | | | 761,902 | | | | 1,249,598 | |
| | Gamania Digital Entertainment Co. Ltd. | | | 148,000 | | | | 306,367 | |
# | | Gemtek Technology Corp. | | | 1,877,962 | | | | 1,896,443 | |
# | | General Interface Solution Holding Ltd. | | | 1,018,000 | | | | 1,755,201 | |
| | Getac Holdings Corp. | | | 785,065 | | | | 1,760,441 | |
# | | Giant Manufacturing Co. Ltd. | | | 99,000 | | | | 500,600 | |
# | | Giantplus Technology Co. Ltd. | | | 1,722,100 | | | | 645,550 | |
| | Gigabyte Technology Co. Ltd. | | | 371,287 | | | | 2,522,501 | |
# | | Global Brands Manufacture Ltd. | | | 1,520,154 | | | | 2,899,629 | |
# | | Global Lighting Technologies, Inc. | | | 160,000 | | | | 234,340 | |
| | Global Mixed Mode Technology, Inc. | | | 29,000 | | | | 223,197 | |
| | Global PMX Co. Ltd. | | | 10,000 | | | | 35,269 | |
| | Global View Co. Ltd. | | | 53,000 | | | | 48,411 | |
# * | | Globe Union Industrial Corp. | | | 1,309,126 | | | | 556,041 | |
# | | Gloria Material Technology Corp. | | | 1,886,116 | | | | 2,603,457 | |
| | GMI Technology, Inc. | | | 60,221 | | | | 35,393 | |
| | Goldsun Building Materials Co. Ltd., Class C | | | 5,138,171 | | | | 3,998,011 | |
# | | Good Will Instrument Co. Ltd. | | | 172,746 | | | | 183,202 | |
# | | Gordon Auto Body Parts | | | 62,000 | | | | 57,882 | |
| | Gourmet Master Co. Ltd. | | | 200,000 | | | | 600,920 | |
# * | | Grand Fortune Securities Co. Ltd. | | | 950,929 | | | | 335,015 | |
# | | Grand Pacific Petrochemical | | | 4,778,000 | | | | 2,332,956 | |
| | Great China Metal Industry | | | 842,000 | | | | 613,983 | |
| | Great Wall Enterprise Co. Ltd. | | | 1,955,236 | | | | 3,069,524 | |
| | Greatek Electronics, Inc. | | | 499,000 | | | | 897,842 | |
* †† | | Green Energy Technology, Inc. | | | 1,424,880 | | | | 0 | |
# | | GTM Holdings Corp. | | | 622,900 | | | | 563,825 | |
# | | Hannstar Board Corp. | | | 1,693,488 | | | | 2,923,564 | |
* | | HannStar Display Corp. | | | 5,060,435 | | | | 1,733,917 | |
# * | | HannsTouch Holdings Co. | | | 3,034,001 | | | | 854,443 | |
| | Hanpin Electron Co. Ltd. | | | 286,000 | | | | 337,373 | |
# | | Harvatek Corp. | | | 824,553 | | | | 665,160 | |
| | Heran Co. Ltd. | | | 10,000 | | | | 33,184 | |
| | Hey Song Corp. | | | 1,745,500 | | | | 2,059,515 | |
| | Hi-Clearance, Inc. | | | 4,296 | | | | 17,504 | |
| | Highlight Tech Corp. | | | 30,000 | | | | 43,770 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
| | Highwealth Construction Corp. | | | 2,427,055 | | | $ | 3,049,485 | |
# | | Hiroca Holdings Ltd. | | | 346,000 | | | | 386,747 | |
| | Hitron Technology, Inc. | | | 179,000 | | | | 165,722 | |
| | Hiwin Technologies Corp. | | | 172,000 | | | | 1,042,344 | |
# | | Ho Tung Chemical Corp. | | | 4,467,475 | | | | 1,158,576 | |
# | | Hocheng Corp. | | | 1,108,066 | | | | 608,863 | |
# | | Holdings-Key Electric Wire & Cable Co. Ltd. | | | 49,699 | | | | 40,028 | |
| | Holy Stone Enterprise Co. Ltd. | | | 282,800 | | | | 829,159 | |
| | Hon Hai Precision Industry Co. Ltd. | | | 44,889,192 | | | | 133,981,382 | |
| | Hong Pu Real Estate Development Co. Ltd. | | | 1,038,655 | | | | 866,468 | |
# | | Hong TAI Electric Industrial | | | 1,260,000 | | | | 949,657 | |
# | | Hong YI Fiber Industry Co. | | | 753,000 | | | | 378,506 | |
* | | Horizon Securities Co. Ltd. | | | 145,820 | | | | 43,819 | |
| | Hota Industrial Manufacturing Co. Ltd. | | | 76,000 | | | | 145,452 | |
| | Hsin Kuang Steel Co. Ltd. | | | 234,000 | | | | 337,226 | |
| | Hsing TA Cement Co. | | | 862,614 | | | | 465,939 | |
* | | HTC Corp. | | | 70,000 | | | | 95,835 | |
# | | HUA ENG Wire & Cable Co. Ltd. | | | 166,035 | | | | 98,853 | |
| | Hua Nan Financial Holdings Co. Ltd., Class C | | | 24,418,692 | | | | 15,313,544 | |
| | Huaku Development Co. Ltd. | | | 850,000 | | | | 2,401,057 | |
| | Huang Hsiang Construction Corp. | | | 127,000 | | | | 151,030 | |
# | | Hung Ching Development & Construction Co. Ltd. | | | 857,468 | | | | 599,390 | |
# | | Hung Sheng Construction Ltd. | | | 1,724,269 | | | | 955,252 | |
| | Huxen Corp. | | | 173,281 | | | | 273,712 | |
| | Hwa Fong Rubber Industrial Co. Ltd. | | | 62,000 | | | | 26,403 | |
# | | Hwacom Systems, Inc. | | | 345,000 | | | | 181,203 | |
* | | IBF Financial Holdings Co. Ltd. | | | 13,653,796 | | | | 4,845,977 | |
# | | Ichia Technologies, Inc. | | | 961,260 | | | | 971,134 | |
* | | Ideal Bike Corp. | | | 94,000 | | | | 28,475 | |
# | | IEI Integration Corp. | | | 258,200 | | | | 547,337 | |
| | Infortrend Technology, Inc. | | | 1,013,000 | | | | 586,014 | |
| | Innolux Corp. | | | 29,525,854 | | | | 11,130,269 | |
| | Inpaq Technology Co. Ltd. | | | 338,930 | | | | 689,564 | |
# | | Integrated Service Technology, Inc. | | | 146,570 | | | | 381,449 | |
| | IntelliEPI, Inc. | | | 5,000 | | | | 8,504 | |
# | | International CSRC Investment Holdings Co. | | | 3,996,166 | | | | 2,356,300 | |
# | | Inventec Corp. | | | 7,051,277 | | | | 8,833,584 | |
| | Iron Force Industrial Co. Ltd. | | | 58,000 | | | | 151,547 | |
| | ITE Technology, Inc. | | | 573,479 | | | | 2,891,302 | |
| | ITEQ Corp. | | | 249,000 | | | | 586,017 | |
# | | Jarllytec Co. Ltd. | | | 252,000 | | | | 1,159,505 | |
| | Jean Co. Ltd. | | | 470,445 | | | | 279,148 | |
# | | Jess-Link Products Co. Ltd. | | | 385,500 | | | | 994,943 | |
| | Jiin Yeeh Ding Enterprise Co. Ltd. | | | 54,000 | | | | 83,076 | |
* | | Jinli Group Holdings Ltd. | | | 760,532 | | | | 245,495 | |
| | Joinsoon Electronics Manufacturing Co. Ltd. | | | 46,000 | | | | 35,343 | |
| | K Laser Technology, Inc. | | | 785,601 | | | | 555,620 | |
| | Kaimei Electronic Corp. | | | 160,400 | | | | 306,233 | |
# | | Kaulin Manufacturing Co. Ltd. | | | 565,656 | | | | 227,781 | |
| | Kedge Construction Co. Ltd. | | | 27,324 | | | | 61,429 | |
| | KEE TAI Properties Co. Ltd. | | | 1,141,000 | | | | 530,685 | |
| | Kenda Rubber Industrial Co. Ltd. | | | 1,045,409 | | | | 942,395 | |
| | Kerry TJ Logistics Co. Ltd. | | | 76,000 | | | | 87,021 | |
| | Kindom Development Co. Ltd. | | | 1,887,000 | | | | 1,988,833 | |
| | King Chou Marine Technology Co. Ltd. | | | 268,100 | | | | 324,849 | |
| | King Yuan Electronics Co. Ltd. | | | 5,317,805 | | | | 12,598,945 | |
| | King’s Town Bank Co. Ltd. | | | 4,347,012 | | | | 4,985,175 | |
* | | King’s Town Construction Co. Ltd. | | | 437,380 | | | | 412,579 | |
# | | Kinko Optical Co. Ltd. | | | 681,756 | | | | 544,239 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
# | | Kinpo Electronics | | | 5,886,375 | | | $ | 2,535,745 | |
# | | Kinsus Interconnect Technology Corp. | | | 1,496,000 | | | | 4,404,333 | |
# | | Ko Ja Cayman Co. Ltd. | | | 95,000 | | | | 202,342 | |
# | | KS Terminals, Inc. | | | 168,000 | | | | 347,573 | |
# * | | Kung Sing Engineering Corp. | | | 2,331,875 | | | | 663,472 | |
# | | Kuo Toong International Co. Ltd. | | | 1,052,808 | | | | 1,158,866 | |
* | | Kuo Yang Construction Co. Ltd. | | | 199,000 | | | | 110,638 | |
| | Kwong Fong Industries Corp. | | | 481,649 | | | | 155,343 | |
| | Kwong Lung Enterprise Co. Ltd. | | | 163,000 | | | | 257,099 | |
# | | KYE Systems Corp. | | | 1,182,909 | | | | 424,248 | |
# | | L&K Engineering Co. Ltd. | | | 780,000 | | | | 3,073,453 | |
* | | LAN FA Textile | | | 985,713 | | | | 298,911 | |
# | | Largan Precision Co. Ltd. | | | 330,000 | | | | 21,135,453 | |
| | Laster Tech Corp. Ltd. | | | 131,000 | | | | 199,370 | |
# * | | Lealea Enterprise Co. Ltd. | | | 3,846,898 | | | | 1,205,848 | |
# | | LEE CHI Enterprises Co. Ltd. | | | 891,900 | | | | 394,158 | |
# | | Lelon Electronics Corp. | | | 130,000 | | | | 219,254 | |
# * | | Li Peng Enterprise Co. Ltd. | | | 2,332,381 | | | | 547,584 | |
| | Lida Holdings Ltd. | | | 316,680 | | | | 337,456 | |
| | Lien Hwa Industrial Holdings Corp. | | | 1,915,465 | | | | 3,665,178 | |
| | Lingsen Precision Industries Ltd. | | | 1,924,480 | | | | 1,259,027 | |
| | Lite-On Technology Corp. | | | 5,686,738 | | | | 17,705,716 | |
| | Liton Technology Corp. | | | 52,000 | | | | 55,263 | |
# * | | Long Bon International Co. Ltd. | | | 855,880 | | | | 414,724 | |
| | Long Da Construction & Development Corp. | | | 129,000 | | | | 99,925 | |
| | Longchen Paper & Packaging Co. Ltd. | | | 4,181,859 | | | | 1,789,681 | |
| | Longwell Co. | | | 272,000 | | | | 530,673 | |
| | Lu Hai Holding Corp. | | | 51,700 | | | | 48,345 | |
# | | Lucky Cement Corp. | | | 726,000 | | | | 300,545 | |
* | | Lung Yen Life Service Corp. | | | 71,000 | | | | 77,988 | |
# | | Macauto Industrial Co. Ltd. | | | 83,000 | | | | 187,399 | |
| | Machvision, Inc. | | | 6,000 | | | | 33,299 | |
| | Macronix International Co. Ltd. | | | 9,654,605 | | | | 8,067,555 | |
| | Mayer Steel Pipe Corp. | | | 597,456 | | | | 515,961 | |
| | Maywufa Co. Ltd. | | | 182,070 | | | | 120,309 | |
| | Mega Financial Holding Co. Ltd. | | | 22,082,875 | | | | 25,058,197 | |
* | | Mercuries & Associates Holding Ltd. | | | 2,481,771 | | | | 965,251 | |
* | | Mercuries Life Insurance Co. Ltd. | | | 4,429,762 | | �� | | 689,823 | |
| | Merry Electronics Co. Ltd. | | | 181,000 | | | | 496,189 | |
| | Micro-Star International Co. Ltd. | | | 44,000 | | | | 225,250 | |
| | Mildef Crete, Inc. | | | 6,000 | | | | 14,618 | |
# | | MIN AIK Technology Co. Ltd. | | | 458,600 | | | | 277,169 | |
| | Mirle Automation Corp. | | | 79,000 | | | | 89,963 | |
# | | Mitac Holdings Corp. | | | 2,644,682 | | | | 3,011,408 | |
# | | MOSA Industrial Corp. | | | 277,007 | | | | 204,593 | |
| | MPI Corp. | | | 322,000 | | | | 1,887,262 | |
| | Namchow Holdings Co. Ltd. | | | 330,000 | | | | 499,246 | |
| | Nan Pao Resins Chemical Co. Ltd. | | | 38,000 | | | | 233,621 | |
* | | Nan Ren Lake Leisure Amusement Co. Ltd. | | | 761,739 | | | | 302,309 | |
| | Nan Ya Plastics Corp. | | | 14,937,000 | | | | 28,579,285 | |
| | Nang Kuang Pharmaceutical Co. Ltd. | | | 35,000 | | | | 56,642 | |
| | Nantex Industry Co. Ltd. | | | 128,000 | | | | 136,043 | |
# | | Nanya Technology Corp. | | | 5,929,000 | | | | 11,886,331 | |
* | | New Era Electronics Co. Ltd. | | | 168,000 | | | | 113,712 | |
| | Nexcom International Co. Ltd. | | | 16,000 | | | | 20,041 | |
| | Nichidenbo Corp. | | | 65,000 | | | | 111,623 | |
# | | Nien Hsing Textile Co. Ltd. | | | 647,061 | | | | 377,741 | |
| | Niko Semiconductor Co. Ltd. | | | 100,520 | | | | 178,425 | |
| | Nishoku Technology, Inc. | | | 194,000 | | | | 579,122 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
| | O-Bank Co. Ltd. | | | 2,696,604 | | | $ | 776,877 | |
* | | Ocean Plastics Co. Ltd. | | | 80,000 | | | | 85,757 | |
# | | Orient Semiconductor Electronics Ltd. | | | 1,299,670 | | | | 1,672,784 | |
| | Oriental Union Chemical Corp. | | | 40,000 | | | | 22,512 | |
| | O-TA Precision Industry Co. Ltd. | | | 6,000 | | | | 15,822 | |
| | Pacific Construction Co. | | | 1,755,452 | | | | 490,981 | |
| | Paiho Shih Holdings Corp. | | | 143,850 | | | | 90,586 | |
| | Pan German Universal Motors Ltd. | | | 10,000 | | | | 94,243 | |
| | Pan Jit International, Inc. | | | 371,100 | | | | 686,703 | |
| | Pan-International Industrial Corp. | | | 2,067,444 | | | | 2,175,304 | |
# * | | PChome Online, Inc. | | | 257,061 | | | | 353,495 | |
# | | PCL Technologies, Inc. | | | 66,000 | | | | 154,056 | |
| | Pegatron Corp. | | | 9,540,998 | | | | 22,265,087 | |
| | Phison Electronics Corp. | | | 118,000 | | | | 1,703,117 | |
| | Pixart Imaging, Inc. | | | 351,000 | | | | 1,395,401 | |
| | Plastron Precision Co. Ltd. | | | 125,156 | | | | 57,703 | |
* | | Plotech Co. Ltd. | | | 522,000 | | | | 270,359 | |
| | Posiflex Technology, Inc. | | | 14,000 | | | | 43,365 | |
| | Pou Chen Corp. | | | 8,449,550 | | | | 7,531,610 | |
# | | Powerchip Semiconductor Manufacturing Corp. | | | 11,295,000 | | | | 9,291,496 | |
| | Powertech Technology, Inc. | | | 1,463,000 | | | | 4,753,043 | |
| | Powertip Technology Corp. | | | 56,000 | | | | 26,046 | |
| | President Securities Corp. | | | 4,203,263 | | | | 2,261,785 | |
| | Primax Electronics Ltd. | | | 1,335,000 | | | | 2,851,200 | |
| | Prince Housing & Development Corp. | | | 5,765,018 | | | | 1,894,526 | |
* †† | | Prodisc Technology, Inc. | | | 6,185,157 | | | | 0 | |
# | | Promate Electronic Co. Ltd. | | | 181,000 | | | | 303,289 | |
# | | Prosperity Dielectrics Co. Ltd. | | | 120,000 | | | | 164,956 | |
| | Qisda Corp. | | | 6,794,171 | | | | 8,918,645 | |
| | QST International Corp. | | | 18,143 | | | | 31,931 | |
| | Qualipoly Chemical Corp. | | | 290,593 | | | | 301,152 | |
| | Quang Viet Enterprise Co. Ltd. | | | 25,000 | | | | 85,308 | |
| | Quanta Computer, Inc. | | | 297,000 | | | | 1,753,579 | |
| | Quanta Storage, Inc. | | | 488,000 | | | | 1,035,476 | |
# | | Quintain Steel Co. Ltd. | | | 1,403,247 | | | | 567,888 | |
# | | Radiant Opto-Electronics Corp. | | | 1,869,000 | | | | 7,163,843 | |
* | | Radium Life Tech Co. Ltd. | | | 3,668,226 | | | | 989,949 | |
| | Rechi Precision Co. Ltd. | | | 239,000 | | | | 140,802 | |
* | | Rexon Industrial Corp. Ltd. | | | 35,000 | | | | 43,103 | |
* | | Rich Development Co. Ltd. | | | 2,783,054 | | | | 763,480 | |
* | | Ritek Corp. | | | 3,656,449 | | | | 891,340 | |
* †† | | Roo Hsing Co. Ltd. | | | 739,000 | | | | 78,963 | |
| | Ruentex Development Co. Ltd. | | | 1,709,900 | | | | 1,714,819 | |
# | | Ruentex Industries Ltd. | | | 2,581,385 | | | | 4,569,186 | |
| | Sampo Corp. | | | 1,851,340 | | | | 1,600,201 | |
| | San Fang Chemical Industry Co. Ltd. | | | 69,000 | | | | 49,732 | |
# | | San Far Property Ltd. | | | 1,393,560 | | | | 744,223 | |
# | | Sanyang Motor Co. Ltd. | | | 2,379,624 | | | | 4,905,219 | |
| | Scan-D Corp. | | | 33,000 | | | | 41,960 | |
| | Sea Sonic Electronics Co. Ltd. | | | 12,000 | | | | 33,677 | |
| | Senao International Co. Ltd. | | | 33,000 | | | | 36,640 | |
| | Sercomm Corp. | | | 60,000 | | | | 209,342 | |
# | | Sesoda Corp. | | | 787,279 | | | | 738,515 | |
| | Shanghai Commercial & Savings Bank Ltd. | | | 4,085,566 | | | | 5,413,341 | |
| | Shan-Loong Transportation Co. Ltd. | | | 436,000 | | | | 408,040 | |
# | | Sharehope Medicine Co. Ltd. | | | 198,345 | | | | 197,093 | |
# | | Sheng Yu Steel Co. Ltd. | | | 611,000 | | | | 439,714 | |
| | ShenMao Technology, Inc. | | | 143,000 | | | | 259,749 | |
# | | Shih Her Technologies, Inc. | | | 260,000 | | | | 580,572 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
| | Shih Wei Navigation Co. Ltd. | | | 1,390,271 | | | $ | 762,662 | |
| | Shihlin Electric & Engineering Corp. | | | 961,000 | | | | 2,819,420 | |
| | Shin Foong Specialty & Applied Materials Co. Ltd. | | | 25,000 | | | | 37,522 | |
* | | Shin Kong Financial Holding Co. Ltd. | | | 42,065,909 | | | | 11,300,928 | |
| | Shin Zu Shing Co. Ltd. | | | 879,842 | | | | 2,515,811 | |
* | | Shining Building Business Co. Ltd. | | | 1,544,368 | | | | 484,443 | |
| | Shinkong Insurance Co. Ltd. | | | 1,019,412 | | | | 2,099,174 | |
| | Shinkong Synthetic Fibers Corp. | | | 6,366,754 | | | | 2,958,486 | |
# * | | Shuttle, Inc. | | | 1,693,015 | | | | 851,833 | |
# | | Sigurd Microelectronics Corp. | | | 2,351,231 | | | | 4,317,127 | |
| | Silitech Technology Corp. | | | 26,878 | | | | 30,502 | |
| | Simplo Technology Co. Ltd. | | | 96,000 | | | | 989,056 | |
| | Sincere Navigation Corp. | | | 1,484,242 | | | | 994,731 | |
| | Singatron Enterprise Co. Ltd. | | | 56,000 | | | | 44,230 | |
| | Sinher Technology, Inc. | | | 303,000 | | | | 324,353 | |
| | Sinmag Equipment Corp. | | | 13,000 | | | | 57,907 | |
| | Sinon Corp. | | | 1,847,877 | | | | 2,085,447 | |
| | SinoPac Financial Holdings Co. Ltd. | | | 40,385,351 | | | | 22,273,157 | |
| | Sinyi Realty, Inc. | | | 77,000 | | | | 67,270 | |
# | | Sirtec International Co. Ltd. | | | 476,200 | | | | 414,109 | |
# | | Siward Crystal Technology Co. Ltd. | | | 722,875 | | | | 666,450 | |
# | | Soft-World International Corp. | | | 44,000 | | | | 129,701 | |
# | | Solar Applied Materials Technology Corp. | | | 222,000 | | | | 267,853 | |
# | | Solomon Technology Corp. | | | 434,000 | | | | 451,690 | |
| | Solteam, Inc. | | | 62,742 | | | | 80,729 | |
# | | Southeast Cement Co. Ltd. | | | 901,700 | | | | 505,045 | |
# | | Spirox Corp. | | | 356,563 | | | | 409,610 | |
| | Sports Gear Co. Ltd. | | | 5,000 | | | | 10,186 | |
| | St Shine Optical Co. Ltd. | | | 10,000 | | | | 56,096 | |
| | Sun Yad Construction Co. Ltd. | | | 180,813 | | | | 56,914 | |
| | Sunplus Technology Co. Ltd. | | | 416,000 | | | | 388,226 | |
| | Sunrex Technology Corp. | | | 494,108 | | | | 755,077 | |
# | | Sunspring Metal Corp. | | | 580,569 | | | | 400,678 | |
| | Supreme Electronics Co. Ltd. | | | 2,042,507 | | | | 3,508,617 | |
| | Swancor Holding Co. Ltd. | | | 90,000 | | | | 239,765 | |
| | Sweeten Real Estate Development Co. Ltd. | | | 913,840 | | | | 696,527 | |
# | | Syncmold Enterprise Corp. | | | 136,000 | | | | 281,197 | |
| | Synnex Technology International Corp. | | | 4,727,550 | | | | 10,033,307 | |
| | Systex Corp. | | | 52,000 | | | | 161,079 | |
| | T3EX Global Holdings Corp. | | | 118,000 | | | | 266,026 | |
# | | TA Chen Stainless Pipe | | | 2,287,392 | | | | 2,618,922 | |
# | | Tah Hsin Industrial Corp. | | | 324,701 | | | | 710,910 | |
| | TA-I Technology Co. Ltd. | | | 172,500 | | | | 237,233 | |
* | | Tai Tung Communication Co. Ltd. | | | 508,535 | | | | 262,684 | |
| | Taichung Commercial Bank Co. Ltd. | | | 26,492,629 | | | | 12,025,228 | |
# | | TaiDoc Technology Corp. | | | 135,000 | | | | 593,809 | |
# | | Taiflex Scientific Co. Ltd. | | | 967,960 | | | | 1,242,121 | |
# | | Taimide Tech, Inc. | | | 199,000 | | | | 235,567 | |
| | Tainan Enterprises Co. Ltd. | | | 338,183 | | | | 323,615 | |
# | | Tainan Spinning Co. Ltd. | | | 6,079,485 | | | | 2,665,876 | |
| | Tai-Saw Technology Co. Ltd. | | | 158,000 | | | | 129,057 | |
| | Taishin Financial Holding Co. Ltd. | | | 39,752,670 | | | | 21,202,751 | |
# | | Taita Chemical Co. Ltd. | | | 607,394 | | | | 309,701 | |
| | TAI-TECH Advanced Electronics Co. Ltd. | | | 75,000 | | | | 233,720 | |
| | Taiwan Business Bank | | | 23,281,281 | | | | 9,178,983 | |
# | | Taiwan Cement Corp. | | | 19,141,110 | | | | 19,072,511 | |
| | Taiwan Chinsan Electronic Industrial Co. Ltd. | | | 339,488 | | | | 367,338 | |
| | Taiwan Cooperative Financial Holding Co. Ltd. | | | 27,253,278 | | | | 21,163,997 | |
| | Taiwan Fertilizer Co. Ltd. | | | 2,413,000 | | | | 4,421,251 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
| | Taiwan Fire & Marine Insurance Co. Ltd. | | | 1,283,000 | | | $ | 956,499 | |
| | Taiwan FU Hsing Industrial Co. Ltd. | | | 661,000 | | | | 881,499 | |
# * | | Taiwan Glass Industry Corp. | | | 3,675,982 | | | | 2,074,307 | |
| | Taiwan Hon Chuan Enterprise Co. Ltd. | | | 1,290,932 | | | | 4,010,399 | |
# | | Taiwan Hopax Chemicals Manufacturing Co. Ltd. | | | 731,000 | | | | 809,368 | |
* †† | | Taiwan Kolin Co. Ltd. | | | 5,797,000 | | | | 0 | |
†† | | Taiwan Land Development Corp. | | | 4,185,322 | | | | 64,841 | |
| | Taiwan Navigation Co. Ltd. | | | 1,131,000 | | | | 959,473 | |
| | Taiwan Paiho Ltd. | | | 683,000 | | | | 1,211,545 | |
| | Taiwan PCB Techvest Co. Ltd. | | | 1,421,946 | | | | 1,862,452 | |
| | Taiwan Shin Kong Security Co. Ltd. | | | 134,390 | | | | 165,791 | |
| | Taiwan Steel Union Co. Ltd. | | | 8,000 | | | | 21,422 | |
# | | Taiwan Styrene Monomer | | | 477,000 | | | | 226,981 | |
| | Taiwan Surface Mounting Technology Corp. | | | 1,330,991 | | | | 3,761,403 | |
# * | | Taiwan TEA Corp. | | | 2,838,092 | | | | 1,736,875 | |
# | | Taiwan Union Technology Corp. | | | 855,000 | | | | 2,821,937 | |
| | Taiyen Biotech Co. Ltd. | | | 569,217 | | | | 583,980 | |
# * | | Tatung Co. Ltd. | | | 4,848,000 | | | | 5,372,883 | |
| | TBI Motion Technology Co. Ltd. | | | 9,000 | | | | 8,582 | |
| | Te Chang Construction Co. Ltd. | | | 16,260 | | | | 32,841 | |
| | Teco Electric & Machinery Co. Ltd. | | | 5,602,725 | | | | 7,996,861 | |
| | Tera Autotech Corp. | | | 24,863 | | | | 21,281 | |
| | Test Research, Inc. | | | 77,000 | | | | 142,952 | |
| | Test Rite International Co. Ltd. | | | 1,140,266 | | | | 705,140 | |
* | | Tex-Ray Industrial Co. Ltd. | | | 359,000 | | | | 124,127 | |
| | Thinking Electronic Industrial Co. Ltd. | | | 44,000 | | | | 186,061 | |
| | Thye Ming Industrial Co. Ltd. | | | 90,600 | | | | 153,166 | |
# | | Ting Sin Co. Ltd. | | | 65,698 | | | | 22,934 | |
| | Ton Yi Industrial Corp. | | | 3,904,600 | | | | 1,894,629 | |
# | | Tong Hsing Electronic Industries Ltd. | | | 883,480 | | | | 3,667,041 | |
| | Tong Ming Enterprise Co. Ltd. | | | 16,000 | | | | 15,611 | |
| | Tong Yang Industry Co. Ltd. | | | 1,958,000 | | | | 4,441,756 | |
# | | Tong-Tai Machine & Tool Co. Ltd. | | | 995,447 | | | | 530,186 | |
| | Top Union Electronics Corp. | | | 197,973 | | | | 188,862 | |
| | Topco Technologies Corp. | | | 18,000 | | | | 38,414 | |
| | Topkey Corp. | | | 78,000 | | | | 388,372 | |
# | | Topoint Technology Co. Ltd. | | | 663,459 | | | | 544,519 | |
| | Toung Loong Textile Manufacturing | | | 104,040 | | | | 69,639 | |
| | TPK Holding Co. Ltd. | | | 1,941,000 | | | | 1,923,929 | |
| | Transcend Information, Inc. | | | 76,000 | | | | 172,365 | |
| | Tripod Technology Corp. | | | 1,791,000 | | | | 9,169,220 | |
# | | Tsann Kuen Enterprise Co. Ltd. | | | 181,182 | | | | 215,833 | |
| | TSC Auto ID Technology Co. Ltd. | | | 2,199 | | | | 15,797 | |
| | TSRC Corp. | | | 435,000 | | | | 307,730 | |
| | TST Group Holding Ltd. | | | 6,000 | | | | 23,929 | |
| | Tung Ho Steel Enterprise Corp. | | | 2,960,593 | | | | 5,942,865 | |
| | Tung Ho Textile Co. Ltd. | | | 23,000 | | | | 12,346 | |
| | TXC Corp. | | | 1,165,000 | | | | 3,454,910 | |
| | TYC Brother Industrial Co. Ltd. | | | 883,723 | | | | 1,025,439 | |
# * | | Tycoons Group Enterprise | | | 1,678,515 | | | | 609,815 | |
* | | Tyntek Corp. | | | 1,448,097 | | | | 806,656 | |
# | | UDE Corp. | | | 353,000 | | | | 546,582 | |
# | | U-Ming Marine Transport Corp. | | | 1,890,000 | | | | 2,590,160 | |
# | | Unic Technology Corp. | | | 219,000 | | | | 140,299 | |
# | | Union Bank of Taiwan | | | 12,016,836 | | | | 4,896,480 | |
| | Unitech Computer Co. Ltd. | | | 477,739 | | | | 476,739 | |
# | | Unitech Printed Circuit Board Corp. | | | 3,306,346 | | | | 1,894,920 | |
# | | United Microelectronics Corp. | | | 42,425,681 | | | | 61,012,968 | |
| | United Orthopedic Corp. | | | 140,000 | | | | 288,066 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
| | United Radiant Technology | | | 20,000 | | | $ | 11,009 | |
| | United Renewable Energy Co. Ltd. | | | 450,000 | | | | 207,297 | |
* †† | | Unity Opto Technology Co. Ltd. | | | 2,993,000 | | | | 0 | |
| | Univacco Technology, Inc. | | | 46,000 | | | | 38,213 | |
# | | Universal Cement Corp. | | | 2,278,960 | | | | 1,785,077 | |
| | Universal, Inc. | | | 97,000 | | | | 66,462 | |
# | | UPC Technology Corp. | | | 3,688,598 | | | | 1,683,387 | |
| | USI Corp. | | | 4,178,827 | | | | 2,487,282 | |
# | | Usun Technology Co. Ltd. | | | 128,100 | | | | 112,937 | |
| | U-Tech Media Corp. | | | 125,000 | | | | 59,074 | |
| | Utechzone Co. Ltd. | | | 11,000 | | | | 23,519 | |
| | Ve Wong Corp. | | | 912,806 | | | | 1,212,492 | |
| | Ventec International Group Co. Ltd., Class C | | | 9,000 | | | | 23,484 | |
* | | Victory New Materials Ltd. Co. | | | 626,687 | | | | 215,674 | |
| | Viking Tech Corp. | | | 69,000 | | | | 103,809 | |
| | Wafer Works Corp. | | | 515,000 | | | | 694,929 | |
# | | Wah Hong Industrial Corp. | | | 406,516 | | | | 485,755 | |
| | Wah Lee Industrial Corp. | | | 862,100 | | | | 2,512,367 | |
| | Walsin Lihwa Corp. | | | 10,694,972 | | | | 11,382,469 | |
| | Walsin Technology Corp. | | | 1,456,000 | | | | 4,716,993 | |
# | | Walton Advanced Engineering, Inc. | | | 1,262,853 | | | | 582,261 | |
# | | Wan Hai Lines Ltd. | | | 2,713,000 | | | | 3,877,586 | |
| | Wei Chuan Foods Corp. | | | 466,000 | | | | 266,202 | |
# | | Weikeng Industrial Co. Ltd. | | | 2,081,490 | | | | 1,730,639 | |
| | Well Shin Technology Co. Ltd. | | | 444,080 | | | | 666,712 | |
# | | WELLELL, Inc. | | | 134,000 | | | | 112,528 | |
# | | Wha Yu Industrial Co. Ltd. | | | 238,000 | | | | 136,440 | |
| | Win Semiconductors Corp. | | | 186,000 | | | | 833,665 | |
| | Winbond Electronics Corp. | | | 16,131,572 | | | | 12,500,703 | |
| | Winmate, Inc. | | | 28,000 | | | | 97,839 | |
# | | Winstek Semiconductor Co. Ltd. | | | 247,000 | | | | 645,166 | |
* †† | | Wintek Corp. | | | 20,783,484 | | | | 0 | |
| | Wisdom Marine Lines Co. Ltd. | | | 1,926,364 | | | | 2,487,385 | |
# | | Wistron Corp. | | | 7,017,343 | | | | 19,567,861 | |
| | Wistron Information Technology & Services Corp. | | | 10,659 | | | | 35,933 | |
| | Wistron NeWeb Corp. | | | 454,000 | | | | 1,793,527 | |
| | WPG Holdings Ltd. | | | 7,842,284 | | | | 17,353,621 | |
# | | WT Microelectronics Co. Ltd. | | | 2,114,751 | | | | 7,758,046 | |
# | | WUS Printed Circuit Co. Ltd. | | | 844,668 | | | | 879,261 | |
| | Xxentria Technology Materials Corp. | | | 127,400 | | | | 279,673 | |
| | Ya Horng Electronic Co. Ltd. | | | 22,000 | | | | 32,971 | |
# | | Yageo Corp. | | | 1,087,019 | | | | 17,722,252 | |
# | | Yang Ming Marine Transport Corp. | | | 7,544,000 | | | | 9,832,690 | |
# | | YC INOX Co. Ltd. | | | 1,861,446 | | | | 1,508,292 | |
| | YCC Parts Manufacturing Co. Ltd. | | | 21,000 | | | | 38,354 | |
# | | Yea Shin International Development Co. Ltd. | | | 1,067,990 | | | | 849,599 | |
| | Yem Chio Co. Ltd. | | | 2,519,746 | | | | 1,243,742 | |
# | | Yen Sun Technology Corp. | | | 100,000 | | | | 119,267 | |
# * | | Yeong Guan Energy Technology Group Co. Ltd. | | | 386,820 | | | | 609,390 | |
| | YFC-Boneagle Electric Co. Ltd. | | | 35,449 | | | | 29,051 | |
# | | YFY, Inc. | | | 4,577,847 | | | | 4,215,291 | |
# | | Yi Jinn Industrial Co. Ltd. | | | 1,140,142 | | | | 612,358 | |
* | | Yieh Hsing Enterprise Co. Ltd. | | | 216,000 | | | | 61,835 | |
# | | Yieh Phui Enterprise Co. Ltd. | | | 3,778,178 | | | | 1,803,780 | |
# | | Young Fast Optoelectronics Co. Ltd. | | | 432,000 | | | | 514,532 | |
| | Youngtek Electronics Corp. | | | 596,047 | | | | 1,053,027 | |
| | Yuanta Financial Holding Co. Ltd. | | | 38,528,131 | | | | 28,946,835 | |
# | | Yuen Chang Stainless Steel Co. Ltd., Class C | | | 161,000 | | | | 77,914 | |
# | | Yulon Motor Co. Ltd. | | | 3,055,350 | | | | 7,016,839 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TAIWAN — (Continued) | | | | | | | | |
| | Yung Chi Paint & Varnish Manufacturing Co. Ltd. | | | 214,687 | | | $ | 485,253 | |
| | YungShin Global Holding Corp. | | | 184,000 | | | | 251,196 | |
# | | Zeng Hsing Industrial Co. Ltd. | | | 121,358 | | | | 400,761 | |
# | | Zenitron Corp. | | | 940,000 | | | | 914,560 | |
| | Zero One Technology Co. Ltd. | | | 665,391 | | | | 1,248,642 | |
# | | Zhen Ding Technology Holding Ltd. | | | 3,471,000 | | | | 10,494,353 | |
# | | Zig Sheng Industrial Co. Ltd. | | | 1,985,352 | | | | 610,200 | |
* | | Zinwell Corp. | | | 809,000 | | | | 595,457 | |
| | Zippy Technology Corp. | | | 63,000 | | | | 88,307 | |
# | | Zyxel Group Corp. | | | 1,288,793 | | | | 2,180,226 | |
| | | | | | | | | | |
TOTAL TAIWAN | | | | | | | 1,688,222,194 | |
| | | | | | | | | | |
THAILAND — (2.1%) | | | | | | | | |
| | AAPICO Hitech PCL, NVDR | | | 85,550 | | | | 66,645 | |
| | AAPICO Hitech PCL | | | 1,078,747 | | | | 840,368 | |
* | | Absolute Clean Energy PCL | | | 333,200 | | | | 14,091 | |
| | AP Thailand PCL | | | 11,783,730 | | | | 3,540,774 | |
| | Asia Green Energy PCL | | | 183,370 | | | | 9,693 | |
| | Bangchak Corp. PCL | | | 5,827,100 | | | | 6,687,567 | |
| | Bangkok Bank PCL | | | 3,293,353 | | | | 14,431,470 | |
| | Bangkok Bank PCL, NVDR | | | 259,600 | | | | 1,137,567 | |
| | Bangkok Commercial Asset Management PCL | | | 2,244,200 | | | | 558,826 | |
| | Bangkok Insurance PCL | | | 181,628 | | | | 1,510,935 | |
* | | Bangkok Land PCL | | | 60,002,696 | | | | 1,151,891 | |
| | Bangkok Life Assurance PCL, NVDR | | | 385,900 | | | | 249,089 | |
* | | Bangkok Ranch PCL | | | 2,100,500 | | | | 143,764 | |
# | | Banpu PCL | | | 29,652,733 | | | | 6,270,036 | |
| | Berli Jucker PCL | | | 3,580,300 | | | | 2,814,036 | |
| | BG Container Glass PCL | | | 161,900 | | | | 39,639 | |
| | Cal-Comp Electronics Thailand PCL, Class F | | | 18,481,921 | | | | 781,596 | |
| | Charoen Pokphand Foods PCL | | | 16,623,600 | | | | 8,648,851 | |
* | | Country Group Development PCL | | | 12,272,400 | | | | 105,848 | |
* | | Country Group Holdings PCL, Class F | | | 1,781,200 | | | | 36,177 | |
* | | Demco PCL | | | 1,585,700 | | | | 113,824 | |
* | | Demco PCL | | | 317,140 | | | | 0 | |
| | Eastern Water Resources Development & Management PCL, Class F | | | 752,100 | | | | 87,885 | |
| | GFPT PCL | | | 1,937,000 | | | | 549,695 | |
| | Global Green Chemicals PCL, Class F | | | 503,800 | | | | 110,733 | |
| | ICC International PCL | | | 2,067,400 | | | | 2,358,306 | |
| | Indorama Ventures PCL | | | 3,939,523 | | | | 2,597,668 | |
| | Interlink Communication PCL | | | 142,500 | | | | 28,149 | |
| | Interlink Telecom PCL | | | 2,081,000 | | | | 126,218 | |
| | IRPC PCL | | | 36,505,400 | | | | 1,950,069 | |
* | | Italian-Thai Development PCL | | | 24,735,500 | | | | 853,364 | |
| | Kasikornbank PCL | | | 66,100 | | | | 241,835 | |
| | Kasikornbank PCL, NVDR | | | 843,501 | | | | 3,086,051 | |
| | Khon Kaen Sugar Industry PCL | | | 8,302,207 | | | | 660,619 | |
| | Kiatnakin Phatra Bank PCL | | | 834,400 | | | | 1,143,332 | |
| | Krung Thai Bank PCL | | | 9,614,300 | | | | 5,028,833 | |
| | Lalin Property PCL | | | 204,200 | | | | 46,871 | |
| | Lanna Resources PCL | | | 386,600 | | | | 158,114 | |
| | LH Financial Group PCL | | | 6,930,046 | | | | 190,881 | |
# | | LPN Development PCL | | | 6,633,702 | | | | 734,566 | |
| | MCS Steel PCL | | | 252,300 | | | | 45,978 | |
* | | Millcon Steel PCL | | | 6,680,850 | | | | 68,774 | |
* | | Nawarat Patanakarn PCL | | | 3,182,100 | | | | 38,955 | |
| | Northeast Rubber PCL | | | 2,094,488 | | | | 266,892 | |
| | Origin Property PCL, Class F | | | 668,300 | | | | 166,413 | |
| | Polyplex Thailand PCL | | | 1,537,425 | | | | 423,468 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
THAILAND — (Continued) | | | | | | | | |
* | | Power Solution Technologies PCL, Class F | | | 3,438,240 | | | $ | 86,093 | |
| | Precious Shipping PCL | | | 3,636,850 | | | | 849,956 | |
| | Property Perfect PCL | | | 44,279,235 | | | | 369,584 | |
| | Pruksa Holding PCL | | | 3,613,900 | | | | 1,256,834 | |
| | PTT Exploration & Production PCL | | | 4,457,400 | | | | 20,338,418 | |
| | PTT Global Chemical PCL | | | 6,147,241 | | | | 5,900,530 | |
| | PTT PCL | | | 46,991,800 | | | | 43,471,582 | |
| | Quality Houses PCL | | | 23,818,847 | | | | 1,484,433 | |
| | Regional Container Lines PCL | | | 789,100 | | | | 430,308 | |
| | Rojana Industrial Park PCL | | | 3,265,173 | | | | 545,066 | |
* | | S Hotels & Resorts PCL | | | 2,784,826 | | | | 182,853 | |
| | Saha Pathana Inter-Holding PCL | | | 2,248,100 | | | | 4,221,931 | |
| | Saha Pathanapibul PCL | | | 1,052,533 | | | | 1,815,596 | |
| | Saha-Union PCL | | | 1,568,500 | | | | 1,320,084 | |
| | Sansiri PCL | | | 66,481,166 | | | | 2,829,970 | |
| | SC Asset Corp. PCL | | | 8,191,953 | | | | 770,364 | |
| | SCB X PCL | | | 2,709,600 | | | | 7,425,627 | |
| | Sena Development PCL | | | 1,331,366 | | | | 87,418 | |
| | Siam Cement PCL | | | 1,713,200 | | | | 13,727,526 | |
| | Siam City Cement PCL | | | 191,589 | | | | 711,612 | |
| | Siamgas & Petrochemicals PCL | | | 444,700 | | | | 98,362 | |
| | Singha Estate PCL | | | 547,000 | | | | 13,392 | |
# | | Sino-Thai Engineering & Construction PCL | | | 3,262,278 | | | | 776,030 | |
| | SNC Former PCL | | | 95,000 | | | | 25,638 | |
| | Somboon Advance Technology PCL | | | 1,292,800 | | | | 636,643 | |
| | SPCG PCL | | | 1,807,900 | | | | 648,867 | |
| | Sri Trang Agro-Industry PCL | | | 4,460,557 | | | | 1,787,077 | |
| | Sri Trang Gloves Thailand PCL | | | 936,500 | | | | 152,425 | |
| | Srithai Superware PCL | | | 5,665,600 | | | | 176,545 | |
| | Star Petroleum Refining PCL | | | 5,157,987 | | | | 1,061,949 | |
* | | STP & I PCL | | | 4,705,400 | | | | 361,324 | |
| | Supalai PCL | | | 6,428,200 | | | | 3,290,781 | |
* | | Super Energy Corp. PCL | | | 91,283,809 | | | | 1,092,079 | |
| | Susco PCL | | | 912,000 | | | | 114,690 | |
* | | Syntec Construction PCL | | | 5,229,800 | | | | 222,622 | |
| | Tata Steel Thailand PCL | | | 2,480,900 | | | | 55,219 | |
| | Thai Oil PCL | | | 3,665,574 | | | | 4,793,266 | |
| | Thai Stanley Electric PCL, NVDR | | | 19,100 | | | | 94,856 | |
| | Thai Stanley Electric PCL, Class F | | | 170,100 | | | | 844,762 | |
| | Thai Union Group PCL, Class F | | | 10,353,400 | | | | 3,888,736 | |
| | Thai Wacoal PCL | | | 69,500 | | | | 65,019 | |
| | Thai Wah PCL, Class F | | | 204,900 | | | | 22,917 | |
| | Thanachart Capital PCL | | | 797,000 | | | | 1,086,541 | |
| | Thitikorn PCL | | | 1,125,800 | | | | 166,008 | |
# | | Thoresen Thai Agencies PCL | | | 6,998,776 | | | | 1,002,815 | |
| | TKS Technologies PCL | | | 139,600 | | | | 25,634 | |
| | TMBThanachart Bank PCL | | | 75,230,296 | | | | 3,495,433 | |
| | TPI Polene PCL | | | 33,681,040 | | | | 1,293,172 | |
| | TPI Polene Power PCL | | | 7,369,358 | | | | 676,605 | |
| | True Corp. PCL | | | 24,681,178 | | | | 4,154,445 | |
| | TTCL PCL | | | 150,400 | | | | 15,566 | |
* | | Unique Engineering & Construction PCL | | | 979,600 | | | | 75,768 | |
| | Univentures PCL | | | 2,173,700 | | | | 124,583 | |
| | WHA Corp. PCL | | | 446,600 | | | | 62,127 | |
| | | | | | | | | | |
TOTAL THAILAND | | | | | | | 210,344,037 | |
| | | | | | | | | | |
TURKEY — (1.0%) | | | | | | | | |
| | Akbank TAS | | | 15,858,240 | | | | 16,520,381 | |
| | Aksa Enerji Uretim AS | | | 93,326 | | | | 115,471 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
TURKEY — (Continued) | | | | | | | | |
| | Alarko Holding AS | | | 160,880 | | | $ | 575,398 | |
* | | Albaraka Turk Katilim Bankasi AS | | | 7,059,701 | | | | 1,037,678 | |
* | | Anadolu Anonim Turk Sigorta Sirketi | | | 608,606 | | | | 1,265,967 | |
| | Anadolu Efes Biracilik Ve Malt Sanayii AS | | | 609,446 | | | | 2,148,136 | |
| | Bera Holding AS | | | 1,352,723 | | | | 817,101 | |
* | | Borusan Mannesmann Boru Sanayi ve Ticaret AS | | | 41,490 | | | | 1,353,768 | |
| | Dogan Sirketler Grubu Holding AS | | | 3,974,260 | | | | 1,922,927 | |
| | Enka Insaat ve Sanayi AS | | | 3,990,881 | | | | 4,281,767 | |
# * | | Eregli Demir ve Celik Fabrikalari TAS | | | 3,716,492 | | | | 4,975,335 | |
* | | Gozde Girisim Sermayesi Yatirim Ortakligi AS | | | 966,033 | | | | 920,517 | |
| | GSD Holding AS | | | 3,960,272 | | | | 536,122 | |
| | KOC Holding AS | | | 3,107,089 | | | | 15,029,240 | |
| | Kordsa Teknik Tekstil AS | | | 41,542 | | | | 122,482 | |
* | | Menderes Tekstil Sanayi ve Ticaret AS | | | 51,336 | | | | 17,384 | |
| | Pinar SUT Mamulleri Sanayii AS | | | 8,063 | | | | 21,135 | |
| | Sekerbank Turk AS | | | 5,078,228 | | | | 1,196,281 | |
* | | TAV Havalimanlari Holding AS | | | 545,774 | | | | 2,210,409 | |
| | Tekfen Holding AS | | | 675,012 | | | | 974,052 | |
* | | Turk Hava Yollari AO | | | 2,039,999 | | | | 15,662,890 | |
# | | Turkiye Garanti Bankasi AS | | | 2,472,034 | | | | 4,109,173 | |
# | | Turkiye Is Bankasi AS, Class C | | | 12,531,118 | | | | 9,314,555 | |
* | | Turkiye Sinai Kalkinma Bankasi AS | | | 6,227,331 | | | | 1,476,439 | |
| | Turkiye Sise ve Cam Fabrikalari AS | | | 2,955,316 | | | | 4,951,560 | |
# * | | Turkiye Vakiflar Bankasi TAO, Class D | | | 3,938,994 | | | | 2,271,179 | |
* | | Vestel Elektronik Sanayi ve Ticaret AS | | | 511,731 | | | | 1,103,373 | |
| | Yapi ve Kredi Bankasi AS | | | 15,981,002 | | | | 9,753,409 | |
* | | Zorlu Enerji Elektrik Uretim AS | | | 6,323,282 | | | | 1,183,060 | |
| | | | | | | | | | |
TOTAL TURKEY | | | | | | | 105,867,189 | |
| | | | | | | | | | |
UNITED ARAB EMIRATES — (1.3%) | | | | | | | | |
| | Abu Dhabi Commercial Bank PJSC | | | 12,293,935 | | | | 26,865,682 | |
| | Agthia Group PJSC | | | 616,036 | | | | 746,963 | |
* | | AL Seer Marine Supplies & Equipment Co. LLC | | | 18,413 | | | | 40,444 | |
| | Aldar Properties PJSC | | | 11,494,670 | | | | 16,282,827 | |
| | Amanat Holdings PJSC | | | 3,264,535 | | | | 884,319 | |
* | | Amlak Finance PJSC | | | 2,513,517 | | | | 544,504 | |
| | Dana Gas PJSC | | | 16,187,077 | | | | 3,570,716 | |
* | | Deyaar Development PJSC | | | 4,497,156 | | | | 720,891 | |
| | Dubai Investments PJSC | | | 7,340,116 | | | | 4,510,458 | |
| | Dubai Islamic Bank PJSC | | | 1,237,404 | | | | 1,819,218 | |
| | Emaar Development PJSC | | | 4,782,342 | | | | 8,070,544 | |
| | Emaar Properties PJSC | | | 24,247,455 | | | | 44,173,615 | |
| | Emirates NBD Bank PJSC | | | 5,580,590 | | | | 25,761,509 | |
* | | EMSTEEL Building Materials PJSC | | | 347,238 | | | | 127,704 | |
* | | Eshraq Investments PJSC | | | 3,371,519 | | | | 399,661 | |
* | | Islamic Arab Insurance Co. | | | 178,521 | | | | 28,707 | |
* | | Manazel PJSC | | | 1,193,679 | | | | 117,694 | |
* | | RAK Properties PJSC | | | 3,217,238 | | | | 937,924 | |
| | Ras Al Khaimah Ceramics | | | 826,296 | | | | 546,698 | |
* | | Shuaa Capital PSC | | | 1,996,407 | | | | 142,027 | |
* | | Union Properties PJSC | | | 3,928,839 | | | | 353,783 | |
| | | | | | | | | | |
TOTAL UNITED ARAB EMIRATES | | | | | | | 136,645,888 | |
| | | | | | | | | | |
UNITED KINGDOM — (0.1%) | | | | | | | | |
| | Anglogold Ashanti PLC | | | 702,492 | | | | 12,532,457 | |
| | | | | | | | | | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
UNITED STATES — (0.0%) | | | | | | | | |
* †† | | Rexlot Holdings | | | 67,831,618 | | | $ | 0 | |
| | | | | | | | | | |
TOTAL COMMON STOCKS | | | | | | | 9,959,278,532 | |
| | | | | | | | | | |
PREFERRED STOCKS — (0.9%) | | | | | | | | |
BRAZIL — (0.8%) | | | | | | | | |
| | Banco ABC Brasil SA, 6.373% | | | 538,176 | | | | 1,997,178 | |
* | | Banco ABC Brasil SA | | | 29,250 | | | | 115,393 | |
W | | Banco BMG SA, 7.152% | | | 147,500 | | | | 67,581 | |
| | Banco Bradesco SA, 7.205% | | | 11,182,310 | | | | 31,029,011 | |
| | Banco do Estado do Rio Grande do Sul SA Class B, 8.640% | | | 1,097,345 | | | | 2,372,403 | |
| | Banco Pan SA, 3.575% | | | 819,150 | | | | 1,142,188 | |
| | Eucatex SA Industria e Comercio, 6.424% | | | 297,328 | | | | 725,370 | |
| | Gerdau SA, 14.599% | | | 454,461 | | | | 1,962,338 | |
| | Grazziotin SA, 8.054% | | | 6,731 | | | | 34,177 | |
| | Marcopolo SA, 7.137% | | | 2,325,050 | | | | 2,416,475 | |
| | Petroleo Brasileiro SA, 10.467% | | | 5,630,679 | | | | 38,797,994 | |
| | Randon SA Implementos e Participacoes, 4.690% | | | 370,718 | | | | 802,208 | |
| | Usinas Siderurgicas de Minas Gerais SA Usiminas Class A, 4.974% | | | 1,493,049 | | | | 1,957,466 | |
| | | | | | | | | | |
TOTAL BRAZIL | | | | | | | 83,419,782 | |
| | | | | | | | | | |
COLOMBIA — (0.1%) | | | | | | | | |
| | Grupo Argos SA, 8.558% | | | 374,078 | | | | 590,745 | |
| | Grupo Aval Acciones y Valores SA, 6.302% | | | 148,826 | | | | 16,633 | |
| | Grupo de Inversiones Suramericana SA, 9.625% | | | 829,737 | | | | 2,421,074 | |
| | | | | | | | | | |
TOTAL COLOMBIA | | | | | | | 3,028,452 | |
| | | | | | | | | | |
INDIA — (0.0%) | | | | | | | | |
* | | Sundaram Clayton Ltd. | | | 251 | | | | 31 | |
* | | TVS Holdings Ltd. | | | 251,604 | | | | 31,446 | |
| | | | | | | | | | |
TOTAL INDIA | | | | | | | 31,477 | |
| | | | | | | | | | |
PHILIPPINES — (0.0%) | | | | | | | | |
| | Cebu Air, Inc., 6.000% | | | 873,808 | | | | 489,494 | |
| | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | |
* | | China Development Financial Holding Corp. | | | 4,382,167 | | | | 894,664 | |
| | | | | | | | | | |
TOTAL PREFERRED STOCKS | | | | | | | 87,863,869 | |
| | | | | | | | | | |
RIGHTS/WARRANTS — (0.0%) | | | | | | | | |
BRAZIL — (0.0%) | | | | | | | | |
* | | Grupo Casas Bahia SA Warrants 09/19/2024 | | | 2,613,244 | | | | 20,733 | |
| | | | | | | | | | |
KUWAIT — (0.0%) | | | | | | | | |
* | | Gulf Bank KSCP Rights 11/12/2023 | | | 305,802 | | | | 6,324 | |
| | | | | | | | | | |
TAIWAN — (0.0%) | | | | | | | | |
* | | Farglory F T Z Investment Holding Co. Ltd. Rights | | | 5,760 | | | | 1,146 | |
* | | Tai Tung Communication Co. Ltd. Rights 11/01/2023 | | | 50,543 | | | | 623 | |
* | | Winbond Electronics Corp. Rights 11/03/2023 | | | 648,506 | | | | 58,982 | |
| | | | | | | | | | |
TOTAL TAIWAN | | | | | | | 60,751 | |
| | | | | | | | | | |
THAILAND — (0.0%) | | | | | | | | |
* | | Cal-Comp Electronics Thailand PCL Rights 11/10/2023 | | | 14,532,334 | | | | 8,086 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | |
| | | | | Shares | | | Value» | |
THAILAND — (Continued) | | | | | | | | |
* | | Millcon Steel PCL Warrants 12/13/2024 | | | 1,670,212 | | | $ | 2,324 | |
| | | | | | | | | | |
TOTAL THAILAND | | | | | | | 10,410 | |
| | | | | | | | | | |
TOTAL RIGHTS/WARRANTS | | | | | | | 98,218 | |
| | | | | | | | | | |
TOTAL INVESTMENT SECURITIES
(Cost $ 9,279,218,045) | | | | | | | 10,047,240,619 | |
| | | | | | | | | | |
| | | | | | | | Value† | |
SECURITIES LENDING COLLATERAL — (1.2%) | | | | | | | | |
@ § | | The DFA Short Term Investment Fund | | | 10,694,234 | | | | 123,700,201 | |
| | | | | | | | | | |
TOTAL INVESTMENTS — (100.0%)
(Cost $ 9,402,920,240) | | | | | | $ | 10,170,940,820 | |
| | | | | | | | | | |
ADR American Depositary Receipt
GDR Global Depositary Receipt
| » | Securities that have been fair value factored. See Note B to Financial Statements. |
| * | Non-Income Producing Securities. |
| W | Rule 144A, Section 4(2), or other security that is restricted as to resale to institutional investors. This security has been deemed liquid based upon the Fund’s Liquidity Guidelines. The liquidity determination is unaudited. |
| †† | Security valued using significant unobservable inputs (Level 3). |
| # | Total or Partial Securities on Loan. |
| † | See Note B to Financial Statements. |
| @ | Security purchased with cash collateral received from Securities on Loan. |
As of October 31, 2023, Dimensional Emerging Markets Value Fund had entered into the following outstanding futures contracts:
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Long Position Contracts: | | | | | | | | | | | | | | | | | | | | |
E-Mini MSCI Emerging Markets Index | | | 650 | | | | 12/15/23 | | | $ | 31,896,217 | | | $ | 29,874,000 | | | $ | (2,022,217 | ) |
S&P 500® E-Mini Index | | | 204 | | | | 12/15/23 | | | | 44,484,376 | | | | 42,964,950 | | | | (1,519,426 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | | | | | $ | 76,380,593 | | | $ | 72,838,950 | | | $ | (3,541,643 | ) |
| | | | | | | | | | | | | | | | | | | | |
Summary of the Fund’s investments as of October 31, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Brazil | | $ | 440,372,660 | | | $ | 1,391,081 | | | | — | | | $ | 441,763,741 | |
Cayman Islands | | | — | | | | 41,872 | | | | — | | | | 41,872 | |
Chile | | | — | | | | 53,499,957 | | | | — | | | | 53,499,957 | |
China | | | 147,179,841 | | | | 2,459,541,479 | | | $ | 10,357,785 | | | | 2,617,079,105 | |
Colombia | | | 8,134,954 | | | | 2,085 | | | | — | | | | 8,137,039 | |
Czech Republic | | | — | | | | 11,383,173 | | | | — | | | | 11,383,173 | |
Greece | | | — | | | | 45,968,273 | | | | — | | | | 45,968,273 | |
Hong Kong | | | — | | | | 140,634 | | | | 1,898 | | | | 142,532 | |
Hungary | | | — | | | | 22,255,196 | | | | — | | | | 22,255,196 | |
India | | | 107,198,961 | | | | 1,708,224,505 | | | | 1,079,257 | | | | 1,816,502,723 | |
Indonesia | | | — | | | | 173,319,703 | | | | 435,966 | | | | 173,755,669 | |
Kuwait | | | 17,322,319 | | | | 3,902,073 | | | | — | | | | 21,224,392 | |
Malaysia | | | — | | | | 178,401,444 | | | | — | | | | 178,401,444 | |
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
| | | | | | | | | | | | | | | | |
| | | Investments in Securities (Market Value) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Mexico | | $ | 291,033,142 | | | $ | 6,191,165 | | | | — | | | $ | 297,224,307 | |
Philippines | | | — | | | | 87,185,615 | | | $ | 676,700 | | | | 87,862,315 | |
Poland | | | — | | | | 98,607,864 | | | | — | | | | 98,607,864 | |
Qatar | | | — | | | | 68,791,296 | | | | — | | | | 68,791,296 | |
Saudi Arabia | | | 615,684 | | | | 378,919,208 | | | | — | | | | 379,534,892 | |
South Africa | | | 16,997,651 | | | | 264,484,763 | | | | — | | | | 281,482,414 | |
South Korea | | | 168,705,665 | | | | 1,031,877,679 | | | | 1,425,219 | | | | 1,202,008,563 | |
Taiwan | | | 15,135,014 | | | | 1,672,942,363 | | | | 144,817 | | | | 1,688,222,194 | |
Thailand | | | 198,740,181 | | | | 11,603,856 | | | | — | | | | 210,344,037 | |
Turkey | | | — | | | | 105,867,189 | | | | — | | | | 105,867,189 | |
United Arab Emirates | | | — | | | | 136,645,888 | | | | — | | | | 136,645,888 | |
United Kingdom | | | 12,532,457 | | | | — | | | | — | | | | 12,532,457 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Brazil | | | 83,352,201 | | | | 67,581 | | | | — | | | | 83,419,782 | |
Colombia | | | 3,028,452 | | | | — | | | | — | | | | 3,028,452 | |
India | | | — | | | | 31,477 | | | | — | | | | 31,477 | |
Philippines | | | — | | | | 489,494 | | | | — | | | | 489,494 | |
Taiwan | | | — | | | | 894,664 | | | | — | | | | 894,664 | |
Rights/Warrants | | | | | | | | | | | | | | | | |
Brazil | | | — | | | | 20,733 | | | | — | | | | 20,733 | |
Kuwait | | | — | | | | 6,324 | | | | — | | | | 6,324 | |
Taiwan | | | — | | | | 60,751 | | | | — | | | | 60,751 | |
Thailand | | | — | | | | 10,410 | | | | — | | | | 10,410 | |
Securities Lending Collateral | | | — | | | | 123,700,201 | | | | — | | | | 123,700,201 | |
Futures Contracts** | | | (3,541,643 | ) | | | — | | | | — | | | | (3,541,643 | ) |
| | | | | | | | | | | | | | | | |
TOTAL | | $ | 1,506,807,539 | | | $ | 8,646,469,996 | | | $ | 14,121,642^ | | | $ | 10,167,399,177 | |
| | | | | | | | | | | | | | | | |
| ** | Valued at the unrealized appreciation/(depreciation) on the investment. |
| ^ | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets. |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, of Dimensional Emerging Markets Value Fund (the “Fund”) as of October 31, 2023, the related statement of operations for the year ended October 31, 2023, the statement of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2023 (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) as of October 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2023 and the financial highlights for each of the five years in the period ended October 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023 by correspondence with the custodian, brokers and transfer agent of the investee fund; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
|
/s/PricewaterhouseCoopers LLP |
Philadelphia, Pennsylvania |
December 21, 2023 |
We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.
(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 Co-Principal Executive Officers 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 Co-Principal Executive Officers 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 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. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
This item is not applicable to the Registrant, which is an open-end management investment company.
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.
Dimensional Emerging Markets Value Fund
| | |
| By: | | /s/ David P. Butler |
| | David P. Butler |
| | Co-Chief Executive Officer |
| |
| Date: | | January 5, 2024 |
| |
| By: | | /s/ Gerard K. O’Reilly |
| | Gerard K. O’Reilly |
| | Co-Chief Executive Officer and |
| | Chief Investment Officer |
| |
| Date: | | January 8, 2024 |
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 P. Butler |
| | David P. Butler |
| | Co-Principal Executive Officer |
| | Dimensional Emerging Markets Value Fund |
| |
| Date: | | January 5, 2024 |
| |
| By: | | /s/ Gerard K. O’Reilly |
| | Gerard K. O’Reilly |
| | Co-Principal Executive Officer |
| | Dimensional Emerging Markets Value Fund |
| |
| Date: | | January 8, 2024 |
| | |
| By: | | /s/ Jan Miller |
| | Jan Miller |
| | Principal Financial Officer |
| | Dimensional Emerging Markets Value Fund |
| |
| Date: | | January 5, 2024 |
