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 811-6067
---------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Address of principal executive offices). (Zip code).
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
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: November 1, 2010 - April 30, 2011
ITEM 1. REPORTS TO STOCKHOLDERS.
LOGO
SEMI-ANNUAL REPORT
----------------------------------
six months ended: April 30, 2011 (Unaudited)
DFA Investment Dimensions Group Inc.
Dimensional Investment Group Inc.
The DFA Investment Trust Company
Dimensional Emerging Markets Value Fund
LOGO
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2011
Dear Fellow Shareholder,
We recently celebrated Dimensional's thirtieth anniversary. The firm has
developed in ways we never could have predicted. Our success owes a lot to our
clients, especially those we've had a long relationship with. We are proud that
these relationships have been beneficial for our clients and for Dimensional.
Thirty years of growth has brought many changes. But some things haven't
changed, and these have been a key to our success. We have always acted in the
best interests of clients and strived to earn and maintain trust by doing what
we say we are going to do. We have always worked hard to demonstrate the
validity of our ideas. We never try to predict how much money our clients could
make, but we have always worked to deliver a good investment experience. We
continue to believe strongly in the principles of diversification and
discipline. We've been fortunate to find clients sharing that belief and
helping us grow into the firm we are now.
Sincerely,
LOGO
David G. Booth
Chairman and Co-Chief Executive Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes.............................. 1
DFA Investment Dimensions Group Inc.
Disclosure of Fund Expenses.......................................... 3
Disclosure of Portfolio Holdings..................................... 8
Schedules of Investments/Summary Schedules of Portfolio Holdings.....
Enhanced U.S. Large Company Portfolio............................ 11
U.S. Large Cap Value Portfolio................................... 15
U.S. Targeted Value Portfolio.................................... 16
U.S. Small Cap Value Portfolio................................... 19
U.S. Core Equity 1 Portfolio..................................... 22
U.S. Core Equity 2 Portfolio..................................... 25
U.S. Vector Equity Portfolio..................................... 28
U.S. Small Cap Portfolio......................................... 31
U.S. Micro Cap Portfolio......................................... 34
DFA Real Estate Securities Portfolio............................. 37
Large Cap International Portfolio................................ 39
International Core Equity Portfolio.............................. 43
International Small Company Portfolio............................ 48
Japanese Small Company Portfolio................................. 49
Asia Pacific Small Company Portfolio............................. 49
United Kingdom Small Company Portfolio........................... 50
Continental Small Company Portfolio.............................. 50
DFA International Real Estate Securities Portfolio............... 51
DFA Global Real Estate Securities Portfolio...................... 55
DFA International Small Cap Value Portfolio...................... 56
International Vector Equity Portfolio............................ 61
World ex U.S. Value Portfolio.................................... 66
Emerging Markets Portfolio....................................... 67
Emerging Markets Small Cap Portfolio............................. 67
Emerging Markets Value Portfolio................................. 68
Emerging Markets Core Equity Portfolio........................... 69
Statements of Assets and Liabilities................................. 74
Statements of Operations............................................. 81
Statements of Changes in Net Assets.................................. 88
Financial Highlights................................................. 97
Notes to Financial Statements........................................ 113
DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio
Disclosure of Fund Expenses.......................................... 140
Disclosure of Portfolio Holdings..................................... 141
Schedule of Investments..............................................
Statement of Assets and Liabilities.................................. 148
Statement of Operations.............................................. 149
Statement of Changes in Net Assets................................... 150
Financial Highlights................................................. 151
Notes to Financial Statements........................................ 152
i
Table of Contents
Continued
Page
----
Dimensional Investment Group Inc.
Disclosure of Fund Expenses...................................... 162
Disclosure of Portfolio Holdings................................. 164
Schedule of Investments/Summary Schedule of Portfolio Holdings...
DFA International Value Portfolio............................ 165
U.S. Large Company Portfolio................................. 166
Statements of Assets and Liabilities............................. 169
Statements of Operations......................................... 170
Statements of Changes in Net Assets.............................. 171
Financial Highlights............................................. 172
Notes to Financial Statements.................................... 174
The DFA Investment Trust Company
Disclosure of Fund Expenses...................................... 186
Disclosure of Portfolio Holdings................................. 188
Schedules of Investments/Summary Schedules of Portfolio Holdings.
The U.S. Large Cap Value Series.............................. 190
The DFA International Value Series........................... 193
The Japanese Small Company Series............................ 197
The Asia Pacific Small Company Series........................ 200
The United Kingdom Small Company Series...................... 203
The Continental Small Company Series......................... 206
The Canadian Small Company Series............................ 210
The Emerging Markets Series.................................. 213
The Emerging Markets Small Cap Series........................ 217
Statements of Assets and Liabilities............................. 221
Statements of Operations......................................... 223
Statements of Changes in Net Assets.............................. 225
Financial Highlights............................................. 228
Notes to Financial Statements.................................... 233
Dimensional Emerging Markets Value Fund
Disclosure of Fund Expenses...................................... 243
Disclosure of Portfolio Holdings................................. 244
Summary Schedule of Portfolio Holdings........................... 245
Statement of Assets and Liabilities.............................. 249
Statement of Operations.......................................... 250
Statements of Changes in Net Assets.............................. 251
Financial Highlights............................................. 252
Notes to Financial Statements.................................... 253
Voting Proxies on Fund Portfolio Securities 261
Board Approval of Investment Advisory Agreements 262
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
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
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
P.L.C. Public Limited Company
REIT Real Estate Investment Trust
SPDR Standard & Poor's Depository Receipts
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair
valued. See Note B to Financial
Statements.
** Calculated as a percentage of total
net assets. Percentages shown
parenthetically next to the category
headings have been calculated as a
percentage of total investments.
"Other Securities" are those
securities that are not among the top
50 holdings of the Fund or do not
represent more than 1.0% of the net
assets of the Fund. Some of the
individual securities within this
category may Include Total or Partial
Securities on Loan and/or Non-Income
Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Denominated in local currency or the
Euro, unless otherwise noted.
@ Security purchased with cash proceeds
from Securities on Loan.
(r) The adjustable rate shown is
effective as of April 30, 2011.
(y) The rate shown is the effective yield.
(g) Face Amount denominated in British
Pounds.
(c) Face Amount denominated in Canadian
Dollars.
(e) Face Amount denominated in Euro.
(u) Face Amount denominated in United
States Dollars.
^^ Security segregated as collateral for
the Open Futures Contracts.
@@ Security segregated as collateral for
Swap Agreements.
(S) Affiliated Fund.
## Par amount of collateral is a part of
a pooled collateral facility. Value
is indicative of the value allocated
to this Fund/Portfolio/Series as a
part of this facility.
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
Financial Highlights
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund(s).
(E) Because of commencement of operations and related preliminary
transaction costs, these ratios are not necessarily indicative of
future ratios.
All Statements, Schedules and Notes to Financial Statements
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
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, legal and audit services, which are deducted from a
fund's gross Income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets.This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
- --------- --------- ---------- --------
Enhanced U.S. Large Company Portfolio
Actual Fund Return....................
Institutional Class Shares........... $1,000.00 $1,163.95 0.27% $1.45
Hypothetical 5% Annual Return.........
Institutional Class Shares........... $1,000.00 $1,023.46 0.27% $1.35
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
- --------- --------- ---------- --------
U.S. Large Cap Value Portfolio**
Actual Fund Return...............
Institutional Class Shares...... $1,000.00 $1,219.97 0.28% $1.54
Hypothetical 5% Annual Return....
Institutional Class Shares...... $1,000.00 $1,023.41 0.28% $1.40
U.S. Targeted Value Portfolio
Actual Fund Return...............
Class R1 Shares................. $1,000.00 $1,247.72 0.48% $2.68
Class R2 Shares................. $1,000.00 $1,245.48 0.63% $3.51
Institutional Class Shares...... $1,000.00 $1,247.39 0.38% $2.12
Hypothetical 5% Annual Return....
Class R1 Shares................. $1,000.00 $1,022.41 0.48% $2.41
Class R2 Shares................. $1,000.00 $1,021.67 0.63% $3.16
Institutional Class Shares...... $1,000.00 $1,022.91 0.38% $1.91
U.S. Small Cap Value Portfolio
Actual Fund Return...............
Institutional Class Shares...... $1,000.00 $1,256.78 0.52% $2.91
Hypothetical 5% Annual Return....
Institutional Class Shares...... $1,000.00 $1,022.22 0.52% $2.61
U.S. Core Equity 1 Portfolio
Actual Fund Return...............
Institutional Class Shares...... $1,000.00 $1,196.52 0.19% $1.03
Hypothetical 5% Annual Return....
Institutional Class Shares...... $1,000.00 $1,023.85 0.19% $0.95
U.S. Core Equity 2 Portfolio
Actual Fund Return...............
Institutional Class Shares...... $1,000.00 $1,208.62 0.22% $1.20
Hypothetical 5% Annual Return....
Institutional Class Shares...... $1,000.00 $1,023.70 0.22% $1.10
U.S. Vector Equity Portfolio
Actual Fund Return...............
Institutional Class Shares...... $1,000.00 $1,229.14 0.33% $1.82
Hypothetical 5% Annual Return....
Institutional Class Shares...... $1,000.00 $1,023.16 0.33% $1.66
U.S. Small Cap Portfolio
Actual Fund Return...............
Institutional Class Shares...... $1,000.00 $1,252.58 0.38% $2.12
Hypothetical 5% Annual Return....
Institutional Class Shares...... $1,000.00 $1,022.91 0.38% $1.91
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
- --------- --------- ---------- --------
U.S. Micro Cap Portfolio
Actual Fund Return.......................
Institutional Class Shares.............. $1,000.00 $1,239.93 0.53% $2.94
Hypothetical 5% Annual Return............
Institutional Class Shares.............. $1,000.00 $1,022.17 0.53% $2.66
DFA Real Estate Securities Portfolio
Actual Fund Return.......................
Institutional Class Shares.............. $1,000.00 $1,156.94 0.33% $1.76
Hypothetical 5% Annual Return............
Institutional Class Shares.............. $1,000.00 $1,023.16 0.33% $1.66
Large Cap International Portfolio
Actual Fund Return.......................
Institutional Class Shares.............. $1,000.00 $1,134.15 0.29% $1.53
Hypothetical 5% Annual Return............
Institutional Class Shares.............. $1,000.00 $1,023.36 0.29% $1.45
International Core Equity Portfolio
Actual Fund Return.......................
Institutional Class Shares.............. $1,000.00 $1,155.09 0.39% $2.08
Hypothetical 5% Annual Return............
Institutional Class Shares.............. $1,000.00 $1,022.86 0.39% $1.96
International Small Company Portfolio***
Actual Fund Return.......................
Institutional Class Shares.............. $1,000.00 $1,176.36 0.55% $2.97
Hypothetical 5% Annual Return............
Institutional Class Shares.............. $1,000.00 $1,022.07 0.55% $2.76
Japanese Small Company Portfolio**
Actual Fund Return.......................
Institutional Class Shares.............. $1,000.00 $1,116.22 0.57% $2.99
Hypothetical 5% Annual Return............
Institutional Class Shares.............. $1,000.00 $1,021.97 0.57% $2.86
Asia Pacific Small Company Portfolio**
Actual Fund Return.......................
Institutional Class Shares.............. $1,000.00 $1,133.94 0.60% $3.17
Hypothetical 5% Annual Return............
Institutional Class Shares.............. $1,000.00 $1,021.82 0.60% $3.01
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
- --------- --------- ---------- --------
United Kingdom Small Company Portfolio**
Actual Fund Return.................................
Institutional Class Shares........................ $1,000.00 $1,167.63 0.59% $3.17
Hypothetical 5% Annual Return......................
Institutional Class Shares........................ $1,000.00 $1,021.87 0.59% $2.96
Continental Small Company Portfolio**
Actual Fund Return.................................
Institutional Class Shares........................ $1,000.00 $1,200.97 0.58% $3.17
Hypothetical 5% Annual Return......................
Institutional Class Shares........................ $1,000.00 $1,021.92 0.58% $2.91
DFA International Real Estate Securities Portfolio
Actual Fund Return.................................
Institutional Class Shares........................ $1,000.00 $1,135.92 0.42% $2.22
Hypothetical 5% Annual Return......................
Institutional Class Shares........................ $1,000.00 $1,022.71 0.42% $2.11
DFA Global Real Estate Securities Portfolio***
Actual Fund Return.................................
Institutional Class Shares........................ $1,000.00 $1,148.29 0.41% $2.18
Hypothetical 5% Annual Return......................
Institutional Class Shares........................ $1,000.00 $1,022.76 0.41% $2.06
DFA International Small Cap Value Portfolio
Actual Fund Return.................................
Institutional Class Shares........................ $1,000.00 $1,201.65 0.70% $3.82
Hypothetical 5% Annual Return......................
Institutional Class Shares........................ $1,000.00 $1,021.32 0.70% $3.51
International Vector Equity Portfolio
Actual Fund Return.................................
Institutional Class Shares........................ $1,000.00 $1,168.28 0.53% $2.85
Hypothetical 5% Annual Return......................
Institutional Class Shares........................ $1,000.00 $1,022.17 0.53% $2.66
World ex U.S. Value Portfolio***
Actual Fund Return.................................
Institutional Class Shares........................ $1,000.00 $1,136.48 0.60% $3.18
Hypothetical 5% Annual Return......................
Institutional Class Shares........................ $1,000.00 $1,021.82 0.60% $3.01
Emerging Markets Portfolio**
Actual Fund Return.................................
Institutional Class Shares........................ $1,000.00 $1,115.34 0.60% $3.15
Hypothetical 5% Annual Return......................
Institutional Class Shares........................ $1,000.00 $1,021.82 0.60% $3.01
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
- --------- --------- ---------- --------
Emerging Markets Small Cap Portfolio**
Actual Fund Return.....................
Institutional Class Shares............ $1,000.00 $1,062.08 0.76% $3.89
Hypothetical 5% Annual Return..........
Institutional Class Shares............ $1,000.00 $1,021.03 0.76% $3.81
Emerging Markets Value Portfolio**
Actual Fund Return.....................
Class R2 Shares....................... $1,000.00 $1,089.27 0.85% $4.40
Institutional Class Shares............ $1,000.00 $1,093.01 0.59% $3.06
Hypothetical 5% Annual Return..........
Class R2 Shares....................... $1,000.00 $1,020.58 0.85% $4.26
Institutional Class Shares............ $1,000.00 $1,021.87 0.59% $2.96
Emerging Markets Core Equity Portfolio
Actual Fund Return.....................
Institutional Class Shares............ $1,000.00 $1,092.35 0.65% $3.37
Hypothetical 5% Annual Return..........
Institutional Class Shares............ $1,000.00 $1,021.57 0.65% $3.26
--------
* 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 (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
** The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
***The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Master Funds (Affiliated Investment
Companies).
7
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 31, 2011. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Schedule of
Investments/Summary Schedule of Portfolio Holdings for each of the underlying
Master Funds' holdings which reflect the investments by category or country.
FEEDER FUNDS
Affiliated Investment Companies
- -------------------------------
U.S. Large Cap Value Portfolio.............. 100.0%
Japanese Small Company Portfolio............ 100.0%
Asia Pacific Small Company Portfolio........ 100.0%
United Kingdom Small Company Portfolio...... 100.0%
Continental Small Company Portfolio......... 100.0%
Emerging Markets Portfolio.................. 100.0%
Emerging Markets Small Cap Portfolio........ 100.0%
Emerging Markets Value Portfolio............ 100.0%
FUND OF FUNDS
International Small Company Portfolio....... 100.0%
DFA Global Real Estate Securities Portfolio. 100.0%
World ex U.S. Value Portfolio............... 100.0%
8
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
FIXED INCOME PORTFOLIO
Enhanced U.S. Large Company Portfolio
Corporate................ 24.6%
Government............... 15.9%
Foreign Corporate........ 18.5%
Foreign Government....... 33.6%
Supranational............ 7.4%
------
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Targeted Value Portfolio
Consumer Discretionary........ 15.7%
Consumer Staples.............. 3.9%
Energy........................ 11.8%
Financials.................... 22.3%
Health Care................... 7.2%
Industrials................... 15.8%
Information Technology........ 13.9%
Materials..................... 7.7%
Other......................... --
Real Estate Investment Trusts. --
Telecommunication Services.... 1.3%
Utilities..................... 0.4%
------
100.0%
U.S. Small Cap Value Portfolio
Consumer Discretionary........ 17.2%
Consumer Staples.............. 3.0%
Energy........................ 10.7%
Financials.................... 20.4%
Health Care................... 6.5%
Industrials................... 18.9%
Information Technology........ 14.9%
Materials..................... 7.8%
Other......................... --
Real Estate Investment Trusts. --
Telecommunication Services.... 0.4%
Utilities..................... 0.2%
------
100.0%
U.S. Core Equity 1 Portfolio
Consumer Discretionary..... 13.3%
Consumer Staples........... 7.6%
Energy..................... 11.2%
Financials................. 16.0%
Health Care................ 10.8%
Industrials................ 13.3%
Information Technology..... 16.5%
Materials.................. 5.4%
Other...................... --
Telecommunication Services. 2.5%
Utilities.................. 3.4%
------
100.0%
U.S. Core Equity 2 Portfolio
Consumer Discretionary........ 14.1%
Consumer Staples.............. 6.3%
Energy........................ 12.1%
Financials.................... 18.3%
Health Care................... 10.2%
Industrials................... 14.1%
Information Technology........ 14.0%
Materials..................... 5.5%
Other......................... --
Real Estate Investment Trusts. --
Telecommunication Services.... 3.0%
Utilities..................... 2.4%
------
100.0%
U.S. Micro Cap Portfolio
Consumer Discretionary........ 15.3%
Consumer Staples.............. 4.4%
Energy........................ 5.1%
Financials.................... 13.5%
Health Care................... 12.6%
Industrials................... 18.5%
Information Technology........ 22.6%
Materials..................... 5.1%
Other......................... --
Telecommunication Services.... 1.4%
Utilities..................... 1.5%
------
100.0%
U.S. Vector Equity Portfolio
Consumer Discretionary........ 15.0%
Consumer Staples.............. 5.1%
Energy........................ 11.2%
Financials.................... 23.5%
Health Care................... 8.4%
Industrials................... 14.1%
Information Technology........ 12.9%
Materials..................... 5.9%
Other......................... --
Telecommunication Services.... 2.5%
Utilities..................... 1.4%
------
100.0%
DFA Real Estate Securities Portfolio
Real Estate Investment Trusts. 100.0%
------
100.0%
U.S. Small Cap Portfolio
Consumer Discretionary........ 16.5%
Consumer Staples.............. 3.6%
Energy........................ 6.7%
Financials.................... 13.2%
Health Care................... 10.6%
Industrials................... 18.3%
Information Technology........ 21.4%
Materials..................... 6.0%
Other......................... --
Telecommunication Services.... 1.0%
Utilities..................... 2.7%
------
100.0%
Large Cap International Portfolio
Consumer Discretionary........ 9.6%
Consumer Staples.............. 9.1%
Energy........................ 10.2%
Financials.................... 23.4%
Health Care................... 7.6%
Industrials................... 12.5%
Information Technology........ 4.8%
Materials..................... 13.0%
Other......................... 0.1%
Real Estate Investment Trusts. --
Telecommunication Services.... 5.3%
Utilities..................... 4.4%
------
100.0%
9
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
International Core Equity Portfolio
Consumer Discretionary...... 13.0%
Consumer Staples............ 6.4%
Energy...................... 9.8%
Financials.................. 24.3%
Health Care................. 4.4%
Industrials................. 16.6%
Information Technology...... 5.7%
Materials................... 13.8%
Other....................... --
Real Estate Investment
Trusts..................... --
Telecommunication Services.. 3.0%
Utilities................... 3.0%
------
100.0%
DFA International Real Estate Securities
Portfolio
Financials................... 0.2%
Other........................ 0.1%
Real Estate Investment
Trusts...................... 99.7%
------
100.0%
DFA International Small Cap Value Portfolio
Consumer Discretionary............ 19.8%
Consumer Staples.................. 5.0%
Energy............................ 6.9%
Financials........................ 17.2%
Health Care....................... 1.8%
Industrials....................... 23.7%
Information Technology............ 5.1%
Materials......................... 19.6%
Other............................. --
Real Estate Investment Trusts..... 0.1%
Telecommunication Services........ 0.4%
Utilities......................... 0.4%
------
100.0%
International Vector Equity Portfolio
Consumer Discretionary....... 14.8%
Consumer Staples............. 5.3%
Energy....................... 8.5%
Financials................... 22.8%
Health Care.................. 4.0%
Industrials.................. 18.7%
Information Technology....... 6.4%
Materials.................... 15.5%
Other........................ --
Real Estate Investment
Trusts...................... --
Telecommunication Services... 2.2%
Utilities.................... 1.8%
------
100.0%
Emerging Markets Core Equity Portfolio
Consumer Discretionary........ 9.9%
Consumer Staples.............. 7.2%
Energy........................ 11.5%
Financials.................... 23.0%
Health Care................... 1.8%
Industrials................... 10.8%
Information Technology........ 10.7%
Materials..................... 16.3%
Other......................... --
Real Estate Investment
Trusts....................... 0.1%
Telecommunication Services.... 5.1%
Utilities..................... 3.6%
------
100.0%
10
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Face
Amount^ Value+
------- -----
(000)
BONDS -- (74.5%)
AUSTRALIA -- (0.4%)
BHP Billiton Finance USA, Ltd.
(u)4.800%, 04/15/13 600 $ 643,855
-----------
AUSTRIA -- (4.3%)
Asfinag
(u)2.000%, 10/22/12 3,650 3,728,431
Oesterreichische Volksbanken AG
(e)3.000%, 02/09/12 1,600 2,388,063
Oesterreichische Kontrollbank AG
(u)4.750%, 10/16/12 1,500 1,591,466
-----------
TOTAL AUSTRIA......................... 7,707,960
-----------
CANADA -- (16.5%)
Alberta Capital Finance Authority
5.850%, 06/01/12 2,000 2,211,742
Bank of Nova Scotia
(u)2.250%, 01/22/13 4,300 4,405,844
British Columbia, Province of Canada
5.500%, 04/24/13 4,000 4,504,571
Canada Mortgage & Housing Corp.
5.500%, 06/01/12 3,700 4,077,567
Canadian Government Bond
1.750%, 03/01/13 3,800 4,019,690
Canadian National Railway Co.
(u)4.400%, 03/15/13 600 637,882
Canadian Natural Resources, Ltd.
(u)5.150%, 02/01/13 600 640,684
Ontario, Province of Canada
5.500%, 04/17/13 4,000 4,483,336
Toronto-Dominion Bank (The)
4.854%, 02/13/13 4,000 4,418,919
-----------
TOTAL CANADA.......................... 29,400,235
-----------
DENMARK -- (3.9%)
Denmark Government International Bond
(u)1.875%, 03/16/12 3,000 3,040,350
FIH Erhvervsbank A.S.
(u)2.450%, 08/17/12 3,800 3,886,796
-----------
TOTAL DENMARK......................... 6,927,146
-----------
Face
Amount^ Value+
------- -----
(000)
FINLAND -- (0.3%)
Nordea Bank Finland P.L.C. Floating
Rate Note
(r)(u)0.791%, 02/07/13.............. 500 $ 501,225
-----------
FRANCE -- (7.1%)
Agence Francaise de Developpement
(u)2.250%, 05/22/12 2,500 2,538,745
Caisse d'Amortissement de la Dette
Sociale
(u)2.250%, 07/06/12 3,500 3,564,981
(u)5.375%, 07/17/12 500 529,309
Societe Financement del'Economie
Francaise
(u)2.250%, 06/11/12 1,500 1,529,319
Total Capital SA
(g)5.500%, 01/29/13 2,500 4,439,729
-----------
TOTAL FRANCE........................ 12,602,083
-----------
GERMANY -- (5.3%)
Deutsche Bank AG
(u)2.375%, 01/11/13 600 612,533
IKB Deutsche Industriebank AG
2.875%, 01/27/12 1,500 2,240,782
Kreditanstalt fuer Wiederaufbau
(u)2.250%, 04/16/12 2,500 2,545,778
Landeskreditbank Baden-Wuerttemberg
Foerderbank
(u)2.000%, 10/01/12 4,000 4,076,252
-----------
TOTAL GERMANY....................... 9,475,345
-----------
JAPAN -- (3.7%)
Development Bank of Japan
(e)5.625%, 08/02/11 1,500 2,241,711
Japan Finance Corp.
(u)2.000%, 06/24/11 1,000 1,002,084
(u)1.500%, 07/06/12 2,000 2,009,442
(u)2.125%, 11/05/12 1,300 1,324,916
-----------
TOTAL JAPAN......................... 6,578,153
-----------
NETHERLANDS -- (3.2%)
Bank Nederlandse Gemeenten
(g)5.750%, 03/07/12 521 902,767
(u)1.875%, 03/01/13 3,000 3,064,470
11
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- -----------
(000)
NETHERLANDS -- (Continued)
Rabobank Nederland
(u)3.000%, 09/18/12 1,700 $ 1,747,071
-----------
TOTAL NETHERLANDS.................... 5,714,308
-----------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (6.8%)
African Development Bank
(c)4.850%, 07/24/12 4,000 4,390,213
Eurofima
(u)5.125%, 08/02/12 1,000 1,055,006
(c)4.875%, 12/04/12 2,500 2,750,190
European Investment Bank
(u)3.250%, 10/14/11 800 810,726
(u)4.625%, 03/21/12 3,100 3,217,667
-----------
TOTAL SUPRANATIONAL
ORGANIZATION OBLIGATIONS 12,223,802
-----------
SWEDEN -- (1.5%)
Kommuninvest I Sverige AB
(u) 5.375%, 07/03/12 2,600 2,746,325
-----------
UNITED KINGDOM -- (2.4%)
Barclays Bank P.L.C.
(u)5.450%, 09/12/12 4,000 4,239,548
-----------
UNITED STATES -- (19.1%)
American Express Bank FSB
5.550%, 10/17/12 $ 600 636,443
Anheuser-Busch Cos., Inc.
4.375%, 01/15/13 700 737,988
AT&T, Inc.
4.950%, 01/15/13 600 639,010
Avery Dennison Corp.
4.875%, 01/15/13 600 631,136
Bank of New York Mellon Corp. (The)
4.500%, 04/01/13 3,000 3,204,939
BlackRock, Inc.
2.250%, 12/10/12 600 613,124
Caterpillar Financial Services Corp.
2.000%, 04/05/13 250 255,473
CenterPoint Energy Resources Corp.
7.875%, 04/01/13 600 670,798
Face
Amount Value+
- ------ ----------
(000)
UNITED STATES -- (Continued)
Citigroup, Inc.
5.300%, 10/17/12 $1,400 $1,478,494
Comcast Cable Communications Holdings,
Inc.
8.375%, 03/15/13 600 676,558
Computer Sciences Corp.
5.000%, 02/15/13 600 634,669
Dominion Resources, Inc.
5.000%, 03/15/13 600 642,203
Dow Chemical Co. (The)
6.000%, 10/01/12 385 410,740
Enterprise Products Operating LLC
6.375%, 02/01/13 664 717,921
General Electric Capital Corp.
6.000%, 06/15/12 800 845,952
2.800%, 01/08/13 2,000 2,053,090
General Electric Co.
5.000%, 02/01/13 1,500 1,601,370
Goldman Sachs Group, Inc.(The)
5.450%, 11/01/12 1,360 1,444,879
Hewlett-Packard Co.
4.500%, 03/01/13 600 639,841
Historic TW, Inc.
9.125%, 01/15/13 600 675,243
HSBC Finance Corp.
6.375%, 11/27/12 600 645,965
John Deere Capital Corp.
4.500%, 04/03/13 700 746,941
JPMorgan Chase & Co.
5.375%, 10/01/12 800 848,847
Kroger Co. (The)
5.500%, 02/01/13 600 642,325
Merrill Lynch & Co., Inc.
5.450%, 02/05/13 1,400 1,490,093
Morgan Stanley
5.300%, 03/01/13 1,400 1,493,828
Nisource Finance Corp.
6.150%, 03/01/13 600 650,121
Pitney Bowes, Inc.
4.625%, 10/01/12 600 628,284
Prudential Financial, Inc.
5.150%, 01/15/13 600 635,201
SunTrust Banks, Inc.
5.250%, 11/05/12 500 526,433
TD Ameritrade Holding Corp.
2.950%, 12/01/12 700 715,869
12
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face
Amount Value+
------ -----
(000)
UNITED STATES -- (Continued)
UnitedHealth Group, Inc.
5.500%, 11/15/12 $ 250 $ 267,442
Verizon Communications, Inc.
4.350%, 02/15/13 600 634,029
Wal-Mart Stores, Inc.
4.250%, 04/15/13 4,095 4,363,874
Wells Fargo Bank & Co.
4.375%, 01/31/13 500 527,862
------------
TOTAL UNITED STATES.............. 34,026,985
------------
TOTAL BONDS...................... 132,786,970
------------
AGENCY OBLIGATIONS -- (11.8%)
Federal Home Loan Bank
1.500%, 01/16/13 2,000 2,030,678
Federal Home Loan Mortgage
Corporation
0.375%, 11/30/12 2,000 1,995,108
1.625%, 04/15/13 3,000 3,056,226
Federal Home Loan Mortgage
Corporation Discount Notes
(y)^^ 0.061%, 06/06/11........... 4,000 3,999,924
(y)^^ 0.045%, 06/07/11........... 10,000 9,999,800
------------
TOTAL AGENCY OBLIGATIONS......... 21,081,736
------------
COMMERCIAL PAPER -- (7.0%)
Caisse Cent Desjardins Du Quebec
0.250%, 05/02/11 3,000 2,999,979
Eksportfinans ASA
0.120%, 05/19/11 3,500 3,499,790
KFW International Finance, Inc.
0.200%, 06/24/11 2,000 1,999,560
Nestle Capital Corp.
0.170%, 06/30/11 4,000 3,999,036
------------
TOTAL COMMERCIAL PAPER........... 12,498,365
------------
Shares Value+
- ------ -----
EXCHANGE-TRADED FUND -- (3.4%)
UNITED STATES -- (3.4%)
SPDR Trust Series I................. 44,100 $6,021,414
------------
TEMPORARY CASH INVESTMENTS -- (3.3%)
BlackRock Liquidity Funds Tempcash
Portfolio - Institutional Shares... 5,938,000 5,938,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $173,885,278) $178,326,485
============
13
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
- ----------------------------------------------
Investment in Securities (Market Value)
- ----------------------------------------------
Level 1 Level 2 Level 3 Total
- ----------- ------------ ------- ------------
Bonds........................ -- $132,786,970 -- $132,786,970
Agency Obligations........... -- 21,081,736 -- 21,081,736
Commercial Paper............. -- 12,498,365 -- 12,498,365
Exchange-Traded Fund......... $ 6,021,414 -- -- 6,021,414
Temporary Cash Investments... 5,938,000 -- -- 5,938,000
Forward Currency Contracts**. -- (1,359,373) -- (1,359,373)
Futures Contracts**.......... 5,421,825 -- -- 5,421,825
----------- ------------ -- ------------
TOTAL........................ $17,381,239 $165,007,698 -- $182,388,937
=========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
14
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
- -----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company $8,133,769,482
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,528,588,546)............................. $8,133,769,482
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
15
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (89.4%)...............
Consumer Discretionary -- (14.0%)......
#Dillard's, Inc. Class A............. 240,649 $ 11,555,965 0.4%
Foot Locker, Inc..................... 476,481 10,253,871 0.3%
#*GameStop Corp. Class A.............. 397,119 10,198,016 0.3%
*Liberty Media Corp. Capital Class A. 139,435 11,471,317 0.4%
*Mohawk Industries, Inc.............. 210,899 12,662,376 0.4%
*Toll Brothers, Inc.................. 509,058 10,695,309 0.4%
Other Securities..................... 408,675,956 13.5%
------------ -----
Total Consumer Discretionary........... 475,512,810 15.7%
------------ -----
Consumer Staples -- (3.5%).............
*Constellation Brands, Inc. Class A.. 572,827 12,825,597 0.4%
*Ralcorp Holdings, Inc............... 166,665 12,966,537 0.4%
*Smithfield Foods, Inc............... 512,700 12,079,212 0.4%
Other Securities..................... 79,880,399 2.7%
------------ -----
Total Consumer Staples................. 117,751,745 3.9%
------------ -----
Energy -- (10.6%)......................
*Complete Production Services, Inc... 293,989 9,977,987 0.3%
Patterson-UTI Energy, Inc............ 424,189 13,196,520 0.4%
Pioneer Natural Resources Co......... 129,564 13,245,328 0.4%
*Plains Exploration & Production Co.. 372,012 14,151,336 0.5%
*Rowan Cos., Inc..................... 419,159 17,478,930 0.6%
Sunoco, Inc.......................... 321,586 13,718,859 0.5%
*Tesoro Petroleum Corp............... 480,279 13,025,166 0.4%
#Tidewater, Inc...................... 169,501 10,087,005 0.3%
Other Securities..................... 253,287,715 8.4%
------------ -----
Total Energy........................... 358,168,846 11.8%
------------ -----
Financials -- (19.9%)..................
*American Capital, Ltd............... 1,070,676 10,995,843 0.4%
American Financial Group, Inc........ 350,630 12,542,035 0.4%
Assurant, Inc........................ 305,492 12,128,032 0.4%
Axis Capital Holdings, Ltd........... 403,451 14,266,027 0.5%
*E*Trade Financial Corp.............. 671,527 10,905,598 0.3%
*NASDAQ OMX Group, Inc. (The)........ 540,725 14,653,648 0.5%
*Popular, Inc........................ 3,226,677 10,164,033 0.3%
Reinsurance Group of America, Inc.... 236,355 14,961,272 0.5%
Transatlantic Holdings, Inc.......... 204,165 10,063,293 0.3%
Validus Holdings, Ltd................ 344,953 11,224,771 0.4%
#Zions Bancorporation................ 446,096 10,907,047 0.4%
Other Securities..................... 540,075,306 17.8%
------------ -----
Total Financials....................... 672,886,905 22.2%
------------ -----
Health Care -- (6.4%)..................
*Coventry Health Care, Inc........... 467,075 15,072,510 0.5%
*HealthSpring, Inc................... 272,795 11,318,265 0.4%
*Hologic, Inc........................ 462,432 10,182,753 0.3%
#Omnicare, Inc....................... 365,815 11,493,907 0.4%
Other Securities..................... 168,380,384 5.5%
------------ -----
Total Health Care...................... 216,447,819 7.1%
------------ -----
Industrials -- (14.1%).................
#*Avis Budget Group, Inc.............. 578,582 10,969,915 0.4%
#*General Cable Corp.................. 211,820 10,273,270 0.3%
*Owens Corning, Inc.................. 350,045 13,245,703 0.4%
#Trinity Industries, Inc............. 284,198 10,287,968 0.4%
16
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
Industrials -- (Continued).....................................................
Other Securities............................................................. $ 432,674,078 14.3%
-------------- ----
Total Industrials.............................................................. 477,450,934 15.8%
-------------- ----
Information Technology -- (12.4%)..............................................
*Arrow Electronics, Inc...................................................... 350,552 15,981,666 0.5%
*Fairchild Semiconductor International, Inc.................................. 551,477 11,564,473 0.4%
*IAC/InterActiveCorp......................................................... 329,849 11,910,847 0.4%
*Ingram Micro, Inc. Class A.................................................. 529,613 9,919,651 0.3%
*International Rectifier Corp................................................ 300,671 10,391,190 0.3%
*Tech Data Corp.............................................................. 261,278 13,881,700 0.5%
Other Securities............................................................. 346,083,082 11.4%
-------------- ----
Total Information Technology................................................... 419,732,609 13.8%
-------------- ----
Materials -- (6.9%)............................................................
Ashland, Inc................................................................. 213,705 13,266,806 0.4%
*Century Aluminum Co......................................................... 556,132 11,111,517 0.4%
*Coeur d'Alene Mines Corp.................................................... 329,341 10,443,403 0.3%
Domtar Corp.................................................................. 117,487 10,928,641 0.4%
MeadWestavco Corp............................................................ 402,152 13,548,501 0.4%
Reliance Steel & Aluminum Co................................................. 209,025 11,832,905 0.4%
Westlake Chemical Corp....................................................... 164,151 10,776,513 0.4%
Other Securities............................................................. 150,593,899 5.0%
-------------- ----
Total Materials................................................................ 232,502,185 7.7%
-------------- ----
Other -- (0.0%)................................................................
Other Securities............................................................. -- 0.0%
-------------- ----
Real Estate Investment Trusts -- (0.0%)........................................
Other Securities............................................................. 471 0.0%
-------------- ----
Telecommunication Services -- (1.2%)...........................................
*MetroPCS Communications, Inc................................................ 720,666 12,128,809 0.4%
Other Securities............................................................. 27,603,649 0.9%
-------------- ----
Total Telecommunication Services............................................... 39,732,458 1.3%
-------------- ----
Utilities -- (0.4%)............................................................
Other Securities............................................................. 13,172,530 0.4%
-------------- ----
TOTAL COMMON STOCKS............................................................ 3,023,359,312 99.7%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)......................................................
Other Securities............................................................. 66,032 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.2%)...........................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares.......... 6,507,055 6,507,055 0.2%
-------------- ----
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (10.4%).......................................
(S)@DFA Short Term Investment Fund............................................. 352,488,661 352,488,661 11.6%
@Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by
$1,040,164 FNMA 3.500%, 02/01/26, valuedat $1,045,840) to be repurchased at
$1,015,383.................................................................... $ 1,015 1,015,378 0.1%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL............................................ 353,504,039 11.7%
-------------- ----
17
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Value+ of Net Assets**
----- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,715,506,595) $3,383,436,438 111.6%
============== ======
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary........ $ 475,512,810 -- -- $ 475,512,810
Consumer Staples.............. 117,663,397 $ 88,348 -- 117,751,745
Energy........................ 358,168,846 -- -- 358,168,846
Financials.................... 672,886,905 -- -- 672,886,905
Health Care................... 216,447,819 -- -- 216,447,819
Industrials................... 477,272,288 178,646 -- 477,450,934
Information Technology........ 419,732,609 -- -- 419,732,609
Materials..................... 232,502,185 -- -- 232,502,185
Other......................... -- -- -- --
Real Estate Investment Trusts. 471 -- -- 471
Telecommunication Services.... 39,732,458 -- -- 39,732,458
Utilities..................... 13,172,530 -- -- 13,172,530
Rights/Warrants................. 35,727 30,305 -- 66,032
Temporary Cash Investments...... 6,507,055 -- -- 6,507,055
Securities Lending Collateral... -- 353,504,039 -- 353,504,039
-------------- ------------ -- --------------
TOTAL........................... $3,029,635,100 $353,801,338 -- $3,383,436,438
============== ============ == ==============
See accompanying Notes to Financial Statements.
18
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (83.3%)
Consumer Discretionary -- (14.3%)
#American Greetings Corp. Class A 1,790,470 $ 44,045,562 0.6%
#*Cabela's, Inc. 1,608,803 41,088,829 0.5%
#Dillard's, Inc. Class A 1,637,833 78,648,741 1.0%
#*Gaylord Entertainment Co. 1,237,351 44,383,780 0.6%
#*Iconix Brand Group, Inc. 1,499,001 36,710,534 0.5%
#*Penske Automotive Group, Inc. 1,718,788 38,638,354 0.5%
#Rent-A-Center, Inc. 1,421,975 43,299,139 0.5%
#*Saks, Inc. 3,558,394 42,558,392 0.5%
#Scholastic Corp. 1,528,917 40,179,939 0.5%
Other Securities 959,095,362 12.0%
-------------- -----
Total Consumer Discretionary 1,368,648,632 17.2%
-------------- -----
Consumer Staples -- (2.5%)
*Hain Celestial Group, Inc. 1,311,686 44,610,441 0.6%
Other Securities 191,147,125 2.4%
-------------- -----
Total Consumer Staples 235,757,566 3.0%
-------------- -----
Energy -- (8.9%)
*Bristow Group, Inc. 994,046 46,123,734 0.6%
*Complete Production Services, Inc. 1,711,791 58,098,187 0.7%
#*Exterran Holdings, Inc. 1,702,183 36,954,393 0.5%
#Frontier Oil Corp. 1,949,845 54,478,669 0.7%
*Helix Energy Solutions Group, Inc. 2,847,335 53,900,052 0.7%
#SEACOR Holdings, Inc. 362,962 35,871,534 0.4%
Other Securities 569,182,547 7.1%
-------------- -----
Total Energy 854,609,116 10.7%
-------------- -----
Financials -- (17.0%)
*American Capital, Ltd. 5,107,942 52,458,564 0.7%
*CNO Financial Group, Inc. 6,898,490 55,601,829 0.7%
#Delphi Financial Group, Inc. Class A 1,255,156 40,102,234 0.5%
#First Niagara Financial Group, Inc. 3,515,047 50,616,677 0.6%
#*MBIA, Inc. 3,747,338 38,672,528 0.5%
#*PHH Corp. 1,742,188 37,387,354 0.5%
#Provident Financial Services, Inc. 2,445,306 35,505,843 0.4%
Unitrin, Inc. 1,286,803 38,912,923 0.5%
#Webster Financial Corp. 1,739,823 37,440,991 0.5%
Other Securities 1,242,110,408 15.6%
-------------- -----
Total Financials 1,628,809,351 20.5%
-------------- -----
Health Care -- (5.5%)
Cooper Cos., Inc. 613,518 45,952,498 0.6%
#*HealthSpring, Inc. 953,190 39,547,853 0.5%
#*Kindred Healthcare, Inc. 1,507,380 38,016,124 0.5%
#*LifePoint Hospitals, Inc. 1,678,385 69,837,600 0.9%
#Universal American Corp. 1,561,190 36,063,489 0.4%
*Viropharma, Inc. 1,994,826 38,480,194 0.5%
Other Securities 254,130,969 3.2%
-------------- -----
Total Health Care 522,028,727 6.6%
-------------- -----
Industrials -- (15.8%)
#Alexander & Baldwin, Inc. 1,143,809 60,278,734 0.8%
*Amerco, Inc. 347,357 35,333,154 0.4%
#*Avis Budget Group, Inc. 2,820,428 53,475,315 0.7%
*Esterline Technologies Corp. 1,023,870 73,513,866 0.9%
#GATX Corp. 1,412,629 59,711,828 0.8%
19
U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
Industrials -- (Continued)..................................................
#*General Cable Corp....................................................... 824,297 $ 39,978,404 0.5%
Seaboard Corp............................................................. 18,889 45,088,043 0.6%
#Trinity Industries, Inc.................................................. 1,795,262 64,988,484 0.8%
Other Securities.......................................................... 1,078,663,576 13.5%
-------------- ------
Total Industrials........................................................... 1,511,031,404 19.0%
-------------- ------
Information Technology -- (12.4%)...........................................
*Benchmark Electronics, Inc............................................... 2,751,881 46,506,789 0.6%
*Coherent, Inc............................................................ 834,432 52,160,344 0.7%
*Convergys Corp........................................................... 2,652,794 38,465,513 0.5%
*Fairchild Semiconductor International, Inc............................... 3,188,035 66,853,094 0.8%
MKS Instruments, Inc...................................................... 1,789,749 50,793,077 0.6%
#*Skyworks Solutions, Inc.................................................. 1,385,062 43,574,051 0.5%
#*Vishay Intertechnology, Inc.............................................. 3,162,160 60,334,013 0.8%
Other Securities.......................................................... 831,777,509 10.4%
-------------- ------
Total Information Technology................................................ 1,190,464,390 14.9%
-------------- ------
Materials -- (6.5%).........................................................
*Century Aluminum Co...................................................... 2,488,528 49,720,789 0.6%
*Coeur d'Alene Mines Corp................................................. 1,879,971 59,613,880 0.8%
#*Louisiana-Pacific Corp................................................... 3,774,683 35,104,552 0.4%
#Westlake Chemical Corp................................................... 1,654,024 108,586,676 1.4%
Other Securities.......................................................... 370,192,401 4.6%
-------------- ------
Total Materials............................................................. 623,218,298 7.8%
-------------- ------
Other -- (0.0%).............................................................
Other Securities.......................................................... 6,633 0.0%
-------------- ------
Real Estate Investment Trusts -- (0.0%).....................................
Other Securities.......................................................... 2,061 0.0%
-------------- ------
Telecommunication Services -- (0.3%)........................................
Other Securities.......................................................... 27,672,839 0.3%
-------------- ------
Utilities -- (0.1%).........................................................
Other Securities.......................................................... 11,993,925 0.1%
-------------- ------
TOTAL COMMON STOCKS......................................................... 7,974,242,942 100.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)...................................................
Other Securities.......................................................... 1,007,772 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.1%)........................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares....... 10,913,076 10,913,076 0.1%
-------------- ------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (16.6%)....................................
(S)@DFA Short Term Investment Fund.......................................... 1,584,011,499 1,584,011,499 19.9%
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11..................
(Collateralized by $4,674,280 FNMA 3.500%, 02/01/26, valuedat $4,699,788).
to be repurchased at $4,562,923........................................... $4,563 4,562,900 0.1%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL......................................... 1,588,574,399 20.0%
-------------- ------
20
U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
CONTINUED
Percentage
Value+ of Net Assets**
----- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,993,881,748) $9,574,738,189 120.2%
============== ======
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks...................
Consumer Discretionary........ $1,368,648,632 -- -- $1,368,648,632
Consumer Staples.............. 235,721,090 $ 36,476 -- 235,757,566
Energy........................ 854,609,116 -- -- 854,609,116
Financials.................... 1,628,747,827 61,524 -- 1,628,809,351
Health Care................... 521,272,940 755,787 -- 522,028,727
Industrials................... 1,510,690,564 340,840 -- 1,511,031,404
Information Technology........ 1,190,464,390 -- -- 1,190,464,390
Materials..................... 623,218,298 -- -- 623,218,298
Other......................... -- 6,633 -- 6,633
Real Estate Investment Trusts. 2,061 -- -- 2,061
Telecommunication Services.... 27,672,839 -- -- 27,672,839
Utilities..................... 11,993,925 -- -- 11,993,925
Rights/Warrants................. 95,033 912,739 -- 1,007,772
Temporary Cash Investments...... 10,913,076 -- -- 10,913,076
Securities Lending Collateral... -- 1,588,574,399 -- 1,588,574,399
-------------- -------------- -- --------------
TOTAL........................... $7,984,049,791 $1,590,688,398 -- $9,574,738,189
============== ============== == ==============
See accompanying Notes to Financial Statements.
21
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (92.2%)
Consumer Discretionary -- (12.3%)
*Amazon.com, Inc.................. 55,780 $ 10,960,770 0.3%
Comcast Corp. Class A............. 444,809 11,671,788 0.3%
*DIRECTV Class A.................. 220,510 10,714,581 0.3%
Home Depot, Inc................... 244,063 9,064,500 0.2%
McDonald's Corp................... 140,351 10,990,887 0.3%
Time Warner, Inc.................. 237,277 8,983,307 0.2%
Walt Disney Co. (The)............. 390,582 16,834,084 0.5%
Other Securities.................. 424,273,044 11.2%
------------ -----
Total Consumer Discretionary........ 503,492,961 13.3%
------------ -----
Consumer Staples -- (7.0%)..........
Coca-Cola Co. (The)............... 299,214 20,184,976 0.5%
CVS Caremark Corp................. 290,603 10,531,453 0.3%
Kraft Foods, Inc. Class A......... 365,426 12,271,005 0.3%
PepsiCo, Inc...................... 233,659 16,096,769 0.4%
Philip Morris International, Inc.. 257,447 17,877,120 0.5%
Procter & Gamble Co. (The)........ 378,459 24,561,989 0.7%
Wal-Mart Stores, Inc.............. 499,081 27,439,473 0.7%
Other Securities.................. 158,808,803 4.2%
------------ -----
Total Consumer Staples.............. 287,771,588 7.6%
------------ -----
Energy -- (10.3%)...................
Apache Corp....................... 77,286 10,307,634 0.3%
Chevron Corp...................... 428,110 46,852,358 1.2%
ConocoPhillips.................... 296,061 23,368,095 0.6%
Devon Energy Corp................. 103,309 9,401,119 0.3%
Exxon Mobil Corp.................. 674,925 59,393,400 1.6%
Occidental Petroleum Corp......... 113,741 12,999,459 0.3%
Schlumberger, Ltd................. 204,389 18,343,913 0.5%
Other Securities.................. 240,800,932 6.3%
------------ -----
Total Energy........................ 421,466,910 11.1%
------------ -----
Financials -- (14.7%)...............
Bank of America Corp.............. 1,864,148 22,891,737 0.6%
*Berkshire Hathaway, Inc.......... 131,025 10,914,382 0.3%
*Citigroup, Inc................... 5,989,288 27,490,832 0.7%
Goldman Sachs Group, Inc. (The)... 103,629 15,649,015 0.4%
JPMorgan Chase & Co............... 860,699 39,273,695 1.0%
MetLife, Inc...................... 211,259 9,884,809 0.3%
U.S. Bancorp...................... 434,986 11,231,339 0.3%
Wells Fargo & Co.................. 1,073,360 31,245,510 0.8%
Other Securities.................. 434,107,137 11.5%
------------ -----
Total Financials.................... 602,688,456 15.9%
------------ -----
Health Care -- (10.0%)..............
Abbott Laboratories............... 203,058 10,567,138 0.3%
Johnson & Johnson................. 372,316 24,468,608 0.6%
Merck & Co., Inc.................. 454,964 16,355,956 0.4%
Pfizer, Inc....................... 1,749,123 36,661,618 1.0%
UnitedHealth Group, Inc........... 235,483 11,592,828 0.3%
Other Securities.................. 307,942,221 8.1%
------------ -----
Total Health Care................... 407,588,369 10.7%
------------ -----
Industrials -- (12.3%)..............
3M Co............................. 101,394 9,856,511 0.2%
Caterpillar, Inc.................. 93,176 10,753,442 0.3%
22
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Shares Value+
------ -----
Industrials -- (Continued)..............................................................
General Electric Co................................................................... 2,341,740 $ 47,888,583
Union Pacific Corp.................................................................... 107,688 11,142,477
United Technologies Corp.............................................................. 122,099 10,937,628
Other Securities...................................................................... 412,453,737
--------------
Total Industrials....................................................................... 503,032,378
--------------
Information Technology -- (15.2%).......................................................
*Apple, Inc........................................................................... 118,753 41,353,357
Cisco Sytems, Inc..................................................................... 718,867 12,623,305
*Google, Inc.......................................................................... 35,402 19,262,228
Hewlett-Packard Co.................................................................... 447,680 18,072,842
Intel Corp............................................................................ 963,439 22,342,150
International Business Machines Corp.................................................. 179,866 30,681,542
Microsoft Corp........................................................................ 1,104,256 28,732,741
Oracle Corp........................................................................... 604,998 21,810,178
QUALCOMM, Inc......................................................................... 237,807 13,516,950
Other Securities...................................................................... 414,037,331
--------------
Total Information Technology............................................................ 622,432,624
--------------
Materials -- (4.9%).....................................................................
Other Securities...................................................................... 201,806,249
--------------
Other -- (0.0%).........................................................................
Other Securities...................................................................... --
--------------
Telecommunication Services -- (2.4%)....................................................
AT&T, Inc............................................................................. 1,253,560 39,010,787
Verizon Communications, Inc........................................................... 628,388 23,740,499
Other Securities...................................................................... 33,142,543
--------------
Total Telecommunication Services........................................................ 95,893,829
--------------
Utilities -- (3.1%).....................................................................
Other Securities...................................................................... 128,337,436
--------------
TOTAL COMMON STOCKS..................................................................... 3,774,510,800
--------------
RIGHTS/WARRANTS -- (0.0%)...............................................................
Other Securities...................................................................... 171,559
--------------
TEMPORARY CASH INVESTMENTS -- (0.8%)....................................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares................... 31,671,641 31,671,641
--------------
Shares/
Face
Amount
(000)
SECURITIES LENDING COLLATERAL -- (7.0%).................................................
(S)@DFA Short Term Investment Fund...................................................... 285,211,616 285,211,616
@Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $841,635
FNMA 3.500%, 02/01/26, valued at $846,228) to be repurchased at $821,584.............. $822 821,580
--------------
TOTAL SECURITIES LENDING COLLATERAL..................................................... 286,033,196
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,361,954,764).................................................................. $4,092,387,196
==============
Percentage
of Net Assets**
---------------
Industrials -- (Continued)..............................................................
General Electric Co................................................................... 1.2%
Union Pacific Corp.................................................................... 0.3%
United Technologies Corp.............................................................. 0.3%
Other Securities...................................................................... 10.9%
------
Total Industrials....................................................................... 13.2%
------
Information Technology -- (15.2%).......................................................
*Apple, Inc........................................................................... 1.1%
Cisco Sytems, Inc..................................................................... 0.3%
*Google, Inc.......................................................................... 0.5%
Hewlett-Packard Co.................................................................... 0.5%
Intel Corp............................................................................ 0.6%
International Business Machines Corp.................................................. 0.8%
Microsoft Corp........................................................................ 0.8%
Oracle Corp........................................................................... 0.6%
QUALCOMM, Inc......................................................................... 0.3%
Other Securities...................................................................... 10.9%
------
Total Information Technology............................................................ 16.4%
------
Materials -- (4.9%).....................................................................
Other Securities...................................................................... 5.3%
------
Other -- (0.0%).........................................................................
Other Securities...................................................................... 0.0%
------
Telecommunication Services -- (2.4%)....................................................
AT&T, Inc............................................................................. 1.0%
Verizon Communications, Inc........................................................... 0.6%
Other Securities...................................................................... 0.9%
------
Total Telecommunication Services........................................................ 2.5%
------
Utilities -- (3.1%).....................................................................
Other Securities...................................................................... 3.4%
------
TOTAL COMMON STOCKS..................................................................... 99.4%
------
RIGHTS/WARRANTS -- (0.0%)...............................................................
Other Securities...................................................................... 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.8%)....................................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares................... 0.8%
------
SECURITIES LENDING COLLATERAL -- (7.0%).................................................
(S)@DFA Short Term Investment Fund...................................................... 7.5%
@Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $841,635
FNMA 3.500%, 02/01/26, valued at $846,228) to be repurchased at $821,584.............. 0.1%
------
TOTAL SECURITIES LENDING COLLATERAL..................................................... 7.6%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,361,954,764).................................................................. 107.8%
======
23
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 503,492,961 -- -- $ 503,492,961
Consumer Staples............ 287,750,944 $ 20,644 -- 287,771,588
Energy...................... 421,466,910 -- -- 421,466,910
Financials.................. 602,662,113 26,343 -- 602,688,456
Health Care................. 407,561,837 26,532 -- 407,588,369
Industrials................. 502,982,087 50,291 -- 503,032,378
Information Technology...... 622,432,624 -- -- 622,432,624
Materials................... 201,806,249 -- -- 201,806,249
Other....................... -- -- -- --
Telecommunication Services.. 95,893,829 -- -- 95,893,829
Utilities................... 128,337,436 -- -- 128,337,436
Rights/Warrants............... 152,218 19,341 -- 171,559
Temporary Cash Investments.... 31,671,641 -- -- 31,671,641
Securities Lending Collateral. -- 286,033,196 -- 286,033,196
-------------- ------------ -- --------------
TOTAL......................... $3,806,210,849 $286,176,347 -- $4,092,387,196
============== ============ == ==============
See accompanying Notes to Financial Statements.
24
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (91.8%)..............
Consumer Discretionary -- (13.0%).....
Comcast Corp. Class A............... 905,103 $ 23,749,903 0.4%
Lowe's Cos., Inc.................... 606,612 15,923,565 0.3%
News Corp. Class A.................. 788,576 14,052,424 0.2%
Time Warner, Inc.................... 505,637 19,143,417 0.3%
Walt Disney Co. (The)............... 796,924 34,347,424 0.6%
Other Securities.................... 758,912,127 12.3%
-------------- -----
Total Consumer Discretionary.......... 866,128,860 14.1%
-------------- -----
Consumer Staples -- (5.7%)............
CVS Caremark Corp................... 602,186 21,823,221 0.4%
Kraft Foods, Inc. Class A........... 758,296 25,463,580 0.4%
PepsiCo, Inc........................ 187,890 12,943,742 0.2%
Procter & Gamble Co. (The).......... 602,031 39,071,812 0.6%
Wal-Mart Stores, Inc................ 470,085 25,845,273 0.4%
Other Securities.................... 257,781,039 4.2%
-------------- -----
Total Consumer Staples................ 382,928,667 6.2%
-------------- -----
Energy -- (11.1%).....................
Anadarko Petroleum Corp............. 221,015 17,446,924 0.3%
Apache Corp......................... 161,279 21,509,780 0.3%
Chevron Corp........................ 870,961 95,317,972 1.5%
ConocoPhillips...................... 621,821 49,080,332 0.8%
Devon Energy Corp................... 179,429 16,328,039 0.3%
Exxon Mobil Corp.................... 865,623 76,174,824 1.2%
Marathon Oil Corp................... 312,619 16,893,931 0.3%
National-Oilwell, Inc............... 183,838 14,098,536 0.2%
Occidental Petroleum Corp........... 173,068 19,779,942 0.3%
Schlumberger, Ltd................... 177,195 15,903,251 0.3%
Other Securities.................... 398,747,462 6.5%
-------------- -----
Total Energy.......................... 741,280,993 12.0%
-------------- -----
Financials -- (16.8%).................
Bank of America Corp................ 4,072,969 50,016,059 0.8%
Bank of New York Mellon Corp. (The). 547,488 15,855,252 0.3%
*Citigroup, Inc..................... 6,270,597 28,782,040 0.5%
Goldman Sachs Group, Inc. (The)..... 215,233 32,502,335 0.5%
JPMorgan Chase & Co................. 1,758,487 80,239,762 1.3%
MetLife, Inc........................ 417,085 19,515,407 0.3%
Morgan Stanley...................... 605,703 15,839,133 0.3%
PNC Financial Services Group, Inc... 232,284 14,480,585 0.2%
Prudential Financial, Inc........... 209,753 13,302,535 0.2%
Travelers Cos., Inc. (The).......... 240,418 15,213,651 0.2%
U.S. Bancorp........................ 816,801 21,089,802 0.3%
Wells Fargo & Co.................... 2,251,097 65,529,434 1.1%
Other Securities.................... 748,588,026 12.2%
-------------- -----
Total Financials...................... 1,120,954,021 18.2%
-------------- -----
Health Care -- (9.3%).................
Johnson & Johnson................... 334,716 21,997,536 0.3%
Merck & Co., Inc.................... 591,992 21,282,112 0.3%
Pfizer, Inc......................... 3,406,208 71,394,120 1.2%
UnitedHealth Group, Inc............. 491,713 24,207,031 0.4%
WellPoint, Inc...................... 211,328 16,227,877 0.3%
Other Securities.................... 470,071,433 7.6%
-------------- -----
Total Health Care..................... 625,180,109 10.1%
-------------- -----
25
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Shares Value+
------ -----
Industrials -- (13.0%)....................................................................
CSX Corp................................................................................ 166,800 $ 13,125,492
General Electric Co..................................................................... 4,628,560 94,654,052
Union Pacific Corp...................................................................... 215,752 22,323,859
Other Securities........................................................................ 736,798,959
--------------
Total Industrials......................................................................... 866,902,362
--------------
Information Technology -- (12.9%).........................................................
*Apple, Inc............................................................................. 73,982 25,762,752
*Corning, Inc........................................................................... 683,540 14,313,328
Hewlett-Packard Co...................................................................... 667,594 26,950,770
Intel Corp.............................................................................. 1,282,072 29,731,250
International Business Machines Corp.................................................... 92,663 15,806,455
Microsoft Corp.......................................................................... 748,306 19,470,922
Oracle Corp............................................................................. 457,669 16,498,967
Other Securities........................................................................ 710,912,390
--------------
Total Information Technology.............................................................. 859,446,834
--------------
Materials -- (5.0%).......................................................................
Dow Chemical Co. (The).................................................................. 381,147 15,623,216
Other Securities........................................................................ 318,471,350
--------------
Total Materials........................................................................... 334,094,566
--------------
Other -- (0.0%)...........................................................................
Other Securities........................................................................ --
--------------
Real Estate Investment Trusts -- (0.0%)...................................................
Other Securities........................................................................ 318
--------------
Telecommunication Services -- (2.8%)......................................................
AT&T, Inc............................................................................... 2,555,855 79,538,208
Verizon Communications, Inc............................................................. 1,260,585 47,624,901
Other Securities........................................................................ 58,625,363
--------------
Total Telecommunication Services.......................................................... 185,788,472
--------------
Utilities -- (2.2%).......................................................................
Other Securities........................................................................ 146,077,301
--------------
TOTAL COMMON STOCKS....................................................................... 6,128,782,503
--------------
RIGHTS/WARRANTS -- (0.0%).................................................................
Other Securities........................................................................ 313,966
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%)......................................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares..................... 28,695,296 28,695,296
--------------
Shares/
Face
Amount
(000)
SECURITIES LENDING COLLATERAL -- (7.8%)...................................................
(S)@DFA Short Term Investment Fund........................................................ 521,669,261 521,669,261
@Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $1,539,401
FNMA 3.500%, 02/01/26, valuedat $1,547,802) to be repurchased at $1,502,727............. $1,503 1,502,719
--------------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 523,171,980
--------------
Percentage
of Net Assets**
---------------
Industrials -- (13.0%)....................................................................
CSX Corp................................................................................ 0.2%
General Electric Co..................................................................... 1.5%
Union Pacific Corp...................................................................... 0.4%
Other Securities........................................................................ 12.0%
-----
Total Industrials......................................................................... 14.1%
-----
Information Technology -- (12.9%).........................................................
*Apple, Inc............................................................................. 0.4%
*Corning, Inc........................................................................... 0.2%
Hewlett-Packard Co...................................................................... 0.4%
Intel Corp.............................................................................. 0.5%
International Business Machines Corp.................................................... 0.3%
Microsoft Corp.......................................................................... 0.3%
Oracle Corp............................................................................. 0.3%
Other Securities........................................................................ 11.6%
-----
Total Information Technology.............................................................. 14.0%
-----
Materials -- (5.0%).......................................................................
Dow Chemical Co. (The).................................................................. 0.2%
Other Securities........................................................................ 5.2%
-----
Total Materials........................................................................... 5.4%
-----
Other -- (0.0%)...........................................................................
Other Securities........................................................................ 0.0%
-----
Real Estate Investment Trusts -- (0.0%)...................................................
Other Securities........................................................................ 0.0%
-----
Telecommunication Services -- (2.8%)......................................................
AT&T, Inc............................................................................... 1.3%
Verizon Communications, Inc............................................................. 0.8%
Other Securities........................................................................ 0.9%
-----
Total Telecommunication Services.......................................................... 3.0%
-----
Utilities -- (2.2%).......................................................................
Other Securities........................................................................ 2.4%
-----
TOTAL COMMON STOCKS....................................................................... 99.5%
-----
RIGHTS/WARRANTS -- (0.0%).................................................................
Other Securities........................................................................ 0.0%
-----
TEMPORARY CASH INVESTMENTS -- (0.4%)......................................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares..................... 0.5%
-----
SECURITIES LENDING COLLATERAL -- (7.8%)...................................................
(S)@DFA Short Term Investment Fund........................................................ 8.5%
@Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $1,539,401
FNMA 3.500%, 02/01/26, valuedat $1,547,802) to be repurchased at $1,502,727............. 0.0%
-----
TOTAL SECURITIES LENDING COLLATERAL....................................................... 8.5%
-----
26
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Value+ of Net Assets**
----- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,595,588,154)........ $6,680,963,745 108.5%
============== ======
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks...................
Consumer Discretionary........ $ 866,128,860 -- -- $ 866,128,860
Consumer Staples.............. 382,887,718 $ 40,949 -- 382,928,667
Energy........................ 741,280,993 -- -- 741,280,993
Financials.................... 1,120,870,698 83,323 -- 1,120,954,021
Health Care................... 625,108,602 71,507 -- 625,180,109
Industrials................... 866,846,381 55,981 -- 866,902,362
Information Technology........ 859,446,834 -- -- 859,446,834
Materials..................... 334,094,566 -- -- 334,094,566
Other......................... -- -- -- --
Real Estate Investment Trusts. 318 -- -- 318
Telecommunication Services.... 185,788,472 -- -- 185,788,472
Utilities..................... 146,077,301 -- -- 146,077,301
Rights/Warrants................. 262,899 51,067 -- 313,966
Temporary Cash Investments...... 28,695,296 -- -- 28,695,296
Securities Lending Collateral... -- 523,171,980 -- 523,171,980
-------------- ------------ -- --------------
TOTAL........................... $6,157,488,938 $523,474,807 -- $6,680,963,745
============== ============ == ==============
See accompanying Notes to Financial Statements.
27
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Value+ of Net Assets**
Shares ----- ---------------
COMMON STOCKS -- (90.4%)...................
Consumer Discretionary -- (13.5%)..........
CBS Corp. Class B........................ 210,809 $ 5,316,603 0.3%
Comcast Corp. Class A.................... 298,194 7,824,611 0.4%
J.C. Penney Co., Inc..................... 113,950 4,381,378 0.2%
*Liberty Media Corp. Capital Class A..... 92,738 7,629,555 0.4%
*Liberty Media Corp. Interactive Class A. 286,008 4,999,420 0.2%
*Royal Caribbean Cruises, Ltd............ 102,220 4,070,400 0.2%
Time Warner Cable, Inc................... 54,723 4,275,508 0.2%
Time Warner, Inc......................... 198,927 7,531,376 0.4%
Walt Disney Co. (The).................... 101,019 4,353,919 0.2%
Other Securities......................... 249,318,013 12.4%
------------ -----
Total Consumer Discretionary............... 299,700,783 14.9%
------------ -----
Consumer Staples -- (4.6%).................
Bunge, Ltd............................... 67,445 5,088,051 0.3%
CVS Caremark Corp........................ 152,409 5,523,302 0.3%
J.M. Smucker Co.......................... 58,872 4,419,521 0.2%
Kraft Foods, Inc. Class A................ 190,203 6,387,017 0.3%
Procter & Gamble Co. (The)............... 97,417 6,322,363 0.3%
Other Securities......................... 74,130,036 3.7%
------------ -----
Total Consumer Staples..................... 101,870,290 5.1%
------------ -----
Energy -- (10.1%)..........................
Anadarko Petroleum Corp.................. 68,323 5,393,418 0.3%
Chevron Corp............................. 125,570 13,742,381 0.7%
ConocoPhillips........................... 197,546 15,592,306 0.8%
Exxon Mobil Corp......................... 176,810 15,559,280 0.8%
Marathon Oil Corp........................ 95,508 5,161,252 0.2%
*Nabors Industries, Ltd.................. 140,749 4,312,549 0.2%
Pioneer Natural Resources Co............. 54,700 5,591,981 0.3%
Other Securities......................... 159,090,394 7.9%
------------ -----
Total Energy............................... 224,443,561 11.2%
------------ -----
Financials -- (21.3%)......................
American Financial Group, Inc............ 129,237 4,622,808 0.2%
Bank of America Corp..................... 1,228,804 15,089,713 0.8%
Bank of New York Mellon Corp. (The)...... 168,407 4,877,067 0.3%
*Citigroup, Inc.......................... 1,768,967 8,119,559 0.4%
CNA Financial Corp....................... 130,529 4,051,620 0.2%
First Niagara Financial Group, Inc....... 287,675 4,142,520 0.2%
Goldman Sachs Group, Inc. (The).......... 43,159 6,517,441 0.3%
JPMorgan Chase & Co...................... 539,281 24,607,392 1.2%
LIncoln National Corp.................... 152,570 4,764,761 0.2%
MetLife, Inc............................. 123,995 5,801,726 0.3%
Morgan Stanley........................... 185,483 4,850,380 0.2%
NYSE Euronext, Inc....................... 132,257 5,296,893 0.3%
PNC Financial Services Group, Inc........ 67,378 4,200,345 0.2%
Principal Financial Group, Inc........... 154,218 5,204,858 0.3%
Regions Financial Corp................... 574,455 4,216,500 0.2%
Travelers Cos., Inc. (The)............... 73,100 4,625,768 0.2%
Unum Group............................... 203,475 5,388,018 0.3%
Wells Fargo & Co......................... 363,213 10,573,130 0.5%
Other Securities......................... 343,903,605 17.1%
------------ -----
Total Financials........................... 470,854,104 23.4%
------------ -----
Health Care -- (7.6%)......................
Pfizer, Inc.............................. 526,553 11,036,551 0.6%
28
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Shares Value+
------ -----
Health Care -- (Continued)...............................................................
WellPoint, Inc......................................................................... 62,400 $ 4,791,696
Other Securities....................................................................... 152,828,374
--------------
Total Health Care........................................................................ 168,656,621
--------------
Industrials -- (12.8%)...................................................................
General Electric Co.................................................................... 741,335 15,160,301
*Owens Corning, Inc.................................................................... 107,808 4,079,455
Other Securities....................................................................... 263,342,387
--------------
Total Industrials........................................................................ 282,582,143
--------------
Information Technology -- (11.6%)........................................................
*IAC/InterActiveCorp................................................................... 143,044 5,165,319
Intel Corp............................................................................. 202,420 4,694,120
*Vishay Intertechnology, Inc........................................................... 264,417 5,045,076
Other Securities....................................................................... 242,877,607
--------------
Total Information Technology............................................................. 257,782,122
--------------
Materials -- (5.4%)......................................................................
MeadWestavco Corp...................................................................... 151,161 5,092,614
Westlake Chemical Corp................................................................. 74,956 4,920,861
Other Securities....................................................................... 108,800,479
--------------
Total Materials.......................................................................... 118,813,954
--------------
Other -- (0.0%)..........................................................................
Other Securities....................................................................... --
--------------
Telecommunication Services -- (2.2%).....................................................
AT&T, Inc.............................................................................. 736,355 22,915,368
Verizon Communications, Inc............................................................ 201,388 7,608,439
Other Securities....................................................................... 19,328,739
--------------
Total Telecommunication Services......................................................... 49,852,546
--------------
Utilities -- (1.3%)......................................................................
Other Securities....................................................................... 29,169,187
--------------
TOTAL COMMON STOCKS...................................................................... 2,003,725,311
--------------
RIGHTS/WARRANTS -- (0.0%)................................................................
Other Securities....................................................................... 86,679
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%).....................................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares.................... 8,471,773 8,471,773
--------------
Shares/
Face
Amount
(000)
SECURITIES LENDING COLLATERAL -- (9.2%)..................................................
(S)@DFA Short Term Investment Fund....................................................... 202,292,578 202,292,578
@Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $596,948,
FNMA 3.500%, 02/01/26, valued at $600,206) to be repurchased at $582,726............... $583 582,723
--------------
TOTAL SECURITIES LENDING COLLATERAL...................................................... 202,875,301
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,851,320,915)...................................... $2,215,159,064
==============
Percentage
of Net Assets**
---------------
Health Care -- (Continued)...............................................................
WellPoint, Inc......................................................................... 0.2%
Other Securities....................................................................... 7.6%
------
Total Health Care........................................................................ 8.4%
------
Industrials -- (12.8%)...................................................................
General Electric Co.................................................................... 0.8%
*Owens Corning, Inc.................................................................... 0.2%
Other Securities....................................................................... 13.1%
------
Total Industrials........................................................................ 14.1%
------
Information Technology -- (11.6%)........................................................
*IAC/InterActiveCorp................................................................... 0.3%
Intel Corp............................................................................. 0.2%
*Vishay Intertechnology, Inc........................................................... 0.2%
Other Securities....................................................................... 12.1%
------
Total Information Technology............................................................. 12.8%
------
Materials -- (5.4%)......................................................................
MeadWestavco Corp...................................................................... 0.3%
Westlake Chemical Corp................................................................. 0.2%
Other Securities....................................................................... 5.4%
------
Total Materials.......................................................................... 5.9%
------
Other -- (0.0%)..........................................................................
Other Securities....................................................................... 0.0%
------
Telecommunication Services -- (2.2%).....................................................
AT&T, Inc.............................................................................. 1.1%
Verizon Communications, Inc............................................................ 0.4%
Other Securities....................................................................... 1.0%
------
Total Telecommunication Services......................................................... 2.5%
------
Utilities -- (1.3%)......................................................................
Other Securities....................................................................... 1.4%
------
TOTAL COMMON STOCKS...................................................................... 99.7%
------
RIGHTS/WARRANTS -- (0.0%)................................................................
Other Securities....................................................................... 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.4%).....................................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares.................... 0.4%
------
SECURITIES LENDING COLLATERAL -- (9.2%)..................................................
(S)@DFA Short Term Investment Fund....................................................... 10.1%
@Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11 (Collateralized by $596,948,
FNMA 3.500%, 02/01/26, valued at $600,206) to be repurchased at $582,726............... 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL...................................................... 10.1%
------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,851,320,915)...................................... 110.2%
======
29
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks.................
Consumer Discretionary...... $ 299,700,783 -- -- $ 299,700,783
Consumer Staples............ 101,825,093 $ 45,197 -- 101,870,290
Energy...................... 224,443,561 -- -- 224,443,561
Financials.................. 470,778,965 75,139 -- 470,854,104
Health Care................. 168,632,609 24,012 -- 168,656,621
Industrials................. 282,570,415 11,728 -- 282,582,143
Information Technology...... 257,782,122 -- -- 257,782,122
Materials................... 118,813,954 -- -- 118,813,954
Other....................... -- -- -- --
Telecommunication Services.. 49,852,546 -- -- 49,852,546
Utilities................... 29,169,187 -- -- 29,169,187
Rights/Warrants............... 41,615 45,064 -- 86,679
Temporary Cash Investments.... 8,471,773 -- -- 8,471,773
Securities Lending Collateral. -- 202,875,301 -- 202,875,301
-------------- ------------ -- --------------
TOTAL......................... $2,012,082,623 $203,076,441 -- $2,215,159,064
============== ============ == ==============
See accompanying Notes to Financial Statements.
30
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (79.9%)...................
Consumer Discretionary -- (13.1%)..........
#Aaron's, Inc............................ 282,237 $ 8,125,603 0.2%
#Buckle, Inc............................. 177,650 8,081,298 0.2%
#*Deckers Outdoor Corp.................... 107,700 9,139,422 0.2%
#Dillard's, Inc. Class A................. 187,213 8,989,968 0.2%
#*Pier 1 Imports, Inc..................... 682,993 8,318,855 0.2%
*Tenneco, Inc............................ 167,225 7,727,467 0.1%
*Ulta Salon Cosmetics & Fragrance, Inc... 169,958 9,040,066 0.2%
*WABCO Holdings, Inc..................... 140,934 10,407,976 0.2%
Other Securities......................... 673,888,454 14.9%
------------ -----
Total Consumer Discretionary............... 743,719,109 16.4%
------------ -----
Consumer Staples -- (2.9%).................
#Nu Skin Enterprises, Inc. Class A....... 299,624 9,614,934 0.2%
Other Securities......................... 155,333,021 3.4%
------------ -----
Total Consumer Staples..................... 164,947,955 3.6%
------------ -----
Energy -- (5.3%)...........................
*Complete Production Services, Inc....... 223,760 7,594,414 0.2%
Frontier Oil Corp........................ 338,166 9,448,358 0.2%
*Helix Energy Solutions Group, Inc....... 411,246 7,784,887 0.2%
#Holly Corp.............................. 154,285 8,933,102 0.2%
*International Coal Group, Inc........... 713,310 7,867,809 0.2%
#*Key Energy Services, Inc................ 480,044 8,736,801 0.2%
Lufkin Industries, Inc................... 95,925 8,856,755 0.2%
*Rosetta Resources, Inc.................. 169,847 7,801,073 0.2%
#RPC, Inc................................ 397,165 10,743,313 0.2%
Other Securities......................... 224,231,371 4.9%
------------ -----
Total Energy............................... 301,997,883 6.7%
------------ -----
Financials -- (10.6%)......................
*American Capital, Ltd................... 882,842 9,066,787 0.2%
*CNO Financial Group, Inc................ 953,964 7,688,950 0.2%
Other Securities......................... 580,800,781 12.8%
------------ -----
Total Financials........................... 597,556,518 13.2%
------------ -----
Health Care -- (8.5%)......................
#*American Medical Systems Holdings, Inc.. 268,775 7,928,862 0.2%
*HealthSpring, Inc....................... 211,823 8,788,536 0.2%
Medicis Pharmaceutical Corp. Class A..... 212,145 7,522,662 0.2%
Other Securities......................... 455,126,868 10.0%
------------ -----
Total Health Care.......................... 479,366,928 10.6%
------------ -----
Industrials -- (14.6%).....................
#Actuant Corp. Class A................... 273,540 7,593,470 0.1%
Alexander & Baldwin, Inc................. 145,501 7,667,903 0.2%
#*Avis Budget Group, Inc.................. 411,404 7,800,220 0.2%
#*General Cable Corp...................... 189,054 9,169,119 0.2%
*Hexcel Corp............................. 356,681 7,679,342 0.2%
#Manitowoc Co., Inc. (The)............... 459,749 10,201,830 0.2%
*Old Dominion Freight Line, Inc.......... 201,306 7,532,871 0.1%
*Sauer-Danfoss, Inc...................... 130,532 7,705,304 0.2%
Other Securities......................... 760,157,910 16.8%
------------ -----
Total Industrials.......................... 825,507,969 18.2%
------------ -----
Information Technology -- (17.1%)..........
#*Acme Packet, Inc........................ 161,675 13,355,972 0.3%
31
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
Information Technology -- (Continued)
#*Ancestry.com, Inc. 163,751 $ 7,483,421 0.1%
*Ariba, Inc. 262,753 9,135,922 0.2%
#*Aruba Networks, Inc. 263,829 9,479,376 0.2%
*Fairchild Semiconductor International, Inc. 398,681 8,360,341 0.2%
*Hypercom Corp. 918,056 10,989,130 0.2%
*International Rectifier Corp. 225,033 7,777,140 0.2%
#*IPG Photonics Corp. 204,333 14,192,970 0.3%
*Loral Space & Communications, Inc. 128,378 8,973,622 0.2%
#*Riverbed Technology, Inc. 293,942 10,329,122 0.2%
*TIBCO Software, Inc. 474,473 14,229,445 0.3%
#*Veeco Instruments, Inc. 155,644 7,958,078 0.2%
#*VeriFone Systems, Inc. 226,455 12,414,263 0.3%
*Vishay Intertechnology, Inc. 427,738 8,161,241 0.2%
Other Securities 823,002,278 18.2%
-------------- -----
Total Information Technology 965,842,321 21.3%
-------------- -----
Materials -- (4.8%)
Carpenter Technology Corp. 165,007 8,458,259 0.2%
*Coeur d'Alene Mines Corp. 254,520 8,070,829 0.2%
#NewMarket Corp............................................................. 43,500 8,017,920 0.1%
*Rockwood Holdings, Inc. 141,834 8,047,661 0.2%
Westlake Chemical Corp. 127,313 8,358,098 0.2%
Other Securities 230,284,691 5.1%
-------------- -----
Total Materials 271,237,458 6.0%
-------------- -----
Other -- (0.0%)
Other Securities 454 0.0%
-------------- -----
Telecommunication Services -- (0.8%)
Other Securities 46,650,648 1.0%
-------------- -----
Utilities -- (2.2%)
Other Securities 121,962,992 2.7%
-------------- -----
TOTAL COMMON STOCKS 4,518,790,235 99.7%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities 137,432 0.0%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares 22,078,495 22,078,495 0.5%
-------------- -----
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (19.7%)
(S)@DFA Short Term Investment Fund 1,110,010,185 1,110,010,185 24.5%
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by
$3,275,544 FNMA 3.500%, 02/01/26, valuedat $3,293,419) to be repurchased
at $3,197,509 $ 3,197 3,197,493 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL 1,113,207,678 24.6%
-------------- -----
32
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Value+ of Net Assets**
------ ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,434,531,322)........ $5,654,213,840 124.8%
============== ======
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks.................
Consumer Discretionary...... $ 743,719,109 -- -- $ 743,719,109
Consumer Staples............ 164,850,813 $ 97,142 -- 164,947,955
Energy...................... 301,997,883 -- -- 301,997,883
Financials.................. 597,511,724 44,794 -- 597,556,518
Health Care................. 479,220,303 146,625 -- 479,366,928
Industrials................. 825,302,926 205,043 -- 825,507,969
Information Technology...... 965,842,321 -- -- 965,842,321
Materials................... 271,237,458 -- -- 271,237,458
Other....................... -- 454 -- 454
Telecommunication Services.. 46,650,648 -- -- 46,650,648
Utilities................... 121,962,992 -- -- 121,962,992
Rights/Warrants............... 44,910 92,522 -- 137,432
Temporary Cash Investments.... 22,078,495 -- -- 22,078,495
Securities Lending Collateral. -- 1,113,207,678 -- 1,113,207,678
-------------- -------------- -- --------------
TOTAL......................... $4,540,419,582 $1,113,794,258 -- $5,654,213,840
============== ============== == ==============
See accompanying Notes to Financial Statements.
33
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (87.7%)
Consumer Discretionary -- (13.4%)
#*BJ's Restaurants, Inc. 218,820 $ 10,273,599 0.3%
*Buffalo Wild Wings, Inc. 149,089 9,109,338 0.2%
Finish Line, Inc. Class A 400,378 8,604,123 0.2%
*Hibbett Sporting Goods, Inc. 213,043 8,048,765 0.2%
#Monro Muffler Brake, Inc. 271,069 8,235,076 0.2%
Other Securities 535,484,716 14.2%
------------ -----
Total Consumer Discretionary 579,755,617 15.3%
------------ -----
Consumer Staples -- (3.9%)
Andersons, Inc. (The) 164,550 8,169,908 0.2%
*Darling International, Inc. 608,047 9,832,120 0.3%
J & J Snack Foods Corp. 180,997 9,198,268 0.2%
#PriceSmart, Inc. 296,100 12,329,604 0.3%
Other Securities 126,673,134 3.4%
------------ -----
Total Consumer Staples 166,203,034 4.4%
------------ -----
Energy -- (4.5%)
*Clayton Williams Energy, Inc. 110,880 10,042,402 0.3%
Other Securities 183,923,312 4.8%
------------ -----
Total Energy 193,965,714 5.1%
------------ -----
Financials -- (11.8%)
#FBL Financial Group, Inc. Class A 289,468 8,828,774 0.3%
*First Cash Financial Services, Inc. 294,883 11,571,209 0.3%
Infinity Property & Casualty Corp. 144,873 8,561,994 0.2%
#*World Acceptance Corp. 156,911 10,662,102 0.3%
Other Securities 469,644,144 12.4%
------------ -----
Total Financials 509,268,223 13.5%
------------ -----
Health Care -- (11.0%)
*Cyberonics, Inc. 225,257 8,012,392 0.2%
*Hanger Orthopedic Group, Inc. 308,862 8,391,781 0.2%
Invacare Corp. 248,109 8,162,786 0.2%
*Neogen Corp. 203,656 8,533,186 0.2%
*Zoll Medical Corp. 170,789 9,680,321 0.3%
Other Securities 431,886,417 11.4%
------------ -----
Total Health Care 474,666,883 12.5%
------------ -----
Industrials -- (16.3%)
*Acacia Technologies Group 346,464 14,243,135 0.4%
*Dollar Thrifty Automotive Group, Inc. 133,851 9,226,349 0.2%
Kaman Corp. Class A 236,632 8,802,710 0.2%
Raven Industries, Inc. 178,996 9,730,223 0.2%
#Titan International, Inc. 319,702 9,875,595 0.3%
#*United Rentals, Inc. 353,280 10,393,498 0.3%
Other Securities 638,569,237 16.9%
------------ -----
Total Industrials 700,840,747 18.5%
------------ -----
Information Technology -- (19.8%)
*Acme Packet, Inc. 124,480 10,283,293 0.3%
*Cabot Microelectronics Corp. 230,045 11,237,698 0.3%
*Coherent, Inc. 132,487 8,281,762 0.2%
*Entegris, Inc. 947,226 8,174,560 0.2%
Forrester Research, Inc. 223,549 8,832,421 0.2%
iGATE Corp. 521,424 8,843,351 0.2%
*IPG Photonics Corp. 458,850 31,871,721 0.8%
34
U.S. MICRO CAP PORTFOLIO
CONTINUED
Shares Value+
------ -----
Information Technology -- (Continued)
#*L-1 Identity Solutions, Inc. 785,607 $ 9,215,170
*Loral Space & Communications, Inc. 158,091 11,050,561
*Manhattan Associates, Inc. 238,948 8,637,970
*NetScout Systems, Inc. 317,575 8,126,744
OPNET Technologies, Inc. 203,834 7,982,139
#*RightNow Technologies, Inc. 262,553 9,499,168
*ScanSource, Inc. 236,107 8,445,547
#*STEC, Inc. 446,325 9,337,119
#*Stratasys, Inc. 197,122 10,615,020
#*Travelzoo, Inc. 131,842 10,797,860
#*Tyler Technologies, Inc. 364,519 9,036,426
#*Ultimate Software Group, Inc. 179,380 10,045,280
#*Universal Display Corp. 307,402 16,888,666
Other Securities 638,901,505
--------------
Total Information Technology 856,103,981
--------------
Materials -- (4.4%)
#AMCOL International Corp. 263,102 9,792,656
Arch Chemicals, Inc. 218,955 8,466,990
Balchem Corp. 235,675 9,353,941
Deltic Timber Corp. 123,009 8,340,010
Other Securities 155,180,485
--------------
Total Materials 191,134,082
--------------
Other -- (0.0%)
Other Securities 2,444
--------------
Telecommunication Services -- (1.2%)
Other Securities 52,177,910
--------------
Utilities -- (1.4%)
MGE Energy, Inc. 196,967 8,274,584
Other Securities 49,734,183
--------------
Total Utilities 58,008,767
--------------
TOTAL COMMON STOCKS 3,782,127,402
--------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities 422,907
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares 4,712,372 4,712,372
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (12.2%)
(S)@DFA Short Term Investment Fund 526,244,270 526,244,270
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11
(Collateralized by $1,552,901 FNMA 3.500%, 02/01/26, valued at $1,561,376) to be repurchased
at $1,515,906 $1,516 1,515,898
--------------
TOTAL SECURITIES LENDING COLLATERAL 527,760,168
--------------
Percentage
of Net Assets**
---------------
Information Technology -- (Continued)
#*L-1 Identity Solutions, Inc. 0.2%
*Loral Space & Communications, Inc. 0.3%
*Manhattan Associates, Inc. 0.2%
*NetScout Systems, Inc. 0.2%
OPNET Technologies, Inc. 0.2%
#*RightNow Technologies, Inc. 0.3%
*ScanSource, Inc. 0.2%
#*STEC, Inc. 0.3%
#*Stratasys, Inc. 0.3%
#*Travelzoo, Inc. 0.3%
#*Tyler Technologies, Inc. 0.2%
#*Ultimate Software Group, Inc. 0.3%
#*Universal Display Corp. 0.5%
Other Securities 16.9%
-----
Total Information Technology 22.6%
-----
Materials -- (4.4%)
#AMCOL International Corp. 0.3%
Arch Chemicals, Inc. 0.2%
Balchem Corp. 0.3%
Deltic Timber Corp. 0.2%
Other Securities 4.1%
-----
Total Materials 5.1%
-----
Other -- (0.0%)
Other Securities 0.0%
-----
Telecommunication Services -- (1.2%)
Other Securities 1.4%
-----
Utilities -- (1.4%)
MGE Energy, Inc. 0.2%
Other Securities 1.3%
-----
Total Utilities 1.5%
-----
TOTAL COMMON STOCKS 99.9%
-----
RIGHTS/WARRANTS -- (0.0%)
Other Securities 0.0%
-----
TEMPORARY CASH INVESTMENTS -- (0.1%)
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares 0.1%
-----
SECURITIES LENDING COLLATERAL -- (12.2%)
(S)@DFA Short Term Investment Fund 13.9%
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11
(Collateralized by $1,552,901 FNMA 3.500%, 02/01/26, valued at $1,561,376) to be repurchased
at $1,515,906 0.1%
-----
TOTAL SECURITIES LENDING COLLATERAL 14.0%
-----
35
U.S. MICRO CAP PORTFOLIO
CONTINUED
Percentage
Value+ of Net Assets**
----- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,386,789,027)........ $4,315,022,849 114.0%
============== ======
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks.................
Consumer Discretionary...... $ 579,755,617 -- -- $ 579,755,617
Consumer Staples............ 166,065,165 $ 137,869 -- 166,203,034
Energy...................... 193,965,714 -- -- 193,965,714
Financials.................. 509,006,441 261,782 -- 509,268,223
Health Care................. 474,442,602 224,281 -- 474,666,883
Industrials................. 700,800,010 40,737 -- 700,840,747
Information Technology...... 856,103,981 -- -- 856,103,981
Materials................... 191,134,082 -- -- 191,134,082
Other....................... -- 2,444 -- 2,444
Telecommunication Services.. 52,177,910 -- -- 52,177,910
Utilities................... 58,008,767 -- -- 58,008,767
Rights/Warrants............... 61,485 361,422 -- 422,907
Temporary Cash Investments.... 4,712,372 -- -- 4,712,372
Securities Lending Collateral. -- 527,760,168 -- 527,760,168
-------------- ------------ -- --------------
TOTAL......................... $3,786,234,146 $528,788,703 -- $4,315,022,849
============== ============ == ==============
See accompanying Notes to Financial Statements.
36
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (82.0%)
Real Estate Investment Trusts -- (82.0%)
Alexander's, Inc. 48,795 $ 21,435,156 0.7%
#Alexandria Real Estate Equities, Inc. 461,058 37,875,915 1.2%
AMB Property Corp. 1,439,681 52,404,388 1.7%
American Campus Communites, Inc. 561,680 19,743,052 0.6%
#Apartment Investment & Management Co. Class A 1,070,880 28,870,925 0.9%
#AvalonBay Communities, Inc. 778,009 98,503,719 3.1%
#BioMed Realty Trust, Inc. 1,091,810 21,661,510 0.7%
#Boston Properties, Inc. 1,282,000 134,007,460 4.2%
BRE Properties, Inc. Class A 551,733 27,983,898 0.9%
Camden Property Trust 616,784 38,703,196 1.2%
#CBL & Associates Properties, Inc. 1,200,256 22,288,754 0.7%
#Corporate Office Properties Trust 547,500 19,277,475 0.6%
#Developers Diversified Realty Corp. 1,945,090 28,670,627 0.9%
#Digital Realty Trust, Inc. 773,347 46,663,758 1.5%
#Douglas Emmett, Inc. 1,017,007 21,163,916 0.7%
Duke Realty Corp. 2,155,660 32,873,815 1.0%
#Entertainment Properties Trust 398,314 18,963,730 0.6%
#Equity Residential 2,602,656 155,430,616 4.9%
#Essex Property Trust, Inc. 276,971 37,524,031 1.2%
Federal Realty Investment Trust 562,878 49,285,598 1.6%
*General Growth Properties, Inc. 3,463,216 57,835,707 1.8%
#HCP, Inc. 3,226,720 127,842,646 4.1%
#Health Care REIT, Inc. 1,407,963 75,706,170 2.4%
#Highwood Properties, Inc. 655,670 24,194,223 0.8%
#Home Properties, Inc. 335,680 21,282,112 0.7%
Hospitality Properties Trust 1,129,465 27,276,580 0.9%
#Host Marriott Corp. 6,093,286 108,399,558 3.4%
#Kimco Realty Corp. 3,714,442 72,580,197 2.3%
#Liberty Property Trust 1,044,979 36,751,911 1.2%
#Macerich Co. (The) 1,112,431 58,758,605 1.9%
Mack-Cali Realty Corp. 727,684 25,701,799 0.8%
#Mid-America Apartment Communities, Inc. 289,230 19,335,025 0.6%
#National Retail Properties, Inc. 763,832 20,119,335 0.6%
Nationwide Health Properties, Inc. 1,102,624 48,294,931 1.5%
#Omega Healthcare Investors, Inc. 839,612 19,277,492 0.6%
#Piedmont Office Realty Trust, Inc. 1,116,017 22,208,738 0.7%
ProLogis 4,811,917 78,386,128 2.5%
Public Storage REIT 1,324,670 155,397,038 4.9%
#Realty Income Corp. 1,005,558 35,747,587 1.1%
Regency Centers Corp. 749,077 35,251,564 1.1%
Senior Housing Properties Trust 1,166,432 27,667,767 0.9%
Simon Property Group, Inc. 2,680,150 306,984,381 9.7%
#SL Green Realty Corp. 716,070 59,097,257 1.9%
#Tanger Factory Outlet Centers, Inc. 740,796 20,468,193 0.6%
Taubman Centers, Inc. 501,718 29,174,902 0.9%
UDR, Inc. 1,552,746 40,200,594 1.3%
#Ventas, Inc. 1,441,328 80,613,475 2.6%
Vornado Realty Trust 1,508,390 145,831,145 4.6%
#Washington REIT 570,992 18,500,141 0.6%
#Weingarten Realty Investors 1,049,531 27,718,114 0.9%
Other Securities 412,120,778 13.1%
-------------- -----
TOTAL COMMON STOCKS 3,152,055,632 99.9%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.5%)
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares 19,467,014 19,467,014 0.6%
-------------- -----
37
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares/
Face
Amount Value+
------ -----
(000)
SECURITIES LENDING COLLATERAL -- (17.5%)......................................................
(S)@DFA Short Term Investment Fund............................................................ 672,941,132 $ 672,941,132
@Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11
(Collateralized by $1,985,791 FNMA 3.500%, 02/01/26, valued at $1,996,627) to be repurchased
at $1,938,483................................................................................ $1,938 1,938,473
--------------
TOTAL SECURITIES LENDING COLLATERAL........................................................... 674,879,605
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,988,706,483)........................................................................ $3,846,402,251
==============
Percentage
of Net Assets*
--------------
SECURITIES LENDING COLLATERAL -- (17.5%)......................................................
(S)@DFA Short Term Investment Fund............................................................ 21.3%
@Repurchase Agreement, UBS Securities LLC, 0.06%, 05/02/11
(Collateralized by $1,985,791 FNMA 3.500%, 02/01/26, valued at $1,996,627) to be repurchased
at $1,938,483................................................................................ 0.1%
------
TOTAL SECURITIES LENDING COLLATERAL........................................................... 21.4%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,988,706,483)........................................................................ 121.9%
======
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks...................
Real Estate Investment Trusts. $3,152,055,632 -- -- $3,152,055,632
Temporary Cash Investments...... 19,467,014 -- -- 19,467,014
Securities Lending Collateral... -- $674,879,605 -- 674,879,605
-------------- ------------ -- --------------
TOTAL........................... $3,171,522,646 $674,879,605 -- $3,846,402,251
============== ============ == ==============
See accompanying Notes to Financial Statements.
38
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (83.4%)
AUSTRALIA -- (6.5%)
Australia & New Zealand Banking Group, Ltd. 360,926 $ 9,614,045 0.5%
BHP Billiton, Ltd. 294,474 14,909,034 0.8%
#BHP Billiton, Ltd. Sponsored ADR 94,000 9,516,560 0.5%
Commonwealth Bank of Australia 213,538 12,605,691 0.7%
National Australia Bank, Ltd. 299,123 8,905,685 0.5%
Westpac Banking Corp. 319,640 8,726,176 0.4%
Other Securities 83,610,273 4.3%
------------ -----
TOTAL AUSTRALIA 147,887,464 7.7%
------------ -----
AUSTRIA -- (0.2%)
Other Securities 5,427,621 0.3%
------------ -----
BELGIUM -- (0.7%)
Other Securities............................. 15,732,757 0.8%
------------ -----
CANADA -- (8.6%)
#Bank of Nova Scotia 146,827 8,952,544 0.5%
Barrick Gold Corp. 140,200 7,160,032 0.4%
Canadian National Resources, Ltd. 152,300 7,164,692 0.4%
Potash Corp. of Saskatchewan, Inc. 127,800 7,219,690 0.4%
#Royal Bank of Canada 200,737 12,644,850 0.7%
Suncor Energy, Inc. 218,807 10,085,265 0.5%
#Toronto Dominion Bank 123,084 10,656,916 0.5%
Other Securities 133,758,149 6.9%
------------ -----
TOTAL CANADA 197,642,138 10.3%
------------ -----
DENMARK -- (0.9%)
Other Securities 20,572,746 1.1%
------------ -----
FINLAND -- (0.8%)
Other Securities 18,003,222 0.9%
------------ -----
FRANCE -- (7.6%)
BNP Paribas SA............................... 126,565 10,005,549 0.5%
GDF Suez SA 173,524 7,095,282 0.4%
*Sanofi-Aventis SA 104,729 8,285,859 0.4%
Total SA 162,680 10,418,270 0.6%
Total SA Sponsored ADR 144,707 9,294,531 0.5%
Other Securities 129,448,352 6.7%
------------ -----
TOTAL FRANCE 174,547,843 9.1%
------------ -----
GERMANY -- (6.5%)
#BASF SE 123,751 12,707,259 0.7%
#Bayer AG 85,355 7,493,717 0.4%
*Daimler AG.................................. 130,227 10,064,788 0.5%
#Deutsche Bank AG 130,617 8,531,902 0.4%
Siemens AG 51,634 7,510,630 0.4%
Siemens AG Sponsored ADR 67,650 9,872,841 0.5%
Other Securities 93,190,865 4.9%
------------ -----
TOTAL GERMANY 149,372,002 7.8%
------------ -----
GREECE -- (0.2%)
Other Securities 3,844,224 0.2%
------------ -----
HONG KONG -- (1.9%)
Other Securities 43,331,088 2.2%
------------ -----
39
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
IRELAND -- (0.2%)
Other Securities $ 4,082,158 0.2%
------------ -----
ISRAEL -- (0.5%)
Other Securities 11,432,145 0.6%
------------ -----
ITALY -- (2.1%)
Other Securities 48,149,705 2.5%
------------ -----
JAPAN -- (14.8%)
Mitsubishi UFJ Financial Group, Inc. ADR 1,455,897 6,944,629 0.3%
#Toyota Motor Corp. 228,700 9,123,105 0.5%
Other Securities 323,263,338 16.8%
------------ -----
TOTAL JAPAN 339,331,072 17.6%
------------ -----
NETHERLANDS -- (2.2%)
Unilever NV 224,122 7,378,251 0.4%
Other Securities 42,597,423 2.2%
------------ -----
TOTAL NETHERLANDS 49,975,674 2.6%
------------ -----
NEW ZEALAND -- (0.1%)
Other Securities 1,698,547 0.1%
------------ -----
NORWAY -- (0.9%)
Other Securities 20,271,357 1.1%
------------ -----
PORTUGAL -- (0.2%)
Other Securities 4,532,011 0.2%
------------ -----
SINGAPORE -- (1.3%)
Other Securities 28,831,474 1.5%
------------ -----
SPAIN -- (2.7%)
#Banco Santander SA Sponsored ADR 866,699 10,747,068 0.6%
Telefonica SA Sponsored ADR 407,889 10,996,687 0.6%
Other Securities 40,976,001 2.1%
------------ -----
TOTAL SPAIN 62,719,756 3.3%
------------ -----
SWEDEN -- (2.5%)
Other Securities 57,366,495 3.0%
------------ -----
SWITZERLAND -- (5.9%)
Nestle SA 471,890 29,289,453 1.5%
Novartis AG 164,651 9,763,834 0.5%
Novartis AG ADR 147,100 8,703,907 0.5%
Roche Holding AG Genusschein 97,207 15,778,632 0.8%
*UBS AG................................... 493,094 9,868,077 0.5%
Other Securities 61,966,459 3.2%
------------ -----
TOTAL SWITZERLAND 135,370,362 7.0%
------------ -----
UNITED KINGDOM -- (16.1%)
Anglo American P.L.C. 198,028 10,380,384 0.5%
Barclays P.L.C. Sponsored ADR 365,409 6,961,041 0.4%
BG Group P.L.C. 453,969 11,690,371 0.6%
#BHP Billiton P.L.C. ADR 109,908 9,252,055 0.5%
BP P.L.C. Sponsored ADR 359,546 16,589,452 0.9%
British American Tobacco P.L.C. 251,484 10,989,063 0.6%
GlaxoSmithKline P.L.C. 478,323 10,448,929 0.5%
HSBC Holdings P.L.C. 1,109,174 12,098,699 0.6%
HSBC Holdings P.L.C. Sponsored ADR 309,839 16,876,930 0.9%
Rio Tinto P.L.C. 168,948 12,327,278 0.6%
Royal Dutch Shell P.L.C. ADR 267,024 20,924,001 1.1%
40
LARGE CAP INTERNATIONAL PORTFOLIO
Shares Value++
------ -----
UNITED KINGDOM -- (Continued)
Standard Chartered P.L.C. 301,949 $ 8,391,685
Tesco P.L.C. 1,120,021 7,551,039
Vodafone Group P.L.C. 3,189,133 9,219,106
Vodafone Group P.L.C. Sponsored ADR 468,720 13,649,126
Xstrata P.L.C. 320,577 8,222,480
Other Securities 182,568,640
--------------
TOTAL UNITED KINGDOM 368,140,279
--------------
TOTAL COMMON STOCKS 1,908,262,140
--------------
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
Other Securities 4
--------------
GREECE -- (0.0%)
Other Securities --
--------------
PORTUGAL -- (0.0%)
Other Securities 10,160
--------------
SPAIN -- (0.0%)
Other Securities 11,217
--------------
TOTAL RIGHTS/WARRANTS 21,381
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$5,715,000 FNMA 2.24%, 07/06/15, valued at $5,857,875) to be repurchased at $5,770,091 $5,770 5,770,000
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (16.3%)
(S)@DFA Short Term Investment Fund 372,837,984 372,837,984
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%,
05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35,
valued at $1,274,196)## to be repurchased at $1,249,216 $1,249 1,249,212
--------------
TOTAL SECURITIES LENDING COLLATERAL 374,087,196
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,864,424,975) $2,288,140,717
==============
Percentage
of Net Assets**
---------------
UNITED KINGDOM -- (Continued)
Standard Chartered P.L.C. 0.4%
Tesco P.L.C. 0.4%
Vodafone Group P.L.C. 0.5%
Vodafone Group P.L.C. Sponsored ADR 0.7%
Xstrata P.L.C. 0.4%
Other Securities 9.5%
------
TOTAL UNITED KINGDOM 19.1%
------
TOTAL COMMON STOCKS 99.2%
------
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
Other Securities 0.0%
------
GREECE -- (0.0%)
Other Securities 0.0%
------
PORTUGAL -- (0.0%)
Other Securities 0.0%
------
SPAIN -- (0.0%)
Other Securities 0.0%
------
TOTAL RIGHTS/WARRANTS 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$5,715,000 FNMA 2.24%, 07/06/15, valued at $5,857,875) to be repurchased at $5,770,091 0.3%
------
SECURITIES LENDING COLLATERAL -- (16.3%)
(S)@DFA Short Term Investment Fund 19.4%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%,
05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35,
valued at $1,274,196)## to be repurchased at $1,249,216 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL 19.4%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,864,424,975) 118.9%
======
41
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks.................
Australia................... $ 12,572,182 $ 135,315,282 -- $ 147,887,464
Austria..................... 74,448 5,353,173 -- 5,427,621
Belgium..................... 2,328,554 13,404,203 -- 15,732,757
Canada...................... 197,642,138 -- -- 197,642,138
Denmark..................... 3,379,784 17,192,962 -- 20,572,746
Finland..................... 2,420,304 15,582,918 -- 18,003,222
France...................... 18,967,224 155,580,619 -- 174,547,843
Germany..................... 33,655,736 115,716,266 -- 149,372,002
Greece...................... 336,995 3,507,229 -- 3,844,224
Hong Kong................... -- 43,331,088 -- 43,331,088
Ireland..................... 1,705,001 2,377,157 -- 4,082,158
Israel...................... 6,286,680 5,145,465 -- 11,432,145
Italy....................... 8,177,121 39,972,584 -- 48,149,705
Japan....................... 36,004,576 303,326,496 -- 339,331,072
Netherlands................. 5,703,962 44,271,712 -- 49,975,674
New Zealand................. -- 1,698,547 -- 1,698,547
Norway Corp................. 1,437,969 18,833,388 -- 20,271,357
Portugal.................... 249,487 4,282,524 -- 4,532,011
Singapore................... -- 28,831,474 -- 28,831,474
Spain....................... 34,980,971 27,738,785 -- 62,719,756
Sweden...................... 983,980 56,382,515 -- 57,366,495
Switzerland................. 19,369,083 116,001,279 -- 135,370,362
United Kingdom.............. 125,455,392 242,684,887 -- 368,140,279
Rights/Warrants...............
Belgium..................... -- 4 -- 4
Greece...................... -- -- -- --
Portugal.................... 10,160 -- -- 10,160
Spain....................... 11,206 11 -- 11,217
Temporary Cash Investments.... -- 5,770,000 -- 5,770,000
Securities Lending Collateral. -- 374,087,196 -- 374,087,196
------------ -------------- -- --------------
TOTAL......................... $511,752,953 $1,776,387,764 -- $2,288,140,717
============ ============== == ==============
See accompanying Notes to Financial Statements.
42
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (82.8%).......................
AUSTRALIA -- (5.5%)............................
#Australia & New Zealand Banking Group, Ltd.. 658,301 $ 17,535,271 0.3%
#Commonwealth Bank of Australia.............. 254,892 15,046,923 0.2%
National Australia Bank, Ltd................. 788,988 23,490,265 0.4%
Other Securities............................. 344,372,946 5.7%
------------ -----
TOTAL AUSTRALIA................................ 400,445,405 6.6%
------------ -----
AUSTRIA -- (0.5%)..............................
Other Securities............................. 36,119,996 0.6%
------------ -----
BELGIUM -- (1.1%)..............................
Other Securities............................. 75,263,041 1.2%
------------ -----
CANADA -- (9.6%)...............................
#Royal Bank of Canada........................ 230,274 14,505,449 0.2%
Suncor Energy, Inc........................... 578,166 26,648,860 0.4%
Teck Resources, Ltd. Class B................. 279,087 15,170,369 0.3%
#Toronto Dominion Bank....................... 309,560 26,802,468 0.4%
Other Securities............................. 615,692,351 10.2%
------------ -----
TOTAL CANADA................................... 698,819,497 11.5%
------------ -----
DENMARK -- (0.8%)..............................
Other Securities............................. 60,031,083 1.0%
------------ -----
FINLAND -- (1.4%)..............................
Other Securities............................. 102,499,034 1.7%
------------ -----
FRANCE -- (7.0%)...............................
BNP Paribas SA............................... 331,407 26,199,257 0.4%
Cie de Saint-Gobain SA....................... 217,607 15,014,819 0.3%
GDF Suez SA.................................. 448,650 18,345,003 0.3%
#*Sanofi-Aventis SA ADR....................... 530,172 20,952,397 0.4%
#Schneider Electric SA....................... 88,768 15,682,922 0.3%
Societe Generale Paris SA.................... 219,316 14,656,429 0.2%
#Total SA Sponsored ADR...................... 448,384 28,799,704 0.5%
Vivendi SA................................... 445,349 13,963,902 0.2%
Other Securities............................. 352,527,039 5.8%
------------ -----
TOTAL FRANCE................................... 506,141,472 8.4%
------------ -----
GERMANY -- (5.4%)..............................
Allianz SE Sponsored ADR..................... 984,886 15,511,954 0.3%
Bayerische Motoren Werke AG.................. 146,243 13,768,599 0.2%
#*Daimler AG.................................. 304,129 23,505,063 0.4%
Deutsche Bank AG............................. 242,074 15,766,133 0.3%
#E.ON AG..................................... 401,016 13,706,397 0.2%
Munchener Rueckversicherungs-Gesellschaft AG. 86,672 14,296,967 0.2%
#Siemens AG Sponsored ADR.................... 125,474 18,311,676 0.3%
Other Securities............................. 278,606,306 4.6%
------------ -----
TOTAL GERMANY.................................. 393,473,095 6.5%
------------ -----
GREECE -- (0.5%)...............................
Other Securities............................. 36,920,143 0.6%
------------ -----
HONG KONG -- (2.0%)............................
Other Securities............................. 144,842,905 2.4%
------------ -----
IRELAND -- (0.5%)..............................
Other Securities............................. 34,018,708 0.6%
------------ -----
43
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
ISRAEL -- (0.7%)
Teva Pharmaceutical Industries, Ltd. Sponsored ADR 368,163 $ 16,836,094 0.3%
Other Securities 32,613,073 0.5%
-------------- -----
TOTAL ISRAEL 49,449,167 0.8%
-------------- -----
ITALY -- (2.1%)
UniCredit SpA 5,518,028 14,210,670 0.2%
Other Securities 139,654,035 2.3%
-------------- -----
TOTAL ITALY 153,864,705 2.5%
-------------- -----
JAPAN -- (14.4%)
#Honda Motor Co., Ltd. Sponsored ADR 409,732 15,713,222 0.3%
Sumitomo Mitsui Financial Group, Inc. 484,058 15,035,748 0.2%
Toyota Motor Corp. Sponsored ADR 312,041 24,863,427 0.4%
Other Securities 992,497,451 16.4%
-------------- -----
TOTAL JAPAN 1,048,109,848 17.3%
-------------- -----
NETHERLANDS -- (2.3%)
#*ING Groep NV Sponsored ADR 1,565,969 20,655,131 0.4%
Other Securities 141,771,543 2.3%
-------------- -----
TOTAL NETHERLANDS 162,426,674 2.7%
-------------- -----
NEW ZEALAND -- (0.2%)
Other Securities 13,206,300 0.2%
-------------- -----
NORWAY -- (1.0%)
Other Securities 75,220,457 1.2%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities 23,016,664 0.4%
-------------- -----
SINGAPORE -- (1.3%)
Other Securities 94,534,651 1.6%
-------------- -----
SPAIN -- (2.1%)
#Banco Santander SA Sponsored ADR 2,184,692 27,090,181 0.4%
Other Securities 125,362,027 2.1%
-------------- -----
TOTAL SPAIN 152,452,208 2.5%
-------------- -----
SWEDEN -- (2.5%)
Nordea Bank AB 1,205,520 13,744,737 0.2%
Other Securities 168,306,819 2.8%
-------------- -----
TOTAL SWEDEN 182,051,556 3.0%
-------------- -----
SWITZERLAND -- (5.6%)
Compagnie Financiere Richemont SA Series A 232,579 15,043,012 0.2%
Credit Suisse Group AG Sponsored ADR 405,680 18,454,383 0.3%
Holcim, Ltd. AG 196,366 17,109,769 0.3%
Nestle SA 546,164 33,899,521 0.6%
#Novartis AG ADR 490,226 29,006,672 0.5%
*UBS AG 1,301,013 26,036,610 0.4%
Zurich Financial Services AG 91,736 25,794,204 0.4%
Other Securities 242,367,281 4.0%
-------------- -----
TOTAL SWITZERLAND 407,711,452 6.7%
-------------- -----
UNITED KINGDOM -- (16.0%)
Anglo American P.L.C. 536,326 28,113,548 0.5%
#Barclays P.L.C. Sponsored ADR 1,016,357 19,361,601 0.3%
BG Group P.L.C. 598,458 15,411,176 0.3%
BP P.L.C. Sponsored ADR 1,170,156 53,990,998 0.9%
44
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
UNITED KINGDOM -- (Continued)
#HSBC Holdings P.L.C. Sponsored ADR 1,280,305 $ 69,738,213 1.2%
Imperial Tobacco Group P.L.C. 400,030 14,109,950 0.2%
#Prudential P.L.C. ADR 545,150 14,086,676 0.2%
#Rio Tinto P.L.C. Sponsored ADR 257,107 18,822,803 0.3%
Royal Dutch Shell P.L.C. ADR 1,131,506 88,664,810 1.5%
SABmiller P.L.C. 396,880 14,826,541 0.3%
Standard Chartered P.L.C. 941,963 26,178,780 0.4%
Vodafone Group P.L.C. Sponsored ADR 1,875,431 54,612,551 0.9%
Xstrata P.L.C. 782,713 20,075,808 0.3%
Other Securities 724,002,047 11.9%
-------------- -----
TOTAL UNITED KINGDOM 1,161,995,502 19.2%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities 655,387 0.0%
-------------- -----
TOTAL COMMON STOCKS 6,013,268,950 99.2%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities 41 0.0%
-------------- -----
BELGIUM -- (0.0%)
Other Securities 2,953 0.0%
-------------- -----
DENMARK -- (0.0%)
Other Securities 966 0.0%
-------------- -----
FRANCE -- (0.0%)
Other Securities 522 0.0%
-------------- -----
GERMANY -- (0.0%)
Other Securities 122,789 0.0%
-------------- -----
GREECE -- (0.0%)
Other Securities 2,086 0.0%
-------------- -----
ITALY -- (0.0%)
Other Securities 465 0.0%
-------------- -----
JAPAN -- (0.0%)
Other Securities -- 0.0%
-------------- -----
NORWAY -- (0.0%)
Other Securities 184 0.0%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities 113,710 0.0%
-------------- -----
SINGAPORE -- (0.0%)
Other Securities 147,547 0.0%
-------------- -----
SPAIN -- (0.0%)
Other Securities 79,898 0.0%
-------------- -----
SWITZERLAND -- (0.0%)
Other Securities 519 0.0%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities 2,894 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 474,574 0.0%
-------------- -----
45
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$28,475,000 FNMA 2.24%, 07/06/15, valued at $29,186,875) to be repurchased at
$28,753,455............................................................................ $28,753 $28,753,000
--------------
Shares/
Face
Amount
(000)
SECURITIES LENDING COLLATERAL -- (16.8%)..................................................
(S)@DFA Short Term Investment Fund........................................................ 1,218,052,611 1,218,052,611
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,590,437)## to be repurchased at
$1,559,257............................................................................... $1,559 1,559,252
--------------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 1,219,611,863
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,506,851,776).................................................................... $7,262,108,387
==============
Percentage
of Net Assets**
---------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$28,475,000 FNMA 2.24%, 07/06/15, valued at $29,186,875) to be repurchased at
$28,753,455............................................................................ 0.5%
------
SECURITIES LENDING COLLATERAL -- (16.8%)..................................................
(S)@DFA Short Term Investment Fund........................................................ 20.1%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,590,437)## to be repurchased at
$1,559,257............................................................................... 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 20.1%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,506,851,776).................................................................... 119.8%
======
46
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks.................
Australia................... $ 27,480,405 $ 372,965,000 -- $ 400,445,405
Austria..................... 130,284 35,989,712 -- 36,119,996
Belgium..................... 5,627,093 69,635,948 -- 75,263,041
Canada...................... 698,819,030 467 -- 698,819,497
Denmark..................... 3,041,786 56,989,297 -- 60,031,083
Finland..................... 5,008,899 97,490,135 -- 102,499,034
France...................... 93,482,704 412,658,768 -- 506,141,472
Germany..................... 72,283,916 321,189,179 -- 393,473,095
Greece...................... 3,845,305 33,074,838 -- 36,920,143
Hong Kong................... 547,361 144,295,544 -- 144,842,905
Ireland..................... 10,180,098 23,838,610 -- 34,018,708
Israel...................... 19,618,978 29,830,189 -- 49,449,167
Italy....................... 18,107,930 135,756,775 -- 153,864,705
Japan....................... 90,055,804 958,054,044 -- 1,048,109,848
Netherlands................. 39,540,218 122,886,456 -- 162,426,674
New Zealand................. 457,775 12,748,525 -- 13,206,300
Norway...................... 5,357,302 69,863,155 -- 75,220,457
Portugal.................... 300,030 22,716,634 -- 23,016,664
Singapore................... 13,302 94,521,349 -- 94,534,651
Spain....................... 59,757,395 92,694,813 -- 152,452,208
Sweden...................... 11,241,760 170,809,796 -- 182,051,556
Switzerland................. 69,419,090 338,292,362 -- 407,711,452
United Kingdom.............. 406,138,257 755,857,245 -- 1,161,995,502
United States............... 655,387 -- -- 655,387
Rights/Warrants...............
Australia................... -- 41 -- 41
Belgium..................... 1,678 1,275 -- 2,953
Denmark..................... 962 4 -- 966
France...................... 522 -- -- 522
Germany..................... 122,789 -- -- 122,789
Greece...................... -- 2,086 -- 2,086
Italy....................... 465 -- -- 465
Japan....................... -- -- -- --
Norway...................... -- 184 -- 184
Portugal.................... 113,710 -- -- 113,710
Singapore................... 147,547 -- -- 147,547
Spain....................... 79,898 -- -- 79,898
Switzerland................. 519 -- -- 519
United Kingdom.............. -- 2,894 -- 2,894
Temporary Cash Investments.... -- 28,753,000 -- 28,753,000
Securities Lending Collateral. -- 1,219,611,863 -- 1,219,611,863
-------------- -------------- -- --------------
TOTAL......................... $1,641,578,199 $5,620,530,188 -- $7,262,108,387
============== ============== == ==============
See accompanying Notes to Financial Statements.
47
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANIES -- (99.8%)
Investment in The Continental Small Company Series of The DFA Investment Trust
Company.......................................................................... $2,554,907,215
Investment in The Japanese Small Company Series of The DFA Investment Trust
Company.......................................................................... 1,308,562,165
Investment in The United Kingdom Small Company Series of The DFA Investment Trust
Company.......................................................................... 1,236,071,806
Investment in The Canadian Small Company Series of The DFA Investment Trust
Company.......................................................................... 957,603,123
Investment in The Asia Pacific Small Company Series of The DFA Investment Trust
Company.......................................................................... 929,252,329
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost
$5,617,598,557)............................................................... $6,986,396,638
==============
Face
Amount
(000)
-----
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$10,975,000 FNMA 2.24%, 07/06/15, valued at $11,249,375) to be repurchased at
$11,083,175 (Cost $11,083,000)................................................... $11,083 11,083,000
--------------
TOTAL INVESTMENTS - (100.0%) (Cost $5,628,681,557).............................. $6,997,479,638
==============
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
-------------------------------------------------
Investment in Securities (Market Value)
-------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ----------- ------- --------------
Affiliated Investment Companies. $6,986,396,638 -- -- $6,986,396,638
Temporary Cash Investments...... -- $11,083,000 -- 11,083,000
-------------- ----------- -- --------------
TOTAL........................... $6,986,396,638 $11,083,000 -- $6,997,479,638
============== =========== == ==============
See accompanying Notes to Financial Statements.
48
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULES OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of The DFA Investment Trust Company. $169,096,348
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $228,036,350)............................................................ $169,096,348
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
ASIA PACIFIC SMALL COMPANY PORTFOLIO
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company. $169,658,381
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $131,164,746).................................................................. $169,658,381
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
49
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULES OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company. $39,416,049
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $30,882,561)................................................................... $39,416,049
===========
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
CONTINENTAL SMALL COMPANY PORTFOLIO
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Continental Small Company Series of The DFA Investment Trust Company $157,927,445
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $116,394,338)............................................................... $157,927,445
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
50
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (84.5%).............................................
AUSTRALIA -- (23.1%).................................................
CFS Retail Property Trust.......................................... 9,140,519 $ 17,945,434 1.6%
Charter Hall Office REIT........................................... 2,029,254 7,830,793 0.7%
#Commonwealth Property Office Fund................................. 9,463,351 9,515,454 0.9%
Dexus Property Group............................................... 21,215,870 20,516,558 1.8%
Goodman Group...................................................... 30,284,299 23,624,671 2.1%
GPT Group.......................................................... 7,962,846 27,661,126 2.5%
Investa Office Fund................................................ 11,534,168 7,985,411 0.7%
Stockland Trust Group.............................................. 10,460,501 43,428,076 3.9%
Westfield Group.................................................... 8,715,464 86,367,676 7.8%
Westfield Retail Trust............................................. 11,453,758 33,269,167 3.0%
Other Securities................................................... 23,098,132 2.1%
------------ ------
TOTAL AUSTRALIA...................................................... 301,242,498 27.1%
------------ ------
BELGIUM -- (1.5%)....................................................
Befimmo SCA........................................................ 58,642 5,439,713 0.5%
#Cofinimmo SA...................................................... 53,750 8,271,881 0.7%
Other Securities................................................... 6,055,414 0.6%
------------ ------
TOTAL BELGIUM........................................................ 19,767,008 1.8%
------------ ------
CANADA -- (5.9%).....................................................
#Calloway REIT..................................................... 214,454 5,673,290 0.5%
#H&R REIT.......................................................... 524,846 12,148,314 1.1%
#Riocan REIT....................................................... 561,572 15,046,082 1.4%
Other Securities................................................... 43,857,641 3.9%
------------ ------
TOTAL CANADA......................................................... 76,725,327 6.9%
------------ ------
CHINA -- (0.1%)......................................................
Other Securities................................................... 1,404,452 0.1%
------------ ------
FRANCE -- (12.9%)....................................................
Fonciere des Regions SA............................................ 111,672 12,672,837 1.2%
Gecina SA.......................................................... 90,375 13,025,699 1.2%
#Icade SA.......................................................... 98,453 12,621,398 1.1%
Klepierre SA....................................................... 427,257 17,558,008 1.6%
Societe Immobiliere de Location pour l'Industrie et le Commerce SA. 60,179 9,020,480 0.8%
#Unibail-Rodamco SE................................................ 394,586 92,315,610 8.3%
Other Securities................................................... 11,462,563 1.0%
------------ ------
TOTAL FRANCE......................................................... 168,676,595 15.2%
------------ ------
GERMANY -- (0.2%)....................................................
Other Securities................................................... 2,042,909 0.2%
------------ ------
GREECE -- (0.0%).....................................................
Other Securities................................................... 408,221 0.0%
------------ ------
HONG KONG -- (3.2%)..................................................
#Champion REIT..................................................... 10,989,012 6,342,098 0.6%
Link REIT (The).................................................... 9,715,472 30,619,562 2.7%
Other Securities................................................... 4,132,109 0.4%
------------ ------
TOTAL HONG KONG...................................................... 41,093,769 3.7%
------------ ------
ISRAEL -- (0.0%).....................................................
Other Securities................................................... 391,909 0.0%
------------ ------
ITALY -- (0.3%)......................................................
Other Securities................................................... 3,456,857 0.3%
------------ ------
51
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
JAPAN -- (12.9%).........................
Advance Residence Investment Corp...... 4,254 $ 8,909,709 0.8%
#Frontier Real Estate Investment Corp.. 766 7,101,739 0.6%
Japan Logistics Fund, Inc.............. 620 5,318,468 0.5%
Japan Prime Realty Investment Corp..... 2,950 8,388,541 0.7%
Japan Real Estate Investment Corp...... 2,177 21,550,137 1.9%
Japan Retail Fund Investment........... 6,713 10,852,974 1.0%
#MORI TRUST Sogo REIT, Inc............. 744 7,557,169 0.7%
#Nippon Building Fund, Inc............. 2,395 24,104,622 2.2%
#Nomura Real Estate Office Fund, Inc... 1,192 8,630,683 0.8%
#Orix Jreit, Inc....................... 1,057 5,770,286 0.5%
United Urban Investment Corp........... 6,016 7,634,530 0.7%
Other Securities....................... 52,289,100 4.7%
-------------- ------
TOTAL JAPAN.............................. 168,107,958 15.1%
-------------- ------
MALAYSIA -- (0.1%).......................
Other Securities....................... 1,006,452 0.1%
-------------- ------
NETHERLANDS -- (3.4%)....................
#Corio NV.............................. 237,525 16,818,292 1.5%
Eurocommercial Properties NV........... 152,188 7,821,339 0.7%
VastNed Retail NV...................... 72,402 5,548,018 0.5%
#Wereldhave NV......................... 89,009 9,303,423 0.8%
Other Securities....................... 4,893,949 0.5%
-------------- ------
TOTAL NETHERLANDS........................ 44,385,021 4.0%
-------------- ------
NEW ZEALAND -- (0.7%)....................
Other Securities....................... 9,456,462 0.9%
-------------- ------
SINGAPORE -- (5.8%)......................
Ascendas REIT.......................... 6,612,000 10,981,499 1.0%
#CapitaCommercial Trust................ 8,802,000 10,368,716 0.9%
CapitaMall Trust....................... 9,910,300 15,329,499 1.4%
#Suntec REIT........................... 8,802,000 10,941,764 1.0%
Other Securities....................... 28,356,345 2.6%
-------------- ------
TOTAL SINGAPORE.......................... 75,977,823 6.9%
-------------- ------
SOUTH AFRICA -- (1.2%)...................
Other Securities....................... 15,209,380 1.4%
-------------- ------
TAIWAN -- (0.4%).........................
Other Securities....................... 5,165,341 0.5%
-------------- ------
TURKEY -- (0.3%).........................
Other Securities....................... 3,721,065 0.3%
-------------- ------
UNITED KINGDOM -- (12.5%)................
British Land Co. P.L.C................. 3,468,090 34,918,778 3.1%
Capital Shopping Centres Group P.L.C... 2,010,281 13,661,937 1.2%
Derwent London P.L.C................... 424,026 12,721,129 1.1%
Great Portland Estates P.L.C........... 1,205,759 8,495,301 0.8%
Hammerson P.L.C........................ 2,892,433 22,739,690 2.1%
Land Securities Group P.L.C............ 3,045,575 40,033,426 3.6%
Segro P.L.C............................ 2,834,726 15,428,138 1.4%
Shaftesbury P.L.C...................... 822,648 7,070,992 0.6%
Other Securities....................... 7,270,088 0.7%
-------------- ------
TOTAL UNITED KINGDOM..................... 162,339,479 14.6%
-------------- ------
TOTAL COMMON STOCKS...................... 1,100,578,526 99.1%
-------------- ------
52
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Value++
-----
RIGHTS/WARRANTS -- (0.0%).................................................................
UNITED KINGDOM -- (0.0%)..................................................................
Other Securities........................................................................ $1,078
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$2,390,000 FNMA 2.24%, 07/06/15, valued at $2,449,750) to be repurchased at
$2,412,038............................................................................. $2,412 2,412,000
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (15.3%)..................................................
(S)@DFA Short Term Investment Fund........................................................ 199,193,000 199,193,000
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $403,316)## to be repurchased at
$395,409................................................................................. $ 395 395,408
--------------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 199,588,408
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,216,461,623).................................................................... $1,302,580,012
==============
Percentage
of Net Assets**
---------------
RIGHTS/WARRANTS -- (0.0%).................................................................
UNITED KINGDOM -- (0.0%)..................................................................
Other Securities........................................................................ 0.0%
-------
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$2,390,000 FNMA 2.24%, 07/06/15, valued at $2,449,750) to be repurchased at
$2,412,038............................................................................. 0.2%
-------
SECURITIES LENDING COLLATERAL -- (15.3%)..................................................
(S)@DFA Short Term Investment Fund........................................................ 18.0%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $403,316)## to be repurchased at
$395,409................................................................................. 0.0%
-------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 18.0%
-------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,216,461,623).................................................................... 117.3%
=======
53
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks.................
Australia................... $ 33,269,167 $ 267,973,331 -- $ 301,242,498
Belgium..................... -- 19,767,008 -- 19,767,008
Canada...................... 76,725,327 -- -- 76,725,327
China....................... -- 1,404,452 -- 1,404,452
France...................... -- 168,676,595 -- 168,676,595
Germany..................... -- 2,042,909 -- 2,042,909
Greece...................... -- 408,221 -- 408,221
Hong Kong................... -- 41,093,769 -- 41,093,769
Israel...................... -- 391,909 -- 391,909
Italy....................... -- 3,456,857 -- 3,456,857
Japan....................... -- 168,107,958 -- 168,107,958
Malaysia.................... -- 1,006,452 -- 1,006,452
Netherlands................. -- 44,385,021 -- 44,385,021
New Zealand................. -- 9,456,462 -- 9,456,462
Singapore................... -- 75,977,823 -- 75,977,823
South Africa................ -- 15,209,380 -- 15,209,380
Taiwan...................... -- 5,165,341 -- 5,165,341
Turkey...................... -- 3,721,065 -- 3,721,065
United Kingdom.............. -- 162,339,479 -- 162,339,479
Rights/Warrants...............
United Kingdom.............. -- 1,078 -- 1,078
Temporary Cash Investments.... -- 2,412,000 -- 2,412,000
Securities Lending Collateral. -- 199,588,408 -- 199,588,408
------------ -------------- -- --------------
TOTAL......................... $109,994,494 $1,192,585,518 -- $1,302,580,012
============ ============== == ==============
See accompanying Notes to Financial Statements.
54
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value+
------ -----
AFFILIATED INVESTMENT COMPANIES -- (99.8%)............................................
Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group
Inc................................................................................. 18,806,804 $457,193,405
Investment in DFA International Real Estate Securities Portfolio of DFA Investment
Dimensions Group Inc................................................................ 64,031,023 357,933,419
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $583,053,221)................................................................ 815,126,824
------------
TEMPORARY CASH INVESTMENTS -- (0.2%)..................................................
BlackRock Liquidity Funds Tempcash Portfolio-Institutional Shares
(Cost $1,244,145).................................................................. 1,244,145 1,244,145
------------
TOTAL INVESTMENTS - (100.0%)
(Cost $584,297,366)................................................................ $816,370,969
============
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
-----------------------------------------
Investment in Securities (Market Value)
-----------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------- ------- ------------
Affiliated Investment Companies. $815,126,824 -- -- $815,126,824
Temporary Cash Investments...... 1,244,145 -- -- 1,244,145
------------ -- -- ------------
TOTAL........................... $816,370,969 -- -- $816,370,969
============ == == ============
See accompanying Notes to Financial Statements.
55
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (89.8%)
AUSTRALIA -- (6.3%)
Iluka Resources, Ltd. 4,434,577 $ 61,017,166 0.7%
#Primary Health Care, Ltd. 9,855,016 37,590,969 0.4%
Other Securities 542,533,643 5.8%
-------------- -----
TOTAL AUSTRALIA 641,141,778 6.9%
-------------- -----
AUSTRIA -- (1.0%)
#*Wienerberger AG 2,057,496 43,996,875 0.5%
Other Securities 53,208,936 0.6%
-------------- -----
TOTAL AUSTRIA 97,205,811 1.1%
-------------- -----
BELGIUM -- (1.0%)
Other Securities 104,713,305 1.1%
-------------- -----
CANADA -- (12.5%)
*Advantage Oil & Gas, Ltd. 4,505,065 38,282,220 0.4%
#*Canfor Corp. 2,910,053 38,322,951 0.4%
*Celestica, Inc. 4,421,197 48,924,518 0.5%
Groupe Aeroplan, Inc. 3,926,331 53,822,875 0.6%
#HudBay Minerals, Inc. 2,684,176 42,837,877 0.5%
#Laurentian Bank of Canada 707,853 37,609,016 0.4%
*Precision Drilling Corp. 2,895,326 43,851,421 0.5%
*Quadra FNX Mining, Ltd. 2,985,672 49,006,485 0.5%
RONA, Inc. 3,264,600 47,719,091 0.5%
Sherritt International Corp. 6,945,583 58,727,119 0.7%
Trinidad Drilling, Ltd. 2,991,070 34,268,561 0.4%
West Fraser Timber Co., Ltd. 702,774 39,961,149 0.4%
Other Securities 742,229,393 8.0%
-------------- -----
TOTAL CANADA 1,275,562,676 13.8%
-------------- -----
DENMARK -- (0.6%)
Other Securities 62,421,321 0.7%
-------------- -----
FINLAND -- (2.7%)
#Outokumpu Oyj 2,864,481 47,719,423 0.5%
Pohjola Bank P.L.C. 3,363,010 49,908,623 0.5%
#Rautaruukki Oyj Series K 1,412,365 36,648,035 0.4%
Other Securities 142,781,002 1.6%
-------------- -----
TOTAL FINLAND 277,057,083 3.0%
-------------- -----
FRANCE -- (5.6%)
Arkema SA 1,028,400 107,107,988 1.1%
Havas SA 7,563,593 43,105,077 0.5%
Nexans SA 601,472 63,746,160 0.7%
*Valeo SA 714,880 45,535,881 0.5%
Other Securities 316,492,574 3.4%
-------------- -----
TOTAL FRANCE 575,987,680 6.2%
-------------- -----
GERMANY -- (5.6%)
Aurubis AG 1,045,010 61,760,912 0.7%
Bilfinger Berger SE 956,696 92,099,623 1.0%
*Kloeckner & Co. SE 915,483 32,871,228 0.3%
Lanxess AG 368,686 33,732,718 0.4%
Other Securities 355,941,336 3.8%
-------------- -----
TOTAL GERMANY 576,405,817 6.2%
-------------- -----
56
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
GREECE -- (0.4%)..................
Other Securities................ $ 35,765,352 0.4%
-------------- -----
HONG KONG -- (2.6%)...............
Other Securities................ 263,549,990 2.8%
-------------- -----
IRELAND -- (0.3%).................
Other Securities................ 26,014,346 0.3%
-------------- -----
ISRAEL -- (0.8%)..................
Other Securities................ 78,095,573 0.8%
-------------- -----
ITALY -- (2.7%)...................
#Banca Popolare di Milano Scarl. 10,151,010 34,739,939 0.4%
Pirelli & Co. SpA............... 3,574,378 37,211,793 0.4%
Other Securities................ 205,399,170 2.2%
-------------- -----
TOTAL ITALY....................... 277,350,902 3.0%
-------------- -----
JAPAN -- (17.8%)..................
Other Securities................ 1,816,312,875 19.6%
-------------- -----
MALAYSIA -- (0.0%)................
Other Securities................ 6,394 0.0%
-------------- -----
NETHERLANDS -- (1.7%).............
Nutreco NV...................... 431,492 33,580,770 0.4%
Other Securities................ 142,473,330 1.5%
-------------- -----
TOTAL NETHERLANDS................. 176,054,100 1.9%
-------------- -----
NEW ZEALAND -- (0.5%).............
Other Securities................ 49,469,411 0.5%
-------------- -----
NORWAY -- (1.3%)..................
Other Securities................ 137,888,398 1.5%
-------------- -----
PORTUGAL -- (0.2%)................
Other Securities................ 20,439,559 0.2%
-------------- -----
SINGAPORE -- (1.2%)...............
Other Securities................ 126,692,555 1.4%
-------------- -----
SPAIN -- (1.8%)...................
Other Securities................ 187,694,635 2.0%
-------------- -----
SWEDEN -- (2.8%)..................
#Holmen AB...................... 961,774 35,492,447 0.4%
#Trelleborg AB Series B......... 6,786,568 82,129,373 0.9%
Other Securities................ 169,836,262 1.8%
-------------- -----
TOTAL SWEDEN...................... 287,458,082 3.1%
-------------- -----
SWITZERLAND -- (4.7%).............
*Clariant AG.................... 2,390,569 49,628,051 0.5%
Helvetia Holding AG............. 106,929 50,204,609 0.5%
Other Securities................ 385,301,936 4.2%
-------------- -----
TOTAL SWITZERLAND................. 485,134,596 5.2%
-------------- -----
UNITED KINGDOM -- (15.7%).........
Amlin P.L.C..................... 9,801,581 68,556,359 0.7%
Ashtead Group P.L.C............. 12,335,561 41,763,815 0.5%
Bellway P.L.C................... 3,481,205 41,217,610 0.4%
Bodycote P.L.C.................. 5,826,032 37,957,217 0.4%
Catlin Group, Ltd. P.L.C........ 8,969,846 59,310,615 0.6%
57
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value++
------ -----
UNITED KINGDOM -- (Continued)
*Cookson Group P.L.C........................................................................ 4,807,085 $ 57,670,897
DS Smith P.L.C.............................................................................. 12,895,987 46,743,560
Greene King P.L.C........................................................................... 5,490,066 44,989,536
Hiscox, Ltd. P.L.C.......................................................................... 10,648,017 73,489,439
Logica P.L.C................................................................................ 15,376,104 34,834,857
Meggitt P.L.C............................................................................... 12,486,050 75,124,743
Millennium & Copthorne Hotels P.L.C......................................................... 5,091,746 45,031,189
Mondi P.L.C................................................................................. 7,958,099 79,094,767
Persimmon P.L.C............................................................................. 7,337,098 59,353,298
*Taylor Wimpey P.L.C........................................................................ 57,929,451 37,855,708
Thomas Cook Group P.L.C..................................................................... 12,134,733 34,817,238
Travis Perkins P.L.C........................................................................ 4,262,775 76,778,817
Other Securities............................................................................ 691,068,734
--------------
TOTAL UNITED KINGDOM 1,605,658,399
--------------
TOTAL COMMON STOCKS 9,184,080,638
--------------
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
Other Securities............................................................................ 20,259
--------------
DENMARK -- (0.0%)
Other Securities............................................................................ 263
--------------
GREECE -- (0.0%)
Other Securities............................................................................ 14,527
--------------
ITALY -- (0.0%)
Other Securities............................................................................ 15,572
--------------
PORTUGAL -- (0.0%)
Other Securities............................................................................ 50,610
--------------
SPAIN -- (0.0%)
Other Securities............................................................................ 50,395
--------------
SWITZERLAND -- (0.0%)
Other Securities............................................................................ 2,572
--------------
UNITED KINGDOM -- (0.0%)
Other Securities............................................................................ 32,443
--------------
TOTAL RIGHTS/WARRANTS......................................................................... 186,641
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$14,260,000 FNMA 2.24%, 07/06/15, valued at $14,616,500) to be repurchased at $14,399,228 $14,399 14,399,000
--------------
Percentage
of Net Assets**
---------------
UNITED KINGDOM -- (Continued)
*Cookson Group P.L.C........................................................................ 0.6%
DS Smith P.L.C.............................................................................. 0.5%
Greene King P.L.C........................................................................... 0.5%
Hiscox, Ltd. P.L.C.......................................................................... 0.8%
Logica P.L.C................................................................................ 0.4%
Meggitt P.L.C............................................................................... 0.8%
Millennium & Copthorne Hotels P.L.C......................................................... 0.5%
Mondi P.L.C................................................................................. 0.9%
Persimmon P.L.C............................................................................. 0.6%
*Taylor Wimpey P.L.C........................................................................ 0.4%
Thomas Cook Group P.L.C..................................................................... 0.4%
Travis Perkins P.L.C........................................................................ 0.8%
Other Securities............................................................................ 7.5%
-----
TOTAL UNITED KINGDOM 17.3%
-----
TOTAL COMMON STOCKS 99.0%
-----
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
Other Securities............................................................................ 0.0%
-----
DENMARK -- (0.0%)
Other Securities............................................................................ 0.0%
-----
GREECE -- (0.0%)
Other Securities............................................................................ 0.0%
-----
ITALY -- (0.0%)
Other Securities............................................................................ 0.0%
-----
PORTUGAL -- (0.0%)
Other Securities............................................................................ 0.0%
-----
SPAIN -- (0.0%)
Other Securities............................................................................ 0.0%
-----
SWITZERLAND -- (0.0%)
Other Securities............................................................................ 0.0%
-----
UNITED KINGDOM -- (0.0%)
Other Securities............................................................................ 0.0%
-----
TOTAL RIGHTS/WARRANTS......................................................................... 0.0%
-----
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$14,260,000 FNMA 2.24%, 07/06/15, valued at $14,616,500) to be repurchased at $14,399,228 0.2%
-----
58
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------ ----- ---------------
(000)
SECURITIES LENDING COLLATERAL -- (10.1%).........................................
(S)@DFA Short Term Investment Fund............................................... 1,027,360,170 $ 1,027,360,170 11.1%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11
(Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,496,682)
## to be repurchased at $1,467,340............................................. $ 1,467 1,467,335 0.0%
--------------- ------
TOTAL SECURITIES LENDING COLLATERAL.............................................. 1,028,827,505 11.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,260,297,229)........................................................... $10,227,493,784 110.3%
=============== ======
59
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
-----------------------------------------------------
Investment in Securities (Market Value)
-----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- ---------------
Common Stocks.................
Australia................... $ 7,231,943 $ 633,909,835 -- $ 641,141,778
Austria..................... 22,093 97,183,718 -- 97,205,811
Belgium..................... -- 104,713,305 -- 104,713,305
Canada...................... 1,275,562,676 -- -- 1,275,562,676
Denmark..................... 412,499 62,008,822 -- 62,421,321
Finland..................... -- 277,057,083 -- 277,057,083
France...................... -- 575,987,680 -- 575,987,680
Germany..................... 2,170,706 574,235,111 -- 576,405,817
Greece...................... 24,812 35,740,540 -- 35,765,352
Hong Kong................... 90,999 263,458,991 -- 263,549,990
Ireland..................... 483,959 25,530,387 -- 26,014,346
Israel...................... -- 78,095,573 -- 78,095,573
Italy....................... -- 277,350,902 -- 277,350,902
Japan....................... -- 1,816,312,875 -- 1,816,312,875
Malaysia.................... -- 6,394 -- 6,394
Netherlands................. -- 176,054,100 -- 176,054,100
New Zealand................. -- 49,469,411 -- 49,469,411
Norway...................... -- 137,888,398 -- 137,888,398
Portugal.................... -- 20,439,559 -- 20,439,559
Singapore................... 93,379 126,599,176 -- 126,692,555
Spain....................... -- 187,694,635 -- 187,694,635
Sweden...................... 4,780 287,453,302 -- 287,458,082
Switzerland................. -- 485,134,596 -- 485,134,596
United Kingdom.............. 6,728,943 1,598,929,456 -- 1,605,658,399
Rights/Warrants...............
Belgium..................... 20,259 -- -- 20,259
Denmark..................... 263 -- -- 263
Greece...................... -- 14,527 -- 14,527
Italy....................... 15,572 -- -- 15,572
Portugal.................... 50,610 -- -- 50,610
Spain....................... 42,509 7,886 -- 50,395
Switzerland................. 2,572 -- -- 2,572
United Kingdom.............. -- 32,443 -- 32,443
Temporary Cash Investments.... -- 14,399,000 -- 14,399,000
Securities Lending Collateral. -- 1,028,827,505 -- 1,028,827,505
-------------- -------------- -- ---------------
TOTAL......................... $1,292,958,574 $8,934,535,210 -- $10,227,493,784
============== ============== == ===============
See accompanying Notes to Financial Statements.
60
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (85.1%)
AUSTRALIA -- (5.6%)
Macquarie Group, Ltd. 21,994 $ 850,309 0.2%
National Australia Bank, Ltd. 44,894 1,336,613 0.3%
Origin Energy, Ltd. 53,648 962,392 0.2%
Other Securities 28,294,300 5.8%
----------- -----
TOTAL AUSTRALIA 31,443,614 6.5%
----------- -----
AUSTRIA -- (0.6%)
Other Securities 3,417,932 0.7%
----------- -----
BELGIUM -- (1.3%)
Solvay SA 5,891 849,360 0.2%
Other Securities 6,618,078 1.4%
----------- -----
TOTAL BELGIUM 7,467,438 1.6%
----------- -----
CANADA -- (10.4%)
#Bank of Montreal 13,100 860,365 0.2%
First Quantum Minerals, Ltd. 5,800 826,522 0.2%
Magna International, Inc. 18,560 953,746 0.2%
Nexen, Inc. 34,506 912,842 0.2%
Suncor Energy, Inc. 34,672 1,598,104 0.3%
Talisman Energy, Inc. 45,748 1,104,837 0.2%
Teck Resources, Ltd. Class B 17,000 924,071 0.2%
#Toronto Dominion Bank 15,429 1,335,881 0.3%
*Valeant Pharmaceuticals International, Inc. 16,500 870,211 0.2%
Other Securities 48,790,414 10.1%
----------- -----
TOTAL CANADA 58,176,993 12.1%
----------- -----
DENMARK -- (0.9%)
Other Securities 5,341,956 1.1%
----------- -----
FINLAND -- (1.7%)
*UPM-Kymmene Oyj 49,028 1,005,627 0.2%
Other Securities 8,467,264 1.8%
----------- -----
TOTAL FINLAND 9,472,891 2.0%
----------- -----
FRANCE -- (6.4%)
BNP Paribas SA 18,185 1,437,608 0.3%
Cie de Saint-Gobain SA 16,388 1,130,767 0.2%
Cie Generale des Establissements Michelin SA Series B 9,428 945,008 0.2%
GDF Suez SA 23,661 967,483 0.2%
*Sanofi-Aventis SA 20,001 1,582,422 0.3%
Other Securities 30,062,780 6.3%
----------- -----
TOTAL FRANCE 36,126,068 7.5%
----------- -----
GERMANY -- (5.0%)
*Daimler AG 16,806 1,298,877 0.3%
#Deutsche Bank AG 30,792 2,011,333 0.4%
*Deutsche Post AG 41,651 823,175 0.2%
E.ON AG 33,461 1,143,669 0.2%
Other Securities 22,755,153 4.7%
----------- -----
TOTAL GERMANY 28,032,207 5.8%
----------- -----
GREECE -- (0.8%)
Other Securities 4,692,478 1.0%
----------- -----
61
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
HONG KONG -- (2.3%)
Other Securities $12,972,311 2.7%
----------- -----
IRELAND -- (0.7%)
Other Securities 3,833,136 0.8%
----------- -----
ISRAEL -- (0.7%)
Other Securities 3,719,316 0.8%
----------- -----
ITALY -- (2.3%)
Other Securities 12,723,410 2.6%
----------- -----
JAPAN -- (15.2%)
Mitsubishi UFJ Financial Group, Inc. 224,300 1,076,548 0.2%
Other Securities 84,223,479 17.5%
----------- -----
TOTAL JAPAN 85,300,027 17.7%
----------- -----
NETHERLANDS -- (2.3%)
#Akzo Nobel NV 13,662 1,059,328 0.2%
*ING Groep NV Sponsored ADR 72,426 955,299 0.2%
Koninklijke DSM NV 11,964 824,641 0.2%
Other Securities 9,925,690 2.1%
----------- -----
TOTAL NETHERLANDS 12,764,958 2.7%
----------- -----
NEW ZEALAND -- (0.2%)
Other Securities 1,255,637 0.3%
----------- -----
NORWAY -- (1.1%)
Other Securities 6,139,477 1.3%
----------- -----
PORTUGAL -- (0.4%)
Other Securities 1,985,837 0.4%
----------- -----
SINGAPORE -- (1.4%)
Other Securities 7,772,316 1.6%
----------- -----
SPAIN -- (1.8%)
Other Securities 10,177,258 2.1%
----------- -----
SWEDEN -- (2.7%)
Swedbank AB Series A 43,200 819,311 0.2%
Other Securities 14,099,857 2.9%
----------- -----
TOTAL SWEDEN 14,919,168 3.1%
----------- -----
SWITZERLAND -- (5.7%)
Aryzta AG 14,609 814,869 0.2%
Credit Suisse Group AG 22,184 1,009,742 0.2%
Holcim, Ltd. AG 21,970 1,914,291 0.4%
Swiss Reinsurance Co., Ltd. AG 23,898 1,425,910 0.3%
*UBS AG 52,017 1,040,994 0.2%
Zurich Financial Services AG 10,024 2,818,535 0.6%
Other Securities 22,809,783 4.7%
----------- -----
TOTAL SWITZERLAND 31,834,124 6.6%
----------- -----
UNITED KINGDOM -- (15.6%)
Anglo American P.L.C. 48,414 2,537,802 0.5%
Aviva P.L.C. 128,562 962,152 0.2%
BP P.L.C. Sponsored ADR 65,797 3,035,874 0.6%
#HSBC Holdings P.L.C. Sponsored ADR 70,495 3,839,863 0.8%
International Power P.L.C. 155,255 859,297 0.2%
Kingfisher P.L.C. 232,192 1,066,819 0.2%
Legal & General Group P.L.C. 594,171 1,222,089 0.3%
62
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
UNITED KINGDOM -- (Continued).........
Old Mutual P.L.C.................... 503,063 $ 1,172,695 0.2%
Prudential P.L.C.................... 68,348 884,242 0.2%
#Royal Dutch Shell P.L.C. ADR....... 62,698 4,913,015 1.0%
RSA Insurance Group P.L.C........... 370,215 853,156 0.2%
Standard Chartered P.L.C............ 30,336 843,090 0.2%
Standard Life P.L.C................. 230,654 874,064 0.2%
Vodafone Group P.L.C. Sponsored ADR. 135,396 3,942,732 0.8%
*Wolseley P.L.C..................... 25,895 940,606 0.2%
Xstrata P.L.C....................... 77,287 1,982,334 0.4%
Other Securities.................... 57,875,148 12.0%
------------ -----
TOTAL UNITED KINGDOM.................. 87,804,978 18.2%
------------ -----
UNITED STATES -- (0.0%)...............
Other Securities.................... 17,944 0.0%
------------ -----
TOTAL COMMON STOCKS................... 477,391,474 99.2%
------------ -----
RIGHTS/WARRANTS -- (0.0%).............
AUSTRALIA -- (0.0%)...................
Other Securities.................... 12 0.0%
------------ -----
BELGIUM -- (0.0%).....................
Other Securities.................... 225 0.0%
------------ -----
DENMARK -- (0.0%).....................
Other Securities.................... 2 0.0%
------------ -----
FRANCE -- (0.0%)......................
Other Securities.................... 2,361 0.0%
------------ -----
GERMANY -- (0.0%).....................
Other Securities.................... 15,191 0.0%
------------ -----
GREECE -- (0.0%)......................
Other Securities.................... 195 0.0%
------------ -----
NORWAY -- (0.0%)......................
Other Securities.................... 36 0.0%
------------ -----
PORTUGAL -- (0.0%)....................
Other Securities.................... 11,720 0.0%
------------ -----
SINGAPORE -- (0.0%)...................
Other Securities.................... 8,940 0.0%
------------ -----
SPAIN -- (0.0%).......................
Other Securities.................... 5,350 0.0%
------------ -----
SWITZERLAND -- (0.0%).................
Other Securities.................... 68 0.0%
------------ -----
UNITED KINGDOM -- (0.0%)..............
Other Securities.................... 318 0.0%
------------ -----
TOTAL RIGHTS/WARRANTS................. 44,418 0.0%
------------ -----
63
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.5%).............................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $2,775,000
FNMA 2.24%, 07/06/15, valued at $2,844,375) to be repurchased at $2,801,044................... $2,801 $2,801,000
------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (14.4%).........................................................
(S)@DFA Short Term Investment Fund............................................................... 79,086,676 79,086,676
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $2,010,124)## to be repurchased at
$1,970,717...................................................................................... $1,971 1,970,710
------------
TOTAL SECURITIES LENDING COLLATERAL.............................................................. 81,057,386
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $424,677,400)............................................................................. $561,294,278
============
Percentage
of Net Assets**
---------------
TEMPORARY CASH INVESTMENTS -- (0.5%).............................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $2,775,000
FNMA 2.24%, 07/06/15, valued at $2,844,375) to be repurchased at $2,801,044................... 0.6%
------
SECURITIES LENDING COLLATERAL -- (14.4%).........................................................
(S)@DFA Short Term Investment Fund............................................................... 16.4%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $2,010,124)## to be repurchased at
$1,970,717...................................................................................... 0.4%
------
TOTAL SECURITIES LENDING COLLATERAL.............................................................. 16.8%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $424,677,400)............................................................................. 116.6%
======
64
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
---------------------------------------------
Investment in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------------ ------- ------------
Common Stocks.................
Australia................... $ 821,980 $ 30,621,634 -- $ 31,443,614
Austria..................... -- 3,417,932 -- 3,417,932
Belgium..................... 362,291 7,105,147 -- 7,467,438
Canada...................... 58,176,993 -- -- 58,176,993
Denmark..................... 10,744 5,331,212 -- 5,341,956
Finland..................... -- 9,472,891 -- 9,472,891
France...................... 1,980,666 34,145,402 -- 36,126,068
Germany..................... 3,580,706 24,451,501 -- 28,032,207
Greece...................... 211,209 4,481,269 -- 4,692,478
Hong Kong................... 19,817 12,952,494 -- 12,972,311
Ireland..................... 923,673 2,909,463 -- 3,833,136
Israel...................... 717,726 3,001,590 -- 3,719,316
Italy....................... 832,132 11,891,278 -- 12,723,410
Japan....................... 2,649,433 82,650,594 -- 85,300,027
Netherlands................. 2,459,639 10,305,319 -- 12,764,958
New Zealand................. 34,047 1,221,590 -- 1,255,637
Norway...................... 157,600 5,981,877 -- 6,139,477
Portugal.................... -- 1,985,837 -- 1,985,837
Singapore................... -- 7,772,316 -- 7,772,316
Spain....................... 2,209,295 7,967,963 -- 10,177,258
Sweden...................... 346,091 14,573,077 -- 14,919,168
Switzerland................. 2,102,949 29,731,175 -- 31,834,124
United Kingdom.............. 19,132,476 68,672,502 -- 87,804,978
United States............... 17,944 -- -- 17,944
Rights/Warrants...............
Australia................... 12 -- -- 12
Belgium..................... 225 -- -- 225
Denmark..................... -- 2 -- 2
France...................... 2,361 -- -- 2,361
Germany..................... 15,191 -- -- 15,191
Greece...................... -- 195 -- 195
Norway...................... -- 36 -- 36
Portugal.................... 11,720 -- -- 11,720
Singapore................... 8,940 -- -- 8,940
Spain....................... 5,338 12 -- 5,350
Switzerland................. 68 -- -- 68
United Kingdom.............. -- 318 -- 318
Temporary Cash Investments.... -- 2,801,000 -- 2,801,000
Securities Lending Collateral. -- 81,057,386 -- 81,057,386
----------- ------------ -- ------------
TOTAL......................... $96,791,266 $464,503,012 -- $561,294,278
=========== ============ == ============
See accompanying Notes to Financial Statements.
65
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value+
------ -----
AFFILIATED INVESTMENT COMPANIES -- (99.8%)................................................................
Investment in The DFA International Value Series of
The DFA Investment Trust Company......................................................................... $28,922,083
Investment in Dimensional Emerging Markets Value Fund..................................................... 10,384,488
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc...................................................................... 200,714 3,801,524
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $35,668,328).................................................................................... 43,108,095
-----------
Face
Amount
------
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%)......................................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11
(Collateralized by $110,000 FNMA 2.24%, 07/06/15, valued at $112,750) to be repurchased at $107,002
(Cost $107,000)....................................................................................... $ 107 107,000
-----------
TOTAL INVESTMENTS - (100.0%)
(Cost $35,775,328).................................................................................... $43,215,095
===========
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------
Investment in Securities (Market Value)
----------------------------------------
Level 1 Level 2 Level 3 Total
----------- -------- ------- -----------
Affiliated Investment Companies. $43,108,095 -- -- $43,108,095
Temporary Cash Investments...... -- $107,000 -- 107,000
----------- -------- -- -----------
TOTAL........................... $43,108,095 $107,000 -- $43,215,095
=========== ======== == ===========
See accompanying Notes to Financial Statements.
66
EMERGING MARKETS PORTFOLIO
SCHEDULES OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)..............
Investment in The Emerging Markets Series of
The DFA Investment Trust Company..................... $2,575,286,113
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,178,839,212)............................. $2,575,286,113
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
EMERGING MARKETS SMALL CAP PORTFOLIO
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)..............
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company..................... $2,135,948,868
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,438,988,909)............................. $2,135,948,868
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
67
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)..............
Investment in Dimensional Emerging Markets Value Fund.. $15,403,053,850
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $11,251,655,584)............................ $15,403,053,850
===============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
68
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (85.7%)
BRAZIL -- (7.2%)
Banco Bradesco SA 971,274 $ 16,194,074 0.3%
Banco Santander Brasil SA ADR 1,248,063 14,490,011 0.3%
BM&F Bovespa SA 3,107,183 23,325,598 0.4%
Petroleo Brasileiro SA ADR 1,487,967 55,545,808 1.0%
Vale SA Sponsored ADR 1,207,490 40,330,166 0.8%
Other Securities 272,478,395 5.0%
------------ -----
TOTAL BRAZIL 422,364,052 7.8%
------------ -----
CHILE -- (2.1%)
Other Securities 122,462,468 2.3%
------------ -----
CHINA -- (12.9%)
Bank of China, Ltd. 52,690,702 29,231,423 0.5%
China Construction Bank Corp. 38,800,302 36,790,921 0.7%
China Life Insurance Co., Ltd. ADR 258,099 13,857,335 0.3%
China Mobile, Ltd. Sponsored ADR 967,519 44,592,951 0.8%
China Unicom Hong Kong, Ltd. ADR 756,217 15,472,200 0.3%
#CNOOC, Ltd. ADR 116,476 29,054,938 0.5%
Industrial & Commercial Bank of China, Ltd. Series H 49,025,940 41,584,448 0.8%
#PetroChina Co., Ltd. ADR 160,254 23,329,777 0.4%
Other Securities 523,814,466 9.7%
------------ -----
TOTAL CHINA 757,728,459 14.0%
------------ -----
COLOMBIA -- (0.2%)
Other Securities 12,825,683 0.2%
------------ -----
CZECH REPUBLIC -- (0.4%)
Other Securities 23,889,730 0.4%
------------ -----
EGYPT -- (0.1%)
Other Securities 4,088,398 0.1%
------------ -----
HUNGARY -- (0.6%)
#*OTP Bank P.L.C. 488,536 17,344,184 0.3%
Other Securities 14,272,506 0.3%
------------ -----
TOTAL HUNGARY 31,616,690 0.6%
------------ -----
INDIA -- (8.7%)
ICICI Bank, Ltd. Sponsored ADR 396,338 19,975,435 0.4%
Infosys Technologies, Ltd. 225,217 14,804,567 0.3%
Reliance Industries, Ltd. 1,381,092 30,655,817 0.5%
Other Securities 444,381,246 8.2%
------------ -----
TOTAL INDIA 509,817,065 9.4%
------------ -----
INDONESIA -- (3.0%)
PT Bumi Resources Tbk 37,385,000 15,022,342 0.3%
Other Securities 159,723,433 2.9%
------------ -----
TOTAL INDONESIA 174,745,775 3.2%
------------ -----
ISRAEL -- (0.0%)
Other Securities 353,828 0.0%
------------ -----
MALAYSIA -- (3.2%)
Other Securities 188,531,371 3.5%
------------ -----
MEXICO -- (4.1%)
America Movil S.A.B. de C.V. Series L ADR 443,009 25,340,115 0.5%
69
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
MEXICO -- (Continued).....................................
*Cemex S.A.B. de C.V. Sponsored ADR..................... 1,983,179 $ 17,213,994 0.3%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR. 308,192 19,385,277 0.4%
#Grupo Financiero Banorte S.A.B. de C.V................. 2,809,943 14,035,435 0.3%
Grupo Mexico S.A.B. de C.V. Series B.................... 5,000,219 17,313,579 0.3%
Other Securities........................................ 148,633,801 2.7%
------------ -----
TOTAL MEXICO.............................................. 241,922,201 4.5%
------------ -----
NETHERLANDS -- (0.0%).....................................
Other Securities........................................ 201,157 0.0%
------------ -----
PERU -- (0.2%)............................................
Other Securities........................................ 10,985,899 0.2%
------------ -----
PHILIPPINES -- (0.9%).....................................
Other Securities........................................ 54,067,027 1.0%
------------ -----
POLAND -- (1.7%)..........................................
KGHM Polska Miedz SA.................................... 192,817 14,183,564 0.3%
Other Securities........................................ 87,550,328 1.6%
------------ -----
TOTAL POLAND.............................................. 101,733,892 1.9%
------------ -----
RUSSIA -- (3.7%)..........................................
Gazprom OAO Sponsored ADR............................... 5,628,350 95,365,320 1.8%
Lukoil OAO Sponsored ADR................................ 502,859 34,949,662 0.6%
Other Securities........................................ 87,526,636 1.6%
------------ -----
TOTAL RUSSIA.............................................. 217,841,618 4.0%
------------ -----
SOUTH AFRICA -- (7.3%)....................................
Gold Fields, Ltd. Sponsored ADR......................... 1,024,815 18,282,700 0.3%
Impala Platinum Holdings, Ltd........................... 449,434 14,055,082 0.3%
MTN Group, Ltd.......................................... 1,237,163 27,180,020 0.5%
Naspers, Ltd. Series N.................................. 378,717 22,445,136 0.4%
Sanlam, Ltd............................................. 3,530,404 15,143,360 0.3%
Sasol, Ltd. Sponsored ADR............................... 530,207 30,656,569 0.6%
Standard Bank Group, Ltd................................ 1,236,663 19,422,451 0.4%
Other Securities........................................ 282,648,121 5.2%
------------ -----
TOTAL SOUTH AFRICA........................................ 429,833,439 8.0%
------------ -----
SOUTH KOREA -- (13.8%)....................................
Hana Financial Group, Inc............................... 380,692 16,152,278 0.3%
Hyundai Motor Co., Ltd.................................. 142,857 32,949,852 0.6%
#*KB Financial Group, Inc. ADR........................... 311,778 16,614,650 0.3%
Kia Motors Corp......................................... 230,180 16,558,829 0.3%
LG Chemical, Ltd........................................ 28,574 14,196,081 0.3%
LG Corp................................................. 150,925 13,894,952 0.2%
#POSCO ADR.............................................. 230,201 25,391,170 0.5%
Samsung Corp............................................ 200,144 14,498,955 0.3%
Samsung Electronics Co., Ltd............................ 110,442 92,250,080 1.7%
Shinhan Financial Group Co., Ltd. ADR................... 142,576 13,832,724 0.2%
Other Securities........................................ 555,225,578 10.3%
------------ -----
TOTAL SOUTH KOREA......................................... 811,565,149 15.0%
------------ -----
TAIWAN -- (11.6%).........................................
Hon Hai Precision Industry Co., Ltd..................... 5,597,352 21,256,074 0.4%
HTC Corp................................................ 340,780 15,511,175 0.3%
#Taiwan Semiconductor Manufacturing Co., Ltd............ 11,817,652 30,566,194 0.5%
Other Securities........................................ 614,977,280 11.4%
------------ -----
TOTAL TAIWAN.............................................. 682,310,723 12.6%
------------ -----
70
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
THAILAND -- (2.1%)
Other Securities........................................ $ 124,055,930 2.3%
-------------- -----
TURKEY -- (1.9%)
Other Securities........................................ 109,419,987 2.0%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities........................................ 677,036 0.0%
-------------- -----
TOTAL COMMON STOCKS....................................... 5,033,037,577 93.0%
-------------- -----
PREFERRED STOCKS -- (6.0%)
BRAZIL -- (6.0%)
Banco Bradesco SA Sponsored ADR......................... 2,298,063 46,489,814 0.9%
#Itau Unibanco Holding SA ADR........................... 1,648,537 39,152,754 0.7%
Petroleo Brasileiro SA ADR.............................. 2,049,785 68,401,325 1.3%
Vale SA Sponsored ADR................................... 1,564,909 46,790,779 0.9%
Other Securities........................................ 148,946,084 2.7%
-------------- -----
TOTAL BRAZIL.............................................. 349,780,756 6.5%
-------------- -----
CHILE -- (0.0%)
Other Securities........................................ 565,581 0.0%
-------------- -----
INDIA -- (0.0%)
Other Securities........................................ 17,951 0.0%
-------------- -----
TOTAL PREFERRED STOCKS.................................... 350,364,288 6.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities........................................ 395 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities........................................ -- 0.0%
-------------- -----
POLAND -- (0.0%)
Other Securities........................................ 430,289 0.0%
-------------- -----
TAIWAN -- (0.0%)
Other Securities........................................ 103,079 0.0%
-------------- -----
THAILAND -- (0.0%)
Other Securities........................................ 378,050 0.0%
-------------- -----
TURKEY -- (0.0%)
Other Securities........................................ 74,300 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS..................................... 986,113 0.0%
-------------- -----
Face
Amount Value+
(000)
TEMPORARY CASH INVESTMENTS -- (0.3%)......................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%,
05/02/11 (Collateralized by $17,760,000 FNMA 2.24%,
07/06/15, valued at $18,204,000) to be repurchased at
$17,934,284............................................ $17,934 17,934,000 0.3%
-------------- -----
71
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (8.0%)
(S)@DFA Short Term Investment Fund............................ 469,495,000 $ 469,495,000 8.7%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%,
05/02/11 (Collateralized by $48,926,610 FNMA 2.063%(r),
06/01/35, valued at $670,749)## to be repurchased at
$657,599..................................................... $658 657,597 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL........................... 470,152,597 8.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,226,970,070)........................................ $5,872,474,575 108.5%
============== ======
72
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Brazil...................... $ 422,364,052 -- -- $ 422,364,052
Chile....................... 122,462,468 -- -- 122,462,468
China....................... 164,834,829 $ 592,893,630 -- 757,728,459
Colombia.................... 12,825,683 -- -- 12,825,683
Czech Republic.............. -- 23,889,730 -- 23,889,730
Egypt....................... -- 4,088,398 -- 4,088,398
Hungary..................... 661,066 30,955,624 -- 31,616,690
India....................... 31,139,064 478,678,001 -- 509,817,065
Indonesia................... 6,011,338 168,734,437 -- 174,745,775
Israel...................... -- 353,828 -- 353,828
Malaysia.................... 3,519,661 185,011,710 -- 188,531,371
Mexico...................... 241,922,201 -- -- 241,922,201
Netherlands................. -- 201,157 -- 201,157
Peru........................ 10,985,899 -- -- 10,985,899
Philippines................. 4,214,878 49,852,149 -- 54,067,027
Poland...................... -- 101,733,892 -- 101,733,892
Russia...................... 6,867,584 210,974,034 -- 217,841,618
South Africa................ 71,318,377 358,515,062 -- 429,833,439
South Korea................. 79,595,937 731,969,212 -- 811,565,149
Taiwan...................... 19,811,037 662,499,686 -- 682,310,723
Thailand.................... 123,903,228 152,702 -- 124,055,930
Turkey...................... 2,726,209 106,693,778 -- 109,419,987
United States............... 677,036 -- -- 677,036
Preferred Stocks..............
Brazil...................... 349,780,756 -- -- 349,780,756
Chile....................... 565,581 -- -- 565,581
India....................... -- 17,951 -- 17,951
Rights/Warrants...............
Brazil...................... 395 -- -- 395
Hong Kong................... -- -- -- --
Poland...................... -- 430,289 -- 430,289
Taiwan...................... -- 103,079 -- 103,079
Thailand.................... 2,004 376,046 -- 378,050
Turkey...................... 74,300 -- -- 74,300
Temporary Cash Investments.... -- 17,934,000 -- 17,934,000
Securities Lending Collateral. -- 470,152,597 -- 470,152,597
-------------- -------------- -- --------------
TOTAL......................... $1,676,263,583 $4,196,210,992 -- $5,872,474,575
============== ============== == ==============
See accompanying Notes to Financial Statements.
73
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Enhanced U.S.
U.S. Large Large Cap
Company Value
Portfolio Portfolio
------------ --------------
ASSETS:
Investments in Affiliated Investment Companies at Value................................... -- $ 8,133,769
Investments at Value (including $0, $0, $338,434 and $1,515,298 of securities on loan,
respectively)............................................................................ $ 172,388 --
Temporary Cash Investments at Value & Cost................................................ 5,938 --
Collateral Received from Securities on Loan at Value & Cost............................... -- --
Affiliated Collateral Received from Securities on Loan at Value & Cost.................... -- --
Receivables:..............................................................................
Investment Securities/Affiliated Investment Companies Sold.............................. -- --
Dividends and Interest.................................................................. 1,401 --
Securities Lending Income............................................................... -- --
Fund Shares Sold........................................................................ 94 5,093
Futures Margin Variation................................................................ 587 --
Unrealized Gain on Forward Currency Contracts............................................. 474 --
Unrealized Gain on Foreign Currency Contracts............................................. 26 --
Prepaid Expenses and Other Assets......................................................... 20 64
------------ --------------
Total Assets........................................................................... 180,928 8,138,926
------------ --------------
LIABILITIES:
Payables:.................................................................................
Upon Return of Securities Loaned........................................................ -- --
Investment Securities/Affiliated Investment Companies Purchased......................... 5,866 686
Fund Shares Redeemed.................................................................... 195 4,407
Due to Advisor.......................................................................... 28 991
Unrealized Loss on Forward Currency Contracts............................................. 1,833 --
Accrued Expenses and Other Liabilities.................................................... 16 308
------------ --------------
Total Liabilities...................................................................... 7,938 6,392
------------ --------------
NET ASSETS................................................................................ $ 172,990 $ 8,132,534
============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $53,925 and $0 and shares outstanding
of 0; 0; 2,945,829 and 0, respectively................................................... N/A N/A
============ ==============
NUMBER OF SHARES AUTHORIZED............................................................... N/A N/A
============ ==============
Class R2 Shares -- based on net assets of $0; $0; $9,351 and $0 and shares outstanding
of 0; 0; 510,883 and 0, respectively..................................................... N/A N/A
============ ==============
NUMBER OF SHARES AUTHORIZED............................................................... N/A N/A
============ ==============
Institutional Class Shares -- based on net assets of $172,990; $8,132,534; $2,968,313 and
$7,964,497 and shares outstanding of 19,768,793; 361,812,850; 162,104,303 and
282,695,488, respectively ............................................................... $ 8.75 $ 22.48
============ ==============
NUMBER OF SHARES AUTHORIZED............................................................... 300,000,000 2,000,000,000
============ ==============
Investments in Affiliated Investment Companies at Cost.................................... $ -- $ 5,528,588
------------ --------------
Investments at Cost....................................................................... $ 167,948 $ --
============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 229,031 $ 7,245,437
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 664 12,921
Accumulated Net Realized Gain (Loss)...................................................... (65,256) (1,731,005)
Net Unrealized Foreign Exchange Gain (Loss)............................................... (1,311) --
Net Unrealized Appreciation (Depreciation)................................................ 9,862 2,605,181
------------ --------------
NET ASSETS................................................................................ $ 172,990 $ 8,132,534
============ ==============
U.S.
U.S. Small Cap
Targeted Value
Value Portfolio Portfolio
--------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value................................... -- --
Investments at Value (including $0, $0, $338,434 and $1,515,298 of securities on loan,
respectively)............................................................................ $ 3,023,425 $ 7,975,251
Temporary Cash Investments at Value & Cost................................................ 6,507 10,913
Collateral Received from Securities on Loan at Value & Cost............................... 1,015 4,563
Affiliated Collateral Received from Securities on Loan at Value & Cost.................... 352,489 1,584,011
Receivables:..............................................................................
Investment Securities/Affiliated Investment Companies Sold.............................. 3,493 30,152
Dividends and Interest.................................................................. 737 2,031
Securities Lending Income............................................................... 198 711
Fund Shares Sold........................................................................ 2,339 4,591
Futures Margin Variation................................................................ -- --
Unrealized Gain on Forward Currency Contracts............................................. -- --
Unrealized Gain on Foreign Currency Contracts............................................. -- --
Prepaid Expenses and Other Assets......................................................... 66 62
------------ --------------
Total Assets........................................................................... 3,390,269 9,612,285
------------ --------------
LIABILITIES:
Payables:.................................................................................
Upon Return of Securities Loaned........................................................ 353,504 1,588,574
Investment Securities/Affiliated Investment Companies Purchased......................... 2,455 561
Fund Shares Redeemed.................................................................... 1,708 54,962
Due to Advisor.......................................................................... 866 3,283
Unrealized Loss on Forward Currency Contracts............................................. -- --
Accrued Expenses and Other Liabilities.................................................... 147 408
------------ --------------
Total Liabilities...................................................................... 358,680 1,647,788
------------ --------------
NET ASSETS................................................................................ $ 3,031,589 $ 7,964,497
============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $53,925 and $0 and shares outstanding
of 0; 0; 2,945,829 and 0, respectively................................................... $ 18.31 N/A
============ ==============
NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A
============ ==============
Class R2 Shares -- based on net assets of $0; $0; $9,351 and $0 and shares outstanding
of 0; 0; 510,883 and 0, respectively..................................................... $ 18.30 N/A
============ ==============
NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A
============ ==============
Institutional Class Shares -- based on net assets of $172,990; $8,132,534; $2,968,313 and
$7,964,497 and shares outstanding of 19,768,793; 361,812,850; 162,104,303 and
282,695,488, respectively ............................................................... $ 18.31 $ 28.17
============ ==============
NUMBER OF SHARES AUTHORIZED............................................................... 700,000,000 1,700,000,000
============ ==============
Investments in Affiliated Investment Companies at Cost.................................... $ -- $ --
------------ --------------
Investments at Cost....................................................................... $ 2,355,495 $ 6,394,395
============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 2,267,547 $ 6,300,449
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 2,124 1,744
Accumulated Net Realized Gain (Loss)...................................................... 93,988 81,448
Net Unrealized Foreign Exchange Gain (Loss)............................................... -- --
Net Unrealized Appreciation (Depreciation)................................................ 667,930 1,580,856
------------ --------------
NET ASSETS................................................................................ $ 3,031,589 $ 7,964,497
============ ==============
See accompanying Notes to Financial Statements.
74
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. U.S.
Core Core
Equity 1 Equity 2
Portfolio Portfolio
-------------- --------------
ASSETS:
Investments at Value (including $275,950, $504,448, $194,968 and $1,066,975 of
securities on loan, respectively)...................................................... $ 3,774,682 $ 6,129,097
Temporary Cash Investments at Value & Cost.............................................. 31,672 28,695
Collateral Received from Securities on Loan at Value & Cost............................. 821 1,503
Affiliated Collateral Received from Securities on Loan at Value & Cost.................. 285,212 521,669
Receivables:............................................................................
Investment Securities Sold............................................................ 163 351
Dividends and Interest................................................................ 2,830 4,754
Securities Lending Income............................................................. 136 306
Fund Shares Sold...................................................................... 5,712 7,766
Prepaid Expenses and Other Assets....................................................... 95 87
-------------- --------------
Total Assets......................................................................... 4,101,323 6,694,228
-------------- --------------
LIABILITIES:
Payables:...............................................................................
Upon Return of Securities Loaned...................................................... 286,033 523,172
Investment Securities Purchased....................................................... 17,382 8,246
Fund Shares Redeemed.................................................................. 1,117 3,892
Due to Advisor........................................................................ 519 1,000
Accrued Expenses and Other Liabilities.................................................. 167 298
-------------- --------------
Total Liabilities.................................................................... 305,218 536,608
-------------- --------------
NET ASSETS.............................................................................. $ 3,796,105 $ 6,157,620
============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $3,796,105; $6,157,620; $2,010,219
and $4,529,855 and shares outstanding of 314,101,011; 509,958,439; 167,450,522 and
190,610,819, respectively.............................................................. $ 12.09 $ 12.07
============== ==============
NUMBER OF SHARES AUTHORIZED............................................................. 1,500,000,000 2,300,000,000
============== ==============
Investments at Cost..................................................................... $ 3,044,250 $ 5,043,721
============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital......................................................................... $ 3,129,457 $ 5,112,004
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)................................................................................ 6,237 9,634
Accumulated Net Realized Gain (Loss).................................................... (70,021) (49,394)
Net Unrealized Appreciation (Depreciation).............................................. 730,432 1,085,376
-------------- --------------
NET ASSETS.............................................................................. $ 3,796,105 $ 6,157,620
============== ==============
U.S. U.S.
Vector Small
Equity Cap
Portfolio Portfolio
-------------- --------------
ASSETS:
Investments at Value (including $275,950, $504,448, $194,968 and $1,066,975 of
securities on loan, respectively)...................................................... $ 2,003,812 $ 4,518,928
Temporary Cash Investments at Value & Cost.............................................. 8,472 22,078
Collateral Received from Securities on Loan at Value & Cost............................. 583 3,197
Affiliated Collateral Received from Securities on Loan at Value & Cost.................. 202,292 1,110,010
Receivables:............................................................................
Investment Securities Sold............................................................ 171 2,885
Dividends and Interest................................................................ 1,211 1,054
Securities Lending Income............................................................. 114 596
Fund Shares Sold...................................................................... 1,982 2,137
Prepaid Expenses and Other Assets....................................................... 42 61
-------------- --------------
Total Assets......................................................................... 2,218,679 5,660,946
-------------- --------------
LIABILITIES:
Payables:...............................................................................
Upon Return of Securities Loaned...................................................... 202,875 1,113,207
Investment Securities Purchased....................................................... 3,911 14,152
Fund Shares Redeemed.................................................................. 1,096 2,249
Due to Advisor........................................................................ 490 1,282
Accrued Expenses and Other Liabilities.................................................. 88 201
-------------- --------------
Total Liabilities.................................................................... 208,460 1,131,091
-------------- --------------
NET ASSETS.............................................................................. $ 2,010,219 $ 4,529,855
============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $3,796,105; $6,157,620; $2,010,219
and $4,529,855 and shares outstanding of 314,101,011; 509,958,439; 167,450,522 and
190,610,819, respectively.............................................................. $ 12.00 $ 23.76
============== ==============
NUMBER OF SHARES AUTHORIZED............................................................. 1,000,000,000 1,000,000,000
============== ==============
Investments at Cost..................................................................... $ 1,639,974 $ 3,299,245
============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital......................................................................... $ 1,706,262 $ 3,412,304
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)................................................................................ 2,410 3,718
Accumulated Net Realized Gain (Loss).................................................... (62,291) (105,850)
Net Unrealized Appreciation (Depreciation).............................................. 363,838 1,219,683
-------------- --------------
NET ASSETS.............................................................................. $ 2,010,219 $ 4,529,855
============== ==============
See accompanying Notes to Financial Statements.
75
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. DFA Large
Micro Real Estate Cap
Cap Securities International
Portfolio Portfolio Portfolio
-------------- ------------ -------------
ASSETS:
Investments at Value (including $498,632, $647,227, $351,234 and
$1,131,113 of securities on loan, respectively)....................... $ 3,782,550 $ 3,152,056 $ 1,908,284
Temporary Cash Investments at Value & Cost............................. 4,712 19,467 5,770
Collateral Received from Securities on Loan at Value & Cost............ 1,516 1,938 1,249
Affiliated Collateral Received from Securities on Loan at Value & Cost. 526,244 672,941 372,838
Foreign Currencies at Value............................................ -- -- 3,389
Cash................................................................... -- -- 15
Receivables:...........................................................
Investment Securities Sold........................................... 2,299 -- 505
Dividends, Interest and Tax Reclaims................................. 1,061 2,605 9,145
Securities Lending Income............................................ 532 92 478
Fund Shares Sold..................................................... 1,315 1,661 1,434
Unrealized Gain on Foreign Currency Contracts.......................... -- -- 29
Prepaid Expenses and Other Assets...................................... 32 41 34
-------------- ------------ ------------
Total Assets....................................................... 4,320,261 3,850,801 2,303,170
-------------- ------------ ------------
LIABILITIES:
Payables:..............................................................
Upon Return of Securities Loaned..................................... 527,760 674,879 374,087
Investment Securities Purchased...................................... 1,334 16,648 3,869
Fund Shares Redeemed................................................. 2,887 1,971 926
Due to Advisor....................................................... 1,547 751 384
Accrued Expenses and Other Liabilities................................. 188 145 127
-------------- ------------ ------------
Total Liabilities.................................................. 533,716 694,394 379,393
-------------- ------------ ------------
NET ASSETS............................................................. $ 3,786,545 $ 3,156,407 $ 1,923,777
============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of $3,786,545;
$3,156,407; $1,923,777 and $6,063,718 and shares outstanding of
250,225,113; 129,852,728; 88,252,834 and 491,945,902, respectively.... $ 15.13 $ 24.31 $ 21.80
============== ============ ============
NUMBER OF SHARES AUTHORIZED............................................ 1,500,000,000 700,000,000 500,000,000
============== ============ ============
Investments at Cost.................................................... $ 2,854,316 $ 2,294,360 $ 1,484,568
============== ============ ============
Foreign Currencies at Cost............................................. $ -- $ -- $ 3,309
============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................ $ 3,019,546 $ 2,549,319 $ 1,676,916
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).................................................... 2,635 4,294 12,129
Accumulated Net Realized Gain (Loss)................................... (163,870) (254,902) (189,293)
Net Unrealized Foreign Exchange Gain (Loss)............................ -- -- 229
Net Unrealized Appreciation (Depreciation)............................. 928,234 857,696 423,796
-------------- ------------ ------------
NET ASSETS............................................................. $ 3,786,545 $ 3,156,407 $ 1,923,777
============== ============ ============
International
Core
Equity
Portfolio
--------------
ASSETS:
Investments at Value (including $498,632, $647,227, $351,234 and
$1,131,113 of securities on loan, respectively)....................... $ 6,013,743
Temporary Cash Investments at Value & Cost............................. 28,753
Collateral Received from Securities on Loan at Value & Cost............ 1,559
Affiliated Collateral Received from Securities on Loan at Value & Cost. 1,218,053
Foreign Currencies at Value............................................ 13,734
Cash................................................................... 15
Receivables:...........................................................
Investment Securities Sold........................................... 763
Dividends, Interest and Tax Reclaims................................. 27,057
Securities Lending Income............................................ 1,739
Fund Shares Sold..................................................... 6,304
Unrealized Gain on Foreign Currency Contracts.......................... 62
Prepaid Expenses and Other Assets...................................... 110
--------------
Total Assets....................................................... 7,311,892
--------------
LIABILITIES:
Payables:..............................................................
Upon Return of Securities Loaned..................................... 1,219,612
Investment Securities Purchased...................................... 24,200
Fund Shares Redeemed................................................. 2,263
Due to Advisor....................................................... 1,693
Accrued Expenses and Other Liabilities................................. 406
--------------
Total Liabilities.................................................. 1,248,174
--------------
NET ASSETS............................................................. $ 6,063,718
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of $3,786,545;
$3,156,407; $1,923,777 and $6,063,718 and shares outstanding of
250,225,113; 129,852,728; 88,252,834 and 491,945,902, respectively.... $ 12.33
==============
NUMBER OF SHARES AUTHORIZED............................................ 2,000,000,000
==============
Investments at Cost.................................................... $ 5,258,487
==============
Foreign Currencies at Cost............................................. $ 13,060
==============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................ $ 5,333,846
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).................................................... 35,717
Accumulated Net Realized Gain (Loss)................................... (62,355)
Net Unrealized Foreign Exchange Gain (Loss)............................ 580
Net Unrealized Appreciation (Depreciation)............................. 755,930
--------------
NET ASSETS............................................................. $ 6,063,718
==============
See accompanying Notes to Financial Statements.
76
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Asia United
International Japanese Pacific Kingdom
Small Small Small Small
Company Company Company Company
Portfolio Portfolio Portfolio Portfolio
-------------- ------------ ------------ ------------
ASSETS:
Investments in Affiliated Investment Companies at Value.......... $ 6,986,397 $ 169,096 $ 169,658 $ 39,416
Temporary Cash Investments at Value & Cost....................... 11,083 -- -- --
Cash............................................................. 15 -- -- --
Receivables:.....................................................
Affiliated Investment Companies Sold............................ -- 1,382 155 26
Fund Shares Sold................................................ 12,901 -- 25 --
Prepaid Expenses and Other Assets................................ 52 9 19 10
-------------- ------------ ------------ ------------
Total Assets.................................................. 7,010,448 170,487 169,857 39,452
-------------- ------------ ------------ ------------
LIABILITIES:
Payables:........................................................
Fund Shares Redeemed............................................ 2,437 1,382 180 26
Due to Advisor.................................................. 2,251 53 56 12
Accrued Expenses and Other Liabilities........................... 225 22 19 7
-------------- ------------ ------------ ------------
Total Liabilities............................................. 4,913 1,457 255 45
-------------- ------------ ------------ ------------
NET ASSETS....................................................... $ 7,005,535 $ 169,030 $ 169,602 $ 39,407
============== ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of $7,005,535;
$169,030; $169,602 and $39,407 and shares outstanding of
373,955,745; 10,764,061; 6,048,087 and 1,400,854,
respectively................................................... $ 18.73 $ 15.70 $ 28.04 $ 28.13
============== ============ ============ ============
NUMBER OF SHARES AUTHORIZED...................................... 1,500,000,000 100,000,000 100,000,000 100,000,000
============== ============ ============ ============
Investments in Affiliated Investment Companies at Cost........... $ 5,617,599 $ 228,036 $ 131,164 $ 30,883
============== ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 5,590,694 $ 319,921 $ 162,119 $ 33,260
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 13,826 1,350 (2,357) 207
Accumulated Net Realized Gain (Loss)............................. 31,616 (93,338) (28,659) (2,602)
Net Unrealized Foreign Exchange Gain (Loss)...................... 601 37 5 9
Net Unrealized Appreciation (Depreciation)....................... 1,368,798 (58,940) 38,494 8,533
-------------- ------------ ------------ ------------
NET ASSETS....................................................... $ 7,005,535 $ 169,030 $ 169,602 $ 39,407
============== ============ ============ ============
See accompanying Notes to Financial Statements.
77
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA
Continental International
Small Real Estate
Company Securities
Portfolio Portfolio
------------ -------------
ASSETS:
Investments in Affiliated Investment Companies at Value................................... $ 157,927 --
Investments at Value (including $0, $174,537, $0 and $943,209 of securities on loan,
respectively)............................................................................ -- $ 1,100,580
Temporary Cash Investments at Value & Cost................................................ -- 2,412
Collateral Received from Securities on Loan at Value & Cost............................... -- 395
Affiliated Collateral Received from Securities on Loan at Value & Cost.................... -- 199,193
Foreign Currencies at Value............................................................... -- 1,666
Cash...................................................................................... -- 16
Receivables:..............................................................................
Investment Securities/Affiliated Investment Companies Sold.............................. 67 45
Dividends, Interest and Tax Reclaims.................................................... -- 5,741
Securities Lending Income............................................................... -- 220
Fund Shares Sold........................................................................ 25 1,010
Unrealized Gain on Foreign Currency Contracts............................................. -- 2
Prepaid Expenses and Other Assets......................................................... 11 267
------------ ------------
Total Assets........................................................................... 158,030 1,311,547
------------ ------------
LIABILITIES:
Payables:.................................................................................
Upon Return of Securities Loaned........................................................ -- 199,588
Investment Securities/Affiliated Investment Companies...................................
Purchased............................................................................... -- 933
Fund Shares Redeemed.................................................................... 92 396
Due to Advisor.......................................................................... 51 308
Accrued Expenses and Other Liabilities.................................................... 19 98
------------ ------------
Total Liabilities...................................................................... 162 201,323
------------ ------------
NET ASSETS................................................................................ $ 157,868 $ 1,110,224
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Cass Shares -- based on net assets of $157,868; $1,110,224; $816,819 and
$9,275,519 and shares outstanding of 7,806,496; 198,726,765; 91,994,628 and 489,608,697,
respectively............................................................................. $ 20.22 $ 5.59
============ ============
NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 700,000,000
============ ============
Investments in Affiliated Investment Companies at Cost.................................... $ 116,394 $ --
------------ ------------
Investments at Cost....................................................................... $ -- $ 1,014,462
============ ============
Foreign Currencies at Cost................................................................ $ -- $ 1,616
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 143,379 $ 1,266,359
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 961 (72,834)
Accumulated Net Realized Gain (Loss)...................................................... (28,061) (169,545)
Net Unrealized Foreign Exchange Gain (Loss)............................................... 56 76
Net Unrealized Appreciation (Depreciation)................................................ 41,533 86,168
------------ ------------
NET ASSETS................................................................................ $ 157,868 $ 1,110,224
============ ============
DFA DFA
Global International
Real Estate Small Cap
Securities Value
Portfolio Portfolio
------------ --------------
ASSETS:
Investments in Affiliated Investment Companies at Value................................... $ 815,127 --
Investments at Value (including $0, $174,537, $0 and $943,209 of securities on loan,
respectively)............................................................................ -- $ 9,184,267
Temporary Cash Investments at Value & Cost................................................ 1,244 14,399
Collateral Received from Securities on Loan at Value & Cost............................... -- 1,467
Affiliated Collateral Received from Securities on Loan at Value & Cost.................... -- 1,027,360
Foreign Currencies at Value............................................................... -- 48,278
Cash...................................................................................... -- 16
Receivables:..............................................................................
Investment Securities/Affiliated Investment Companies Sold.............................. -- 19,111
Dividends, Interest and Tax Reclaims.................................................... -- 43,980
Securities Lending Income............................................................... -- 2,006
Fund Shares Sold........................................................................ 1,666 3,746
Unrealized Gain on Foreign Currency Contracts............................................. -- 168
Prepaid Expenses and Other Assets......................................................... 24 122
------------ --------------
Total Assets........................................................................... 818,061 10,344,920
------------ --------------
LIABILITIES:
Payables:.................................................................................
Upon Return of Securities Loaned........................................................ -- 1,028,827
Investment Securities/Affiliated Investment Companies...................................
Purchased............................................................................... 807 31,607
Fund Shares Redeemed.................................................................... 396 3,617
Due to Advisor.......................................................................... 17 4,863
Accrued Expenses and Other Liabilities.................................................... 22 487
------------ --------------
Total Liabilities...................................................................... 1,242 1,069,401
------------ --------------
NET ASSETS................................................................................ $ 816,819 $ 9,275,519
============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Cass Shares -- based on net assets of $157,868; $1,110,224; $816,819 and
$9,275,519 and shares outstanding of 7,806,496; 198,726,765; 91,994,628 and 489,608,697,
respectively............................................................................. $ 8.88 $ 18.94
============ ==============
NUMBER OF SHARES AUTHORIZED............................................................... 500,000,000 2,300,000,000
============ ==============
Investments in Affiliated Investment Companies at Cost.................................... $ 583,053 $ --
------------ --------------
Investments at Cost....................................................................... $ -- $ 8,217,071
============ ==============
Foreign Currencies at Cost................................................................ $ -- $ 46,927
============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 612,813 $ 7,987,652
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... (134) 49,219
Accumulated Net Realized Gain (Loss)...................................................... (27,934) 268,947
Net Unrealized Foreign Exchange Gain (Loss)............................................... -- 1,154
Net Unrealized Appreciation (Depreciation)................................................ 232,074 968,547
------------ --------------
NET ASSETS................................................................................ $ 816,819 $ 9,275,519
============ ==============
See accompanying Notes to Financial Statements.
78
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
International
Vector World ex
Equity U.S. Value
Portfolio Portfolio
------------- ------------
ASSETS:
Investments in Affiliated Investment Companies at Value.......................................... $ -- $ 43,108
Investments at Value (including $73,942, $0 and $0 of securities on loan, respectively).......... 477,436 --
Temporary Cash Investments at Value & Cost....................................................... 2,801 107
Collateral Received from Securities on Loan at Value & Cost...................................... 1,971 --
Affiliated Collateral Received from Securities on Loan at Value & Cost........................... 79,087 --
Foreign Currencies at Value...................................................................... 1,331 --
Cash............................................................................................. 15 16
Receivables:.....................................................................................
Investment Securities/Affiliated Investment Companies Sold..................................... 97 --
Dividends, Interest and Tax Reclaims........................................................... 2,096 --
Securities Lending Income...................................................................... 134 --
Fund Shares Sold............................................................................... 480 199
Unrealized Gain on Foreign Currency Contracts.................................................... 2 --
Prepaid Expenses and Other Assets................................................................ 11 25
Deferred Offering Costs.......................................................................... -- 7
------------ ------------
Total Assets.................................................................................. 565,461 43,462
------------ ------------
LIABILITIES:
Payables:........................................................................................
Upon Return of Securities Loaned............................................................... 81,058 --
Investment Securities/Affiliated Investment Companies Purchased................................ 2,561 73
Fund Shares Redeemed........................................................................... 129 --
Due to Advisor................................................................................. 173 3
Accrued Expenses and Other Liabilities........................................................... 11 5
------------ ------------
Total Liabilities............................................................................. 83,932 81
------------ ------------
NET ASSETS....................................................................................... $ 481,529 $ 43,381
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $481,529; $43,381 and $2,574,363 and shares
outstanding of 40,698,238; 3,406,642 and 79,539,745, respectively............................... $ 11.83 $ 12.73
============ ============
NUMBER OF SHARES AUTHORIZED...................................................................... 500,000,000 100,000,000
============ ============
Investments in Affiliated Investment Companies at Cost........................................... $ -- $ 35,669
------------ ------------
Investments at Cost.............................................................................. $ 340,819 $ --
============ ============
Foreign Currencies at Cost....................................................................... $ 1,300 $ --
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................................. $ 335,390 $ 35,392
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 2,354 223
Accumulated Net Realized Gain (Loss)............................................................. 7,088 335
Deferred Thailand Capital Gains Tax.............................................................. -- (7)
Net Unrealized Foreign Exchange Gain (Loss)...................................................... 49 (1)
Net Unrealized Appreciation (Depreciation)....................................................... 136,648 7,439
------------ ------------
NET ASSETS....................................................................................... $ 481,529 $ 43,381
============ ============
Emerging
Markets
Portfolio
------------
ASSETS:
Investments in Affiliated Investment Companies at Value.......................................... $ 2,575,286
Investments at Value (including $73,942, $0 and $0 of securities on loan, respectively).......... --
Temporary Cash Investments at Value & Cost....................................................... --
Collateral Received from Securities on Loan at Value & Cost...................................... --
Affiliated Collateral Received from Securities on Loan at Value & Cost........................... --
Foreign Currencies at Value...................................................................... --
Cash............................................................................................. --
Receivables:.....................................................................................
Investment Securities/Affiliated Investment Companies Sold..................................... --
Dividends, Interest and Tax Reclaims........................................................... --
Securities Lending Income...................................................................... --
Fund Shares Sold............................................................................... 2,146
Unrealized Gain on Foreign Currency Contracts.................................................... --
Prepaid Expenses and Other Assets................................................................ 25
Deferred Offering Costs.......................................................................... --
------------
Total Assets.................................................................................. 2,577,457
------------
LIABILITIES:
Payables:........................................................................................
Upon Return of Securities Loaned............................................................... --
Investment Securities/Affiliated Investment Companies Purchased................................ 1,007
Fund Shares Redeemed........................................................................... 1,139
Due to Advisor................................................................................. 842
Accrued Expenses and Other Liabilities........................................................... 106
------------
Total Liabilities............................................................................. 3,094
------------
NET ASSETS....................................................................................... $ 2,574,363
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $481,529; $43,381 and $2,574,363 and shares
outstanding of 40,698,238; 3,406,642 and 79,539,745, respectively............................... $ 32.37
============
NUMBER OF SHARES AUTHORIZED...................................................................... 500,000,000
============
Investments in Affiliated Investment Companies at Cost........................................... $ 1,178,839
------------
Investments at Cost.............................................................................. $ --
============
Foreign Currencies at Cost....................................................................... $ --
============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................................. $ 1,047,522
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 7,859
Accumulated Net Realized Gain (Loss)............................................................. 127,169
Deferred Thailand Capital Gains Tax.............................................................. (4,691)
Net Unrealized Foreign Exchange Gain (Loss)...................................................... 57
Net Unrealized Appreciation (Depreciation)....................................................... 1,396,447
------------
NET ASSETS....................................................................................... $ 2,574,363
============
See accompanying Notes to Financial Statements.
79
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Emerging Emerging
Markets Markets
Small Cap Value
Portfolio Portfolio
------------ --------------
ASSETS:
Investments in Affiliated Investment Companies at Value......................................... $ 2,135,949 $ 15,403,054
Investments at Value (including $0, $0 and $442,358 of securities on loan, respectively)........ -- --
Temporary Cash Investments at Value & Cost...................................................... -- --
Collateral Received from Securities on Loan at Value & Cost..................................... -- --
Affiliated Collateral Received from Securities on Loan at Value & Cost.......................... -- --
Foreign Currencies at Value..................................................................... -- --
Cash............................................................................................ -- --
Receivables:
Investment Securities/Affiliated Investment Companies Sold.................................... -- --
Dividends, Interest and Tax Reclaims.......................................................... -- --
Securities Lending Income..................................................................... -- --
Fund Shares Sold.............................................................................. 1,733 20,913
Unrealized Gain on Foreign Currency Contracts................................................... -- --
Prepaid Expenses and Other Assets............................................................... 36 130
------------ --------------
Total Assets................................................................................. 2,137,718 15,424,097
------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................................................. -- --
Investment Securities/Affiliated Investment Companies Purchased............................... 860 18,440
Fund Shares Redeemed.......................................................................... 873 2,473
Due to Advisor................................................................................ 786 4,997
Deferred Thailand Capital Gains Tax............................................................. -- --
Accrued Expenses and Other Liabilities.......................................................... 60 429
------------ --------------
Total Liabilities............................................................................ 2,579 26,339
------------ --------------
NET ASSETS $ 2,135,139 $ 15,397,758
============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $45,012 and $0 and shares outstanding of 0;
1,193,853 and 0, respectively.................................................................. N/A $ 37.70
============ ==============
NUMBER OF SHARES AUTHORIZED..................................................................... N/A 100,000,000
============ ==============
Institutional Class Shares -- based on net assets of $2,135,139; $15,352,746 and $5,410,193 and
shares outstanding of 85,966,761; 407,030,979 and 233,522,337, respectively $ 24.84 $ 37.72
============ ==============
NUMBER OF SHARES AUTHORIZED..................................................................... 500,000,000 1,500,000,000
============ ==============
Investments in Affiliated Investment Companies at Cost.......................................... $ 1,438,989 $ 11,251,655
------------ --------------
Investments at Cost............................................................................. $ -- $ --
============ ==============
Foreign Currencies at Cost...................................................................... $ -- $ --
============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................................. $ 1,362,549 $ 11,064,980
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) 5,803 27,637
Accumulated Net Realized Gain (Loss)............................................................ 73,718 175,841
Deferred Thailand Capital Gains Tax............................................................. (3,961) (22,443)
Net Unrealized Foreign Exchange Gain (Loss)..................................................... 70 344
Net Unrealized Appreciation (Depreciation)...................................................... 696,960 4,151,399
------------ --------------
NET ASSETS $ 2,135,139 $ 15,397,758
============ ==============
Emerging
Markets
Core Equity
Portfolio
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value......................................... --
Investments at Value (including $0, $0 and $442,358 of securities on loan, respectively)........ $ 5,384,388
Temporary Cash Investments at Value & Cost...................................................... 17,934
Collateral Received from Securities on Loan at Value & Cost..................................... 658
Affiliated Collateral Received from Securities on Loan at Value & Cost.......................... 469,495
Foreign Currencies at Value..................................................................... 3,794
Cash............................................................................................ 11,206
Receivables:
Investment Securities/Affiliated Investment Companies Sold.................................... 87
Dividends, Interest and Tax Reclaims.......................................................... 13,348
Securities Lending Income..................................................................... 524
Fund Shares Sold.............................................................................. 6,242
Unrealized Gain on Foreign Currency Contracts................................................... 7
Prepaid Expenses and Other Assets............................................................... 92
--------------
Total Assets................................................................................. 5,907,775
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................................................. 470,153
Investment Securities/Affiliated Investment Companies Purchased............................... 14,326
Fund Shares Redeemed.......................................................................... 2,825
Due to Advisor................................................................................ 2,401
Deferred Thailand Capital Gains Tax............................................................. 7,576
Accrued Expenses and Other Liabilities.......................................................... 301
--------------
Total Liabilities............................................................................ 497,582
--------------
NET ASSETS $ 5,410,193
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $45,012 and $0 and shares outstanding of 0;
1,193,853 and 0, respectively.................................................................. N/A
==============
NUMBER OF SHARES AUTHORIZED..................................................................... N/A
==============
Institutional Class Shares -- based on net assets of $2,135,139; $15,352,746 and $5,410,193 and
shares outstanding of 85,966,761; 407,030,979 and 233,522,337, respectively $ 23.17
==============
NUMBER OF SHARES AUTHORIZED..................................................................... 1,000,000,000
==============
Investments in Affiliated Investment Companies at Cost.......................................... $ --
--------------
Investments at Cost............................................................................. $ 3,738,884
==============
Foreign Currencies at Cost...................................................................... $ 3,758
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................................. $ 3,809,933
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) 16,003
Accumulated Net Realized Gain (Loss)............................................................ (53,903)
Deferred Thailand Capital Gains Tax............................................................. (7,576)
Net Unrealized Foreign Exchange Gain (Loss)..................................................... 196
Net Unrealized Appreciation (Depreciation)...................................................... 1,645,540
--------------
NET ASSETS $ 5,410,193
==============
See accompanying Notes to Financial Statements.
80
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
Enhanced U.S. U.S. U.S.
U.S. Large Large Cap Targeted Small Cap
Company Value Value Value
Portfolio Portfolio* Portfolio Portfolio
---------- ---------- --------- ----------
Investment Income
Dividends............................................. $ 53 $ 62,551 $ 12,857 $ 37,356
Interest.............................................. 874 11 8 15
Income from Securities Lending........................ -- 2,287 1,122 4,142
Expenses Allocated from Affiliated Investment Company. -- (4,245) -- --
------- ---------- -------- ----------
Total Investment Income........................... 927 60,604 13,987 41,513
------- ---------- -------- ----------
Expenses
Investment Advisory Services Fees..................... 42 -- 1,351 7,430
Administrative Services Fees.......................... 125 5,541 3,377 11,145
Accounting & Transfer Agent Fees...................... 19 50 152 398
S&P 500(R) Fees....................................... 3 -- -- --
Shareholder Servicing Fees --.........................
Class R1 Shares..................................... -- -- 24 --
Class R2 Shares..................................... -- -- 10 --
Custodian Fees........................................ 7 -- 28 59
Filing Fees........................................... 16 63 56 25
Shareholders' Reports................................. 3 96 48 92
Directors'/Trustees' Fees & Expenses.................. 1 46 15 46
Professional Fees..................................... 2 45 28 87
Other................................................. 3 29 15 47
------- ---------- -------- ----------
Total Expenses.................................... 221 5,870 5,104 19,329
------- ---------- -------- ----------
Net Investment Income (Loss).......................... 706 54,734 8,883 22,184
------- ---------- -------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:..........................
Investment Securities Sold.......................... 176 222,001 94,913 203,550
Futures............................................. 28,921 (9,927) 9 --
Foreign Currency Transactions....................... (791) -- -- --
Change in Unrealized Appreciation.....................
(Depreciation) of:..................................
Investment Securities............................... 2,424 1,166,305 468,304 1,430,498
Futures............................................. (4,985) -- -- --
Translation of Foreign Currency Denominated Amounts. (1,179) -- -- --
------- ---------- -------- ----------
Net Realized and Unrealized Gain (Loss)............... 24,566 1,378,379 563,226 1,634,048
------- ---------- -------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................... $25,272 $1,433,113 $572,109 $1,656,232
======= ========== ======== ==========
--------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
each Portfolio's Master Fund (Affiliated Investment Companies).
See accompanying Notes to Financial Statements.
81
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
U.S. U.S. U.S. U.S.
Core Core Vector Small
Equity 1 Equity 2 Equity Cap
Portfolio Portfolio Portfolio Portfolio
--------- ---------- --------- ---------
Investment Income
Dividends...................................................... $ 26,563 $ 42,188 $ 11,870 $ 21,210
Interest....................................................... 11 13 5 13
Income from Securities Lending................................. 699 1,655 665 3,630
-------- ---------- -------- --------
Total Investment Income.................................... 27,273 43,856 12,540 24,853
-------- ---------- -------- --------
Expenses
Investment Advisory Services Fees.............................. 2,846 5,635 2,717 602
Administrative Services Fees................................... -- -- -- 6,421
Accounting & Transfer Agent Fees............................... 183 302 104 218
Custodian Fees................................................. 36 44 24 48
Filing Fees.................................................... 61 61 23 37
Shareholders' Reports.......................................... 22 48 22 45
Directors'/Trustees' Fees & Expenses........................... 19 33 10 22
Professional Fees.............................................. 38 60 19 46
Other.......................................................... 18 32 12 24
-------- ---------- -------- --------
Total Expenses............................................. 3,223 6,215 2,931 7,463
-------- ---------- -------- --------
Net Investment Income (Loss)................................... 24,050 37,641 9,609 17,390
-------- ---------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:...................................
Investment Securities Sold................................... 11,682 37,688 21,681 126,594
Futures...................................................... -- -- -- 930
Change in Unrealized Appreciation (Depreciation) of:...........
Investment Securities........................................ 553,180 979,420 335,386 738,366
-------- ---------- -------- --------
Net Realized and Unrealized Gain (Loss)........................ 564,862 1,017,108 357,067 865,890
-------- ---------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations. $588,912 $1,054,749 $366,676 $883,280
======== ========== ======== ========
See accompanying Notes to Financial Statements.
82
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
U.S. DFA
Micro Real Estate Large Cap International
Cap Securities International Core Equity
Portfolio Portfolio Portfolio Portfolio
--------- ----------- ------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $1, $0, $2,251 and
$6,016, respectively)........................................ $ 19,182 $ 23,715 $ 26,697 $ 76,089
Interest....................................................... 8 8 5 19
Income from Securities Lending................................. 2,953 461 1,181 4,690
-------- -------- -------- --------
Total Investment Income.................................... 22,143 24,184 27,883 80,798
-------- -------- -------- --------
Expenses
Investment Advisory Services Fees.............................. 1,764 4,222 2,164 9,409
Administrative Services Fees................................... 7,056 -- -- --
Accounting & Transfer Agent Fees............................... 195 157 103 291
Custodian Fees................................................. 34 14 150 522
Filing Fees.................................................... 19 32 15 58
Shareholders' Reports.......................................... 48 55 38 55
Directors'/Trustees' Fees & Expenses........................... 22 18 11 31
Professional Fees.............................................. 43 32 24 61
Other.......................................................... 27 17 21 60
-------- -------- -------- --------
Total Expenses............................................. 9,208 4,547 2,526 10,487
-------- -------- -------- --------
Net Investment Income (Loss)................................... 12,935 19,637 25,357 70,311
-------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Investment Securities. -- 7,319 -- --
Net Realized Gain (Loss) on:...................................
Investment Securities Sold................................... 109,951 (16,475) (1,912) 17,177
Foreign Currency Transactions................................ -- -- 231 143
Change in Unrealized Appreciation (Depreciation) of:...........
Investment Securities and Foreign Currency................... 623,901 412,942 198,433 696,997
Translation of Foreign Currency Denominated Amounts.......... -- -- 54 205
-------- -------- -------- --------
Net Realized and Unrealized Gain (Loss)........................ 733,852 403,786 196,806 714,522
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................... $746,787 $423,423 $222,163 $784,833
======== ======== ======== ========
See accompanying Notes to Financial Statements.
83
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
International Japanese Asia Pacific
Small Small Small
Company Company Company
Portfolio* Portfolio* Portfolio*
------------- ---------- ------------
Investment Income
Net Investment Income Received from Affiliated Investment Companies:.................
Dividends (Net of Foreign Taxes Withheld of $5,774, $136, $63, and $0, respectively). $ 69,613 $ 1,805 $ 2,174
Interest............................................................................. 18 1 --
Income from Securities Lending....................................................... 7,048 99 187
Expenses Allocated from Affiliated Investment Companies ............................. (4,242) (92) (116)
---------- ------- -------
Total Net Investment Income Received from Affiliated Investment Companies.......... 72,437 1,813 2,245
---------- ------- -------
Fund Investment Income
Interest............................................................................. 9 -- --
---------- ------- -------
Total Fund Investment Income....................................................... 9 -- --
---------- ------- -------
Fund Expenses
Administrative Services Fees......................................................... 12,321 274 296
Accounting & Transfer Agent Fees..................................................... 42 7 7
Filing Fees.......................................................................... 42 9 11
Shareholders' Reports................................................................ 72 1 2
Directors'/Trustees' Fees & Expenses................................................. 35 1 1
Professional Fees.................................................................... 34 2 2
Other................................................................................ 20 2 3
---------- ------- -------
Total Expenses..................................................................... 12,566 296 322
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by
Advisor (Note C).................................................................... -- -- --
---------- ------- -------
Net Expenses......................................................................... 12,566 296 322
---------- ------- -------
Net Investment Income (Loss)......................................................... 59,880 1,517 1,923
---------- ------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:.........................................................
Investment Securities Sold.......................................................... 114,761 (4,303) 5,308
Futures............................................................................. (271) -- --
Foreign Currency Transactions....................................................... 551 (25) 34
Change in Unrealized Appreciation (Depreciation) of:.................................
Investment Securities and Foreign Currency.......................................... 832,723 17,018 11,477
Translation of Foreign Currency Denominated Amounts ................................ 152 (10) 7
---------- ------- -------
Net Realized and Unrealized Gain (Loss).............................................. 947,916 12,680 16,826
---------- ------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations........................ $1,007,796 $14,197 $18,749
========== ======= =======
United
Kingdom
Small
Company
Portfolio*
----------
Investment Income
Net Investment Income Received from Affiliated Investment Companies:.................
Dividends (Net of Foreign Taxes Withheld of $5,774, $136, $63, and $0, respectively). $ 508
Interest............................................................................. --
Income from Securities Lending....................................................... 5
Expenses Allocated from Affiliated Investment Companies ............................. (22)
------
Total Net Investment Income Received from Affiliated Investment Companies.......... 491
------
Fund Investment Income
Interest............................................................................. --
------
Total Fund Investment Income....................................................... --
------
Fund Expenses
Administrative Services Fees......................................................... 71
Accounting & Transfer Agent Fees..................................................... 7
Filing Fees.......................................................................... 8
Shareholders' Reports................................................................ 1
Directors'/Trustees' Fees & Expenses................................................. --
Professional Fees.................................................................... 1
Other................................................................................ 1
------
Total Expenses..................................................................... 89
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by
Advisor (Note C).................................................................... (6)
------
Net Expenses......................................................................... 83
------
Net Investment Income (Loss)......................................................... 408
------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:.........................................................
Investment Securities Sold.......................................................... 444
Futures............................................................................. --
Foreign Currency Transactions....................................................... 6
Change in Unrealized Appreciation (Depreciation) of:.................................
Investment Securities and Foreign Currency.......................................... 4,994
Translation of Foreign Currency Denominated Amounts ................................ 5
------
Net Realized and Unrealized Gain (Loss).............................................. 5,449
------
Net Increase (Decrease) in Net Assets Resulting from Operations........................ $5,857
======
---------
*Investment Income and Realized and Unrealized Gain (Loss) were allocated from
each Portfolio's Master Fund (Affiliated Investment Companies).
See accompanying Notes to Financial Statements.
84
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
DFA
Continental International DFA Global
Small Real Estate Real Estate
Company Securities Securities
Portfolio* Portfolio Portfolio
----------- ------------- -----------
Investment Income................................................................
Net Investment Income Received from Affiliated Investment Companies:...........
Dividends (Net of Foreign Taxes Withheld of $194, $0, $0 and $0, respectively). $ 1,239 -- --
Income Distributions Received from Affiliated Investment Company............... -- -- $36,425
Interest....................................................................... 1 -- --
Income from Securities Lending................................................. 231 -- --
Expenses Allocated from Affiliated Investment Company.......................... (98) -- --
------- -------- -------
Total Net Investment Income Received from Affiliated Investment Companies.... 1,373 -- 36,425
------- -------- -------
Fund Investment Income...........................................................
Dividends (Net of Foreign Taxes Withheld of $0, $1,913, $0 and $7,543,
respectively)................................................................. -- $ 38,416 --
Interest....................................................................... -- 4 1
Income from Securities Lending................................................. -- 629 --
------- -------- -------
Total Fund Investment Income................................................. -- 39,049 1
------- -------- -------
Fund Expenses....................................................................
Investment Advisory Services Fees.............................................. -- 1,692 1,215
Administrative Services Fees................................................... 276 -- --
Accounting & Transfer Agent Fees............................................... 7 63 10
Custodian Fees................................................................. -- 91 --
Filing Fees.................................................................... 8 25 15
Shareholders' Reports.......................................................... 2 25 9
Directors'/Trustees' Fees & Expenses........................................... 1 6 4
Professional Fees.............................................................. 2 14 6
Other.......................................................................... 2 87 6
------- -------- -------
Total Expenses............................................................... 298 2,003 1,265
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by
Advisor (Note C).............................................................. -- -- (1,117)
------- -------- -------
Net Expenses................................................................... 298 2,003 148
------- -------- -------
Net Investment Income (Loss)................................................... 1,075 37,046 36,278
------- -------- -------
Realized and Unrealized Gain (Loss)..............................................
Net Realized Gain (Loss) on:...................................................
Investment Securities Sold.................................................... 1,452 (66,439) (4,507)
Futures....................................................................... (16) -- --
Foreign Currency Transactions................................................. 19 90 --
Change in Unrealized Appreciation (Depreciation) of:...........................
Investment Securities and Foreign Currency.................................... 23,688 155,357 65,666
Translation of Foreign Currency Denominated Amounts........................... 9 (15) --
------- -------- -------
Net Realized and Unrealized Gain (Loss)........................................ 25,152 88,993 61,159
------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations.................. $26,227 $126,039 $97,437
======= ======== =======
DFA
International
Small Cap
Value
Portfolio
-------------
Investment Income................................................................
Net Investment Income Received from Affiliated Investment Companies:...........
Dividends (Net of Foreign Taxes Withheld of $194, $0, $0 and $0, respectively). --
Income Distributions Received from Affiliated Investment Company............... --
Interest....................................................................... --
Income from Securities Lending................................................. --
Expenses Allocated from Affiliated Investment Company.......................... --
----------
Total Net Investment Income Received from Affiliated Investment Companies.... --
----------
Fund Investment Income...........................................................
Dividends (Net of Foreign Taxes Withheld of $0, $1,913, $0 and $7,543,
respectively)................................................................. $ 93,595
Interest....................................................................... 17
Income from Securities Lending................................................. 6,636
----------
Total Fund Investment Income................................................. 100,248
----------
Fund Expenses....................................................................
Investment Advisory Services Fees.............................................. 27,431
Administrative Services Fees................................................... --
Accounting & Transfer Agent Fees............................................... 452
Custodian Fees................................................................. 957
Filing Fees.................................................................... 56
Shareholders' Reports.......................................................... 105
Directors'/Trustees' Fees & Expenses........................................... 52
Professional Fees.............................................................. 105
Other.......................................................................... 97
----------
Total Expenses............................................................... 29,255
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by
Advisor (Note C).............................................................. --
----------
Net Expenses................................................................... 29,255
----------
Net Investment Income (Loss)................................................... 70,993
----------
Realized and Unrealized Gain (Loss)..............................................
Net Realized Gain (Loss) on:...................................................
Investment Securities Sold.................................................... 267,626
Futures....................................................................... --
Foreign Currency Transactions................................................. 2,222
Change in Unrealized Appreciation (Depreciation) of:...........................
Investment Securities and Foreign Currency.................................... 1,217,712
Translation of Foreign Currency Denominated Amounts........................... 468
----------
Net Realized and Unrealized Gain (Loss)........................................ 1,488,028
----------
Net Increase (Decrease) in Net Assets Resulting from Operations.................. $1,559,021
==========
--------
*Investment Income and Realized and Unrealized Gain (Loss) were allocated from
each Portfolio's Master Fund (Affiliated Investment Companies).
See accompanying Notes to Financial Statements.
85
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
International
Vector World ex
Equity U.S. Value
Portfolio Portfolio***
------------- ------------
Investment Income...............................................................................
Net Investment Income Received from Affiliated Investment Companies:..........................
Dividends (Net of Foreign Taxes Withheld of $0, $35 and $1,710, respectively)................. -- $ 436
Income Distributions Received from Affiliated Investment Companies............................ -- 21
Interest...................................................................................... -- --
Income from Securities Lending................................................................ -- 22
Expenses Allocated from Affiliated Investment Companies....................................... -- (35)
------- ------
Total Investment Income..................................................................... -- 444
------- ------
Fund Investment Income..........................................................................
Dividends (Net of Foreign Taxes Withheld of $404, $0 and $0, respectively).................... $ 5,474 --
Interest...................................................................................... 2 --
Income from Securities Lending................................................................ 387 --
------- ------
Total Fund Investment Income................................................................ 5,863 --
------- ------
Fund Expenses...................................................................................
Investment Advisory Services Fees............................................................. 942 85
Administrative Services Fees.................................................................. -- --
Accounting & Transfer Agent Fees.............................................................. 34 6
Custodian Fees................................................................................ 92 --
Filing Fees................................................................................... 14 7
Shareholders' Reports......................................................................... 4 1
Directors'/Trustees' Fees & Expenses.......................................................... 2 --
Audit Fees.................................................................................... 2 3
Legal Fees.................................................................................... 3 4
Organizational & Offering Costs............................................................... -- 10
Other......................................................................................... 6 --
------- ------
Total Expenses.............................................................................. 1,099 116
------- ------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C). -- (55)
------- ------
Net Expenses.................................................................................. 1,099 61
------- ------
Net Investment Income (Loss).................................................................. 4,764 383
------- ------
Realized and Unrealized Gain (Loss).............................................................
Capital Gain Distributions Received from Affiliated Investment Companies...................... -- 48
Net Realized Gain (Loss) on:..................................................................
Investment Securities Sold................................................................... 7,432 286
Foreign Currency Transactions**.............................................................. 96 3
Change in Unrealized Appreciation (Depreciation) of:..........................................
Investment Securities and Foreign Currency................................................... 53,317 4,037
Translation of Foreign Currency Denominated Amounts.......................................... 18 2
Change in Deferred Thailand Capital Gains Tax................................................. -- (4)
------- ------
Net Realized and Unrealized Gain (Loss)....................................................... 60,863 4,372
------- ------
Net Increase (Decrease) in Net Assets Resulting from Operations................................. $65,627 $4,755
======= ======
Emerging
Markets
Portfolio*
----------
Investment Income...............................................................................
Net Investment Income Received from Affiliated Investment Companies:..........................
Dividends (Net of Foreign Taxes Withheld of $0, $35 and $1,710, respectively)................. $ 21,526
Income Distributions Received from Affiliated Investment Companies............................ --
Interest...................................................................................... 7
Income from Securities Lending................................................................ 1,253
Expenses Allocated from Affiliated Investment Companies....................................... (2,287)
--------
Total Investment Income..................................................................... 20,499
--------
Fund Investment Income..........................................................................
Dividends (Net of Foreign Taxes Withheld of $404, $0 and $0, respectively).................... --
Interest...................................................................................... --
Income from Securities Lending................................................................ --
--------
Total Fund Investment Income................................................................ --
--------
Fund Expenses...................................................................................
Investment Advisory Services Fees............................................................. --
Administrative Services Fees.................................................................. 4,852
Accounting & Transfer Agent Fees.............................................................. 21
Custodian Fees................................................................................ --
Filing Fees................................................................................... 21
Shareholders' Reports......................................................................... 47
Directors'/Trustees' Fees & Expenses.......................................................... 15
Audit Fees.................................................................................... 3
Legal Fees.................................................................................... 13
Organizational & Offering Costs............................................................... --
Other......................................................................................... 10
--------
Total Expenses.............................................................................. 4,982
--------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C). --
--------
Net Expenses.................................................................................. 4,982
--------
Net Investment Income (Loss).................................................................. 15,517
--------
Realized and Unrealized Gain (Loss).............................................................
Capital Gain Distributions Received from Affiliated Investment Companies...................... --
Net Realized Gain (Loss) on:..................................................................
Investment Securities Sold................................................................... 126,905
Foreign Currency Transactions**.............................................................. 344
Change in Unrealized Appreciation (Depreciation) of:..........................................
Investment Securities and Foreign Currency................................................... 123,764
Translation of Foreign Currency Denominated Amounts.......................................... (1)
Change in Deferred Thailand Capital Gains Tax................................................. (476)
--------
Net Realized and Unrealized Gain (Loss)....................................................... 250,536
--------
Net Increase (Decrease) in Net Assets Resulting from Operations................................. $266,053
========
--------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from each Portfolio's respective Master Fund (Affiliated Investment
Companies).
** Net of foreign capital gain taxes withheld of $0, $0, and $199, respectively.
***Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Funds (Affiliated Investment
Companies).
See accompanying Notes to Financial Statements.
86
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
Emerging Emerging Emerging
Markets Markets Markets
Small Cap Value Core Equity
Portfolio* Portfolio* Portfolio
---------- ---------- -----------
Investment Income.......................................................
Dividends (Net of Foreign Taxes Withheld of $1,309, $8,028 and $3,619,
respectively)........................................................ $ 16,061 $ 93,343 $ 40,258
Interest............................................................... 9 53 20
Income from Securities Lending......................................... 1,709 4,293 2,323
Expenses Allocated from Affiliated Investment Companies................ (2,803) (11,971) --
-------- ---------- --------
Total Investment Income............................................ 14,976 85,718 42,601
-------- ---------- --------
Expenses
Investment Advisory Services Fees...................................... -- -- 12,779
Administrative Services Fees........................................... 4,304 26,473 --
Accounting & Transfer Agent Fees....................................... 18 83 253
Shareholder Servicing Fees -- Class R2 Shares.......................... -- 51 --
Custodian Fees......................................................... -- -- 1,681
Filing Fees............................................................ 30 183 80
Shareholders' Reports.................................................. 21 96 60
Directors'/Trustees' Fees & Expenses................................... 11 69 24
Professional Fees...................................................... 10 62 64
Other.................................................................. 6 34 40
-------- ---------- --------
Total Expenses..................................................... 4,400 27,051 14,981
-------- ---------- --------
Net Investment Income (Loss)........................................... 10,576 58,667 27,620
-------- ---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:...........................................
Investment Securities Sold........................................... 74,460 187,988 3,271
Foreign Currency Transactions**...................................... (266) (1,476) (2,186)
Change in Unrealized Appreciation (Depreciation) of:...................
Investment Securities and Foreign Currency........................... 43,846 1,005,623 407,434
Translation of Foreign Currency Denominated Amounts.................. 67 223 139
Change in Deferred Thailand Capital Gains Tax.......................... (428) (6,364) (1,611)
-------- ---------- --------
Net Realized and Unrealized Gain (Loss)................................ 117,679 1,185,994 407,047
-------- ---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations $128,255 $1,244,661 $434,667
======== ========== ========
--------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from each Portfolio's respective Master Fund (Affiliated Investment
Companies).
** Net of foreign capital gain taxes withheld of $163, $669 and $1,842,
respectively.
See accompanying Notes to Financial Statements.
87
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Enhanced U.S. Large
U.S. Large Company Cap Value
Portfolio Portfolio
-------------------- ------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- -------- ----------- -----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 706 $ 1,547 $ 54,734 $ 120,445
Net Realized Gain (Loss) on:
Investment Securities Sold 176 1,013 222,001 498,315
Futures 28,921 15,127 (9,927) --
Foreign Currency Transactions (791) (51) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 2,424 143 1,166,305 533,400
Futures (4,985) 8,702 -- --
Translation of Foreign Currency Denominated Amounts (1,179) (171) -- --
-------- -------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations 25,272 26,310 1,433,113 1,152,160
-------- -------- ----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares -- -- -- --
Class R2 Shares -- -- -- --
Institutional Class Shares (270) (1,589) (59,199) (116,599)
Net Long-Term Gains:
Class R1 Shares -- -- -- --
Class R2 Shares -- -- -- --
Institutional Class Shares -- -- -- --
-------- -------- ----------- -----------
Total Distributions (270) (1,589) (59,199) (116,599)
-------- -------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 11,775 15,684 1,005,771 1,304,022
Shares Issued in Lieu of Cash Distributions 259 1,525 55,585 108,979
Shares Redeemed (21,776) (49,431) (1,223,772) (1,391,178)
-------- -------- ----------- -----------
Net Increase (Decrease) from Capital Share Transactions (9,742) (32,222) (162,416) 21,823
-------- -------- ----------- -----------
Total Increase (Decrease) in Net Assets 15,260 (7,501) 1,211,498 1,057,384
Net Assets
Beginning of Period 157,730 165,231 6,921,036 5,863,652
-------- -------- ----------- -----------
End of Period $172,990 $157,730 $ 8,132,534 $ 6,921,036
======== ======== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued 1,449 2,221 48,311 74,182
Shares Issued in Lieu of Cash Distributions 33 224 2,749 6,369
Shares Redeemed (2,666) (6,983) (61,685) (79,010)
Shares Reduced by Reverse Stock Split (Note G) -- -- -- --
-------- -------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed (1,184) (4,538) (10,625) 1,541
======== ======== =========== ===========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 664 $ 228 $ 12,921 $ 17,386
U.S. Targeted
Value Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 8,883 $ 13,743
Net Realized Gain (Loss) on:
Investment Securities Sold 94,913 87,567
Futures 9 (256)
Foreign Currency Transactions -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 468,304 298,035
Futures -- --
Translation of Foreign Currency Denominated Amounts -- --
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations 572,109 399,089
---------- ----------
Distributions From:
Net Investment Income:
Class R1 Shares (152) (312)
Class R2 Shares (20) (29)
Institutional Class Shares (8,884) (12,213)
Net Long-Term Gains:
Class R1 Shares (87) --
Class R2 Shares (14) --
Institutional Class Shares (4,668) --
---------- ----------
Total Distributions (13,825) (12,554)
---------- ----------
Capital Share Transactions (1):
Shares Issued 553,051 911,104
Shares Issued in Lieu of Cash Distributions 13,036 11,528
Shares Redeemed (364,047) (521,662)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions 202,040 400,970
---------- ----------
Total Increase (Decrease) in Net Assets 760,324 787,505
Net Assets
Beginning of Period 2,271,265 1,483,760
---------- ----------
End of Period $3,031,589 $2,271,265
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued 32,530 65,207
Shares Issued in Lieu of Cash Distributions 803 900
Shares Redeemed (21,609) (38,952)
Shares Reduced by Reverse Stock Split (Note G) (9) (1,473)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed 11,715 25,682
========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 2,124 $ 2,297
See accompanying Notes to Financial Statements.
88
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Small U.S. Core
Cap Value Portfolio Equity 1 Portfolio
----------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ----------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:.................................................
Net Investment Income (Loss).............................. $ 22,184 $ 26,885 $ 24,050 $ 37,162
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................... 203,550 464,145 11,682 848
In-Kind Redemptions...................................... -- 56,505* -- --
Change in Unrealized Appreciation (Depreciation) of:......
Investment Securities.................................... 1,430,498 929,717 553,180 406,078
---------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 1,656,232 1,477,252 588,912 444,088
---------- ----------- ---------- ----------
Distributions From:.........................................
Net Investment Income:....................................
Institutional Class Shares............................... (24,108) (25,747) (24,006) (31,326)
---------- ----------- ---------- ----------
Total Distributions..................................... (24,108) (25,747) (24,006) (31,326)
---------- ----------- ---------- ----------
Capital Share Transactions (1):.............................
Shares Issued............................................. 635,054 1,005,684 559,157 935,366
Shares Issued in Lieu of Cash Distributions............... 22,833 24,638 21,848 28,011
Shares Redeemed........................................... (880,791) (1,596,209)* (247,215) (468,313)
---------- ----------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions........................................... (222,904) (565,887) 333,790 495,064
---------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets................. 1,409,220 885,618 898,696 907,826
Net Assets
Beginning of Period....................................... 6,555,277 5,669,659 2,897,409 1,989,583
---------- ----------- ---------- ----------
End of Period............................................. $7,964,497 $ 6,555,277 $3,796,105 $2,897,409
========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................................. 24,264 48,187 49,654 97,948
Shares Issued in Lieu of Cash Distributions............... 916 1,272 1,991 3,032
Shares Redeemed........................................... (33,970) (78,455) (22,083) (49,368)
---------- ----------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... (8,790) (28,996) 29,562 51,612
========== =========== ========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 1,744 $ 3,668 $ 6,237 $ 6,193
U.S. Core
Equity 2 Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:.................................................
Net Investment Income (Loss).............................. $ 37,641 $ 65,265
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................... 37,688 9,966
In-Kind Redemptions...................................... -- --
Change in Unrealized Appreciation (Depreciation) of:......
Investment Securities.................................... 979,420 767,061
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 1,054,749 842,292
---------- ----------
Distributions From:.........................................
Net Investment Income:....................................
Institutional Class Shares............................... (39,987) (53,941)
---------- ----------
Total Distributions..................................... (39,987) (53,941)
---------- ----------
Capital Share Transactions (1):.............................
Shares Issued............................................. 710,112 1,032,528
Shares Issued in Lieu of Cash Distributions............... 39,067 52,914
Shares Redeemed........................................... (596,688) (687,751)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 152,491 397,691
---------- ----------
Total Increase (Decrease) in Net Assets................. 1,167,253 1,186,042
Net Assets
Beginning of Period....................................... 4,990,367 3,804,325
---------- ----------
End of Period............................................. $6,157,620 $4,990,367
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................................. 63,138 110,280
Shares Issued in Lieu of Cash Distributions............... 3,583 5,795
Shares Redeemed........................................... (53,050) (73,302)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 13,671 42,773
========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 9,634 $ 11,980
--------
*See Note M in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
89
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Vector U.S. Small
Equity Portfolio Cap Portfolio
---------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ---------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 9,609 $ 15,896 $ 17,390 $ 22,549
Net Realized Gain (Loss) on:
Investment Securities Sold 21,681 11,302 126,594 186,403
Futures -- -- 930 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 335,386 260,530 738,366 519,280
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations 366,676 287,728 883,280 728,232
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares (10,167) (14,799) (18,329) (21,528)
---------- ---------- ---------- ----------
Total Distributions (10,167) (14,799) (18,329) (21,528)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued 275,465 375,571 698,089 754,050
Shares Issued in Lieu of Cash Distributions 10,001 14,588 16,860 20,104
Shares Redeemed (190,179) (282,779) (441,502) (611,402)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions 95,287 107,380 273,447 162,752
---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets 451,796 380,309 1,138,398 869,456
Net Assets
Beginning of Period 1,558,423 1,178,114 3,391,457 2,522,001
---------- ---------- ---------- ----------
End of Period $2,010,219 $1,558,423 $4,529,855 $3,391,457
========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued 24,855 41,113 32,093 42,652
Shares Issued in Lieu of Cash Distributions 928 1,659 795 1,220
Shares Redeemed (17,053) (30,825) (20,249) (35,288)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed 8,730 11,947 12,639 8,584
========== ========== ========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 2,410 $ 2,968 $ 3,718 $ 4,657
U.S. Micro
Cap Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 12,935 $ 17,911
Net Realized Gain (Loss) on:
Investment Securities Sold 109,951 246,080
Futures -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 623,901 507,946
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations 746,787 771,937
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares (13,527) (17,526)
---------- ----------
Total Distributions (13,527) (17,526)
---------- ----------
Capital Share Transactions (1):
Shares Issued 278,787 291,712
Shares Issued in Lieu of Cash Distributions 12,942 16,858
Shares Redeemed (416,730) (703,060)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions (125,001) (394,490)
---------- ----------
Total Increase (Decrease) in Net Assets 608,259 359,921
Net Assets
Beginning of Period 3,178,286 2,818,365
---------- ----------
End of Period $3,786,545 $3,178,286
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued 19,794 26,534
Shares Issued in Lieu of Cash Distributions 951 1,594
Shares Redeemed (29,867) (63,240)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed (9,122) (35,112)
========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 2,635 $ 3,227
See accompanying Notes to Financial Statements.
90
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Real Estate Large Cap
Securities International
Portfolio Portfolio
---------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ---------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 19,637 $ 75,701 $ 25,357 $ 38,398
Capital Gain Distributions Received from Investment
Securities 7,319 3,056 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold (16,475) (57,195) (1,912) (16,990)
Foreign Currency Transactions -- -- 231 383
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 412,942 825,263 198,433 134,897
Translation of Foreign Currency Denominated Amounts -- -- 54 134
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations 423,423 846,825 222,163 156,822
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares (28,337) (70,908) (17,212) (40,390)
---------- ---------- ---------- ----------
Total Distributions (28,337) (70,908) (17,212) (40,390)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued 349,648 469,431 217,296 380,265
Shares Issued in Lieu of Cash Distributions 27,455 68,782 16,602 39,047
Shares Redeemed (305,334) (643,137) (131,758) (283,409)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions 71,769 (104,924) 102,140 135,903
---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets 466,855 670,993 307,091 252,335
Net Assets
Beginning of Period 2,689,552 2,018,559 1,616,686 1,364,351
---------- ---------- ---------- ----------
End of Period $3,156,407 $2,689,552 $1,923,777 $1,616,686
========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued 15,858 25,336 10,687 20,917
Shares Issued in Lieu of Cash Distributions 1,317 3,862 838 2,285
Shares Redeemed (13,976) (34,560) (6,508) (15,664)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed 3,199 (5,362) 5,017 7,538
========== ========== ========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 4,294 $ 12,994 $ 12,129 $ 3,984
International
Core Equity
Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 70,311 $ 96,219
Capital Gain Distributions Received from Investment
Securities -- --
Net Realized Gain (Loss) on:
Investment Securities Sold 17,177 19,341
Foreign Currency Transactions 143 299
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 696,997 410,019
Translation of Foreign Currency Denominated Amounts 205 333
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations 784,833 526,211
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares (50,759) (83,173)
---------- ----------
Total Distributions (50,759) (83,173)
---------- ----------
Capital Share Transactions (1):
Shares Issued 742,455 1,275,823
Shares Issued in Lieu of Cash Distributions 48,718 79,558
Shares Redeemed (328,518) (631,272)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions 462,655 724,109
---------- ----------
Total Increase (Decrease) in Net Assets 1,196,729 1,167,147
Net Assets
Beginning of Period 4,866,989 3,699,842
---------- ----------
End of Period $6,063,718 $4,866,989
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued 64,861 128,031
Shares Issued in Lieu of Cash Distributions 4,363 8,624
Shares Redeemed (28,801) (63,215)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed 40,423 73,440
========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 35,717 $ 16,165
See accompanying Notes to Financial Statements.
91
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
International Japanese
Small Company Small Company
Portfolio Portfolio
---------------------- --------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ---------- ----------- --------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 59,880 $ 90,630 $ 1,517 $ 1,730
Net Realized Gain (Loss) on:
Investment Securities Sold 114,761 157,743 (4,303) (12,297)
Futures (271) -- -- --
Foreign Currency Transactions 551 1,622 (25) 76
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 832,723 551,254 17,018 10,741
Translation of Foreign Currency Denominated Amounts 152 210 (10) 31
---------- ---------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations 1,007,796 801,459 14,197 281
---------- ---------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares (78,027) (84,604) (798) (1,845)
---------- ---------- -------- --------
Total Distributions (78,027) (84,604) (798) (1,845)
---------- ---------- -------- --------
Capital Share Transactions (1):
Shares Issued 851,082 1,099,327 54,332 11,290
Shares Issued in Lieu of Cash Distributions 74,050 80,737 688 1,609
Shares Redeemed (360,960) (655,189) (14,322) (10,460)
---------- ---------- -------- --------
Net Increase (Decrease) from Capital Share Transactions 564,172 524,875 40,698 2,439
---------- ---------- -------- --------
Total Increase (Decrease) in Net Assets 1,493,941 1,241,730 54,097 875
Net Assets
Beginning of Period 5,511,594 4,269,864 114,933 114,058
---------- ---------- -------- --------
End of Period $7,005,535 $5,511,594 $169,030 $114,933
========== ========== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued 49,024 75,592 3,496 793
Shares Issued in Lieu of Cash Distributions 4,478 5,955 46 116
Shares Redeemed (21,119) (45,123) (911) (742)
---------- ---------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed 32,383 36,424 2,631 167
========== ========== ======== ========
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income) $ 13,826 $ 31,973 $ 1,350 $ 631
Asia Pacific
Small Company
Portfolio
--------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 1,923 $ 3,468
Net Realized Gain (Loss) on:
Investment Securities Sold 5,308 5,129
Futures -- --
Foreign Currency Transactions 34 (4)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 11,477 19,235
Translation of Foreign Currency Denominated Amounts 7 (12)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations 18,749 27,816
-------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares (4,932) (3,162)
-------- --------
Total Distributions (4,932) (3,162)
-------- --------
Capital Share Transactions (1):
Shares Issued 35,594 28,331
Shares Issued in Lieu of Cash Distributions 4,505 2,788
Shares Redeemed (15,825) (26,115)
-------- --------
Net Increase (Decrease) from Capital Share Transactions 24,274 5,004
-------- --------
Total Increase (Decrease) in Net Assets 38,091 29,658
Net Assets
Beginning of Period 131,511 101,853
-------- --------
End of Period $169,602 $131,511
======== ========
(1) Shares Issued and Redeemed:
Shares Issued 1,340 1,254
Shares Issued in Lieu of Cash Distributions 177 135
Shares Redeemed (598) (1,206)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed 919 183
======== ========
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income) $ (2,357) $ 652
See accompanying Notes to Financial Statements.
92
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
United Kingdom Continental
Small Company Small Company
Portfolio Portfolio
------------------- --------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- -------- ----------- --------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 408 $ 693 $ 1,075 $ 1,996
Net Realized Gain (Loss) on:
Investment Securities Sold 444 86 1,452 (5,002)
Futures -- -- (16) --
Foreign Currency Transactions 6 3 19 51
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 4,994 6,121 23,688 19,653
Translation of Foreign Currency Denominated Amounts 5 (1) 9 1
------- ------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations 5,857 6,902 26,227 16,699
------- ------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares (404) (694) (711) (1,863)
------- ------- -------- --------
Total Distributions (404) (694) (711) (1,863)
------- ------- -------- --------
Capital Share Transactions (1):
Shares Issued 1,516 2,343 9,801 15,385
Shares Issued in Lieu of Cash Distributions 308 537 577 1,577
Shares Redeemed (1,621) (3,200) (6,132) (14,618)
------- ------- -------- --------
Net Increase (Decrease) from Capital Share Transactions 203 (320) 4,246 2,344
------- ------- -------- --------
Total Increase (Decrease) in Net Assets 5,656 5,888 29,762 17,180
Net Assets
Beginning of Period 33,751 27,863 128,106 110,926
------- ------- -------- --------
End of Period $39,407 $33,751 $157,868 $128,106
======= ======= ======== ========
(1) Shares Issued and Redeemed:
Shares Issued 60 115 550 1,040
Shares Issued in Lieu of Cash Distributions 13 27 34 118
Shares Redeemed (64) (155) (343) (978)
------- ------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed 9 (13) 241 180
======= ======= ======== ========
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income) $ 207 $ 203 $ 961 $ 597
DFA International
Real Estate Securities
Portfolio
---------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ---------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 37,046 $ 51,453
Net Realized Gain (Loss) on:
Investment Securities Sold (66,439) (52,532)
Futures -- --
Foreign Currency Transactions 90 253
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 155,357 149,959
Translation of Foreign Currency Denominated Amounts (15) (8)
---------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations 126,039 149,125
---------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares (107,338) (78,863)
---------- ---------
Total Distributions (107,338) (78,863)
---------- ---------
Capital Share Transactions (1):
Shares Issued 163,873 236,837
Shares Issued in Lieu of Cash Distributions 106,188 78,275
Shares Redeemed (137,092) (169,149)
---------- ---------
Net Increase (Decrease) from Capital Share Transactions 132,969 145,963
---------- ---------
Total Increase (Decrease) in Net Assets 151,670 216,225
Net Assets
Beginning of Period 958,554 742,329
---------- ---------
End of Period $1,110,224 $ 958,554
========== =========
(1) Shares Issued and Redeemed:
Shares Issued 31,839 48,350
Shares Issued in Lieu of Cash Distributions 21,940 16,761
Shares Redeemed (26,685) (35,159)
---------- ---------
Net Increase (Decrease) from Shares Issued and Redeemed 27,094 29,952
========== =========
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income) $ (72,834) $ (2,542)
See accompanying Notes to Financial Statements.
93
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Global DFA International
Real Estate Securities Small Cap Value
Portfolio Portfolio
--------------------- -----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- --------- ----------- -----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:.................................................
Net Investment Income (Loss).............................. $ 36,278 $ 31,064 $ 70,993 $ 111,256
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................... (4,507) (16,221) 267,626 198,099
Foreign Currency Transactions............................ -- -- 2,222 2,837
Change in Unrealized Appreciation (Depreciation) of:......
Investment Securities and Foreign Currency............... 65,666 134,183 1,217,712 395,701
Translation of Foreign Currency Denominated Amounts...... -- -- 468 688
--------- --------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 97,437 149,026 1,559,021 708,581
--------- --------- ---------- -----------
Distributions From:.........................................
Net Investment Income:....................................
Institutional Class Shares............................... (41,423) (30,870) (59,714) (101,689)
Net Long-Term Gains:......................................
Institutional Class Shares............................... -- -- (138,537) --
--------- --------- ---------- -----------
Total Distributions..................................... (41,423) (30,870) (198,251) (101,689)
--------- --------- ---------- -----------
Capital Share Transactions (1):.............................
Shares Issued............................................. 188,648 291,090 701,180 1,457,097
Shares Issued in Lieu of Cash Distributions............... 40,672 30,424 187,635 94,455
Shares Redeemed........................................... (163,976) (176,711) (629,384) (1,363,083)
--------- --------- ---------- -----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 65,344 144,803 259,431 188,469
--------- --------- ---------- -----------
Total Increase (Decrease) in Net Assets................. 121,358 262,959 1,620,201 795,361
Net Assets
Beginning of Period....................................... 695,461 432,502 7,655,318 6,859,957
--------- --------- ---------- -----------
End of Period............................................. $ 816,819 $ 695,461 $9,275,519 $ 7,655,318
========= ========= ========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................................. 23,132 40,187 40,684 96,841
Shares Issued in Lieu of Cash Distributions............... 5,345 4,617 11,427 6,841
Shares Redeemed........................................... (20,440) (24,880) (36,343) (89,769)
--------- --------- ---------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 8,037 19,924 15,768 13,913
========= ========= ========== ===========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ (134) $ 5,011 $ 49,219 $ 37,940
International
Vector Equity
Portfolio
--------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:.................................................
Net Investment Income (Loss).............................. $ 4,764 $ 5,813
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................... 7,432 5,866
Foreign Currency Transactions............................ 96 77
Change in Unrealized Appreciation (Depreciation) of:......
Investment Securities and Foreign Currency............... 53,317 28,748
Translation of Foreign Currency Denominated Amounts...... 18 27
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 65,627 40,531
-------- --------
Distributions From:.........................................
Net Investment Income:....................................
Institutional Class Shares............................... (3,496) (5,380)
Net Long-Term Gains:......................................
Institutional Class Shares............................... (2,419) --
-------- --------
Total Distributions..................................... (5,915) (5,380)
-------- --------
Capital Share Transactions (1):.............................
Shares Issued............................................. 80,294 109,333
Shares Issued in Lieu of Cash Distributions............... 5,629 5,137
Shares Redeemed........................................... (27,229) (49,042)
-------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 58,694 65,428
-------- --------
Total Increase (Decrease) in Net Assets................. 118,406 100,579
Net Assets
Beginning of Period....................................... 363,123 262,544
-------- --------
End of Period............................................. $481,529 $363,123
======== ========
(1) Shares Issued and Redeemed:
Shares Issued............................................. 7,316 11,526
Shares Issued in Lieu of Cash Distributions............... 534 590
Shares Redeemed........................................... (2,481) (5,261)
-------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 5,369 6,855
======== ========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 2,354 $ 1,086
See accompanying Notes to Financial Statements.
94
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
World ex U.S. Emerging Markets
Value Portfolio Portfolio
------------------------- ----------------------
For the Period
Six Months Aug. 23, Six Months Year
Ended 2010(a) to Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- -------------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:............................................
Net Investment Income (Loss)......................... $ 383 $ 40 $ 15,517 $ 37,045
Capital Gain Distributions Received from Affiliated
Investment Companies................................ 48 -- -- --
Net Realized Gain (Loss) on:.........................
Investment Securities Sold.......................... 286 212 126,905 148,805
Foreign Currency Transactions*...................... 3 2 344 506
Change in Unrealized Appreciation (Depreciation) of:.
Investment Securities and Foreign Currency.......... 4,037 3,256 123,764 317,270
Translation of Foreign Currency Denominated
Amounts............................................ 2 (3) (1) (6)
Change in Deferred Thailand Capital Gains Tax........ (4) (3) (476) (2,143)
------- ------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................... 4,755 3,504 266,053 501,477
------- ------- ---------- ----------
Distributions From:....................................
Net Investment Income:...............................
Institutional Class Shares.......................... (206) -- (10,928) (34,414)
Net Short-Term Gains:................................
Institutional Class Shares.......................... (19) -- (77) (2,485)
Net Long-Term Gains:.................................
Institutional Class Shares.......................... (195) -- (136,141) (29,814)
------- ------- ---------- ----------
Total Distributions................................ (420) -- (147,146) (66,713)
------- ------- ---------- ----------
Capital Share Transactions (1):........................
Shares Issued........................................ 9,508 28,812 296,651 464,965
Shares Issued in Lieu of Cash Distributions.......... 420 -- 134,996 60,045
Shares Redeemed...................................... (498) (2,700) (348,689) (553,564)
------- ------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 9,430 26,112 82,958 (28,554)
------- ------- ---------- ----------
Total Increase (Decrease) in Net Assets............ 13,765 29,616 201,865 406,210
Net Assets
Beginning of Period.................................. 29,616 -- 2,372,498 1,966,288
------- ------- ---------- ----------
End of Period........................................ $43,381 $29,616 $2,574,363 $2,372,498
======= ======= ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 804 2,860 9,668 16,688
Shares Issued in Lieu of Cash Distributions.......... 37 -- 4,568 2,260
Shares Redeemed...................................... (42) (252) (11,486) (20,100)
------- ------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed.......................................... 799 2,608 2,750 (1,152)
======= ======= ========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 223 $ 46 $ 7,859 $ 3,270
Emerging Markets
Small Cap
Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:............................................
Net Investment Income (Loss)......................... $ 10,576 $ 23,479
Capital Gain Distributions Received from Affiliated
Investment Companies................................ -- --
Net Realized Gain (Loss) on:.........................
Investment Securities Sold.......................... 74,460 97,897
Foreign Currency Transactions*...................... (266) 76
Change in Unrealized Appreciation (Depreciation) of:.
Investment Securities and Foreign Currency.......... 43,846 373,644
Translation of Foreign Currency Denominated
Amounts............................................ 67 (72)
Change in Deferred Thailand Capital Gains Tax........ (428) (2,963)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................... 128,255 492,061
---------- ----------
Distributions From:....................................
Net Investment Income:...............................
Institutional Class Shares.......................... (7,986) (22,294)
Net Short-Term Gains:................................
Institutional Class Shares.......................... -- --
Net Long-Term Gains:.................................
Institutional Class Shares.......................... (58,359) --
---------- ----------
Total Distributions................................ (66,345) (22,294)
---------- ----------
Capital Share Transactions (1):........................
Shares Issued........................................ 295,802 468,984
Shares Issued in Lieu of Cash Distributions.......... 53,551 18,296
Shares Redeemed...................................... (109,162) (257,967)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 240,191 229,313
---------- ----------
Total Increase (Decrease) in Net Assets............ 302,101 699,080
Net Assets
Beginning of Period.................................. 1,833,038 1,133,958
---------- ----------
End of Period........................................ $2,135,139 $1,833,038
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 12,716 22,700
Shares Issued in Lieu of Cash Distributions.......... 2,310 933
Shares Redeemed...................................... (4,623) (13,059)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed.......................................... 10,403 10,574
========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) $ 5,803 $ 3,213
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
*Net of foreign capital gain taxes withheld of $0, $0, $199, $0, $163 and $179,
respectively.
See accompanying Notes to Financial Statements.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets
Value Portfolio
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets..............................................
Operations:....................................................................
Net Investment Income (Loss)................................................. $ 58,667 $ 125,933
Net Realized Gain (Loss) on:.................................................
Investment Securities Sold.................................................. 187,988 577,480
Foreign Currency Transactions*.............................................. (1,476) (3,090)
Change in Unrealized Appreciation (Depreciation) of:.........................
Investment Securities and Foreign Currency.................................. 1,005,623 1,724,116
Translation of Foreign Currency Denominated Amounts......................... 223 2
Change in Deferred Thailand Capital Gains Tax................................ (6,364) (9,879)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations............ 1,244,661 2,414,562
----------- -----------
Distributions From:............................................................
Net Investment Income:.......................................................
Class R2 Shares............................................................. (113) (5,375)
Institutional Class Shares.................................................. (43,731) (109,197)
Net Short-Term Gains:........................................................
Class R2 Shares............................................................. (224) (513)
Institutional Class Shares.................................................. (67,767) (65,356)
Net Long-Term Gains:.........................................................
Class R2 Shares............................................................. (1,580) (909)
Institutional Class Shares.................................................. (477,706) (115,729)
----------- -----------
Total Distributions........................................................ (591,121) (297,079)
----------- -----------
Capital Share Transactions (1):................................................
Shares Issued................................................................ 3,477,054 3,348,220
Shares Issued in Lieu of Cash Distributions.................................. 547,866 272,770
Shares Redeemed.............................................................. (863,240) (1,562,283)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions.................... 3,161,680 2,058,707
----------- -----------
Total Increase (Decrease) in Net Assets.................................... 3,815,220 4,176,190
Net Assets.....................................................................
Beginning of Period.......................................................... 11,582,538 7,406,348
----------- -----------
End of Period................................................................ $15,397,758 $11,582,538
=========== ===========
(1) Shares Issued and Redeemed:................................................
Shares Issued................................................................ 97,725 121,548
Shares Issued in Lieu of Cash Distributions.................................. 15,834 12,712
Shares Redeemed.............................................................. (24,474) (53,662)
Shares Reduced by Conversion of Shares (Note G).............................. (19,608) --
----------- -----------
Net Increase (Decrease) from Shares Issued and Redeemed.................... 69,477 80,598
=========== ===========
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income) $ 27,637 $ 12,814
Emerging Markets
Core Equity
Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets..............................................
Operations:....................................................................
Net Investment Income (Loss)................................................. $ 27,620 $ 51,443
Net Realized Gain (Loss) on:.................................................
Investment Securities Sold.................................................. 3,271 35,721
Foreign Currency Transactions*.............................................. (2,186) (776)
Change in Unrealized Appreciation (Depreciation) of:.........................
Investment Securities and Foreign Currency.................................. 407,434 789,087
Translation of Foreign Currency Denominated Amounts......................... 139 (19)
Change in Deferred Thailand Capital Gains Tax................................ (1,611) (4,133)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations............ 434,667 871,323
---------- ----------
Distributions From:............................................................
Net Investment Income:.......................................................
Class R2 Shares............................................................. -- --
Institutional Class Shares.................................................. (20,180) (48,768)
Net Short-Term Gains:........................................................
Class R2 Shares............................................................. -- --
Institutional Class Shares.................................................. -- --
Net Long-Term Gains:.........................................................
Class R2 Shares............................................................. -- --
Institutional Class Shares.................................................. -- --
---------- ----------
Total Distributions........................................................ (20,180) (48,768)
---------- ----------
Capital Share Transactions (1):................................................
Shares Issued................................................................ 1,116,553 1,458,158
Shares Issued in Lieu of Cash Distributions.................................. 18,058 43,732
Shares Redeemed.............................................................. (318,787) (599,598)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions.................... 815,824 902,292
---------- ----------
Total Increase (Decrease) in Net Assets.................................... 1,230,311 1,724,847
Net Assets.....................................................................
Beginning of Period.......................................................... 4,179,882 2,455,035
---------- ----------
End of Period................................................................ $5,410,193 $4,179,882
========== ==========
(1) Shares Issued and Redeemed:................................................
Shares Issued................................................................ 51,130 77,138
Shares Issued in Lieu of Cash Distributions.................................. 842 2,449
Shares Redeemed.............................................................. (14,631) (32,331)
Shares Reduced by Conversion of Shares (Note G).............................. -- --
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed.................... 37,341 47,256
========== ==========
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income) $ 16,003 $ 8,563
--------
*Net of foreign capital gain taxes withheld of $669, $1,720, $1,842 and $982,
respectively.
See accompanying Notes to Financial Statements.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio
---------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year
Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95
---------------------------------------------------------------------------------
Income From Investment Operations.......
Net Investment Income (Loss)........... 0.03(A) 0.07(A) 0.05(A) 0.39(A) 0.30(A)
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 1.20 1.05 0.61 (3.74) 0.45
---------------------------------------------------------------------------------
Total From Investment Operations..... 1.23 1.12 0.66 (3.35) 0.75
--------------------------------------------------------------------------------------------------------------------------
Less Distributions......................
Net Investment Income.................. (0.01) (0.07) (0.59) (0.36) (0.36)
Net Realized Gains..................... -- -- (0.06) (0.73) (0.43)
---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.01) (0.07) (0.65) (1.09) (0.79)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 8.75 $ 7.53 $ 6.48 $ 6.47 $ 10.91
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
Total Return............................ 16.40%(C) 17.40% 12.23% (33.89)%(C) 7.13%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 172,990 $ 157,730 $ 165,231 $ 200,331 $ 337,050
Ratio of Expenses to Average Net Assets. 0.27%(B) 0.26% 0.29%** 0.25%(B)(D) 0.25%(D)
Ratio of Net Investment Income to
Average Net Assets..................... 0.85%(B) 0.98% 0.86% 4.74%(B) 2.67%
Portfolio Turnover Rate................. 72%(C) 78% 46%* N/A N/A
--------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Value Portfolio
---------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year
Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40
---------- ---------- ---------- ---------- ----------
Income From Investment Operations.......
Net Investment Income (Loss)........... 0.15(A) 0.33(A) 0.31(A) 0.36(A) 0.33(A)
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 3.92 2.76 1.28 (8.83) (0.43)
---------- ---------- ---------- ---------- ----------
Total From Investment Operations..... 4.07 3.09 1.59 (8.47) (0.10)
--------------------------------------------------------------------------------------------------------------------------
Less Distributions......................
Net Investment Income.................. (0.17) (0.32) (0.34) (0.35) (0.32)
Net Realized Gains..................... -- -- (0.02) (1.04) (0.54)
---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.17) (0.32) (0.36) (1.39) (0.86)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 22.48 $ 18.58 $ 15.81 $ 14.58 $ 24.44
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
Total Return............................ 22.00%(C) 19.72% 11.76% (36.63)%(C) (0.49)%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $8,132,534 $6,921,036 $5,863,652 $5,330,448 $7,535,552
Ratio of Expenses to Average Net Assets. 0.28%(B)(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D)
Ratio of Net Investment Income to
Average Net Assets..................... 1.50%(B) 1.86% 2.26% 1.86%(B) 1.28%
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A
--------------------------------------------------------------------------------------------------------------------------
Enhanced U.S. Large Company Portfolio
--------------------------------
Year
Year Ended
Ended Nov. 30,
Nov. 30, 2006 2005
------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 9.82 $ 9.35
-------------------------------------
Income From Investment Operations.......
Net Investment Income (Loss)........... 0.12(A) 0.29
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 1.19 0.37
-------------------------------------
Total From Investment Operations..... 1.31 0.66
------------------------------------------------------------------------------
Less Distributions......................
Net Investment Income.................. (0.18) (0.19)
Net Realized Gains..................... -- --
---------- ----------
Total Distributions.................. (0.18) (0.19)
------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.95 $ 9.82
------------------------------------------------------------------------------
------------------------------------------------------------------------------
Total Return............................ 13.52% 7.08%
------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 347,216 $ 313,543
Ratio of Expenses to Average Net Assets. 0.26%(D) 0.34%(D)
Ratio of Net Investment Income to
Average Net Assets..................... 1.19% 3.11%
Portfolio Turnover Rate................. N/A N/A
------------------------------------------------------------------------------
U.S. Large Cap Value Portfolio
--------------------------------
Year Year
Ended Ended
Nov. 30, Nov. 30,
2006 2005
------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 21.93 $ 19.37
---------- ----------
Income From Investment Operations.......
Net Investment Income (Loss)........... 0.38(A) 0.30
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 3.50 2.49
---------- ----------
Total From Investment Operations..... 3.88 2.79
------------------------------------------------------------------------------
Less Distributions......................
Net Investment Income.................. (0.35) (0.23)
Net Realized Gains..................... (0.06) --
---------- ----------
Total Distributions.................. (0.41) (0.23)
------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 25.40 $ 21.93
------------------------------------------------------------------------------
------------------------------------------------------------------------------
Total Return............................ 17.97% 14.49%
------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $6,410,086 $4,046,083
Ratio of Expenses to Average Net Assets. 0.28%(D) 0.30%(D)
Ratio of Net Investment Income to
Average Net Assets..................... 1.64% 1.48%
Portfolio Turnover Rate................. N/A N/A
------------------------------------------------------------------------------
*For the period February 28, 2009 through October 31, 2009. Effective
February 28, 2009, Enhanced U.S. Large Company Portfolio invests directly in
securities rather than through the Series.
**Represents the combined ratios for the respective portfolio and for the
period November 1, 2008 through February 27, 2009, its respective pro-rata
share of its Master Fund Series.
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares+
-----------------------------------------
Period
Six Months Year Year Jan. 31,
Ended Ended Ended 2008(a)
April 30, Oct. 31, Oct. 31, to Oct. 31,
2011 2010 2009 2008
-----------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 14.75 $ 11.73 $ 10.92 $ 14.69
------- ------- ------- -------
Income From Investment Operations............................
Net Investment Income (Loss)(A)............................ 0.05 0.07 0.12 0.13
Net Gains (Losses) on Securities (Realized and Unrealized). 3.59 3.07 0.87 (3.76)
------- ------- ------- -------
Total From Investment Operations.......................... 3.64 3.14 0.99 (3.63)
-----------------------------------------------------------------------------------------------------------------
Less Distributions...........................................
Net Investment Income...................................... (0.05) (0.12) (0.18) (0.14)
Net Realized Gains......................................... (0.03) -- -- --
------- ------- ------- -------
Total Distributions....................................... (0.08) (0.12) (0.18) (0.14)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 18.31 $ 14.75 $ 11.73 $ 10.92
-----------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------
Total Return................................................. 24.77%(C) 26.93% 9.36% (24.96)%(C)
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $53,925 $41,316 $31,393 $25,599
Ratio of Expenses to Average Net Assets...................... 0.48%(B) 0.49% 0.52% 0.50%(B)(E)
Ratio of Net Investment Income to Average Net Assets......... 0.57%(B) 0.59% 1.12% 1.24%(B)(E)
Portfolio Turnover Rate...................................... 10%(C) 20% 17% 20%(C)
-----------------------------------------------------------------------------------------------------------------
U.S. Targeted Value Portfolio-Class R2 Shares+
----------------------------------------
Period
Six Months Year Year June 30,
Ended Ended Ended 2008(a)
April 30, Oct. 31, Oct. 31, to Oct. 31,
2011 2010 2009 2008
-------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $14.76 $11.74 $10.91 $ 13.94
------ ------ ------ -------
Income From Investment Operations............................
Net Investment Income (Loss)(A)............................ 0.03 0.05 0.10 0.05
Net Gains (Losses) on Securities (Realized and Unrealized). 3.59 3.07 0.88 (3.02)
------ ------ ------ -------
Total From Investment Operations.......................... 3.62 3.12 0.98 (2.97)
-------------------------------------------------------------------------------------------------------------
Less Distributions...........................................
Net Investment Income...................................... (0.05) (0.10) (0.15) (0.06)
Net Realized Gains......................................... (0.03) -- -- --
------ ------ ------ -------
Total Distributions....................................... (0.08) (0.10) (0.15) (0.06)
-------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $18.30 $14.76 $11.74 $ 10.91
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Total Return................................................. 24.55%(C) 26.66% 9.23% (21.40)%(C)
-------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $9,351 $5,967 $2,930 $ 1,715
Ratio of Expenses to Average Net Assets...................... 0.63%(B) 0.64% 0.67% 0.66%(B)(E)
Ratio of Net Investment Income to Average Net Assets......... 0.38%(B) 0.44% 0.91% 1.35%(B)(E)
Portfolio Turnover Rate...................................... 10%(C) 20% 17% 20%(C)
-------------------------------------------------------------------------------------------------------------
+All per share amounts and net assets values have been adjusted as a result of
the reverse stock split on November 19, 2010. (Note G)
Seepage 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares
-----------------------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period.. $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 $ 17.33 $ 17.09
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From
Investment
Operations..........
Net Investment
Income (Loss)..... 0.06(A) 0.09(A) 0.12(A) 0.18(A) 0.20(A) 0.21(A) 0.32
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... 3.58 3.06 0.88 (4.68) (1.32) 2.84 1.59
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From
Investment
Operations....... 3.64 3.15 1.00 (4.50) (1.12) 3.05 1.91
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions...
Net Investment
Income............ (0.06) (0.09) (0.14) (0.15) (0.20) (0.25) (0.23)
Net Realized Gains.. (0.03) -- -- (0.40) (1.48) (1.44) (1.44)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total
Distributions.... (0.09) (0.09) (0.14) (0.55) (1.68) (1.69) (1.67)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
End of Period....... $ 18.31 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 $ 17.33
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Total Return......... 24.74%(C) 27.02% 9.47% (29.27)%(C) (6.59)% 19.48% 12.17%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands).. $2,968,313 $2,223,982 $1,449,437 $ 855,448 $ 554,805 $ 215,338 $ 172,595
Ratio of Expenses
to Average Net
Assets.............. 0.38%(B) 0.38% 0.41% 0.40%(B) 0.41%(D)** 0.46%(D) 0.47%(D)
Ratio of Net
Investment Income
to Average Net
Assets.............. 0.67%(B) 0.69% 1.19% 1.39%(B) 1.12% 1.19% 1.91%
Portfolio Turnover
Rate................ 10%(C) 20% 17% 20%(C) 9%(C)* N/A N/A
---------------------------------------------------------------------------------------------------------------------------------
U.S. Small Cap Value Portfolio
-----------------------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period.. $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 $ 28.74 $ 27.71
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From
Investment
Operations..........
Net Investment
Income (Loss)..... 0.08(A) 0.09(A) 0.04(A) 0.18(A) 0.30(A) 0.28(A) 0.29
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... 5.68 4.79 1.54 (7.86) (2.72) 5.06 2.66
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From
Investment
Operations....... 5.76 4.88 1.58 (7.68) (2.42) 5.34 2.95
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions...
Net Investment
Income............ (0.08) (0.08) (0.21) (0.22) (0.28) (0.23) (0.26)
Net Realized Gains.. -- -- -- (2.27) (2.40) (2.26) (1.66)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total
Distributions.... (0.08) (0.08) (0.21) (2.49) (2.68) (2.49) (1.92)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
End of Period....... $ 28.17 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 $ 28.74
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Total Return......... 25.68%(C) 27.69% 9.97% (31.80)%(C) (8.41)% 20.29% 11.32%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands).. $7,964,497 $6,555,277 $5,669,659 $5,503,945 $8,802,846 $8,738,278 $6,924,234
Ratio of Expenses
to Average Net
Assets.............. 0.52%(B) 0.52% 0.54%++ 0.52%(B)(D) 0.52%(D) 0.53%(D) 0.55%(D)
Ratio of Net
Investment Income
to Average Net
Assets.............. 0.60%(B) 0.43% 0.27% 0.86%(B) 0.98% 0.94% 1.04%
Portfolio Turnover
Rate................ 6%(C) 19% 21%+ N/A N/A N/A N/A
---------------------------------------------------------------------------------------------------------------------------------
* For the period March 30, 2007 through November 30, 2007. Effective March 30,
2007, U.S. Targeted Value Portfolio invests directly in securities rather
than through the Series.
**Represents the combined ratios for the respective portfolio and for the
period December 1, 2006 through March 29, 2007, its respective pro-rata share
of its Master Fund Series.
+ For the period February 28, 2009 through October 31, 2009. Effective
February 28, 2009, U.S. Small Cap Value Portfolio invests directly in
securities rather than through the Series.
++Represents the combined ratios for the respective portfolio and for the
period November 1, 2008 through February 27, 2009, its respective pro-rata
share of its Master Fund Series.
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio
------------------------------------------------------------------------------------------------------
Period
Period Sept. 15,
Six Months Year Year Dec. 1, Year Year 2005(a)
Ended Ended Ended 2007 to Ended Ended to
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period...... $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 $ 10.22 $ 10.00
---------- ---------- ---------- ---------- ---------- ---------- --------
Income From Investment
Operations...............
Net Investment Income
(Loss)................. 0.08(A) 0.15(A) 0.15(A) 0.17(A) 0.19(A) 0.17(A) 0.03
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 1.91 1.61 0.73 (4.03) 0.35 1.28 0.19
---------- ---------- ---------- ---------- ---------- ---------- --------
Total From Investment
Operations............ 1.99 1.76 0.88 (3.86) 0.54 1.45 0.22
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions........
Net Investment Income.... (0.08) (0.12) (0.15) (0.16) (0.18) (0.17) --
Net Realized Gains....... -- -- -- -- (0.03) -- --
---------- ---------- ---------- ---------- ---------- ---------- --------
Total Distributions.... 0.08) (0.12) (0.15) (0.16) (0.21) (0.17) --
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 12.09 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 $ 10.22
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Total Return.............. 19.65%(C) 20.80% 11.64% (32.85)%(C) 4.68% 14.35% 2.20%(C)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $3,796,105 $2,897,409 $1,989,583 $1,320,562 $1,210,031 $ 652,270 $123,591
Ratio of Expenses to
Average Net Assets....... 0.19%(B) 0.20% 0.22% 0.20%(B) 0.20% 0.23% 0.23%(B)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumption of Expenses
and/or Recovery of
Previously Waived Fees).. 0.19%(B) 0.20% 0.22% 0.20%(B) 0.20% 0.23% 0.37%(B)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 1.45%(B) 1.53% 2.02% 1.78%(B) 1.53% 1.52% 1.85%(B)(E)
Portfolio Turnover Rate... 2%(C) 4% 7% 5%(C) 10% 6% 0%(C)
---------------------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 Portfolio
------------------------------------------------------------------------------------------------------
Period
Period Sept. 15,
Six Months Year Year Dec. 1, Year Year 2005(a)
Ended Ended Ended 2007 to Ended Ended to
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period...... $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 $ 10.24 $ 10.00
---------- ---------- ---------- ---------- ---------- ---------- --------
Income From Investment
Operations...............
Net Investment Income
(Loss)................. 0.07(A) 0.14(A) 0.14(A) 0.17(A) 0.19(A) 0.17(A) 0.03
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 2.02 1.64 0.66 (4.04) 0.13 1.40 0.21
---------- ---------- ---------- ---------- ---------- ---------- --------
Total From Investment
Operations............ 2.09 1.78 0.80 (3.87) 0.32 1.57 0.24
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions........
Net Investment Income.... (0.08) (0.11) (0.14) (0.17) (0.17) (0.16) --
Net Realized Gains....... -- -- -- -- (0.03) -- --
---------- ---------- ---------- ---------- ---------- ---------- --------
Total Distributions.... (0.08) (0.11) (0.14) (0.17) (0.20) (0.16) --
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 12.07 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 $ 10.24
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Total Return.............. 20.86%(C) 21.41% 10.66% (33.16)%(C) 2.78% 15.50% 2.40%(C)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $6,157,620 $4,990,367 $3,804,325 $2,501,028 $2,939,420 $1,216,310 $182,078
Ratio of Expenses to
Average Net Assets....... 0.22%(B) 0.23% 0.24% 0.23%(B) 0.23% 0.26% 0.26%(B)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumption of Expenses
and/or Recovery of
Previously Waived Fees).. 0.22%(B) 0.23% 0.24% 0.23%(B) 0.23% 0.26% 0.38%(B)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 1.35%(B) 1.47% 1.89% 1.77%(B) 1.55% 1.55% 1.92%(B)(E)
Portfolio Turnover Rate... 4%(C) 7% 4% 8%(C) 7% 5% 0%(C)
---------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Vector Equity Portfolio
----------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year
Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79
---------- ---------- ---------- -------- --------
Income From Investment Operations..................
Net Investment Income (Loss)(A).................. 0.06 0.10 0.11 0.15 0.16
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 2.18 1.79 0.57 (3.89) (0.25)
---------- ---------- ---------- -------- --------
Total From Investment Operations................ 2.24 1.89 0.68 (3.74) (0.09)
--------------------------------------------------------------------------------------------------------------------
Less Distributions.................................
Net Investment Income............................ (0.06) (0.10) (0.13) (0.16) (0.14)
Net Realized Gains............................... -- -- -- -- (0.18)
---------- ---------- ---------- -------- --------
Total Distributions............................. (0.06) (0.10) (0.13) (0.16) (0.32)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 12.00 $ 9.82 $ 8.03 $ 7.48 $ 11.38
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Total Return....................................... 22.91%(C) 23.65% 9.47% (33.29)%(C) (0.87)%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $2,010,219 $1,558,423 $1,178,114 $850,623 $959,742
Ratio of Expenses to Average Net Assets............ 0.33%(B) 0.33% 0.35% 0.34%(B) 0.34%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or
Recovery of Previously Waived Fees)............... 0.33%(B) 0.33% 0.35% 0.34%(B) 0.33%
Ratio of Net Investment Income to Average Net
Assets............................................ 1.07%(B) 1.13% 1.60% 1.66%(B) 1.29%
Portfolio Turnover Rate............................ 5%(C) 11% 11% 11%(C) 14%
--------------------------------------------------------------------------------------------------------------------
U.S. Vector Equity Portfolio
----------------------------
Period
Dec. 30,
2005(a) to
Nov. 30,
2006
--------------------------------------------------------------------------------
Net Asset Value, Beginning of Period............... $ 10.00
--------
Income From Investment Operations..................
Net Investment Income (Loss)(A).................. 0.13
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.73
--------
Total From Investment Operations................ 1.86
--------------------------------------------------------------------------------
Less Distributions.................................
Net Investment Income............................ (0.07)
Net Realized Gains............................... --
--------
Total Distributions............................. (0.07)
--------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 11.79
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Total Return....................................... 18.65%(C)
--------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $403,312
Ratio of Expenses to Average Net Assets............ 0.36%(B)(E)
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or
Recovery of Previously Waived Fees)............... 0.39%(B)(E)
Ratio of Net Investment Income to Average Net
Assets............................................ 1.24%(B)(E)
Portfolio Turnover Rate............................ 24%(C)
--------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Portfolio
---------------------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period. $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 $ 20.75 $ 19.13
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From
Investment
Operations..........
Net Investment
Income (Loss)..... 0.09(A) 0.13(A) 0.06(A) 0.14(A) 0.21(A) 0.17(A) 0.15
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... 4.71 4.17 1.65 (6.08) (0.66) 2.84 1.75
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From
Investment
Operations....... 4.80 4.30 1.71 (5.94) (0.45) 3.01 1.90
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions...
Net Investment
Income............ (0.10) (0.13) (0.17) (0.17) (0.21) (0.13) (0.13)
Net Realized Gains.. -- -- -- (1.18) (1.16) (1.17) (0.15)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total
Distributions.... (0.10) (0.13) (0.17) (1.35) (1.37) (1.30) (0.28)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
End of Period....... $ 23.76 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 $ 20.75
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Return......... 25.26%(C) 28.99% 13.08% (30.67)%(C) (2.17)% 15.49% 10.04%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands).. $4,529,855 $3,391,457 $2,522,001 $2,066,849 $3,285,093 $3,297,199 $2,641,670
Ratio of Expenses
to Average Net
Assets.............. 0.38%(B) 0.37% 0.40%** 0.38%(B)(D) 0.38%(D) 0.38%(D) 0.40%(D)
Ratio of Net
Investment Income
to Average Net
Assets.............. 0.87%(B) 0.76% 0.50% 0.86%(B) 0.95% 0.82% 0.78%
Portfolio Turnover
Rate................ 8%(C) 19% 17%* N/A N/A N/A N/A
-------------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio
---------------------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period. $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 $ 15.91 $ 15.06
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From
Investment
Operations..........
Net Investment
Income (Loss)..... 0.05(A) 0.06(A) 0.03(A) 0.10(A) 0.14(A) 0.10(A) 0.07
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... 2.88 2.68 0.54 (4.32) (0.69) 2.04 1.43
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From
Investment
Operations....... 2.93 2.74 0.57 (4.22) (0.55) 2.14 1.50
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions...
Net Investment
Income............ (0.05) (0.06) (0.19) (0.13) (0.13) (0.08) (0.06)
Net Realized Gains.. -- -- -- (1.26) (1.35) (1.14) (0.59)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total
Distributions.... (0.05) (0.06) (0.19) (1.39) (1.48) (1.22) (0.65)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
End of Period....... $ 15.13 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 $ 15.91
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Return......... 23.99%(C) 28.77% 6.61% (31.33)%(C) (3.63)% 14.52% 10.33%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands).. $3,786,545 $3,178,286 $2,818,365 $2,924,225 $4,700,371 $4,824,003 $3,949,511
Ratio of Expenses
to Average Net
Assets.............. 0.53%(B) 0.52% 0.54%** 0.53%(B)(D) 0.52%(D) 0.53%(D) 0.55%(D)
Ratio of Net
Investment Income
to Average Net
Assets.............. 0.74%(B) 0.58% 0.38% 0.91%(B) 0.89% 0.64% 0.48%
Portfolio Turnover
Rate................ 6%(C) 9% 12%* N/A N/A N/A N/A
-------------------------------------------------------------------------------------------------------------------------------
* For the period February 28, 2009 through October 31, 2009. Effective
February 28, 2009, the Portfolios invest directly in securities rather than
through the Series.
** Represents the combined ratios for the respective portfolio and for the
period November 1, 2008 through February 27, 2009, its respective pro-rata
share of its Master Fund Series.
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio
--------------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning
of Period.................. $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 $ 25.75 $ 23.02
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations.................
Net Investment Income
(Loss)................... 0.15(A) 0.58(A) 0.58(A) 0.64(A) 0.62(A) 0.64(A) 0.82
Net Gains (Losses) on
Securities (Realized
and Unrealized).......... 3.15 5.92 (0.62) (9.28) (5.64) 8.84 3.33
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.............. 3.30 6.50 (0.04) (8.64) (5.02) 9.48 4.15
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions..........
Net Investment Income...... (0.23) (0.55) (0.83) (0.30) (0.70) (1.02) (0.86)
Net Realized Gains......... -- -- -- (2.10) (0.88) (0.41) (0.56)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions...... (0.23) (0.55) (0.83) (2.40) (1.58) (1.43) (1.42)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period..................... $ 24.31 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 $ 25.75
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Return................ 15.69%(C) 43.21% 0.98% (34.46)%(C) (15.45)% 38.23% 18.81%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................ $3,156,407 $2,689,552 $2,018,559 $1,746,961 $2,671,457 $2,837,026 $1,836,650
Ratio of Expenses to
Average Net Assets......... 0.33%(B) 0.33% 0.36% 0.33%(B) 0.33% 0.33% 0.37%
Ratio of Net Investment
Income to Average Net
Assets..................... 1.41%(B) 3.13% 4.54% 3.01%(B) 1.99% 2.25% 3.11%
Portfolio Turnover Rate..... 2%(C) 2% 2% 13%(C) 17% 10% 3%
-------------------------------------------------------------------------------------------------------------------------------
Large Cap International Portfolio
--------------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning
of Period.................. $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 $ 19.00 $ 17.31
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations.................
Net Investment Income
(Loss)................... 0.30(A) 0.48(A) 0.48(A) 0.68(A) 0.68(A) 0.55(A) 0.44
Net Gains (Losses) on
Securities (Realized
and Unrealized).......... 2.28 1.43 3.16 (12.06) 3.57 4.68 1.72
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.............. 2.58 1.91 3.64 (11.38) 4.25 5.23 2.16
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions..........
Net Investment Income...... (0.20) (0.51) (0.43) (0.64) (0.67) (0.63) (0.47)
Net Realized Gains......... -- -- -- (0.35) -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions...... (0.20) (0.51) (0.43) (0.99) (0.67) (0.63) (0.47)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period..................... $ 21.80 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 $ 19.00
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Return................ 13.42%(C) 10.99% 25.20% (43.14)%(C) 18.18% 28.00% 12.73%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................ $1,923,777 $1,616,686 $1,364,351 $1,206,860 $2,224,180 $1,673,239 $1,125,455
Ratio of Expenses to
Average Net Assets......... 0.29%(B) 0.30% 0.32% 0.29%(B) 0.29% 0.29% 0.37%
Ratio of Net Investment
Income to Average Net
Assets..................... 2.96%(B) 2.65% 3.14% 3.18%(B) 2.62% 2.56% 2.41%
Portfolio Turnover Rate..... 2%(C) 7% 12% 12%(C) 5% 4% 4%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Core Equity Portfolio
--------------------------------------------------------------------------------------------
Period
Period Sept. 15,
Six Months Year Year Dec. 1, Year Year 2005(a)
Ended Ended Ended 2007 to Ended Ended to
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 $ 10.07 $ 10.00
---------- ---------- ---------- ---------- ---------- -------- --------
Income From Investment
Operations....................
Net Investment Income
(Loss)(A)................... 0.15 0.23 0.23 0.37 0.35 0.28 0.04
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 1.51 0.96 2.32 (6.76) 1.54 2.71 0.03
---------- ---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations................. 1.66 1.19 2.55 (6.39) 1.89 2.99 0.07
----------------------------------------------------------------------------------------------------------------------------
Less Distributions.............
Net Investment Income......... (0.11) (0.20) (0.22) (0.35) (0.32) (0.24) --
Net Realized Gains............ -- -- -- (0.15) (0.04) -- --
---------- ---------- ---------- ---------- ---------- -------- --------
Total Distributions......... (0.11) (0.20) (0.22) (0.50) (0.36) (0.24) --
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 12.33 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 $ 10.07
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Total Return................... 15.51%(C) 12.48% 34.81% (45.76)%(C) 14.83% 30.06% 0.70%(C)
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $6,063,718 $4,866,989 $3,699,842 $1,981,049 $2,342,187 $851,077 $121,249
Ratio of Expenses to Average
Net Assets.................... 0.39%(B) 0.40% 0.41% 0.41%(B) 0.41% 0.48% 0.49%(B)(E)
Ratio of Expenses to Average
Net Assets (Excluding
Waiversand Assumption of
Expenses and/or Recovery of
Previously Waived Fees)....... 0.39%(B) 0.40% 0.41% 0.41%(B) 0.41% 0.46% 0.90%(B)(E)
Ratio of Net Investment
Income to Average Net Assets.. 2.64%(B) 2.31% 2.84% 3.39%(B) 2.49% 2.35% 1.89%(B)(E)
Portfolio Turnover Rate........ 2%(C) 2% 5% 4%(C) 4% 2% 0%(C)
----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Small Company Portfolio
--------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 $ 16.19 $ 14.12
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income
(Loss)(A)................... 0.17 0.28 0.28 0.44 0.43 0.36 0.31
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 2.65 2.13 3.91 (9.55) 2.07 4.02 2.38
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................. 2.82 2.41 4.19 (9.11) 2.50 4.38 2.69
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income......... (0.23) (0.26) (0.27) (0.45) (0.46) (0.36) (0.29)
Net Realized Gains............ -- -- -- (1.17) (0.67) (0.78) (0.33)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.23) (0.26) (0.27) (1.62) (1.13) (1.14) (0.62)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 18.73 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 $ 16.19
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Total Return................... 17.64%(C) 17.61% 42.34% (47.13)%(C) 13.29% 28.51% 19.74%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $7,005,535 $5,511,594 $4,269,864 $3,084,373 $5,597,209 $4,546,071 $2,725,231
Ratio of Expenses to Average
Net Assets (D) 0.55%(B) 0.56% 0.57% 0.55%(B) 0.55% 0.56% 0.64%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees) (D) 0.55%(B) 0.56% 0.57% 0.55%(B) 0.55% 0.56% 0.64%
Ratio of Net Investment
Income to Average Net Assets 1.96%(B) 1.94% 2.48% 2.90%(B) 2.03% 2.04% 2.05%
----------------------------------------------------------------------------------------------------------------------------
Japanese Small Company Portfolio
--------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year
Ended Ended Ended 2007 to Ended Year Ended Year Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 $ 17.97 $ 13.99
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income
(Loss)(A)................... 0.17 0.22 0.22 0.29 0.27 0.22 0.16
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 1.50 (0.18) 2.39 (4.78) (0.52) (0.73) 4.00
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................. 1.67 0.04 2.61 (4.49) (0.25) (0.51) 4.16
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income......... (0.10) (0.23) (0.26) (0.29) (0.23) (0.23) (0.18)
Net Realized Gains............ -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.10) (0.23) (0.26) (0.29) (0.23) (0.23) (0.18)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 15.70 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 $ 17.97
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Total Return................... 11.62%(C) 0.33% 22.08% (27.16)%(C) (1.51)% (2.94)% 30.13%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 169,030 $ 114,933 $ 114,058 $ 133,373 $ 199,080 $ 168,957 $ 169,995
Ratio of Expenses to Average
Net Assets (D) 0.57%(B) 0.57% 0.59% 0.58%(B) 0.56% 0.61% 0.68%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees) (D) 0.57%(B) 0.57% 0.59% 0.58%(B) 0.56% 0.58% 0.68%
Ratio of Net Investment
Income to Average Net Assets 2.23%(B) 1.52% 1.68% 2.18%(B) 1.51% 1.19% 1.03%
----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio
------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 $ 15.28 $ 14.54
-------- -------- -------- ------- -------- ------- -------
Income From Investment Operations.......
Net Investment Income (Loss)........... 0.34(A) 0.69(A) 0.50(A) 0.83(A) 0.79(A) 0.64(A) 0.70
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 3.00 4.99 8.95 (17.04) 8.43 4.92 0.54
-------- -------- -------- ------- -------- ------- -------
Total From Investment Operations..... 3.34 5.68 9.45 (16.21) 9.22 5.56 1.24
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions......................
Net Investment Income.................. (0.94) (0.63) (0.53) (0.85) (0.75) (0.58) (0.50)
Net Realized Gains..................... -- -- -- -- -- -- --
Return of Capital...................... -- -- -- -- -- -- --
-------- -------- -------- ------- -------- ------- -------
Total Distributions.................. (0.94) (0.63) (0.53) (0.85) (0.75) (0.58) (0.50)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 28.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 $ 15.28
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Total Return............................ 13.39%(C) 28.36% 84.11% (57.94)%(C) 46.55% 37.52% 8.81%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $169,602 $131,511 $101,853 $64,044 $146,307 $71,537 $38,927
Ratio of Expenses to Average Net
Assets(D).............................. 0.60%(B) 0.63% 0.65% 0.62%(B) 0.62% 0.64% 0.74%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Expenses)(D).................... 0.60%(B) 0.61% 0.65% 0.61%(B) 0.59% 0.64% 0.86%
Ratio of Net Investment Income to
Average Net Assets..................... 2.62%(B) 3.14% 3.53% 3.85%(B) 3.13% 3.68% 3.89%
-----------------------------------------------------------------------------------------------------------------------------
United Kingdom Small Company Portfolio
------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 $ 24.65 $ 23.47
-------- -------- -------- ------- -------- ------- -------
Income From Investment Operations.......
Net Investment Income (Loss)........... 0.29(A) 0.50(A) 0.55(A) 0.77(A) 0.78(A) 0.61(A) 0.64(A)
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 3.89 4.41 5.44 (15.84) (0.08) 9.61 2.15
-------- -------- -------- ------- -------- ------- -------
Total From Investment Operations..... 4.18 4.91 5.99 (15.07) 0.70 10.22 2.79
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions......................
Net Investment Income.................. (0.29) (0.50) (0.43) (0.72) (1.03) (0.68) (0.59)
Net Realized Gains..................... -- -- -- (1.22) (1.35) (1.22) (1.02)
Return of Capital...................... -- -- -- (0.01) -- -- --
-------- -------- -------- ------- -------- ------- -------
Total Distributions.................. (0.29) (0.50) (0.43) (1.95) (2.38) (1.90) (1.61)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 28.13 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 $ 24.65
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Total Return............................ 16.76%(C) 25.37% 42.81% (50.97)%(C) 1.94% 44.15% 12.35%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 39,407 $ 33,751 $ 27,863 $25,883 $ 37,139 $31,808 $20,578
Ratio of Expenses to Average Net
Assets(D).............................. 0.59%(B) 0.60% 0.61% 0.59%(B) 0.59% 0.60% 0.70%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Expenses)(D).................... 0.63%(B) 0.64% 0.70% 0.65%(B) 0.62% 0.67% 0.89%
Ratio of Net Investment Income to
Average Net Assets..................... 2.31%(B) 2.39% 3.62% 3.41%(B) 2.28% 2.20% 2.70%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes............................................................
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Continental Small Company Portfolio
----------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 $ 15.78 $ 14.12
-------- -------- -------- ------- -------- ------- -------
Income From Investment
Operations
Net Investment Income (Loss) 0.14(A) 0.27(A) 0.28(A) 0.52(A) 0.40(A) 0.31(A) 0.21
Net Gains (Losses) on
Securities (Realized and
Unrealized) 3.24 1.89 4.29 (11.32) 3.00 6.28 2.28
-------- -------- -------- ------- -------- ------- -------
Total From Investment
Operations 3.38 2.16 4.57 (10.80) 3.40 6.59 2.49
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.09) (0.25) (0.28) (0.45) (0.38) (0.34) (0.30)
Net Realized Gains -- -- -- (0.96) (0.54) (1.56) (0.53)
Return of Capital -- -- -- (0.01) -- -- --
-------- -------- -------- ------- -------- ------- -------
Total Distributions (0.09) (0.25) (0.28) (1.42) (0.92) (1.90) (0.83)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.22 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 $ 15.78
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
Total Return 20.10%(C) 14.85% 43.12% (49.89)%(C) 16.99% 46.33% 18.42%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $157,868 $128,106 $110,926 $93,988 $170,909 $90,261 $52,061
Ratio of Expenses to Average
Net Assets 0.58%(B)(D) 0.59%(D) 0.62%(D) 0.59%(B)(D) 0.61%(D) 0.62%(D) 0.71%(D)
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees) 0.58%(B)(D) 0.59%(D) 0.61%(D) 0.59%(B)(D) 0.57%(D) 0.61%(D) 0.78%(D)
Ratio of Net Investment
Income (Loss) to Average Net
Assets 1.57%(B) 1.78% 2.39% 3.04%(B) 1.70% 1.78% 1.77%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------------
DFA International Real Estate Securities Portfolio
------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Period
Ended Ended Ended 2007 to March 1, 2007(a)
April 30, Oct. 31, Oct. 31, Oct. 31, to
2011 2010 2009 2008 Nov. 30, 2007
--------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period $ 5.58 $ 5.24 $ 4.18 $ 9.35 $ 10.00
---------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income (Loss) 0.20(A) 0.31(A) 0.26(A) 0.34(A) 0.23(A)
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.46 0.58 0.91 (5.08) (0.76)
---------- -------- -------- -------- --------
Total Fr\om Investment
Operations 0.66 0.89 1.17 (4.74) (0.53)
--------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.65) (0.55) (0.11) (0.43) (0.12)
Net Realized Gains -- -- -- -- --
Return of Capital -- -- -- -- --
---------- -------- -------- -------- --------
Total Distributions (0.65) (0.55) (0.11) (0.43) (0.12)
--------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 5.59 $ 5.58 $ 5.24 $ 4.18 $ 9.35
--------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------
Total Return 13.59%(C) 18.96% 29.25% (52.85)%(C) (5.38)%(C)
--------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $1,110,224 $958,554 $742,329 $394,480 $336,840
Ratio of Expenses to Average
Net Assets 0.42%(B) 0.41% 0.43% 0.44%(B) 0.48%(B)(E)
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/ or Recovery of
Previously Waived Fees) 0.42%(B) 0.41% 0.43% 0.44%(B) 0.48%(B)(E)
Ratio of Net Investment
Income (Loss) to Average Net
Assets 7.73%(B) 6.42% 6.40% 5.20%(B) 3.50%(B)(E)
Portfolio Turnover Rate 7%(C) 6% 5% 1%(C) 2%(C)
--------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio
---------------------------------------------------
Period
Six Months Year Year June 4,
Ended Ended Ended 2008(a) to
April 30, Oct. 31, Oct. 31, Oct. 31,
2011 2010 2009 2008
---------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period $ 8.28 $ 6.75 $ 6.04 $ 10.00
-------- -------- -------- -------
Income From Investment
Operations
Net Investment Income
(Loss)(A) 0.43 0.40 0.19 --
Net Gains (Losses) on
Securities (Realizedand
Unrealized) 0.71 1.60 0.62 (3.96)
-------- -------- -------- -------
Total From Investment
Operations................. 1.14 2.00 0.81 (3.96)
---------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.54) (0.47) (0.10) --
Net Realized Gains -- -- -- --
-------- -------- -------- -------
Total Distributions (0.54) (0.47) (0.10) --
---------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 8.88 $ 8.28 $ 6.75 $ 6.04
---------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------
Total Return 14.83%(C) 31.38% 13.81% (39.60)%(C)
---------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $816,819 $695,461 $432,502 $90,672
Ratio of Expenses to Average
Net Assets 0.41%(B)(D) 0.41%(D) 0.47%(D) 0.54%(B)(D)(E)
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees) 0.73%(B)(D) 0.73%(D) 0.79%(D) 0.86%(B)(D)(E)
Ratio of Net Investment
Income to Average Net Assets 10.55%(B) 5.59% 3.40% (0.04)%(B)(E)
Portfolio Turnover Rate N/A N/A N/A N/A
---------------------------------------------------------------------------------------------
DFA International Small Cap Value Portfolio
-----------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 $ 17.57 $ 15.16
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income
(Loss)(A) 0.15 0.24 0.26 0.52 0.46 0.36 0.40
Net Gains (Losses) on
Securities (Realizedand
Unrealized) 3.05 1.22 4.14 (9.60) 1.66 4.95 2.77
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................. 3.20 1.46 4.40 (9.08) 2.12 5.31 3.17
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.13) (0.22) (0.24) (0.58) (0.53) (0.38) (0.36)
Net Realized Gains (0.29) -- (0.06) (1.57) (1.25) (0.79) (0.40)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.42) (0.22) (0.30) (2.15) (1.78) (1.17) (0.76)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 18.94 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 $ 17.57
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
Total Return 20.17%(C) 10.01% 41.42% (45.17)%(C) 10.25% 31.73% 21.75%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $9,275,519 $7,655,318 $6,859,957 $4,799,748 $8,180,859 $6,733,067 $4,128,428
Ratio of Expenses to Average
Net Assets 0.70%(B) 0.70% 0.71% 0.69%(B) 0.69% 0.70% 0.75%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees) 0.70%(B) 0.70% 0.71% 0.69%(B) 0.69% 0.70% 0.75%
Ratio of Net Investment
Income to Average Net Assets 1.70%(B) 1.57% 2.19% 3.22%(B) 2.03% 1.85% 2.44%
Portfolio Turnover Rate 10%(C) 18% 22% 16%(C) 18% 14% 13%
--------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.........................................................
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Vector Equity Portfolio World ex U.S. Value Portfolio
------------------------------------------ ----------------------------
Period
Six Months Year Year August 14, Six Months Period
Ended Ended Ended 2008(a) to Ended Aug. 23, 2010(a)
April 30, Oct. 31, Oct. 31, Oct. 31, April 30, to
2011 2010 2009 2008 2011 Oct. 31, 2010
------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period.............................. $ 10.28 $ 9.22 $ 6.74 $ 10.00 $ 11.35 $ 10.00
-------- -------- -------- ------- ------- -------
Income From Investment Operations....
Net Investment Income (Loss) (A).... 0.12 0.18 0.17 0.06 0.13 0.02
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 1.59 1.05 2.46 (3.32) 1.40 1.33
-------- -------- -------- ------- ------- -------
Total From Investment Operations.. 1.71 1.23 2.63 (3.26) 1.53 1.35
------------------------------------------------------------------------------------------------------------------------------
Less Distributions...................
Net Investment Income............... (0.09) (0.17) (0.15) -- (0.07) --
Net Realized Gains.................. (0.07) -- -- -- (0.08) --
-------- -------- -------- ------- ------- -------
Total Distributions............... (0.16) (0.17) (0.15) -- (0.15) --
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 11.83 $ 10.28 $ 9.22 $ 6.74 $ 12.73 $ 11.35
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
Total Return......................... 16.83%(C) 13.62% 39.52% (32.60)%(C) 13.65%(C) 13.50%(C)
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $481,529 $363,123 $262,544 $66,774 $43,381 $29,616
Ratio of Expenses to Average Net
Assets.............................. 0.53%(B) 0.54% 0.60% 0.60%(B)(E) 0.60%(B)(D) 0.90%(B)(D)(E)
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/or
Recovery of Previously Waived
Fees)............................... 0.53%(B) 0.53% 0.59% 1.15%(B)(E) 0.91%(B)(D) 1.37%(B)(D)(E)
Ratio of Net Investment Income to
Average Net Assets.................. 2.30%(B) 1.91% 2.31% 3.01%(B)(E) 2.14%(B) 0.76%(B)(E)
Portfolio Turnover Rate.............. 4%(C) 5% 8% 0%(C) N/A N/A
------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.............................................................
See accompanying Notes to Financial Statements.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Portfolio
-----------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period.............................. $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 $ 19.89 $ 15.61
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations....
Net Investment Income (Loss)(A)..... 0.20 0.48 0.42 0.70 0.64 0.48 0.58
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 3.18 6.07 8.42 (16.85) 9.88 5.61 4.13
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations.. 3.38 6.55 8.84 (16.15) 10.52 6.09 4.71
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions...................
Net Investment Income............... (0.14) (0.46) (0.41) (0.69) (0.53) (0.58) (0.43)
Net Realized Gains.................. (1.77) (0.42) (0.25) (1.34) (0.16) -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............... (1.91) (0.88) (0.66) (2.03) (0.69) (0.58) (0.43)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 32.37 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 $ 19.89
--------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
Total Return......................... 11.53%(C) 26.53% 53.39% (48.37)%(C) 42.08% 31.31% 30.65%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $2,574,363 $2,372,498 $1,966,288 $1,508,260 $3,388,442 $2,344,990 $1,805,186
Ratio of Expenses to Average Net
Assets(D)........................... 0.60%(B) 0.60% 0.62% 0.60%(B) 0.60% 0.61% 0.69%
Ratio of Net Investment Income to
Average Net Assets.................. 1.29%(B) 1.76% 2.15% 2.59%(B) 2.12% 2.13% 3.28%
--------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Small Cap Portfolio
-----------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period.............................. $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 $ 13.37 $ 11.44
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations....
Net Investment Income (Loss)(A)..... 0.13 0.34 0.26 0.44 0.31 0.30 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 1.31 6.79 8.14 (12.95) 6.86 4.86 2.37
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations.. 1.44 7.13 8.40 (12.51) 7.17 5.16 2.64
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions...................
Net Investment Income............... (0.10) (0.32) (0.28) (0.41) (0.26) (0.26) (0.22)
Net Realized Gains.................. (0.76) -- -- (1.49) (1.13) (0.31) (0.49)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............... (0.86) (0.32) (0.28) (1.90) (1.39) (0.57) (0.71)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 24.84 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 $ 13.37
--------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
Total Return......................... 6.21%(C) 41.33% 91.35% (57.00)%(C) 42.58% 39.95% 24.27%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $2,135,139 $1,833,038 $1,133,958 $ 547,329 $1,458,152 $ 838,948 $ 482,378
Ratio of Expenses to Average Net
Assets(D)........................... 0.76%(B) 0.78% 0.80% 0.77%(B) 0.78% 0.81% 0.97%
Ratio of Net Investment Income to
Average Net Assets.................. 1.11%(B) 1.70% 2.05% 2.61%(B) 1.48% 1.92% 2.21%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes...............................................................
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging
Markets
Value
Portfolio-
Institutional
Class
Emerging Markets Value Portfolio-Class R2 Shares + Shares
------------------------------------------- -------------
Period
Jan. 29, Six
Six Months Year Year 2008(a) Months
Ended Ended Ended to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, April 30,
2011 2010 2009 2008 2011
---------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period....................... $ 36.35 $ 46.84 $ 85.43 $187.35 $ 36.27
------- ------- ------- ------- -----------
Income from Investment
Operations...................
Net Investment Income (Loss). 0.11(A) 0.56(A) 0.56(A) 3.93(A) 0.16(A)
Net Gains (Losses) on
Securities (Realized and
Unrealized)................ 2.97 9.18 21.36 (92.36) 3.05
------- ------- ------- ------- -----------
Total from Investment
Operations................. 3.08 9.74 21.92 (88.43) 3.21
---------------------------------------------------------------------------------------------------
Less Distributions............
Net Investment Income........ (0.10) (7.12) (6.00) (13.49) (0.13)
Net Realized Gains........... (1.63) (13.11) (54.52) -- (1.63)
------- ------- ------- ------- -----------
Total Distributions........ (1.73) (20.23) (60.52) (13.49) (1.76)
---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 37.70 $ 36.35 $ 46.83 $ 85.43 $ 37.72
---------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------
Total Return.................. 8.93%(C) 29.71% 78.29% (50.51)%(C) 9.30%(C)
---------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $45,012 $39,668 $ 5,082 $ 1,799 $15,352,746
Ratio of Expenses to Average
Net Assets (D)............... 0.85%(B) 0.86% 0.90% 0.92%(B)(E) 0.59%(B)
Ratio of Net Investment
Income to Average Net Assets. 0.62%(B) 1.39% 1.39% 3.35%(B)(E) 0.89%(B)
---------------------------------------------------------------------------------------------------
Emerging Markets Value Portfolio-Institutional Class Shares
-----------------------------------------------------------------------------------
Period
Year Year Dec. 1, Year Year Year
Ended Ended 2007 to Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period....................... $ 28.90 $ 19.36 $ 45.85 $ 31.26 $ 22.86 $ 17.93
----------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations...................
Net Investment Income (Loss). 0.45(A) 0.38(A) 0.98(A) 0.78(A) 0.60(A) 0.50
Net Gains (Losses) on
Securities (Realized and
Unrealized)................ 8.01 12.41 (25.48) 14.82 8.65 4.96
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 8.46 12.79 (24.50) 15.60 9.25 5.46
-------------------------------------------------------------------------------------------------------------------
Less Distributions............
Net Investment Income........ (0.39) (0.34) (1.00) (0.63) (0.60) (0.44)
Net Realized Gains........... (0.70) (2.91) (0.99) (0.38) (0.25) (0.09)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions........ (1.09) (3.25) (1.99) (1.01) (0.85) (0.53)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 $ 22.86
-------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------
Total Return.................. 30.04% 78.59% (55.65)%(C) 50.98% 41.55% 31.06%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $11,542,870 $7,401,266 $3,735,580 $7,485,802 $4,283,696 $2,077,480
Ratio of Expenses to Average
Net Assets (D)............... 0.60% 0.62% 0.60%(B) 0.60% 0.63% 0.70%
Ratio of Net Investment
Income to Average Net Assets. 1.40% 1.76% 2.82%(B) 2.00% 2.22% 2.45%
-------------------------------------------------------------------------------------------------------------------
+At the close of business on December 3, 2010, Class R2 Shares were converted
to Class R2A Shares. Effective February 28, 2011, Class R2A Shares were
renamed to Class R2 Shares. All per share amounts and net assets values have
been adjusted as a result of the conversion. (Note G)
Seepage 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio
---------------------------------------------------------------------------------------------
Period
Period April 5,
Six Months Year Year Dec. 1, Year Year 2005(a)
Ended Ended Ended 2007 to Ended Ended to
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period...... $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 $ 11.54 $ 10.00
---------- ---------- ---------- ---------- ---------- -------- --------
Income From Investment
Operations...............
Net Investment Income
(Loss)................. 0.13(A) 0.30(A) 0.25(A) 0.43(A) 0.35(A) 0.27(A) 0.10
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 1.83 4.81 6.56 (11.27) 6.10 3.54 1.51
---------- ---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations............ 1.96 5.11 6.81 (10.84) 6.45 3.81 1.61
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions........
Net Investment Income.... (0.10) (0.29) (0.20) (0.40) (0.32) (0.22) (0.07)
Net Realized Gains....... -- -- -- (0.08) (0.06) -- --
---------- ---------- ---------- ---------- ---------- -------- --------
Total Distributions.... (0.10) (0.29) (0.20) (0.48) (0.38) (0.22) (0.07)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 23.17 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 $ 11.54
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Return.............. 9.24%(C) 31.30% 69.47% (51.93)%(C) 43.20% 33.39% 16.12%(C)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $5,410,193 $4,179,882 $2,455,035 $1,155,526 $1,829,466 $822,136 $218,563
Ratio of Expenses to
Average Net Assets....... 0.65%(B) 0.65% 0.67% 0.65%(B) 0.65% 0.74% 1.00%(B)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumption of Expenses
and/or Recovery of
Previously Waived Fees).. 0.65%(B) 0.65% 0.67% 0.65%(B) 0.65% 0.72% 1.09%(B)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 1.20%(B) 1.63% 2.03% 2.62%(B) 1.87% 2.02% 1.79%(B)(E)
Portfolio Turnover Rate... 0%(C) 4% 6% 3%(C) 2% 6% 2%(C)
-------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes..............................................................
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of sixty
operational portfolios, of which twenty-six (the "Portfolios") are included in
this report and the remaining thirty-four are presented in separate reports.
Of the Portfolios, eight invest all of their assets in a corresponding
series of The DFA Investment Trust Company and one invests in the Dimensional
Emerging Markets Value Fund. DFA Global Real Estate Securities Portfolio
invests in two portfolios of the DFA Investment Dimensions Group Inc. and World
ex U.S. Value Portfolio invests in portfolios within The DFA Investment Trust
Company, DFA Investment Dimensions Group Inc. and Dimensional Emerging Markets
Value Fund.
Percentage
Ownership
Feeder Funds Master Funds at 04/30/11
------------ ------------ -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 78%
Japanese Small Company Portfolio The Japanese Small Company Series 11%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 15%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 3%
Continental Small Company Portfolio The Continental Small Company Series 6%
Emerging Markets Portfolio The Emerging Markets Series 94%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 98%
Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 98%
Fund of Funds
-------------
International Small Company Portfolio The Japanese Small Company Series 89%
The Asia Pacific Small Company Series 85%
The United Kingdom Small Company Series 97%
The Continental Small Company Series 94%
The Canadian Small Company Series 100%
DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 14%
DFA International Real Estate Securities Portfolio 32%
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --
DFA International Small Cap Value Portfolio --
The DFA International Value Series --
Each feeder fund and fund of funds (collectively, "Feeder Funds") invests
primarily in a corresponding master fund(s) ("Master Fund") as indicated.
International Small Company Portfolio, DFA Global Real Estate Securities
Portfolio and World ex U.S. Value Portfolio also invest in short-term temporary
cash investments.
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
Prior to March 30, 2007, U.S.Targeted Value Portfolio invested substantially
all of its assets in shares of The U.S. Targeted Value Series. At the close of
business on March 29, 2007, U.S. Targeted Value Portfolio received its pro-rata
share of cash and securities from The U.S. Targeted Value Series in a complete
liquidation of its interest
113
in the Series. Effective March 30, 2007, U.S. Targeted Value Portfolio invests
directly in securities rather than through the Series and maintains the same
investment objective.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure, elected with the consent of its
respective Holder(s) to change its U.S. federal income tax classification from
that of an association taxable as a corporation to a partnership pursuant to
Treasury Regulation (S)301.7701-3. The change in capital structure and
retroactive reclassification of the statement of changes in net assets and
financial highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
Effective February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S.
Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap
Portfolio invest directly in securities rather than through a Master Fund. See
Federal Income Taxes note for more information regarding these transactions.
Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM
II"), a master fund in a master-feeder structure, elected with the consent of
its Holder(s) to change its U.S. federal income tax classification from that of
an association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S)301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for DEM II is a result of the treatment of a partnership for book
purposes. DEM II and the Portfolio will maintain their books and records and
present their financial statements in accordance with generally accepted
accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk, etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Enhanced U.S. Large Company Portfolio, U.S. Targeted
Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio,
U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap
Portfolio, U.S. Micro Cap Portfolio and DFA Real Estate Securities Portfolio
(the "Domestic Equity Portfolios") and Large Cap International Portfolio,
International Core Equity Portfolio, DFA International Real Estate Securities
Portfolio, DFA International Small Cap Value Portfolio, International Vector
Equity Portfolio and Emerging Markets Core Equity Portfolio (the "International
Equity Portfolios"), including over-the-counter securities, are valued at the
last quoted sale price of the day. Securities held by the Domestic Equity
Portfolios and the International Equity Portfolios that are listed on Nasdaq
are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last
reported sale price or NOCP for the day, the Domestic Equity Portfolios and
International Equity Portfolios value the securities at the mean of the most
recent quoted bid and asked prices. Price information on listed securities is
taken
114
from the exchange where the security is primarily traded. Generally, securities
issued by open-end investment companies are valued using their respective net
asset values or public offering prices, as appropriate, for purchase orders
placed at the close of the New York Stock Exchange (NYSE). These securities are
generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. These securities are generally categorized as
Level 2 in the hierarchy. Fair value pricing may also be used if events that
have a significant effect on the value of an investment (as determined in the
discretion of the Investment Committee of the Advisor) occur before the net
asset value is calculated. When fair value pricing is used, the prices of
securities used by the Domestic Equity Portfolios and International Equity
Portfolios may differ from the quoted or published prices for the same
securities on their primary markets or exchanges.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is
fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the Fund have determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Equity Portfolios utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). When an
International Equity Portfolio uses fair value pricing, the values assigned to
the International Equity Portfolio's foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
Debt Securities held by Enhanced U.S. Large Company Portfolio, (the "Fixed
Income Portfolio"), are valued on the basis of prices provided by one or more
pricing services or other reasonably reliable sources including broker/dealers
that typically handle the purchase and sale of such securities. Securities
which are traded over-the-counter and on a stock exchange generally will be
valued according to the broadest and most representative market, and it is
expected that for bonds and other fixed income securities, this ordinarily will
be the over-the-counter market. Securities for which quotations are not readily
available (including restricted securities), or for which market quotations
have become unreliable, are valued in good faith at fair value in accordance
with procedures adopted by the Board of Directors/Trustees. These valuations
are classified as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. Over the counter derivative contracts, which include forward
currency contracts, do not require material subjectivity as pricing inputs are
observed from actively quoted markets and are categorized as Level 2 in the
hierarchy.
Master Fund shares held by DFA Global Real Estate Securities Portfolio and
World ex U.S. Value Portfolio are valued at their respective daily net asset
value. The Feeder Funds, International Small Company Portfolio and World ex
U.S. Value Portfolio's investments reflect proportionate interest in the net
assets of their corresponding Master Fund. These valuations are classified as
Level 1 in the hierarchy.
A summary of inputs used to value the Portfolios' investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings/Schedule of Investments. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
115
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2011.
2. Foreign Currency Translation: Securities and other assets and liabilities
of Enhanced U.S. Large Company Portfolio and the International Equity
Portfolios whose values are initially expressed in foreign currencies are
translated to U.S. dollars using the mean between the most recently quoted bid
and asked prices for the U.S. dollar as quoted by generally recognized reliable
sources. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to market
daily based on daily exchange rates and exchange gains or losses are realized
upon ultimate receipt or disbursement. Enhanced U.S. Large Company Portfolio
also enters into forward currency contracts solely for the purpose of hedging
against fluctuations in currency exchange rates. These contracts are marked to
market daily based on daily forward exchange rates.
The International Equity Portfolios do not isolate the effect of fluctuation
in foreign exchange rates from the effect of fluctuations in the market prices
of securities whether realized or unrealized. However, Enhanced U.S. Large
Company Portfolio does isolate the effect of fluctuations in foreign currency
rates when determining the realized gain or loss upon the sale or maturity of
foreign currency denominated debt obligations pursuant to U.S. Federal income
tax regulations; such amounts are categorized as foreign exchange gain or loss
for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and Enhanced U.S. Large Company Portfolio and
the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of all or a portion
of their total fees earned as a Director. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2
Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses or Other Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2011, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities/affiliated investment companies are on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gain are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities
utilizing the effective interest method.
116
Expenses directly attributable to a Portfolio are directly charged. Common
expenses of the Fund or Portfolios are allocated using methods approved by the
Board of Directors/Trustees, generally based on average net assets.
Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal
rights to assets and earnings of the Portfolio. Income, gains and losses, and
common expenses of the Portfolio are allocated to each class of shares based on
its relative net assets. Each class will bear its own class-specific expenses,
if any.
U.S. Large Cap Value Portfolio, International Small Company Portfolio,
Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United
Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging
Markets Portfolio, Emerging Markets Small Cap Portfolio and Emerging Markets
Value Portfolio each recognize their pro-rata share of net investment income
and realized and unrealized gains/losses on a daily basis, from their
respective Master Funds, which are treated as partnerships for federal income
tax purposes.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned or
throughout the holding period. Some countries require governmental approval for
the repatriation of investment income, capital or the proceeds of sales earned
by foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
Emerging Markets Core Equity Portfolio's investments in Thailand and the
investments in Thailand held by the Master Funds of Emerging Markets Portfolio,
Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio are
subject to a 15% governmental capital gains tax. Such taxes are due upon sale
of individual securities. Emerging Markets Core Equity Portfolio and the Master
Funds of Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio and
Emerging Markets Value Portfolio each accrues for taxes on the capital gains
throughout the holding period based on the unrealized gain of the underlying
securities. These funds are also subject to a 15% governmental capital gains
tax on short-term capital gains for investments in India. Such taxes are due
upon sale of individual securities. The taxes for the capital gains are accrued
when the capital gains are earned.
C. Investment Advisor and Administrator:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to all Portfolios. The Advisor receives no
additional compensation for the investment advisory services it provides to the
Feeder Funds. The Advisor provides administrative services to the Feeder Funds,
including supervision of services provided by others, providing information to
shareholders and the Board of Directors/Trustees, and other administrative
services.
For the six months ended April 30, 2011, the Portfolios' investment advisory
services fees were accrued daily and paid monthly to the Advisor based on the
following effective annual rates of average daily net assets:
Enhanced U.S. Large Company Portfolio*............. 0.05%
U.S. Targeted Value Portfolio*..................... 0.10%
U.S. Small Cap Value Portfolio*.................... 0.20%
U.S. Core Equity 1 Portfolio....................... 0.17%
U.S. Core Equity 2 Portfolio....................... 0.20%
U.S. Vector Equity Portfolio....................... 0.30%
U.S. Small Cap Portfolio*.......................... 0.03%
U.S. Micro Cap Portfolio*.......................... 0.10%
DFA Real Estate Securities Portfolio............... 0.30%
Large Cap International Portfolio.................. 0.25%
International Core Equity Portfolio................ 0.35%
DFA International Real Estate Securities Portfolio. 0.35%
DFA Global Real Estate Securities Portfolio........ 0.35%
117
DFA International Small Cap Value Portfolio. 0.65%
International Vector Equity Portfolio....... 0.45%
World ex U.S. Value Portfolio............... 0.47%
Emerging Markets Core Equity Portfolio...... 0.55%
For the six months ended April 30, 2011, the Feeder Funds' and Enhanced U.S.
Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value
Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio administrative
services fees were accrued daily and paid monthly to the Advisor based on the
following effective annual rates of average daily net assets:
Enhanced U.S. Large Company Portfolio*. 0.15%
U.S. Large Cap Value Portfolio......... 0.15%
U.S. Targeted Value Portfolio*......... 0.25%
U.S. Small Cap Value Portfolio*........ 0.30%
U.S. Small Cap Portfolio*.............. 0.32%
U.S. Micro Cap Portfolio*.............. 0.40%
International Small Company Portfolio.. 0.40%
Japanese Small Company Portfolio....... 0.40%
Asia Pacific Small Company Portfolio... 0.40%
United Kingdom Small Company Portfolio. 0.40%
Continental Small Company Portfolio.... 0.40%
Emerging Markets Portfolio............. 0.40%
Emerging Markets Small Cap Portfolio... 0.45%
Emerging Markets Value Portfolio....... 0.40%
* Effective March 30, 2007, U.S. Targeted Value Portfolio, and on
February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value
Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio no longer
invest substantially all of their assets in their respective Series. Instead,
the Portfolios' assets are managed directly in accordance with the Portfolios'
investment objective and strategies, pursuant to an investment management
agreement between the Fund, on behalf of the Portfolios, and Dimensional, which
previously was the manager of the Series' assets. The investment advisory fee
paid by the Portfolios are identical to the advisory fee that was charged to
the Series.
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has
contractually agreed to waive certain fees, including administration/advisory
fees, and in certain instances, assume certain expenses of the Portfolios, as
described in the notes below. The Fee Waiver and Expense Assumption Agreement
for the Portfolios below will remain in effect through February 28, 2012, and
shall continue in effect from year to year thereafter unless terminated by the
Fund or the Advisor. For the six months ended April 30, 2011, the Portfolios
had expense limits based on a percentage of average net assets on an annualized
basis, and the Advisor recovered previously waived fees and/or expenses assumed
as listed below (amounts in thousands). Previously waived fees subject to
future recovery by the Advisor are also reflected below (amounts in thousands).
The Portfolios are not obligated to reimburse the Advisor for fees previously
waived or expenses previously assumed by the Advisor more than thirty-six
months before the date of recovery.
Previously
Recovery Waived Fees/
of Previously Expenses Assumed
Expense Waived Fees/ Subject to Future
Institutional Class Shares Limits Expenses Assumed Recovery
-------------------------- ------- ---------------- -----------------
U.S. Targeted Value Portfolio (1). 0.50% -- --
U.S. Core Equity 1 Portfolio (2).. 0.23% -- --
U.S. Core Equity 2 Portfolio (2).. 0.26% -- --
118
Previously
Recovery Waived Fees/
of Previously Expenses Assumed
Expense Waived Fees/ Subject to Future
Institutional Class Shares Limits Expenses Assumed Recovery
-------------------------- ------- ---------------- -----------------
U.S. Vector Equity Portfolio (2)....................... 0.36% -- --
International Core Equity Portfolio (2)................ 0.49% -- --
International Small Company Portfolio (3).............. 0.45% -- --
Japanese Small Company Portfolio (3)................... 0.47% -- --
Asia Pacific Small Company Portfolio (3)............... 0.47% -- --
United Kingdom Small Company Portfolio (3)............. 0.47% -- $ 54
Continental Small Company Portfolio (3)................ 0.47% -- --
DFA International Real Estate Securities Portfolio (2). 0.65% -- --
DFA Global Real Estate Securities Portfolio (4)........ 0.55% -- 3,697
International Vector Equity Portfolio (2).............. 0.60% -- --
World ex U.S. Value Portfolio (8)...................... 0.60% -- 80
Emerging Markets Core Equity Portfolio (2)............. 0.85% -- --
Class R1 Shares
---------------
U.S. Targeted Value Portfolio (5)...................... 0.62% -- --
Class R2 Shares
---------------
U.S. Targeted Value Portfolio (6)...................... 0.77% -- --
Emerging Markets Value Portfolio (7)................... 0.96% -- --
(1) The Advisor has contractually agreed to waive its administration fee and
advisory fee and to assume the Portfolio's direct and indirect expenses
(excluding the expenses the Portfolio incurs indirectly through investment in
other investment companies) ("Portfolios Expenses") to the extent necessary to
limit the Portfolio Expenses of the Portfolio to the rate listed above as a
percentage of average net assets on an annualized basis. At any time that the
annualized expenses of the Portfolio are less than the rate listed above for
the Portfolio, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery will
not cause the Portfolio's annualized expenses to exceed the applicable
percentage of average net assets on an annualized basis, as listed above.
(2) The Advisor has contractually agreed to waive all or a portion of its
advisory fee and assume each Portfolio's ordinary operating expenses (excluding
the expenses a Portfolio incurs indirectly through investment in other
investment companies) ("Portfolio Expenses") to the extent necessary to limit
the Portfolio Expenses of each Portfolio to the rates listed above as a
percentage of average net assets on an annualized basis. At any time that the
annualized Portfolio Expenses of a Portfolio are less than the rates listed
above for such Portfolio, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that such
recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed
the applicable percentage of average net assets on an annualized basis, as
listed above.
(3) The Advisor has contractually agreed to waive its administration fee and
to assume each Portfolio's other direct expenses (not including expenses
incurred through its investment in other investment companies) to the extent
necessary to limit the direct expenses of each Portfolio to the rates listed
above as a percentage of average net assets on an annualized basis. The Fee
Waiver and Expense Assumption Agreement does not include the indirect expenses
each Portfolio bears as a shareholder of its Master Fund(s). At any time that
the direct expenses of a Portfolio are less than the rates listed above as a
percentage of average net assets on an annualized basis, the Advisor retains
the right to recover any fees previously waived and/or expenses previously
assumed to the extent that such recovery will not cause the Portfolio's direct
expenses to exceed the applicable percentage of average net assets on an
annualized basis, as listed above.
119
(4) The Advisor has contractually agreed to waive all or a portion of its
advisory fee and to assume the expenses of the Portfolio (including the
expenses that the Portfolio bears as a shareholder of other investment
companies managed by the Advisor but excluding the expenses that the Portfolio
incurs indirectly through its investment in unaffiliated investment companies)
("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses
of the Portfolio to the rate listed above as a percentage of average net assets
on an annualized basis. At any time that the annualized Portfolio Expenses of
the Portfolio are less than the rate listed above as a percentage of average
net assets on an annualized basis, the Advisor retains the right to recover any
fees previously waived and/or expenses previously assumed to the extent that
such recovery will not cause the Portfolio's annualized Portfolio Expenses to
exceed the applicable percentage of average net assets on an annualized basis,
as listed above. The Advisor has voluntarily agreed to waive all or a portion
of its advisory fee to the extent necessary to limit the total advisory fees
paid by the Portfolio to the Advisor directly and indirectly (the proportionate
share of the advisory fees paid by the Portfolio through its investment in
other funds managed by the Advisor) to 0.35% of the Portfolio's average net
assets on an annualized basis.
(5) The Advisor has contractually agreed to waive all or a portion of its
administration fee and advisory fee and to assume the Portfolio's direct and
indirect expenses (excluding the expenses the Portfolio incurs indirectly
through investment in other investment companies) ("Portfolio Expenses") to the
extent necessary to limit the Portfolio Expenses of the Class R1 Shares to the
rate listed above as a percentage of average net assets on an annualized basis.
At any time that the Class R1 Shares' annualized expenses are less than the
rate listed above as a percentage of average net assets on an annualized basis,
the Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery will not cause the
Portfolio's annualized expenses to exceed the applicable percentage of average
net assets on an annualized basis, as listed above.
(6) The Advisor has contractually agreed to waive all or a portion of its
administration fee and advisory fee and to assume the Portfolio's direct and
indirect expenses (excluding the expenses the Portfolio incurs indirectly
through investment in other investment companies) ("Portfolio Expenses") to the
extent necessary to limit the Portfolio Expenses of the Class R2 Shares to the
rate listed above as a percentage of average net assets on an annualized basis.
At any time that the Class R2 Shares' annualized expenses are less than the
rate listed above as a percentage of average net assets on an annualized basis,
the Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery will not cause the
Portfolio's annualized expenses to exceed the applicable percentage of average
net assets on an annualized basis, as listed above.
(7) The Advisor has contractually agreed to assume the Portfolio's direct
expenses (excluding administration fees and custodian fees) to the extent
necessary to limit the expenses (excluding the expenses the Portfolio incurs
indirectly through investment in other investment companies) of the Class R2
shares to the rate listed above as a percentage of average net assets on an
annualized basis. At any time that the annualized expenses of the Portfolio are
less than the rate listed above, the Advisor retains the right to recover any
fees previously waived and/or expenses previously assumed to the extent that
such recovery will not cause the Portfolio's annualized expenses to exceed the
applicable percentage of average net assets, as listed above.
(8) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's advisory fee of 0.47% to the extent necessary to offset the
proportionate share of the advisory fees paid by the Portfolio through its
investment in its Master Funds. In addition, under the Fee Waiver Agreement,
the Advisor also has agreed to waive all or a portion of the advisory fee that
remains payable by the Portfolio (i.e. the advisory fee remaining after the
proportionate share of the Master Funds' advisory services 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) ("Portfolio Expenses") so that
such Portfolio Expenses do not exceed 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 pursuant to
this paragraph is the amount of the Remaining Management Fee. Further, at any
time that the Portfolio Expenses of the Portfolio are less than the Portfolio's
Expense Limitation Amount, the Advisor retains the right to seek reimbursement
for the amount of any Remaining Management Fees previously waived to the extent
that such reimbursement will not cause the Portfolio's annualized Portfolio
Expenses to exceed the Portfolio's Expense Limitation Amount.
120
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the Fund to the CCO were $109 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
Enhanced U.S. Large Company Portfolio.............. $ 6
U.S. Large Cap Value Portfolio..................... 199
U.S. Targeted Value Portfolio...................... 51
U.S. Small Cap Value Portfolio..................... 197
U.S. Core Equity 1 Portfolio....................... 68
U.S. Core Equity 2 Portfolio....................... 123
U.S. Vector Equity Portfolio....................... 39
U.S. Small Cap Portfolio........................... 87
U.S. Micro Cap Portfolio........................... 99
DFA Real Estate Securities Portfolio............... 65
Large Cap International Portfolio.................. 46
International Core Equity Portfolio................ 116
International Small Company Portfolio.............. 139
Japanese Small Company Portfolio................... 4
Asia Pacific Small Company Portfolio............... 3
United Kingdom Small Company Portfolio............. 1
Continental Small Company Portfolio................ 4
DFA International Real Estate Securities Portfolio. 21
DFA Global Real Estate Securities Portfolio........ 11
DFA International Small Cap Value Portfolio........ 217
International Vector Equity Portfolio.............. 8
World ex U.S. Value Portfolio...................... --
Emerging Markets Portfolio......................... 63
Emerging Markets Small Cap Portfolio............... 35
Emerging Markets Value Portfolio................... 232
Emerging Markets Core Equity Portfolio............. 81
E. Purchases and Sales of Securities:
For the six months ended April 30, 2011, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. Government Other Investment
Securities Securities
----------------- ------------------
Purchases Sales Purchases Sales
--------- ------- --------- --------
Enhanced U.S. Large Company Portfolio. $35,060 $36,437 $ 88,870 $ 73,339
U.S. Targeted Value Portfolio......... -- -- 473,318 273,305
U.S. Small Cap Value Portfolio........ -- -- 473,768 657,133
121
U.S. Government Other Investment
Securities Securities
----------------- ------------------
Purchases Sales Purchases Sales
--------- ------- --------- --------
U.S. Core Equity 1 Portfolio....................... -- -- $385,254 $ 64,858
U.S. Core Equity 2 Portfolio....................... -- -- 342,363 206,758
U.S. Vector Equity Portfolio....................... -- -- 187,487 93,928
U.S. Small Cap Portfolio........................... -- -- 601,020 321,897
U.S. Micro Cap Portfolio........................... -- -- 220,298 336,831
DFA Real Estate Securities Portfolio............... -- -- 150,846 60,299
Large Cap International Portfolio.................. -- -- 130,669 30,612
International Core Equity Portfolio................ -- -- 529,912 82,929
DFA International Real Estate Securities Portfolio. -- -- 112,312 72,054
DFA International Small Cap Value Portfolio........ -- -- 864,586 804,411
International Vector Equity Portfolio.............. -- -- 70,757 14,972
Emerging Markets Core Equity Portfolio............. -- -- 832,943 19,988
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2010, primarily attributable to net realized
gains on securities considered to be "passive foreign investment companies",
non-deductible offering costs, foreign bond bifurcation, the utilization of
accumulated earnings and profits distributed to shareholders on redemptions of
shares as part of the dividends paid deduction for income tax purposes and
distribution redesignations, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Enhanced U.S. Large Company Portfolio. -- $ (15) $ 15
U.S. Large Cap Value Portfolio........ -- -- --
U.S. Targeted Value Portfolio......... $ 30 (200) 170
U.S. Small Cap Value Portfolio........ 55,514 (388) (55,126)
U.S. Core Equity 1 Portfolio.......... -- (16) 16
U.S. Core Equity 2 Portfolio.......... -- (42) 42
U.S. Vector Equity Portfolio.......... -- (24) 24
U.S. Small Cap Portfolio.............. (104) (144) 248
U.S. Micro Cap Portfolio.............. -- (258) 258
DFA Real Estate Securities Portfolio.. -- 4 (4)
Large Cap International Portfolio..... -- 383 (383)
International Core Equity Portfolio... (13) 971 (958)
International Small Company Portfolio. (8,877) 11,998 (3,121)
122
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Japanese Small Company Portfolio................... $(4,574) $ 81 $ 4,493
Asia Pacific Small Company Portfolio............... (259) 100 159
United Kingdom Small Company Portfolio............. (74) 33 41
Continental Small Company Portfolio................ (195) 476 (281)
DFA International Real Estate Securities Portfolio. 136 790 (926)
DFA Global Real Estate Securities Portfolio........ 101 (101) --
DFA International Small Cap Value Portfolio........ 13,148 16,536 (29,684)
International Vector Equity Portfolio.............. 207 (62) (145)
World ex U.S. Value Portfolio...................... (4) 6 (2)
Emerging Markets Portfolio......................... 15,558 (2,642) (12,916)
Emerging Markets Small Cap Portfolio............... 2,294 (295) (1,999)
Emerging Markets Value Portfolio................... 48,632 (11,121) (37,511)
Emerging Markets Core Equity Portfolio............. -- (776) 776
The tax character of dividends and distributions declared and paid during
the year ended October 31, 2009 and the year ended October 31, 2010 were as
follows (amounts in thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
Enhanced U.S. Large Company Portfolio
2009.................................. $ 19,564 -- $ 19,564
2010.................................. 1,589 -- 1,589
U.S. Large Cap Value Portfolio
2009.................................. 130,238 -- 130,238
2010.................................. 116,599 -- 116,599
U.S. Targeted Value Portfolio
2009.................................. 14,179 -- 14,179
2010.................................. 12,576 $ 7 12,583
U.S. Small Cap Value Portfolio
2009.................................. 69,882 -- 69,882
2010.................................. 25,747 -- 25,747
U.S. Core Equity 1 Portfolio
2009.................................. 31,598 -- 31,598
2010.................................. 31,326 -- 31,326
U.S. Core Equity 2 Portfolio
2009.................................. 55,009 -- 55,009
2010.................................. 53,941 -- 53,941
123
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
U.S. Vector Equity Portfolio
2009............................................... $16,454 -- $16,454
2010............................................... 14,799 -- 14,799
U.S. Small Cap Portfolio
2009............................................... 26,412 -- 26,412
2010............................................... 21,528 -- 21,528
U.S. Micro Cap Portfolio
2009............................................... 57,816 -- 57,816
2010............................................... 17,526 -- 17,526
DFA Real Estate Securities Portfolio
2009............................................... 95,934 -- 95,934
2010............................................... 70,908 -- 70,908
Large Cap International Portfolio
2009............................................... 32,286 -- 32,286
2010............................................... 40,390 -- 40,390
International Core Equity Portfolio
2009............................................... 77,469 -- 77,469
2010............................................... 83,173 -- 83,173
International Small Company Portfolio
2009............................................... 81,118 -- 81,118
2010............................................... 84,604 -- 84,604
Japanese Small Company Portfolio
2009............................................... 2,426 -- 2,426
2010............................................... 1,845 -- 1,845
Asia Pacific Small Company Portfolio
2009............................................... 2,724 -- 2,724
2010............................................... 3,162 -- 3,162
United Kingdom Small Company Portfolio
2009............................................... 658 -- 658
2010............................................... 694 -- 694
Continental Small Company Portfolio
2009............................................... 2,087 -- 2,087
2010............................................... 1,863 -- 1,863
DFA International Real Estate Securities Portfolio
2009............................................... 11,227 -- 11,227
2010............................................... 79,025 -- 79,025
124
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
DFA Global Real Estate Securities Portfolio
2009........................................ $ 2,370 -- $ 2,370
2010........................................ 30,971 -- 30,971
DFA International Small Cap Value Portfolio
2009........................................ 108,717 $ 25,188 133,905
2010........................................ 108,095 6,990 115,085
International Vector Equity Portfolio
2009........................................ 3,671 -- 3,671
2010........................................ 5,534 54 5,588
Emerging Markets Portfolio
2009........................................ 36,673 23,932 60,605
2010........................................ 40,081 42,220 82,301
Emerging Markets Small Cap Portfolio
2009........................................ 16,832 -- 16,832
2010........................................ 22,951 1,637 24,588
Emerging Markets Value Portfolio
2009........................................ 114,611 518,510 633,121
2010........................................ 190,697 142,234 332,931
Emerging Markets Core Equity Portfolio
2009........................................ 29,028 -- 29,028
2010........................................ 48,768 -- 48,768
World ex U.S. Value Portfolio commenced operations on August 23, 2010 and
did not pay any distributions for the year ended October 31, 2010.
At October 31, 2010, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
- -------------- ------------- -------
U.S. Targeted Value Portfolio...................... $ 22 $ 7 $ 29
DFA International Real Estate Securities Portfolio. 162 -- 162
DFA Global Real Estate Securities Portfolio........ 101 -- 101
DFA International Small Cap Value Portfolio........ 6,406 6,990 13,396
International Vector Equity Portfolio.............. 154 54 208
Emerging Markets Portfolio......................... 3,182 12,406 15,588
Emerging Markets Small Cap Portfolio............... 657 1,637 2,294
Emerging Markets Value Portfolio................... 10,256 25,596 35,852
125
At October 31, 2010, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Capital Earnings
Short-Term Long-Term Loss (Accumulated
Capital Gains Capital Gains Carryforward Losses)
-------------- ------------- ------------ -------------
Enhanced U.S. Large Company Portfolio.............. $ 60 -- $ (83,155) $ (83,095)
U.S. Large Cap Value Portfolio..................... 17,615 -- (1,943,065) (1,925,450)
U.S. Targeted Value Portfolio...................... 2,337 $ 4,739 -- 7,076
U.S. Small Cap Value Portfolio..................... 3,841 -- (111,515) (107,674)
U.S. Core Equity 1 Portfolio....................... 6,246 -- (81,149) (74,903)
U.S. Core Equity 2 Portfolio....................... 12,077 -- (84,843) (72,766)
U.S. Vector Equity Portfolio....................... 2,999 -- (83,542) (80,543)
U.S. Small Cap Portfolio........................... 4,727 -- (202,569) (197,842)
U.S. Micro Cap Portfolio........................... 3,313 -- (269,190) (265,877)
DFA Real Estate Securities Portfolio............... 13,051 -- (190,348) (177,297)
Large Cap International Portfolio.................. 6,285 -- (168,708) (162,423)
International Core Equity Portfolio................ 23,835 -- (79,551) (55,716)
International Small Company Portfolio.............. 62,669 -- (75,782) (13,113)
Japanese Small Company Portfolio................... 746 -- (86,440) (85,694)
Asia Pacific Small Company Portfolio............... 4,232 -- (33,364) (29,132)
United Kingdom Small Company Portfolio............. 216 -- (2,879) (2,663)
Continental Small Company Portfolio................ 655 -- (29,435) (28,780)
DFA International Real Estate Securities Portfolio. 99,500 -- (86,757) 12,743
DFA Global Real Estate Securities Portfolio........ 5,020 -- (2,755) 2,265
DFA International Small Cap Value Portfolio........ 52,524 138,419 -- 190,943
International Vector Equity Portfolio.............. 2,022 2,417 -- 4,439
World ex U.S. Value Portfolio...................... 78 194 272 544
Emerging Markets Portfolio......................... 3,780 136,068 -- 139,848
Emerging Markets Small Cap Portfolio............... 3,840 58,346 -- 62,186
Emerging Markets Value Portfolio................... 82,579 479,238 -- 561,817
Emerging Markets Core Equity Portfolio............. 9,681 -- (53,657) (43,976)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of October 31, 2010, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
2011 2012 2013 2014 2015 2016 2017 2018 Total
- ---- ---- ---- ---- ------ -------- ---------- ------- ----------
Enhanced U.S. Large Company Portfolio. -- -- -- -- -- $ 83,155 -- -- $ 83,155
U.S. Large Cap Value Portfolio........ -- -- -- -- -- -- $1,943,065 -- 1,943,065
U.S. Small Cap Value Portfolio........ -- -- -- -- -- -- 111,515 -- 111,515
U.S. Core Equity 1 Portfolio.......... -- -- -- -- $2,284 18,644 60,221 -- 81,149
U.S. Core Equity 2 Portfolio.......... -- -- -- -- 5,654 42,181 37,008 -- 84,843
U.S. Vector Equity Portfolio.......... -- -- -- -- -- 3,326 80,216 -- 83,542
U.S. Small Cap Portfolio.............. -- -- -- -- -- 202,067 502 -- 202,569
U.S. Micro Cap Portfolio.............. -- -- -- -- -- 207,930 61,260 -- 269,190
DFA Real Estate Securities Portfolio.. -- -- -- -- -- 82,044 62,969 $45,335 190,348
Large Cap International Portfolio..... -- -- -- -- -- 19,004 135,393 14,311 168,708
International Core Equity Portfolio... -- -- -- -- -- -- 79,551 -- 79,551
International Small Company Portfolio. -- -- -- -- -- -- 75,782 -- 75,782
126
2011 2012 2013 2014 2015 2016 2017 2018 Total
------- ------ ------ ------ ------ ------- ------- ------- -------
Japanese Small Company Portfolio................... $19,912 $3,801 $3,055 $2,451 $8,004 $23,057 $13,952 $12,208 $86,440
Asia Pacific Small Company Portfolio............... 501 1,151 907 864 -- 21,680 8,261 -- 33,364
United Kingdom Small Company Portfolio............. -- -- -- -- -- 892 1,987 -- 2,879
Continental Small Company Portfolio................ -- -- -- -- -- 16,959 7,224 5,252 29,435
DFA International Real Estate Securities Portfolio -- -- -- -- 46 13,446 34,576 38,689 86,757
DFA Global Real Estate Securities Portfolio........ -- -- -- -- -- -- -- 2,755 2,755
Emerging Markets Core Equity Portfolio............. -- -- -- -- -- 27,213 26,444 -- 53,657
During the year ended October 31, 2010, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands):
Enhanced U.S. Large Company Portfolio....... $ 24,806
U.S. Large Cap Value Portfolio.............. 498,328
U.S. Targeted Value Portfolio............... 82,599
U.S. Small Cap Value Portfolio.............. 462,423
U.S. Core Equity 1 Portfolio................ 981
U.S. Core Equity 2 Portfolio................ 9,909
U.S. Vector Equity Portfolio................ 11,136
U.S. Small Cap Portfolio.................... 178,052
U.S. Micro Cap Portfolio.................... 245,602
International Core Equity Portfolio......... 18,702
International Small Company Portfolio....... 155,578
Asia Pacific Small Company Portfolio........ 5,335
United Kingdom Small Company Portfolio...... 129
DFA International Small Cap Value Portfolio. 32,601
International Vector Equity Portfolio....... 3,383
Emerging Markets Small Cap Portfolio........ 37,102
Emerging Markets Core Equity Portfolio...... 35,738
For the year ended October 31, 2010, Japanese Small Company Portfolio had
capital loss carryforward expirations of $4,453 (in thousands).
Some of the Portfolios' investments and investments held by the Master Funds
are in securities considered to be "passive foreign investment companies" for
which any unrealized appreciation (depreciation) (mark to market) and/or
realized gains are required to be included in distributable net investment
income for federal income tax purposes. At October 31, 2010, the following
Portfolios had cumulative unrealized appreciation (depreciation) (mark to
market) to be included in distributable net investment income for federal tax
purposes. For the year ended October 31, 2010, realized gains on the sale of
passive foreign investment companies have been reclassified from accumulated
net realized gains to accumulated net investment income for federal tax
purposes. Amounts listed below are in thousands.
127
Mark to Market Realized Gains
-------------- --------------
Large Cap International Portfolio.................. $ 1,994 --
International Core Equity Portfolio................ 6,636 $ 660
International Small Company Portfolio.............. 30,541 9,481
Japanese Small Company Portfolio................... 109 3
Asia Pacific Small Company Portfolio............... 3,577 44
United Kingdom Small Company Portfolio............. 12 --
Continental Small Company Portfolio................ 54 425
DFA International Real Estate Securities Portfolio. 102,024 688
DFA International Small Cap Value Portfolio........ 14,397 19,367
International Vector Equity Portfolio.............. 929 15
World ex U.S. Value Portfolio...................... -- --
Emerging Markets Portfolio......................... 434 --
Emerging Markets Small Cap Portfolio............... 590 285
Emerging Markets Value Portfolio................... 292 4
Emerging Markets Core Equity Portfolio............. 1,040 --
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------- ------------ -------------- --------------
Enhanced U.S. Large Company Portfolio.............. $ 173,885 $ 4,562 $ (121) $ 4,441
U.S. Large Cap Value Portfolio..................... 5,528,601 2,639,034 (33,865) 2,605,169
U.S. Targeted Value Portfolio...................... 2,716,433 795,479 (128,476) 667,003
U.S. Small Cap Value Portfolio..................... 8,004,369 2,577,087 (1,006,718) 1,570,369
U.S. Core Equity 1 Portfolio....................... 3,362,560 889,724 (159,897) 729,827
U.S. Core Equity 2 Portfolio....................... 5,598,062 1,508,983 (426,081) 1,082,902
U.S. Vector Equity Portfolio....................... 1,851,902 518,586 (155,329) 363,257
U.S. Small Cap Portfolio........................... 4,461,462 1,540,902 (348,151) 1,192,751
U.S. Micro Cap Portfolio........................... 3,391,506 1,460,307 (536,791) 923,516
DFA Real Estate Securities Portfolio............... 2,994,218 1,009,048 (156,864) 852,184
Large Cap International Portfolio.................. 1,884,007 568,336 (164,202) 404,134
International Core Equity Portfolio................ 6,507,005 1,288,195 (533,092) 755,103
International Small Company Portfolio.............. 5,639,000 1,905,064 (546,584) 1,358,480
Japanese Small Company Portfolio................... 228,185 70,225 (129,314) (59,089)
Asia Pacific Small Company Portfolio............... 131,801 89,080 (51,223) 37,857
United Kingdom Small Company Portfolio............. 31,024 29,728 (21,336) 8,392
Continental Small Company Portfolio................ 116,471 101,096 (59,640) 41,456
DFA International Real Estate Securities Portfolio 1,240,003 146,570 (83,993) 62,577
DFA Global Real Estate Securities Portfolio........ 611,140 232,074 (26,843) 205,231
DFA International Small Cap Value Portfolio........ 9,261,087 2,374,337 (1,407,931) 966,406
International Vector Equity Portfolio.............. 425,115 151,474 (15,294) 136,180
World ex U.S. Value Portfolio...................... 35,783 6,860 572 7,432
Emerging Markets Portfolio......................... 1,179,239 1,473,244 (77,197) 1,396,047
128
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
----------- ------------ -------------- --------------
Emerging Markets Small Cap Portfolio... $ 1,439,542 $ 770,701 $ (74,294) $ 696,407
Emerging Markets Value Portfolio....... 11,261,434 4,735,469 (593,849) 4,141,620
Emerging Markets Core Equity Portfolio. 4,228,409 1,796,793 (152,727) 1,644,066
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Portfolio's
tax postions and has concluded that no provision for income tax is required in
any Portfolios' financial statements. No Portfolio is aware of any tax
positions for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next six months.
Each of the Portfolios' federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
On October 22, 2008, The U.S. Micro Cap Series and The U.S. Small Cap Value
Series and on October 25, 2008 The U.S. Small Cap Series, each a master fund in
a RIC/RIC master-feeder structure, each with a RIC feeder ("the Portfolios"),
having 100% investment in their respective master fund, have each made a
"Check-the-box" election for federal income tax purposes pursuant to Treasury
Regulation (S) 301.7701-3, to change their federal entity classifications from
a corporation taxable as a regulated investment company to a disregarded
entity. As a result of this election for tax purposes, each master fund is
deemed to have liquidated and distributed all of its assets and liabilities to
its owners, the respective portfolios (the RIC feeders), with the respective
portfolios deemed the surviving entities. The final tax year end of the Master
Funds was October 21, 2008 for The U.S. Micro Cap Series and The U.S. Small Cap
Value Series and October 24, 2008 for The U.S. Small Cap Series. For Federal
income tax purposes, pursuant to Code (S)337(a), each of the master funds
recognizes no gain or loss and, pursuant to Code (S)332(a), each of the
Portfolios recognizes no gain or loss on the deemed liquidation. However,
pursuant to IRC (S)332 (c), each of the aforementioned Portfolios has
recognized the master fund's deemed dividend, which was distributed as part of
the deemed liquidating distribution, as taxable income. Pursuant to IRC Code
(S)334(b)(1) and (S)1223, each of the Portfolios will maintain each respective
master fund's holding period and tax basis in the assets deemed transferred to
the respective Portfolio.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
On November 1, 2008, The Enhanced U.S. Large Company Series, a master fund
in a RIC/RIC master-feeder structure and Enhanced U.S. Large Company Portfolio
("the Portfolio"), having 100% investment in its respective master fund, made a
"Check-the-box" election for federal income tax purposes pursuant to Treasury
Regulation (S)301.7701-3, to change the Series' federal entity classification
from a corporation taxable as a regulated investment company to a disregarded
entity. As a result of this election for tax purposes, the master fund is
deemed to have liquidated and distributed all of its assets and liabilities to
its owner, the Portfolio, with the Portfolio deemed the surviving entity. The
final tax year end of the Master Fund was October 31, 2008. For Federal income
tax purposes, pursuant to Code (S)337(a), the Master Fund did not recognize any
gain or loss and, pursuant to Code (S)332(a), the
129
Portfolio did not recognize any gain or loss on the deemed liquidation.
However, pursuant to IRC (S)332(c), the Portfolio has recognized the Master
Fund's deemed dividend, which was distributed as part of the deemed liquidating
distribution, as taxable income. Pursuant to IRC Code (S)334(b)(1) and (S)1223,
the Portfolio will maintain its respective master fund's holding period and tax
basis in the assets deemed transferred to the respective Portfolio.
Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM
II"), a master fund in a master-feeder structure with one RIC feeder (Emerging
Markets Value Portfolio) and other direct client investors, made a
"Check-the-Box" election for federal income tax purposes pursuant to Treasury
Regulation (S)301.7701-3, to change their federal entity classifications from a
corporation taxable as a regulated investment company to a partnership. DEM II
and the Portfolio will maintain their books and records and present their
financial statements in accordance with generally accepted accounting
principals for investment partnerships. As a result of this election, the
master fund is deemed to have distributed all of its assets and liabilities on
October 31, 2009 to its shareholders in liquidation of the master fund. Since
the master fund has a shareholder owning 80% or more of the fund's shares, and
also has shareholders owning less than 80%, the transaction creates a
non-taxable transaction, pursuant to Internal Revenue Code (S)332, for those
owning more than 80%, and a taxable transaction, pursuant to Internal Revenue
Code (S)331, for those shareholders owning less than 80%. Immediately after the
deemed liquidation, the shareholders contributed all of the distributed assets
and liabilities to a newly formed partnership. The final tax year end of the
master fund was October 31, 2009.
For federal income tax purposes, pursuant to Code (S)336(a), the master fund
recognizes gain or loss relative to the investment of the less than 80%
shareholders as if the master's investment securities were sold to those
shareholders and, pursuant to Code (S)331, each of those shareholders
recognizes gain or loss as if it liquidated its investment in the master.
Pursuant to Code (S)334(a), each of these shareholders will take a fair market
value basis in the securities deemed received by them and a new holding period
for those securities commences on the deemed liquidation date. In regards to
the shareholder owning 80% or more of the master fund, pursuant to Code
(S)332(a), the shareholder will not recognize any gain or loss on the deemed
liquidation. However, pursuant to Code (S)332(c), a portion of the deemed
distribution, which otherwise would have been tax-free as discussed above,
since it is utilized by the master fund to satisfy its dividends paid deduction
for the tax year, must be recognized and treated as a dividend by the 80% or
greater shareholder. Pursuant to Code (S)334(b)(1) and (S)1223, the 80% or
greater shareholder's basis and holding period in the securities received in
liquidation is the same as it was in the possession of the master. As a result
of the transaction, Dimensional Emerging Markets Value Fund recognized a
$104,402,506 and ($16,523) capital gain and currency loss respectively, for the
tax year ended October 31, 2009.
Certain prior year balances have been reclassified to conform with current
year presentation. Such reclassifications impacted the paid-in capital,
undistributed net investment income/distributions in excess of net investment
income and accumulated net realized gain/loss components of net assets on the
statements of assets and liabilities of International Small Company Portfolio
and Emerging Markets Value Portfolio. These reclassifications had no impact on
net assets, net asset value, the financial highlights or total return.
130
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Year
Ended Ended
April 30, 2011 Oct. 31, 2010
------------------- --------------------
Amount Shares Amount Shares
---------- ------- ----------- -------
U.S. Targeted Value Portfolio
Class R1 Shares
Shares Issued........................................ $ 6,540 391 $ 7,401 778
Shares Issued in Lieu of Cash Distributions.......... 239 15 312 35
Shares Redeemed...................................... (4,337) (257) (5,936) (632)
Shares Reduced by Reverse Stock Split................ -- (2) -- (1,314)
---------- ------- ----------- -------
Net Increase (Decrease) -- Class R1 Shares............ $ 2,442 147 $ 1,777 (1,133)
========== ======= =========== =======
Class R2 Shares
Shares Issued........................................ $ 4,897 303 $ 5,859 572
Shares Issued in Lieu of Cash Distributions.......... 34 2 29 3
Shares Redeemed...................................... (3,133) (192) (3,559) (360)
Shares Reduced by Reverse Stock Split................ -- (7) -- (159)
---------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 1,798 106 $ 2,329 56
========== ======= =========== =======
Institutional Class Shares
Shares Issued........................................ $ 541,614 31,836 $ 897,844 63,857
Shares Issued in Lieu of Cash Distributions.......... 12,763 786 11,187 862
Shares Redeemed...................................... (356,577) (21,160) (512,167) (37,960)
---------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 197,800 11,462 $ 396,864 26,759
========== ======= =========== =======
Emerging Markets Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 47,533 1,733 $ 34,637 18,214
Shares Issued in Lieu of Cash Distributions.......... 1,917 55 6,798 3,947
Shares Redeemed...................................... (45,863) (1,458) (6,985) (3,724)
Shares Reduced by Conversion of Shares............... -- (19,608) -- --
---------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 3,587 (19,278) $ 34,450 18,437
========== ======= =========== =======
Institutional Class Shares
Shares Issued........................................ $3,429,521 95,992 $ 3,313,583 103,334
Shares Issued in Lieu of Cash Distributions.......... 545,949 15,779 265,972 8,765
Shares Redeemed...................................... (817,377) (23,016) (1,555,298) (49,938)
---------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $3,158,093 88,755 $ 2,024,257 62,161
========== ======= =========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of
Recapitalization of U.S. Targeted Value Portfolio's Class R1 and Class R2
Shares. On November 19, 2010, a reverse stock split was executed whereby each
shareholder of Class R1 Shares received one share for every 1.469 shares held
and each shareholder of Class R2 Shares received one share for every 1.394
shares held. The purpose of the reverse split was to reduce the number of Class
R1 Shares and Class R2 Shares, thereby increasing the net asset value of each
Class R1 Share and Class R2 Share outstanding in order to more closely align
the net asset values with the net asset value
131
of U.S. Targeted Value Portfolio's Institutional Class Shares. The per share
data in the financial highlights, capital share activity in the statements of
changes in net assets and the outstanding shares and net asset value as of
October 31, 2010 in the statement of assets and liabilities have been
retroactively restated to reflect the reverse stock splits for the respective
Class R1 Shares and Class R2 Shares.
The Board of Directors/Trustees of DFA Investment Dimensions Group Inc.
authorized the conversion of the Class R2 Shares of Emerging Markets Value
Portfolio to the Class R2A Shares. The Class R2 Shares of Emerging Markets
Value Portfolio ceased to be offered and available for purchase upon the close
of business on December 3, 2010. Following the conversion, shareholders and
investors purchased and redeemed class R2A Shares of the Portfolio. The value
of a shareholder's investment in the Portfolio was not impacted by the
conversion, however, a shareholder received fewer Class R2A Shares than the
number of Class R2 Shares held at the time of the conversion because the Class
R2A Shares has a higher net asset value per share. Effective February 28, 2011,
Class R2A Shares were renamed to Class R2 Shares.
The per share data in the financial highlights prior to the six-month period
ended April 30, 2011 have been retroactively restated to reflect the
conversion. Additionally, the capital share activity in the Statement of
Changes in Net Assets and capital share activity earlier in this note shows the
reduction of shares as a result of the conversion.
H. Financial Instruments:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest, either directly or indirectly through their investment
in a corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk in excess of the amounts recognized in the financial
statements and concentrations of credit and market risk. These instruments and
their significant corresponding risks are described below:
1. Repurchase Agreements: The Portfolios may purchase certain U.S.
Government securities subject to the counterparty's agreement to repurchase
them at an agreed upon date and price. The counterparty will be required on a
daily basis to maintain the value of the collateral subject to the agreement at
not less than the repurchase price (including accrued interest). The agreements
are conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Fund's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on April 29, 2011.
2. Foreign Market Risks: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in U.S.
companies, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation
of foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States of
America. Consequently, acquisition and disposition of international securities
held by the Portfolios may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a Portfolio uses derivatives, how derivatives are
accounted for and how derivative instruments affect a Portfolio's results of
operations and financial position. Summarized below are the specific types of
derivative instruments used by the Portfolios.
3. Forward Currency Contracts: Enhanced U.S. Large Company Portfolio may
enter into forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge a Portfolio's currency exposure with respect to a
foreign market will be based primarily on the Portfolio's existing exposure to
a given foreign currency. Each contract is valued daily and the change in value
is recorded by the Portfolio as an unrealized gain or loss, which is presented
in the Statements of Operations as the change in unrealized appreciation or
depreciation of translation of foreign currency denominated amounts. When the
contract is closed or offset with the same counterparty, the Portfolio records
a realized gain or loss equal to the change in the value of the contract when
it was opened and the value at the time it was closed or offset. This is
presented in the Statements of Operations as a net realized gain or loss on
foreign currency transactions.
132
At April 30, 2011, Enhanced U.S. Large Company Portfolio had entered into the
following contracts and the net unrealized foreign exchange gain/(loss) is
reflected in the accompanying financial statements (amounts in thousands):
Enhanced U.S. Large Company Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount Currency Sold Amount April 30, 2011 Gain (Loss)
---------- -------- ----------------- -------- -------------- -----------
05/04/11. 29,539 Canadian Dollars $ 30,967 $ 31,216 $ 249
05/04/11. (4,322) Canadian Dollars (4,541) (4,567) (26)
05/04/11. (25,217) Canadian Dollars (25,898) (26,649) (751)
06/01/11. (29,627) Canadian Dollars (31,040) (31,289) (249)
05/04/11. UK Pound
3,236 Sterling 5,347 5,405 58
05/04/11. UK Pound
(3,236) Sterling (5,194) (5,405) (211)
06/01/11. UK Pound
(3,255) Sterling (5,377) (5,434) (57)
05/04/11. 4,726 Euro 6,926 6,998 72
05/04/11. 2,884 Euro 4,177 4,272 95
05/04/11. (7,610) Euro (10,803) (11,270) (467)
06/01/11. (4,730) Euro (6,928) (7,000) (72)
-------- -------- -------
$(42,364) $(43,723) $(1,359)
======== ======== =======
*During the six months ended April 30, 2011, the Portfolio's average cost of
forward currency contracts was $(49,600) (in thousands).
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
4. Futures Contracts: Certain Portfolios may enter into futures contracts to
gain market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Additionally, Enhanced U.S. Large
Company Portfolio uses stock index futures to hedge against changes in equity
securities' prices in the normal course of pursuing its investment objectives.
Upon entering into a futures contract, the Portfolio deposits cash or pledges
U.S. Government securities to a broker, equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolio as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized gain or loss, which is presented
in the Statement of Operations as a net realized gain or loss on futures, equal
to the difference between the value of the contract at the time it was opened
and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolio could lose more than
the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At April 30, 2011, the following Portfolio had outstanding futures contracts
(dollar amounts in thousands):
Expiration Number of Contract Unrealized
Description Date Contracts* Value Gain (Loss)
------------- ---------- ---------- -------- -----------
Enhanced U.S. Large Company Portfolio. S&P 500 Index(R) 06/17/2011 489 $166,223 $5,422
Securities have been segregated as collateral for open futures contracts......................
133
*During the six months ended April 30, 2011 the Portfolio's average notional
value of outstanding futures contracts was $154,531 (in thousands).
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period. The following is a summary of the Portfolios'
derivative instrument holdings for the six months ended April 30, 2011.
The following is a summary of the location of derivatives on the
Portfolios' Statements of Assets and Liabilities as of April 30, 2011:
Location on the Statements of Assets and Liabilities
- -------------------------------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------------------- ------------------------------------ ------------------------------------
Foreign exchange contracts. Unrealized Gain on Forward Currency Unrealized Loss on Forward Currency
Contracts Contracts
Equity contracts........... Receivables: Futures Margin
Variation.........................
The following is a summary of the Portfolios' derivative instrument
holdings categorized by primary risk exposure as of April 30, 2011 (amounts in
thousands):
Asset Derivatives Value
----------------------------
Total Value Foreign
at Exchange Equity
April 30, 2011 Contracts Contracts
-------------- --------- ----------------
Enhanced U.S. Large Company Portfolio. $5,896 $474 $5,422*
Liability Derivatives Value
----------------------------
Foreign
Total Value at Exchange
April 30, 2011 Contracts Equity Contracts
-------------- --------- ----------------
Enhanced U.S. Large Company Portfolio. $(1,833) $(1,833) --
*Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location on the Portfolios' Statements
of Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings through the six months ended
April 30, 2011 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------------------- ---------------------------------------------------------------------------
Foreign exchange contracts. Net Realized Gain (Loss) on: Foreign Currency Transactions Change in
Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency
Denominated Amounts
Equity contracts........... Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation
(Depreciation) of: Futures
134
The following is a summary of the realized and change in unrealized
gains and losses from the Portfolios' derivative instrument holdings
categorized by primary risk exposure through the six months ended April 30,
2011 (amounts in thousands):
Realized Gain (Loss)
on Derivatives
Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
-------- --------- ---------
Enhanced U.S. Large Company Portfolio. $ 27,248 $(1,673) $ 28,921
U.S. Targeted Value Portfolio*........ 9 -- 9
U.S. Small Cap Portfolio*............. 930 -- 930
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
-------- --------- ---------
Enhanced U.S. Large Company Portfolio. $(6,171) $(1,186) $(4,985)
*As of April 30, 2011, there were no futures contracts outstanding. During
the six months ended April 30, 2011, the Portfolio had limited activity in
futures contracts.
I. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is
currently negotiating a new $250 million unsecured discretionary line of credit
with The Bank of New York Mellon, an affiliate of its domestic custodian bank,
to replace the existing line of credit. The Fund anticipates the new line of
credit will have substantially the same terms and conditions as the existing
line of credit.
For the six months ended April 30, 2011, borrowings by the Portfolios under
this line of credit were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
DFA Global Real Estate Securities Portfolio. 1.93% $4,770 1 -- $4,770
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2011 that each Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by the Portfolios under this line of
credit as of April 30, 2011.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under
135
the line of credit do not exceed $500 million in the aggregate. Each portfolio
is individually, and not jointly, liable for its particular advances under the
line of credit. Borrowings under the line of credit are charged interest at
rates agreed to by the parties at the time of borrowing. There is no commitment
fee on the unused portion of the line of credit. The agreement for the line of
credit expires on January 13, 2012.
For the six months ended April 30, 2011, borrowings by the Portfolios under
this line of credit were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
U.S. Targeted Value Portfolio...................... 0.92% $ 1,675 11 -- $ 3,038
U.S. Small Cap Value Portfolio..................... 0.94% 2,192 9 $ 1 10,491
U.S. Core Equity 2 Portfolio....................... 0.92% 4,188 5 1 7,690
U.S. Vector Equity Portfolio....................... 0.90% 8,110 1 -- 8,110
U.S. Small Cap Portfolio........................... 0.90% 4,160 7 1 11,611
U.S. Micro Cap Portfolio........................... 0.86% 6,908 13 2 15,925
DFA Real Estate Securities Portfolio............... 0.93% 5,182 6 1 14,265
Large Cap International Portfolio.................. 0.93% 1,657 5 -- 2,086
International Core Equity Portfolio................ 0.90% 910 1 -- 910
International Small Company Portfolio.............. 0.93% 3,757 13 1 7,646
DFA International Real Estate Securities Portfolio 0.93% 11,492 11 3 19,502
DFA Global Real Estate Securities Portfolio 0.94% 5,529 18 3 32,769
DFA International Small Cap Value Portfolio........ 0.92% 2,781 23 2 10,166
World ex U.S. Value Portfolio...................... 0.91% 46 1 -- 46
Emerging Markets Core Equity Portfolio............. 0.93% 4,114 9 1 6,987
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2011 that each Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by the Portfolios under this line of
credit as of April 30, 2011.
J. Securities Lending:
As of April 30, 2011, some of the Portfolios had securities on loan to
brokers/dealers, for which each Portfolio received cash collateral. In
addition, Emerging Markets Core Equity Portfolio received non-cash collateral
with a market value of $98,204 (in thousands). Each Portfolio invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are expected at all times to be secured by collateral equal to at least
(i) 100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) 102% of the current
market value of the loaned securities with respect to U.S. securities, and
(iii) 105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the
Portfolios' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Portfolio will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
136
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Each Portfolio also may invest the cash collateral received for the
loaned securities in securities of the U.S. government or its agencies,
repuchase agreements collateralized by securities of the U.S. government or its
agencies, and affiliated and unaffiliated registered and unregistered money
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, each Portfolio
will be able to terminate the loan at any time and will receive reasonable
interest on the loan, as well as amounts equal to any dividends, interest or
other distributions on the loaned securities. However, dividend income received
from loaned securities may not be eligible to be taxed at qualified dividend
income rates.
K. Shareholder Servicing Fees:
The Class R1 Shares pay a shareholder servicing fee in the amount of 0.10%
and Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of
their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and
Emerging Markets Value Portfolio Class R2 Shares.
L. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
M. In-Kind Redemptions:
In accordance with guidelines described in the Portfolios' prospectus, the
fund may distribute portfolio securities rather than cash as payment for a
redemption of fund shares (in-kind redemption). For financial reporting
purposes, the fund recognizes a gain on in-kind redemptions to the extent the
value of the distributed securities on the date of redemption exceeds the cost
of those securities. Gains and losses realized on in-kind redemptions are not
recognized for tax purposes and are reclassified from undistributed realized
gain (loss) to paid-in capital.
During the year ended October 31, 2010, U.S. Small Cap Value Portfolio
realized net gains of in-kind redemptions in the amount of $56,505 (amount in
thousands).
N. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures
137
are effective for interim and annual reporting periods beginning after
December 15, 2011. At this time, management is evaluating the implications of
ASU No. 2011-04 and its impact on the financial statements has not been
determined.
O. Other:
At April 30, 2011, the following number of shareholders held the following
approximate percentages of outstanding shares of the Portfolios. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
- ------------ --------------
Enhanced U.S. Large Company Portfolio -- Institutional Class Shares.............. 2 74%
U.S. Large Cap Value Portfolio -- Institutional Class Shares..................... 3 76%
U.S. Targeted Value Portfolio -- Class R1 Shares................................. 1 95%
U.S. Targeted Value Portfolio -- Class R2 Shares................................. 2 79%
U.S. Targeted Value Portfolio -- Institutional Class Shares...................... 2 55%
U.S. Small Cap Value Portfolio -- Institutional Class Shares..................... 2 52%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares....................... 3 65%
U.S. Core Equity 2 Portfolio -- Institutional Class Shares....................... 3 65%
U.S. Vector Equity Portfolio -- Institutional Class Shares....................... 4 89%
U.S. Small Cap Portfolio -- Institutional Class Shares........................... 3 49%
U.S. Micro Cap Portfolio -- Institutional Class Shares........................... 2 57%
DFA Real Estate Securities Portfolio -- Institutional Class Shares............... 3 73%
Large Cap International Portfolio -- Institutional Class Shares.................. 2 71%
International Core Equity Portfolio -- Institutional Class Shares................ 3 70%
International Small Company Portfolio -- Institutional Class Shares.............. 2 47%
Japanese Small Company Portfolio -- Institutional Class Shares................... 3 62%
Asia Pacific Small Company Portfolio -- Institutional Class Shares............... 3 80%
United Kingdom Small Company Portfolio -- Institutional Class Shares............. 2 89%
Continental Small Company Portfolio -- Institutional Class Shares................ 4 84%
DFA International Real Estate Securities Portfolio -- Institutional Class Shares. 3 83%
DFA Global Real Estate Securities Portfolio -- Institutional Class Shares........ 3 93%
DFA International Small Cap Value Portfolio -- Institutional Class Shares........ 2 49%
International Vector Equity Portfolio -- Institutional Class Shares.............. 3 87%
World ex U.S. Value Portfolio -- Institutional Class Shares...................... 3 92%
Emerging Markets Portfolio -- Institutional Class Shares......................... 3 68%
Emerging Markets Small Cap Portfolio -- Institutional Class Shares............... 1 28%
Emerging Markets Value Portfolio -- Class R2 Shares.............................. 1 78%
Emerging Markets Value Portfolio -- Institutional Class Shares................... 2 29%
Emerging Markets Core Equity Portfolio -- Institutional Class Shares............. 2 57%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
138
On November 1, 2010 a class action complaint was filed in the bankruptcy
case of the Tribune Company, (the "Tribune"), and subsequently additional
similar class actions have been filed seeking the same recovery (the
"Lawsuits"). The defendants are The U.S. Large Cap Value Series and hundreds of
other mutual funds, institutional investors and others who owned shares in
Tribune in 2007 when it became private in a leveraged buyout transaction and
who, at that time, sold their shares back to Tribune for cash in the amount of
$34 per share. The Lawsuits allege that the payment for the shares by the
Tribune violated the rights of creditors and seeks to have the cash paid to
shareholders returned to the Tribune's bankruptcy estate and/or various
creditors of the Tribune.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does
not believe that it is possible, at this early stage in the proceedings, to
predict with any reasonable certainty the probable outcome of the Lawsuits or
quantify the ultimate exposure to The U.S. Large Cap Value Series arising from
the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of
the net asset value of The U.S. Large Cap Value Series will be made relating to
the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery they seek, the amount would be less than 1% of The U.S. Large
Cap Value Series' net asset value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
P. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
139
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets.This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the period indicated.
For the Period November 8, 2010 to April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/09/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
Actual Fund Return............ $1,000.00 $1,143.98 0.55% $2.81
Hypothetical 5% Annual Return. $1,000.00 $1,022.07 0.55% $2.76
--------
* The Fund commenced operations on November 8, 2010. Expenses are equal to the
fund's annualized expense ratio for the period, multiplied by the average
account value over the period, multiplied by the number of days since
inception (174), then divided by the number of days in the year (365) to
reflect the period. The "Ending Account Value" is derived from the fund's
share class actual return since inception. The "Hypothetical 5% Annual
Return" information reflects the 181 day period for the six-months ended
April 30, 2011 to allow for comparability.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 31, 2011. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
Corporate.......... 57.2%
Government......... 13.3%
Foreign Corporate.. 16.1%
Foreign Government. 10.0%
Supranational...... 3.4%
------
100.0%
141
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Face
Amount^ Value+
------- -----
(000)
BONDS -- (78.8%)
AUSTRALIA -- (2.4%)
BHP Billiton Finance USA, Ltd.
(u)5.125%, 03/29/12 700 $ 729,770
(u)5.500%, 04/01/14 960 1,069,362
Telstra Corp., Ltd.
(u)6.375%, 04/01/12 1,250 1,315,109
Westpac Banking Corp. NL
(u)2.250%, 11/19/12 2,000 2,038,364
-----------
TOTAL AUSTRALIA 5,152,605
-----------
AUSTRIA -- (1.0%)
Oesterreichische Kontrollbank AG
(u)1.375%, 01/21/14 2,000 2,013,318
-----------
CANADA -- (8.0%)
Bank of Nova Scotia
(u)2.375%, 12/17/13 2,800 2,865,369
Canadian National Railway Co.
(u)4.400%, 03/15/13 1,150 1,222,607
Canadian Natural Resources, Ltd.
(u)5.150%, 02/01/13 625 667,379
Export Development Canada
(u)2.375%, 03/19/12 1,000 1,018,427
Manitoba, Province of Canada
(u)2.125%, 04/22/13 1,500 1,538,614
Ontario, Province of Canada
(u)1.875%, 11/19/12 1,000 1,019,955
(u)4.375%, 02/15/13 600 638,690
(u)1.375%, 01/27/14 1,300 1,308,359
Potash Corp. of Saskatchewan, Inc.
(u)7.750%, 05/31/11 350 351,817
Royal Bank of Canada
(u)2.250%, 03/15/13 1,400 1,441,509
(u)1.125%, 01/15/14 1,000 997,351
Saskatchewan, Province of Canada
(u)7.375%, 07/15/13 1,800 2,047,752
TransCanada Pipelines, Ltd.
(u)4.000%, 06/15/13 1,475 1,561,795
-----------
TOTAL CANADA 16,679,624
-----------
FRANCE -- (1.9%)
BNP Paribas SA
(u)2.125%, 12/21/12 2,000 2,032,592
Total Capital SA
(u)5.000%, 05/22/12 1,500 1,567,633
Face
Amount^ Value+
------- -----
(000)
FRANCE -- (Continued)
Veolia Environnement SA
(u)5.250%, 06/03/13 425 $ 455,085
----------
TOTAL FRANCE 4,055,310
----------
GERMANY -- (2.0%)
Deutsche Bank AG
(u)4.875%, 05/20/13 1,300 1,387,732
Kreditanstalt fuer Wiederaufbau AG
(u)1.375%, 07/15/13 1,700 1,721,876
Landwirtschaftliche Rentenbank
(u)1.875%, 09/24/12 1,000 1,018,683
----------
TOTAL GERMANY 4,128,291
----------
NETHERLANDS -- (1.2%)
Deutsche Telekom International Finance NV
(u)5.250%, 07/22/13 525 568,077
Nederlandse Waterschapsbank
(u)5.375%, 09/04/12 1,000 1,063,000
Shell International Finance NV
(u)1.300%, 09/22/11 1,000 1,004,289
----------
TOTAL NETHERLANDS 2,635,366
----------
NORWAY -- (1.4%)
Eksportfinans ASA
(u)1.875%, 04/02/13 2,800 2,850,907
----------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (2.7%)
Asian Development Bank
(u)1.625%, 07/15/13 1,200 1,222,228
European Investment Bank
(u)2.625%, 11/15/11 1,000 1,012,579
Inter-American Development Bank
(u)1.750%, 10/22/12 1,300 1,322,376
International Bank for Reconstruction &
Development
(u)2.000%, 04/02/12 1,000 1,015,246
Nordic Investment Bank
(u)1.625%, 01/28/13 1,000 1,017,245
----------
TOTAL SUPRANATIONAL ORGANIZATION
OBLIGATIONS 5,589,674
----------
142
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- -----
(000)
SWITZERLAND -- (1.7%)
Credit Suisse AG
(u)5.000%, 05/15/13 1,625 $1,741,709
UBS AG
(u)2.250%, 08/12/13 1,735 1,763,338
----------
TOTAL SWITZERLAND 3,505,047
----------
UNITED KINGDOM -- (2.4%)
Barclays Bank P.L.C.
(u)5.450%, 09/12/12 2,000 2,119,774
BP Capital Markets P.L.C.
(u)5.250%, 11/07/13 1,325 1,436,444
Diageo Capital P.L.C.
(u)5.200%, 01/30/13 1,450 1,554,162
----------
TOTAL UNITED KINGDOM 5,110,380
----------
UNITED STATES -- (54.1%)
3M Co.
4.375%, 08/15/13 $3,000 3,245,499
Aetna, Inc.
5.750%, 06/15/11 100 100,618
Air Products & Chemicals, Inc.
4.150%, 02/01/13 500 521,581
American Express Credit Corp.
5.875%, 05/02/13 1,050 1,137,055
Anheuser-Busch InBev Worldwide, Inc.
2.500%, 03/26/13 450 461,236
Apache Corp.
6.000%, 09/15/13 715 795,580
Archer-Daniels-Midland Co.
7.125%, 03/01/13 325 360,051
Arrow Electronics, Inc.
6.875%, 07/01/13 350 382,586
AT&T, Inc.
4.950%, 01/15/13 975 1,038,392
6.700%, 11/15/13 380 428,651
Avery Dennison Corp.
4.875%, 01/15/13 1,300 1,367,462
Baker Hughes, Inc.
6.500%, 11/15/13 450 507,852
Baltimore Gas & Electric Co.
6.125%, 07/01/13 500 550,348
Bank of America Corp.
5.375%, 09/11/12 850 896,945
4.875%, 01/15/13 650 685,118
Face
Amount Value+
------ -----
(000)
UNITED STATES -- (Continued)
Bank of New York Mellon Corp. (The)
4.500%, 04/01/13 $1,000 $1,068,313
5.125%, 08/27/13 2,150 2,342,584
Baxter International, Inc.
1.800%, 03/15/13 910 924,741
BB&T Corp.
3.850%, 07/27/12 1,400 1,448,458
BlackRock, Inc.
2.250%, 12/10/12 1,820 1,859,811
Boeing Capital Corp.
5.800%, 01/15/13 350 378,829
Boeing Co. (The)
1.875%, 11/20/12 550 560,205
Bristol-Myers Squibb Co.
5.250%, 08/15/13 1,175 1,288,734
Burlington Northern Santa Fe LLC
5.900%, 07/01/12 100 105,779
4.300%, 07/01/13 1,200 1,275,311
Campbell Soup Co.
5.000%, 12/03/12 350 373,845
4.875%, 10/01/13 270 294,560
Capital One Financial Corp.
4.800%, 02/21/12 350 361,263
6.250%, 11/15/13 150 165,659
Caterpillar Financial Services Corp.
6.200%, 09/30/13 1,250 1,398,110
CenterPoint Energy Resources Corp.
7.875%, 04/01/13 425 475,149
Chubb Corp.
5.200%, 04/01/13 525 564,886
CIGNA Corp.
6.375%, 10/15/11 425 435,868
Cisco Systems, Inc.
1.625%, 03/14/14 1,250 1,257,070
Citigroup, Inc.
6.500%, 08/19/13 900 988,896
Coca-Cola Co. (The)
0.750%, 11/15/13 1,075 1,066,232
Coca-Cola Refreshments USA, Inc.
3.750%, 03/01/12 450 462,079
Comcast Cable Communications Holdings, Inc.
8.375%, 03/15/13 775 873,888
143
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount Value+
------ -----
(000)
UNITED STATES -- (Continued)..............
Computer Sciences Corp....................
5.000%, 02/15/13 $ 850 $ 899,114
ConAgra Foods, Inc........................
6.750%, 09/15/11 100 102,230
ConocoPhillips............................
4.750%, 10/15/12 1,450 1,534,895
Consolidated Edison Co. of New York, Inc..
4.875%, 02/01/13 600 636,562
COX Communications, Inc...................
7.125%, 10/01/12 800 865,545
CSX Corp..................................
5.500%, 08/01/13 425 462,292
CVS Caremark Corp.........................
5.750%, 08/15/11 825 837,174
Daimler Finance North America LLC.........
6.500%, 11/15/13 1,400 1,567,318
Dell, Inc.................................
4.700%, 04/15/13 1,140 1,216,213
2.100%, 04/01/14 500 507,200
Dominion Resources, Inc...................
5.000%, 03/15/13 425 454,894
Dow Chemical Co. (The)....................
6.000%, 10/01/12 425 453,415
Dr. Pepper Snapple Group, Inc.............
2.350%, 12/21/12 600 612,974
Duke Energy Ohio, Inc.....................
5.700%, 09/15/12 425 452,749
E.I. Du Pont de Nemours & Co..............
4.750%, 11/15/12 350 370,823
eBay, Inc.................................
0.875%, 10/15/13 1,635 1,626,704
Emerson Electric Co.......................
5.625%, 11/15/13 1,200 1,332,669
Energy Transfer Partners LP...............
6.000%, 07/01/13 425 462,519
Enterprise Products Operating LLC.........
7.625%, 02/15/12 650 683,491
EOG Resources, Inc........................
6.125%, 10/01/13 750 831,301
Exelon Generation Co. LLC.................
5.350%, 01/15/14 1,680 1,819,860
Express Scripts, Inc......................
5.250%, 06/15/12 425 444,865
Fifth Third Bancorp.......................
6.250%, 05/01/13 975 1,059,272
Face
Amount Value+
------ -----
(000)
UNITED STATES -- (Continued)..........
General Dynamics Corp.................
4.250%, 05/15/13 $ 750 $ 802,513
General Electric Capital Corp.........
2.800%, 01/08/13 2,000 2,053,090
1.875%, 09/16/13 600 604,016
2.100%, 01/07/14 600 606,419
General Electric Co...................
5.000%, 02/01/13 200 213,516
General Mills, Inc....................
6.000%, 02/15/12 425 443,150
Georgia Power Co......................
6.000%, 11/01/13 825 918,189
GlaxoSmithKline Capital, Inc..........
4.850%, 05/15/13 1,300 1,401,225
Goldman Sachs Group, Inc. (The).......
4.750%, 07/15/13 1,675 1,781,021
Hess Corp.............................
7.000%, 02/15/14 275 312,813
Hewlett-Packard Co....................
1.250%, 09/13/13 1,550 1,553,570
Honeywell International, Inc..........
4.250%, 03/01/13 975 1,035,703
HSBC Finance Corp.....................
4.750%, 07/15/13 1,300 1,391,053
International Business Machines Corp..
2.100%, 05/06/13 1,645 1,687,190
John Deere Capital Corp...............
7.000%, 03/15/12 425 449,017
1.875%, 06/17/13 925 941,829
KeyCorp...............................
6.500%, 05/14/13 1,000 1,093,620
Kinder Morgan Energy Partners LP......
7.125%, 03/15/12 425 448,270
5.850%, 09/15/12 1,000 1,061,694
Kraft Foods, Inc......................
6.250%, 06/01/12 555 587,320
Kroger Co. (The)......................
5.500%, 02/01/13 640 685,147
Lockheed Martin Corp..................
4.121%, 03/14/13 775 821,107
McDonald's Corp.......................
4.300%, 03/01/13 975 1,039,158
MetLife, Inc..........................
5.375%, 12/15/12 1,225 1,310,064
2.375%, 02/06/14 420 425,819
144
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount Value+
------ ----------
(000)
UNITED STATES -- (Continued).................
Microsoft Corp...............................
0.875%, 09/27/13 $1,300 $1,298,125
Monsanto Co..................................
7.375%, 08/15/12 400 431,886
Morgan Stanley...............................
5.300%, 03/01/13 750 800,265
National Rural Utilities Cooperative Finance
Corp........................................
7.250%, 03/01/12 425 448,387
Nestle Holdings, Inc.........................
2.000%, 01/28/13 2,000 2,040,568
NextEra Energy Capital Holdings, Inc.........
5.625%, 09/01/11 425 431,940
2.550%, 11/15/13 850 868,392
Northern Trust Corp..........................
5.500%, 08/15/13 1,343 1,477,983
Nucor Corp...................................
4.875%, 10/01/12 440 463,989
Occidental Petroleum Corp....................
1.450%, 12/13/13 1,000 1,009,095
Oracle Corp..................................
4.950%, 04/15/13 750 809,025
Packaging Corp. of America...................
5.750%, 08/01/13 525 563,932
PepsiCo, Inc.................................
0.875%, 10/25/13 1,785 1,774,510
Philip Morris International, Inc.............
4.875%, 05/16/13 1,625 1,745,648
Pitney Bowes, Inc............................
3.875%, 06/15/13 450 468,589
Plains All American Pipeline LP..............
4.250%, 09/01/12 300 310,933
Praxair, Inc.................................
6.375%, 04/01/12 425 447,403
2.125%, 06/14/13 1,000 1,028,757
President & Fellows of Harvard College.......
5.000%, 01/15/14 2,500 2,737,350
Prudential Financial, Inc....................
5.800%, 06/15/12 350 366,421
3.625%, 09/17/12 300 309,359
4.500%, 07/15/13 325 342,479
Reynolds American, Inc.......................
7.250%, 06/01/13 1,000 1,113,608
Ryder System, Inc............................
5.000%, 06/15/12 525 545,790
Face
Amount Value+
------ -----
(000)
UNITED STATES -- (Continued)......
Safeway, Inc......................
5.800%, 08/15/12 $ 425 $ 451,298
Sara Lee Corp.....................
3.875%, 06/15/13 650 678,811
Sempra Energy.....................
2.000%, 03/15/14 400 400,495
St. Jude Medical, Inc.............
2.200%, 09/15/13 425 433,946
SunTrust Banks, Inc...............
5.250%, 11/05/12 525 552,755
Target Corp.......................
5.875%, 03/01/12 850 888,684
Time Warner Cable, Inc............
6.200%, 07/01/13 425 467,993
Toyota Motor Credit Corp..........
1.375%, 08/12/13 2,900 2,912,917
Travelers Property Casualty Corp..
5.000%, 03/15/13 1,500 1,605,199
U.S. Bancorp......................
2.000%, 06/14/13 200 204,036
Unilever Capital Corp.............
3.650%, 02/15/14 1,275 1,355,285
United Technologies Corp..........
6.100%, 05/15/12 250 264,571
Valero Energy Corp................
6.875%, 04/15/12 875 921,295
Verizon Communications, Inc.......
4.350%, 02/15/13 850 898,208
5.250%, 04/15/13 775 835,803
Wal-Mart Stores, Inc..............
0.750%, 10/25/13 1,900 1,892,288
Walt Disney Co. (The).............
4.700%, 12/01/12 725 770,166
Waste Management, Inc.............
6.375%, 11/15/12 425 459,000
------------
TOTAL UNITED STATES............... 113,177,020
------------
TOTAL BONDS....................... 164,897,542
------------
AGENCY OBLIGATIONS -- (10.3%).........................
Federal Home Loan Bank............
0.875%, 12/27/13 2,000 1,990,930
Federal Home Loan Mortgage
Corporation......................
1.125%, 12/15/11 2,000 2,010,630
0.375%, 11/30/12 1,000 997,554
4.875%, 11/15/13 500 549,304
1.375%, 02/25/14 2,000 2,016,042
145
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount Value+
------ -----
(000)
Federal National Mortgage Association....
5.375%, 11/15/11 $ 2,000 $ 2,055,240
1.000%, 09/23/13 1,500 1,502,679
2.750%, 03/13/14 4,700 4,919,213
Tennessee Valley Authority...............
6.000%, 03/15/13 5,000 5,487,560
-----------
TOTAL AGENCY OBLIGATIONS................. 21,529,152
-----------
U.S. TREASURY OBLIGATIONS --
(6.3%)..................................
U.S. Treasury Note.......................
@@0.625%, 12/31/12 13,200 13,231,970
-----------
Shares/
Face
Amount
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.6%)................
Citibank-US Dollars on Deposit in
Custody Account...................... 3,871,710 3,871,710
Repurchase Agreement, PNC Capital
Markets, Inc. 0.19%, 05/02/11
(Collateralized by $5,735,000 FNMA
2.24%, 07/06/15, valued at
$5,878,375) to be repurchased at
$5,789,092........................... $5,789 5,789,000
-----------
TOTAL TEMPORARY CASH
INVESTMENTS............................. 9,660,710
-----------
Value+
-----
TOTAL INVESTMENTS -- (100.0%)
(Cost $208,694,690).......... $209,319,374
============
146
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------
Level 1 Level 2 Level 3 Total
---------- ------------ ------- ------------
Bonds...................... -- $164,897,542 -- $164,897,542
Agency Obligations......... -- 21,529,152 -- 21,529,152
U.S. Treasury Obligations.. -- 13,231,970 -- 13,231,970
Temporary Cash Investments. $3,871,710 5,789,000 -- 9,660,710
Swap Agreements**.......... -- 2,732,655 -- 2,732,655
Futures Contracts**........ 34,797 -- -- 34,797
---------- ------------ -- ------------
TOTAL...................... $3,906,507 208,180,319 -- $212,086,826
========== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Schedules of Investments.
147
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investments at Value................................................................... $ 199,659
Temporary Cash Investments at Value & Cost............................................. 9,661
Cash................................................................................... 843
Receivables:...........................................................................
Interest.............................................................................. 1,850
Fund Shares Sold...................................................................... 1,422
Futures Margin Variation.............................................................. 54
Unrealized Gain on Swap Contracts...................................................... 2,733
Prepaid Expenses and Other Assets...................................................... 2
Deferred Offering Costs................................................................ 32
------------
Total Assets........................................................................ 216,256
------------
LIABILITIES:
Payables:..............................................................................
Investment Securities Purchased....................................................... 2,997
Fund Shares Redeemed.................................................................. 924
Due to Advisor........................................................................ 43
Accrued Expenses and Other Liabilities................................................. 34
------------
Total Liabilities................................................................... 3,998
------------
NET ASSETS $ 212,258
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 18,565,704
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 11.43
============
Investments at Cost.................................................................... $ 199,033
------------
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 190,286
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 219
Accumulated Net Realized Gain (Loss)................................................... 18,360
Net Unrealized Appreciation (Depreciation)............................................. 3,393
------------
NET ASSETS $ 212,258
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 100,000,000
============
See accompanying Notes to Financial Statements.
148
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE PERIOD NOVEMBER 8, 2010(a) TO APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
Investment Income
Interest...................................................................................... $ 676
-------
Total Investment Income................................................................... 676
-------
Expenses
Investment Advisory Services Fees............................................................. 232
Accounting & Transfer Agent Fees.............................................................. 21
Custodian Fees................................................................................ 4
Filing Fees................................................................................... 6
Shareholders' Reports......................................................................... 7
Professional Fees............................................................................. 21
Organizational & Offering Costs............................................................... 151
Other......................................................................................... 2
-------
Total Expenses............................................................................ 444
-------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (95)
-------
Net Expenses.................................................................................. 349
-------
Net Investment Income (Loss).................................................................. 327
-------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:..................................................................
Investment Securities Sold.................................................................. 39
Futures..................................................................................... (80)
Swap Contracts.............................................................................. 18,401
Change in Unrealized Appreciation (Depreciation) of:..........................................
Investment Securities....................................................................... 625
Futures..................................................................................... 35
Swap Contracts.............................................................................. 2,733
-------
Net Realized and Unrealized Gain (Loss)....................................................... 21,753
-------
Net Increase (Decrease) in Net Assets Resulting from Operations $22,080
=======
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
149
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
(Amounts in thousands)
Period
November 8, 2010(a)
to April 30, 2011
-------------------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:............................................................................
Net Investment Income (Loss).......................................................... $ 327
Net Realized Gain (Loss) on:..........................................................
Investment Securities Sold.......................................................... 39
Futures............................................................................. (80)
Swap Contracts...................................................................... 18,401
Change in Unrealized Appreciation (Depreciation) of:..................................
Investment Securities............................................................... 625
Futures............................................................................. 35
Swap Contracts...................................................................... 2,733
--------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 22,080
--------
Distributions From:....................................................................
Net Investment Income:................................................................
Institutional Shares................................................................ (108)
--------
Total Distributions............................................................... (108)
--------
Capital Share Transactions (1):........................................................
Shares Issued......................................................................... 199,379
Shares Issued in Lieu of Cash Distributions........................................... 105
Shares Redeemed....................................................................... (9,198)
--------
Net Increase (Decrease) from Capital Share Transactions........................... 190,286
--------
Total Increase (Decrease) in Net Assets........................................... 212,258
Net Assets
Beginning of Period................................................................... --
--------
End of Period......................................................................... $212,258
========
(1) Shares Issued and Redeemed:
Shares Issued......................................................................... 19,412
Shares Issued in Lieu of Cash Distributions........................................... 10
Shares Redeemed....................................................................... (856)
--------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 18,566
========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 219
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
150
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(for a share outstanding throughout the period)
Period
November 8, 2010(a)
to
April 30, 2011
------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................................................... $ 10.00
--------
Income from Investment Operations............................................................
Net Investment Income (Loss)(A)............................................................. 0.02
Net Gains (Losses) on Securities (Realized and Unrealized).................................. 1.42
--------
Total from Investment Operations.......................................................... 1.44
------------------------------------------------------------------------------------------------------------------
Less Distributions...........................................................................
Net Investment Income....................................................................... (0.01)
--------
Total Distributions....................................................................... (0.01)
------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................................................... $ 11.43
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
Total Return................................................................................. 14.40%(C)
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................................................ $212,258
Ratio of Expenses to Average Net Assets...................................................... 0.55%(B)(E)
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or
Recovery of Previously Waived Fees)........................................................ 0.70%(B)(E)
Ratio of Net Investment Income to Average Net Assets......................................... 0.51%(B)(E)
Portfolio Turnover Rate...................................................................... 15%(C)
------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
151
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered, without a sales charge, to institutional
investors, retirement plans and clients of registered investment advisors. The
Fund offers sixty operational portfolios, one of which, DFA Commodity Strategy
Portfolio (the "Portfolio"), is included in this section of the report. The
remaining portfolios are presented in separate reports.
The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I,
LTD. (the "Subsidiary"), a company organized under the laws of the Cayman
Islands. The Subsidiary is not registered as an investment company under the
Investment Company Act of 1940, as amended.
B. Basis for Consolidation:
The Subsidiary commenced operations on November 8, 2010. The Portfolio
commenced reporting on a consolidated basis as of such commencement date in
accordance with the accounting rules relating to reporting of a wholly-owned
subsidiary. The Portfolio will seek to gain exposure to commodities,
commodities-related instruments, derivatives and other investments by directly
investing in those instruments or through investments in the Subsidiary. The
Subsidiary participates in the same investment goal as the Portfolio. The
Subsidiary pursues its investment goal by investing in commodities,
commodities-related instruments, derivatives and other investments. The
Subsidiary (unlike the Portfolio) may invest without limitation in these
instruments. However, the Subsidiary is otherwise subject to the same
fundamental, non-fundamental and certain other investment restrictions as the
Portfolio. The portion of the Portfolio's or Subsidiary's assets exposed to any
particular commodity, derivative or other investment will vary based on market
conditions, but from time to time some exposure could be substantial.
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Porfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
As of April 30, 2011, the Portfolio held $45,685,433 in the Subsidiary,
representing 21.13% of the Portfolio's total assets. The accompanying
consolidated financial statements include all assets, liabilities, revenues and
expenses of the Portfolio and its wholly-owned Subsidiary
C. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
152
. 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
Debt Securities held by the Portfolio are valued on the basis of prices
provided by one or more pricing services or other reasonably reliable sources
including broker/dealers that typically handle the purchase and sale of such
securities. Securities which are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of
Directors/Trustees. These valuations are classified as Level 2 in the hierarchy.
Futures contracts held by the Portfolio are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy. Swap
contracts generally are valued at a price at which the counterparties to such
contracts would repurchase the instrument or terminate the contracts. These
valuations are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed at the end of the
Schedule of Investments. The inputs or methodology used for valuing securities
are not necessarily an indication of the risk associated with investing in
those securities.
The Portfolio did not have any significant transfers between Level 1 and
Level 2 during the period ended April 30, 2011.
2. Deferred Compensation Plan: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of all or a portion
of their total fees earned as a Director. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2
Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2011, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities
utilizing the effective interest method. Expenses directly attributable to a
153
Portfolio are directly charged. Common expenses of the Fund are allocated using
methods approved by the Board of Directors/Trustees, generally based on average
net assets.
D. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolio. For the period ended April 30,
2011, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.30% of the Portfolio's
average daily net assets.
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has
contractually agreed to waive all or a portion of the management fee and to
assume the expenses of the Portfolio to the extent necessary to limit the
ordinary operating expenses of the Portfolio (not including expenses incurred
through an investment in unaffiliated investment companies) ("Portfolio
Expenses") so that such Portfolio expenses do not exceed 0.55% of the
Portfolio's average net assets on an annualized basis (the "Expense Limitation
Amount"). At any time that the Portfolio Expenses of the Portfolio are less
than the Expense Limitation Amount, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously assumed
to the extent that the amount of such reimbursement will not cause the
annualized Portfolio Expenses of the Portfolio to exceed the Expense Limitation
Amount. The Portfolio is 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 such reimbursement. The Fee Waiver
Agreement for the Portfolio will remain in effect through February 28, 2012,
and may not be terminated by the Advisor prior to that date. At April 30, 2011,
approximately $55 (in thousands) of previously waived fees are subject to
future recovery by the Advisor over various periods not exceeding April 30,
2014.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the Fund to the CCO were $109 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
E. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA Commodity Strategy Portfolio $--
F. Purchases and Sales of Securities:
For the period ended April 30, 2011, the Portfolio made the following
purchases and sales of investments securities, other than short-term securities
(amounts in thousands):
U.S.Government Other Investment
Securities Securities
---------------- -----------------
Purchases Sales Purchases Sales
--------- ------ --------- -------
$188,852 $8,858 $31,245 $10,856
G. 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 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 these amounts determined under accounting principles generally
154
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise.
The Portfolio commenced operations on November 8, 2010 and did not pay any
distributions for the year ended October 31, 2010.
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
-------- ------------ -------------- --------------
$208,694. $654 $(28) $626
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed the Portfolio's
tax position and has concluded that no provision for income tax is required in
the Portfolios' financial statements. The Portfolio is not aware of any tax
positions for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next six months.
H. Financial Instruments:
In accordance with the Fund's investment objectives and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
1. Repurchase Agreements: The Portfolio may purchase certain U.S. Government
securities subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Portfolio's custodian or a third party
sub-custodian. In the event of default or bankruptcy by the other party to the
agreement, retention of the collateral may be subject to legal proceedings. All
open repurchase agreements were entered into on April 29, 2011.
2. Foreign Market Risks: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in U.S.
companies, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation
of foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States of
America. Consequently, acquisition and disposition of international securities
held by the Master Funds may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a Portfolio uses derivatives, how derivatives are
accounted for and how derivative instruments affect a Portfolio's results of
operations and financial position. Summarized below are the specific types of
derivative instruments used by the Portfolios. The Portfolio may gain exposure
to commodity markets by investing up to 25% of the Portfolio's total assets in
the Dimensional Cayman Commodity Fund I, LTD., the "Subsidiary". The Subsidiary
may invest without limitation in commodity-linked notes, swap agreements and
other commodity-linked derivative instruments, including futures contracts on
individual commodities or a subset of commodities and options on commodities.
The accompanying consolidated schedule of investments includes investments of
DFA Commodity Strategy Portfolio and its wholly-owned Subsidiary.
155
3. Commodity-Linked Derivatives: The DFA Commodity Strategy Portfolio
invests in commodity-linked derivative instruments, such as swap agreements,
commodity options, futures, options on futures, and structured notes. The
prices of commodity-linked derivative instruments may move in different
directions than investments in traditional equity securities, fixed income
securities and commodity spot prices.
4. Swap Agreements: The Portfolio may enter into swap agreements with
respect to commodities, interest rates and indexes of commodities or
securities, specific securities and commodities, and mortgage, credit and
event-linked swaps, and to the extent the Portfolio may invest in foreign
currency-denominated securities, may enter into swap agreements with respect to
foreign currencies.
The Portfolio may enter into swap transactions for any legal purpose
consistent with its investment objective and policies, such as for the purpose
of attempting to obtain or preserve a particular return or spread at a lower
cost than obtaining a return or spread through purchases and/or sales of
instruments in other markets, to seek to increase total return (speculation),
to protect against currency fluctuations, as a duration management technique,
to protect against any increase in the price of securities the Portfolio
anticipates purchasing at a later date, or to gain exposure to certain markets
in the most economical way possible.
Swap agreements are two-party contracts entered into primarily by
institutional investors for periods ranging from a few weeks to more than one
year. In a standard "swap" transaction, two parties agree to exchange the
returns (or differentials in rates of return) earned or realized on particular
predetermined investments or instruments, which may be adjusted for an interest
factor. An investment in a commodity swap agreement, for example, may involve
the exchange of floating-rate interest payments for the total return on a
commodity index. In a total return commodity swap, the Portfolio will receive
the price appreciation of a commodity index, a portion of the index, or a
single commodity in exchange for paying an agreed-upon fee. The Portfolio may
also enter into credit default swap agreements. The "buyer" in a credit default
contract is obligated to pay the "seller" a periodic stream of payments over
the term of the contract provided that no event of default on an underlying
reference obligation has occurred. If an event of default occurs, the seller
must pay the buyer the full notional value, or "par value," of the reference
obligation in exchange for the reference obligation. The Portfolio may be
either the buyer or seller in a credit default swap transaction. Credit default
swap transactions involve greater risks than if the Portfolio had invested in
the reference obligation directly.
Most swap agreements entered into by the Portfolio will calculate the
obligations of the parties to the agreement on a "net" basis, which means that
the two payment streams are netted out, with the Portfolio receiving or paying,
as the case may be, only the net amount of the two payments. The Portfolio's
current obligations under a swap agreement will be accrued daily (offset
against any amounts owed to the Portfolio) and any accrued but unpaid net
amounts owed to a swap counterparty will be covered by the segregation of
assets determined to be liquid to avoid any potential leveraging of the
Portfolio's portfolio.
Because they are two party contracts and because they may have terms of
greater than seven days, swap agreements may be considered to be illiquid. The
Portfolio bears the risk of loss of the amount expected to be received under a
swap agreement in the event of the default or bankruptcy of a swap agreement
counterparty beyond any collateral received. The types of swap agreements in
which the Portfolio invests do not involve the delivery of securities, other
underlying assets, or principal. Accordingly, the risk of loss is limited to
the net amount of interest payments that the Portfolio is contractually
obligated to make.
5. Commodity-Linked Notes: The Portfolio may gain exposure to the
commodities markets through commodity-linked structured notes, swap agreements
and commodity futures and options. These instruments have one or more
commodity-dependent components. They are derivative instruments because at
least part of their value is derived from the value of an underlying commodity
index, commodity futures contract, index, or other readily measurable economic
variable. The Portfolio may invest, either directly or though investments in
Dimensional Cayman Commodity Fund I, LTD. (a wholly-owned subsidiary of the
Portfolio, the "Subsidiary") in commodity-linked structured notes, futures and
swap agreements whose performance is linked to individual commodities or
commodity indices and options on them.
156
Some of the commodity-linked notes in which the Portfolio invests may
involve leverage. Economic leverage occurs when an investor has the right to a
return on an investment that exceeds the return that the investor would expect
to receive based on the amount contributed to the investment. Economically
leveraged derivative instruments can increase the gain or the loss associated
with changes in the value of the underlying instrument.
Commodity-linked structured notes and certain other commodity-linked
instruments may be principal protected, partially protected, or offer no
principal protection. A principal protected hybrid instrument means that the
issuer will pay, at a minimum, the par value of the note at maturity. Partially
protected commodity-linked instruments may suffer some loss of principal if the
underlying commodity index, futures contract, or economic variable to which the
commodity-linked instrument is linked declines in value during the term of the
commodity-linked instrument. The Portfolio also may invest in commodity-linked
instruments that offer no principal protection. At maturity, there is a risk
that the underlying commodity index, futures contract, or other economic
variable may have declined sufficiently in value such that some or all of the
face value of the instrument might not be returned.
Futures Activities:
The Portfolio may enter into commodity, foreign currency, interest rate and
commodity or securities index futures contracts and purchase and write (sell)
related options traded on exchanges designated by the Commodity Futures Trading
Commission ("CFTC") or, consistent with CFTC regulations, on foreign exchanges.
6. Futures Contracts: A commodity futures contract provides for the future
sale by one party and the future purchase by the other party of a specified
amount of a commodity, such as an energy, agricultural or metal commodity, at a
specified price, date, time and place. A foreign currency futures contract
provides for the future sale by one party and the future purchase by the other
party of a certain amount of a specified non-U.S. currency at a specified
price, date, time and place. An interest rate futures contract provides for the
future sale by one party and the purchase by the other party of a certain
amount of a specific interest rate sensitive financial instrument (debt
security) at a specified price, date, time and place. Securities and
commodities indexes are typically capitalization or production weighted,
respectively. A securities index or commodities index futures contract is an
agreement to be settled by delivery of an amount of cash equal to a specified
multiplier times the difference between the value of the index at the close of
the last trading day on the contract and the price at which the agreement is
made. The clearing house of the exchange on which a futures contract is entered
into becomes the counterparty to each purchaser and seller of the futures
contract.
The Portfolio is required to segregate with its futures commission merchant
an amount of cash or securities acceptable to the broker equal to approximately
1% to 10% of the contract amount. This amount is known as "initial margin" and
is in the nature of a performance bond or good faith deposit on the contract
which is returned to the Portfolio upon termination of the futures contract,
assuming all contractual obligations have been satisfied. Subsequent payments,
known as "variation margin," to and from the broker, will be made daily as the
currency, financial instrument index underlying the futures contract
fluctuates, making the long and short positions in the futures contract more or
less valuable, a process known as "marking-to-market." As a result of the small
margin deposit that is required, a small change in the market price of a
futures contract can produce major losses.
At any time prior to the expiration of a futures contract, the Portfolio may
elect to close the position by taking an opposite position, which will operate
to terminate the Portfolio's existing position in the contract. Positions in
futures contracts and options on futures contracts (described below) may be
closed out only on the exchange on which they were entered into (or through a
linked exchange). However, there is no assurance that an active market will
exist at any particular time. Once the daily fluctuation limit has been reached
in a particular contract, most futures exchanges restrict trades at a price
beyond that limit or trading may be suspended for specified periods during the
day. Such restrictions prevent prompt liquidation of futures positions at an
advantageous price and subjecting the Portfolio to substantial losses. In such
event, and in the event of adverse price movements, the Portfolio would be
required to make daily cash payments of variation margin. Losses incurred in
futures transactions and the costs of these transactions will affect the
Portfolio's performance.
157
The price volatility of commodity futures contracts has been historically
greater than that for traditional securities, such as stocks and bonds, and
there are a variety of factors associated with commodity futures contracts
which may subject the Portfolio's investments in the contracts to greater
volatility than investments in traditional securities.
7. Options on Futures Contracts: The Portfolio may purchase and write put
and call options on foreign currency, interest rate and stock and commodity
index futures contracts and may enter into closing transactions with respect to
such options to terminate existing positions. There is no guarantee that such
closing transactions can be effected; the ability to establish and close out
positions on such options will be subject to the existence of a liquid market.
An option on a currency, interest rate or commodity or securities index
futures contract, as contrasted with the direct investment in such a contract,
gives the purchaser the right, in return for the premium paid, to assume a
position in a futures contract at a specified exercise price at any time prior
to the expiration date of the option. The writer of the option is required upon
exercise to assume an offsetting futures position (a short position if the
option is a call and a long position if the option is a put). Upon exercise of
an option, the delivery of the futures position by the writer of the option to
the holder of the option will be accompanied by delivery of the accumulated
balance in the writer's futures margin account, which represents the amount by
which the market price of the futures contract exceeds, in the case of a call,
or is less than, in the case of a put, the exercise price of the option on the
futures contract. The potential loss related to the purchase of an option on a
futures contract is limited to the premium paid for the option (plus
transaction costs). The value of the option changes daily, and that change
would be reflected in the net asset value of the Portfolio.
The Portfolio may enter into options and futures transactions for several
purposes, including generating current income to offset expenses or increase
return, and as hedges to reduce investment risk, generally by making an
investment expected to move in the opposite direction of a portfolio position.
A hedge is designed to offset a loss in a portfolio position with a gain in the
hedged position; at the same time, however, a properly correlated hedge will
result in a gain in the portfolio position being offset by a loss in the hedged
position.
At April 30, 2011, Dimensional Cayman Commodity Fund I, LTD. had the
following outstanding commodity-linked futures contracts (dollar amounts in
thousands):
Expiration Number of Contract Unrealized
Description Date Contracts* Value Gain (Loss)
------------------------- ---------- ---------- -------- -----------
CBOT Wheat Futures....... 07/18/11 5 $ 200 $ (4)
Coffee C Futures......... 07/29/11 1 112 2
Copper Futures........... 07/29/11 3 313 (10)
Corn Futures............. 07/18/11 9 340 --
Gold 100 Oz Futures...... 08/31/11 3 467 11
Heating Oil Futures...... 07/28/11 1 138 --
Lean Hogs Futures........ 07/19/11 2 77 (1)
Live Cattle Futures...... 09/12/11 3 139 --
LME PRI Aluminum Futures. 05/18/11 3 207 2
Natural Gas Futures...... 07/31/11 9 429 23
RBOB Gasoline Futures.... 07/28/11 1 141 1
Silver Futures........... 07/29/11 1 243 1
Soybean Futures.......... 07/18/11 5 349 4
Soybean Oil Futures...... 07/25/11 3 106 --
Sugar #11 World Futures.. 09/15/11 4 100 (1)
WTI Crude Oil Futures.... 07/31/11 6 687 7
------ ----
$4,048 $ 35
====== ====
158
Dimensional Cayman Commodity Fund I, LTD. securities have been segregated as
collateral for open futures contracts.
* During the period ended April 30, 2011 the Portfolio's average notional
value of outstanding futures contracts was $2,355 (in thousands).
At April 30, 2011, Dimensional Cayman Commodity Fund I, LTD. had the
following outstanding total return index swaps (dollar amounts in thousands):
Unrealized
Expiration Notional Appreciation
Counterparty Date Amount* (Depreciation)
-------------------------------- ---------- -------- --------------
Citibank, N.A................... 07/27/11 USD $79,588 $1,066
Deutsche Bank AG, London Branch. 07/27/11 USD 63,760 853
UBS AG.......................... 07/27/11 USD 60,782 814
------
$2,733
======
* During the period ended April 30, 2011 the Portfolio's average notional
value of outstanding swap contracts was $126,840 (in thousands).
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period. The following is a summary of the Portfolios'
derivative instrument holdings for the period ended April 30, 2011.
The following is a summary of the location of derivatives on the
Portfolios' Statements of Assets and Liabilities as of April 30, 2011:
Location on the Statements of Assets and Liabilities
----------------------------------------------------
Derivative Type Asset Derivatives
-------------------- ----------------------------------------------------
Commodity contracts Receivables: Futures Margin
Variation
Other contracts Unrealized Gain on Swap
Contracts
The following is a summary of the Portfolios' derivative instrument
holdings categorized by primary risk exposure as of April 30, 2011 (amounts in
thousands):
Asset Derivatives Value
-----------------------
Total Value
at Commodity Other
April 30, 2011 Contracts Contracts
-------------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $2,768.... $35*..... $2,733....
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets
and Liabilities.
The following is a summary of the location on the Portfolios' Statements
of Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings through the period ended April 30,
2011 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
-------------------- -----------------------------------------------------------------------
Commodity contracts. Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation
(Depreciation) of: Futures
159
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
---------------- - -----------------------------------------------------------------
Other contracts. Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized
Appreciation (Depreciation) of: Swap Contracts
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the period ended April 30, 2011 (amounts in
thousands):
Realized Gain (Loss)
on Derivatives
Recognized in Income
---------------------------
Commodity Other
Total Contracts Contracts
------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD.. $18,321 $(80) $18,401
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
--------------------------------
Commodity Other
Total Contracts Contracts
------ --------- ---------
Dimensional Cayman Commodity Fund I, LTD.. $2,768 $35 $2,733
I. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is
currently negotiating a new $250 million unsecured discretionary line of credit
with The Bank of New York Mellon, an affiliate of its domestic custodian bank,
to replace the existing line of credit. The Fund anticipates the new line of
credit will have substantially the same terms and conditions as the existing
line of credit. There were no borrowings by the Portfolio under this line of
credit during the period ended April 30, 2011.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012. There were no borrowings by the Portfolio under this line of
credit during the period ended April 30, 2011.
J. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
160
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
L. Other:
At April 30, 2011, two shareholders held 89% of the outstanding shares of
the Portfolio. One or more of the shareholders may be omnibus accounts, which
typically hold shares for the benefit of several other underlying investors.
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolio and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
161
DIMENSIONAL INVESTMENT 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, 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.
TheExpense Tables below illustrate your fund's costs in two ways.
ActualFund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund.You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
-------- -------- ------ -------
DFA International Value Portfolio**
-----------------------------------
Actual Fund Return................
Class R2 Shares.................. $1,000.00 $1,143.36 0.71% $3.77
Institutional Class Shares....... $1,000.00 $1,144.37 0.44% $2.34
Hypothetical 5% Annual Return.....
Class R2 Shares.................. $1,000.00 $1,021.27 0.71% $3.56
Institutional Class Shares....... $1,000.00 $1,022.61 0.44% $2.21
162
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Company Portfolio
----------------------------
Actual Fund Return............ $1,000.00 $1,163.08 0.10% $0.54
Hypothetical 5% Annual Return. $1,000.00 $1,024.30 0.10% $0.50
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
** The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
163
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 31, 2011. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company is represented in the Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Master Fund's holdings which reflects the
investments by country.
FEEDER FUND
Affiliated Investment Companies
-------------------------------
DFA International Value Portfolio. 100.0%
DOMESTIC EQUITY PORTFOLIO
U.S. Large Company Portfolio
Consumer Discretionary........ 10.6%
Consumer Staples.............. 10.4%
Energy........................ 13.0%
Financials.................... 13.9%
Health Care................... 11.3%
Industrials................... 11.2%
Information Technology........ 18.1%
Materials..................... 3.8%
Real Estate Investment Trusts. 1.4%
Telecommunication Services.... 3.0%
Utilities..................... 3.3%
------
100.0%
164
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
- -----
AFFILIATED INVESTMENT COMPANY -- (100.0%)..............
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $6,111,230,553
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $4,368,279,405)............................. $6,111,230,553
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note):
See accompanying Notes to Financial Statements.
165
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (95.3%)............
Consumer Discretionary -- (10.1%)...
*Amazon.com, Inc.................. 117,505 $23,089,733 0.6%
Comcast Corp. Class A............. 915,683 24,027,522 0.6%
*Ford Motor Co.................... 1,247,529 19,299,274 0.5%
Home Depot, Inc................... 540,479 20,073,390 0.5%
McDonald's Corp................... 344,077 26,944,670 0.6%
Walt Disney Co. (The)............. 626,308 26,993,875 0.6%
Other Securities.................. 292,691,826 7.0%
----------- ----
Total Consumer Discretionary........ 433,120,290 10.4%
----------- -----
Consumer Staples -- (9.9%)..........
Altria Group, Inc................. 689,932 18,517,775 0.4%
Coca-Cola Co. (The)............... 756,660 51,044,284 1.2%
Kraft Foods, Inc. Class A......... 576,792 19,368,675 0.5%
PepsiCo, Inc...................... 523,225 36,044,970 0.9%
Philip Morris International, Inc.. 592,690 41,156,394 1.0%
Procter & Gamble Co. (The)........ 923,692 59,947,611 1.4%
Wal-Mart Stores, Inc.............. 646,105 35,522,853 0.8%
Other Securities.................. 165,593,895 4.0%
----------- ----
Total Consumer Staples.............. 427,196,457 10.2%
----------- -----
Energy -- (12.4%)...................
Chevron Corp...................... 662,052 72,454,971 1.7%
ConocoPhillips.................... 471,494 37,215,021 0.9%
Exxon Mobil Corp.................. 1,635,334 143,909,392 3.5%
Occidental Petroleum Corp......... 268,076 30,638,406 0.7%
Schlumberger, Ltd................. 448,853 40,284,557 1.0%
Other Securities.................. 208,925,001 5.0%
----------- ----
Total Energy........................ 533,427,348 12.8%
----------- -----
Financials -- (13.3%)...............
Bank of America Corp.............. 3,337,932 40,989,805 1.0%
*Berkshire Hathaway, Inc.......... 570,860 47,552,638 1.1%
*Citigroup, Inc................... 9,582,606 43,984,162 1.1%
Goldman Sachs Group, Inc. (The)... 171,662 25,922,679 0.6%
JPMorgan Chase & Co............... 1,313,752 59,946,504 1.4%
Wells Fargo & Co.................. 1,737,400 50,575,714 1.2%
Other Securities.................. 302,646,908 7.3%
----------- ----
Total Financials.................... 571,618,410 13.7%
----------- -----
Health Care -- (10.8%)..............
Abbott Laboratories............... 510,389 26,560,644 0.7%
*Amgen, Inc....................... 307,521 17,482,569 0.4%
Johnson & Johnson................. 902,067 59,283,843 1.4%
Merck & Co., Inc.................. 1,016,793 36,553,708 0.9%
Pfizer, Inc....................... 2,636,804 55,267,412 1.3%
UnitedHealth Group, Inc........... 360,698 17,757,163 0.4%
Other Securities.................. 248,931,181 6.0%
----------- ----
Total Health Care................... 461,836,520 11.1%
----------- -----
Industrials -- (10.7%)..............
3M Co............................. 234,752 22,820,242 0.5%
Boeing Co. (The).................. 242,829 19,372,898 0.5%
Caterpillar, Inc.................. 210,682 24,314,810 0.6%
General Electric Co............... 3,501,952 71,614,918 1.7%
United Parcel Service, Inc........ 325,549 24,406,409 0.6%
United Technologies Corp.......... 303,564 27,193,263 0.6%
166
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
Industrials -- (Continued)............................................
Other Securities.................................................... $ 270,059,903 6.5%
-------------- -----
Total Industrials..................................................... 459,782,443 11.0%
-------------- -----
Information Technology -- (17.2%).....................................
*Apple, Inc......................................................... 303,835 105,804,462 2.5%
Cisco Sytems, Inc................................................... 1,823,119 32,013,970 0.8%
*EMC Corp........................................................... 682,217 19,334,030 0.5%
*Google, Inc........................................................ 82,709 45,001,967 1.1%
Hewlett-Packard Co.................................................. 717,160 28,951,749 0.7%
Intel Corp.......................................................... 1,809,929 41,972,254 1.0%
International Business Machines Corp................................ 402,200 68,607,276 1.6%
Microsoft Corp...................................................... 2,438,555 63,451,201 1.5%
Oracle Corp......................................................... 1,283,032 46,253,304 1.1%
QUALCOMM, Inc....................................................... 542,103 30,813,135 0.7%
Other Securities.................................................... 257,724,565 6.2%
-------------- -----
Total Information Technology.......................................... 739,927,913 17.7%
-------------- -----
Materials -- (3.6%)...................................................
E.I. du Pont de Nemours & Co........................................ 303,953 17,261,491 0.4%
Freeport-McMoRan Copper & Gold, Inc. Class B........................ 312,153 17,177,780 0.4%
Other Securities.................................................... 119,731,233 2.9%
-------------- -----
Total Materials....................................................... 154,170,504 3.7%
-------------- -----
Real Estate Investment Trusts -- (1.4%)...............................
Other Securities.................................................... 58,232,787 1.4%
-------------- -----
Telecommunication Services -- (2.8%)..................................
AT&T, Inc........................................................... 1,949,576 60,670,805 1.5%
Verizon Communications, Inc......................................... 932,691 35,237,066 0.8%
Other Securities.................................................... 26,284,062 0.6%
-------------- -----
Total Telecommunication Services...................................... 122,191,933 2.9%
-------------- -----
Utilities -- (3.1%)...................................................
Other Securities.................................................... 134,355,757 3.2%
-------------- -----
TOTAL COMMON STOCKS................................................... 4,095,860,362 98.1%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (1.6%)..................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares. 70,397,322 70,397,322 1.7%
-------------- -----
Shares/
Face
Amount
------------
(000)
SECURITIES LENDING COLLATERAL -- (3.1%).....................................................
(S)@DFA Short Term Investment Fund.......................................................... 131,029,372 131,029,372 3.2%
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $386,657 FNMA
3.50%, 02/01/26, valued at $388,767) to be repurchased at $377,445......................... $ 377 377,443 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 131,406,815 3.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,829,400,719)...................................................................... $4,297,664,499 103.0%
============== ======
167
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks......................
Consumer Discretionary............ $ 433,120,290 -- -- $ 433,120,290
Consumer Staples.................. 427,196,457 -- -- 427,196,457
Energy............................ 533,427,348 -- -- 533,427,348
Financials........................ 571,618,410 -- -- 571,618,410
Health Care....................... 461,836,520 -- -- 461,836,520
Industrials....................... 459,782,443 -- -- 459,782,443
Information Technology............ 739,927,913 -- -- 739,927,913
Materials......................... 154,170,504 -- -- 154,170,504
Real Estate Investment Trusts..... 58,232,787 -- -- 58,232,787
Telecommunication Services........ 122,191,933 -- -- 122,191,933
Utilities......................... 134,355,757 -- -- 134,355,757
Temporary Cash Investments......... 70,397,322 -- -- 70,397,322
Securities Lending Collateral...... -- $131,406,815 -- 131,406,815
Futures Contracts**................ 3,899,817 -- -- 3,899,817
-------------- ------------ -- --------------
TOTAL.............................. $4,170,157,501 $131,406,815 -- $4,301,564,316
============== ============ == ==============
** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the
unrealized appreciation/(depreciation) on the investment..........................
See accompanying Notes to Financial Statements.
168
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
April 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA
International U.S. Large
Value Company
Portfolio Portfolio
-------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value................................ $ 6,111,231 --
Investments at Value (including $0 and $127,106 of securities on loan, respectively). -- $ 4,095,860
Temporary Cash Investments at Value & Cost........................................... -- 70,397
Collateral Received from Securities on Loan at Value & Cost.......................... 378
Affiliated Collateral Received from Securities on Loan at Value & Cost............... 131,029
Cash................................................................................. -- 4,973
Receivables:........................................................................
Dividends and Interest.............................................................. -- 4,305
Securities Lending Income........................................................... -- 46
Fund Shares Sold.................................................................... 4,235 1,252
Futures Margin Variation............................................................ -- 265
Prepaid Expenses and Other Assets.................................................... 52 58
-------------- ------------
Total Assets...................................................................... 6,115,518 4,308,563
-------------- ------------
LIABILITIES:
Payables:............................................................................
Upon Return of Securities Loaned.................................................... -- 131,407
Affiliated Investment Company Purchased............................................. 984 --
Fund Shares Redeemed................................................................ 3,251 2,033
Due to Advisor...................................................................... 980 268
Accrued Expenses and Other Liabilities............................................... 241 399
-------------- ------------
Total Liabilities................................................................. 5,456 134,107
-------------- ------------
NET ASSETS $ 6,110,062 $ 4,174,456
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $6,455 and $0 and shares outstanding of
319,287 and 0, respectively........................................................ $ 20.22 N/A
============== ============
NUMBER OF SHARES AUTHORIZED.......................................................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $6,103,607 and $4,174,456 and
shares outstanding of 301,996,875 and 387,782,662, respectively $ 20.21 $ 10.76
============== ============
NUMBER OF SHARES AUTHORIZED.......................................................... 1,500,000,000 900,000,000
============== ============
Investment in Affiliated Investment Company at Cost.................................. $ 4,368,280 $ --
-------------- ------------
Investments at Cost.................................................................. $ -- $ 2,627,596
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital...................................................................... $ 5,314,575 $ 3,352,305
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................................... 45,950 9,493
Accumulated Net Realized Gain (Loss)................................................. (994,197) (659,506)
Net Unrealized Foreign Exchange Gain (Loss).......................................... 783 --
Net Unrealized Appreciation (Depreciation)........................................... 1,742,951 1,472,164
-------------- ------------
NET ASSETS $ 6,110,062 $ 4,174,456
============== ============
See accompanying Notes to Financial Statements.
169
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
DFA
International U.S. Large
Value Company
Portfolio* Portfolio
------------- ----------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $6,680 and $0, respectively)............. $ 85,264 $ 38,579
Interest............................................................................. 12 11
Income from Securities Lending....................................................... 4,398 251
Expenses Allocated from Affiliated Investment Company................................ (6,428) --
-------- --------
Total Investment Income............................................................ 83,246 38,841
-------- --------
Expenses
Investment Advisory Services Fees.................................................... -- 491
Administrative Services Fees......................................................... 5,582 982
Accounting & Transfer Agent Fees..................................................... 40 215
Shareholder Servicing Fees -- Class R2 Shares........................................ 8 --
S&P 500(R) Fees...................................................................... -- 23
Custodian Fees....................................................................... -- 27
Filing Fees.......................................................................... 58 40
Shareholders' Reports................................................................ 66 67
Directors'/Trustees' Fees & Expenses................................................. 34 26
Professional Fees.................................................................... 45 58
Other................................................................................ 21 14
-------- --------
Total Expenses..................................................................... 5,854 1,943
-------- --------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor
(Note C)........................................................................... -- 5
-------- --------
Net Expenses......................................................................... 5,854 1,948
-------- --------
Net Investment Income (Loss)......................................................... 77,392 36,893
-------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:.........................................................
Investment Securities Sold......................................................... 97,663 (23,983)
Futures............................................................................ -- 5,554
Foreign Currency Transactions...................................................... 941 --
Change in Unrealized Appreciation (Depreciation) of:.................................
Investment Securities and Foreign Currency......................................... 585,621 569,628
Futures............................................................................ -- 2,454
Translation of Foreign Currency Denominated Amounts................................ 261 --
-------- --------
Net Realized and Unrealized Gain (Loss).............................................. 684,486 553,653
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations $761,878 $590,546
======== ========
--------
* 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.
170
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International
Value Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:....................................................................
Net Investment Income (Loss)................................................. $ 77,392 $ 108,980
Capital Gain Distributions Received from Investment Securities............... -- --
Net Realized Gain (Loss) on:.................................................
Investment Securities Sold.................................................. 97,663 255,538
Futures..................................................................... -- --
Foreign Currency Transactions............................................... 941 (99)
Change in Unrealized Appreciation (Depreciation) of:.........................
Investment Securities and Foreign Currency.................................. 585,621 138,488
Futures..................................................................... -- --
Translation of Foreign Currency Denominated Amounts......................... 261 342
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations............ 761,878 503,249
---------- ----------
Distributions From:............................................................
Net Investment Income:.......................................................
Class R2 Shares............................................................. (42) (249)
Institutional Class Shares.................................................. (45,833) (107,160)
---------- ----------
Total Distributions........................................................ (45,875) (107,409)
---------- ----------
Capital Share Transactions (1):................................................
Shares Issued................................................................ 590,051 1,032,364
Shares Issued in Lieu of Cash Distributions.................................. 43,333 101,479
Shares Redeemed.............................................................. (402,134) (808,163)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions.................... 231,250 325,680
---------- ----------
Total Increase (Decrease) in Net Assets.................................... 947,253 721,520
Net Assets
Beginning of Period.......................................................... 5,162,809 4,441,289
---------- ----------
End of Period................................................................ $6,110,062 $5,162,809
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................................................ 31,421 62,742
Shares Issued in Lieu of Cash Distributions.................................. 2,346 6,675
Shares Redeemed.............................................................. (21,411) (49,142)
Shares Reduced by Reverse Stock Split (Note G)............................... (2) (453)
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed.................... 12,354 19,822
========== ==========
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income) $ 45,950 $ 14,433
U.S. Large
Company Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:....................................................................
Net Investment Income (Loss)................................................. $ 36,893 $ 43,125
Capital Gain Distributions Received from Investment Securities............... -- 81
Net Realized Gain (Loss) on:.................................................
Investment Securities Sold.................................................. (23,983) (88,214)
Futures..................................................................... 5,554 76
Foreign Currency Transactions............................................... -- --
Change in Unrealized Appreciation (Depreciation) of:.........................
Investment Securities and Foreign Currency.................................. 569,628 688,388
Futures..................................................................... 2,454 (3,735)
Translation of Foreign Currency Denominated Amounts......................... -- --
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations............ 590,546 639,721
---------- ----------
Distributions From:............................................................
Net Investment Income:.......................................................
Class R2 Shares............................................................. -- --
Institutional Class Shares.................................................. (37,031) (35,473)
---------- ----------
Total Distributions........................................................ (37,031) (35,473)
---------- ----------
Capital Share Transactions (1):................................................
Shares Issued................................................................ 317,842 3,071,799
Shares Issued in Lieu of Cash Distributions.................................. 31,108 30,048
Shares Redeemed.............................................................. (440,982) (778,811)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions.................... (92,032) 2,323,036
---------- ----------
Total Increase (Decrease) in Net Assets.................................... 461,483 2,927,284
Net Assets
Beginning of Period.......................................................... 3,712,973 785,689
---------- ----------
End of Period................................................................ $4,174,456 $3,712,973
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................................................ 31,384 350,368
Shares Issued in Lieu of Cash Distributions.................................. 3,134 3,492
Shares Redeemed.............................................................. (44,115) (52,726)
Shares Reduced by Reverse Stock Split (Note G)............................... -- --
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed.................... (9,597) 301,134
========== ==========
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income) $ 9,493 $ 9,631
See accompanying Notes to Financial Statements.
171
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio- DFA International Value Portfolio-
Class R2 Shares+ Institutional Class Shares
------------------------------------------- ----------------------------------------
Period
April 30,
Six Months Year Year 2008(a) Six Months Year Year
Ended Ended Ended to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, April 30, Oct. 31, Oct. 31,
2011 2010 2009 2008 2011 2010 2009
----------- -------- -------- --------- ----------- ---------- ----------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period........................ $17.82 $17.13 $13.58 $ 26.31 $ 17.81 $ 16.46 $ 12.54
------ ------ ------ ------- ---------- ---------- ----------
Income from Investment
Operations....................
Net Investment Income
(Loss)...................... 0.24(A) 0.37(A) 0.42(A) 0.66(A) 0.26(A) 0.39(A) 0.40(A)
Net Gains (Losses) on
Securities (Realizedand
Unrealized)................. 2.29 1.29 4.10 (11.73) 2.30 1.34 3.92
------ ------ ------ ------- ---------- ---------- ----------
Total from Investment
Operations................. 2.53 1.66 4.52 (11.07) 2.56 1.73 4.32
Less Distributions.............
Net Investment Income........ (0.13) (0.97) (0.97) (1.66) (0.16) (0.38) (0.40)
Net Realized Gains........... -- -- -- -- -- -- --
------ ------ ------ ------- ---------- ---------- ----------
Total Distributions......... (0.13) (0.97) (0.97) (1.66) (0.16) (0.38) (0.40)
------ ------ ------ ------- ---------- ---------- ----------
Net Asset Value, End of
Period........................ $20.22 $17.82 $17.13 $ 13.58 $ 20.21 $ 17.81 $ 16.46
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Total Return................... 14.34%(C) 10.60% 34.86% (44.63)%(C) 14.44%(C) 10.94% 35.11%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $6,455 $4,952 $3,443 $ 3,372 $6,103,607 $5,157,857 $4,437,846
Ratio of Expenses to Average 0.44%(B)
Net Assets (D)................ 0.71%(B) 0.72% 0.74% 0.73%(B)(E) 0.45% 0.46%
Ratio of Net Investment Income 2.80%(B)
to Average Net Assets......... 2.56%(B) 2.11% 2.96% 7.47%(B)(E) 2.34% 3.00%
---------------------------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio-
Institutional Class Shares
---------------------------------------------------
Period
Dec. 1, Year Year Year
2007 to Ended Ended Ended
Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2008 2007 2006 2005
---------- -------- ---------- ----------
Net Asset Value, Beginning of
Period........................ $ 25.51 $22.71 $ 17.67 $ 15.73
---------- ------ ---------- ----------
Income from Investment
Operations....................
Net Investment Income
(Loss)...................... 0.74(A) 0.72(A) 0.66(A) 0.48
Net Gains (Losses) on
Securities (Realizedand
Unrealized)................. (12.44) 3.09 5.37 1.89
---------- ------ ---------- ----------
Total from Investment
Operations................. (11.70) 3.81 6.03 2.37
Less Distributions.............
Net Investment Income........ (0.78) (0.63) (0.65) (0.42)
Net Realized Gains........... (0.49) (0.38) (0.34) (0.01)
---------- ------ ---------- ----------
Total Distributions......... (1.27) (1.01) (0.99) (0.43)
---------- ------ ---------- ----------
Net Asset Value, End of
Period........................ $ 12.54 $25.51 $ 22.71 $ 17.67
------------------------------------------------------------------------------------
------------------------------------------------------------------------------------
Total Return................... (47.96)%(C) 17.09% 35.39% 15.40%
------------------------------------------------------------------------------------
Net Assets, End of Period $3,350,073
(thousands)................... $6,262,069 $4,456,059 $2,518,457
Ratio of Expenses to Average
Net Assets (D)................ 0.44%(B) 0.44% 0.44% 0.48%
Ratio of Net Investment Income
to Average Net Assets......... 3.86%(B) 2.89% 3.25% 2.86%
------------------------------------------------------------------------------------
+All per share amounts and net assets values have been adjusted as a result of
the reverse stock split on November 19, 2010. (Note G)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
172
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Company Portfolio
----------------------------------------------------------------------
Six Months Year Year Period Year
Ended Ended Ended Dec. 1, 2007 Ended
April 30, Oct. 31, Oct. 31, to Nov. 30,
2011 2010 2009 Oct. 31, 2008 2007
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 9.34 $ 8.16 $ 7.62 $ 11.63 $ 11.00
---------- ---------- -------- -------- ----------
Income from Investment Operations.................
Net Investment Income (Loss).................... 0.09(A) 0.18(A) 0.18(A) 0.20(A) 0.22(A)
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.43 1.15 0.55 (3.99) 0.62
---------- ---------- -------- -------- ----------
Total from Investment Operations............... 1.52 1.33 0.73 (3.79) 0.84
------------------------------------------------------------------------------------------------------------------------------
Less Distributions................................
Net Investment Income........................... (0.10) (0.15) (0.19) (0.22) (0.21)
---------- ---------- -------- -------- ----------
Total Distributions............................ (0.10) (0.15) (0.19) (0.22) (0.21)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 10.76 $ 9.34 $ 8.16 $ 7.62 $ 11.63
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
Total Return...................................... 16.31%(C) 16.47% 10.07% (33.10)%(C) 7.71%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $4,174,456 $3,712,973 $785,689 $729,218 $1,002,142
Ratio of Expenses to Average Net Assets........... 0.10%(B) 0.10%** 0.10%(D) 0.10%(B)(D) 0.10%(D)
Ratio of Expenses to Average Net Assets
(Excluding Waiversand Assumption of
Expenses and/or Recovery of Previously
Waived Fees)..................................... 0.10%(B) 0.11%** 0.13%(D) 0.11%(B)(D) 0.11%(D)
Ratio of Net Investment Income to Average Net
Assets........................................... 1.89%(B) 1.99% 2.53% 2.10%(B) 1.90%
Portfolio Turnover Rate........................... 2%(C) 1%* N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------------
U.S. Large Company Portfolio
------------------------
Year Year
Ended Ended
Nov. 30, Nov. 30,
2006 2005
-------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.............. $ 9.82 $ 9.23
-------- --------
Income from Investment Operations.................
Net Investment Income (Loss).................... 0.19(A) 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.18 0.61
-------- --------
Total from Investment Operations............... 1.37 0.78
-------------------------------------------------------------------------------
Less Distributions................................
Net Investment Income........................... (0.19) (0.19)
-------- --------
Total Distributions............................ (0.19) (0.19)
-------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 11.00 $ 9.82
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Total Return...................................... 14.11% 8.50%
-------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $877,405 $692,595
Ratio of Expenses to Average Net Assets........... 0.10%(D) 0.10%(D)
Ratio of Expenses to Average Net Assets
(Excluding Waiversand Assumption of
Expenses and/or Recovery of Previously
Waived Fees)..................................... 0.11%(D) 0.14%(D)
Ratio of Net Investment Income to Average Net
Assets........................................... 1.90% 1.82%
Portfolio Turnover Rate........................... N/A N/A
-------------------------------------------------------------------------------
* For the period September 10, 2010 through October 31, 2010. Effective
September 10, 2010, the Portfolio directly invests in securities rather than
through The U.S. Large Company Series.
** Represents the combined ratios for the portfolio and for the period
November 1, 2009 through September 9, 2010, its respective pro-rata share of
The U.S. Large Company Series.
See Page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
173
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, of which DFA International Value Portfolio and U.S. Large Company
Portfolio (the "Portfolios") are presented in this section of the report. The
remaining portfolios are presented in separate reports.
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
Series of The DFA Investment Trust Company. At April 30, 2011, DFA
International Value Portfolio owned 75% of the Series. The financial statements
of the Series are included elsewhere in this report and should be read in
conjunction with the financial statements of the Portfolio.
Class R2 shares of DFA International Value Portfolio commenced operations on
April 30, 2008.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
On March 1, 2010, the Board of Directors of DFA Investment Dimensions Group
Inc. and of Dimensional Investment Group Inc. approved an Agreement and Plan of
Reorganization (the "Plan") which provided that (i) U.S. Large Company
Institutional Index Portfolio (the "Acquiring Fund"), a portfolio of
Dimensional Investment Group Inc. would acquire substantially all of the assets
of U.S. Large Company Portfolio (the "Target Fund"), a portfolio of DFA
Investment Dimensions Group Inc. in exchange solely for shares of capital stock
of the Acquiring Fund; (ii) the shares of the Acquiring Fund would be
distributed to the shareholders of the Target Fund according to their
respective interests in the Target Fund; and (iii) the Target Fund would be
liquidated and dissolved (the "Reorganization"). In conjunction with completing
the Reorganization, the Acquiring Fund would change its name to "U.S. Large
Company Portfolio." The Reorganization took place on May 7, 2010 and the
Acquiring Fund changed its name to U.S. Large Company Portfolio effective
May 8, 2010.
The purpose of the transaction was to lower fees for the shareholders of the
Target Fund and create operating efficiencies from economies of scale.
The Reorganization was accomplished by a tax-free exchange of the following
shares on May 7, 2010:
Target Value
Fund Shares Acquiring Fund Shares (in thousands)
------------------ ---------- ------------------------------ ----------- --------------
U.S. Large........ U.S. Large Company............
Company Portfolio. 83,482,168 Institutional Index Portfolio. 311,973,980 $2,731,987
174
The net assets, including net unrealized appreciation (depreciation) of the
Target Fund, immediately before the acquisition were as follows (in thousands):
Target Unrealized Appreciation
Fund Net Assets (Depreciation) Acquiring Fund Net Assets
------------------ ---------- ----------------------- ------------------------------ ----------
U.S. Large........ U.S. Large Company............
Company Portfolio. $2,731,987 $315,984 Institutional Index Portfolio. $870,696
Assuming the acquisition had been completed on November 1, 2009, U.S. Large
Company Portfolio's result of operations for the year ended October 31, 2010
would have been as follows (in thousands):
Net Investment Income.................................. $ 71,681(a)
Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b)
--------
Net Increase in Net Assets Resulting from Operations... $572,754
========
(a)$43,125 as reported in the Statement of Operations, plus $27,799 Net
Investment Income from U.S. Large Company Portfolio pre-merger, plus $757
of pro-forma eliminated expenses.
(b)$596,596 as reported in the Statement of Operations, less $95,523 Net
Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company
Portfolio pre-merger.
Because both U.S. Large Company Portfolio and U.S. Large Company
Institutional Index Portfolio sold and redeemed shares throughout the period,
it is not practicable to provide pro-forma information on a per-share basis.
Prior to September 10, 2010, U.S. Large Company Portfolio invested
substantially all of its assets in shares of The U.S. Large Company Series. At
the close of business on September 9, 2010, U.S. Large Company Portfolio
received its pro-rata share of cash and securities from The U.S. Large Company
Series in a complete liquidation of its interest in the Series. Effective
September 10, 2010, U.S. Large Company Portfolio invests directly in securities
rather than through the Series and maintains the same investment objective.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Portfolios utilize a fair value heirarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk, etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
DFA International Value Portfolio's investment reflects its proportionate
interest in the net assets of the Series. These valuations are classified as
Level 1 in the hierarchy.
175
Securities held by U.S. Large Company Portfolio, including
over-the-counter securities, are valued at the last quoted sale price of the
day. Securities held by U.S. Large Company Portfolio that are listed on
Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is
no last reported sale price or NOCP for the day, U.S. Large Company
Portfolio values the securities at the mean of the most recent quoted bid
and asked prices. Price information on listed securities is taken from the
exchange where the security is primarily traded. Generally, securities
issued by open-end investment companies are valued using their respective
net asset values or public offering prices, as appropriate, for purchase
orders placed at the close of the New York Stock Exchange (NYSE). These
securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available
(including restricted securities), or for which market quotations have
become unreliable, are valued in good faith at fair value in accordance with
procedures adopted by the Board of Directors/Trustees. These securities are
generally categorized as Level 2 in the hierarchy. Fair value pricing may
also be used if events that have a significant effect on the value of an
investment (as determined in the discretion of the Investment Committee of
the Advisor) occur before the net asset value is calculated. When fair value
pricing is used, the prices of securities used by the Portfolio may differ
from the quoted or published prices for the same securities on their primary
markets or exchanges.
Futures contracts held by U.S. Large Company Portfolio are valued using
the settlement price established each day on the exchange on which they are
traded. These valuations are generally categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed at the end of the
Schedules of Investments. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2011.
2. Deferred Compensation Plan: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under
the Plan, effective January 1, 2002, such Directors may defer payment of all
or a portion of their total fees earned as a Director. These deferred
amounts may be treated as though such amounts had been invested in shares of
the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1
Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S.
Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day
of January following the year in which such Director ceases to be a member
of the Board of the Fund; and (ii) five years following the effective date
of the Director's first deferral election. If a Director who elects to defer
fees fails to designate in the Notice a time or date as of which payment of
the Director's deferred fee account shall commence, payment of such amount
shall commence as of the first business day of January following the year in
which the Director ceases to be a member of the Board of the Fund (unless
the Director files an amended Notice selecting a different distribution
date). As of April 30, 2011, none of the Directors have requested or
received a distribution of proceeds of a deferred fee account.
3. Other: The Feeder Fund recognizes its pro-rata share, on a daily
basis, of net investment income and realized and unrealized gains and losses
of investment securities from the Series, which is treated as a partnership
for federal income tax purposes. Dividend income and distributions to
shareholders are recorded on the ex-dividend date. Distributions received on
securities that represent a return of capital or capital gain are recorded
as a reduction of cost of investments or as a realized gain, respectively.
The Feeder Fund estimates the character of distributions received that may
be considered return of capital distributions. Expenses directly
attributable to the Feeder Fund are
176
directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors/Trustees, generally based on average net
assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of the Feeder Fund. Income, gains and losses, and common expenses
of the Feeder Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolios, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Portfolios and the Series. The Advisor
receives no additional compensation for the investment advisory services it
provides to the Feeder Fund. For the six months ended April 30, 2011, the
Portfolios' administrative services fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
DFA International Value Portfolio. 0.20%
U.S. Large Company Portfolio...... 0.05%
For the six months ended April 30, 2011, the Portfolio's investment advisory
fees were accrued daily and paid monthly to the Advisor based on the following
effective annual rates of average daily net assets:
U.S. Large Company Portfolio. 0.025%
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has
contractually agreed to waive certain fees, including administration/advisory
fees, and in certain instances, assume certain expenses of the Portfolios, as
described in the notes below. The Fee Waiver and Expense Assumption Agreement
for the Portfolios below will remain in effect through February 28, 2012, and
shall continue in effect from year to year thereafter unless terminated by the
Fund or the Advisor. For the six months ended April 30, 2011, the Portfolios
had expense limits based on a percentage of average net assets on an annualized
basis, and the Advisor recovered previously waived fees and/or expenses assumed
as listed below (amounts in thousands). The Portfolios are not obligated to
reimburse the Advisor for fees previously waived or expenses previously assumed
by the Advisor more than thirty-six months before the date of recovery.
Previously
Recovery Waived Fees/
of Previously Expenses Assumed
Expense Waived Fees/ Subject to Future
Limits Expenses Assumed Recovery
------- ---------------- -----------------
DFA International Value Portfolio -- Class R2 Shares (1). 0.79% -- --
U.S. Large Company Portfolio (2)......................... 0.10% $ 5 $615
(1) The Advisor has contractually agreed to assume the Portfolio's direct
expenses (excluding administration fees and custodian fees) to the extent
necessary to limit the expenses (excluding the expenses the Portfolio incurs
indirectly through investment in other investment companies) of the Class R2
shares of the Portfolio to the rate listed above as a percentage of average net
assets on an annualized basis. At any time that the annualized expenses of the
Portfolio are less than the rate listed above for the Portfolio, the Advisor
retains the right to recover any fees previously waived and/or expenses
previously assumed to the extent that such recovery will not cause the
Portfolio's Class R2 shares' annualized expenses to exceed the applicable
percentage of average net assets as listed above.
(2) The Advisor has contractually agreed to waive all or a portion of its
administration fee to the extent necessary to reduce the ordinary operating
expenses (not including expenses incurred through investment in other
investment companies) ("Portfolio Expenses"), so that such Portfolio Expenses
do not exceed the rate listed above as a percentage of average net assets on an
annualized basis. At any time that the annualized expenses of the Portfolio are
less than the rate listed above for the Portfolio, the Advisor retains the
right to recover any fees previously waived and/or expenses previously assumed
to the extent that such recovery will not cause the Portfolio's annualized
expenses to exceed the applicable percentage of average net assets on an
annualized basis, as listed above.
177
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the Fund to the CCO were $16 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follow (amounts in thousands):
DFA International Value Portfolio. $142
U.S. Large Company Portfolio...... 211
E. Purchases and Sales of Securities:
For the six months ended April 30, 2011, U.S. Large Company Portfolio made
the following purchases and sales of investment securities, other than
short-term securities and U.S. government securities (amounts in thousands):
Purchases. $ 75,482
Sales..... 189,643
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and from net realized capital gains
are determined in accordance with U.S. federal income tax regulations, which
may differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income, accumulated net realized gains or unrealized appreciation,
as appropriate, in the period that the differences arise. Accordingly, the
following permanent differences as of October 31, 2010, primarily attributable
to distribution of assets and liabilities by a partnership in complete
liquidation and the expiration of capital loss carryforwards, were reclassified
to the following accounts. These reclassifications had no effect on net assets
or net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In-Capital Income Gains (Losses)
--------------- -------------- --------------
DFA International Value Portfolio. -- $ (99) $ 99
U.S. Large Company Portfolio...... $453,344 (147) (453,197)
178
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2009 and October 31, 2010 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
DFA International Value Portfolio
2009.............................. $105,700 -- $105,700
2010.............................. 107,409 -- 107,409
U.S. Large Company Portfolio
2009.............................. 18,243 -- 18,243
2010.............................. 35,473 -- 35,473
At October 31, 2010, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Earnings
Short-Term Long-Term Capital Loss (Accumulated
Capital Gains Capital Gains Caryforward Losses)
-------------- ------------- ------------ -------------
DFA International Value Portfolio. $14,594 -- $(1,092,654) $(1,078,060)
U.S. Large Company Portfolio...... 9,826 -- (386,326) (376,500)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of October 31, 2010, the Portfolios had capital loss carryforwards available
to offset future realized capital gains through the indicated expiration date
(amounts in thousands):
Expires on October 31,
---------------------------------------------------------------------------
2011 2012 2013 2014 2015 2016 2017 2018 Total
------- ------ ------- ------ ------- ---------- ------- ------- ----------
DFA International Value Portfolio. -- -- -- -- -- $1,092,654 -- -- $1,092,654
U.S. Large Company Portfolio...... $13,997 $5,486 $10,569 $1,944 $86,015 100,024 $87,500 $80,791 386,326
For the year ended October 31, 2010, DFA International Value Portfolio had
utilized capital loss carryforwards to offset realized capital gains for
federal income tax purposes of $255,554 (in thousands).
For the period ended October 31, 2010, U.S. Large Company Portfolio had
capital loss carryforward expirations of $42,619 (in thousands).
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------- ------------ -------------- --------------
DFA International Value Portfolio. $4,368,433 $1,813,659 $ (70,861) $1,742,798
U.S. Large Company Portfolio...... 3,030,598 1,640,955 (373,889) 1,267,066
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax postions and has concluded that no provision for income tax is required in
the Portfolios' financial statements. The Portfolios are not aware of any tax
positions for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next six months. The
Portfolios' federal tax returns for the prior three fiscal years remains
subject to examination by the Internal Revenue Service.
179
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
Certain prior year balances have been reclassified to conform with current
year presentations. Such reclassfications impacted the paid-in-capital,
undistributed net investment income/distributions in excess of net investment
income and accumulated net realized gain/loss components of net assets on the
statement of assets and liabilities of U.S. Large Company Portfolio. These
reclassifications had no impact on net assets, net asset value, the financial
highlights or total return.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Year
Ended Ended
April 30, 2011 Oct. 31, 2010
------------------ -------------------
Amount Shares Amount Shares
--------- ------- ---------- -------
DFA International Value Portfolio.....................
Class R2 Shares
Shares Issued........................................ $ 2,878 158 $ 2,443 375
Shares Issued in Lieu of Cash Distributions.......... 42 2 249 43
Shares Redeemed...................................... (2,133) (117) (1,361) (215)
Shares Reduced by Reverse Stock Split................ -- (2) -- (453)
--------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 787 41 $ 1,331 (250)
========= ======= ========== =======
Institutional Class Shares
Shares Issued........................................ $ 587,173 31,263 $1,029,921 62,367
Shares Issued in Lieu of Cash Distributions.......... 43,291 2,344 101,230 6,632
Shares Redeemed...................................... (400,001) (21,294) (806,802) (48,927)
--------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 230,463 12,313 $ 324,349 20,072
========= ======= ========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of
Recapitalization of DFA International Value Portfolio's Class R2 Shares. On
November 19, 2010, a reverse stock split was executed whereby each shareholder
of Class R2 Shares received one share for every 2.631 shares held. The purpose
of the reverse split was to reduce the number of Class R2 Shares, thereby
increasing the net asset value of each Class R2 Share outstanding in order to
more closely align the net asset value with the net asset value of DFA
International Value Portfolio's Institutional Class Shares. The per share data
in the financial highlights, capital share activity in the statements of
changes in net assets and the outstanding shares and net asset value as of
October 31, 2010 in the statement of assets and liabilities have been
retroactively restated to reflect the reverse stock splits for the respective
Class R2 Shares.
180
H. Financial Instruments:
In accordance with U.S. Large Company Portfolio investment objectives and
policies, U.S. Large Company Portfolio may invest in certain financial
instruments that have off-balance sheet risk in excess of the amounts
recognized in the financial statements and concentrations of credit and market
risk. These instruments and their significant corresponding risks are described
below:
1. Repurchase Agreements: U.S. Large Company Portfolio may purchase certain
U.S. Government securities subject to the counterparty's agreement to
repurchase them at an agreed upon date and price. The counterparty will be
required on a daily basis to maintain the value of the collateral subject to
the agreement at not less than the repurchase price (including accrued
interest). The agreements are conditioned upon the collateral being deposited
under the Federal Reserve book-entry system with the Trust's custodian or a
third party sub-custodian. In the event of default or bankruptcy by the other
party to the agreement, retention of the collateral may be subject to legal
proceedings. All open repurchase agreements were entered into on April 29, 2011.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a fund uses derivatives, how derivatives are accounted
for and how derivative instruments affect a fund's results of operations and
financial position. Summarized below are the specific types of derivative
instruments used by the Series.
2. Futures Contracts: U.S. Large Company Portfolio may enter into futures
contracts to gain market exposure on uninvested cash pending investment in
securities or to maintain liquidity to pay redemptions. Upon entering into a
futures contract, U.S. Large Company Portfolio deposits cash or pledges U.S.
Government securities to a broker, equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by U.S. Large Company
Portfolio as unrealized gains or losses until the contracts are closed. When
the contracts are closed, U.S. Large Company Portfolio record a realized gain
or loss, which is presented in the Statements of Operations as a net realized
gain or loss on futures, equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that U.S. Large Company Portfolio could
lose more than the initial margin requirements. Portfolios entering into stock
index futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At April 30, 2011, U.S. Large Company Portfolio had outstanding futues
contracts (dollar amounts in thousands):
Approximate
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
----------- ---------- ---------- -------- ----------- -----------
U.S. Large Company Portfolio. S&P 500 (R) Index 06/17/2011 221 $75,123 $3,900 $4,973
*During the six months ended April 30, 2011, U.S. Large Company Portfolio's
average notional value of outstanding futures contracts was $57,060 (in
thousands).
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period. The following is a summary of U.S. Large Company
Portfolio's derivative instrument holdings for the six months ended April 30,
2011.
181
The following is a summary of U.S. Large Company Portfolio's location and
value of derivative instrument holdings on U.S. Large Compnay Portfolio's
Statements of Assets and Liabilities categorized by primary risk exposure as of
April 30, 2011 (amounts in thousands):
Asset Derivatives Value
- -----------------------
Location on the Statements
of Assets and Equity
Liabilities Contracts
-------------------------- -----------------------
Receivables: Futures
U.S. Large Company Portfolio. Margin Variation $3,900*
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets
and Liabilities.
The following is a summary of the location of realized and change in
unrealized gains and losses on U.S. Large Company Portfolio's Statement of
Operations for U.S. Large Company Portfolio's derivative instrument holdings
through the six months ended April 30, 2011:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- -----------------------------------------------------------
Equity contracts. Net Realized Gain (Loss) on: Futures Change in Unrealized
Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from U.S. Large Company Portfolio's direct investment in derivative
instrument holdings categorized by primary risk exposure for the six months
ended April 30, 2011 (amounts in thousands):
Realized Gain (Loss)
on Derivatives
Recognized in Income
--------------------------------
Equity
Contracts
--------------------------------
U.S. Large Company Portfolio. $5,554
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
--------------------------------
Equity
Contracts
--------------------------------
U.S. Large Company Portfolio. $2,454
I. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed upon by the parties at the time of borrowings. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is
currently negotiating a new $250 million unsecured discretionary line of credit
with The Bank of New York Mellon, an affiliate of its domestic
custodian bank, to replace the existing line of credit. The Fund anticipates
the new line
182
of credit will have substantially the same terms and conditions as the existing
line of credit. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2011.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement of the line of credit expires on
January 13, 2012.
For the six months ended April 30, 2011, borrowings by the Portfolios under
this line of credit were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
U.S. Large Company Portfolio. 0.92% $9,899 2 $1 $12,782
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended that each Series' available line of credit was
utilized.
There were no outstanding borrowings by the Portfolios under this line of
credit as of April 30, 2011.
J. Securities Lending:
As of April 30, 2011, U.S. Large Company Portfolio had securities on loan to
brokers/dealers, for which the Portfolio receives cash collateral. The
Portfolio invests its cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral equal to at least (i) 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) 102% of the current market value of the loaned securities with respect to
U.S. securities, and (iii) 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolio's collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities.
Subject to its stated investment policies, the Portfolio will generally
invest its cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. The Portfolio also may invest the cash collateral received for the
loaned securities in securities of the U.S. government or its agencies,
repurchase agreements collateralized by securities of the U.S. government or
its agencies, and affiliated and unaffiliated registered and unregistered money
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, the Portfolio
will be able to terminate the loan at any time and will receive reasonable
interest on the loan, as well as amounts equal to any dividends, interest or
other distributions on the loaned securities. However, dividend income received
from loaned securities may not be eligible to be taxed at qualified dividend
income rates.
183
K. Shareholder Servicing Fees:
The Class R2 Shares pay a shareholder servicing fee in the amount of 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the DFA International Value Portfolio Class R2 Shares.
L. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
M. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
N. Other:
At April 30, 2011, the following number of shareholders held the following
approximate percentages of outstanding shares of the Portfolios. One or more of
the shareholders is an omnibus account, which typically holds shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Oustanding
Shareholders Shares
------------ -------------
DFA International Value Portfolio -- Class R2 Shares............ 2 68%
DFA International Value Portfolio -- Institutional Class Shares. 2 46%
U.S. Large Company Portfolio.................................... 2 66%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
184
O. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
185
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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000
= 7.5), then multiply the result by the number given for your fund under
the heading "Expenses Paid During Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
Actual Fund Return................. $1,000.00 $1,220.56 0.12% $0.66
Hypothetical 5% Annual Return...... $1,000.00 $1,024.20 0.12% $0.60
The DFA International Value Series
Actual Fund Return................. $1,000.00 $1,146.18 0.23% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
186
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
The Japanese Small Company Series
---------------------------------
Actual Fund Return.................. $1,000.00 $1,118.48 0.14% $0.74
Hypothetical 5% Annual Return....... $1,000.00 $1,024.10 0.14% $0.70
The Asia Pacific Small Company Series
-------------------------------------
Actual Fund Return.................. $1,000.00 $1,136.55 0.16% $0.85
Hypothetical 5% Annual Return....... $1,000.00 $1,024.00 0.16% $0.80
The United Kingdom Small Company Series
---------------------------------------
Actual Fund Return.................. $1,000.00 $1,170.60 0.12% $0.65
Hypothetical 5% Annual Return....... $1,000.00 $1,024.20 0.12% $0.60
The Continental Small Company Series
------------------------------------
Actual Fund Return.................. $1,000.00 $1,203.33 0.14% $0.76
Hypothetical 5% Annual Return....... $1,000.00 $1,024.10 0.14% $0.70
The Canadian Small Company Series
---------------------------------
Actual Fund Return.................. $1,000.00 $1,254.73 0.14% $0.78
Hypothetical 5% Annual Return....... $1,000.00 $1,024.10 0.14% $0.70
The Emerging Markets Series
---------------------------
Actual Fund Return.................. $1,000.00 $1,117.61 0.19% $1.00
Hypothetical 5% Annual Return....... $1,000.00 $1,023.85 0.19% $0.95
The Emerging Markets Small Cap Series
-------------------------------------
Actual Fund Return.................. $1,000.00 $1,064.47 0.30% $1.54
Hypothetical 5% Annual Return....... $1,000.00 $1,023.31 0.30% $1.51
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
187
DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 31, 2011. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
The U.S. Large Cap Value Series
Consumer Discretionary..... 16.3%
Consumer Staples........... 7.7%
Energy..................... 17.5%
Financials................. 21.3%
Health Care................ 10.0%
Industrials................ 13.3%
Information Technology..... 3.4%
Materials.................. 3.0%
Telecommunication Services. 6.3%
Utilities.................. 1.2%
-----
100.0%
The DFA International Value Series
Consumer Discretionary..... 15.4%
Consumer Staples........... 5.7%
Energy..................... 11.5%
Financials................. 30.3%
Health Care................ 1.5%
Industrials................ 9.6%
Information Technology..... 2.8%
Materials.................. 12.7%
Other...................... --
Telecommunication Services. 7.1%
Utilities.................. 3.4%
-----
100.0%
The Japanese Small Company Series
Consumer Discretionary... 22.8%
Consumer Staples......... 9.5%
Energy................... 1.1%
Financials............... 10.6%
Health Care.............. 4.5%
Industrials.............. 27.5%
Information Technology... 11.3%
Materials................ 12.2%
Utilities................ 0.5%
-----
100.0%
188
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
The Asia Pacific Small Company Series
Consumer Discretionary........ 23.3%
Consumer Staples.............. 3.8%
Energy........................ 5.9%
Financials.................... 12.4%
Health Care................... 5.1%
Industrials................... 22.4%
Information Technology........ 3.9%
Materials..................... 17.2%
Other......................... --
Real Estate Investment Trusts. 0.1%
Telecommunication Services.... 2.0%
Utilities..................... 3.9%
------
100.0%
The Canadian Small Company Series
Consumer Discretionary........ 10.0%
Consumer Staples.............. 2.4%
Energy........................ 25.3%
Financials.................... 6.9%
Health Care................... 3.1%
Industrials................... 9.9%
Information Technology........ 5.6%
Materials..................... 34.7%
Real Estate Investment Trusts. 0.1%
Telecommunication Services.... 0.3%
Utilities..................... 1.7%
------
100.0%
The United Kingdom Small Company Series
Consumer Discretionary.......... 21.4%
Consumer Staples................ 4.2%
Energy.......................... 5.5%
Financials...................... 13.1%
Health Care..................... 1.7%
Industrials..................... 31.2%
Information Technology.......... 11.1%
Materials....................... 7.1%
Other........................... --
Real Estate Investment Trusts... --
Telecommunication Services...... 1.8%
Utilities....................... 2.9%
------
100.0%
The Emerging Markets Series
Consumer Discretionary.......... 7.1%
Consumer Staples................ 8.2%
Energy.......................... 15.2%
Financials...................... 21.1%
Health Care..................... 0.7%
Industrials..................... 6.6%
Information Technology.......... 14.1%
Materials....................... 14.9%
Other........................... --
Real Estate Investment Trusts... 0.1%
Telecommunication Services...... 8.9%
Utilities....................... 3.1%
------
100.0%
The Continental Small Company Series
Consumer Discretionary........ 14.8%
Consumer Staples.............. 6.7%
Energy........................ 5.2%
Financials.................... 17.0%
Health Care................... 7.7%
Industrials................... 25.7%
Information Technology........ 10.2%
Materials..................... 9.4%
Other......................... --
Real Estate Investment Trusts. 0.1%
Telecommunication Services.... 1.1%
Utilities..................... 2.1%
------
100.0%
The Emerging Markets Small Cap Series
Consumer Discretionary........ 19.0%
Consumer Staples.............. 10.5%
Energy........................ 1.7%
Financials.................... 16.6%
Health Care................... 4.8%
Industrials................... 16.5%
Information Technology........ 9.9%
Materials..................... 16.0%
Other......................... 0.1%
Real Estate Investment Trusts. 0.1%
Telecommunication Services.... 1.0%
Utilities..................... 3.8%
------
100.0%
189
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (95.1%)...................
Consumer Discretionary -- (15.5%)..........
Carnival Corp............................ 2,260,335 $ 86,050,953 0.8%
CBS Corp. Class B........................ 3,870,469 97,613,228 0.9%
Comcast Corp. Class A.................... 11,535,742 302,697,870 2.9%
Comcast Corp. Special Class A............ 3,843,964 94,369,316 0.9%
*Liberty Media Corp. Interactive Class A. 3,585,265 62,670,432 0.6%
#News Corp. Class A...................... 9,024,175 160,810,799 1.6%
#News Corp. Class B...................... 3,247,295 61,373,876 0.6%
#Time Warner Cable, Inc.................. 2,004,056 156,576,895 1.5%
#Time Warner, Inc........................ 6,251,359 236,676,452 2.3%
Other Securities......................... 435,275,174 4.2%
-------------- -----
Total Consumer Discretionary............... 1,694,114,995 16.3%
-------------- -----
Consumer Staples -- (7.3%).................
Archer-Daniels-Midland Co................ 2,981,045 110,358,286 1.0%
CVS Caremark Corp........................ 6,816,437 247,027,677 2.4%
Kraft Foods, Inc. Class A................ 6,193,330 207,972,021 2.0%
Other Securities......................... 235,468,214 2.3%
-------------- -----
Total Consumer Staples..................... 800,826,198 7.7%
-------------- -----
Energy -- (16.6%)..........................
Anadarko Petroleum Corp.................. 2,773,608 218,948,616 2.1%
Chesapeake Energy Corp................... 3,174,634 106,889,927 1.0%
#Chevron Corp............................ 639,240 69,958,426 0.7%
ConocoPhillips........................... 5,825,280 459,789,350 4.4%
Hess Corp................................ 1,453,921 124,979,049 1.2%
Marathon Oil Corp........................ 3,514,978 189,949,411 1.8%
National-Oilwell, Inc.................... 1,945,893 149,230,534 1.4%
#Pioneer Natural Resources Co............ 577,949 59,083,726 0.6%
#Valero Energy Corp...................... 2,742,854 77,622,768 0.7%
Other Securities......................... 359,665,592 3.5%
-------------- -----
Total Energy............................... 1,816,117,399 17.4%
-------------- -----
Financials -- (20.3%)......................
Bank of America Corp..................... 21,876,033 268,637,685 2.6%
Capital One Financial Corp............... 2,343,277 128,247,550 1.2%
*Citigroup, Inc.......................... 78,417,143 359,934,686 3.5%
CME Group, Inc........................... 314,577 93,042,439 0.9%
Hartford Financial Services Group, Inc... 2,160,202 62,581,052 0.6%
Loews Corp............................... 2,466,987 109,188,845 1.0%
MetLife, Inc............................. 4,607,955 215,606,214 2.1%
Morgan Stanley........................... 3,042,449 79,560,041 0.8%
#Prudential Financial, Inc............... 2,197,605 139,372,109 1.3%
#SunTrust Banks, Inc..................... 2,563,152 72,255,255 0.7%
Other Securities......................... 685,712,027 6.6%
-------------- -----
Total Financials........................... 2,214,137,903 21.3%
-------------- -----
Health Care -- (9.5%)......................
Aetna, Inc............................... 1,938,699 80,223,365 0.8%
*Humana, Inc............................. 712,843 54,261,609 0.5%
Pfizer, Inc.............................. 14,482,035 303,543,454 2.9%
*Thermo Fisher Scientific, Inc........... 1,994,284 119,637,097 1.1%
UnitedHealth Group, Inc.................. 2,296,880 113,075,402 1.1%
WellPoint, Inc........................... 2,580,122 198,127,568 1.9%
Other Securities......................... 172,306,807 1.7%
-------------- -----
Total Health Care.......................... 1,041,175,302 10.0%
-------------- -----
190
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
Industrials -- (12.6%)................................................
CSX Corp............................................................ 2,287,204 $ 179,980,083 1.7%
General Electric Co................................................. 15,225,603 311,363,581 3.0%
Norfolk Southern Corp............................................... 2,186,220 163,266,910 1.6%
#Northrop Grumman Corp.............................................. 1,926,678 122,555,988 1.2%
Tyco International, Ltd............................................. 1,149,868 56,044,566 0.5%
Union Pacific Corp.................................................. 2,594,778 268,481,680 2.6%
Other Securities.................................................... 277,885,139 2.7%
--------------- ------
Total Industrials..................................................... 1,379,577,947 13.3%
--------------- ------
Information Technology -- (3.2%)......................................
Other Securities.................................................... 350,589,780 3.4%
--------------- ------
Materials -- (2.9%)...................................................
#Alcoa, Inc......................................................... 5,357,434 91,076,378 0.8%
International Paper Co.............................................. 2,299,481 71,007,973 0.7%
Other Securities.................................................... 155,591,864 1.5%
--------------- ------
Total Materials....................................................... 317,676,215 3.0%
--------------- ------
Telecommunication Services -- (6.0%)..................................
AT&T, Inc........................................................... 12,865,019 400,359,391 3.8%
#CenturyLink, Inc................................................... 1,452,902 59,249,344 0.6%
#*Sprint Nextel Corp................................................. 13,961,200 72,319,016 0.7%
#Verizon Communications, Inc........................................ 1,599,525 60,430,054 0.6%
Other Securities.................................................... 58,771,008 0.5%
--------------- ------
Total Telecommunication Services...................................... 651,128,813 6.2%
--------------- ------
Utilities -- (1.2%)...................................................
Public Service Enterprise Group, Inc................................ 1,751,371 56,341,605 0.5%
Other Securities.................................................... 67,245,478 0.7%
--------------- ------
Total Utilities....................................................... 123,587,083 1.2%
--------------- ------
TOTAL COMMON STOCKS................................................... 10,388,931,635 99.8%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.1%)..................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares. 10,178,864 10,178,864 0.1%
--------------- ------
Shares/
Face
Amount
-----------
(000)
SECURITIES LENDING COLLATERAL -- (4.8%)...............................
(S)@DFA Short Term Investment Fund.................................... 523,266,285 523,266,285 5.1%
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11
(Collateralized by $1,544,114 FNMA 3.500%, 02/01/26, valued
at $1,552,540) to be repurchased at $1,507,328..................... $1,507 1,507,320 0.0%
--------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................... 524,773,605 5.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,580,486,809)................................................ $10,923,884,104 105.0%
=============== ======
191
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks.................
Consumer Discretionary...... $ 1,694,114,995 -- -- $ 1,694,114,995
Consumer Staples............ 800,826,198 -- -- 800,826,198
Energy...................... 1,816,117,399 -- -- 1,816,117,399
Financials.................. 2,214,137,903 -- -- 2,214,137,903
Health Care................. 1,041,175,302 -- -- 1,041,175,302
Industrials................. 1,379,577,947 -- -- 1,379,577,947
Information Technology...... 350,589,780 -- -- 350,589,780
Materials................... 317,676,215 -- -- 317,676,215
Telecommunication Services.. 651,128,813 -- -- 651,128,813
Utilities................... 123,587,083 -- -- 123,587,083
Temporary Cash Investments.... 10,178,864 -- -- 10,178,864
Securities Lending Collateral. -- $524,773,605 -- 524,773,605
--------------- ------------ -- ---------------
TOTAL......................... $10,399,110,499 $524,773,605 -- $10,923,884,104
=============== ============ == ===============
See accompanying Notes to Financial Statements.
192
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (83.0%)........................
AUSTRALIA -- (4.8%).............................
#Australia & New Zealand Banking Group, Ltd... 1,696,439 $ 45,188,322 0.6%
#National Australia Bank, Ltd................. 1,901,632 56,616,627 0.7%
Wesfarmers, Ltd............................... 2,539,298 93,023,189 1.1%
Other Securities.............................. 274,559,990 3.4%
------------ -----
TOTAL AUSTRALIA................................. 469,388,128 5.8%
------------ -----
AUSTRIA -- (0.3%)...............................
Other Securities.............................. 33,729,173 0.4%
------------ -----
BELGIUM -- (0.8%)...............................
Other Securities.............................. 81,832,923 1.0%
------------ -----
CANADA -- (10.2%)...............................
#Encana Corp.................................. 2,051,015 68,912,717 0.9%
#Manulife Financial Corp...................... 3,219,919 57,820,033 0.7%
#Nexen, Inc................................... 1,719,282 45,482,882 0.6%
#Sun Life Financial, Inc...................... 1,494,503 48,919,049 0.6%
Suncor Energy, Inc............................ 2,545,871 117,344,432 1.4%
Talisman Energy, Inc.......................... 2,162,345 52,221,723 0.6%
Teck Resources, Ltd. Class B.................. 1,303,030 70,828,973 0.9%
#Thomson Reuters Corp......................... 1,832,184 74,282,702 0.9%
#TransCanada Corp............................. 1,941,948 83,556,205 1.0%
Other Securities.............................. 368,196,722 4.5%
------------ -----
TOTAL CANADA.................................... 987,565,438 12.1%
------------ -----
DENMARK -- (1.3%)...............................
Other Securities.............................. 125,784,300 1.5%
------------ -----
FINLAND -- (0.7%)...............................
Other Securities.............................. 72,344,385 0.9%
------------ -----
FRANCE -- (8.3%)................................
#AXA SA....................................... 3,678,548 82,466,032 1.0%
BNP Paribas SA................................ 607,569 48,031,142 0.6%
Cie de Saint-Gobain SA........................ 875,747 60,426,286 0.8%
Credit Agricole SA............................ 2,709,992 45,077,952 0.6%
#GDF Suez SA.................................. 2,720,289 111,230,825 1.4%
Societe Generale Paris SA..................... 1,255,581 83,907,846 1.0%
#Vivendi SA................................... 3,447,034 108,081,627 1.3%
Other Securities.............................. 270,063,507 3.3%
------------ -----
TOTAL FRANCE.................................... 809,285,217 10.0%
------------ -----
GERMANY -- (8.1%)...............................
#Allianz SE................................... 439,353 69,027,351 0.8%
#Allianz SE Sponsored ADR..................... 2,834,240 44,639,280 0.6%
Bayerische Motoren Werke AG................... 915,762 86,217,868 1.1%
*Daimler AG................................... 2,088,586 161,419,483 2.0%
Deutsche Bank AG.............................. 965,050 62,853,121 0.8%
Deutsche Telekom AG........................... 2,852,483 47,140,915 0.6%
#Deutsche Telekom AG Sponsored ADR............ 3,099,741 51,455,701 0.6%
#E.ON AG...................................... 1,598,720 54,642,935 0.7%
#Munchener Rueckversicherungs-Gesellschaft AG. 412,644 68,067,628 0.8%
Other Securities.............................. 139,601,150 1.7%
------------ -----
TOTAL GERMANY................................... 785,065,432 9.7%
------------ -----
GREECE -- (0.1%)................................
Other Securities.............................. 10,014,324 0.1%
------------ -----
193
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- -------------- ---------------
HONG KONG -- (1.4%).....................
Hutchison Whampoa, Ltd................ 5,618,000 $ 64,322,781 0.8%
Other Securities...................... 73,073,228 0.9%
-------------- -----
TOTAL HONG KONG......................... 137,396,009 1.7%
-------------- -----
IRELAND -- (0.1%).......................
Other Securities...................... 11,433,581 0.1%
-------------- -----
ISRAEL -- (0.4%)........................
Other Securities...................... 36,826,376 0.4%
-------------- -----
ITALY -- (1.5%).........................
Other Securities...................... 142,505,906 1.7%
-------------- -----
JAPAN -- (16.1%)........................
Mitsubishi Heavy Industries, Ltd...... 9,007,000 43,038,599 0.5%
#Mitsubishi UFJ Financial Group, Inc.. 13,207,406 63,390,116 0.8%
Nissan Motor Co., Ltd................. 4,831,600 46,487,303 0.6%
#Sony Corp. Sponsored ADR............. 1,801,665 51,005,136 0.6%
#Sumitomo Corp........................ 3,241,900 44,721,492 0.5%
#Toyota Motor Corp. Sponsored ADR..... 551,545 43,947,106 0.5%
Other Securities...................... 1,272,689,380 15.7%
-------------- -----
TOTAL JAPAN............................. 1,565,279,132 19.2%
-------------- -----
MALAYSIA -- (0.0%)......................
Other Securities...................... -- 0.0%
-------------- -----
NETHERLANDS -- (3.2%)...................
ArcelorMittal NV...................... 2,446,831 90,424,916 1.1%
*ING Groep NV......................... 3,849,884 50,719,361 0.6%
*Koninklijke Philips Electronics NV... 1,939,039 57,430,601 0.7%
Other Securities...................... 109,870,597 1.4%
-------------- -----
TOTAL NETHERLANDS....................... 308,445,475 3.8%
-------------- -----
NEW ZEALAND -- (0.1%)...................
Other Securities...................... 5,336,761 0.1%
-------------- -----
NORWAY -- (0.9%)........................
Other Securities...................... 87,106,036 1.1%
-------------- -----
PORTUGAL -- (0.1%)......................
Other Securities...................... 9,833,096 0.1%
-------------- -----
SINGAPORE -- (1.0%).....................
Other Securities...................... 94,898,798 1.2%
-------------- -----
SPAIN -- (2.7%).........................
#Repsol YPF SA Sponsored ADR.......... 1,432,181 51,157,505 0.6%
Other Securities...................... 207,178,508 2.6%
-------------- -----
TOTAL SPAIN............................. 258,336,013 3.2%
-------------- -----
SWEDEN -- (2.1%)........................
Nordea Bank AB........................ 4,013,687 45,762,056 0.6%
Other Securities...................... 162,959,751 2.0%
-------------- -----
TOTAL SWEDEN............................ 208,721,807 2.6%
-------------- -----
SWITZERLAND -- (5.2%)...................
#Holcim, Ltd. AG...................... 886,165 77,213,358 0.9%
Swiss Reinsurance Co., Ltd. AG........ 1,108,107 66,116,889 0.8%
Zurich Financial Services AG.......... 322,634 90,717,790 1.1%
194
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------------- --------------
SWITZERLAND -- (Continued)................................................................
Other Securities........................................................................ $ 273,495,501
--------------
TOTAL SWITZERLAND......................................................................... 507,543,538
--------------
UNITED KINGDOM -- (13.6%).................................................................
Aviva P.L.C............................................................................. 7,396,866 55,357,784
#Barclays P.L.C. Sponsored ADR.......................................................... 4,180,831 79,644,831
Kingfisher P.L.C........................................................................ 10,285,817 47,258,773
Royal Dutch Shell P.L.C. ADR............................................................ 3,242,203 254,059,027
Vodafone Group P.L.C.................................................................... 34,976,333 101,109,152
Vodafone Group P.L.C. Sponsored ADR..................................................... 8,335,538 242,730,867
Xstrata P.L.C........................................................................... 3,843,909 98,592,431
Other Securities........................................................................ 442,839,701
--------------
TOTAL UNITED KINGDOM...................................................................... 1,321,592,566
--------------
TOTAL COMMON STOCKS....................................................................... 8,070,264,414
--------------
RIGHTS/WARRANTS -- (0.0%).................................................................
PORTUGAL -- (0.0%)........................................................................
Other Securities........................................................................ 134,266
--------------
SPAIN -- (0.0%)...........................................................................
Other Securities........................................................................ 257,338
--------------
TOTAL RIGHTS/WARRANTS..................................................................... 391,604
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.1%)......................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$8,145,000 FNMA 2.24%, 07/06/15, valued at $8,348,625) to be repurchased at
$8,222,130............................................................................. $8,222 8,222,000
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (16.9%)..................................................
(S)@DFA Short Term Investment Fund........................................................ 1,646,576,000 1,646,576,000
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at
$1,321,755............................................................................. $1,322 1,321,751
--------------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 1,647,897,751
--------------
TOTAL INVESTMENTS -- (100.0%).............................................................
(Cost $7,369,761,306)................................................................... $9,726,775,769
==============
Percentage
of Net Assets**
---------------
SWITZERLAND -- (Continued)................................................................
Other Securities........................................................................ 3.4%
------
TOTAL SWITZERLAND......................................................................... 6.2%
------
UNITED KINGDOM -- (13.6%).................................................................
Aviva P.L.C............................................................................. 0.7%
#Barclays P.L.C. Sponsored ADR.......................................................... 1.0%
Kingfisher P.L.C........................................................................ 0.6%
Royal Dutch Shell P.L.C. ADR............................................................ 3.1%
Vodafone Group P.L.C.................................................................... 1.2%
Vodafone Group P.L.C. Sponsored ADR..................................................... 3.0%
Xstrata P.L.C........................................................................... 1.2%
Other Securities........................................................................ 5.5%
------
TOTAL UNITED KINGDOM...................................................................... 16.3%
------
TOTAL COMMON STOCKS....................................................................... 99.2%
------
RIGHTS/WARRANTS -- (0.0%).................................................................
PORTUGAL -- (0.0%)........................................................................
Other Securities........................................................................ 0.0%
------
SPAIN -- (0.0%)...........................................................................
Other Securities........................................................................ 0.0%
------
TOTAL RIGHTS/WARRANTS..................................................................... 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.1%)......................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$8,145,000 FNMA 2.24%, 07/06/15, valued at $8,348,625) to be repurchased at
$8,222,130............................................................................. 0.1%
------
SECURITIES LENDING COLLATERAL -- (16.9%)..................................................
(S)@DFA Short Term Investment Fund........................................................ 20.3%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at
$1,321,755............................................................................. 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 20.3%
------
TOTAL INVESTMENTS -- (100.0%).............................................................
(Cost $7,369,761,306)................................................................... 119.6%
======
195
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks.................
Australia................... $ 8,439,298 $ 460,948,830 -- $ 469,388,128
Austria..................... -- 33,729,173 -- 33,729,173
Belgium..................... 4,541,994 77,290,929 -- 81,832,923
Canada...................... 987,565,438 -- -- 987,565,438
Denmark..................... -- 125,784,300 -- 125,784,300
Finland..................... 2,515,212 69,829,173 -- 72,344,385
France...................... 33,906,195 775,379,022 -- 809,285,217
Germany..................... 123,575,824 661,489,608 -- 785,065,432
Greece...................... 984,576 9,029,748 -- 10,014,324
Hong Kong................... -- 137,396,009 -- 137,396,009
Ireland..................... 6,174,077 5,259,504 -- 11,433,581
Israel...................... 4,108,164 32,718,212 -- 36,826,376
Italy....................... 28,173,735 114,332,171 -- 142,505,906
Japan....................... 134,310,391 1,430,968,741 -- 1,565,279,132
Malaysia.................... -- -- -- --
Netherlands................. 26,000,266 282,445,209 -- 308,445,475
New Zealand................. -- 5,336,761 -- 5,336,761
Norway...................... 533,709 86,572,327 -- 87,106,036
Portugal.................... -- 9,833,096 -- 9,833,096
Singapore................... -- 94,898,798 -- 94,898,798
Spain....................... 100,033,060 158,302,953 -- 258,336,013
Sweden...................... 14,472,862 194,248,945 -- 208,721,807
Switzerland................. 66,974,850 440,568,688 -- 507,543,538
United Kingdom.............. 663,451,513 658,141,053 -- 1,321,592,566
Rights/Warrants...............
Portugal.................... 134,266 -- -- 134,266
Spain....................... 257,338 -- -- 257,338
Temporary Cash Investments.... -- 8,222,000 -- 8,222,000
Securities Lending Collateral. -- 1,647,897,751 -- 1,647,897,751
-------------- -------------- -- --------------
TOTAL......................... $2,206,152,768 $7,520,623,001 -- $9,726,775,769
============== ============== == ==============
See accompanying Notes to Financial Statements.
196
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (86.4%)..............
Consumer Discretionary -- (19.7%).....
Aoyama Trading Co., Ltd............. 250,500 $ 4,126,612 0.3%
Autobacs Seven Co., Ltd............. 100,400 3,690,046 0.2%
Exedy Corp.......................... 119,700 3,824,051 0.3%
*Haseko Corp........................ 5,356,000 3,589,532 0.2%
Kayaba Industry Co., Ltd............ 633,000 5,265,926 0.4%
*K's Holdings Corp.................. 156,927 4,891,112 0.3%
Nifco, Inc.......................... 187,400 4,738,275 0.3%
#*Pioneer Electronic Corp............ 981,300 4,150,730 0.3%
#Ryohin Keikaku Co., Ltd............ 92,200 4,279,821 0.3%
Shimachu Co., Ltd................... 161,100 3,760,811 0.3%
Sumitomo Forestry Co., Ltd.......... 433,066 3,795,604 0.3%
Toyobo Co., Ltd..................... 2,970,000 4,692,999 0.3%
Other Securities.................... 283,004,359 19.1%
------------ -----
Total Consumer Discretionary.......... 333,809,878 22.6%
------------ -----
Consumer Staples -- (8.2%)............
Fuji Oil Co., Ltd................... 258,900 3,594,194 0.2%
Morinaga Milk Industry Co., Ltd..... 886,000 3,576,420 0.2%
Nichirei Corp....................... 839,000 3,686,298 0.3%
Other Securities.................... 127,288,516 8.6%
------------ -----
Total Consumer Staples................ 138,145,428 9.3%
------------ -----
Energy -- (1.0%)......................
Other Securities.................... 16,415,458 1.1%
------------ -----
Financials -- (9.2%)..................
Bank of Okinawa, Ltd. (The)......... 92,500 3,710,734 0.2%
Century Tokyo Leasing Corp.......... 254,990 4,374,982 0.3%
Hyakugo Bank, Ltd. (The)............ 885,609 3,860,107 0.3%
Kiyo Holdings, Inc.................. 2,526,900 3,596,475 0.2%
Musashino Bank, Ltd................. 127,700 4,044,141 0.3%
San-in Godo Bank, Ltd. (The)........ 547,000 4,057,201 0.3%
Other Securities.................... 131,523,976 8.9%
------------ -----
Total Financials...................... 155,167,616 10.5%
------------ -----
Health Care -- (3.8%).................
Kaken Pharmaceutical Co., Ltd....... 353,000 4,579,538 0.3%
KYORIN Holdings, Inc................ 205,000 3,660,079 0.2%
#Nipro Corp......................... 189,900 3,872,841 0.3%
#Sawai Pharmaceutical Co., Ltd...... 53,400 4,791,485 0.3%
Other Securities.................... 48,299,942 3.3%
------------ -----
Total Health Care..................... 65,203,885 4.4%
------------ -----
Industrials -- (23.7%)................
#Asahi Diamond Industrial Co., Ltd.. 241,000 5,013,117 0.3%
Duskin Co., Ltd..................... 211,600 4,268,817 0.3%
#Hitachi Zosen Corp................. 2,937,500 4,289,823 0.3%
#*Makino Milling Machine Co., Ltd.... 388,000 3,647,468 0.2%
#Miura Co., Ltd..................... 137,600 3,909,526 0.3%
#Mori Seiki Co., Ltd................ 381,900 4,898,750 0.3%
#Nachi-Fujikoshi Corp............... 663,000 3,704,420 0.3%
#OKUMA Corp......................... 513,000 4,832,293 0.3%
Sankyu, Inc......................... 863,000 3,966,052 0.3%
Takara Standard Co., Ltd............ 501,000 3,784,898 0.3%
Other Securities.................... 359,358,977 24.3%
------------ -----
Total Industrials..................... 401,674,141 27.2%
------------ -----
197
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares Value++
------ -----
Information Technology -- (9.8%)............................................................
#Anritsu Corp............................................................................. 458,000 $ 3,654,714
#Capcom Co., Ltd.......................................................................... 199,400 3,705,483
Horiba, Ltd............................................................................... 145,650 4,382,098
#Kakaku.com, Inc.......................................................................... 647 3,728,546
Mitsumi Electric Co., Ltd................................................................. 278,000 3,564,793
#Net One Systems Co., Ltd................................................................. 1,984 3,592,498
#Nichicon Corp............................................................................ 270,300 4,154,274
Ulvac, Inc................................................................................ 160,300 3,588,009
Other Securities.......................................................................... 134,805,153
--------------
Total Information Technology................................................................ 165,175,568
--------------
Materials -- (10.5%)........................................................................
FP Corp................................................................................... 61,200 3,531,788
Nippon Light Metal Co., Ltd............................................................... 1,944,000 3,971,974
Sumitomo Bakelite Co., Ltd................................................................ 591,000 3,790,225
Sumitomo Osaka Cement Co., Ltd............................................................ 1,521,000 4,135,556
#Taiheiyo Cement Corp..................................................................... 3,133,000 5,371,601
#Toagosei Co., Ltd........................................................................ 941,000 5,096,217
Tokai Carbon Co., Ltd..................................................................... 751,000 3,960,897
Other Securities.......................................................................... 148,348,719
--------------
Total Materials............................................................................. 178,206,977
--------------
Utilities -- (0.5%).........................................................................
Other Securities.......................................................................... 7,928,232
--------------
TOTAL COMMON STOCKS......................................................................... 1,461,727,183
--------------
RIGHTS/WARRANTS -- (0.0%)...................................................................
Other Securities.......................................................................... --
--------------
Face
Amount Value+
------ ------
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%)........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$4,235,000 FNMA 2.24%, 07/06/15, valued at $4,340,875) to be repurchased at $4,276,090... $4,276 4,276,000
--------------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (13.4%)....................................................
(S)@DFA Short Term Investment Fund.......................................................... 221,671,392 221,671,392
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $4,563,870)## to be repurchased at
$4,474,397............................................................................... $4,474 4,474,382
--------------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 226,145,774
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,787,483,188)...................................................................... $1,692,148,957
==============
Percentage
of Net Assets**
---------------
Information Technology -- (9.8%)............................................................
#Anritsu Corp............................................................................. 0.3%
#Capcom Co., Ltd.......................................................................... 0.3%
Horiba, Ltd............................................................................... 0.3%
#Kakaku.com, Inc.......................................................................... 0.3%
Mitsumi Electric Co., Ltd................................................................. 0.2%
#Net One Systems Co., Ltd................................................................. 0.2%
#Nichicon Corp............................................................................ 0.3%
Ulvac, Inc................................................................................ 0.2%
Other Securities.......................................................................... 9.1%
------
Total Information Technology................................................................ 11.2%
------
Materials -- (10.5%)........................................................................
FP Corp................................................................................... 0.2%
Nippon Light Metal Co., Ltd............................................................... 0.3%
Sumitomo Bakelite Co., Ltd................................................................ 0.3%
Sumitomo Osaka Cement Co., Ltd............................................................ 0.3%
#Taiheiyo Cement Corp..................................................................... 0.4%
#Toagosei Co., Ltd........................................................................ 0.3%
Tokai Carbon Co., Ltd..................................................................... 0.3%
Other Securities.......................................................................... 10.0%
------
Total Materials............................................................................. 12.1%
------
Utilities -- (0.5%).........................................................................
Other Securities.......................................................................... 0.5%
------
TOTAL COMMON STOCKS......................................................................... 98.9%
------
RIGHTS/WARRANTS -- (0.0%)...................................................................
Other Securities.......................................................................... 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.2%)........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$4,235,000 FNMA 2.24%, 07/06/15, valued at $4,340,875) to be repurchased at $4,276,090... 0.3%
------
SECURITIES LENDING COLLATERAL -- (13.4%)....................................................
(S)@DFA Short Term Investment Fund.......................................................... 15.0%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $4,563,870)## to be repurchased at
$4,474,397............................................................................... 0.3%
------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 15.3%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,787,483,188)...................................................................... 114.5%
======
198
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
------------------------------------------------
Investment in Securities (Market Value)
------------------------------------------------
Level 1 Level 2 Level 3 Total
---------- -------------- ------- --------------
Common Stocks.................
Consumer Discretionary...... -- $ 333,809,878 -- $ 333,809,878
Consumer Staples............ $ 65,172 138,080,256 -- 138,145,428
Energy...................... -- 16,415,458 -- 16,415,458
Financials.................. -- 155,167,616 -- 155,167,616
Health Care................. -- 65,203,885 -- 65,203,885
Industrials................. 1,076,398 400,597,743 -- 401,674,141
Information Technology...... -- 165,175,568 -- 165,175,568
Materials................... -- 178,206,977 -- 178,206,977
Utilities................... -- 7,928,232 -- 7,928,232
Rights/Warrants............... -- -- -- --
Temporary Cash Investments.... -- 4,276,000 -- 4,276,000
Securities Lending Collateral. -- 226,145,774 -- 226,145,774
---------- -------------- -- --------------
TOTAL......................... $1,141,570 $1,691,007,387 -- $1,692,148,957
========== ============== == ==============
See accompanying Notes to Financial Statements.
199
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (84.3%).....................
AUSTRALIA -- (51.7%).........................
Adelaide Brighton, Ltd..................... 1,917,857 $ 6,655,998 0.6%
Ansell, Ltd................................ 503,479 7,702,234 0.7%
APA Group, Ltd............................. 1,773,977 8,281,926 0.8%
*Atlas Iron, Ltd........................... 2,593,241 10,014,504 0.9%
Australian Infrastructure Fund............. 3,159,690 6,571,688 0.6%
Beach Petroleum, Ltd....................... 4,257,412 4,491,142 0.4%
Boart Longyear Group....................... 1,792,094 8,976,872 0.8%
Bradken, Ltd............................... 634,599 5,553,583 0.5%
#Campbell Brothers, Ltd.................... 294,836 14,657,425 1.3%
#Challenger Financial Services Group, Ltd.. 1,750,037 9,281,573 0.8%
#ConnectEast Group, Ltd.................... 14,936,366 7,705,073 0.7%
#David Jones, Ltd.......................... 1,447,885 7,415,523 0.7%
#Downer EDI, Ltd........................... 1,149,707 4,680,369 0.4%
DUET Group, Ltd............................ 3,697,647 6,901,024 0.6%
#Flight Centre, Ltd........................ 192,954 4,994,112 0.5%
#Goodman Fielder, Ltd...................... 5,129,571 6,053,766 0.6%
#Graincorp, Ltd. Series A.................. 681,088 5,854,200 0.5%
Iluka Resources, Ltd....................... 573,137 7,886,027 0.7%
#Independence Group NL..................... 892,724 6,589,108 0.6%
#IOOF Holdings, Ltd........................ 989,055 7,784,133 0.7%
#JB Hi-Fi, Ltd............................. 407,557 8,472,841 0.8%
*Karoon Gas Australia, Ltd................. 667,086 4,851,071 0.4%
#Kingsgate Consolidated, Ltd............... 557,653 4,756,200 0.4%
Mineral Resources, Ltd..................... 389,673 4,992,402 0.5%
Monadelphous Group, Ltd.................... 318,887 6,734,839 0.6%
*Mount Gibson Iron, Ltd.................... 2,962,399 6,147,151 0.6%
#Myer Holdings, Ltd........................ 2,133,900 7,410,693 0.7%
#Navitas, Ltd.............................. 1,157,537 5,179,719 0.5%
*PanAust, Ltd.............................. 8,757,197 7,454,486 0.7%
#Perpetual Trustees Australia, Ltd......... 159,965 5,070,503 0.5%
*Perseus Mining, Ltd....................... 1,605,654 5,181,070 0.5%
#Primary Health Care, Ltd.................. 1,781,885 6,796,821 0.6%
#Reece Australia, Ltd...................... 238,457 5,493,927 0.5%
#SAI Global, Ltd........................... 1,045,821 5,749,666 0.5%
#Seek, Ltd................................. 666,916 5,102,086 0.5%
Seven Group Holdings, Ltd.................. 712,694 7,145,642 0.6%
#Southern Cross Media Group, Ltd........... 2,546,520 4,590,720 0.4%
Spark Infrastructure Group, Ltd............ 4,761,050 6,199,067 0.6%
Super Retail Group, Ltd.................... 836,106 6,595,224 0.6%
Ten Network Holdings, Ltd.................. 3,492,166 5,185,837 0.5%
Tower Australia Group, Ltd................. 1,617,790 7,093,004 0.6%
#Transfield Services, Ltd.................. 1,745,379 6,819,577 0.6%
#UGL, Ltd.................................. 332,576 5,514,381 0.5%
#West Australian Newspapers Holdings, Ltd.. 1,216,239 6,681,153 0.6%
Other Securities........................... 373,863,826 34.0%
------------ -----
TOTAL AUSTRALIA.............................. 667,132,186 60.7%
------------ -----
HONG KONG -- (18.1%).........................
Giordano International, Ltd................ 7,162,000 5,173,960 0.5%
#Luk Fook Holdings International, Ltd...... 1,226,000 4,554,137 0.4%
#Pacific Basin Shipping, Ltd............... 7,551,000 4,685,250 0.4%
#Techtronic Industries Co., Ltd............ 4,086,000 5,598,146 0.5%
Other Securities........................... 212,989,026 19.4%
------------ -----
TOTAL HONG KONG.............................. 233,000,519 21.2%
------------ -----
MALAYSIA -- (0.0%)...........................
Other Securities........................... 4,355 0.0%
------------ -----
200
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Shares Value++
------ -----
NEW ZEALAND -- (4.9%).......................................................................
Fisher & Paykel Healthcare Corp., Ltd..................................................... 2,569,174 $6,437,606
Sky City Entertainment Group, Ltd......................................................... 2,560,206 7,386,175
Other Securities.......................................................................... 49,413,687
--------------
TOTAL NEW ZEALAND........................................................................... 63,237,468
--------------
SINGAPORE -- (9.6%).........................................................................
Other Securities.......................................................................... 123,955,395
--------------
TOTAL COMMON STOCKS......................................................................... 1,087,329,923
--------------
RIGHTS/WARRANTS -- (0.0%)...................................................................
AUSTRALIA -- (0.0%).........................................................................
Other Securities.......................................................................... 1,031
--------------
SINGAPORE -- (0.0%).........................................................................
Other Securities.......................................................................... 327,840
--------------
TOTAL RIGHTS/WARRANTS....................................................................... 328,871
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.0%)........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$650,000 FNMA 2.24%, 07/06/15, valued at $666,250) to be repurchased at $653,010......... $653 653,000
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (15.7%)....................................................
(S)@DFA Short Term Investment Fund.......................................................... 201,646,000 201,646,000
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $454,600)## to be repurchased at
$445,687................................................................................. $446 445,686
--------------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 202,091,686
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,019,396,170)...................................................................... $1,290,403,480
==============
Percentage
of Net Assets**
---------------
NEW ZEALAND -- (4.9%).......................................................................
Fisher & Paykel Healthcare Corp., Ltd..................................................... 0.6%
Sky City Entertainment Group, Ltd......................................................... 0.6%
Other Securities.......................................................................... 4.5%
------
TOTAL NEW ZEALAND........................................................................... 5.7%
------
SINGAPORE -- (9.6%).........................................................................
Other Securities.......................................................................... 11.3%
------
TOTAL COMMON STOCKS......................................................................... 98.9%
------
RIGHTS/WARRANTS -- (0.0%)...................................................................
AUSTRALIA -- (0.0%).........................................................................
Other Securities.......................................................................... 0.0%
------
SINGAPORE -- (0.0%).........................................................................
Other Securities.......................................................................... 0.0%
------
TOTAL RIGHTS/WARRANTS....................................................................... 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.0%)........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$650,000 FNMA 2.24%, 07/06/15, valued at $666,250) to be repurchased at $653,010......... 0.1%
------
SECURITIES LENDING COLLATERAL -- (15.7%)....................................................
(S)@DFA Short Term Investment Fund.......................................................... 18.4%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $454,600)## to be repurchased at
$445,687................................................................................. 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 18.4%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,019,396,170)...................................................................... 117.4%
======
201
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
-------------------------------------
Investment in Securities (Market Value)
-------------------------------------
Level 1 Level 2 Level 3 Total
----------- -------------- ------- --------------
Common Stocks.................
Australia................... $10,064,366 $ 657,067,820 -- $ 667,132,186
Hong Kong................... 1,145,078 231,855,441 -- 233,000,519
Malaysia.................... -- 4,355 -- 4,355
New Zealand................. 79,490 63,157,978 -- 63,237,468
Singapore................... 265,477 123,689,918 -- 123,955,395
Rights/Warrants...............
Australia................... 335 696 -- 1,031
Singapore................... 327,840 -- -- 327,840
Temporary Cash Investments.... -- 653,000 -- 653,000
Securities Lending Collateral. -- 202,091,686 -- 202,091,686
----------- -------------- -- --------------
TOTAL....................... $11,882,586 $1,278,520,894 -- $1,290,403,480
=========== ============== == ==============
See accompanying Notes to Financial Statements.
202
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (98.3%).....................
Consumer Discretionary -- (21.1%)............
*Berkeley Group Holdings P.L.C. (The)...... 477,432 $ 8,470,415 0.7%
Daily Mail & General Trust P.L.C. Series A. 1,068,559 8,914,668 0.7%
GKN P.L.C.................................. 3,596,147 13,418,925 1.0%
*Inchcape P.L.C............................ 1,643,458 10,032,419 0.8%
Informa P.L.C.............................. 1,496,188 10,439,622 0.8%
Persimmon P.L.C............................ 1,099,320 8,892,926 0.7%
Thomas Cook Group P.L.C.................... 3,007,335 8,628,710 0.7%
United Business Media P.L.C................ 917,439 9,278,061 0.7%
William Hill P.L.C......................... 2,714,131 10,146,570 0.8%
Other Securities........................... 182,552,238 14.3%
------------ -----
Total Consumer Discretionary................. 270,774,554 21.2%
------------ -----
Consumer Staples -- (4.1%)...................
Tate & Lyle P.L.C.......................... 1,074,000 10,673,726 0.8%
Other Securities........................... 42,603,978 3.4%
------------ -----
Total Consumer Staples....................... 53,277,704 4.2%
------------ -----
Energy -- (5.3%).............................
*Afren P.L.C............................... 3,590,716 9,617,903 0.7%
John Wood Group P.L.C...................... 1,071,070 12,427,861 1.0%
*Premier Oil P.L.C......................... 422,955 14,215,573 1.1%
Other Securities........................... 32,593,518 2.6%
------------ -----
Total Energy................................. 68,854,855 5.4%
------------ -----
Financials -- (12.9%)........................
Aberdeen Asset Management P.L.C............ 2,716,498 10,379,884 0.8%
Amlin P.L.C................................ 1,777,720 12,434,118 1.0%
Catlin Group, Ltd. P.L.C................... 1,334,735 8,825,564 0.7%
#Henderson Group P.L.C..................... 3,124,354 8,488,434 0.7%
Hiscox, Ltd. P.L.C......................... 1,517,006 10,469,923 0.8%
IG Group Holdings P.L.C.................... 1,317,769 10,309,471 0.8%
#London Stock Exchange Group P.L.C......... 544,693 7,950,486 0.6%
Provident Financial P.L.C.................. 501,557 8,453,996 0.7%
Other Securities........................... 88,613,962 6.9%
------------ -----
Total Financials............................. 165,925,838 13.0%
------------ -----
Health Care -- (1.6%)........................
Other Securities........................... 20,875,412 1.7%
------------ -----
Industrials -- (30.7%).......................
Babcock International Group P.L.C.......... 1,312,221 14,056,564 1.1%
Balfour Beatty P.L.C....................... 2,529,020 13,887,921 1.1%
Carillion P.L.C............................ 1,610,191 10,568,104 0.8%
Charter International P.L.C................ 654,213 8,992,285 0.7%
*Cookson Group P.L.C....................... 1,062,056 12,741,552 1.0%
Firstgroup P.L.C........................... 1,710,421 9,294,198 0.7%
Hays P.L.C................................. 5,207,030 10,371,657 0.8%
Homeserve P.L.C............................ 1,162,452 9,497,191 0.8%
IMI P.L.C.................................. 1,144,362 20,942,717 1.6%
Intertek Group P.L.C....................... 518,306 18,412,693 1.4%
Meggitt P.L.C.............................. 2,465,596 14,834,737 1.2%
Melrose P.L.C.............................. 1,897,545 11,243,800 0.9%
Michael Page International P.L.C........... 1,310,832 12,132,598 1.0%
Rotork P.L.C............................... 366,679 10,536,732 0.8%
Spirax-Sarco Engineering P.L.C............. 319,520 10,742,876 0.8%
Stagecoach Group P.L.C..................... 2,035,130 8,401,445 0.7%
Travis Perkins P.L.C....................... 881,638 15,879,591 1.3%
203
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value++
------ -----
Industrials -- (Continued).....................................................................
Ultra Electronics Holdings P.L.C............................................................. 283,178 $ 8,176,431
Other Securities............................................................................. 173,479,365
--------------
Total Industrials.............................................................................. 394,192,457
--------------
Information Technology -- (10.9%)..............................................................
Halma P.L.C.................................................................................. 1,541,075 9,624,609
*Imagination Technologies Group P.L.C........................................................ 936,573 7,839,064
Logica P.L.C................................................................................. 6,203,909 14,055,074
*Misys P.L.C................................................................................. 1,604,251 8,461,615
Spectris P.L.C............................................................................... 515,234 12,767,765
Other Securities............................................................................. 87,622,720
--------------
Total Information Technology................................................................... 140,370,847
--------------
Materials -- (7.0%)............................................................................
Croda International P.L.C.................................................................... 514,684 16,171,143
Mondi P.L.C.................................................................................. 1,078,021 10,714,345
Victrex P.L.C................................................................................ 340,523 8,369,179
Other Securities............................................................................. 54,257,575
--------------
Total Materials................................................................................ 89,512,242
--------------
Real Estate Investment Trusts -- (0.0%)........................................................
Other Securities............................................................................. 402,049
--------------
Telecommunication Services -- (1.8%)...........................................................
Other Securities............................................................................. 23,040,222
--------------
Utilities -- (2.9%)............................................................................
*Drax Group P.L.C............................................................................ 1,388,611 10,227,374
Northumbrian Water Group P.L.C............................................................... 1,966,497 11,537,216
Pennon Group P.L.C........................................................................... 1,351,544 14,929,895
Other Securities............................................................................. 237,494
--------------
Total Utilities................................................................................ 36,931,979
--------------
TOTAL COMMON STOCKS............................................................................ 1,264,158,159
--------------
PREFERRED STOCKS -- (0.0%).....................................................................
Consumer Staples -- (0.0%).....................................................................
Other Securities............................................................................. 4,548
--------------
RIGHTS/WARRANTS -- (0.0%)......................................................................
Other Securities............................................................................. 12,988
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.1%)...........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $775,000
FNMA 2.24%, 07/06/15, valued at $794,375) to be repurchased at $780,021..................... $780 780,000
--------------
Percentage
of Net Assets**
---------------
Industrials -- (Continued).....................................................................
Ultra Electronics Holdings P.L.C............................................................. 0.6%
Other Securities............................................................................. 13.6%
-----
Total Industrials.............................................................................. 30.9%
-----
Information Technology -- (10.9%)..............................................................
Halma P.L.C.................................................................................. 0.7%
*Imagination Technologies Group P.L.C........................................................ 0.6%
Logica P.L.C................................................................................. 1.1%
*Misys P.L.C................................................................................. 0.7%
Spectris P.L.C............................................................................... 1.0%
Other Securities............................................................................. 6.9%
-----
Total Information Technology................................................................... 11.0%
-----
Materials -- (7.0%)............................................................................
Croda International P.L.C.................................................................... 1.3%
Mondi P.L.C.................................................................................. 0.8%
Victrex P.L.C................................................................................ 0.7%
Other Securities............................................................................. 4.2%
-----
Total Materials................................................................................ 7.0%
-----
Real Estate Investment Trusts -- (0.0%)........................................................
Other Securities............................................................................. 0.0%
-----
Telecommunication Services -- (1.8%)...........................................................
Other Securities............................................................................. 1.8%
-----
Utilities -- (2.9%)............................................................................
*Drax Group P.L.C............................................................................ 0.8%
Northumbrian Water Group P.L.C............................................................... 0.9%
Pennon Group P.L.C........................................................................... 1.2%
Other Securities............................................................................. 0.0%
-----
Total Utilities................................................................................ 2.9%
-----
TOTAL COMMON STOCKS............................................................................ 99.1%
-----
PREFERRED STOCKS -- (0.0%).....................................................................
Consumer Staples -- (0.0%).....................................................................
Other Securities............................................................................. 0.0%
-----
RIGHTS/WARRANTS -- (0.0%)......................................................................
Other Securities............................................................................. 0.0%
-----
TEMPORARY CASH INVESTMENTS -- (0.1%)...........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $775,000
FNMA 2.24%, 07/06/15, valued at $794,375) to be repurchased at $780,021..................... 0.1%
-----
204
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares/
Face
Amount Value+
------ -----
(000)
SECURITIES LENDING COLLATERAL -- (1.6%).....................................................
(S)@DFA Short Term Investment Fund.......................................................... 20,248,051 $ 20,248,051
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $128,343)## to be repurchased at
$125,826................................................................................. $126 125,826
--------------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 20,373,877
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,032,781,538)...................................................................... $1,285,329,572
==============
Percentage
of Net Assets**
---------------
SECURITIES LENDING COLLATERAL -- (1.6%).....................................................
(S)@DFA Short Term Investment Fund.......................................................... 1.6%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $128,343)## to be repurchased at
$125,826................................................................................. 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 1.6%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,032,781,538)...................................................................... 100.8%
======
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------
Level 1 Level 2 Level 3 Total
-------- -------------- ------- --------------
Common Stocks...................
Consumer Discretionary........ $ 67,755 $ 270,706,799 -- $ 270,774,554
Consumer Staples.............. 319,369 52,958,335 -- 53,277,704
Energy........................ -- 68,854,855 -- 68,854,855
Financials.................... 7,425 165,918,413 -- 165,925,838
Health Care................... 34,533 20,840,879 -- 20,875,412
Industrials................... 97,512 394,094,945 -- 394,192,457
Information Technology........ -- 140,370,847 -- 140,370,847
Materials..................... -- 89,512,242 -- 89,512,242
Real Estate Investment Trusts. -- 402,049 -- 402,049
Telecommunication Services.... -- 23,040,222 -- 23,040,222
Utilities..................... -- 36,931,979 -- 36,931,979
Preferred Stocks................
Consumer Staples.............. -- 4,548 -- 4,548
Rights/Warrants................. -- 12,988 -- 12,988
Temporary Cash Investments...... -- 780,000 -- 780,000
Securities Lending Collateral... -- 20,373,877 -- 20,373,877
-------- -------------- -- --------------
TOTAL........................... $526,594 $1,284,802,978 -- $1,285,329,572
======== ============== == ==============
See accompanying Notes to Financial Statements.
205
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (82.6%).......
AUSTRIA -- (2.1%)..............
Andritz AG................... 108,026 $ 11,156,772 0.4%
Other Securities............. 56,218,358 2.1%
------------ -----
TOTAL AUSTRIA.................. 67,375,130 2.5%
------------ -----
BELGIUM -- (2.8%)..............
Ackermans & van Haaren NV.... 87,214 9,123,574 0.3%
D'ieteren SA................. 129,060 9,373,552 0.3%
Other Securities............. 74,770,233 2.8%
------------ -----
TOTAL BELGIUM.................. 93,267,359 3.4%
------------ -----
DENMARK -- (2.3%)..............
*Topdanmark A.S.............. 53,386 9,808,134 0.3%
Other Securities............. 64,927,456 2.4%
------------ -----
TOTAL DENMARK.................. 74,735,590 2.7%
------------ -----
FINLAND -- (5.4%)..............
*KCI Konecranes Oyj.......... 245,559 11,813,486 0.5%
Other Securities............. 163,658,230 6.0%
------------ -----
TOTAL FINLAND.................. 175,471,716 6.5%
------------ -----
FRANCE -- (10.5%)..............
Arkema SA.................... 199,362 20,763,577 0.8%
*Atos Origin SA.............. 143,571 8,845,870 0.3%
Nexans SA.................... 110,500 11,711,186 0.4%
*Rhodia SA................... 333,947 15,543,003 0.6%
*Valeo SA.................... 232,962 14,839,036 0.6%
Other Securities............. 272,482,859 10.0%
------------ -----
TOTAL FRANCE................... 344,185,531 12.7%
------------ -----
GERMANY -- (12.4%).............
#*Aareal Bank AG.............. 423,110 12,827,414 0.5%
#Aixtron SE.................. 314,748 13,367,177 0.5%
Aurubis AG................... 152,783 9,029,595 0.3%
Bilfinger Berger SE.......... 162,980 15,689,829 0.6%
#MTU Aero Engines Holding AG. 176,697 13,526,481 0.5%
Rheinmetall AG............... 120,000 10,757,796 0.4%
Rhoen-Klinikum AG............ 406,308 9,293,479 0.3%
#*SGL Carbon SE............... 229,387 12,204,924 0.4%
#Software AG................. 70,053 13,258,747 0.5%
Symrise AG................... 330,233 10,869,746 0.4%
Wincor Nixdorf AG............ 119,287 9,859,086 0.4%
Other Securities............. 274,313,538 10.1%
------------ -----
TOTAL GERMANY.................. 404,997,812 14.9%
------------ -----
GREECE -- (2.2%)...............
Other Securities............. 70,718,259 2.6%
------------ -----
IRELAND -- (2.3%)..............
DCC P.L.C. (0242493)......... 308,989 10,308,113 0.4%
*Dragon Oil P.L.C............ 1,347,570 12,561,228 0.4%
Paddy Power P.L.C. (0258810). 180,573 8,824,308 0.3%
Other Securities............. 42,932,391 1.6%
------------ -----
TOTAL IRELAND.................. 74,626,040 2.7%
------------ -----
ISRAEL -- (2.4%)...............
Other Securities............. 77,833,729 2.9%
------------ -----
206
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
ITALY -- (7.2%)...............
Bulgari SpA................. 525,731 $ 9,575,649 0.3%
Prysmian SpA................ 653,038 15,415,106 0.6%
Other Securities............ 211,495,780 7.8%
-------------- -----
TOTAL ITALY................... 236,486,535 8.7%
-------------- -----
NETHERLANDS -- (4.4%).........
Aalberts Industries NV...... 377,504 9,547,547 0.4%
#*ASM International NV....... 205,174 8,899,893 0.3%
*CSM NV..................... 233,047 8,927,576 0.3%
#Imtech NV.................. 272,622 10,353,369 0.4%
Nutreco NV.................. 143,733 11,185,989 0.4%
SBM Offshore NV............. 556,537 16,276,196 0.6%
Other Securities............ 77,583,584 2.9%
-------------- -----
TOTAL NETHERLANDS............. 142,774,154 5.3%
-------------- -----
NORWAY -- (2.8%)..............
Other Securities............ 91,009,733 3.3%
-------------- -----
PORTUGAL -- (0.8%)............
Other Securities............ 25,988,392 1.0%
-------------- -----
SPAIN -- (4.7%)...............
#Grifols SA................. 457,616 9,058,317 0.4%
Other Securities............ 144,638,737 5.3%
-------------- -----
TOTAL SPAIN................... 153,697,054 5.7%
-------------- -----
SWEDEN -- (6.6%)..............
Elekta AB Series B.......... 302,500 13,805,452 0.5%
*Lundin Petroleum AB........ 699,240 10,612,260 0.4%
#Trelleborg AB Series B..... 878,565 10,632,177 0.4%
Other Securities............ 180,911,547 6.7%
-------------- -----
TOTAL SWEDEN.................. 215,961,436 8.0%
-------------- -----
SWITZERLAND -- (13.6%)........
Aryzta AG................... 289,931 16,171,926 0.6%
#*Clariant AG................ 928,757 19,280,933 0.7%
*Dufry AG................... 65,162 8,524,342 0.3%
#Galenica Holding AG........ 18,828 12,432,711 0.5%
*GAM Holding AG............. 780,910 15,391,811 0.6%
*George Fisher AG........... 15,351 10,037,208 0.4%
Helvetia Holding AG......... 22,754 10,683,310 0.4%
#*Logitech International SA.. 676,961 9,387,974 0.3%
#*Meyer Burger Technology AG. 200,895 10,050,669 0.4%
*Nobel Biocare Holding AG... 478,680 10,633,007 0.4%
PSP Swiss Property AG....... 148,327 13,503,004 0.5%
Sulzer AG................... 76,216 13,768,437 0.5%
Swiss Life Holding AG....... 93,938 17,151,719 0.6%
#*Temenos Group AG........... 259,801 8,642,205 0.3%
Other Securities............ 268,508,651 9.9%
-------------- -----
TOTAL SWITZERLAND............. 444,167,907 16.4%
-------------- -----
UNITED KINGDOM -- (0.1%)......
Other Securities............ 3,033,111 0.1%
-------------- -----
TOTAL COMMON STOCKS........... 2,696,329,488 99.4%
-------------- -----
RIGHTS/WARRANTS -- (0.0%).....
BELGIUM -- (0.0%).............
Other Securities............ 2,080 0.0%
-------------- -----
207
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value++
------ -----
DENMARK -- (0.0%)..............................................................................
Other Securities............................................................................. $ 8,623
--------------
FRANCE -- (0.0%)...............................................................................
Other Securities............................................................................. 14,164
--------------
GREECE -- (0.0%)...............................................................................
Other Securities............................................................................. --
--------------
ITALY -- (0.0%)................................................................................
Other Securities............................................................................. 5,453
--------------
NORWAY -- (0.0%)...............................................................................
Other Securities............................................................................. 1,757
--------------
PORTUGAL -- (0.0%).............................................................................
Other Securities............................................................................. 80,321
--------------
SPAIN -- (0.0%)................................................................................
Other Securities............................................................................. 71,955
--------------
SWITZERLAND -- (0.0%)..........................................................................
Other Securities............................................................................. 319
--------------
TOTAL RIGHTS/WARRANTS.......................................................................... 184,672
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.0%)...........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $980,000
FNMA 2.24%, 07/06/15, valued at $1,004,500) to be repurchased at $985,016................... $985 985,000
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (17.4%).......................................................
(S)@DFA Short Term Investment Fund............................................................. 565,595,550 565,595,550
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,822,713)## to be repurchased at
$1,786,980.................................................................................. $1,787 1,786,974
--------------
TOTAL SECURITIES LENDING COLLATERAL............................................................ 567,382,524
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,542,449,640)......................................................................... $3,264,881,684
==============
Percentage
of Net Assets**
---------------
DENMARK -- (0.0%)..............................................................................
Other Securities............................................................................. 0.0%
------
FRANCE -- (0.0%)...............................................................................
Other Securities............................................................................. 0.0%
------
GREECE -- (0.0%)...............................................................................
Other Securities............................................................................. 0.0%
------
ITALY -- (0.0%)................................................................................
Other Securities............................................................................. 0.0%
------
NORWAY -- (0.0%)...............................................................................
Other Securities............................................................................. 0.0%
------
PORTUGAL -- (0.0%).............................................................................
Other Securities............................................................................. 0.0%
------
SPAIN -- (0.0%)................................................................................
Other Securities............................................................................. 0.0%
------
SWITZERLAND -- (0.0%)..........................................................................
Other Securities............................................................................. 0.0%
------
TOTAL RIGHTS/WARRANTS.......................................................................... 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.0%)...........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $980,000
FNMA 2.24%, 07/06/15, valued at $1,004,500) to be repurchased at $985,016................... 0.0%
------
SECURITIES LENDING COLLATERAL -- (17.4%).......................................................
(S)@DFA Short Term Investment Fund............................................................. 20.8%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,822,713)## to be repurchased at
$1,786,980.................................................................................. 0.1%
------
TOTAL SECURITIES LENDING COLLATERAL............................................................ 20.9%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,542,449,640)......................................................................... 120.3%
======
208
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
-------------------------------------------------
Investment in Securities (Market Value)
-------------------------------------------------
Level 1 Level 2 Level 3 Total
----------- -------------- ------- --------------
Common Stocks
Austria $ 123,646 $ 67,251,484 -- $ 67,375,130
Belgium 287,009 92,980,350 -- 93,267,359
Denmark 331,264 74,404,326 -- 74,735,590
Finland -- 175,471,716 -- 175,471,716
France 253,573 343,931,958 -- 344,185,531
Germany 1,637,837 403,359,975 -- 404,997,812
Greece 2,097,516 68,620,743 -- 70,718,259
Ireland 26,116 74,599,924 -- 74,626,040
Israel 4,556,230 73,277,499 -- 77,833,729
Italy -- 236,486,535 -- 236,486,535
Netherlands -- 142,774,154 -- 142,774,154
Norway -- 91,009,733 -- 91,009,733
Portugal -- 25,988,392 -- 25,988,392
Spain 3,333,060 150,363,994 -- 153,697,054
Sweden 11,558 215,949,878 -- 215,961,436
Switzerland 93,555 444,074,352 -- 444,167,907
United Kingdom -- 3,033,111 -- 3,033,111
Rights/Warrants
Belgium 2,080 -- -- 2,080
Denmark 8,623 -- -- 8,623
France 14,164 -- -- 14,164
Greece -- -- -- --
Italy 5,453 -- -- 5,453
Norway -- 1,757 -- 1,757
Portugal 80,321 -- -- 80,321
Spain 71,388 567 -- 71,955
Switzerland 319 -- -- 319
Temporary Cash Investments -- 985,000 -- 985,000
Securities Lending Collateral -- 567,382,524 -- 567,382,524
----------- -------------- -- --------------
TOTAL $12,933,712 $3,251,947,972 -- $3,264,881,684
=========== ============== == ==============
See accompanying Notes to Financial Statements.
209
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (77.9%)..................
Consumer Discretionary -- (7.8%)..........
Astral Media, Inc. Class A.............. 195,947 $ 7,623,325 0.8%
#Corus Entertainment, Inc. Class B...... 295,300 6,207,807 0.7%
#*Dollarama, Inc......................... 197,346 6,184,335 0.7%
Groupe Aeroplan, Inc.................... 696,151 9,542,967 1.0%
#*Imax Corp.............................. 270,137 9,496,123 1.0%
Quebecor, Inc. Class B.................. 169,593 6,024,437 0.6%
#RONA, Inc.............................. 470,775 6,881,381 0.7%
Other Securities........................ 43,360,688 4.5%
------------ -----
Total Consumer Discretionary.............. 95,321,063 10.0%
------------ -----
Consumer Staples -- (1.9%)................
Other Securities........................ 23,292,761 2.4%
------------ -----
Energy -- (19.7%).........................
#AltaGas, Ltd........................... 257,664 6,911,708 0.7%
*Bankers Petroleum, Ltd................. 810,182 7,107,235 0.8%
*BlackPearl Resources, Inc.............. 954,830 8,043,117 0.8%
#Daylight Energy, Ltd................... 724,488 8,315,742 0.9%
#Ensign Energy Services, Inc............ 448,952 8,669,189 0.9%
*Legacy Oil & Gas, Inc.................. 422,302 6,016,626 0.6%
#Mullen Group, Ltd...................... 264,757 5,937,899 0.6%
*Precision Drilling Corp................ 773,845 11,720,339 1.2%
*Progress Energy Resources Corp......... 529,187 7,237,415 0.8%
ShawCor, Ltd............................ 222,500 7,962,638 0.8%
#*SouthGobi Resources, Ltd............... 475,269 5,967,548 0.6%
#Trican Well Service, Ltd............... 494,693 12,192,824 1.3%
#*Uranium One, Inc....................... 1,819,900 7,578,509 0.8%
Other Securities........................ 137,946,677 14.4%
------------ -----
Total Energy.............................. 241,607,466 25.2%
------------ -----
Financials -- (5.4%)......................
AGF Management, Ltd. Class B............ 330,879 6,924,276 0.7%
#Canadian Western Bank.................. 240,300 7,698,032 0.8%
Home Capital Group, Inc................. 120,600 7,265,444 0.8%
#TMX Group, Inc......................... 231,476 9,923,021 1.0%
Other Securities........................ 34,451,268 3.6%
------------ -----
Total Financials.......................... 66,262,041 6.9%
------------ -----
Health Care -- (2.4%).....................
*SXC Health Solutions Corp.............. 187,154 10,343,268 1.1%
Other Securities........................ 19,548,934 2.0%
------------ -----
Total Health Care......................... 29,892,202 3.1%
------------ -----
Industrials -- (7.7%).....................
CAE, Inc................................ 530,943 7,154,810 0.7%
IESI-BFC, Ltd........................... 352,770 8,952,077 0.9%
#Ritchie Brothers Auctioneers, Inc...... 290,737 9,114,051 1.0%
#Russel Metals, Inc..................... 243,400 6,688,580 0.7%
Toromont Industries, Ltd................ 279,959 9,755,587 1.0%
Other Securities........................ 52,528,563 5.5%
------------ -----
Total Industrials......................... 94,193,668 9.8%
------------ -----
Information Technology -- (4.4%)..........
*Celestica, Inc......................... 847,607 9,379,533 1.0%
MacDonald Dettweiler & Associates, Ltd.. 152,820 9,208,126 0.9%
#*Open Text Corp......................... 190,644 11,678,620 1.2%
210
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Shares Value++
------ -----
Information Technology -- (Continued)
Other Securities $ 23,586,681
Total Information Technology 53,852,960
Materials -- (27.0%)
#Alamos Gold, Inc. 423,220 7,103,243
*Consolidated Thompson Iron Mines, Ltd. 656,633 11,881,369
#*Detour Gold Corp. 237,256 8,019,285
#*Euro Goldfields, Ltd. 521,960 7,259,941
#*First Majestic Silver Corp. 326,583 6,848,181
HudBay Minerals, Inc. 583,822 9,317,457
*Lake Shore Gold Corp. 1,280,732 5,495,716
#Methanex Corp. 379,100 12,256,692
*New Gold, Inc. 539,829 6,064,982
#*NovaGold Resources, Inc. 499,855 6,434,745
*Quadra FNX Mining, Ltd. 611,063 10,029,920
*SEMAFO, Inc. 949,885 8,071,739
Sherritt International Corp. 1,042,326 8,813,199
#*Silver Standard Resources, Inc. 284,767 9,905,070
Silvercorp Metals, Inc. 620,630 8,448,676
#*Thompson Creek Metals Co., Inc. 584,600 7,185,856
West Fraser Timber Co., Ltd. 131,316 7,466,893
Other Securities 190,355,911
--------------
Total Materials 330,958,875
--------------
Real Estate Investment Trusts -- (0.1%)
Other Securities 562,745
--------------
Telecommunication Services -- (0.2%)
Other Securities 2,617,421
--------------
Utilities -- (1.3%)
Other Securities 15,709,835
--------------
TOTAL COMMON STOCKS 954,271,037
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.0%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$605,000 FNMA 2.24%, 07/06/15, valued at $620,125) to be repurchased at $606,010 $606 606,000
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (22.1%)
(S)@DFA Short Term Investment Fund 269,460,449 269,460,449
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,008,564)## to be repurchased at
$988,791............................................................................... $ 989 988,788
--------------
TOTAL SECURITIES LENDING COLLATERAL 270,449,237
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,043,681,080) $1,225,326,274
==============
Percentage
of Net Assets**
---------------
Information Technology -- (Continued)
Other Securities 2.5%
Total Information Technology 5.6%
Materials -- (27.0%)
#Alamos Gold, Inc. 0.7%
*Consolidated Thompson Iron Mines, Ltd. 1.2%
#*Detour Gold Corp. 0.8%
#*Euro Goldfields, Ltd. 0.8%
#*First Majestic Silver Corp. 0.7%
HudBay Minerals, Inc. 1.0%
*Lake Shore Gold Corp. 0.6%
#Methanex Corp. 1.3%
*New Gold, Inc. 0.6%
#*NovaGold Resources, Inc. 0.7%
*Quadra FNX Mining, Ltd. 1.1%
*SEMAFO, Inc. 0.8%
Sherritt International Corp. 0.9%
#*Silver Standard Resources, Inc. 1.0%
Silvercorp Metals, Inc. 0.9%
#*Thompson Creek Metals Co., Inc. 0.8%
West Fraser Timber Co., Ltd. 0.8%
Other Securities 19.9%
------
Total Materials 34.6%
------
Real Estate Investment Trusts -- (0.1%)
Other Securities 0.1%
------
Telecommunication Services -- (0.2%)
Other Securities 0.3%
------
Utilities -- (1.3%)
Other Securities 1.7%
------
TOTAL COMMON STOCKS 99.7%
------
TEMPORARY CASH INVESTMENTS -- (0.0%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$605,000 FNMA 2.24%, 07/06/15, valued at $620,125) to be repurchased at $606,010 0.1%
------
SECURITIES LENDING COLLATERAL -- (22.1%)
(S)@DFA Short Term Investment Fund 28.1%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,008,564)## to be repurchased at
$988,791............................................................................... 0.1%
------
TOTAL SECURITIES LENDING COLLATERAL 28.2%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,043,681,080) 128.0%
======
211
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
------------------------------------------------
Investment in Securities (Market Value)
------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------------ ------- --------------
Common Stocks....................
Consumer Discretionary $ 95,321,063 -- -- $ 95,321,063
Consumer Staples 23,292,761 -- -- 23,292,761
Energy 241,607,466 -- -- 241,607,466
Financials 66,262,041 -- -- 66,262,041
Health Care 29,892,202 -- -- 29,892,202
Industrials 94,193,668 -- -- 94,193,668
Information Technology 53,852,960 -- -- 53,852,960
Materials 330,958,875 -- -- 330,958,875
Real Estate Investment Trusts 562,745 -- -- 562,745
Telecommunication Services 2,617,421 -- -- 2,617,421
Utilities 15,709,835 -- -- 15,709,835
Temporary Cash Investments....... -- $ 606,000 -- 606,000
Securities Lending Collateral.... -- 270,449,237 -- 270,449,237
------------ ------------ -- --------------
TOTAL............................ $954,271,037 $271,055,237 -- $1,225,326,274
============ ============ == ==============
See accompanying Notes to Financial Statements.
212
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (85.0%)..................................
BRAZIL -- (4.6%)..........................................
BRF - Brasil Foods SA ADR............................... 590,060 $ 12,220,143 0.4%
Petroleo Brasilerio SA ADR.............................. 1,009,389 37,680,491 1.4%
#Vale SA Sponsored ADR.................................. 375,714 12,548,848 0.4%
Other Securities........................................ 70,233,484 2.6%
------------ -----
TOTAL BRAZIL.............................................. 132,682,966 4.8%
------------ -----
CHILE -- (1.7%)...........................................
Other Securities........................................ 50,098,578 1.8%
------------ -----
CHINA -- (12.0%)..........................................
Bank of China, Ltd...................................... 40,360,100 22,390,727 0.8%
China Construction Bank Corp............................ 26,181,590 24,825,704 0.9%
#China Life Insurance Co., Ltd. ADR..................... 250,705 13,460,351 0.5%
#China Mobile, Ltd. Sponsored ADR....................... 696,697 32,110,765 1.2%
#CNOOC, Ltd. ADR........................................ 68,756 17,151,184 0.6%
Industrial & Commercial Bank of China, Ltd. Series H.... 35,627,185 30,219,447 1.1%
#PetroChina Co., Ltd. ADR............................... 116,910 17,019,758 0.6%
#Tencent Holdings, Ltd.................................. 700,600 20,095,538 0.8%
Other Securities........................................ 172,363,905 6.3%
------------ -----
TOTAL CHINA............................................... 349,637,379 12.8%
------------ -----
COLOMBIA -- (0.4%)........................................
Other Securities........................................ 10,070,883 0.4%
------------ -----
CZECH REPUBLIC -- (0.6%)..................................
Other Securities........................................ 18,089,752 0.7%
------------ -----
EGYPT -- (0.1%)...........................................
Other Securities........................................ 3,237,365 0.1%
------------ -----
HUNGARY -- (0.7%).........................................
Other Securities........................................ 19,965,905 0.7%
------------ -----
INDIA -- (8.4%)...........................................
HDFC Bank, Ltd.......................................... 306,074 15,870,362 0.6%
Infosys Technologies, Ltd............................... 282,676 18,581,616 0.7%
#Infosys Technologies, Ltd. Sponsored ADR............... 233,496 15,219,269 0.5%
Reliance Industries, Ltd................................ 1,645,075 36,515,394 1.3%
Tata Consultancy Services, Ltd.......................... 481,215 12,667,589 0.5%
Other Securities........................................ 146,193,541 5.3%
------------ -----
TOTAL INDIA............................................... 245,047,771 8.9%
------------ -----
INDONESIA -- (2.5%).......................................
PT Astra International Tbk.............................. 2,078,561 13,661,027 0.5%
Other Securities........................................ 59,463,387 2.2%
------------ -----
TOTAL INDONESIA........................................... 73,124,414 2.7%
------------ -----
ISRAEL -- (0.0%)..........................................
Other Securities........................................ 37 0.0%
------------ -----
MALAYSIA -- (3.4%)........................................
Other Securities........................................ 98,899,092 3.6%
------------ -----
MEXICO -- (6.2%)..........................................
#America Movil S.A.B. de C.V. Series L.................. 22,345,121 64,016,791 2.3%
#Fomento Economico Mexicano S.A.B. de C.V. Series B & D. 2,109,900 13,267,863 0.5%
Grupo Mexico S.A.B. de C.V. Series B.................... 3,928,317 13,602,050 0.5%
#Wal-Mart de Mexico S.A.B. de C.V. Series V............. 6,300,780 19,704,134 0.7%
213
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
MEXICO -- (Continued)...........................
Other Securities.............................. $ 70,617,877 2.6%
-------------- -----
TOTAL MEXICO.................................... 181,208,715 6.6%
-------------- -----
PERU -- (0.4%)..................................
Other Securities.............................. 11,168,752 0.4%
-------------- -----
PHILIPPINES -- (0.4%)...........................
Other Securities.............................. 12,189,372 0.5%
-------------- -----
POLAND -- (1.4%)................................
Other Securities.............................. 39,864,572 1.5%
-------------- -----
RUSSIA -- (5.0%)................................
Gazprom OAO Sponsored ADR..................... 3,487,010 59,083,004 2.1%
Lukoil OAO Sponsored ADR...................... 354,178 24,616,048 0.9%
MMC Norilsk Nickel JSC ADR.................... 597,703 16,545,199 0.6%
Other Securities.............................. 45,640,181 1.7%
-------------- -----
TOTAL RUSSIA.................................... 145,884,432 5.3%
-------------- -----
SOUTH AFRICA -- (7.8%)..........................
Impala Platinum Holdings, Ltd................. 478,692 14,970,063 0.5%
MTN Group, Ltd................................ 1,659,950 36,468,496 1.3%
Naspers, Ltd. Series N........................ 324,237 19,216,311 0.7%
#Sasol, Ltd. Sponsored ADR.................... 721,569 41,721,120 1.5%
Standard Bank Group, Ltd...................... 861,864 13,536,033 0.5%
Other Securities.............................. 102,788,992 3.8%
-------------- -----
TOTAL SOUTH AFRICA.............................. 228,701,015 8.3%
-------------- -----
SOUTH KOREA -- (14.3%)..........................
Hyundai Heavy Industries Co., Ltd............. 39,086 19,548,628 0.7%
#Hyundai Mobis................................ 53,070 17,800,124 0.6%
Hyundai Motor Co., Ltd........................ 95,919 22,123,640 0.8%
Kia Motors Corp............................... 225,130 16,195,539 0.6%
LG Chemical, Ltd.............................. 32,392 16,092,933 0.6%
POSCO......................................... 46,060 20,212,768 0.7%
#Samsung Electronics Co., Ltd................. 95,982 80,171,919 2.9%
Samsung Electronics Co., Ltd. GDR............. 49,372 20,610,804 0.8%
#SK Innovation Co., Ltd....................... 51,889 11,287,927 0.4%
Other Securities.............................. 193,951,277 7.1%
-------------- -----
TOTAL SOUTH KOREA............................... 417,995,559 15.2%
-------------- -----
TAIWAN -- (11.6%)...............................
China Steel Corp.............................. 9,036,342 11,189,970 0.4%
Formosa Chemicals & Fiber Co., Ltd............ 3,356,445 13,573,038 0.5%
Formosa Plastics Corp......................... 4,522,648 18,520,887 0.7%
Hon Hai Precision Industry Co., Ltd........... 5,190,997 19,712,931 0.7%
HTC Corp...................................... 553,558 25,196,124 0.9%
Nan Ya Plastic Corp........................... 6,052,564 18,590,966 0.7%
#Taiwan Semiconductor Manufacturing Co., Ltd.. 22,386,808 57,903,170 2.1%
Other Securities.............................. 174,610,573 6.4%
-------------- -----
TOTAL TAIWAN.................................... 339,297,659 12.4%
-------------- -----
THAILAND -- (1.9%)..............................
Other Securities.............................. 54,725,930 2.0%
-------------- -----
TURKEY -- (1.6%)................................
Other Securities.............................. 47,787,564 1.7%
-------------- -----
TOTAL COMMON STOCKS............................. 2,479,677,712 90.4%
-------------- -----
214
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
PREFERRED STOCKS -- (8.3%)................................................................
BRAZIL -- (8.3%)..........................................................................
Banco Bradesco SA....................................................................... 1,584,132 $ 31,396,667
Cia de Bebidas das Americas SA Preferred ADR............................................ 661,939 21,565,973
Itau Unibanco Holding SA................................................................ 1,765,755 41,248,091
Petroleo Brasilerio SA ADR.............................................................. 1,376,550 45,935,474
Vale SA Series A........................................................................ 1,412,691 41,405,531
Other Securities........................................................................ 61,470,052
--------------
TOTAL BRAZIL.............................................................................. 243,021,788
--------------
TOTAL PREFERRED STOCKS.................................................................... 243,021,788
--------------
RIGHTS/WARRANTS -- (0.0%).................................................................
BRAZIL -- (0.0%)..........................................................................
Other Securities........................................................................ 106
--------------
TAIWAN -- (0.0%)..........................................................................
Other Securities........................................................................ 26,088
--------------
TOTAL RIGHTS/WARRANTS..................................................................... 26,194
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%)......................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$6,705,000 FNMA 2.24%, 07/06/15, valued at $6,872,625) to be repurchased at $6,769,107. $6,769 6,769,000
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (6.5%)...................................................
(S)@DFA Short Term Investment Fund........................................................ 188,392,000 188,392,000
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $179,153)## to be repurchased at
$175,641............................................................................... $176 175,640
--------------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 188,567,640
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,415,552,525).................................................................... $2,918,062,334
==============
Percentage
of Net Assets**
---------------
PREFERRED STOCKS -- (8.3%)................................................................
BRAZIL -- (8.3%)..........................................................................
Banco Bradesco SA....................................................................... 1.2%
Cia de Bebidas das Americas SA Preferred ADR............................................ 0.8%
Itau Unibanco Holding SA................................................................ 1.5%
Petroleo Brasilerio SA ADR.............................................................. 1.7%
Vale SA Series A........................................................................ 1.5%
Other Securities........................................................................ 2.2%
------
TOTAL BRAZIL.............................................................................. 8.9%
------
TOTAL PREFERRED STOCKS.................................................................... 8.9%
------
RIGHTS/WARRANTS -- (0.0%).................................................................
BRAZIL -- (0.0%)..........................................................................
Other Securities........................................................................ 0.0%
------
TAIWAN -- (0.0%)..........................................................................
Other Securities........................................................................ 0.0%
------
TOTAL RIGHTS/WARRANTS..................................................................... 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.2%)......................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$6,705,000 FNMA 2.24%, 07/06/15, valued at $6,872,625) to be repurchased at $6,769,107. 0.2%
------
SECURITIES LENDING COLLATERAL -- (6.5%)...................................................
(S)@DFA Short Term Investment Fund........................................................ 6.9%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $179,153)## to be repurchased at
$175,641............................................................................... 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 6.9%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,415,552,525).................................................................... 106.4%
======
215
THE EMERGING MARKETS SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks.................
Brazil...................... $132,682,966 -- -- $ 132,682,966
Chile....................... 50,098,578 -- -- 50,098,578
China....................... 100,798,351 $ 248,839,028 -- 349,637,379
Colombia.................... 10,070,883 -- -- 10,070,883
Czech Republic.............. -- 18,089,752 -- 18,089,752
Egypt....................... -- 3,237,365 -- 3,237,365
Hungary..................... -- 19,965,905 -- 19,965,905
India....................... 30,113,356 214,934,415 -- 245,047,771
Indonesia................... -- 73,124,414 -- 73,124,414
Israel...................... -- 37 -- 37
Malaysia.................... 2,163,060 96,736,032 -- 98,899,092
Mexico...................... 181,200,077 8,638 -- 181,208,715
Peru........................ 11,168,752 -- -- 11,168,752
Philippines................. -- 12,189,372 -- 12,189,372
Poland...................... -- 39,864,572 -- 39,864,572
Russia...................... 740,666 145,143,766 -- 145,884,432
South Africa................ 64,559,947 164,141,068 -- 228,701,015
South Korea................. 5,334,552 412,661,007 -- 417,995,559
Taiwan...................... 9,062,700 330,234,959 -- 339,297,659
Thailand.................... 54,725,930 -- -- 54,725,930
Turkey...................... 443,693 47,343,871 -- 47,787,564
Preferred Stocks..............
Brazil...................... 243,021,788 -- -- 243,021,788
Rights/Warrants...............
Brazil...................... 106 -- -- 106
Taiwan...................... -- 26,088 -- 26,088
Temporary Cash Investments.... -- 6,769,000 -- 6,769,000
Securities Lending Collateral. -- 188,567,640 -- 188,567,640
------------ -------------- -- --------------
TOTAL......................... $896,185,405 $2,021,876,929 -- $2,918,062,334
============ ============== == ==============
See accompanying Notes to Financial Statements.
216
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (88.6%)...........................
ARGENTINA -- (0.0%)................................
Other Securities................................. $ 1 0.0%
------------ -----
BRAZIL -- (7.4%)...................................
*Anhanguera Educacional Participacoes SA......... 288,445 6,441,058 0.3%
*BR Malls Participacoes SA....................... 567,258 5,992,771 0.3%
*Cia Hering SA................................... 315,490 6,828,397 0.3%
Diagnosticos Da America SA....................... 507,200 6,809,092 0.3%
Duratex SA....................................... 624,462 6,569,315 0.3%
*Localiza Rent a Car SA.......................... 268,500 4,616,657 0.2%
Lojas Renner SA.................................. 273,700 10,142,836 0.5%
Sul America SA................................... 411,948 5,357,524 0.3%
Totvs SA......................................... 267,020 5,110,585 0.2%
Other Securities................................. 118,512,845 5.4%
------------ -----
TOTAL BRAZIL....................................... 176,381,080 8.1%
------------ -----
CHILE -- (2.1%)....................................
Other Securities................................. 49,538,319 2.3%
------------ -----
CHINA -- (12.5%)...................................
*Brilliance China Automotive Holdings, Ltd....... 11,292,000 11,072,619 0.5%
#ENN Energy Holdings, Ltd........................ 2,178,000 7,441,116 0.3%
#Lonking Holdings, Ltd........................... 6,648,000 4,905,480 0.2%
#*Semiconductor Manufacturing International Corp.. 93,483,000 8,383,100 0.4%
Other Securities................................. 266,309,787 12.2%
------------ -----
TOTAL CHINA........................................ 298,112,102 13.6%
------------ -----
HUNGARY -- (0.1%)..................................
Other Securities................................. 3,876,120 0.2%
------------ -----
INDIA -- (10.0%)...................................
Other Securities................................. 239,196,971 10.9%
------------ -----
INDONESIA -- (3.4%)................................
PT Charoen Pokphand Indonesia Tbk................ 30,466,000 6,876,300 0.3%
PT Kalbe Farma Tbk............................... 12,304,238 5,148,026 0.2%
Other Securities................................. 68,716,159 3.2%
------------ -----
TOTAL INDONESIA.................................... 80,740,485 3.7%
------------ -----
ISRAEL -- (0.0%)...................................
Other Securities................................. 651,403 0.0%
------------ -----
MALAYSIA -- (5.1%).................................
Dialog Group Berhad.............................. 6,956,692 5,854,232 0.2%
Other Securities................................. 117,449,179 5.4%
------------ -----
TOTAL MALAYSIA..................................... 123,303,411 5.6%
------------ -----
MEXICO -- (3.5%)...................................
Embotelladora Arca S.A.B. de C.V................. 1,891,600 11,485,953 0.5%
#*Empresas ICA S.A.B. de C.V. Sponsored ADR....... 681,589 6,727,283 0.3%
Grupo Continental S.A.B. de C.V.................. 3,036,559 11,368,928 0.5%
*Industrias CH S.A.B. de C.V. Series B........... 1,172,808 4,647,750 0.2%
Other Securities................................. 48,669,626 2.3%
------------ -----
TOTAL MEXICO....................................... 82,899,540 3.8%
------------ -----
PHILIPPINES -- (2.3%)..............................
Other Securities................................. 54,232,225 2.5%
------------ -----
217
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
POLAND -- (2.2%)..........................................
Other Securities........................................ $ 54,175,832 2.5%
-------------- -----
SOUTH AFRICA -- (8.4%)....................................
Adcock Ingram Holdings, Ltd............................. 565,230 5,248,914 0.3%
AECI, Ltd............................................... 459,895 6,012,681 0.3%
Aveng, Ltd.............................................. 1,051,746 5,588,707 0.3%
AVI, Ltd................................................ 1,007,184 4,722,875 0.2%
Clicks Group, Ltd....................................... 970,964 6,451,141 0.3%
Foschini Group, Ltd. (The).............................. 672,822 9,287,008 0.4%
Imperial Holdings, Ltd.................................. 380,116 6,746,036 0.3%
JD Group, Ltd........................................... 983,807 7,191,413 0.3%
MMI Holdings, Ltd....................................... 1,925,326 4,994,411 0.2%
Mr. Price Group, Ltd.................................... 693,186 7,101,614 0.3%
PSG Group, Ltd.......................................... 742,484 4,936,302 0.2%
Reunert, Ltd............................................ 689,181 6,541,015 0.3%
Spar Group, Ltd. (The).................................. 622,477 9,234,629 0.4%
Tongaat-Hulett, Ltd..................................... 629,016 9,191,761 0.4%
Woolworths Holdings, Ltd................................ 1,576,910 7,197,198 0.4%
Other Securities........................................ 99,891,434 4.6%
-------------- -----
TOTAL SOUTH AFRICA........................................ 200,337,139 9.2%
-------------- -----
SOUTH KOREA -- (13.0%)....................................
*BS Financial Group, Inc................................ 413,910 6,025,284 0.3%
#CJ Cheiljedang Corp.................................... 23,413 5,434,748 0.3%
Daegu Bank, Ltd......................................... 367,913 6,153,086 0.3%
*Daelim Industrial Co., Ltd............................. 46,223 5,227,996 0.2%
Dongbu Insurance Co., Ltd............................... 97,230 4,636,282 0.2%
*Hyosung T & C Co., Ltd................................. 60,227 4,943,455 0.2%
#Hyundai Department Store Co., Ltd...................... 35,437 5,199,202 0.2%
#Korea Komho Petrochemical Co., Ltd..................... 28,640 5,458,512 0.3%
#Woongjin Coway Co., Ltd................................ 142,150 4,750,618 0.2%
*Woori Investment & Securities Co., Ltd................. 252,470 5,068,309 0.2%
Other Securities........................................ 258,070,476 11.8%
-------------- -----
TOTAL SOUTH KOREA......................................... 310,967,968 14.2%
-------------- -----
TAIWAN -- (12.8%).........................................
Other Securities........................................ 305,365,539 14.0%
-------------- -----
THAILAND -- (3.1%)........................................
Other Securities........................................ 74,201,639 3.4%
-------------- -----
TURKEY -- (2.7%)..........................................
Other Securities........................................ 64,266,401 2.9%
-------------- -----
TOTAL COMMON STOCKS....................................... 2,118,246,175 96.9%
-------------- -----
PREFERRED STOCKS -- (2.6%)................................
BRAZIL -- (2.6%)..........................................
#Braskem SA Preferred A Sponsored ADR................... 259,214 7,732,354 0.4%
*Eletropaulo Metropolitana Eletricidade de Sao Paulo SA. 368,000 8,980,117 0.4%
Klabin SA............................................... 1,412,700 5,468,690 0.2%
*Suzano Papel e Celullose SA............................ 488,293 4,804,714 0.2%
Ultrapar Participacoes SA............................... 267,380 4,673,881 0.2%
Other Securities........................................ 30,973,705 1.4%
-------------- -----
TOTAL BRAZIL.............................................. 62,633,461 2.8%
-------------- -----
INDIA -- (0.0%)...........................................
Other Securities........................................ 114,700 0.0%
-------------- -----
MALAYSIA -- (0.0%)........................................
Other Securities........................................ 10,455 0.0%
-------------- -----
218
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares Value++
------ -----
PHILIPPINES -- (0.0%)....................................................................
Other Securities....................................................................... $ 174
---------------
TOTAL PREFERRED STOCKS................................................................... 62,758,790
---------------
RIGHTS/WARRANTS -- (0.1%)................................................................
BRAZIL -- (0.0%).........................................................................
Other Securities....................................................................... 56
---------------
CHINA -- (0.0%)..........................................................................
Other Securities....................................................................... --
---------------
POLAND -- (0.0%).........................................................................
Other Securities....................................................................... 639,526
---------------
TAIWAN -- (0.0%).........................................................................
Other Securities....................................................................... 103,520
---------------
THAILAND -- (0.1%).......................................................................
Other Securities....................................................................... 740,593
---------------
TURKEY -- (0.0%).........................................................................
Other Securities....................................................................... 113,565
---------------
TOTAL RIGHTS/WARRANTS.................................................................... 1,597,260
---------------
Shares/
Face
Amount Value+
------ -----
(000)
SECURITIES LENDING COLLATERAL -- (8.7%)..................................................
(S)@DFA Short Term Investment Fund....................................................... 206,164,900 206,164,900
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,840,727)## to be repurchased at
$1,804,640.............................................................................. $1,805 1,804,634
---------------
TOTAL SECURITIES LENDING COLLATERAL...................................................... 207,969,534
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,670,482,090)................................................................... $2,390,571,759
===============
Percentage
of Net Assets**
---------------
PHILIPPINES -- (0.0%)....................................................................
Other Securities....................................................................... 0.0%
------
TOTAL PREFERRED STOCKS................................................................... 2.8%
------
RIGHTS/WARRANTS -- (0.1%)................................................................
BRAZIL -- (0.0%).........................................................................
Other Securities....................................................................... 0.0%
------
CHINA -- (0.0%)..........................................................................
Other Securities....................................................................... 0.0%
------
POLAND -- (0.0%).........................................................................
Other Securities....................................................................... 0.0%
------
TAIWAN -- (0.0%).........................................................................
Other Securities....................................................................... 0.0%
------
THAILAND -- (0.1%).......................................................................
Other Securities....................................................................... 0.1%
------
TURKEY -- (0.0%).........................................................................
Other Securities....................................................................... 0.0%
------
TOTAL RIGHTS/WARRANTS.................................................................... 0.1%
------
SECURITIES LENDING COLLATERAL -- (8.7%)..................................................
(S)@DFA Short Term Investment Fund....................................................... 9.4%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,840,727)## to be repurchased at
$1,804,640.............................................................................. 0.1%
------
TOTAL SECURITIES LENDING COLLATERAL...................................................... 9.5%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,670,482,090)................................................................... 109.3%
======
219
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
---------------------------------------------------
Investment in Securities (Market Value)
---------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- ---------------
Common Stocks.................
Argentina................... -- $ 1 -- $ 1
Brazil...................... $176,381,080 -- -- 176,381,080
Chile....................... 49,538,319 -- -- 49,538,319
China....................... 1,408,043 296,704,059 -- 298,112,102
Hungary..................... -- 3,876,120 -- 3,876,120
India....................... 3,220,694 235,976,277 -- 239,196,971
Indonesia................... 377,789 80,362,696 -- 80,740,485
Israel...................... 2,447 648,956 -- 651,403
Malaysia.................... 34,460 123,268,951 -- 123,303,411
Mexico...................... 82,605,573 293,967 -- 82,899,540
Philippines................. 14,447 54,217,778 -- 54,232,225
Poland...................... -- 54,175,832 -- 54,175,832
South Africa................ 328,308 200,008,831 -- 200,337,139
South Korea................. 7,079,184 303,888,784 -- 310,967,968
Taiwan...................... 709,360 304,656,179 -- 305,365,539
Thailand.................... 73,926,838 274,801 -- 74,201,639
Turkey...................... -- 64,266,401 -- 64,266,401
Preferred Stocks..............
Brazil...................... 62,594,700 38,761 -- 62,633,461
India....................... -- 114,700 -- 114,700
Malaysia.................... 10,455 -- -- 10,455
Philippines................. -- 174 -- 174
Rights/Warrants...............
Brazil...................... 56 -- -- 56
China....................... -- -- -- --
Poland...................... -- 639,526 -- 639,526
Taiwan...................... -- 103,520 -- 103,520
Thailand.................... -- 740,593 -- 740,593
Turkey...................... 113,565 -- -- 113,565
Securities Lending Collateral. -- 207,969,534 -- 207,969,534
------------ -------------- ---- ---------------
TOTAL......................... $458,345,318 $1,932,226,441 -- $2,390,571,759
============ ============== ==== ===============
See accompanying Notes to Financial Statements.
220
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The U.S. The DFA The Japanese The Asia Pacific
Large Cap International Small Small
Value Value Company Company
Series Series Series Series
----------- ------------- ------------ ----------------
ASSETS:
Investments at Value (including $505,764, $1,489,149,
$212,417 and $177,875 of securitieson loan, respectively) $10,388,932 $8,070,656 $1,461,727 $1,087,659
Temporary Cash Investments at Value & Cost 10,179 8,222 4,276 653
Collateral Received from Securities on Loan at Value & Cost 1,507 1,322 4,474 446
Affiliated Collateral Received from Securities on Loan at
Value & Cost 523,266 1,646,576 221,672 201,646
Foreign Currencies at Value -- 29,913 3,482 17,216
Cash -- 16 15 16
Receivables:
Investment Securities Sold 11,012 18,234 -- 242
Dividends, Interest and Tax Reclaims 9,094 35,891 15,620 2,594
Securities Lending Income 516 3,179 173 241
Fund Shares Sold 687 1,237 -- --
Unrealized Gain on Foreign Currency Contracts -- 59 12 59
Prepaid Expenses and Other Assets 20 14 3 2
----------- ---------- ---------- ----------
Total Assets 10,945,213 9,815,319 1,711,454 1,310,774
----------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 524,773 1,647,898 226,146 202,092
Investment Securities Purchased 13,594 35,319 6,040 9,482
Fund Shares Redeemed 362 290 1,382 155
Due to Advisor 846 1,304 117 90
Unrealized Loss on Foreign Currency Contracts -- 58 -- 18
Accrued Expenses and Other Liabilities 375 507 109 30
----------- ---------- ---------- ----------
Total Liabilities........................................ 539,950 1,685,376 233,794 211,867
----------- ---------- ---------- ----------
NET ASSETS $10,405,263 $8,129,943 $1,477,660 $1,098,907
=========== ========== ========== ==========
Investments at Cost......................................... $ 7,045,535 $5,713,642 $1,557,062 $ 816,651
=========== ========== ========== ==========
Foreign Currencies at Cost.................................. $ -- $ 29,193 $ 3,412 $ 16,682
=========== ========== ========== ==========
See accompanying Notes to Financial Statements.
221
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The United The The
Kingdom Continental Canadian The The Emerging
Small Small Small Emerging Markets
Company Company Company Markets Small Cap
Series Series Series Series Series
---------- ----------- ---------- ---------- ------------
ASSETS:
Investments at Value (including $19,070, $531,267,
$255,528, $179,800 and $190,411 of securities on
loan,respectively) $1,264,176 $2,696,514 $ 954,271 $2,722,725 $2,182,602
Temporary Cash Investments at Value & Cost 780 985 606 6,769 --
Collateral Received from Securities on Loan at
Value & Cost 126 1,787 989 176 1,805
Affiliated Collateral Received from Securities on Loan
at Value & Cost 20,248 565,596 269,460 188,392 206,165
Foreign Currencies at Value............................ 2,838 14,698 8,119 7,252 3,600
Cash................................................... 15 16 15 1,212 --
Receivables:
Investment Securities Sold............................ 1,466 1,501 -- 23,773 9,980
Dividends, Interest and Tax Reclaims.................. 6,812 5,485 690 6,291 4,060
Securities Lending Income............................. 18 1,283 210 222 310
Fund Shares Sold...................................... -- -- -- 1,007 860
Unrealized Gain on Foreign Currency
Contracts.............................................. -- 1 -- 1 1
Prepaid Expenses and Other Assets...................... 2 4 2 5 3
---------- ---------- ---------- ---------- ----------
Total Assets........................................ 1,296,481 3,287,870 1,234,362 2,957,825 2,409,386
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned...................... 20,374 567,383 270,449 188,568 207,970
Investment Securities Purchased....................... 440 7,303 6,211 21,582 9,111
Fund Shares Redeemed.................................. 26 67 -- 141 --
Due to Advisor........................................ 100 217 79 224 357
Loan Payable.......................................... -- -- -- -- 848
Deferred Thailand Capital Gains Tax.................... -- -- -- 4,947 4,434
Accrued Expenses and Other Liabilities................. 53 71 18 334 46
---------- ---------- ---------- ---------- ----------
Total Liabilities................................... 20,993 575,041 276,757 215,796 222,766
---------- ---------- ---------- ---------- ----------
NET ASSETS............................................. $1,275,488 $2,712,829 $ 957,605 $2,742,029 $2,186,620
========== ========== ========== ========== ==========
Investments at Cost.................................... $1,011,628 $1,974,082 $ 772,626 $1,220,216 $1,462,513
========== ========== ========== ========== ==========
Foreign Currencies at Cost............................. $ 2,764 $ 14,296 $ 7,995 $ 7,196 $ 3,549
========== ========== ========== ========== ==========
See accompanying Notes to Financial Statements.
222
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The Asia
The U.S. The DFA The Japanese Pacific
Large International Small Small
Cap Value Value Company Company
Series Series Series Series
---------- ------------- ------------ --------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $8,897, $1,277
and $419, respectively)...................................... $ 80,274 $ 113,603 $ 16,987 $ 14,565
Interest....................................................... 15 16 4 2
Income from Securities Lending................................. 2,935 5,858 991 1,261
---------- ---------- -------- --------
Total Investment Income.................................... 83,224 119,477 17,982 15,828
---------- ---------- -------- --------
Expenses
Investment Advisory Services Fees.............................. 4,740 7,445 688 501
Accounting & Transfer Agent Fees............................... 449 357 76 59
Custodian Fees................................................. 47 565 130 201
Shareholders' Reports.......................................... 24 19 3 2
Directors'/Trustees' Fees & Expenses........................... 60 46 9 6
Professional Fees.............................................. 91 71 12 8
Other.......................................................... 36 69 10 7
---------- ---------- -------- --------
Total Expenses............................................. 5,447 8,572 928 784
---------- ---------- -------- --------
Net Investment Income (Loss)................................... 77,777 110,905 17,054 15,044
---------- ---------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:...................................
Investment Securities Sold................................... 284,130 132,766 7,570 40,183
Futures...................................................... (12,647) -- -- --
Foreign Currency Transactions................................ -- 1,257 (238) 227
Change in Unrealized Appreciation (Depreciation) of:...........
Investment Securities and Foreign Currency................... 1,503,303 778,946 120,239 74,355
Translation of Foreign Currency Denominated Amounts.......... -- 338 (180) 43
---------- ---------- -------- --------
Net Realized and Unrealized Gain (Loss)........................ 1,774,786 913,307 127,391 114,808
---------- ---------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................... $1,852,563 $1,024,212 $144,445 $129,852
========== ========== ======== ========
See accompanying Notes to Financial Statements.
223
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The United The
Kingdom Continental The Canadian The The Emerging
Small Small Small Emerging Markets
Company Company Company Markets Small Cap
Series Series Series Series Series
---------- ----------- ------------ -------- ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $1,
$3,300, $1,169, $1,822 and $1,342, respectively).. $ 16,043 $ 21,125 $ 6,617 $ 22,931 $ 16,458
Interest............................................ 1 8 4 8 9
Income from Securities Lending...................... 164 3,885 1,270 1,335 1,751
-------- -------- -------- -------- --------
Total Investment Income......................... 16,208 25,018 7,891 24,274 18,218
-------- -------- -------- -------- --------
Expenses
Investment Advisory Services Fees................... 560 1,148 408 1,293 1,961
Accounting & Transfer Agent Fees.................... 64 119 50 132 103
Custodian Fees...................................... 40 298 74 901 753
Shareholders' Reports............................... 3 5 1 7 4
Directors'/Trustees' Fees & Expenses................ 6 13 4 16 11
Professional Fees................................... 9 19 5 59 24
Other............................................... 7 19 4 29 17
-------- -------- -------- -------- --------
Total Expenses.................................. 689 1,621 546 2,437 2,873
-------- -------- -------- -------- --------
Net Investment Income (Loss) 15,519 23,397 7,345 21,837 15,345
-------- -------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:........................
Investment Securities Sold........................ 13,539 27,303 29,066 136,468 77,002
Futures........................................... -- (287) -- -- --
Foreign Currency Transactions..................... 184 319 94 368** (273)**
Change in Unrealized Appreciation (Depreciation)
of:...............................................
Investment Securities and Foreign Currency........ 158,143 398,412 138,753 130,547 44,013
Translation of Foreign Currency Denominated
Amounts......................................... 163 159 (23) 3 69
Change in Deferred Thailand Capital Gains Tax....... -- -- -- (519) (437)
-------- -------- -------- -------- --------
Net Realized and Unrealized Gain (Loss) 172,029 425,906 167,890 266,867 120,374
-------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations $187,548 $449,303 $175,235 $288,704 $135,719
======== ======== ======== ======== ========
--------
**Net of foreign capital gain taxes withheld of $212 and $167, respectively.
See accompanying Notes to Financial Statements.
224
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. The DFA
Large Cap Value International Value
Series Series
----------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ---------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:.................................................
Net Investment Income (Loss).............................. $ 77,777 $ 167,346 $ 110,905 $ 164,482
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................... 284,130 638,095 132,766 360,748
Futures.................................................. (12,647) -- -- --
Foreign Currency Transactions............................ -- -- 1,257 (156)
Change in Unrealized Appreciation (Depreciation) of:......
Investment Securities and Foreign Currency............... 1,503,303 678,724 778,946 182,952
Translation of Foreign Currency Denominated Amounts...... -- -- 338 537
----------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 1,852,563 1,484,165 1,024,212 708,563
----------- ---------- ---------- ----------
Transactions in Interest:...................................
Contributions............................................. 625,011 512,765 303,154 611,794
Withdrawals............................................... (888,711) (688,930) (117,056) (592,688)
----------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest... (263,700) (176,165) 186,098 19,106
----------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets................. 1,588,863 1,308,000 1,210,310 727,669
Net Assets
Beginning of Period....................................... 8,816,400 7,508,400 6,919,633 6,191,964
----------- ---------- ---------- ----------
End of Period............................................. $10,405,263 $8,816,400 $8,129,943 $6,919,633
=========== ========== ========== ==========
The Japanese
Small Company
Series
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:.................................................
Net Investment Income (Loss).............................. $ 17,054 $ 23,032
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................... 7,570 (15,709)
Futures.................................................. -- --
Foreign Currency Transactions............................ (238) 792
Change in Unrealized Appreciation (Depreciation) of:......
Investment Securities and Foreign Currency............... 120,239 (460)
Translation of Foreign Currency Denominated Amounts...... (180) 315
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 144,445 7,970
---------- ----------
Transactions in Interest:...................................
Contributions............................................. 134,547 61,990
Withdrawals............................................... (12,932) (41,396)
---------- ----------
Net Increase (Decrease) from Transactions in Interest... 121,615 20,594
---------- ----------
Total Increase (Decrease) in Net Assets................. 266,060 28,564
Net Assets
Beginning of Period....................................... 1,211,600 1,183,036
---------- ----------
End of Period............................................. $1,477,660 $1,211,600
========== ==========
See accompanying Notes to Financial Statements.
225
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific The United Kingdom
Small Company Small Company
Series Series
-------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- -------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:.................................................
Net Investment Income (Loss).............................. $ 15,044 $ 28,020 $ 15,519 $ 24,392
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................... 40,183 46,684 13,539 35,525
Futures.................................................. -- -- -- --
Foreign Currency Transactions............................ 227 (20) 184 126
Change in Unrealized Appreciation (Depreciation) of:......
Investment Securities and Foreign Currency............... 74,355 129,509 158,143 152,112
Translation of Foreign Currency Denominated Amounts...... 43 (75) 163 (30)
---------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 129,852 204,118 187,548 212,125
---------- -------- ---------- ----------
Transactions in Interest:...................................
Contributions............................................. 59,832 85,604 52,839 59,131
Withdrawals............................................... (25,915) (35,581) (1,593) (5,034)
---------- -------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest... 33,917 50,023 51,246 54,097
---------- -------- ---------- ----------
Total Increase (Decrease) in Net Assets................. 163,769 254,141 238,794 266,222
Net Assets
Beginning of Period....................................... 935,138 680,997 1,036,694 770,472
---------- -------- ---------- ----------
End of Period............................................. $1,098,907 $935,138 $1,275,488 $1,036,694
========== ======== ========== ==========
The Continental
Small Company
Series
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:.................................................
Net Investment Income (Loss).............................. $ 23,397 $ 38,583
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................... 27,303 72,573
Futures.................................................. (287) --
Foreign Currency Transactions............................ 319 811
Change in Unrealized Appreciation (Depreciation) of:......
Investment Securities and Foreign Currency............... 398,412 156,901
Translation of Foreign Currency Denominated Amounts...... 159 30
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 449,303 268,898
---------- ----------
Transactions in Interest:...................................
Contributions............................................. 195,707 199,653
Withdrawals............................................... (4,665) (26,959)
---------- ----------
Net Increase (Decrease) from Transactions in Interest... 191,042 172,694
---------- ----------
Total Increase (Decrease) in Net Assets................. 640,345 441,592
Net Assets
Beginning of Period....................................... 2,072,484 1,630,892
---------- ----------
End of Period............................................. $2,712,829 $2,072,484
========== ==========
See accompanying Notes to Financial Statements.
226
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Canadian
Small Company The Emerging
Series Markets Series
-------------------- -----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- -------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 7,345 $ 5,240 $ 21,837 $ 48,891
Net Realized Gain (Loss) on:
Investment Securities Sold 29,066 6,585 136,468 160,587
Foreign Currency Transactions 94 40 368** 541
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 138,753 168,950 130,547 337,045
Translation of Foreign Currency Denominated Amounts (23) (11) 3 (5)
Change in Deferred Thailand Capital Gains Tax............. -- -- (519) (2,275)
-------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets Resultingfrom
Operations............................................. 175,235 180,804 288,704 544,784
-------- -------- ---------- ----------
Transactions in Interest:...................................
Contributions............................................. 126,648 117,737 126,062 199,169
Withdrawals............................................... (8,000) -- (202,230) (323,776)
-------- -------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest... 118,648 117,737 (76,168) (124,607)
-------- -------- ---------- ----------
Total Increase (Decrease) in Net Assets................. 293,883 298,541 212,536 420,177
Net Assets
Beginning of Period....................................... 663,722 365,181 2,529,493 2,109,316
-------- -------- ---------- ----------
End of Period............................................. $957,605 $663,722 $2,742,029 $2,529,493
======== ======== ========== ==========
The Emerging
Markets Small Cap
Series
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
---------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) $ 15,345 $ 30,699
Net Realized Gain (Loss) on:
Investment Securities Sold 77,002 102,089
Foreign Currency Transactions (273)** 77**
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 44,013 382,774
Translation of Foreign Currency Denominated Amounts 69 (76)
Change in Deferred Thailand Capital Gains Tax............. (437) (3,052)
---------- ----------
Net Increase (Decrease) in Net Assets Resultingfrom
Operations............................................. 135,719 512,511
---------- ----------
Transactions in Interest:...................................
Contributions............................................. 215,115 344,585
Withdrawals............................................... (45,570) (143,713)
---------- ----------
Net Increase (Decrease) from Transactions in Interest... 169,545 200,872
---------- ----------
Total Increase (Decrease) in Net Assets................. 305,264 713,383
Net Assets
Beginning of Period....................................... 1,881,356 1,167,973
---------- ----------
End of Period............................................. $2,186,620 $1,881,356
========== ==========
--------
**Net of foreign capital gain taxes withheld of $212 and $167, respectively.
See accompanying Notes to Financial Statements.
227
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+
----------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year
Ended Ended Ended 2007 to Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006
-----------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return............ 22.06%(C) 19.96% 11.90% (36.53)%(C) (0.32)% 18.16%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of
Period
(thousands)............ $10,405,263 $8,816,400 $7,508,400 $6,739,363 $10,159,322 $8,866,306
Ratio of Expenses to
Average Net
Assets................. 0.12%(B) 0.12% 0.13% 0.11%(B) 0.11% 0.12%
Ratio of Net Investment
Income to Average
Net Assets............. 1.66%(B) 2.02% 2.42% 1.97%(B) 1.44% 1.68%
Portfolio Turnover
Rate................... 7%(C) 28% 29% 19%(C) 9% 13%
-----------------------------------------------------------------------------------------------------------
The DFA International Value Series+
----------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year
Ended Ended Ended 2007 to Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006
-----------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return............ 14.62%(C) 11.13% 35.41% (47.87)%(C) 17.32% 35.73%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of
Period
(thousands)............ $ 8,129,943 $6,919,633 $6,191,964 $4,700,337 $ 9,638,721 $7,457,252
Ratio of Expenses to
Average Net
Assets................. 0.23%(B) 0.24% 0.24% 0.23%(B) 0.23% 0.23%
Ratio of Net Investment
Income to Average
Net Assets............. 3.01%(B) 2.55% 3.22% 4.15%(B) 3.04% 3.29%
Portfolio Turnover
Rate................... 5%(C) 20% 18% 16%(C) 16% 8%
-----------------------------------------------------------------------------------------------------------
The U.S. Large Cap Value Series+
-----------------------------------
Year
Ended
Nov. 30,
2005
------------------------------------------------------------
Total Return............ 14.66%
------------------------------------------------------------
Net Assets, End of
Period
(thousands)............ $5,831,587
Ratio of Expenses to
Average Net
Assets................. 0.14%
Ratio of Net Investment
Income to Average
Net Assets............. 1.56%
Portfolio Turnover
Rate................... 9%
------------------------------------------------------------
The DFA International Value Series+
-----------------------------------
Year
Ended
Nov. 30,
2005
------------------------------------------------------------
Total Return............ 15.61%
------------------------------------------------------------
Net Assets, End of
Period
(thousands)............ $4,367,698
Ratio of Expenses to
Average Net
Assets................. 0.27%
Ratio of Net Investment
Income to Average
Net Assets............. 2.71%
Portfolio Turnover
Rate................... 10%
------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
228
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Japanese Small Company Series
--------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.................. 11.85%(C) 0.72% 22.69% (26.87)%(C) (1.16)% (2.28)% 31.03%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $1,477,660 $1,211,600 $1,183,036 $1,062,964 $1,504,821 $1,385,722 $1,151,429
Ratio of Expenses to Average
Net Assets................... 0.14%(B) 0.14% 0.15% 0.13%(B) 0.13% 0.14% 0.22%
Ratio of Net Investment
Income to Average Net Assets. 2.50%(B) 1.95% 2.15% 2.64%(B) 1.94% 1.68% 1.51%
Portfolio Turnover Rate....... 3%(C) 10% 7% 10%(C) 9% 9% 6%
---------------------------------------------------------------------------------------------------------------------------
The Asia Pacific Small Company Series
--------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.................. 13.66%(C) 28.91% 84.98% (57.75)%(C) 47.23% 38.26% 9.30%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $1,098,907 $ 935,138 $ 680,997 $ 441,237 $1,205,154 $ 749,627 $ 395,923
Ratio of Expenses to Average
Net Assets................... 0.16%(B) 0.17% 0.18% 0.15%(B) 0.15% 0.17% 0.27%
Ratio of Net Investment
Income to Average Net Assets. 3.03%(B) 3.64% 4.00% 4.33%(B) 3.58% 4.19% 4.33%
Portfolio Turnover Rate....... 9%(C) 18% 23% 20%(C) 25% 14% 10%
---------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes..........................................................
See accompanying Notes to Financial Statements.
229
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series
----------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return............. 17.06%(C) 25.94% 43.51% (50.77)%(C) 2.42% 44.80% 12.88%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)...... $1,275,488 $1,036,694 $ 770,472 $ 555,390 $1,158,580 $1,117,826 $643,038
Ratio of Expenses to
Average Net Assets...... 0.12%(B) 0.13% 0.14% 0.12%(B) 0.12% 0.13% 0.22%
Ratio of Net Investment
Income to Average Net
Assets.................. 2.80%(B) 2.86% 4.02% 3.79%(B) 2.72% 2.70% 3.19%
Portfolio Turnover Rate.. 4%(C) 15% 10% 25%(C) 12% 8% 12%
------------------------------------------------------------------------------------------------------------------
The Continental Small Company Series
----------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return............. 20.33%(C) 15.37% 43.78% (49.66)%(C) 17.49% 47.10% 18.97%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)...... $2,712,829 $2,072,484 $1,630,892 $1,111,585 $2,256,122 $1,875,194 $981,938
Ratio of Expenses to
Average Net Assets...... 0.14%(B) 0.15% 0.16% 0.14%(B) 0.14% 0.15% 0.24%
Ratio of Net Investment
Income to Average Net
Assets.................. 2.06%(B) 2.24% 2.93% 3.49%(B) 2.16% 2.27% 2.16%
Portfolio Turnover Rate.. 3%(C) 12% 7% 18%(C) 12% 7% 18%
------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.................................................
See accompanying Notes to Financial Statements.
230
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Canadian Small Company Series
----------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Period
Ended Ended Ended 2007 to April 2, 2007(a)
April 30, Oct. 31, Oct. 31, Oct. 31, to
2011 2010 2009 2008 Nov. 30, 2007
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return............. 25.47%(C) 43.17% 61.67% (56.44)%(C) 10.20%(C)
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)...... $ 957,605 $ 663,722 $ 365,181 $ 232,873 $ 213,529
Ratio of Expenses to
Average Net Assets...... 0.14%(B) 0.15% 0.17% 0.18%(B) 0.26%(B)(E)
Ratio of Net Investment
Income to Average Net
Assets.................. 1.82%(B) 1.05% 1.37% 0.97%(B) 0.47%(B)(E)
Portfolio Turnover Rate.. 9%(C) 10% 23% 21%(C) 6%(C)
-----------------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series
---------------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return............. 11.76%(C) 27.04% 53.99% (48.15)%(C) 42.62% 31.87% 31.23%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)...... $2,742,029 $2,529,493 $2,109,316 $1,624,524 $3,707,790 $2,414,971 $1,852,565
Ratio of Expenses to
Average Net Assets...... 0.19%(B) 0.19% 0.20% 0.18%(B) 0.19% 0.20% 0.27%
Ratio of Net Investment
Income to Average Net
Assets.................. 1.70%(B) 2.18% 2.57% 3.00%(B) 2.52% 2.54% 3.70%
Portfolio Turnover Rate.. 6%(C) 12% 14% 19%(C) 7% 11% 9%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes............................................................
See accompanying Notes to Financial Statements.
231
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series
------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.................. 6.45%(C) 41.96% 92.08% (56.84)%(C) 43.32% 40.55% 24.85%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $2,186,620 $1,881,356 $1,167,973 $566,379 $1,525,571 $903,529 $545,271
Ratio of Expenses to Average
Net Assets................... 0.30%(B) 0.32% 0.33% 0.30%(B) 0.31% 0.34% 0.49%
Ratio of Net Investment
Income to Average Net Assets. 1.58%(B) 2.16% 2.52% 3.07%(B) 1.94% 2.39% 2.70%
Portfolio Turnover Rate....... 8%(C) 15% 13% 19%(C) 16% 18% 8%
-------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes..................................................
See accompanying Notes to Financial Statements.
232
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational investment portfolios, of which nine are
included in this section of the report (collectively, the "Series"), and two
are presented in separate reports.
Domestic Equity Portfolio International Equity Portfolios
------------------------- -------------------------------
The U.S. Large Cap Value Series The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
Effective December 31, 2008 and November 1, 2008, The U.S. Large Cap Value
Series and The DFA International Value Series, respectively, each a master fund
in a RIC/RIC master-feeder structure, elected with the consent of their
respective Holder(s) to change their U.S. federal income tax classification
from that of an association taxable as a corporation to a partnership pursuant
to Treasury Regulation (S) 301.7701-3. The change in capital structure and
retroactive reclassification of the statement of changes in net assets and
financial highlights for the respective funds is a result of the treatment of a
partnership for book purposes. Each Series/Portfolio will maintain its books
and records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk, etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
233
Securities held by the Domestic Equity Portfolio and the International
Equity Portfolios, including over-the-counter securities, are valued at the
last quoted sale price of the day. Securities held by the Domestic Equity
Portfolio and the International Equity Portfolios that are listed on Nasdaq are
valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last
reported sale price or NOCP for the day, the Domestic Equity Portfolio and
International Equity Portfolios value the securities at the mean of the most
recent quoted bid and asked prices. Price information on listed securities is
taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end investment companies are valued using their
respective net asset values or public offering prices, as appropriate, for
purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. These securities are generally categorized as
Level 2 in the hierarchy. Fair value pricing may also be used if events that
have a significant effect on the value of an investment (as determined in the
discretion of the Investment Committee of the Advisor) occur before the net
asset value is calculated. When fair value pricing is used, the prices of
securities used by the Domestic Equity Portfolios and International Equity
Portfolios may differ from the quoted or published prices for the same
securities on their primary markets or exchanges.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is
fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the Trust have determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Equity Portfolios utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). When an
International Equity Portfolio uses fair value pricing, the values assigned to
the International Equity Portfolio's foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Series did not have any significant transfers between Level 1 and Level
2 during the six months ended April 30, 2011.
2. Foreign Currency Translation: Securities and other assets and liabilities
of the International Equity Portfolios, whose values are initially expressed in
foreign currencies, are translated to U.S. dollars using the mean between the
most recently quoted bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
234
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of all or a portion
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2
Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of agreed
upon years; or quarterly installments over a period of agreed upon years. Each
Trustee shall have the right in a notice of election to defer compensation (the
"Notice") to elect to defer the receipt of the Trustee's deferred compensation
until a date specified by such Trustee in the Notice, which date may not be
sooner than the earlier of: (i) the first business day of January following the
year in which such Trustee ceases to be a member of the Board of the Fund; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board of the Fund (unless the Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2011, none of the Trustees have
requested or received a distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimate the character of distributions
received that may be considered return of capital distributions. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Directors/Trustees, generally based on average
net assets.
The International Portfolios may be subject to taxes imposed by countries in
which they invest, with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
Series accrue such taxes when the related income or capital gains are earned or
throughout the holding period. Some countries require governmental approval for
the repatriation of investment income, capital or the proceeds of sales earned
by foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series and The Emerging Markets Small Cap Series
investments in Thailand are subject to a 15% governmental capital gains tax.
Such taxes are due upon sale of individual securities. The Emerging Markets
Series and The Emerging Markets Small Cap Series accrue for taxes on the
capital gains throughout the holding period based on the unrealized gain of the
underlying securities. These Series are also subject to a 15% governmental
capital gains tax on short-term capital gains for investments in India. Such
taxes are due upon sale of individual securities. The taxes for the capital
gains are accrued when the capital gains are earned.
235
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the six months ended April 30,
2011, the Series' investment advisory services fees were accrued daily and paid
monthly to the Advisor based on the following effective annual rates of average
daily net assets:
The U.S. Large Cap Value Series......... 0.10%
The DFA International Value Series...... 0.20%
The Japanese Small Company Series....... 0.10%
The Asia Pacific Small Company Series... 0.10%
The United Kingdom Small Company Series. 0.10%
The Continental Small Company Series.... 0.10%
The Canadian Small Company Series....... 0.10%
The Emerging Markets Series............. 0.10%
The Emerging Markets Small Cap Series... 0.20%
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2011, the total
related amounts paid by the Trust to the CCO were $42 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
The U.S. Large Cap Value Series......... $255
The DFA International Value Series...... 199
The Japanese Small Company Series....... 42
The Asia Pacific Small Company Series... 21
The United Kingdom Small Company Series. 24
The Continental Small Company Series.... 51
The Canadian Small Company Series....... 12
The Emerging Markets Series............. 68
The Emerging Markets Small Cap Series... 36
E. Purchases and Sales of Securities:
For the six months ended April 30, 2011, the Series made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases Sales
--------- --------
The U.S. Large Cap Value Series......... $661,050 $848,904
The DFA International Value Series...... 651,422 376,563
The Japanese Small Company Series....... 172,277 40,281
The Asia Pacific Small Company Series... 129,912 88,013
The United Kingdom Small Company Series. 106,687 43,591
The Continental Small Company Series.... 284,846 74,374
The Canadian Small Company Series....... 187,221 70,990
236
Purchases Sales
--------- --------
The Emerging Markets Series........... $157,324 $227,516
The Emerging Markets Small Cap Series. 342,525 159,184
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
Some of the Series' investments are in securities considered to be "passive
foreign investment companies" for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for federal income tax
purposes. At October 31, 2010, the following Series had cumulative unrealized
appreciation (depreciation) (mark to market) to be included in distributable
net investment income for federal tax purposes. For the year ended October 31,
2010, realized gains on the sale of passive foreign investment companies have
been reclassified from accumulated net realized gains to accumulated net
investment income for federal tax purposes. Amounts listed below are in
thousands.
Mark to Market Realized Gains
-------------- --------------
The Japanese Small Company Series....... $ 715 $ 32
The Asia Pacific Small Company Series... 20,807 310
The United Kingdom Small Company Series. 2,607 --
The Continental Small Company Series.... 328 6,878
The Canadian Small Company Series....... 10,180 2,733
The Emerging Markets Series............. 462 --
The Emerging Markets Small Cap Series... 718 293
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
----------- ------------ -------------- --------------
The U.S. Large Cap Value Series......... $7,580,502 $3,384,626 $ (41,244) $3,343,382
The DFA International Value Series...... 7,369,966 2,452,488 (95,678) 2,356,810
The Japanese Small Company Series....... 1,788,780 180,217 (276,848) (96,631)
The Asia Pacific Small Company Series... 1,023,520 382,078 (115,194) 266,884
The United Kingdom Small Company Series. 1,037,370 384,396 (136,436) 247,960
The Continental Small Company Series.... 2,543,762 946,294 (225,174) 721,120
The Canadian Small Company Series....... 1,043,681 263,584 (81,939) 181,645
The Emerging Markets Series............. 1,415,979 1,520,666 (18,583) 1,502,083
The Emerging Markets Small Cap Series... 1,671,048 824,124 (104,600) 719,524
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no provision for income tax is required in any
Series' financial statements. No Series is aware of any tax positions for which
it is reasonably possible that the total amounts of unrecognized tax benefits
will significantly change in the next six months. Each of the Series' federal
tax returns for the prior three fiscal years remains subject to examination by
the Internal Revenue Service.
237
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Repurchase Agreements: The Series may purchase certain U.S. Government
securities subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on April 29, 2011.
2. Foreign Markets Risks: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States of America, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States of
America. Consequently, acquisition and disposition of securities by the Master
Funds may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a fund uses derivatives, how derivatives
238
are accounted for and how derivative instruments affect a fund's results of
operations and financial position. Summarized
below are the specific types of derivative instruments used by the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Series deposits cash or pledges U.S. Government securities to a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Series as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Series record a realized gain or
loss, which is presented in the Statements of Operations as a net realized gain
or loss on futures, equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period.
The following is a summary of the Series' location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2011 (amounts in
thousands):
Location on the Statements Equity
of Operations Contracts
------------------------------------ ----------
The U.S. Large Cap Value Series*...... Net Realized Gain (Loss) on Futures $(12,647)
The Continental Small Company Series*. Net Realized Gain (Loss) on Futures (287)
*As of April 30, 2011, there were no futures contracts outstanding. During
the six months ended April 30, 2011, the Series had limited activity in futures
contracts.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed upon by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Trust, together with other Dimensional-advised portfolios,
is currently negotiating a new $250 million unsecured discretionary line of
credit with The Bank of New York Mellon, an affiliate of its domestic custodian
bank, to replace the existing line of credit. The Trust anticipates the new
line of credit will have substantially the same terms and conditions as the
existing line of credit. There were no borrowings by the Series under this line
of credit during the six months ended April 30, 2011.
239
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012.
For the six months ended April 30, 2011, borrowings by the Series under this
line of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding Incurred the Period
------------- ------------ ----------- -------- ---------------
The U.S. Large Cap Value Series......... 0.94% $8,294 11 $ 2 $15,367
The DFA International Value Series...... 0.91% 1,607 5 -- 4,688
The Japanese Small Company Series....... 0.92% 2,430 2 -- 4,628
The Asia Pacific Small Company Series... 0.93% 430 11 -- 1,047
The United Kingdom Small Company Series. 0.94% 135 12 -- 1,227
The Emerging Markets Series............. 0.91% 4,846 29 4 15,798
The Emerging Markets Small Cap Series... 0.90% 3,410 14 1 5,314
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended that each Series' available line of credit was
utilized.
At April 30, 2011, The Emerging Markets Small Cap Series had a loan
outstanding in the amount of $848 (in thousands).
I. Securities Lending:
As of April 30, 2011, some of the Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. In addition,
The Emerging Market Series and The Emerging Markets Small Cap Series received
non-cash collateral with a market value of $91,717 and $75, respectively (in
thousands). Each Series invests the cash collateral, as described below, and
records a liability for the return of the collateral, during the period the
securities are on loan. Loans of securities are expected at all times to be
secured by collateral equal to at least (i) 100% of the current market value of
the loaned securities with respect to securities of the U.S. government or its
agencies, (ii) 102% of the current market value of the loaned securities with
respect to U.S. securities, and (iii) 105% of the current market value of the
loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Each Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest
240
on the loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
L. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in the bankruptcy
case of the Tribune Company, (the "Tribune"), and subsequently additional
similar class actions have been filed seeking the same recovery (the
"Lawsuits"). The defendants are The U.S. Large Cap Value Series and hundreds of
other mutual funds, institutional investors and others who owned shares in
Tribune in 2007 when it became private in a leveraged buyout transaction and
who, at that time, sold their shares back to Tribune for cash in the amount of
$34 per share. The Lawsuits allege that the payment for the shares by the
Tribune violated the rights of creditors and seeks to have the cash paid to
shareholders returned to the Tribune's bankruptcy estate and/or various
creditors of the Tribune.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does
not believe that it is possible, at this early stage in the proceedings, to
predict with any reasonable certainty the probable outcome of the Lawsuits or
quantify the ultimate exposure to The U.S. Large Cap Value Series arising from
the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of
the net asset value of The U.S. Large Cap Value Series will be made
241
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery they seek, the amount would be less than 1% of The
U.S. Large Cap Value Series' net asset value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
242
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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLE
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
Actual Fund Return............ $1,000.00 $1,095.36 0.18% $0.94
Hypothetical 5% Annual Return. $1,000.00 $1,023.90 0.18% $0.90
--------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period.
243
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Emerging Markets Value Fund, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. Dimensional Emerging Markets Value Fund filed its most
recent Form N-Q with the SEC on March 31, 2011. It is available upon request
without charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
Dimensional Emerging Markets Value Fund
Consumer Discretionary.......... 8.1%
Consumer Staples................ 5.9%
Energy.......................... 16.7%
Financials...................... 30.3%
Health Care..................... 0.6%
Industrials..................... 10.8%
Information Technology.......... 6.8%
Materials....................... 17.6%
Other........................... --
Real Estate Investment Trusts... --
Telecommunication Services...... 1.9%
Utilities....................... 1.3%
-----
100.0%
244
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (88.0%)
BRAZIL -- (7.7%)
Banco Santander Brasil SA ADR 11,387,872 $ 132,213,194 0.9%
BM&F Bovespa SA 27,844,267 209,026,693 1.3%
#BRF - Brasil Foods SA ADR 2,898,191 60,021,536 0.4%
#Petroleo Brasileiro SA ADR 8,044,663 300,307,270 1.9%
Other Securities 590,630,476 3.8%
-------------- -----
TOTAL BRAZIL 1,292,199,169 8.3%
-------------- -----
CHILE -- (2.0%)
Empresas CMPC SA 1,514,513 84,048,975 0.5%
#Enersis SA Sponsored ADR 3,029,239 64,704,545 0.4%
Other Securities 188,074,737 1.2%
-------------- -----
TOTAL CHILE 336,828,257 2.1%
-------------- -----
CHINA -- (13.2%)
#Bank of China, Ltd. 679,449,331 376,940,711 2.4%
#Bank of Communications Co., Ltd. 71,838,704 76,084,287 0.5%
China Citic Bank Corp., Ltd. 88,050,716 63,188,308 0.4%
China Construction Bank Corp. 77,940,940 73,904,552 0.5%
China Petroleum & Chemical Corp. 87,408,289 88,104,958 0.6%
#China Petroleum & Chemical Corp. ADR 855,368 86,195,433 0.5%
#China Unicom Hong Kong, Ltd. ADR 6,160,737 126,048,679 0.8%
Other Securities 1,311,631,181 8.4%
-------------- -----
TOTAL CHINA 2,202,098,109 14.1%
-------------- -----
CZECH REPUBLIC -- (0.3%)
Other Securities 42,947,874 0.3%
-------------- -----
HUNGARY -- (0.9%)
#*OTP Bank P.L.C. 2,633,742 93,504,071 0.6%
Other Securities 55,376,670 0.3%
-------------- -----
TOTAL HUNGARY 148,880,741 0.9%
-------------- -----
INDIA -- (8.2%)
*Hindalco Industries, Ltd. 13,050,819 63,739,905 0.4%
#ICICI Bank, Ltd. Sponsored ADR 3,332,795 167,972,868 1.1%
Reliance Industries, Ltd. 10,494,511 232,944,520 1.5%
Other Securities 909,972,988 5.8%
-------------- -----
TOTAL INDIA 1,374,630,281 8.8%
-------------- -----
INDONESIA -- (3.1%)
PT Bumi Resources Tbk 280,320,500 112,640,639 0.7%
Other Securities 404,685,413 2.6%
-------------- -----
TOTAL INDONESIA 517,326,052 3.3%
-------------- -----
ISRAEL -- (0.0%)
Other Securities 1,935,402 0.0%
-------------- -----
MALAYSIA -- (3.0%)
Other Securities 505,226,583 3.2%
-------------- -----
MEXICO -- (5.1%)
#*Alfa S.A.B. de C.V. Series A 4,088,867 60,773,400 0.4%
#*Cemex S.A.B. de C.V. Sponsored ADR 12,041,259 104,518,131 0.7%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 1,819,711 114,459,822 0.7%
Grupo Mexico S.A.B. de C.V. Series B 24,866,224 86,100,896 0.5%
245
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
MEXICO -- (Continued)
Other Securities $ 482,096,392 3.1%
-------------- -----
TOTAL MEXICO 847,948,641 5.4%
-------------- -----
PHILIPPINES -- (0.7%)
Other Securities 120,116,570 0.8%
POLAND -- (2.0%)
*Polski Koncern Naftowy Orlen SA 5,310,008 110,676,798 0.7%
Other Securities 222,750,326 1.4%
-------------- -----
TOTAL POLAND 333,427,124 2.1%
-------------- -----
RUSSIA -- (5.3%)
Gazprom OAO Sponsored ADR 40,355,438 683,772,202 4.4%
Lukoil OAO Sponsored ADR 2,280,971 158,531,847 1.0%
Other Securities 36,483,467 0.2%
-------------- -----
TOTAL RUSSIA 878,787,516 5.6%
-------------- -----
SOUTH AFRICA -- (7.4%)
ABSA Group, Ltd. 4,102,878 84,982,853 0.5%
Gold Fields, Ltd. Sponsored ADR 8,246,089 147,110,228 0.9%
Nedbank Group, Ltd. 2,742,435 61,104,932 0.4%
Sanlam, Ltd. 28,700,406 123,107,886 0.8%
Standard Bank Group, Ltd. 5,556,368 87,265,717 0.6%
#Steinhoff International Holdings, Ltd. 15,446,217 59,166,634 0.4%
Other Securities 682,266,718 4.4%
-------------- -----
TOTAL SOUTH AFRICA 1,245,004,968 8.0%
-------------- -----
SOUTH KOREA -- (13.4%)
Hana Financial Group, Inc. 2,249,314 95,435,538 0.6%
#Hyundai Motor Co., Ltd. 808,044 186,374,700 1.2%
#*KB Financial Group, Inc. ADR 2,704,559 144,125,949 0.9%
#LG Display Co., Ltd. ADR 3,695,836 65,859,798 0.4%
#LG Electronics, Inc. 1,013,377 97,558,535 0.6%
#POSCO ADR 1,371,214 151,244,904 1.0%
Samsung Corp 1,105,770 80,104,872 0.5%
#Samsung SDI Co., Ltd. 350,064 62,728,387 0.4%
Shinhan Financial Group Co., Ltd. 2,734,497 134,149,237 0.9%
#Shinhan Financial Group Co., Ltd. ADR 802,794 77,887,074 0.5%
Other Securities 1,153,663,316 7.4%
-------------- -----
TOTAL SOUTH KOREA 2,249,132,310 14.4%
-------------- -----
TAIWAN -- (11.7%)
#*AU Optronics Corp. Sponsored ADR 7,615,683 61,687,032 0.4%
#*Chimei Innolux Corp. 57,224,389 58,904,264 0.4%
Chinatrust Financial Holdings Co., Ltd. 63,452,646 58,296,613 0.4%
First Financial Holding Co., Ltd. 62,688,366 58,162,950 0.3%
Fubon Financial Holding Co., Ltd. 45,381,501 66,664,005 0.4%
Mega Financial Holding Co., Ltd. 84,568,731 73,886,615 0.5%
#United Microelectronics Corp. 146,596,681 76,516,058 0.5%
Other Securities 1,505,232,998 9.6%
-------------- -----
TOTAL TAIWAN 1,959,350,535 12.5%
-------------- -----
THAILAND -- (2.1%)
Other Securities 359,399,297 2.3%
-------------- -----
TURKEY -- (1.9%)
Other Securities 310,992,722 2.0%
-------------- -----
246
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value++
------ -----
UNITED STATES -- (0.0%).....................................................................
Other Securities.......................................................................... $ 6,279,425
---------------
TOTAL COMMON STOCKS......................................................................... 14,732,511,576
---------------
PREFERRED STOCKS -- (4.6%)..................................................................
BRAZIL -- (4.6%)............................................................................
#Petroleo Brasileiro SA ADR............................................................... 10,516,809 350,945,916
Usinas Siderurgicas de Minas Gerais SA Series A........................................... 7,223,910 73,928,904
Other Securities.......................................................................... 350,831,763
---------------
TOTAL BRAZIL................................................................................ 775,706,583
---------------
INDIA -- (0.0%).............................................................................
Other Securities.......................................................................... 270,524
---------------
MALAYSIA -- (0.0%)..........................................................................
Other Securities.......................................................................... 90,163
---------------
TOTAL PREFERRED STOCKS...................................................................... 776,067,270
---------------
RIGHTS/WARRANTS -- (0.0%)...................................................................
BRAZIL -- (0.0%)............................................................................
Other Securities.......................................................................... 5,999
---------------
CHINA -- (0.0%).............................................................................
Other Securities.......................................................................... --
---------------
POLAND -- (0.0%)............................................................................
Other Securities.......................................................................... 762,367
---------------
TAIWAN -- (0.0%)............................................................................
Other Securities.......................................................................... 168,290
---------------
TOTAL RIGHTS/WARRANTS....................................................................... 936,656
---------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.8%)........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$133,035,000 FNMA 2.24%, 07/06/15, valued at $136,360,875) to be repurchased at
$134,343,127............................................................................. $134,341 134,341,000
---------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (6.6%).....................................................
(S)@DFA Short Term Investment Fund........................................................ 1,097,100,048 1,097,100,048
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $114,150)## to be repurchased at
$111,912................................................................................. $112 111,912
---------------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 1,097,211,960
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,487,198,917)..................................................................... $16,741,068,462
===============
Percentage
of Net Assets**
---------------
UNITED STATES -- (0.0%).....................................................................
Other Securities.......................................................................... 0.0%
------
TOTAL COMMON STOCKS......................................................................... 94.1%
------
PREFERRED STOCKS -- (4.6%)..................................................................
BRAZIL -- (4.6%)............................................................................
#Petroleo Brasileiro SA ADR............................................................... 2.2%
Usinas Siderurgicas de Minas Gerais SA Series A........................................... 0.5%
Other Securities.......................................................................... 2.2%
------
TOTAL BRAZIL................................................................................ 4.9%
------
INDIA -- (0.0%).............................................................................
Other Securities.......................................................................... 0.0%
------
MALAYSIA -- (0.0%)..........................................................................
Other Securities.......................................................................... 0.0%
------
TOTAL PREFERRED STOCKS...................................................................... 4.9%
------
RIGHTS/WARRANTS -- (0.0%)...................................................................
BRAZIL -- (0.0%)............................................................................
Other Securities.......................................................................... 0.0%
------
CHINA -- (0.0%).............................................................................
Other Securities.......................................................................... 0.0%
------
POLAND -- (0.0%)............................................................................
Other Securities.......................................................................... 0.0%
------
TAIWAN -- (0.0%)............................................................................
Other Securities.......................................................................... 0.0%
------
TOTAL RIGHTS/WARRANTS....................................................................... 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.8%)........................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$133,035,000 FNMA 2.24%, 07/06/15, valued at $136,360,875) to be repurchased at
$134,343,127............................................................................. 0.9%
------
SECURITIES LENDING COLLATERAL -- (6.6%).....................................................
(S)@DFA Short Term Investment Fund........................................................ 7.0%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $114,150)## to be repurchased at
$111,912................................................................................. 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 7.0%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,487,198,917)..................................................................... 106.9%
======
247
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of inputs used to value the Fund's investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ---------------- ------- ----------------
Common Stocks.................
Brazil...................... $1,292,199,169 -- -- $ 1,292,199,169
Chile....................... 336,828,257 -- -- 336,828,257
China....................... 241,703,359 $ 1,960,394,750 -- 2,202,098,109
Czech Republic.............. -- 42,947,874 -- 42,947,874
Hungary..................... -- 148,880,741 -- 148,880,741
India....................... 198,824,101 1,175,806,180 -- 1,374,630,281
Indonesia................... 4,335,587 512,990,465 -- 517,326,052
Israel...................... 30,499 1,904,903 -- 1,935,402
Malaysia.................... 8,882,748 496,343,835 -- 505,226,583
Mexico...................... 847,129,147 819,494 -- 847,948,641
Philippines................. -- 120,116,570 -- 120,116,570
Poland...................... -- 333,427,124 -- 333,427,124
Russia...................... -- 878,787,516 -- 878,787,516
South Africa................ 231,930,817 1,013,074,151 -- 1,245,004,968
South Korea................. 460,707,680 1,788,424,630 -- 2,249,132,310
Taiwan...................... 61,687,032 1,897,663,503 -- 1,959,350,535
Thailand.................... 359,399,297 -- -- 359,399,297
Turkey...................... 6,881,917 304,110,805 -- 310,992,722
United States............... 6,279,425 -- -- 6,279,425
Preferred Stocks..............
Brazil...................... 775,706,583 -- -- 775,706,583
India....................... -- 270,524 -- 270,524
Malaysia.................... 90,163 -- -- 90,163
Rights/Warrants...............
Brazil...................... 5,999 -- -- 5,999
China....................... -- -- -- --
Poland...................... -- 762,367 -- 762,367
Taiwan...................... -- 168,290 -- 168,290
Temporary Cash Investments.... -- 134,341,000 -- 134,341,000
Securities Lending Collateral. -- 1,097,211,960 -- 1,097,211,960
-------------- ---------------- ---- ----------------
TOTAL......................... $4,832,621,780 $11,908,446,682 -- $16,741,068,462
============== ================ ==== ================
See accompanying Notes to Financial Statements.
248
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
ASSETS:
Investments at Value (including $1,020,998 of securities on loan) $15,509,516
Temporary Cash Investments at Value & Cost 134,341
Collateral Received from Securities on Loan at Value & Cost 112
Affiliated Collateral Received from Securities on Loan at Value & Cost 1,097,100
Foreign Currencies at Value 18,572
Cash 17,834
Receivables:
Investment Securities Sold 9,929
Dividends, Interest and Tax Reclaims 27,992
Fund Shares Sold 18,600
Securities Lending Income 800
Unrealized Gain on Foreign Currency Contracts 65
Prepaid Expenses and Other Assets 18
-----------
Total Assets 16,834,879
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 1,097,212
Investment Securities Purchased 57,409
Fund Shares Redeemed 84
Due to Advisor 1,270
Deferred Thailand Capital Gains Tax 22,797
Accrued Expenses and Other Liabilities 569
-----------
Total Liabilities 1,179,341
-----------
NET ASSETS $15,655,538
===========
Investments at Cost $11,255,646
===========
Foreign Currencies at Cost $ 18,146
===========
See accompanying Notes to Financial Statements.
249
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $8,179)............ $ 95,140
Interest....................................................... 54
Income from Securities Lending................................. 4,382
----------
Total Investment Income...................................... 99,576
----------
Expenses
Investment Advisory Services Fees.............................. 6,755
Accounting & Transfer Agent Fees............................... 637
Custodian Fees................................................. 4,405
Shareholders' Reports.......................................... 26
Directors'/Trustees' Fees & Expenses........................... 72
Professional Fees.............................................. 167
Other.......................................................... 151
----------
Total Expenses............................................... 12,213
----------
Net Investment Income (Loss)................................... 87,363
----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:...................................
Investment Securities Sold................................... 192,268
Foreign Currency Transactions................................ (1,508)**
Change in Unrealized Appreciation (Depreciation) of:...........
Investment Securities and Foreign Currency................... 1,023,743
Translation of Foreign Currency Denominated Amounts.......... 227
Change in Deferred Thailand Capital Gains Tax.................. (6,494)
----------
Net Realized and Unrealized Gain (Loss)........................ 1,208,236
----------
Net Increase (Decrease) in Net Assets Resulting from Operations. $1,295,599
==========
--------
** Net of foreign capital gain taxes withheld of $683.
See accompanying Notes to Financial Statements.
250
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 87,363 $ 171,366
Net Realized Gain (Loss) on:..........................................
Investment Securities Sold.......................................... 192,268 591,224
Foreign Currency Transactions....................................... (1,508)** (3,254)**
Change in Unrealized Appreciation (Depreciation) of:..................
Investment Securities and Foreign Currency.......................... 1,023,743 1,841,702
Translation of Foreign Currency Denominated Amounts................. 227 (154)
Change in Deferred Thailand Capital Gains Tax......................... (6,494) (10,266)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations... 1,295,599 2,590,618
----------- -----------
Transactions in Interest:
Contributions......................................................... 2,673,962 2,372,583
Withdrawals........................................................... (231,978) (1,010,371)
----------- -----------
Net Increase (Decrease) from Transactions in Interest............. 2,441,984 1,362,212
----------- -----------
Total Increase (Decrease) in Net Assets........................... 3,737,583 3,952,830
Net Assets
Beginning of Period................................................... 11,917,955 7,965,125
----------- -----------
End of Period......................................................... $15,655,538 $11,917,955
=========== ===========
--------
** Net of foreign capital gain taxes withheld of $683 and $1,806, respectively.
See accompanying Notes to Financial Statements.
251
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Six Months Year Year Period Year Year Year
Ended Ended Ended Dec. 1, 2007 Ended Ended Ended
April 30, Oct. 31, Oct. 31, to Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 Oct. 31, 2008 2007 2006 2005
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return...................... 9.54%(C) 30.55% 79.39% (55.47)%(C) 51.59% 42.14% 31.60%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $15,655,538 $11,917,955 $7,965,125 $4,048,404 $8,188,710 $4,837,912 $2,417,064
Ratio of Expenses to Average Net
Assets.......................... 0.18%(B) 0.19% 0.21% 0.19%(B) 0.19% 0.22% 0.29%
Ratio of Net Investment Income to
Average Net Assets.............. 1.30%(B) 1.81% 2.17% 3.19%(B) 2.50% 2.57% 3.23%
Portfolio Turnover Rate........... 3%(C) 15% 20% 14%(C) 14% 9% 7%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
252
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a
closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, DEM I was
reorganized as an open-end management investment company. On October 27, 2009,
the Board of Directors and shareholders of DEM I approved an Agreement and Plan
of Reorganization that provided for the reorganization of DEM I from a Maryland
corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I
transferred all of its assets and liabilities to Dimensional Emerging Markets
Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free
exchange under IRC (S)368(a)(1)(F).
Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM
II"), a master fund in a master-feeder structure, elected with the consent of
its Holder(s) to change its U.S. federal income tax classification from that of
an association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S)301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for DEM II is a result of the treatment of a partnership for book
purposes. DEM II and Emerging Markets Value Portfolio ("Portfolio") will
maintain their books and records and present their financial statements in
accordance with generally accepted accounting principles for investment
partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Fund from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Fund utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk, etc.)
. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
Securities held by the Fund (including over-the-counter securities) are
valued at the last quoted sale price of the day. Securities held by the Fund
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the Fund
values the securities at the mean of the most recent quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Generally, securities issued by open-end
investment companies are valued using their respective net asset values or
public offering prices, as appropriate, for purchase orders placed at the close
of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
253
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. These securities are generally categorized as
Level 2 in the hierarchy. Fair value pricing may also be used if events that
have a significant effect on the value of an investment (as determined in the
discretion of the Investment Committee of the Advisor) occur before the net
asset value is calculated. When fair value pricing is used, the prices of
securities used by the Fund may differ from the quoted or published prices for
the same securities on their primary markets or exchanges.
The Fund will also fair value price in the circumstances described below.
Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 11:00 p.m. PT), which is fourteen hours prior to the
close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset
value of the Fund is computed. Due to the time differences between the closings
of the relevant foreign securities exchanges and the time the Fund prices its
shares at the close of the NYSE, the Fund will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Fund's foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the Fund has determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the Fund utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Fund uses fair value
pricing, the values assigned to the Fund's foreign investments may not be the
quoted or published prices of the investments on their primary markets or
exchanges.
Futures contracts held by the Fund are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund's investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Fund did not have any significant transfers between Level 1 and Level 2
during the six months ended April 30, 2011.
2. Foreign Currency Translation: Securities and other assets and liabilities
of the Fund whose values are initially expressed in foreign currencies are
translated to U.S. dollars using the mean between the most recently quoted bid
and asked prices for the U.S. dollar as quoted by generally recognized reliable
sources. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to market
based on daily exchange rates and exchange gains or losses are realized upon
ultimate receipt or disbursement.
The Fund does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the Fund's books and the
U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of all or a portion
of their total fees earned as a Director. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2
Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity
254
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses. At April 30,
2011, the total liability for deferred compensation to Directors is included in
Accrued Expenses and Other Liabilities on the Statement of Assets and
Liabilities in the amount of $247 (in thousands).
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2011, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Fund estimates the character of distributions
received that may be considered return of capital distributions. Interest
income is recorded on the accrual basis. Expenses directly attributable to the
Fund are directly charged.
The Fund may be subject to taxes imposed by countries in which it invests,
with respect to its investment in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Fund's investments in Chile are subject to governmental taxes on
investment income. Such taxes are due when currencies are repatriated from the
country. The Fund accrues for taxes on income as the income is earned.
The Fund's investments in Thailand are subject to a 15% governmental capital
gains tax. Such taxes are due upon sale of individual securities. The Fund
accrues for taxes on the capital gains throughout the holding period based on
the unrealized gain of the underlying securities. The Fund is also subject to a
15% governmental capital gains tax on short-term capital gains for investments
in India. Such taxes are due upon sale of individual securities. The taxes for
the capital gains are accrued when the capital gains are earned.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Fund. For the six months ended April 30,
2011, the Fund's advisory services fees were accrued daily and paid monthly to
the Advisor based on an effective annual rate of 0.10% of average daily net
assets.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the Fund to the CCO were $12 (in thousands). The total
related amounts paid by the Fund are included in Other Expenses on the
Statement of Operations.
255
D. Purchases and Sales of Securities:
For the six months ended April 30, 2011, the Fund made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases. $2,778,849
Sales..... 348,912
There were no purchases or sales of long-term U.S. government securities.
E. Federal Income Taxes:
No provision for federal income taxes is required since the Series' are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
Some of the Fund's investments are in securities considered to be "passive
foreign investment companies" for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. At
October 31, 2010, the Fund had cumulative unrealized appreciation
(depreciation) (mark to market) of $1,547 (in thousands) to be included in
distributable net investment income for federal tax purposes. For the year
ended October 31, 2010, realized gains on the sale of passive foreign
investment companies totaling $4 (in thousands) have been reclassified from
accumulated net realized gains to accumulated net investment income for federal
tax purposes.
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
----------- ------------ -------------- --------------
$12,497,138 $4,816,156 $(572,225) $4,243,931
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed the Fund's tax
position and has concluded that no provision for income tax is required in the
Fund's financial statements. The Fund is not aware of any tax position for
which it is reasonably possible that the total amounts of unrecognized tax
benefits will significantly change in the next six months. The Fund federal tax
returns for the prior three fiscal years remain subject to examination by the
Internal Revenue Service.
Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM
II"), a master fund in a master-feeder structure with one RIC feeder and other
direct client investors has made a "Check-the-Box" election for federal income
tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change their
federal entity classifications from a corporation taxable as a regulated
investment company to a partnership. DEM II and the Portfolio will maintain
their books and records and present their financial statements in accordance
with generally accepted accounting principals for investment partnerships. As a
result of this election, the master fund is deemed to have distributed all of
its assets and liabilities on October 31, 2009 to its shareholders in
liquidation of the master fund. Since the master fund has a shareholder owning
80% or more of the fund's shares, and also has shareholders owning less than
80%, the transaction creates a non-taxable transaction, pursuant to Internal
Revenue Code (S)332, for those owning more than 80%, and a taxable transaction,
pursuant to Internal Revenue Code (S)331, for those shareholders owning less
than 80%. Immediately after the deemed liquidation, the shareholders
contributed all of the distributed assets and liabilities to a newly formed
partnership. The final tax year end of the Master Fund was October 31, 2009.
For federal income tax purposes, pursuant to Code (S)336(a), the master fund
recognizes gain or loss relative to the investment of the less than 80%
shareholders as if the master's investment securities were sold to those
shareholders and, pursuant to Code (S)331, each of those shareholders
recognizes gain or loss as if it liquidated its investment in
256
the master. Pursuant to Code (S)334(a), each of these shareholders will take a
fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
In regards to the shareholder owning 80% or more of the master fund, pursuant
to Code (S)332(a), the shareholder will not recognize any gain or loss on the
deemed liquidation. However, pursuant to Code (S)332(c), a portion of the
deemed distribution, which otherwise would have been tax-free as discussed
above, since it is utilized by the master fund to satisfy its dividends paid
deduction for the tax year, must be recognized and treated as a dividend by the
80% or greater shareholder. Pursuant to Code (S)334(b)(1) and (S)1223, the 80%
or greater shareholder's basis and holding period in the securities received in
liquidation is the same as it was in the possession of the master. As a result
of the transaction, Dimensional Emerging Markets Value Fund recognized a
$104,402,506 and ($16,523) capital gain and currency loss respectively, for tax
year ended October 31, 2009.
F. Financial Instruments:
In accordance with the Fund's investment objectives and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
1. Repurchase Agreements: The Fund may purchase certain U.S. Government
securities subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system or with the Fund's custodian or a third party sub-custodian.
In the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on April 29, 2011.
2. Foreign Market Risks: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation
of foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a fund uses derivatives, how derivatives are accounted
for and how derivative instruments affect a fund's results of operations and
financial position. Summarized below are the specific types of derivative
instruments used by the Fund.
3. Futures Contracts: The Fund may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Fund deposits cash or pledges U.S. Government securities to a broker, equal
to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Fund as unrealized gains or losses until the contracts are closed.
When the contracts are closed, the Fund records a realized gain or loss, which
is presented in the Statement of Operations as a net realized gain or loss on
futures, equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Fund could lose more than the
initial margin requirements. The Fund entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
257
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statement of Operations and the realized and change in unrealized gain or loss
over the reporting period.
At April 30, 2011, the Fund had no outstanding futures contracts.
G. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed upon by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is
currently negotiating a new $250 million unsecured discretionary line of credit
with The Bank of New York Mellon, an affiliate of its domestic custodian bank,
to replace the existing line of credit. The Fund anticipates the new line of
credit will have substantially the same terms and conditions as the existing
line of credit. There were no borrowings by the Fund under this line of credit
during the six months ended April 30, 2011.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012.
For the six months ended April 30, 2011, borrowings by the Fund under this
line of credit were as follows (amounts in thousands, except percentage and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
0.92%.... $41,689 26 $28 $124,315
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended that each Series' available line of credit was
utilized.
There were no outstanding borrowings by the Fund under this line of credit
as of April 30, 2011.
H. Securities Lending:
As of April 30, 2011, the Fund had securities on loan to brokers/dealers,
for which the Fund received cash collateral. In addition, the Fund received
non-cash collateral with a market value of $95,503 (in thousands). The Fund
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan.
Loans of securities are required at all times to be secured by collateral equal
to at least (i) 100% of the current market value of the loaned securities with
respect to securities of the U.S. government or its agencies, (ii) 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) 105% of the current market value of the loaned securities with
respect to foreign securities. However, daily market fluctuations could cause
the Fund's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained
258
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the Fund or,
at the option of the lending agent, to replace the securities.
Subject to its stated investment policy, the Fund will generally invest the
cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. The
Fund also may invest the cash collateral received for the loaned securities in
securities of the U.S. government or its agencies, repurchase agreements
collateralized by securities of the U.S. government or its agencies, and
affiliated and unaffiliated registered and unregistered money market funds. For
purposes of this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, the Fund will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
I. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
J. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
K. Other
The Fund is subject to claims and suits that arise from time to time in the
ordinary course of business (for example, in The Tribune Company Bankruptcy,
certain creditors have filed actions against all shareholders of The Tribune
Company who tendered shares when the Tribune Company went private in 2007 in a
leveraged buy-out transaction, seeking the return of all proceeds received by
the shareholders). Although management currently believes that resolving claims
against us, individually or in aggregate, will not have a material adverse
impact on our financial position, our results of operations, or our cash flows,
these matters are subject to inherent uncertainties and management's view of
these matters may change in the future.
259
L. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Fund and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
260
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use
in voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (512) 306-7400. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dimensional.com and reflects the twelve-month period
beginning July 1st and ending June 30th.
261
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 17, 2010 (the "Meeting"), the Board of
Directors of DFA Investment Dimensions Group Inc. and the Boards of Trustees of
The DFA Investment Trust Company and Dimensional Emerging Markets Value Fund
(together, the "Board") considered the continuation of the investment
advisory/management agreements for each portfolio or series (collectively, the
"Funds") and, if applicable, a Fund's sub-advisory agreements. For certain
Funds, Dimensional Fund Advisors Ltd. or DFAAustralia Limited serve as a
sub-advisor. (The investment advisory/management agreements and the
sub-advisory agreements are referred to as the "Advisory Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper, Inc. (the
"Lipper Reports"), and issues related to the continuation of the Advisory
Agreements. Also in advance of the Meeting, management provided additional
materials to address and respond to questions that the Independent Board
Members posed after their review and analysis of materials provided by the
Advisor and the Lipper Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Lipper
Reports, which compared the performance of each Fund with other funds in its
respective peer group and peer universe. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board noted that the Advisor's investment style
and methodologies in managing the Funds are not designed to track traditional
indexes. As a result, it is expected that certain Funds will underperform their
Lipper-designated peer funds and that reporting results will diverge from
market indexes, while other Funds may outperform their Lipper-designated peer
funds and market indexes for the same periods. The Board determined, among
other things, that the performance of each Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods
262
were favorable in relation to those of its peer funds, and that the advisory
fees were fair, both on an absolute basis and in comparison with the fees of
other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing the Funds and other "non-1940 Act registered" investment vehicles.
Upon closely examining the Advisor's profitability, the Board concluded, among
other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
263
LOGO
DFA 043011-001S
LOGO
SEMI-ANNUAL REPORT
six months ended: April 30, 2011 (Unaudited)
Dimensional Investment Group Inc.
LWAS/DFA U.S. High Book to Market Portfolio
LWAS/DFA Two-Year Fixed Income Portfolio
LWAS/DFA Two-Year Government Portfolio
DFA Investment Dimensions Group Inc.
LWAS/DFA International High Book to Market Portfolio
LOGO
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2011
Dear Fellow Shareholder,
We recently celebrated Dimensional's thirtieth anniversary. The firm has
developed in ways we never could have predicted. Our success owes a lot to our
clients, especially those we've had a long relationship with. We are proud that
these relationships have been beneficial for our clients and for Dimensional.
Thirty years of growth has brought many changes. But some things haven't
changed, and these have been a key to our success. We have always acted in the
best interests of clients and strived to earn and maintain trust by doing what
we say we are going to do. We have always worked hard to demonstrate the
validity of our ideas. We never try to predict how much money our clients could
make, but we have always worked to deliver a good investment experience. We
continue to believe strongly in the principles of diversification and
discipline. We've been fortunate to find clients sharing that belief and
helping us grow into the firm we are now.
Sincerely,
/s/ David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
------
Letter to Shareholders
Definitions of Abbreviations and Footnotes.................................................. 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses.............................................................. 2
Disclosure of Portfolio Holdings......................................................... 3
Schedules of Investments.................................................................
LWAS/DFA U.S. High Book to Market Portfolio............................................ 4
LWAS/DFA Two-Year Fixed Income Portfolio............................................... 5
LWAS/DFA Two-Year Government Portfolio................................................. 7
Statements of Assets and Liabilities..................................................... 8
Statements of Operations................................................................. 10
Statements of Changes in Net Assets...................................................... 11
Financial Highlights..................................................................... 12
Notes to Financial Statements............................................................ 14
DFA Investment Dimensions Group Inc. - LWAS/DFA International High Book to Market Portfolio
Disclosure of Fund Expenses.............................................................. 21
Disclosure of Portfolio Holdings......................................................... 22
Schedule of Investments.................................................................. 23
Statement of Assets and Liabilities...................................................... 24
Statement of Operations.................................................................. 25
Statements of Changes in Net Assets...................................................... 26
Financial Highlights..................................................................... 27
Notes to Financial Statements............................................................ 28
The DFA Investment Trust Company
Disclosure of Fund Expenses.............................................................. 33
Disclosure of Portfolio Holdings......................................................... 34
Schedules of Investments/Summary Schedules of Portfolio Holdings.........................
The U.S. Large Cap Value Series........................................................ 35
The DFA International Value Series..................................................... 38
Statements of Assets and Liabilities..................................................... 42
Statements of Operations................................................................. 43
Statements of Changes in Net Assets...................................................... 44
Financial Highlights..................................................................... 45
Notes to Financial Statements............................................................ 46
Voting Proxies on Fund Portfolio Securities................................................. 54
Board Approval of Investment Advisory Agreements............................................ 55
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
Investment Abbreviations
ADR American Depositary Receipt
FNMA Federal National Mortgage Association
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been
calculated as a percentage of total investments. "Other Securities" are those securities that are not among the top 50
holdings of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities
within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2011.
(S) Affiliated Fund.
## Par amount of collateral is a part of a pooled collateral facility. Value is indicative of the value
allocated to this Series as a part of this facility.
Financial Highlights
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds.
All Statements, Schedules and Notes to Financial Statements
-- Amounts designated as -- are either zero or rounded to zero.
REIT Real Estate Investment Trust
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT 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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA U.S. High Book to Market Portfolio**
Actual Fund Return............................ $1,000.00 $1,218.86 0.34% $1.87
Hypothetical 5% Annual Return................. $1,000.00 $1,023.11 0.34% $1.71
LWAS/DFA Two-Year Fixed Income Portfolio
Actual Fund Return............................ $1,000.00 $1,001.92 0.31% $1.54
Hypothetical 5% Annual Return................. $1,000.00 $1,023.26 0.31% $1.56
LWAS/DFA Two-Year Government Portfolio
Actual Fund Return............................ $1,000.00 $1,001.56 0.29% $1.44
Hypothetical 5% Annual Return................. $1,000.00 $1,023.36 0.29% $1.45
--------
* 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 (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
** The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
2
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 31, 2011. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following tables, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Master Fund's holdings which reflect the
investments by category.
FEEDER FUND
Affiliated
Investment
Company
----------
LWAS/DFA U.S. High Book to Market Portfolio. 100.0%
FIXED INCOME PORTFOLIOS
LWAS/DFA Two-Year Fixed Income Portfolio LWAS/DFA Two-Year Government Portfolio
Corporate.................. 9.5% Government........... 100.0%
-------
Government................. 74.4% Total................ 100.0%
Foreign Corporate.......... 6.2%
Foreign Government......... 7.8%
Supranational.............. 2.1%
------
Total...................... 100.0%
3
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company $78,640,988
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $51,376,914)................................ $78,640,988
===========
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
4
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Face
Amount Value+
------ ------
(000)
AGENCY OBLIGATIONS -- (74.1%)
Federal Farm Credit Bank
0.850%, 04/15/13..................... $1,200 $1,204,476
Federal Home Loan Bank
1.875%, 06/20/12..................... 400 406,792
0.875%, 08/22/12..................... 6,800 6,838,984
1.750%, 08/22/12..................... 6,100 6,204,377
4.625%, 10/10/12..................... 1,200 1,272,266
1.000%, 03/27/13..................... 3,200 3,221,754
Federal Home Loan Mortgage
Corporation
1.125%, 07/27/12..................... 600 604,997
5.500%, 08/20/12..................... 1,650 1,758,273
0.375%, 11/30/12..................... 300 299,266
4.125%, 12/21/12..................... 2,000 2,115,260
1.375%, 01/09/13..................... 1,000 1,013,519
4.500%, 01/15/13..................... 500 533,214
0.750%, 03/28/13..................... 2,300 2,304,752
1.625%, 04/15/13..................... 7,100 7,233,068
Federal National Mortgage Association
1.125%, 07/30/12..................... 6,000 6,053,082
4.375%, 09/15/12..................... 2,800 2,949,551
3.625%, 02/12/13..................... 1,500 1,578,200
1.750%, 02/22/13..................... 12,050 12,287,710
0.750%, 02/26/13..................... 7,400 7,418,308
4.375%, 03/15/13..................... 1,250 1,336,648
3.250%, 04/09/13..................... 2,700 2,838,488
----------
TOTAL AGENCY OBLIGATIONS................ 69,472,985
----------
BONDS -- (25.5%)
BNP Paribas SA
2.125%, 12/21/12..................... 2,100 2,134,222
Citigroup Funding, Inc.
1.875%, 11/15/12..................... 400 408,376
General Electric Capital Corp.
3.500%, 08/13/12..................... 2,000 2,063,688
International Bank for Reconstruction &
Development
0.800%, 07/13/12..................... 2,000 2,005,844
Japan Finance Corp.
1.500%, 07/06/12..................... 700 703,305
2.125%, 11/05/12..................... 1,600 1,630,666
JPMorgan Chase & Co.
2.125%, 06/22/12..................... 2,200 2,240,773
Kreditanstalt fuer Wiederaufbau
1.250%, 06/15/12..................... 1,800 1,817,730
Face
Amount Value+
------ ------
(000)
Landwirtschaftliche Rentenbank AG
3.250%, 03/15/13............... $1,000 $1,046,124
Manitoba, Province of Canada
2.125%, 04/22/13............... 1,000 1,025,743
Morgan Stanley
1.950%, 06/20/12............... 1,400 1,423,955
Ontario, Province of Canada
1.875%, 11/19/12............... 1,000 1,019,955
Royal Bank of Canada
2.250%, 03/15/13............... 1,500 1,544,474
Toyota Motor Credit Corp.
1.900%, 12/05/12............... 500 507,841
Wells Fargo & Co.
5.250%, 10/23/12............... 1,150 1,222,162
4.375%, 01/31/13............... 900 950,151
Westpac Banking Corp. NL
2.250%, 11/19/12............... 2,100 2,140,282
-----------
TOTAL BONDS....................... 23,885,291
-----------
Shares
------
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds
Tempcash Portfolio -
Institutional Shares......... 412,850 412,850
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $93,510,196).............. $93,771,126
===========
5
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
---------------------------------------
Investment in Securities (Market Value)
---------------------------------------
Level 1 Level 2 Level 3 Total
-------- ----------- ------- -----------
Agency Obligations......... -- $69,472,985 -- $69,472,985
Bonds...................... -- 23,885,291 -- 23,885,291
Temporary Cash Investments. $412,850 -- -- 412,850
-------- ----------- -- -----------
TOTAL...................... 412,850 $93,358,276 -- $93,771,126
======== =========== == ===========
See accompanying Notes to Financial Statements.
6
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Face
Amount Value+
------- ------
(000)
AGENCY OBLIGATIONS -- (99.4%)............................................................................
Federal Farm Credit Bank.................................................................................
0.400%, 11/02/12........................................................................................ $ 6,300 $ 6,290,147
1.750%, 02/21/13........................................................................................ 14,000 14,260,778
Federal Home Loan Bank...................................................................................
4.500%, 11/15/12........................................................................................ 17,100 18,119,023
1.746%, 11/30/12........................................................................................ 1,700 1,732,412
1.750%, 12/14/12........................................................................................ 32,400 33,001,733
1.500%, 01/16/13........................................................................................ 26,900 27,312,619
3.375%, 02/27/13........................................................................................ 32,100 33,701,116
1.625%, 03/20/13........................................................................................ 34,500 35,139,492
1.000%, 03/27/13........................................................................................ 18,700 18,827,123
------------
TOTAL AGENCY OBLIGATIONS................................................................................. 188,384,443
------------
TEMPORARY CASH INVESTMENTS -- (0.6%).....................................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $1,160,000 FNMA
2.24%, 07/06/15, valued at $1,189,000) to be repurchased at $1,171,019................................ 1,171 1,171,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $189,173,440)........................................................ $189,555,443
============
Summary of inputs used to value the Portfolio's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
-----------------------------------------
Investment in Securities (Market Value)
-----------------------------------------
Level 1 Level 2 Level 3 Total
------- ------------ ------- ------------
Agency Obligations................................................................... -- $188,384,443 -- $188,384,443
Temporary Cash Investments........................................................... -- 1,171,000 -- 1,171,000
-- ------------ -- ------------
TOTAL................................................................................ -- $189,555,443 -- $189,555,443
== ============ == ============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) at Value............................................. $ 78,641
Prepaid Expenses and Other Assets...................................................... 12
------------
Total Assets........................................................................ 78,653
------------
LIABILITIES:
Payables:
Due to Advisor...................................................................... 1
Accrued Expenses and Other Liabilities................................................. 18
------------
Total Liabilities................................................................... 19
------------
NET ASSETS............................................................................. $ 78,634
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 5,643,279
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.93
============
Investment in Affiliated Investment Company at Cost.................................... $ 51,377
------------
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 59,653
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 118
Accumulated Net Realized Gain (Loss)................................................... (8,401)
Net Unrealized Appreciation (Depreciation)............................................. 27,264
------------
NET ASSETS $ 78,634
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000
============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
LWAS/DFA LWAS/DFA
Two-Year Two-Year
Fixed Income Government
Portfolio Portfolio
------------ ------------
ASSETS:
Investments at Value................................................................... $ 93,358 $ 188,384
Temporary Cash Investments at Value & Cost............................................. 413 1,171
Cash................................................................................... -- 1
Receivables:
Interest.............................................................................. 365 1,035
Fund Shares Sold...................................................................... -- 62
Prepaid Expenses and Other Assets...................................................... 12 19
------------ ------------
Total Assets........................................................................ 94,148 190,672
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.................................................................. -- 132
Due to Advisor........................................................................ 11 24
Accrued Expenses and Other Liabilities................................................. 18 31
------------ ------------
Total Liabilities................................................................... 29 187
------------ ------------
NET ASSETS............................................................................. $ 94,119 $ 190,485
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 9,342,973 19,147,346
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 10.07 $ 9.95
============ ============
Investments at Cost.................................................................... $ 93,097 $ 188,002
------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 93,400 $ 189,494
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) 77 111
Accumulated Net Realized Gain (Loss)................................................... 381 498
Net Unrealized Appreciation (Depreciation)............................................. 261 382
------------ ------------
NET ASSETS............................................................................. $ 94,119 $ 190,485
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
LWAS/DFA LWAS/DFA LWAS/DFA
U.S. High Two-Year Two-Year
Book to Market Fixed Income Government
Portfolio* Portfolio Portfolio
------------ ---------- ----------
Investment Income
Dividends...................................................... $ 625 -- --
Interest....................................................... -- $ 400 $ 603
Income from Securities Lending................................. 23 -- --
Expenses Allocated from Affiliated Investment Company.......... (42) -- --
------- ----- -----
Total Investment Income...................................... 606 400 603
------- ----- -----
Expenses
Investment Advisory Services Fees.............................. -- 67 137
Administrative Services Fees................................... 4 -- --
Accounting & Transfer Agent Fees............................... 7 15 20
Shareholder Servicing Fees..................................... 55 36 73
Filing Fees.................................................... 8 9 13
Shareholders' Reports.......................................... 5 5 9
Directors'/Trustees' Fees & Expenses........................... -- -- 1
Custodian Fees................................................. -- 1 2
Professional Fees.............................................. 1 1 2
Other.......................................................... 1 2 2
------- ----- -----
Total Expenses............................................. 81 136 259
------- ----- -----
Net Investment Income (Loss)................................... 525 264 344
------- ----- -----
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:...................................
Investment Securities Sold................................... 2,368 384 522
Futures...................................................... (98) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities........................................ 11,686 (412) (581)
------- ----- -----
Net Realized and Unrealized Gain (Loss)........................ 13,956 (28) (59)
------- ----- -----
Net Increase (Decrease) in Net Assets Resulting from Operations. $14,481 $ 236 $ 285
======= ===== =====
--------
*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.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
LWAS/DFA LWAS/DFA
U.S. High Two-Year
Book to Market Fixed Income
Portfolio Portfolio
------------------- -------------------
Year Year
Six Months Ended Six Months Ended
Ended Oct. Ended Oct.
April 30, 31, April 30, 31,
2011 2010 2011 2010
----------- ------- ----------- -------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................................. $ 525 $ 1,200 $ 264 $ 674
Net Realized Gain (Loss) on:
Investment Securities Sold.................................................. 2,368 5,618 384 751
Futures..................................................................... (98) -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities........................................................ 11,686 5,142 (412) 128
Net Increase (Decrease) in Net Assets Resulting from Operations............. 14,481 11,960 236 1,553
------- ------- ------- -------
Distributions From:
Net Investment Income........................................................ (575) (1,187) (282) (714)
Net Short-Term Gains......................................................... -- -- (353) --
Net Long-Term Gains.......................................................... -- -- (81) --
------- ------- ------- -------
Total Distributions......................................................... (575) (1,187) (716) (714)
------- ------- ------- -------
Capital Share Transactions (1):................................................
Shares Issued................................................................ 3,792 4,217 15,490 20,893
Shares Issued in Lieu of Cash Distributions.................................. 500 1,036 576 581
Shares Redeemed.............................................................. (6,878) (14,639) (10,731) (10,447)
------- ------- ------- -------
Net Increase (Decrease) from Capital Share Transactions..................... (2,586) (9,386) 5,335 11,027
------- ------- ------- -------
Total Increase (Decrease) in Net Assets..................................... 11,320 1,387 4,855 11,866
Net Assets
Beginning of Period.......................................................... 67,314 65,927 89,264 77,398
------- ------- ------- -------
End of Period................................................................ $78,634 $67,314 $94,119 $89,264
======= ======= ======= =======
(1) Shares Issued and Redeemed:
Shares Issued................................................................ 294 386 1,540 2,078
Shares Issued in Lieu of Cash Distributions.................................. 40 98 57 58
Shares Redeemed.............................................................. (534) (1,365) (1,069) (1,039)
------- ------- ------- -------
Net Increase (Decrease) from Shares Issued and Redeemed..................... (200) (881) 528 1,097
======= ======= ======= =======
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... $ 118 $ 168 $ 77 $ 95
LWAS/DFA
Two-Year
Government
Portfolio
--------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................................. $ 344 $ 1,098
Net Realized Gain (Loss) on:
Investment Securities Sold.................................................. 522 2,031
Futures..................................................................... -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities........................................................ (581) (17)
Net Increase (Decrease) in Net Assets Resulting from Operations............. 285 3,112
-------- --------
Distributions From:
Net Investment Income........................................................ (381) (1,184)
Net Short-Term Gains......................................................... (1,910) (956)
Net Long-Term Gains.......................................................... (125) (1,081)
-------- --------
Total Distributions......................................................... (2,416) (3,221)
-------- --------
Capital Share Transactions (1):................................................
Shares Issued................................................................ 42,123 62,949
Shares Issued in Lieu of Cash Distributions.................................. 1,640 2,132
Shares Redeemed.............................................................. (24,871) (27,756)
-------- --------
Net Increase (Decrease) from Capital Share Transactions..................... 18,892 37,325
-------- --------
Total Increase (Decrease) in Net Assets..................................... 16,761 37,216
Net Assets
Beginning of Period.......................................................... 173,724 136,508
-------- --------
End of Period................................................................ $190,485 $173,724
======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................................................ 4,235 6,294
Shares Issued in Lieu of Cash Distributions.................................. 166 214
Shares Redeemed.............................................................. (2,504) (2,777)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed..................... 1,897 3,731
======== ========
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... $ 111 $ 148
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period. $ 11.52 $ 9.80 $ 9.04 $ 15.35 $ 16.10 $ 13.91 $ 12.28
----------- ------- ------- ------- -------- -------- --------
Income from Investment Operations
Net Investment Income (Loss)........ 0.09(A) 0.19(A) 0.18(A) 0.21(A) 0.20(A) 0.23(A) 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized).......... 2.42 1.72 0.79 (5.48) (0.26) 2.23 1.57
----------- ------- ------- ------- -------- -------- --------
Total from Investment Operations.. 2.51 1.91 0.97 (5.27) (0.06) 2.46 1.76
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............... (0.10) (0.19) (0.21) (0.21) (0.20) (0.22) (0.13)
Net Realized Gains.................. -- -- -- (0.83) (0.49) (0.05) --
----------- ------- ------- ------- -------- -------- --------
Total Distributions............... (0.10) (0.19) (0.21) (1.04) (0.69) (0.27) (0.13)
---------------------------------------------------------------------------------------------------------------------------
Net Assets Value, End of Period...... $ 13.93 $ 11.52 $ 9.80 $ 9.04 $ 15.35 $ 16.10 $ 13.91
---------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------
Total Return......................... 21.89%(C) 19.71% 11.61% (36.69)%(C) (0.51)% 17.90% 14.44%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 78,634 $67,314 $65,927 $68,462 $119,833 $124,983 $103,311
Ratio of Expenses to Average Net
Assets (D) 0.34%(B) 0.35% 0.38% 0.33%(B) 0.32% 0.32% 0.34%
Ratio of Net Investment Income to
Average Net Assets.................. 1.44%(B) 1.78% 2.20% 1.72%(B) 1.20% 1.54% 1.43%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA Two-Year Fixed Income Portfolio
---------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 10.13 $ 10.03 $ 9.84 $ 9.95 $ 9.94 $ 9.82 $ 9.90
-------- -------- -------- -------- -------- ------- -------
Income from Investment Operations.......
Net Investment Income (Loss)........... 0.03(A) 0.08(A) 0.19(A) 0.28(A) 0.49(A) 0.35(A) 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.01) 0.11 0.23 (0.04) -- 0.08 (0.11)
-------- -------- -------- -------- -------- ------- -------
Total from Investment Operations..... 0.02 0.19 0.42 0.24 0.49 0.43 0.16
----------------------------------------------------------------------------------------------------------------------------
Less Distributions......................
Net Investment Income.................. (0.03) (0.09) (0.23) (0.35) (0.48) (0.31) (0.24)
Net Realized Gains..................... (0.05) -- -- -- -- -- --
-------- -------- -------- -------- -------- ------- -------
Total Distributions.................. (0.08) (0.09) (0.23) (0.35) (0.48) (0.31) (0.24)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.07 $ 10.13 $ 10.03 $ 9.84 $ 9.95 $ 9.94 $ 9.82
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Total Return............................ 0.19%(C) 1.89% 4.31% 2.46%(C) 5.03% 4.47% 1.65%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 94,119 $ 89,264 $ 77,398 $ 84,065 $ 96,442 $86,082 $80,199
Ratio of Expenses to Average Net Assets. 0.31%(B) 0.31% 0.34% 0.31%(B) 0.31% 0.31% 0.36%
Ratio of Net Investment Income to
Average Net Assets..................... 0.59%(B) 0.82% 1.92% 3.04%(B) 4.94% 3.57% 2.72%
Portfolio Turnover Rate................. 58%(C) 113% 77% 20%(C) 22% 15% 48%
----------------------------------------------------------------------------------------------------------------------------
LWAS/DFA Two-Year Government Portfolio
----------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 10.07 $ 10.10 $ 9.80 $ 9.89 $ 9.87 $ 9.75 $ 9.83
-------- -------- -------- -------- -------- ------- --------
Income from Investment Operations.......
Net Investment Income (Loss)........... 0.02(A) 0.07(A) 0.18(A) 0.24(A) 0.46(A) 0.34(A) 0.26
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.01) 0.13 0.33 (0.03) 0.01 0.08 (0.10)
-------- -------- -------- -------- -------- ------- --------
Total from Investment Operations..... 0.01 0.20 0.51 0.21 0.47 0.42 0.16
----------------------------------------------------------------------------------------------------------------------------
Less Distributions......................
Net Investment Income.................. (0.02) (0.08) (0.21) (0.30) (0.45) (0.30) (0.24)
Net Realized Gains..................... (0.11) (0.15) -- -- -- -- --
-------- -------- -------- -------- -------- ------- --------
Total Distributions.................. (0.13) (0.23) (0.21) (0.30) (0.45) (0.30) (0.24)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 9.95 $ 10.07 $ 10.10 $ 9.80 $ 9.89 $ 9.87 $ 9.75
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Total Return............................ 0.16%(C) 1.98% 5.21% 2.13%(C) 4.85% 4.42% 1.67%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $190,485 $173,724 $136,508 $133,785 $110,338 $72,948 $368,708
Ratio of Expenses to Average Net Assets. 0.29%(B) 0.29% 0.31% 0.30%(B) 0.31% 0.32% 0.37%
Ratio of Net Investment Income to
Average Net Assets..................... 0.38%(B) 0.72% 1.76% 2.69%(B) 4.66% 3.45% 2.67%
Portfolio Turnover Rate................. 95%(C) 166% 112% 7%(C) 0% 29% 44%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, of which three (the "Portfolios") are presented in this report.
LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily
invests its assets in The U.S. Large Cap Value Series (the "Series"), a
corresponding Series of The DFA Investment Trust Company. At April 30, 2011,
the Portfolio owned 1% of the Series.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure, elected with the consent of its
respective Holder(s) to change its U.S. federal income tax classification from
that of an association taxable as a corporation to a partnership pursuant to
Treasury Regulation (S) 301.7701-3. The change in capital structure and
retroactive reclassification of the statement of changes in net assets and
financial highlights for the fund is a result of the treatment of a partnership
for book purposes. The Series/Portfolio will maintain its books and records and
present its financial statements in accordance with generally accepted
accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by LWAS/DFA Two-Year Fixed Income Portfolio and
LWAS/DFA Two-Year Government Portfolio are valued on the basis of prices
provided by one or more pricing services or other reasonably reliable sources
including broker/dealers that typically handle the purchase and sale of such
securities. Securities which are traded over-the counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of
Directors/Trustees. These valuations are generally categorized as Level 2 in
the hierarchy. Fair value pricing may also be used if events that have a
significant effect on the value of an investment (as determined in the
discretion of the Investment Committee of the Advisor) occur before the net
asset value is
14
calculated. When fair value pricing is used, the prices of securities used by
the Portfolios may differ from the quoted or published prices for the same
securities on their primary markets or exchanges.
LWAS/DFA U.S. High Book to Market Portfolio's investment reflects its
proportionate interest in the net assets of the Series. These valuations are
classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed at the end of the
Schedule of Investments. The inputs or methodology used for valuing securities
are not necessarily an indication of the risk associated with investing in
those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2011.
2. Deferred Compensation Plan: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of all or a portion
of their total fees earned as a Director. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2
Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two- Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2011, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: LWAS/DFA U.S. High Book to Market 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 U.S. Large Cap
Value Series, which is treated as a partnership for federal income tax
purposes. Security transactions are accounted for as of the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities
utilizing the effective interest method. Expenses directly attributable to the
Portfolios are directly charged. Common expenses of the Fund are allocated
using methods approved by the Board of Directors/Trustees, generally based on
average net assets.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Feeder Fund, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the two Portfolios, other than the Feeder Fund.
For the six months ended April 30, 2011, the Portfolios' administrative
services fees or investment advisory services fees were accrued daily and paid
monthly to the Advisor based on the following effective annual rates of average
daily net assets:
15
Administrative Advisory
Services Fees Services Fees
-------------- -------------
LWAS/DFA U.S. High Book to Market Portfolio. 0.01% --
LWAS/DFA Two-Year Fixed Income Portfolio.... -- 0.15%
LWAS/DFA Two-Year Government Portfolio...... -- 0.15%
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolios pay fees to LWIF at the following effective annual
rates of their average daily net assets:
Shareholder
Servicing Fees
--------------
LWAS/DFA U.S. High Book to Market Portfolio. 0.15%
LWAS/DFA Two-Year Fixed Income Portfolio.... 0.08%
LWAS/DFA Two-Year Government Portfolio...... 0.08%
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the Fund to the CCO were $16 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
LWAS/DFA U.S. High Book to Market Portfolio. $2
LWAS/DFA Two-Year Fixed Income Portfolio.... 3
LWAS/DFA Two-Year Government Portfolio...... 5
E. Purchases and Sales of Securities:
For the six months ended April 30, 2011, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. Government Other Investment
Securities Securities
------------------ -----------------
Purchases Sales Purchases Sales
--------- -------- --------- -------
LWAS/DFA Two-Year Fixed Income Portfolio. $ 43,316 $ 31,860 $13,660 $19,505
LWAS/DFA Two-Year Government Portfolio... 188,590 170,822 -- --
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2010, primarily attributable to the
recharacterizations
16
of partnership income from net investment income to capital gain and were
reclassified to the following accounts. These reclassifications had no effect
on net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Undistributed Accumulated
Net Investment Net Realized
Income Gains (Losses)
-------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio. -- --
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2009 and October 31, 2010 were as follows (amounts
in thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- ------
LWAS/DFA U.S. High Book to Market Portfolio
2009........................................ $1,505 -- $1,505
2010........................................ 1,187 -- 1,187
LWAS/DFA Two-Year Fixed Income Portfolio
2009........................................ 1,709 -- 1,709
2010........................................ 714 -- 714
LWAS/DFA Two-Year Government Portfolio
2009........................................ 2,630 -- 2,630
2010........................................ 2,140 $1,081 3,221
At October 31, 2010, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
Undistributed
Net Total Net
Investment Distributable
Income and Undistributed Capital Earnings
Short-Term Long-Term Loss Accumulated
Capital Gains Capital Gains Carryforward (Losses)
------------- ------------- ------------ -------------
LWAS/DFA U.S. High Book to Market Portfolio. $ 170 -- $(10,671) $(10,501)
LWAS/DFA Two-Year Fixed Income Portfolio.... 447 $ 81 -- 528
LWAS/DFA Two-Year Government Portfolio...... 2,052 111 -- 2,163
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of October 31, 2010, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
Expires on October 31,
---------------------------
2013 2014 2015 2016 2017 Total
---- ---- ---- ---- ------- -------
LWAS/DFA U.S. High Book to Market Portfolio -- -- -- -- $10,671 $10,671
17
During the year ended October 31, 2010, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands):
LWAS/DFA U.S. High Book to Market Portfolio. $5,618
LWAS/DFA Two-Year Fixed Income Portfolio.... 320
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
-------- ------------ -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio. $ 51,377 $27,989 $(725) $27,264
LWAS/DFA Two-Year Fixed Income Portfolio.... 93,510 270 (9) 261
LWAS/DFA Two-Year Government Portfolio...... 189,173 388 (6) 382
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Portfolios'
tax positions and has concluded that no provision for income tax is required in
any Portfolios' financial statements. No Portfolio is aware of any tax
positions for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next six months.
Each of Portfolios' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
G. Financial Instruments:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the Financial Statements and
concentrations of credit and market risk. The instruments and its significant
corresponding risks are described below:
1. Repurchase Agreements: LWAS/DFA Two-Year Fixed Income Portfolio and
LWAS/DFA Two-Year Government Portfolio may purchase certain U.S. Government
securities subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system or with the Fund's custodian or a third party sub-custodian.
In the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on April 29, 2011.
18
H. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is
currently negotiating a new $250 million unsecured discretionary line of credit
with The Bank of New York Mellon, an affiliate of its domestic custodian bank,
to replace the existing line of credit. The Fund anticipates the new line of
credit will have substantially the same terms and conditions as the existing
line of credit. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2011.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2011.
I. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
J. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
19
K. Other:
At April 30, 2011, the following number of shareholders held the following
approximate percentages of outstanding shares of the Portfolios. One or more of
the shareholders is an omnibus account, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio. 2 97%
LWAS/DFA Two-Year Fixed Income Portfolio.... 3 99%
LWAS/DFA Two-Year Government Portfolio...... 2 94%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in the bankruptcy
case of the Tribune Company, (the "Tribune"), and subsequently additional
similar class actions have been filed seeking the same recovery (the
"Lawsuits"). The defendants are The U.S. Large Cap Value Series and hundreds of
other mutual funds, institutional investors and others who owned shares in
Tribune in 2007 when it became private in a leveraged buyout transaction and
who, at that time, sold their shares back to Tribune for cash in the amount of
$34 per share. The Lawsuits allege that the payment for the shares by the
Tribune violated the rights of creditors and seeks to have the cash paid to
shareholders returned to the Tribune's bankruptcy estate and/or various
creditors of the Tribune.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does
not believe that it is possible, at this early stage in the proceedings, to
predict with any reasonable certainty the probable outcome of the Lawsuits or
quantify the ultimate exposure to The U.S. Large Cap Value Series arising from
the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of
the net asset value of The U.S. Large Cap Value Series will be made relating to
the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery they seek, the amount would be less than 1% of The U.S. Large
Cap Value Series' net asset value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
L. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
20
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
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, 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 illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the 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 April 30, 2011
EXPENSE TABLE
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
Actual Fund Return............ $1,000.00 $1,144.64 0.48% $2.55
Hypothetical 5% Annual Return. $1,000.00 $1,022.41 0.48% $2.41
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period. The
Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of
the Feeder Fund and the indirect payment of the Feeder Fund's portion of the
expenses of its Master Fund (Affiliated Investment Company).
21
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 31, 2011. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Master Fund's holdings which reflect the
investments by country.
Affiliated Investment Company. 100.0%
22
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company...................... $96,584,558
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $65,759,084)................................ $96,584,558
===========
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
23
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) at Value.............................................. $ 96,585
Prepaid Expenses and Other Assets...................................................... 14
------------
Total Assets........................................................................ 96,599
------------
LIABILITIES:
Payables:
Due to Advisor........................................................................ 1
Accrued Expenses and Other Liabilities................................................. 24
------------
Total Liabilities................................................................... 25
------------
NET ASSETS............................................................................. $ 96,574
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 8,709,440
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 11.09
============
Investment in Affiliated Investment Company at Cost.................................... $ 65,759
------------
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 63,228
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 719
Accumulated Net Realized Gain (Loss)................................................... 1,783
Net Unrealized Foreign Exchange Gain (Loss)............................................ 18
Net Unrealized Appreciation (Depreciation)............................................. 30,826
------------
NET ASSETS............................................................................. $ 96,574
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 200,000,000
============
See accompanying Notes to Financial Statements.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $107).............. $ 1,370
Income from Securities Lending................................. 70
Expenses Allocated from Affiliated Investment Company.......... (104)
-------
Total Investment Income.................................... 1,336
-------
Expenses
Administrative Services Fees................................... 4
Accounting & Transfer Agent Fees............................... 7
Shareholder Servicing Fees..................................... 85
Filing Fees.................................................... 7
Shareholders' Reports.......................................... 6
Directors'/Trustees' Fees & Expenses........................... 1
Professional Fees.............................................. 1
Other.......................................................... 1
-------
Total Expenses............................................. 112
-------
Net Investment Income (Loss)................................... 1,224
-------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:...................................
Investment Securities Sold................................... 1,783
Foreign Currency Transactions................................ 15
Change in Unrealized Appreciation (Depreciation) of:...........
Investment Securities and Foreign Currency................... 9,203
Translation of Foreign Currency Denominated Amounts.......... 3
-------
Net Realized and Unrealized Gain (Loss)........................ 11,004
-------
Net Increase (Decrease) in Net Assets Resulting from Operations. $12,228
=======
--------
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.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................................... $ 1,224 $ 1,896
Net Realized Gain (Loss) on:..........................................................
Investment Securities Sold.......................................................... 1,783 5,051
Foreign Currency Transactions....................................................... 15 (4)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................................... 9,203 1,473
Translation of Foreign Currency Denominated Amounts................................. 3 12
------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 12,228 8,428
------- --------
Distributions From:
Net Investment Income................................................................. (738) (1,911)
Net Short-Term Gains.................................................................. (304) (509)
Net Long-Term Gains................................................................... (4,756) --
------- --------
Total Distributions............................................................... (5,798) (2,420)
------- --------
Capital Share Transactions (1):
Shares Issued......................................................................... 5,952 7,805
Shares Issued in Lieu of Cash Distributions........................................... 4,900 2,054
Shares Redeemed....................................................................... (6,600) (15,479)
------- --------
Net Increase (Decrease) from Capital Share Transactions........................... 4,252 (5,620)
------- --------
Total Increase (Decrease) in Net Assets........................................... 10,682 388
Net Assets
Beginning of Period................................................................... 85,892 85,504
------- --------
End of Period......................................................................... $96,574 $ 85,892
======= ========
(1) Shares Issued and Redeemed:
Shares Issued......................................................................... 569 805
Shares Issued in Lieu of Cash Distributions........................................... 495 226
Shares Redeemed....................................................................... (631) (1,609)
------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 433 (578)
======= ========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 719 $ 233
See accompanying Notes to Financial Statements.
26
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period... $ 10.38 $ 9.66 $ 11.40 $ 24.32 $ 21.89 $ 17.49 $ 15.93
------- ------- ------- ------- -------- -------- --------
Income from Investment Operations
Net Investment Income (Loss)......... 0.14(A) 0.22(A) 0.25(A) 0.66(A) 0.65(A) 0.61(A) 0.48
Net Gains (Losses) on
Securities (Realized and Unrealized). 1.28 0.79 2.14 (11.36) 2.98 5.23 1.87
------- ------- ------- ------- -------- -------- --------
Total from Investment Operations.... 1.42 1.01 2.39 (10.70) 3.63 5.84 2.35
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income................ (0.09) (0.23) (0.27) (0.70) (0.58) (0.63) (0.43)
Net Realized Gains................... (0.62) (0.06) (3.86) (1.52) (0.62) (0.81) (0.36)
------- ------- ------- ------- -------- -------- --------
Total Distributions................. (0.71) (0.29) (4.13) (2.22) (1.20) (1.44) (0.79)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period......... $ 11.09 $ 10.38 $ 9.66 $ 11.40 $ 24.32 $ 21.89 $ 17.49
=========================================================================================================================
Total Return........................... 14.46%(C) 10.85% 34.92% (47.99)%(C) 17.05% 35.40% 15.32%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $96,574 $85,892 $85,504 $84,319 $185,239 $179,984 $138,782
Ratio of Expenses to Average Net
Assets (D) 0.48%(B) 0.50% 0.52% 0.47%(B) 0.46% 0.47% 0.50%
Ratio of Net Investment Income to
Average Net Assets 2.74%(B) 2.29% 2.99% 3.74%(B) 2.76% 3.14% 2.88%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
27
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixty operational
portfolios, of which LWAS/DFA International High Book to Market Portfolio ("the
Portfolio") is presented in this report.
The Portfolio primarily invests its assets in The DFA International Value
Series (the "Series"), a corresponding Series of The DFA Investment Trust
Company. At April 30, 2011, the Portfolio owned 1% of the Series.
On November 1, 2008, The DFAInternational Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolio from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed at the end of the Schedule of Investments. The inputs or methodology
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities.
The Portfolio did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2011.
28
2. Deferred Compensation Plan: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of all or a portion
of their total fees earned as a Director. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2
Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses. At April 30, 2011, the total liability
for deferred compensation to Directors is included in Accrued Expenses and
Other Liabilities on the Statement of Assets and Liabilities in the amount of
$3 (in thousands).
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2011, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
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 and foreign currency from The DFA International Value
Series, which is treated as a partnership for federal income tax purposes.
Distributions received on securities that represent a return of capital are
recorded as a reduction of cost of investments or as a realized gain,
respectively. Expenses directly attributable to the Portfolio are directly
charged. Common expenses of the Fund are allocated using methods approved by
the Board of Directors/Trustees, generally based on average net assets.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Series. For the six months ended April 30,
2011, the Portfolio's administrative services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.01% of average
daily net assets of the Portfolio.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolio pays a Shareholder Servicing fee to LWIF at the
effective annual rate of 0.19% of its average daily net assets.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the Fund to the CCO were $109 (in thousands). The total
related amount paid by the Portfolio is included in Other Expenses on the
Statement of Operations.
D. 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.
29
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are permanent
they are charged, or credited to paid-in capital, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that
the differences arise. Accordingly, the following permanent differences as of
October 31, 2010, primarily attributable to the reclassification of foreign
currency gains to net investment income for income tax purposes were
reclassified to the following accounts. These reclassifications had no effect
on net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Undistributed Accumulated
Net Investment Net Realized
Income Gains (Losses)
-------------- --------------
$(4)....... $4
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2009 and October 31, 2010 were as follows (amounts
in thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gain Total
-------------- ------------ -------
2009. $2,267 $26,433 $28,700
2010. 2,420 -- 2,420
At October 31, 2010, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
Undistributed
Net Total Net
Investment Distributable
Income and Undistributed Earnings
Short-Term Long-Term (Accumulated
Capital Gains Capital Gains Losses)
------------- ------------- -------------
$535...... $4,749 $5,284
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of October 31, 2010, the Portfolio had no capital loss carryforwards
available to offset future realized capital gains.
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
-------- ------------ -------------- --------------
$65,762.. $33,817 $(2,994) $30,823
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Portfolios'
tax positions and has concluded that no provision for income tax is required in
any Portfolios' financial statements. No Portfolio is aware of any tax
positions for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next six months.
Each of the Portfolios' federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
30
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
E. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is
currently negotiating a new $250 million unsecured discretionary line of credit
with The Bank of New York Mellon, an affiliate of its domestic custodian bank,
to replace the existing line of credit. The Fund anticipates the new line of
credit will have substantially the same terms and conditions as the existing
line of credit. There were no borrowings by the Portfolio under this line of
credit during the six months ended April 30, 2011.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012. There were no borrowings by the Portfolio under this line of
credit during the six months ended April 30, 2011.
F. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
G. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB
31
Accounting Standards Codification Topic 820, Fair Value Measurements and
Disclosures, to require additional disclosures in the roll forward of activity
in Level 3 fair value measurements effective for interim and annual reporting
periods beginning after December 15, 2010. Management is currently evaluating
the impact ASU No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
H. Other:
At April 30, 2011, two shareholders held approximately 97% of the
outstanding shares of the Portfolio. One or more of the shareholders is an
omnibus account, which typically hold shares for the benefit of several other
underlying investors.
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
I. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolio and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
32
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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
Actual Fund Return................. $1,000.00 $1,220.56 0.12% $0.66
Hypothetical 5% Annual Return...... $1,000.00 $1,024.20 0.12% $0.60
The DFA International Value Series
Actual Fund Return................. $1,000.00 $1,146.18 0.23% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
--------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period.
33
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 31, 2011. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
The U.S. Large Cap Value Series
Consumer Discretionary..... 16.3%
Consumer Staples........... 7.7%
Energy..................... 17.5%
Financials................. 21.3%
Health Care................ 10.0%
Industrials................ 13.3%
Information Technology..... 3.4%
Materials.................. 3.0%
Telecommunication Services. 6.3%
Utilities.................. 1.2%
------
100.0%
The DFA International Value Series
Consumer Discretionary..... 15.4%
Consumer Staples........... 5.7%
Energy..................... 11.5%
Financials................. 30.3%
Health Care................ 1.5%
Industrials................ 9.6%
Information Technology..... 2.8%
Materials.................. 12.7%
Other...................... --
Telecommunication Services. 7.1%
Utilities.................. 3.4%
------
100.0%
34
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (95.1%)...................
Consumer Discretionary -- (15.5%)..........
Carnival Corp........................... 2,260,335 $ 86,050,953 0.8%
CBS Corp. Class B....................... 3,870,469 97,613,228 0.9%
Comcast Corp. Class A................... 11,535,742 302,697,870 2.9%
Comcast Corp. Special Class A........... 3,843,964 94,369,316 0.9%
*Liberty Media Corp. Interactive Class A. 3,585,265 62,670,432 0.6%
#News Corp. Class A...................... 9,024,175 160,810,799 1.6%
#News Corp. Class B...................... 3,247,295 61,373,876 0.6%
#Time Warner Cable, Inc.................. 2,004,056 156,576,895 1.5%
#Time Warner, Inc........................ 6,251,359 236,676,452 2.3%
Other Securities........................ 435,275,174 4.2%
-------------- -----
Total Consumer Discretionary............... 1,694,114,995 16.3%
-------------- -----
Consumer Staples -- (7.3%).................
Archer-Daniels-Midland Co............... 2,981,045 110,358,286 1.0%
CVS Caremark Corp....................... 6,816,437 247,027,677 2.4%
Kraft Foods, Inc. Class A............... 6,193,330 207,972,021 2.0%
Other Securities........................ 235,468,214 2.3%
-------------- -----
Total Consumer Staples..................... 800,826,198 7.7%
-------------- -----
Energy -- (16.6%)..........................
Anadarko Petroleum Corp................. 2,773,608 218,948,616 2.1%
Chesapeake Energy Corp.................. 3,174,634 106,889,927 1.0%
#Chevron Corp............................ 639,240 69,958,426 0.7%
ConocoPhillips.......................... 5,825,280 459,789,350 4.4%
Hess Corp............................... 1,453,921 124,979,049 1.2%
Marathon Oil Corp....................... 3,514,978 189,949,411 1.8%
National-Oilwell, Inc................... 1,945,893 149,230,534 1.4%
#Pioneer Natural Resources Co............ 577,949 59,083,726 0.6%
#Valero Energy Corp...................... 2,742,854 77,622,768 0.7%
Other Securities........................ 359,665,592 3.5%
-------------- -----
Total Energy............................... 1,816,117,399 17.4%
-------------- -----
Financials -- (20.3%)......................
Bank of America Corp.................... 21,876,033 268,637,685 2.6%
Capital One Financial Corp.............. 2,343,277 128,247,550 1.2%
*Citigroup, Inc.......................... 78,417,143 359,934,686 3.5%
CME Group, Inc.......................... 314,577 93,042,439 0.9%
Hartford Financial Services Group, Inc.. 2,160,202 62,581,052 0.6%
Loews Corp.............................. 2,466,987 109,188,845 1.0%
MetLife, Inc............................ 4,607,955 215,606,214 2.1%
Morgan Stanley.......................... 3,042,449 79,560,041 0.8%
#Prudential Financial, Inc............... 2,197,605 139,372,109 1.3%
#SunTrust Banks, Inc..................... 2,563,152 72,255,255 0.7%
Other Securities........................ 685,712,027 6.6%
-------------- -----
Total Financials........................... 2,214,137,903 21.3%
-------------- -----
Health Care -- (9.5%)......................
Aetna, Inc.............................. 1,938,699 80,223,365 0.8%
*Humana, Inc............................. 712,843 54,261,609 0.5%
Pfizer, Inc............................. 14,482,035 303,543,454 2.9%
*Thermo Fisher Scientific, Inc........... 1,994,284 119,637,097 1.1%
UnitedHealth Group, Inc................. 2,296,880 113,075,402 1.1%
WellPoint, Inc.......................... 2,580,122 198,127,568 1.9%
Other Securities........................ 172,306,807 1.7%
-------------- -----
Total Health Care.......................... 1,041,175,302 10.0%
-------------- -----
35
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
Industrials -- (12.6%).................................................
CSX Corp............................................................ 2,287,204 $179,980,083 1.7%
General Electric Co................................................. 15,225,603 311,363,581 3.0%
Norfolk Southern Corp............................................... 2,186,220 163,266,910 1.6%
#Northrop Grumman Corp............................................... 1,926,678 122,555,988 1.2%
Tyco International, Ltd............................................. 1,149,868 56,044,566 0.5%
Union Pacific Corp.................................................. 2,594,778 268,481,680 2.6%
Other Securities.................................................... 277,885,139 2.7%
--------------- ------
Total Industrials...................................................... 1,379,577,947 13.3%
--------------- ------
Information Technology -- (3.2%).......................................
Other Securities.................................................... 350,589,780 3.4%
--------------- ------
Materials -- (2.9%)....................................................
#Alcoa, Inc.......................................................... 5,357,434 91,076,378 0.8%
International Paper Co.............................................. 2,299,481 71,007,973 0.7%
Other Securities.................................................... 155,591,864 1.5%
--------------- ------
Total Materials........................................................ 317,676,215 3.0%
--------------- ------
Telecommunication Services -- (6.0%)...................................
AT&T, Inc........................................................... 12,865,019 400,359,391 3.8%
#CenturyLink, Inc.................................................... 1,452,902 59,249,344 0.6%
#*Sprint Nextel Corp................................................. 13,961,200 72,319,016 0.7%
#Verizon Communications, Inc......................................... 1,599,525 60,430,054 0.6%
Other Securities.................................................... 58,771,008 0.5%
--------------- ------
Total Telecommunication Services....................................... 651,128,813 6.2%
--------------- ------
Utilities -- (1.2%)....................................................
Public Service Enterprise Group, Inc................................ 1,751,371 56,341,605 0.5%
Other Securities.................................................... 67,245,478 0.7%
--------------- ------
Total Utilities........................................................ 123,587,083 1.2%
--------------- ------
TOTAL COMMON STOCKS.................................................... 10,388,931,635 99.8%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.1%)...................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares. 10,178,864 10,178,864 0.1%
--------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (4.8%)................................
(S)@DFA Short Term Investment Fund..................................... 523,266,285 523,266,285 5.1%
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11
(Collateralized by $1,544,114 FNMA 3.500%, 02/01/26, valued at
$1,552,540) to be repurchased at $1,507,328........................... $1,507 1,507,320 0.0%
--------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................... 524,773,605 5.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,580,486,809)................................................. $10,923,884,104 105.0%
=============== ======
36
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary...... $ 1,694,114,995 -- -- $ 1,694,114,995
Consumer Staples............ 800,826,198 -- -- 800,826,198
Energy...................... 1,816,117,399 -- -- 1,816,117,399
Financials.................. 2,214,137,903 -- -- 2,214,137,903
Health Care................. 1,041,175,302 -- -- 1,041,175,302
Industrials................. 1,379,577,947 -- -- 1,379,577,947
Information Technology...... 350,589,780 -- -- 350,589,780
Materials................... 317,676,215 -- -- 317,676,215
Telecommunication Services.. 651,128,813 -- -- 651,128,813
Utilities................... 123,587,083 -- -- 123,587,083
Temporary Cash Investments.... 10,178,864 -- -- 10,178,864
Securities Lending Collateral. -- $524,773,605 -- 524,773,605
--------------- ------------ -- ---------------
TOTAL......................... $10,399,110,499 $524,773,605 -- $10,923,884,104
=============== ============ == ===============
See accompanying Notes to Financial Statements.
37
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ----------------
COMMON STOCKS -- (83.0%)
AUSTRALIA -- (4.8%)
#Australia & New Zealand Banking Group, Ltd... 1,696,439 $ 45,188,322 0.6%
#National Australia Bank, Ltd................. 1,901,632 56,616,627 0.7%
Wesfarmers, Ltd.............................. 2,539,298 93,023,189 1.1%
Other Securities............................. 274,559,990 3.4%
------------ ------
TOTAL AUSTRALIA................................. 469,388,128 5.8%
------------ ------
AUSTRIA -- (0.3%)
Other Securities............................. 33,729,173 0.4%
------------ ------
BELGIUM -- (0.8%)
Other Securities............................. 81,832,923 1.0%
------------ ------
CANADA -- (10.2%)
#Encana Corp.................................. 2,051,015 68,912,717 0.9%
#Manulife Financial Corp...................... 3,219,919 57,820,033 0.7%
#Nexen, Inc................................... 1,719,282 45,482,882 0.6%
#Sun Life Financial, Inc...................... 1,494,503 48,919,049 0.6%
Suncor Energy, Inc........................... 2,545,871 117,344,432 1.4%
Talisman Energy, Inc......................... 2,162,345 52,221,723 0.6%
Teck Resources, Ltd. Class B................. 1,303,030 70,828,973 0.9%
#Thomson Reuters Corp......................... 1,832,184 74,282,702 0.9%
#TransCanada Corp............................. 1,941,948 83,556,205 1.0%
Other Securities............................. 368,196,722 4.5%
------------ ------
TOTAL CANADA.................................... 987,565,438 12.1%
------------ ------
DENMARK -- (1.3%)
Other Securities............................. 125,784,300 1.5%
------------ ------
FINLAND -- (0.7%)
Other Securities............................. 72,344,385 0.9%
------------ ------
FRANCE -- (8.3%)
#AXA SA....................................... 3,678,548 82,466,032 1.0%
BNP Paribas SA............................... 607,569 48,031,142 0.6%
Cie de Saint-Gobain SA....................... 875,747 60,426,286 0.8%
Credit Agricole SA........................... 2,709,992 45,077,952 0.6%
#GDF Suez SA.................................. 2,720,289 111,230,825 1.4%
Societe Generale Paris SA.................... 1,255,581 83,907,846 1.0%
#Vivendi SA................................... 3,447,034 108,081,627 1.3%
Other Securities............................. 270,063,507 3.3%
------------ ------
TOTAL FRANCE.................................... 809,285,217 10.0%
------------ ------
GERMANY -- (8.1%)
#Allianz SE................................... 439,353 69,027,351 0.8%
#Allianz SE Sponsored ADR..................... 2,834,240 44,639,280 0.6%
Bayerische Motoren Werke AG.................. 915,762 86,217,868 1.1%
*Daimler AG................................... 2,088,586 161,419,483 2.0%
Deutsche Bank AG............................. 965,050 62,853,121 0.8%
Deutsche Telekom AG.......................... 2,852,483 47,140,915 0.6%
#Deutsche Telekom AG Sponsored ADR............ 3,099,741 51,455,701 0.6%
#E.ON AG...................................... 1,598,720 54,642,935 0.7%
#Munchener Rueckversicherungs-Gesellschaft AG. 412,644 68,067,628 0.8%
Other Securities............................. 139,601,150 1.7%
------------ ------
TOTAL GERMANY................................... 785,065,432 9.7%
------------ ------
GREECE -- (0.1%)
Other Securities............................. 10,014,324 0.1%
------------ ------
38
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- -------------- ---------------
HONG KONG -- (1.4%)
Hutchison Whampoa, Ltd............... 5,618,000 $ 64,322,781 0.8%
Other Securities..................... 73,073,228 0.9%
-------------- -----
TOTAL HONG KONG......................... 137,396,009 1.7%
-------------- -----
IRELAND -- (0.1%)
Other Securities..................... 11,433,581 0.1%
-------------- -----
ISRAEL -- (0.4%)
Other Securities..................... 36,826,376 0.4%
-------------- -----
ITALY -- (1.5%)
Other Securities..................... 142,505,906 1.7%
-------------- -----
JAPAN -- (16.1%)
Mitsubishi Heavy Industries, Ltd..... 9,007,000 43,038,599 0.5%
#Mitsubishi UFJ Financial Group, Inc.. 13,207,406 63,390,116 0.8%
Nissan Motor Co., Ltd................ 4,831,600 46,487,303 0.6%
#Sony Corp. Sponsored ADR............. 1,801,665 51,005,136 0.6%
#Sumitomo Corp........................ 3,241,900 44,721,492 0.5%
#Toyota Motor Corp. Sponsored ADR..... 551,545 43,947,106 0.5%
Other Securities..................... 1,272,689,380 15.7%
-------------- -----
TOTAL JAPAN............................. 1,565,279,132 19.2%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities..................... -- 0.0%
-------------- -----
NETHERLANDS -- (3.2%)
ArcelorMittal NV..................... 2,446,831 90,424,916 1.1%
*ING Groep NV......................... 3,849,884 50,719,361 0.6%
*Koninklijke Philips Electronics NV... 1,939,039 57,430,601 0.7%
Other Securities..................... 109,870,597 1.4%
-------------- -----
TOTAL NETHERLANDS....................... 308,445,475 3.8%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities..................... 5,336,761 0.1%
-------------- -----
NORWAY -- (0.9%)
Other Securities..................... 87,106,036 1.1%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities..................... 9,833,096 0.1%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities..................... 94,898,798 1.2%
-------------- -----
SPAIN -- (2.7%)
#Repsol YPF SA Sponsored ADR.......... 1,432,181 51,157,505 0.6%
Other Securities..................... 207,178,508 2.6%
-------------- -----
TOTAL SPAIN............................. 258,336,013 3.2%
-------------- -----
SWEDEN -- (2.1%)
Nordea Bank AB....................... 4,013,687 45,762,056 0.6%
Other Securities..................... 162,959,751 2.0%
-------------- -----
TOTAL SWEDEN............................ 208,721,807 2.6%
-------------- -----
SWITZERLAND -- (5.2%)
#Holcim, Ltd. AG...................... 886,165 77,213,358 0.9%
Swiss Reinsurance Co., Ltd. AG....... 1,108,107 66,116,889 0.8%
Zurich Financial Services AG......... 322,634 90,717,790 1.1%
39
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares
------
SWITZERLAND -- (Continued)
Other Securities
TOTAL SWITZERLAND
UNITED KINGDOM -- (13.6%)
Aviva P.L.C. 7,396,866
#Barclays P.L.C. Sponsored ADR 4,180,831
Kingfisher P.L.C. 10,285,817
Royal Dutch Shell P.L.C. ADR 3,242,203
Vodafone Group P.L.C. 34,976,333
Vodafone Group P.L.C. Sponsored ADR 8,335,538
Xstrata P.L.C. 3,843,909
Other Securities
TOTAL UNITED KINGDOM
TOTAL COMMON STOCKS
RIGHTS/WARRANTS -- (0.0%)
PORTUGAL -- (0.0%).....................................................................................
Other Securities
SPAIN -- (0.0%)
Other Securities
TOTAL RIGHTS/WARRANTS
Face
Amount
------
(000)
TEMPORARY CASH INVESTMENTS -- (0.1%)...................................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $8,145,000 FNMA
2.24%, 07/06/15, valued at $8,348,625) to be repurchased at $8,222,130.............................. $8,222
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (16.9%)...............................................................
(S)@DFA Short Term Investment Fund..................................................................... 1,646,576,000
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610
FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at $1,321,755..................... $1,322
TOTAL SECURITIES LENDING COLLATERAL....................................................................
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,369,761,306).................................................................................
Value++
-------
SWITZERLAND -- (Continued)
Other Securities $ 273,495,501
--------------
TOTAL SWITZERLAND 507,543,538
--------------
UNITED KINGDOM -- (13.6%)
Aviva P.L.C. 55,357,784
#Barclays P.L.C. Sponsored ADR 79,644,831
Kingfisher P.L.C. 47,258,773
Royal Dutch Shell P.L.C. ADR 254,059,027
Vodafone Group P.L.C. 101,109,152
Vodafone Group P.L.C. Sponsored ADR 242,730,867
Xstrata P.L.C. 98,592,431
Other Securities 442,839,701
--------------
TOTAL UNITED KINGDOM 1,321,592,566
--------------
TOTAL COMMON STOCKS 8,070,264,414
--------------
RIGHTS/WARRANTS -- (0.0%)
PORTUGAL -- (0.0%).....................................................................................
Other Securities 134,266
--------------
SPAIN -- (0.0%)
Other Securities 257,338
--------------
TOTAL RIGHTS/WARRANTS 391,604
--------------
Value+
-----
TEMPORARY CASH INVESTMENTS -- (0.1%)...................................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $8,145,000 FNMA
2.24%, 07/06/15, valued at $8,348,625) to be repurchased at $8,222,130.............................. 8,222,000
--------------
SECURITIES LENDING COLLATERAL -- (16.9%)...............................................................
(S)@DFA Short Term Investment Fund..................................................................... 1,646,576,000
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610
FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at $1,321,755..................... 1,321,751
--------------
TOTAL SECURITIES LENDING COLLATERAL.................................................................... 1,647,897,751
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,369,761,306)................................................................................. $9,726,775,769
==============
Percentage
of Net Assets**
---------------
SWITZERLAND -- (Continued)
Other Securities 3.4%
------
TOTAL SWITZERLAND 6.2%
------
UNITED KINGDOM -- (13.6%)
Aviva P.L.C. 0.7%
#Barclays P.L.C. Sponsored ADR 1.0%
Kingfisher P.L.C. 0.6%
Royal Dutch Shell P.L.C. ADR 3.1%
Vodafone Group P.L.C. 1.2%
Vodafone Group P.L.C. Sponsored ADR 3.0%
Xstrata P.L.C. 1.2%
Other Securities 5.5%
------
TOTAL UNITED KINGDOM 16.3%
------
TOTAL COMMON STOCKS 99.2%
------
RIGHTS/WARRANTS -- (0.0%)
PORTUGAL -- (0.0%).....................................................................................
Other Securities 0.0%
------
SPAIN -- (0.0%)
Other Securities 0.0%
------
TOTAL RIGHTS/WARRANTS 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.1%)...................................................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by $8,145,000 FNMA
2.24%, 07/06/15, valued at $8,348,625) to be repurchased at $8,222,130.............................. 0.1%
------
SECURITIES LENDING COLLATERAL -- (16.9%)...............................................................
(S)@DFA Short Term Investment Fund..................................................................... 20.3%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by $48,926,610
FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at $1,321,755..................... 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL.................................................................... 20.3%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,369,761,306)................................................................................. 119.6%
======
40
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
-----------------------------------------------------
Investment in Securities (Market Value)
-----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------ --------------
Common Stocks
Australia $ 8,439,298 $ 460,948,830 -- $ 469,388,128
Austria -- 33,729,173 -- 33,729,173
Belgium 4,541,994 77,290,929 -- 81,832,923
Canada 987,565,438 -- -- 987,565,438
Denmark -- 125,784,300 -- 125,784,300
Finland 2,515,212 69,829,173 -- 72,344,385
France 33,906,195 775,379,022 -- 809,285,217
Germany 123,575,824 661,489,608 -- 785,065,432
Greece 984,576 9,029,748 -- 10,014,324
Hong Kong -- 137,396,009 -- 137,396,009
Ireland 6,174,077 5,259,504 -- 11,433,581
Israel 4,108,164 32,718,212 -- 36,826,376
Italy 28,173,735 114,332,171 -- 142,505,906
Japan 134,310,391 1,430,968,741 -- 1,565,279,132
Malaysia -- -- -- --
Netherlands 26,000,266 282,445,209 -- 308,445,475
New Zealand -- 5,336,761 -- 5,336,761
Norway 533,709 86,572,327 -- 87,106,036
Portugal -- 9,833,096 -- 9,833,096
Singapore -- 94,898,798 -- 94,898,798
Spain 100,033,060 158,302,953 -- 258,336,013
Sweden 14,472,862 194,248,945 -- 208,721,807
Switzerland 66,974,850 440,568,688 -- 507,543,538
United Kingdom 663,451,513 658,141,053 -- 1,321,592,566
Rights/Warrants
Portugal 134,266 -- -- 134,266
Spain 257,338 -- -- 257,338
Temporary Cash Investments -- 8,222,000 -- 8,222,000
Securities Lending Collateral -- 1,647,897,751 -- 1,647,897,751
-------------- -------------- -- --------------
TOTAL $2,206,152,768 $7,520,623,001 -- $9,726,775,769
============== ============== == ==============
See accompanying Notes to Financial Statements.
41
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The DFA
The U.S. Large International
Cap Value Value
Series Series
-------------- -------------
ASSETS:
Investments at Value (including $505,764 and $1,489,149 of securities on loan, respectively) $10,388,932 $8,070,656
Temporary Cash Investments at Value & Cost 10,179 8,222
Collateral Received from Securities on Loan at Value & Cost 1,507 1,322
Affiliated Collateral Received from Securities on Loan at Value & Cost 523,266 1,646,576
Foreign Currencies at Value -- 29,913
Cash -- 16
Receivables:
Investment Securities Sold 11,012 18,234
Dividends, Interest and Tax Reclaims 9,094 35,891
Securities Lending Income 516 3,179
Fund Shares Sold 687 1,237
Unrealized Gain on Foreign Currency Contracts -- 59
Prepaid Expenses and Other Assets 20 14
----------- ----------
Total Assets 10,945,213 9,815,319
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 524,773 1,647,898
Investment Securities Purchased 13,594 35,319
Fund Shares Redeemed 362 290
Due to Advisor 846 1,304
Unrealized Loss on Forward Currency Contracts -- 58
Accrued Expenses and Other Liabilities 375 507
----------- ----------
Total Liabilities 539,950 1,685,376
----------- ----------
NET ASSETS $10,405,263 $8,129,943
=========== ==========
Investments at Cost $ 7,045,535 $5,713,642
----------- ----------
Foreign Currencies at Cost $ -- $ 29,193
----------- ----------
See accompanying Notes to Financial Statements.
42
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The U.S. The DFA
Large International
Cap Value Value
Series Series
---------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $8,897 respectively) $ 80,274 $ 113,603
Interest 15 16
Income from Securities Lending 2,935 5,858
---------- ----------
Total Investment Income 83,224 119,477
---------- ----------
Expenses
Investment Advisory Services Fees 4,740 7,445
Accounting & Transfer Agent Fees 449 357
Custodian Fees 47 565
Shareholders' Reports 24 19
Directors'/Trustees' Fees & Expenses 60 46
Professional Fees 91 71
Other 36 69
---------- ----------
Total Expenses 5,447 8,572
---------- ----------
Net Investment Income (Loss) 77,777 110,905
---------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold 284,130 132,766
Futures (12,647) --
Foreign Currency Transactions -- 1,257
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 1,503,303 778,946
Translation of Foreign Currency Denominated Amounts -- 338
---------- ----------
Net Realized and Unrealized Gain (Loss) 1,774,786 913,307
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations $1,852,563 $1,024,212
========== ==========
See accompanying Notes to Financial Statements.
43
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International Value
Series Series
----------------------- --------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ---------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)........................................... $ 77,777 $ 167,346 $ 110,905 $ 164,482
Net Realized Gain (Loss) on:...........................................
Investment Securities Sold........................................... 284,130 638,095 132,766 360,748
Futures.............................................................. (12,647) -- -- --
Foreign Currency Transactions........................................ -- -- 1,257 (156)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 1,503,303 678,724 778,946 182,952
Translation of Foreign Currency Denominated Amounts.................. -- -- 338 537
----------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations 1,852,563 1,484,165 1,024,212 708,563
----------- ---------- ---------- ----------
Transactions in Interest:
Contributions.......................................................... 625,011 512,765 303,154 611,794
Withdrawals............................................................ (888,711) (688,930) (117,056) (592,688)
----------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest (263,700) (176,165) 186,098 19,106
----------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets 1,588,863 1,308,000 1,210,310 727,669
Net Assets
Beginning of Period.................................................... 8,816,400 7,508,400 6,919,633 6,191,964
----------- ---------- ---------- ----------
End of Period.......................................................... $10,405,263 $8,816,400 $8,129,943 $6,919,633
=========== ========== ========== ==========
See accompanying Notes to Financial Statements.
44
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+
--------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return....................... 22.06%(C) 19.96% 11.90% (36.53)%(C) (0.32)% 18.16% 14.66%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $10,405,263 $8,816,400 $7,508,400 $6,739,363 $10,159,322 $8,866,306 $5,831,587
Ratio of Expenses to Average Net
Assets............................ 0.12%(B) 0.12% 0.13% 0.11%(B) 0.11% 0.12% 0.14%
Ratio of Net Investment Income to
Average Net Assets................ 1.66%(B) 2.02% 2.42% 1.97%(B) 1.44% 1.68% 1.56%
Portfolio Turnover Rate............ 7%(C) 28% 29% 19%(C) 9% 13% 9%
-------------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series+
--------------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return....................... 14.62%(C) 11.13% 35.41% (47.87)%(C) 17.32% 35.73% 15.61%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $ 8,129,943 $6,919,633 $6,191,964 $4,700,337 $ 9,638,721 $7,457,252 $4,367,698
Ratio of Expenses to Average Net
Assets............................ 0.23%(B) 0.24% 0.24% 0.23%(B) 0.23% 0.23% 0.27%
Ratio of Net Investment Income to
Average Net Assets................ 3.01%(B) 2.55% 3.22% 4.15%(B) 3.04% 3.29% 2.71%
Portfolio Turnover Rate............ 5%(C) 20% 18% 16%(C) 16% 8% 10%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
45
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational investment portfolios, of which The U.S.
Large Cap Value Series and The DFA International Value Series (the "Series")
are presented in this section of the report.
Effective December 31, 2008, The U.S. Large Cap Value Series and on
November 1, 2008, The DFA International Value Series, respectively, each a
master fund in a RIC/RIC master-feeder structure, elected with the consent of
their respective Holder(s) to change their U.S. federal income tax
classification from that of an association taxable as a corporation to a
partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in
capital structure and retroactive reclassification of the statement of changes
in net assets and financial highlights for the respective funds is a result of
the treatment of a partnership for book purposes. Each Series/Portfolio will
maintain its books and records and present its financial statements in
accordance with generally accepted accounting principles for investment
partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk, etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series value the securities at the mean of the most recent quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Generally, securities issued by open-end
investment companies are valued using their respective net asset values or
public offering prices, as appropriate, for purchase orders placed at the close
of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. These securities are generally categorized as
Level 2 in the hierarchy.
46
Fair value pricing may also be used if events that have a significant effect on
the value of an investment (as determined in the discretion of the Investment
Committee of the Advisor) occur before the net asset value is calculated. When
fair value pricing is used, the prices of securities used by the Series may
differ from the quoted or published prices for the same securities on their
primary markets or exchanges.
The DFA International Value Series (the "International Series") will also
fair value price in the circumstances described below. Generally, trading in
foreign securities markets is completed each day at various times prior to the
close of the NYSE. For example, trading in the Japanese securities markets is
completed each day at the close of the Tokyo Stock Exchange (normally 11:00
p.m. PT), which is fourteen hours prior to the close of the NYSE (normally 1:00
p.m. PT) and the time that the net asset value of the International Series is
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Series prices its
shares at the close of the NYSE, the International Series 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 International 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, the Board of Directors/Trustees of the International Series 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 Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Series did not have any significant transfers between Level 1 and Level
2 during the six months ended April 30, 2011.
2. Foreign Currency Translation: Securities and other assets and liabilities
of The DFA International Value Series whose values are initially expressed in
foreign currencies, are translated to U.S. dollars using the mean between the
most recently quoted bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates, and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The DFA International Value Series does not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on The DFA International Value
Series books and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of all or a portion
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1
47
Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S.
Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of agreed
upon years; or quarterly installments over a period of agreed upon years. Each
Trustee shall have the right in a notice of election to defer compensation (the
"Notice") to elect to defer the receipt of the Trustee's deferred compensation
until a date specified by such Trustee in the Notice, which date may not be
sooner than the earlier of: (i) the first business day of January following the
year in which such Trustee ceases to be a member of the Board of the Fund; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board of the Fund (unless the Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2011, none of the Trustees have
requested or received a distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimate the character of distributions
received that may be considered return of capital distributions. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Directors/Trustees, generally based on average
net assets.
The DFA International Value Series 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 DFA International Value Series 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 of foreign investors. In addition, if
there is a deterioration in a country's balance of payments or for other
reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended April 30,
2011, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.10% and 0.20% of average
daily net assets for The U.S. Large Cap Value Series and The DFA International
Value Series, respectively.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Funds; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2011, the total
related amounts paid by the Trust to the CCO were $42 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
48
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
The U.S. Large Cap Value Series.... $255
The DFA International Value Series. 199
E. Purchases and Sales of Securities:
For the six months ended April 30, 2011, the Series made the following
purchases and sales of investment securities, other than short-term investments
and U.S. government securities (amounts in thousands):
Purchases Sales
--------- --------
The U.S. Large Cap Value Series.... $661,050 $848,904
The DFA International Value Series. 651,422 376,563
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------- ------------ -------------- --------------
The U.S. Large Cap Value Series.... $7,580,502 $3,384,626 $(41,244) $3,343,382
The DFA International Value Series. 7,369,966 2,452,488 (95,678) 2,356,810
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Series' tax
positions and has concluded that no provision for income tax is required in any
Series' financial statements. No Series is aware of any tax positions for which
it is reasonably possible that the total amounts of unrecognized tax benefits
will significantly change in the next six months. Each of the Series' federal
tax returns for the prior three fiscal years remain subject to examination by
the Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will
49
take a fair market value basis in the securities deemed received by them and a
new holding period for those securities commences on the deemed liquidation
date.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Repurchase Agreements: The Series may purchase certain U.S. Government
securities subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on April 29, 2011.
2. Foreign Market Risks: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States of America, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States of
America. Consequently, acquisition and disposition of securities by the Series
may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a fund uses derivatives, how derivatives are accounted
for and how derivative instruments affect a fund's results of operations and
financial position. Summarized below are the specific types of derivative
instruments used by the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Series deposits cash or pledges U.S. Government securities to a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Series as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Series 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.
50
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period.
The following is a summary of the Series' location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2011 (amounts in
thousands):
Location on the Statements Equity
of Operations Contracts
-------------------------- ---------
Net Realized Gain (Loss)
The U.S. Large Cap Value Series*. on Futures $(12,647)
*As of April 30, 2011, there were no futures contracts outstanding. During
the six months ended April 30, 2011, the Series had limited activity in futures
contracts.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Trust, together with other Dimensional-advised portfolios,
is currently negotiating a new $250 million unsecured discretionary line of
credit with The Bank of New York Mellon, an affiliate of its domestic custodian
bank, to replace the existing line of credit. The Trust anticipates the new
line of credit will have substantially the same terms and conditions as the
existing line of credit. There were no borrowings by the Series under this line
of credit during the six months ended April 30, 2011.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2010 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012.
For the six months ended April 30, 2011, borrowings under this line of
credit by the Series were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
The U.S. Large Cap Value Series. 0.94% $8,294 11 $2 $15,367
51
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
The DFA International Value Series. 0.91% 1,607 5 -- 4,688
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2011 that each Series' available
line of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2011.
I. Securities Lending:
As of April 30, 2011, some of the Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. Each Series
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan.
Loans of securities are expected at all times to be secured by collateral equal
to at least (i) 100% of the current market value of the loaned securities with
respect to securities of the U.S. government or its agencies, (ii) 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) 105% of the current market value of the loaned securities with
respect to foreign securities. However, daily market fluctuations could cause
the Series' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Each Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods
52
beginning after December 15, 2010. Management is currently evaluating the
impact ASU No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
L. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in the bankruptcy
case of the Tribune Company, (the "Tribune"), and subsequently additional
similar class actions have been filed seeking the same recovery (the
"Lawsuits"). The defendants are The U.S. Large Cap Value Series and hundreds of
other mutual funds, institutional investors and others who owned shares in
Tribune in 2007 when it became private in a leveraged buyout transaction and
who, at that time, sold their shares back to Tribune for cash in the amount of
$34 per share. The Lawsuits allege that the payment for the shares by the
Tribune violated the rights of creditors and seeks to have the cash paid to
shareholders returned to the Tribune's bankruptcy estate and/or various
creditors of the Tribune.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does
not believe that it is possible, at this early stage in the proceedings, to
predict with any reasonable certainty the probable outcome of the Lawsuits or
quantify the ultimate exposure to The U.S. Large Cap Value Series arising from
the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of
the net asset value of The U.S. Large Cap Value Series will be made relating to
the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery they seek, the amount would be less than 1% of The U.S. Large
Cap Value Series' net asset value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
53
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use
in voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (512) 306-7400. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dimensional.com and reflects the twelve-month period
beginning July 1st and ending June 30th.
54
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 17, 2011 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. and the Board of Trustees of The
DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment advisory/management agreements for each
portfolio or series (collectively, the "Funds") and the sub-advisory agreements
for The DFA International Value Series. For The DFA International Value Series,
Dimensional Fund Advisors Ltd. and DFA Australia Limited each serve as a
sub-advisor. (The investment advisory/management agreements and the
sub-advisory agreements are referred to as the "Advisory Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper, Inc. (the
"Lipper Reports"), and issues related to the continuation of the Advisory
Agreements. Also in advance of the Meeting, management provided additional
materials to address and respond to questions that the Independent Board
Members posed after their review and analysis of materials provided by the
Advisor and the Lipper Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Lipper
Reports, which compared the performance of each Fund with other funds in its
respective peer group and peer universe. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board noted that the Advisor's investment style
and methodologies in managing the Funds are not designed to track traditional
indexes. As a result, it is expected that certain Funds will underperform their
Lipper-designated peer funds and that reporting results will diverge from
market indexes, while other Funds may outperform their Lipper-designated peer
funds and market indexes for the same periods. The Board determined, among
other things, that the performance of each Fund was reasonable as compared with
relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods
55
were favorable in relation to those of its peer funds, and that the advisory
fees were fair, both on an absolute basis and in comparison with the fees of
other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing the Funds and other "non-1940 Act registered" investment vehicles.
Upon closely examining the Advisor's profitability, the Board concluded, among
other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
56
LOGO DFA043011-003S
LOGO
SEMI-ANNUAL REPORT
-------------------------------------------------------------
six months ended: April 30, 2011 (Unaudited)
Dimensional Investment Group Inc.
Global Equity Portfolio
Global 60/40 Portfolio
Global 25/75 Portfolio
LOGO
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2011
Dear Fellow Shareholder,
We recently celebrated Dimensional's thirtieth anniversary. The firm has
developed in ways we never could have predicted. Our success owes a lot to our
clients, especially those we've had a long relationship with. We are proud that
these relationships have been beneficial for our clients and for Dimensional.
Thirty years of growth has brought many changes. But some things haven't
changed, and these have been a key to our success. We have always acted in the
best interests of clients and strived to earn and maintain trust by doing what
we say we are going to do. We have always worked hard to demonstrate the
validity of our ideas. We never try to predict how much money our clients could
make, but we have always worked to deliver a good investment experience. We
continue to believe strongly in the principles of diversification and
discipline. We've been fortunate to find clients sharing that belief and
helping us grow into the firm we are now.
Sincerely,
LOGO
David G. Booth
Chairman and Co-Chief Executive Officer
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes....... 1
Disclosure of Fund Expenses...................... 2
Disclosure of Portfolio Holdings................. 4
Schedules of Investments
Global Equity Portfolio....................... 5
Global 60/40 Portfolio........................ 6
Global 25/75 Portfolio........................ 8
Statements of Assets and Liabilities............. 9
Statements of Operations......................... 10
Statements of Changes in Net Assets.............. 11
Financial Highlights............................. 12
Notes to Financial Statements.................... 16
Voting Proxies on Fund Portfolio Securities...... 25
Board Approval of Investment Advisory Agreements. 26
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments
Investment Footnotes
+ See Note B to Financial Statements.
Financial Highlights
(A) Computed using average shares outstanding.
(B) Annualized.
(C) Non-Annualized.
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Funds.
All Statements, Schedules and Notes to Financial Statements
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission.
N/A Does not apply to this fund.
1
DIMENSIONAL INVESTMENT 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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
- --------- --------- ---------- --------
Global Equity Portfolio**
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,177.73 0.60% $3.24
Institutional Class Shares... $1,000.00 $1,178.84 0.32% $1.73
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,021.82 0.60% $3.01
Institutional Class Shares... $1,000.00 $1,023.21 0.32% $1.61
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
- --------- --------- ---------- --------
Global 60/40 Portfolio**
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,111.35 0.57% $2.98
Institutional Class Shares... $1,000.00 $1,112.49 0.30% $1.57
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,021.97 0.57% $2.86
Institutional Class Shares... $1,000.00 $1,023.31 0.30% $1.51
Global 25/75 Portfolio**
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,044.96 0.77% $3.90
Institutional Class Shares... $1,000.00 $1,047.66 0.28% $1.42
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,020.98 0.77% $3.86
Institutional Class Shares... $1,000.00 $1,023.41 0.28% $1.40
--------
* 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 (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
** The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Master Funds (Affiliated Investment
Companies).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 31, 2011. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
Affiliated Investment Companies
-------------------------------
Global Equity Portfolio. 100.0%
Global 60/40 Portfolio.. 100.0%
Global 25/75 Portfolio.. 100.0%
4
GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value+
------ -----
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc. 72,946,244 $ 880,461,165
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc. 50,768,457 625,975,075
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc. 24,438,385 295,460,075
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc. 7,784,006 180,355,419
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc. 811,646 19,731,114
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $1,527,265,123)............................... 2,001,982,848
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
BlackRock Liquidity Funds TempCash
Portfolio - Institutional Shares
(Cost $2,320,092) 2,320,092 2,320,092
--------------
TOTAL INVESTMENTS - (100.0%) (Cost $1,529,585,215).... $2,004,302,940
==============
Summary of inputs used to value the Global Fund's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
---------------------------------------------
Investment in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------- ------- --------------
Affiliated Investment Companies. $2,001,982,848 -- -- $2,001,982,848
Temporary Cash Investments...... 2,320,092 -- -- 2,320,092
-------------- -- -- --------------
TOTAL........................... $2,004,302,940 -- -- $2,004,302,940
============== == == ==============
See accompanying Notes to Financial Statements.
5
GLOBAL 60/40 PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value+
------ -----
AFFILIATED INVESTMENT COMPANIES -- (99.8%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc. 25,106,371 $ 303,033,898
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc. 17,527,484 216,113,878
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc. 15,951,613 171,798,872
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc. 10,593,077 114,405,232
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc. 8,535,033 103,188,549
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc. 2,706,546 62,710,671
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc. 4,851,696 57,104,462
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc. 5,701,620 57,016,200
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc. 5,159,341 57,010,718
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc. 281,644 6,846,766
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES - (100.0%)
(Cost $988,195,533).............................................. 1,149,229,246
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds TempCash
Portfolio - Institutional Shares
(Cost $2,055,338) 2,055,338 2,055,338
--------------
TOTAL INVESTMENTS - (100.0%) (Cost $990,250,871)................... $1,151,284,584
==============
See accompanying Notes to Financial Statements.
6
GLOBAL 60/40 PORTFOLIO
CONTINUED
Summary of inputs used to value the Global Fund's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
---------------------------------------------
Investment in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------- ------- --------------
Affiliated Investment Companies. $1,149,229,246 -- -- $1,149,229,246
Temporary Cash Investments...... 2,055,338 -- -- 2,055,338
-------------- -- -- --------------
TOTAL........................... $1,151,284,584 -- -- $1,151,284,584
============== == == ==============
See accompanying Notes to Financial Statements.
7
GLOBAL 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value+
------ -----
AFFILIATED INVESTMENT COMPANIES -- (99.8%)
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc. 8,047,449 $ 82,003,505
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc. 7,592,536 81,999,389
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc. 3,485,271 41,021,640
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc. 2,547,982 30,754,143
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc. 1,779,938 21,946,636
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc. 872,613 10,549,891
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc. 266,535 6,175,616
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc. 29,300 712,283
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $246,757,900)...................................... 275,163,103
------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds TempCash
Portfolio - Institutional Shares
(Cost $452,384) 452,384 452,384
------------
TOTAL INVESTMENTS - (100.0%) (Cost $247,210,284)........... $275,615,487
============
Summary of inputs used to value the Global Fund's investments as of April 30,
2011 is as follows (See Security Valuation Note):
Valuation Inputs
-----------------------------------------
Investment in Securities (Market Value)
-----------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------- ------- ------------
Affiliated Investment Companies. $275,163,103 -- -- $275,163,103
Temporary Cash Investments...... 452,384 -- -- 452,384
------------ -- -- ------------
TOTAL........................... $275,615,487 -- -- $275,615,487
============ == == ============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Global Global Global
Equity 60/40 25/75
Portfolio Portfolio Portfolio
------------ ------------ ------------
ASSETS:
Investments in Affiliated Investment Companies at Value...... $ 2,001,983 $ 1,149,229 $ 275,163
Temporary Cash Investments at Value & Cost................... 2,320 2,055 452
Receivables:
Fund Shares Sold............................................ 1,033 1,298 139
Prepaid Expenses and Other Assets............................ 51 39 24
------------ ------------ ------------
Total Assets.............................................. 2,005,387 1,152,621 275,778
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies............................. 1,648 1,755 302
Fund Shares Redeemed........................................ 1,555 607 11
Due to Advisor.............................................. -- 14 7
Accrued Expenses and Other Liabilities....................... 91 56 15
------------ ------------ ------------
Total Liabilities......................................... 3,294 2,432 335
------------ ------------ ------------
NET ASSETS $ 2,002,093 $ 1,150,189 $ 275,443
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R2 Shares - based on net assets of $4,576; $4,435;
and $445, and shares outstanding of 307,728; 322,265;
and 36,897, respectively................................... $ 14.87 $ 13.76 $ 12.06
============ ============ ============
NUMBER OF SHARES AUTHORIZED.................................. 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares - based on net assets of
$1,997,517; $1,145,754; and $274,998, and shares
outstanding of 135,310,511; 83,675,810; and 22,898,337,
respectively $ 14.76 $ 13.69 $ 12.01
============ ============ ============
NUMBER OF SHARES AUTHORIZED.................................. 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost....... $ 1,527,265 $ 988,195 $ 246,758
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.............................................. $ 1,714,875 $ 1,023,529 $ 253,460
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income).................................. 2 (430) (342)
Accumulated Net Realized Gain (Loss)......................... (187,502) (33,944) (6,080)
Net Unrealized Appreciation (Depreciation)................... 474,718 161,034 28,405
------------ ------------ ------------
NET ASSETS $ 2,002,093 $ 1,150,189 $ 275,443
============ ============ ============
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
Global Global Global
Equity 60/40 25/75
Portfolio Portfolio Portfolio
--------- --------- ---------
Investment Income
Net Investment Income Received from Affiliated Investment Companies:........
Income Distributions...................................................... $ 13,830 $ 10,172 $ 1,952
-------- -------- -------
Total Investment Income Received from Affiliated Investment Companies... 13,830 10,172 1,952
-------- -------- -------
Fund Investment Income
Interest.................................................................... 1 1 --
-------- -------- -------
Fund Expenses
Administrative Services Fees................................................ 2,715 1,295 251
Accounting & Transfer Agent Fees............................................ 18 13 9
Shareholder Servicing Fees - Class R2 Shares................................ 5 5 1
Filing Fees................................................................. 35 29 18
Shareholders' Reports....................................................... 18 25 3
Directors'/Trustees' Fees & Expenses........................................ 11 6 1
Professional Fees........................................................... 16 10 4
Other....................................................................... 6 5 2
-------- -------- -------
Total Expenses.......................................................... 2,824 1,388 289
-------- -------- -------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)............................................. (2,715) (1,212) (212)
-------- -------- -------
Net Expenses.............................................................. 109 176 77
-------- -------- -------
Net Investment Income (Loss)................................................ 13,722 9,997 1,875
-------- -------- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment Companies.... -- 1,880 800
Net Realized Gain (Loss) on:................................................
Affiliated Investment Companies Shares Sold................................. (2,050) (970) 102
Change in Unrealized Appreciation (Depreciation) of:........................
Affiliated Investment Companies Shares...................................... 285,898 100,285 9,060
-------- -------- -------
Net Realized and Unrealized Gain (Loss)..................................... 283,848 101,195 9,962
-------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations.............. $297,570 $111,192 $11,837
======== ======== =======
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Global Global Global
Equity 60/40 25/75
Portfolio Portfolio Portfolio
---------------------- --------------------- --------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010 2011 2010
----------- ---------- ----------- --------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................... $ 13,722 $ 21,950 $ 9,997 $ 13,711 $ 1,875 $ 4,295
Capital Gain Distributions Received from
Affiliated Investment Companies...................... -- -- 1,880 150 800 89
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Companies Shares Sold.................... (2,050) (16,994) (970) (3,919) 102 (344)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities/Affiliated
Investment Companies Shares......................... 285,898 253,607 100,285 101,260 9,060 13,554
---------- ---------- ---------- --------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations.......................... 297,570 258,563 111,192 111,202 11,837 17,594
---------- ---------- ---------- --------- -------- --------
Distributions From:
Net Investment Income:
Class R2 Shares...................................... (25) (98) (38) (77) (3) (35)
Institutional Class Shares........................... (13,836) (24,383) (10,790) (13,481) (2,409) (4,735)
---------- ---------- ---------- --------- -------- --------
Total Distributions From Net Investment Income...... (13,861) (24,481) (10,828) (13,558) (2,412) (4,770)
---------- ---------- ---------- --------- -------- --------
Net Realized Gains:
Class R2 Shares....................................... -- -- (3) -- (1) --
Institutional Class Shares............................ -- -- (766) (58) (481) (39)
---------- ---------- ---------- --------- -------- --------
Total Distributions From Net Realized Gains......... -- -- (769) (58) (482) (39)
---------- ---------- ---------- --------- -------- --------
Total Distributions to Shareholders................... (13,861) (24,481) (11,597) (13,616) (2,894) (4,809)
---------- ---------- ---------- --------- -------- --------
Capital Share Transactions:
Shares Issued......................................... 253,051 418,112 212,638 307,887 53,846 84,371
Shares Issued in Lieu of Cash Distributions........... 13,434 23,823 10,952 12,901 2,846 4,741
Shares Redeemed....................................... (180,048) (330,714) (109,610) (217,347) (22,851) (31,544)
---------- ---------- ---------- --------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions................................. 86,437 111,221 113,980 103,441 33,841 57,568
---------- ---------- ---------- --------- -------- --------
Total Increase (Decrease) in Net Assets............. 370,146 345,303 213,575 201,027 42,784 70,353
Net Assets
Beginning of Period................................... 1,631,947 1,286,644 936,614 735,587 232,659 162,306
---------- ---------- ---------- --------- -------- --------
End of Period......................................... $2,002,093 $1,631,947 $1,150,189 $ 936,614 $275,443 $232,659
========== ========== ========== ========= ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income) $ 2 $ 141 $ (430) $ 401 $ (342) $ 195
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Equity Portfolio
--------------------------------------------------------------------- ---------------------
Period
Six Months Year Year Dec. 1, Year Year Year Six Months Year
Ended Ended Ended 2007 to Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30, April 30, Oct. 31,
2011 2010 2009 2008 2007 2006 2005 2011 2010
------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period....................... $12.71 $10.82 $ 9.17 $ 15.49 $ 14.76 $ 12.90 $ 11.54 $12.51 $11.13
------ ------ ------ ------- ------- ------- ------- ------ ------
Income from Investment
Operations
Net Investment
Income(A).................. 0.08 0.15 0.17 0.24 0.22 0.19 0.19 0.11 0.17
Net Gains (Losses) on
Securities (Realized and
Unrealized)................ 2.17 1.91 1.64 (6.06) 0.86 2.29 1.33 1.27 1.37
------ ------ ------ ------- ------- ------- ------- ------ ------
Total from Investment
Operations................ 2.25 2.06 1.81 (5.82) 1.08 2.48 1.52 1.38 1.54
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.09) (0.17) (0.16) (0.18) (0.18) (0.18) (0.14) (0.13) (0.16)
Net Realized Gains.......... -- -- -- (0.32) (0.17) (0.44) (0.02) -- --
------ ------ ------ ------- ------- ------- ------- ------ ------
Total Distributions........ (0.09) (0.17) (0.16) (0.50) (0.35) (0.62) (0.16) (0.13) (0.16)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period....................... $14.87 $12.71 $10.82 $ 9.17 $ 15.49 $ 14.76 $ 12.90 $13.76 $12.51
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
Total Return.................. 17.77%(C) 19.21% 20.06% (38.72)%(C) 7.42% 20.04% 13.25% 11.14%(C) 14.01%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $4,576 $3,483 $6,782 $ 6,819 $27,904 $32,717 $16,092 $4,435 $3,748
Ratio of Expenses to Average
Net Assets (D) 0.60%(B) 0.59% 0.62% 0.60%(B) 0.58% 0.62% 0.71% 0.57%(B) 0.58%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery
of Previously Waived Fees)
(D) 0.90%(B) 0.89% 0.91% 0.87%(B) 0.84% 0.85% 0.80% 0.81%(B) 0.81%
Ratio of Net Investment
Income to Average Net
Assets 1.23%(B) 1.32% 1.83% 1.99%(B) 1.38% 1.38% 1.32% 1.68%(B) 1.44%
------------------------------------------------------------------------------------------------------------------------------
Global 60/40 Portfolio
------------------------------------------------
Period
Year Dec. 1, Year Year Year
Ended 2007 to Ended Ended Ended
Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2009 2008 2007 2006 2005
-------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period....................... $ 9.55 $ 13.16 $12.65 $11.58 $10.83
------ ------- ------ ------ ------
Income from Investment
Operations
Net Investment
Income(A).................. 0.14 0.30 0.22 0.11 0.19
Net Gains (Losses) on
Securities (Realized and
Unrealized)................ 1.60 (3.60) 0.60 1.40 0.73
------ ------- ------ ------ ------
Total from Investment
Operations................ 1.74 (3.30) 0.82 1.51 0.92
-------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.12) (0.18) (0.22) (0.18) (0.16)
Net Realized Gains.......... (0.04) (0.13) (0.09) (0.26) (0.01)
------ ------- ------ ------ ------
Total Distributions........ (0.16) (0.31) (0.31) (0.44) (0.17)
-------------------------------------------------------------------------------
Net Asset Value, End of
Period....................... $11.13 $ 9.55 $13.16 $12.65 $11.58
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Total Return.................. 18.46% (25.63)%(C) 6.50% 13.49% 8.57%
-------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $5,187 $ 5,081 $7,631 $7,379 $1,857
Ratio of Expenses to Average
Net Assets (D) 0.60% 0.59%(B) 0.57% 0.65% 0.70%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery
of Previously Waived Fees)
(D) 0.83% 0.80%(B) 0.76% 0.77% 0.80%
Ratio of Net Investment
Income to Average Net
Assets 1.42% 2.78%(B) 1.67% 0.89% 1.73%
-------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global 25/75 Portfolio
---------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $11.65 $10.95 $10.04 $11.42 $11.11 $10.62 $10.33
------ ------ ------ ------ ------ ------ ------
Income from Investment Operations.......
Net Investment Income(A)............... 0.06 0.22 0.15 0.30 0.19 0.03 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.46 0.72 1.06 (1.39) 0.41 0.77 0.25
------ ------ ------ ------ ------ ------ ------
Total from Investment Operations..... 0.52 0.94 1.21 (1.09) 0.60 0.80 0.45
---------------------------------------------------------------------------------------------------------------
Less Distributions......................
Net Investment Income.................. (0.11) (0.24) (0.14) (0.21) (0.20) (0.20) (0.16)
Net Realized Gains..................... -- -- (0.16) (0.08) (0.09) (0.11) --
------ ------ ------ ------ ------ ------ ------
Total Distributions.................. (0.11) (0.24) (0.30) (0.29) (0.29) (0.31) (0.16)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $12.06 $11.65 $10.95 $10.04 $11.42 $11.11 $10.62
---------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
Total Return............................ 4.50%(C) 8.70% 12.19% (9.72)%(C) 5.47% 7.75% 4.47%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $445 $418 $1,701 $1,342 $1,564 $2,701 $46
Ratio of Expenses to Average Net Assets
(D).................................... 0.77%(B) 0.63% 0.62% 0.62%(B) 0.62% 0.62% 0.79%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) (D)....................... 0.94%(B) 0.78% 0.77% 0.78%(B) 0.71% 0.74% 0.95%
Ratio of Net Investment Income to
Average Net Assets..................... 1.04%(B) 1.93% 1.49% 3.00%(B) 1.66% 0.28% 2.00%
-------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Equity Portfolio
--------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 12.62 $ 10.74 $ 9.14 $ 15.48 $ 14.78 $ 12.92 $ 11.56
---------------------------------------------------------------------------------------
Income from Investment
Operations
Net Investment Income(A)...... 0.10 0.17 0.20 0.27 0.27 0.23 0.25
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 2.15 1.91 1.61 (6.02) 0.85 2.28 1.29
---------- ---------- ---------- -------- ---------- -------- --------
Total from Investment
Operations................. 2.25 2.08 1.81 (5.75) 1.12 2.51 1.54
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income......... (0.11) (0.20) (0.21) (0.27) (0.25) (0.21) (0.16)
Net Realized Gains............ -- -- -- (0.32) (0.17) (0.44) (0.02)
---------------------------------------------------------------------------------------
Total Distributions......... (0.11) (0.20) (0.21) (0.59) (0.42) (0.65) (0.18)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 14.76 $ 12.62 $ 10.74 $ 9.14 $ 15.48 $ 14.78 $ 12.92
-----------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------
Total Return................... 17.88%(C) 19.58% 20.30% (38.50)%(C) 7.67% 20.33% 13.47%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $1,997,517 $1,628,464 $1,279,862 $978,901 $1,218,439 $847,574 $485,301
Ratio of Expenses to Average
Net Assets (D)................ 0.32%(B) 0.33% 0.35% 0.34%(B) 0.33% 0.37% 0.46%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees) (D)... 0.62%(B) 0.63% 0.64% 0.61%(B) 0.59% 0.60% 0.56%
Ratio of Net Investment
Income to Average Net Assets.. 1.53%(B) 1.50% 2.17% 2.26%(B) 1.70% 1.72% 1.50%
-----------------------------------------------------------------------------------------------------------------------
Global 60/40 Portfolio
-----------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
--------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 12.45 $ 11.08 $ 9.53 $ 13.17 $ 12.67 $ 11.60 $ 10.83
------------------------------------------------------------------------------
Income from Investment
Operations
Net Investment Income(A)...... 0.13 0.19 0.18 0.27 0.25 0.19 0.22
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 1.26 1.37 1.59 (3.54) 0.60 1.35 0.72
---------- -------- -------- -------- -------- -------- --------
Total from Investment
Operations................. 1.39 1.56 1.77 (3.27) 0.85 1.54 0.94
--------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income......... (0.15) (0.19) (0.18) (0.24) (0.26) (0.21) (0.16)
Net Realized Gains............ -- -- (0.04) (0.13) (0.09) (0.26) (0.01)
------------------------------------------------------------------------------
Total Distributions......... (0.15) (0.19) (0.22) (0.37) (0.35) (0.47) (0.17)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 13.69 $ 12.45 $ 11.08 $ 9.53 $ 13.17 $ 12.67 $ 11.60
--------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------
Total Return................... 11.25%(C) 14.27% 18.95% (25.47)%(C) 6.79% 13.78% 8.80%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $1,145,754 $932,866 $730,400 $587,524 $761,093 $538,369 $277,269
Ratio of Expenses to Average
Net Assets (D)................ 0.30%(B) 0.31% 0.33% 0.32%(B) 0.31% 0.35% 0.45%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees) (D)... 0.54%(B) 0.54% 0.56% 0.53%(B) 0.51% 0.52% 0.55%
Ratio of Net Investment
Income to Average Net Assets.. 1.95%(B) 1.64% 1.82% 2.44%(B) 1.90% 1.56% 1.99%
--------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global 25/75 Portfolio
--------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
--------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 11.60 $ 10.90 $ 10.01 $ 11.46 $ 11.15 $ 10.65 $ 10.34
-------- -------- -------- -------- -------- ------- -------
Income from Investment Operations
Net Investment Income(A)............... 0.09 0.24 0.18 0.31 0.24 0.22 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.46 0.74 1.06 (1.37) 0.40 0.60 0.24
-------- -------- -------- -------- -------- ------- -------
Total from Investment Operations..... 0.55 0.98 1.24 (1.06) 0.64 0.82 0.48
------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income.................. (0.14) (0.28) (0.19) (0.31) (0.24) (0.21) (0.17)
Net Realized Gains..................... -- -- (0.16) (0.08) (0.09) (0.11) --
-------- -------- -------- -------- -------- ------- -------
Total Distributions.................. (0.14) (0.28) (0.35) (0.39) (0.33) (0.32) (0.17)
------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 12.01 $ 11.60 $ 10.90 $ 10.01 $ 11.46 $ 11.15 $ 10.65
==================================================================================================================
Total Return............................ 4.77%(C) 9.17% 12.67% (9.55)%(C) 5.85% 7.97% 4.71%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $274,998 $232,241 $160,605 $126,169 $136,039 $97,194 $52,699
Ratio of Expenses to Average Net
Assets(D).............................. 0.28%(B) 0.29% 0.31% 0.30%(B) 0.31% 0.37% 0.47%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees)(D) 0.45%(B) 0.46% 0.46% 0.46%(B) 0.46% 0.49% 0.71%
Ratio of Net Investment Income to
Average Net Assets..................... 1.51%(B) 2.19% 1.81% 3.03%(B) 2.15% 1.59% 2.33%
------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios,
of which Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75
Portfolio (each a "Global Fund" and collectively, the "Global Funds") are
presented in this report. The remaining portfolios are presented in separate
reports.
The Global Funds achieve their investment objectives by primarily investing
in other portfolios within DFA Investment Dimensions Group Inc. ("IDG")
(collectively, the "Master Funds").
Global Funds (Percentage of Ownership at April 30, 2011)
- --------------------------------------------------------
Global Equity Global 60/40 Global 25/75
Master Funds Portfolio Portfolio Portfolio
------------ ------------- ------------ ------------
U.S. Core Equity 1 Portfolio (IDG)......................... 8% 3% --
U.S. Core Equity 2 Portfolio (IDG)......................... 14% 5% --
DFA Real Estate Securities Portfolio (IDG)................. 1% -- --
International Core Equity Portfolio (IDG).................. 10% 4% --
Emerging Markets Core Equity Portfolio (IDG)............... 3% 1% --
DFA Two-Year Global Fixed Income Portfolio (IDG)........... N/A N/A 2%
DFA Selectively Hedged Global Fixed Income Portfolio (IDG) N/A 24% N/A
DFA Five-Year Global Fixed Income Portfolio (IDG).......... N/A 1% N/A
DFA Inflation-Protected Securities Portfolio (IDG)......... N/A 3% 3%
DFA Short-Term Extended Quality Portfolio (IDG)............ N/A 10% 7%
DFA Intermediate-Term Extended Quality Portfolio (IDG)..... N/A 27% N/A
N/A - Global Fund does not have any ownership in Master Fund.
Amounts designated as -- are less than 1%
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Global Funds from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Global Funds utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels as described below:
. Level 1 - quoted prices in active markets for identical securities
16
. 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 Global Funds'
own assumptions in determining the fair value of investments)
Master Fund shares held by the Global Funds are valued at their respective
daily net asset values, as these Master Funds are treated as regulated
investment companies. The Global Funds' investments in partnerships reflect
proportionate interest in the net assets of their corresponding partnerships.
At April 30, 2011, the Global Funds held no investments in partnerships. These
securities are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Global Funds' net assets by each
major security type is disclosed at the end of the Schedule of Investments. The
inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
The Global Funds did not have any significant transfers between Level 1 and
Level 2 during the year ended October 31, 2010.
2. Deferred Compensation Plan: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of all or a portion
of their total fees earned as a Director. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2
Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2011, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of affiliated
investment company shares are on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received from the investment in affiliated investment companies
that represent a return of capital or capital gain are recorded as a reduction
of cost of investments or as a realized gain, respectively. The Global Funds
estimate the character of distributions received that may be considered return
of capital distributions. Interest income is recorded on the accrual basis.
Expenses directly attributable to a Global Fund are directly charged. Common
expenses of the Fund are allocated using methods approved by the Board of
Directors/Trustees, generally based on average net assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds. The Advisor also provides
administrative services to the Global Funds, including supervision of services
provided by others, providing information to shareholders and the Board of
Directors/Trustees, and other
17
administrative services. For the six months ended April 30, 2011, the Global
Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio's
administrative services fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.30%, 0.25%, 0.20%, respectively, of
average daily net assets. The Global Funds do not pay separate management fees
to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement, in order to limit
the total administration and management fees incurred by the Advisor, the
Advisor has contractually agreed to waive its administration fee to the extent
necessary to limit the proportionate share of the total combined administration
fees paid by each of the Global Funds and investment advisory services fees
paid by the Master Funds to the Advisor. The maximum amount waived under this
waiver is the full amount of a Global Fund's administration fee to the Advisor.
The Fee Waiver and Expense Assumption Agreement will remain in effect through
February 28, 2012, and shall continue to remain in effect from year to year
thereafter unless terminated by the Fund or the Advisor. For the six months
ended April 30, 2011, the Global Funds had the following expense limits based
on a percentage of average net assets on an annualized basis.
Expense
Limits
-------
Global Equity Portfolio. 0.27%
Global 60/40 Portfolio.. 0.25%
Global 25/75 Portfolio.. 0.22%
Prior to March 1, 2010, the Advisor had also contractually agreed to assume
the direct operating expenses of the Institutional Class Shares of each Global
Fund (excluding administrative services fees paid to the Advisor), to the
extent necessary to limit the total expense ratios (including the expenses that
the Institutional Class Shares of each such Global Fund bears as a shareholder
of the Master Funds, but excluding expenses from investment in other investment
companies) of the Institutional Class Shares. For the period ended February 28,
2010, the Institutional Class Shares had the following expense limits based on
a percentage of average net assets on an annualized basis.
Expense
Limits
-------
Global Equity Portfolio. 0.44%
Global 60/40 Portfolio.. 0.41%
Global 25/75 Portfolio.. 0.37%
Prior to March 1, 2010, the Advisor had contractually agreed to assume the
direct operating expenses of the Class R2 Shares of each Global Fund (excluding
administrative services fees paid to the Advisor) to the extent necessary to
limit the total expense ratios (including the expenses that the Class R2 Shares
of each such Global Fund bears as a shareholder of the Master Funds and
including Shareholder Servicing Fees, but excluding expenses from investment in
other investment companies) of the Class R2 Shares. For the period ended
February 28, 2010, the Class R2 Shares had the following expense limits based
on a percentage of average net assets on an annualized basis.
Expense
Limits
-------
Global Equity Portfolio. 0.69%
Global 60/40 Portfolio.. 0.66%
Global 25/75 Portfolio.. 0.62%
At any time that the rate of the fees and annualized expenses of a Global
Fund are less than the rates listed above for a Global Fund on an annualized
basis, the Advisor retains the right to recover any fees previously waived
and/or expenses previously assumed to the extent that such recovery will not
cause the Global Fund's Institutional Class and Class R2 Shares' fees or
expenses to exceed the fee or expense limitations listed above. Previously
waived fees subject to future recovery by the Advisor over periods not
exceeding April 30, 2014 are reflected below (amounts in thousands). The Global
Funds are not obligated to reimburse the Advisor for fees previously waived or
expenses previously assumed by the Advisor more than thirty-six months before
the date of recovery.
18
Previously
Waived
Fees/Expenses
Assumed
Subject to
Future
Recovery
-------------
Global Equity Portfolio
Class R2 Shares............ $ 55
Institutional Class Shares. 11,733
Global 60/40 Portfolio
Class R2 Shares............ 33
Institutional Class Shares. 5,307
Global 25/75 Portfolio
Class R2 Shares............ 6
Institutional Class Shares. 863
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the Fund to the CCO were $16 (in thousands). The total
related amounts paid by each of the Global Funds are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
Global Equity Portfolio. $43
Global 60/40 Portfolio.. 25
Global 25/75 Portfolio.. 6
E. Federal Income Taxes:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2010 were reclassified to the following accounts.
These reclassifications had no effect on net assets or net asset value per
share (amounts in thousands):
Increase
(Decrease)
Increase Accumulated
(Decrease) Net Realized
Paid-In Capital Gains (Losses)
--------------- --------------
Global Equity Portfolio. $3 $(3)
19
The tax character of dividends and distributions declared and paid during
the year ended October 31, 2009 and the year ended October 31, 2010 were as
follows (amounts in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
Global Equity Portfolio
2009................. $23,463 -- $23,463
2010................. 24,481 -- 24,481
Global 60/40 Portfolio
2009................. 11,799 $1,690 13,489
2010................. 13,616 -- 13,616
Global 25/75 Portfolio
2009................. 2,629 1,979 4,608
2010................. 4,809 -- 4,809
At October 31, 2010, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Capital Earnings/
Short-Term Long-Term Loss (Accumulated
Capital Gains Capital Gains Carryforward Losses)
-------------- ------------- ------------ -------------
Global Equity Portfolio. $176 -- $(88,044) $(87,868)
Global 60/40 Portfolio.. 421 -- (27,297) (26,876)
Global 25/75 Portfolio.. 200 -- (3,314) (3,114)
For Federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of October 31, 2010, the Portfolio had capital loss carryforward available
to offset future realized capital gains through the indicated expiration dates
(amounts in thousands):
Expires on October 31,
----------------------
2016 2017 2018 Total
------ ------- ------- -------
Global Equity Portfolio. $2,732 $74,314 $10,998 $88,044
Global 60/40 Portfolio.. -- 26,314 983 27,297
Global 25/75 Portfolio.. -- 3,216 98 3,314
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------- ------------ -------------- --------------
Global Equity Portfolio. $1,629,506 $474,718 $(99,921) $374,797
Global 60/40 Portfolio.. 997,637 161,721 (8,073) 153,648
Global 25/75 Portfolio.. 250,429 28,785 (3,599) 25,186
20
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Global
Portfolio's tax positions and has concluded that no provision for income tax is
required in any Global Portfolios' financial statements. No Global Portfolio is
aware of any tax positions for which it is reasonably possible that the total
amounts of unrecognized tax benefits will significantly change in the next six
months. Each of the Global Portfolio's federal tax returns for the prior three
fiscal years remains subject to examination by the Internal Revenue Service.
F. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Year
Ended Ended
April 30, 2011 Oct. 31, 2010
------------------ ------------------
Amount Shares Amount Shares
--------- ------- --------- -------
Global Equity Portfolio
Class R2 Shares
Shares Issued........................................ $ 659 48 $ 3,225 275
Shares Issued in Lieu of Cash Distributions.......... 25 2 98 9
Shares Redeemed...................................... (229) (17) (7,001) (637)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 455 33 $ (3,678) (353)
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 252,392 18,391 $ 414,887 35,629
Shares Issued in Lieu of Cash Distributions.......... 13,409 1,002 23,725 2,118
Shares Redeemed...................................... (179,819) (13,126) (323,713) (27,884)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 85,982 6,267 $ 114,899 9,863
========= ======= ========= =======
Global 60/40 Portfolio
Class R2 Shares
Shares Issued........................................ $ 405 31 $ 1,890 163
Shares Issued in Lieu of Cash Distributions.......... 41 3 78 7
Shares Redeemed...................................... (150) (11) (3,835) (335)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 296 23 $ (1,867) (165)
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 212,233 16,315 $ 305,997 26,112
Shares Issued in Lieu of Cash Distributions.......... 10,911 856 12,823 1,123
Shares Redeemed...................................... (109,460) (8,429) (213,512) (18,247)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 113,684 8,742 $ 105,308 8,988
========= ======= ========= =======
Global 25/75 Portfolio
Class R2 Shares
Shares Issued........................................ $ 34 3 $ 1,170 105
Shares Issued in Lieu of Cash Distributions.......... 4 -- 35 3
Shares Redeemed...................................... (27) (2) (2,515) (227)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 11 1 $ (1,310) (119)
========= ======= ========= =======
21
Six Months Year
Ended Ended
April 30, 2011 Oct. 31, 2010
---------------- ----------------
Amount Shares Amount Shares
-------- ------ -------- ------
Institutional Class Shares
Shares Issued........................................ $ 53,812 4,590 $ 83,201 7,449
Shares Issued in Lieu of Cash Distributions.......... 2,842 245 4,706 427
Shares Redeemed...................................... (22,824) (1,952) (29,029) (2,602)
-------- ------ -------- ------
Net Increase (Decrease) -- Institutional Class Shares. $ 33,830 2,883 $ 58,878 5,274
======== ====== ======== ======
G. Financial Instruments:
In accordance with the Fund's investment objectives and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. The instrument and its significant corresponding
risks are described below:
Repurchase Agreements: The Global Funds may purchase certain U.S.
Government securities subject to the counterparty's agreement to repurchase
them at an agreed upon date and price. The counterparty will be required on a
daily basis to maintain the value of the collateral subject to the agreement at
not less than the repurchase price, including accrued interest. The agreements
are conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Fund's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. At April 29,
2011, the Global Funds had no open repurchase agreements.
H. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at the
rates agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Fund, together with the other Dimensional-advised
portfolios, is currently negotiating a new $250 million unsecured discretionary
line of credit with The Bank of New York Mellon, an affiliate of its domestic
custodian bank, to replace the existing line of credit. The Fund anticipates
the new line of credit will have substantially the same terms and conditions as
the existing line of credit. There were no borrowings by the Global Funds under
this line of credit during the six months ended April 30, 2011
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012.
For the six months ended April 30, 2011, borrowings by the Global Funds
under this line of credit were as follows (amounts in thousands, except
percentages and days):
22
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio. 0.89% $1,410 15 $ 1 $4,287
Global 60/40 Portfolio.. 0.92% 1,076 22 1 3,344
Global 25/75 Portfolio.. 0.91% 411 16 -- 918
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2011 that each Global Fund's
available line of credit was utilized.
There were no outstanding borrowings by the Global Funds under this line of
credit as of April 30, 2011.
I. Shareholder Servicing Fees:
The Class R2 Shares pay a shareholder servicing fee in the amount of 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the Global Funds' Class R2 Shares.
J. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
L. Other:
At April 30, 2011, the following number of shareholders held the following
approximate percentages of outstanding shares of the Global Funds. One or more
of the shareholders may be omnibus accounts, which typically hold shares for
the benefit of several other underlying investors.
23
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
Global Equity Portfolio -- Class R2 Shares............ 1 93%
Global Equity Portfolio -- Institutional Class Shares. 3 84%
Global 60/40 Portfolio -- Class R2 Shares............. 1 100%
Global 60/40 Portfolio -- Institutional Class Shares.. 3 73%
Global 25/75 Portfolio -- Class R2 Shares............. 1 99%
Global 25/75 Portfolio -- Institutional Class Shares.. 3 82%
The Global Funds are subject to claims and suits that arise from time to
time in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Global
Funds and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
24
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Master Funds use in
voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (512) 306-7400. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dimensional.com and reflects the twelve-month period
beginning July 1st and ending June 30th.
25
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 17, 2010 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. (the "Board") considered the
continuation of the investment advisory agreements for each portfolio
(collectively, the "Funds"). (The investment advisory agreements are referred
to as the "Advisory Agreements.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper, Inc. (the
"Lipper Reports"), and issues related to the continuation of the Advisory
Agreements. Also in advance of the Meeting, management provided additional
materials to address and respond to questions that the Independent Board
Members posed after their review and analysis of materials provided by the
Advisor and the Lipper Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Lipper
Reports, which compared the performance of each Fund with other funds in its
respective peer group and peer universe. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board noted that the Advisor's investment style
and methodologies in managing the Funds are not designed to track traditional
indexes.As a result, it is expected that certain Funds will underperform their
Lipper-designated peer funds and that reporting results will diverge from
market indexes, while other Funds may outperform their Lipper-designated peer
funds and market indexes for the same periods. The Board determined, among
other things, that the performance of each Fund was reasonable as compared with
relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the fees paid to the Advisor in light of the services
provided to the Fund and any additional benefits received by the Advisor in
connection with providing such services, the Board noted that the Advisor did
not charge advisory fees to the Funds under the Advisory Agreements. The Board
reviewed the administrative fees charged by the Advisor to the Funds and
compared the expenses of each Fund to funds in its peer group as provided in
the Lipper Reports. The Board concluded that the fees and total expenses of
each Fund over various periods were favorable in relation to those of its peer
funds and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative
26
fees paid by the Funds. The Board considered the profitability to the Advisor
of managing the Funds and other "non-1940 Act registered" investment vehicles.
Upon closely examining the Advisor's profitability, the Board concluded, among
other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. The Board concluded
that economies of scale and the reflection of such economies of scale in the
level of advisory fees charged were inapplicable to each Fund because the Funds
are not charged advisory fees.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
27
LOGO DFA043011-025S
LOGO
SEMI-ANNUAL REPORT
-------------------------------------------------------------
six months ended: April 30, 2011 (Unaudited)
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
DFA International Value Portfolio II
LOGO
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2011
Dear Fellow Shareholder,
We recently celebrated Dimensional's thirtieth anniversary. The firm has
developed in ways we never could have predicted. Our success owes a lot to our
clients, especially those we've had a long relationship with. We are proud that
these relationships have been beneficial for our clients and for Dimensional.
Thirty years of growth has brought many changes. But some things haven't
changed, and these have been a key to our success. We have always acted in the
best interests of clients and strived to earn and maintain trust by doing what
we say we are going to do. We have always worked hard to demonstrate the
validity of our ideas. We never try to predict how much money our clients could
make, but we have always worked to deliver a good investment experience. We
continue to believe strongly in the principles of diversification and
discipline. We've been fortunate to find clients sharing that belief and
helping us grow into the firm we are now.
Sincerely,
LOGO
David G. Booth
Chairman and Co-Chief Executive Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses...................................... 2
Disclosure of Portfolio Holdings................................. 4
Schedules of Investments.........................................
U.S. Large Cap Value Portfolio II.............................. 5
DFA International Value Portfolio II........................... 5
Statements of Assets and Liabilities............................. 6
Statements of Operations......................................... 7
Statements of Changes in Net Assets.............................. 8
Financial Highlights............................................. 9
Notes to Financial Statements.................................... 10
Disclosure of Fund Expenses...................................... 16
Disclosure of Portfolio Holdings................................. 18
Schedules of Investments/Summary Schedules of Portfolio Holdings.
The U.S. Large Cap Value Series................................ 19
The DFA International Value Series............................. 22
Statements of Assets and Liabilities............................. 26
Statements of Operations......................................... 27
Statements of Changes in Net Assets.............................. 28
Financial Highlights............................................. 29
Notes to Financial Statements.................................... 30
Voting Proxies on Fund Portfolio Securities 38
Board Appoval of Investment Advisory Agreements 39
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
Investment Abbreviations
ADR American Depositary Receipt
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those securities
that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of the net assets of the
Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan
and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
## Par amount of collateral is a part of a pooled collateral facility. Value is indicative of the value allocated to this
Series as a part of this facility.
Financial Highlights
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master
Funds.
All Statements, Schedules and Notes to Financial Statements
-- Amounts designated as -- are either zero or rounded to zero.
REIT Real Estate Investment Trust
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT 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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Value Portfolio II
---------------------------------
Actual Fund Return............... $1,000.00 $1,219.85 0.17% $0.94
Hypothetical 5% Annual Return.... $1,000.00 $1,023.95 0.17% $0.85
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio II
------------------------------------
Actual Fund Return................ $1,000.00 $1,146.38 0.29% $1.54
Hypothetical 5% Annual Return..... $1,000.00 $1,023.36 0.29% $1.45
--------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period. The
Portfolio is a Feeder Fund.
The expenses shown reflect the direct expenses of the Feeder Fund and the
indirect payment of the Feeder Fund's portion of the expenses of its Master
Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 31, 2011. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Master Funds' holdings which reflect the
investments by category.
Affiliated Investment Companies
-------------------------------
U.S. Large Cap Value Portfolio II.... 100.0%
DFA International Value Portfolio II. 100.0%
4
U.S. LARGE CAP VALUE PORTFOLIO II
SCHEDULES OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $135,763,352
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $91,772,623)................................ $135,763,352
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
DFA INTERNATIONAL VALUE PORTFOLIO II
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $147,483,623
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $100,054,179)............................... $147,483,623
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. Large Cap DFA International
Value Portfolio II Value Portfolio II
------------------ ------------------
ASSETS:
Investments in Affiliated Investment Companies at Value........................ $ 135,763 $ 147,484
Receivables:
Affiliated Investment Companies Sold.......................................... 47 143
Fund Shares Sold.............................................................. 17 --
Prepaid Expenses and Other Assets.............................................. 17 17
------------ ------------
Total Assets................................................................ 135,844 147,644
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.......................................................... 64 143
Due to Advisor................................................................ 1 1
Accrued Expenses and Other Liabilities......................................... 9 12
------------ ------------
Total Liabilities........................................................... 74 156
------------ ------------
NET ASSETS $ 135,770 $ 147,488
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................ 12,695,257 20,781,230
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.69 $ 7.10
============ ============
Investment in Affiliated Investment Companies at Cost.......................... $ 91,772 $ 100,055
------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital................................................................ $ 130,341 $ 96,117
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income) 241 1,165
Accumulated Net Realized Gain (Loss)........................................... (38,803) 2,753
Net Unrealized Foreign Exchange Gain (Loss).................................... -- 24
Net Unrealized Appreciation (Depreciation)..................................... 43,991 47,429
------------ ------------
NET ASSETS $ 135,770 $ 147,488
============ ============
(1) NUMBER OF SHARES AUTHORIZED................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
U.S. Large Cap DFA International
Value Portfolio II Value Portfolio II
------------------ ------------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $166, respectively). $ 1,071 $ 2,135
Income from Securities Lending......................................... 39 109
Expenses Allocated from Affiliated Investment Companies................ (72) (163)
------- -------
Total Investment Income............................................ 1,038 2,081
------- -------
Expenses
Administrative Services Fees........................................... 6 7
Accounting & Transfer Agent Fees....................................... 7 7
Filing Fees............................................................ 9 9
Shareholders' Reports.................................................. 9 11
Directors'/Trustees' Fees & Expenses................................... 1 1
Audit Fees............................................................. 1 1
Legal Fees............................................................. 1 1
Other.................................................................. 2 2
------- -------
Total Expenses..................................................... 36 39
------- -------
Net Investment Income (Loss) 1,002 2,042
------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:...........................................
Investment Securities Sold........................................... 3,699 2,740
Futures.............................................................. (162) --
Foreign Currency Transactions........................................ -- 24
Change in Unrealized Appreciation (Depreciation) of:...................
Investment Securities and Foreign Currency........................... 20,284 14,400
Translation of Foreign Currency Denominated Amounts.................. -- 5
------- -------
Net Realized and Unrealized Gain (Loss) 23,821 17,169
------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations $24,823 $19,211
======= =======
--------
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.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Large Cap Value DFA International Value
Portfolio II Portfolio II
-------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- -------- ----------- --------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................................................. $ 1,002 $ 2,150 $ 2,042 $ 3,430
Net Realized Gain (Loss) on:..................................................
Investment Securities Sold................................................... 3,699 8,367 2,740 7,616
Futures...................................................................... (162) -- -- --
Foreign Currency Transactions................................................ -- -- 24 (10)
Change in Unrealized Appreciation.............................................
(Depreciation) of:...........................................................
Investment Securities........................................................ 20,284 8,471 14,400 2,315
Translation of Foreign Currency Denominated Amounts.......................... -- -- 5 14
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............ 24,823 18,988 19,211 13,365
-------- -------- -------- --------
Distributions From:
Net Investment Income......................................................... (1,079) (2,080) (1,306) (3,455)
Net Short-Term Gains.......................................................... -- -- (450) (1,217)
Net Long-Term Gains........................................................... -- -- (7,160) --
-------- -------- -------- --------
Total Distributions........................................................ (1,079) (2,080) (8,916) (4,672)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................................. 8,171 15,564 6,373 13,776
Shares Issued in Lieu of Cash Distributions................................... 1,079 2,080 8,916 4,672
Shares Redeemed............................................................... (9,825) (22,857) (14,161) (34,974)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions.................... (575) (5,213) 1,128 (16,526)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets.................................... 23,169 11,695 11,423 (7,833)
Net Assets
Beginning of Period........................................................... 112,601 100,906 136,065 143,898
-------- -------- -------- --------
End of Period................................................................. $135,770 $112,601 $147,488 $136,065
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................................................. 832 1,826 950 2,199
Shares Issued in Lieu of Cash Distributions................................... 112 256 1,407 801
Shares Redeemed............................................................... (985) (2,763) (2,123) (5,738)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed.................... (41) (681) 234 (2,738)
======== ======== ======== ========
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income) $ 241 $ 318 $ 1,165 $ 429
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio II
- --------------------------------------------------------------------------------------
Six Months Year Year Period Year Year Year
Ended Ended Ended Dec.1, 2007 Ended Ended Ended
April 30, Oct. 31, Oct. 31, to Nov. 30, Nov. 30, Nov. 30,
- 2011 2010 2009 Oct. 31, 2008 2007 2006 2005
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period.............................. $ 8.84 $ 7.52 $ 13.48 $ 22.87 $ 23.80 $ 20.53 $ 18.13
-------- -------- -------- ------- -------- -------- --------
Income from Investment Operations....
Net Investment Income (Loss)........ 0.08(A) 0.16(A) 0.15(A) 0.27(A) 0.33(A) 0.38(A) 0.30
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 1.85 1.32 0.03 (8.10) (0.39) 3.29 2.32
-------- -------- -------- ------- -------- -------- --------
Total from Investment Operations.. 1.93 1.48 0.18 (7.83) (0.06) 3.67 2.62
--------------------------------------------------------------------------------------------------------------------------
Less Distributions...................
Net Investment Income............... (0.08) (0.16) (0.25) (0.37) (0.34) (0.35) (0.22)
Net Realized Gains.................. -- -- (5.89) (1.19) (0.53) (0.05) --
-------- -------- -------- ------- -------- -------- --------
Total Distributions............... (0.08) (0.16) (6.14) (1.56) (0.87) (0.40) (0.22)
-------- -------- -------- ------- -------- -------- --------
Net Asset Value, End of Period....... $ 10.69 $ 8.84 $ 7.52 $ 13.48 $ 22.87 $ 23.80 $ 20.53
==========================================================================================================================
Total Return......................... 21.99%(C) 19.87% 11.79% (36.60)%(C) (0.34)% 18.16% 14.57%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $135,770 $112,601 $100,906 $94,769 $470,014 $492,916 $345,171
Ratio of Expenses to Average Net
Assets (D).......................... 0.17%(B) 0.18% 0.23% 0.16%(B) 0.14% 0.16% 0.18%
Ratio of Net Investment Income to
Average Net Assets.................. 1.60%(B) 1.95% 2.32% 1.44%(B) 1.36% 1.74% 1.60%
--------------------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio II
- --------------------------------------------------------------------------------------
Six Months Year Year Period Year Year Year
Ended Ended Ended Dec.1, 2007 Ended Ended Ended
April 30, Oct. 31, Oct. 31, to Nov. 30, Nov. 30, Nov. 30,
- 2011 2010 2009 Oct. 31, 2008 2007 2006 2005
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period.............................. $ 6.62 $ 6.18 $ 11.58 $ 23.73 $ 21.13 $ 16.50 $ 14.69
-------- -------- -------- -------- -------- -------- --------
Income from Investment Operations....
Net Investment Income (Loss)........ 0.10(A) 0.15(A) 0.17(A) 0.54(A) 0.70(A) 0.65(A) 0.48
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.81 0.50 1.23 (11.35) 2.88 5.01 1.76
-------- -------- -------- -------- -------- -------- --------
Total from Investment Operations.. 0.91 0.65 1.40 (10.81) 3.58 5.66 2.24
--------------------------------------------------------------------------------------------------------------------------
Less Distributions...................
Net Investment Income............... (0.06) (0.16) (0.21) (0.84) (0.64) (0.64) (0.41)
Net Realized Gains.................. (0.37) (0.05) (6.59) (0.50) (0.34) (0.39) (0.02)
-------- -------- -------- -------- -------- -------- --------
Total Distributions............... (0.43) (0.21) (6.80) (1.34) (0.98) (1.03) (0.43)
-------- -------- -------- -------- -------- -------- --------
Net Asset Value, End of Period....... $ 7.10 $ 6.62 $ 6.18 $ 11.58 $ 23.73 $ 21.13 $ 16.50
==========================================================================================================================
Total Return......................... 14.64%(C) 11.03% 35.34% (47.93)%(C) 17.29% 35.74% 15.50%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $147,488 $136,065 $143,898 $113,216 $762,763 $621,214 $340,467
Ratio of Expenses to Average Net
Assets (D).......................... 0.29%(B) 0.29% 0.33% 0.26%(B) 0.25% 0.27% 0.31%
Ratio of Net Investment Income to
Average Net Assets.................. 2.91%(B) 2.49% 3.10% 2.84%(B) 3.02% 3.41% 3.06%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, of
which U.S. Large Cap Value Portfolio II and DFA International Value Portfolio
II (the "Portfolios") are presented in this report.
U.S. Large Cap Value Portfolio II and DFA International Value Portfolio II
primarily invest their assets in The U.S. Large Cap Value Series and The DFA
International Value Series (the "Series"), respectively, each a corresponding
series of The DFA Investment Trust Company. At April 30, 2011, U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II owned 1% and 2% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure, elected with the consent of its
respective Holder(s) to change its U.S. federal income tax classification from
that of an association taxable as a corporation to a partnership pursuant to
Treasury Regulation (S) 301.7701-3. The change in capital structure and
retroactive reclassification of the statement of changes in net assets and
financial highlights for the fund is a result of the treatment of a partnership
for book purposes. The Series/Portfolios will maintain its books and records
and present its financial statements in accordance with generally accepted
accounting principles for investment partnerships.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates,prepayment speeds, credit risk, etc.)
10
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolios' investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed at the end of the Schedule of Investments. The inputs or methodology
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2011.
2. Deferred Compensation Plan: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of all or a portion
of their total fees earned as a Director. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2
Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2011, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Expenses directly attributable to the Portfolios are directly charged. Common
expenses of the Fund are allocated using methods approved by the Board of
Directors/Trustees, generally based on average net assets.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolios, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Series. For the six months ended April 30,
2011, the Portfolios' administrative services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.01% of average
daily net assets of the Portfolios.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the
11
Fund to the CCO were $16 (in thousands). The total related amounts paid by the
Portfolios are included in Other Expenses on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
U.S. Large Cap Value Portfolio II.... $3
DFA International Value Portfolio II. 4
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2010 were classified to the following accounts.
The reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Undistributed Accumulated
Net Investment Net Realized
Income Gains (Losses)
-------------- --------------
U.S. Large Cap Value Portfolio II.... -- --
DFA International Value Portfolio II. $(10) $10
The tax character of dividends and distributions declared and paid during
the year ended October 31, 2009 and the year ended October 31, 2010, were as
follows (amounts in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
U.S. Large Cap Value Portfolio II
2009................................. $2,299 $40,896 $43,195
2010................................. 2,080 -- 2,080
DFA International Value Portfolio II
2009................................. 3,552 63,584 67,136
2010................................. 4,672 -- 4,672
12
At October 31, 2010, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Capital Earnings/
Short-Term Long-Term Loss (Accumulated
Capital Gains Capital Gains Carryforward Loss)
-------------- ------------- ------------ -------------
U.S. Large Cap Value Portfolio II.... $322 -- $(42,340) $(42,018)
DFA International Value Portfolio II. 876 $7,158 -- 8,034
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of October 31, 2010, the U.S. Large Cap Value Portfolio II had capital loss
carryforwards of $42,340 (in thousands) available to offset future realized
capital gains through October 31, 2017. As of October 31, 2010, the DFA
International Value Portfolio II had no capital loss carryforwards available to
offset future realized capital gains. During the year ended October 31, 2010,
U.S. Large Cap Value Portfolio II utilized capital loss carryforwards to offset
realized capital gains for federal income tax purposes in the amount of $8,367
(in thousands).
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
-------- ------------ -------------- --------------
U.S. Large Cap Value Portfolio II.... $ 91,773 $44,999 $(1,008) $43,991
DFA International Value Portfolio II. 100,058 51,545 (4,119) 47,426
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 in a tax return. Management has analyzed the Portfolios' tax
position and has concluded that no provision for income tax is required in the
Portfolios' financial statements. The Portfolios are not aware of any tax
position for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next six months. The
Portfolios' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the
13
master fund. Immediately thereafter, the shareholders contributed all of the
distributed assets and liabilities to a newly formed partnership. The final tax
year end of The DFA International Value Series was October 31, 2008. For
Federal income tax purposes, pursuant to Internal Revenue Code (S)336(a), the
master fund recognizes gain or loss as if the master's investment securities
were sold to its shareholders and, pursuant to IRC Code (S)331, each of the
Portfolios recognizes gain or loss as if it liquidated its investment in the
master. As a result of the transaction, The DFA International Value Series
recognized a ($2,309,440,866) and ($718,733) capital and currency loss
respectively for tax year ended October 31, 2008. For tax purposes, pursuant to
IRC Code (S)334(a), each of the Portfolios will take a fair market value basis
in the securities deemed received by them and a new holding period for those
securities commences on the deemed liquidation date.
F. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at the
rates agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is
currently negotiating a new $250 million unsecured discretionary line of credit
with The Bank of New York Mellon, an affiliate of its domestic custodian bank,
to replace the existing line of credit. The Fund anticipates the new line of
credit will have substantially the same terms and conditions as the existing
line of credit. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2011.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2011.
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 the
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
14
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
I. Other:
At April 30, 2011, two shareholders held 100% of the outstanding shares of
the Portfolios.
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in the bankruptcy
case of the Tribune Company, (the "Tribune"), and subsequently additional
similar class actions have been filed seeking the same recovery (the
"Lawsuits"). The defendants are The U.S. Large Cap Value Series and hundreds of
other mutual funds, institutional investors and others who owned shares in
Tribune in 2007 when it became private in a leveraged buyout transaction and
who, at that time, sold their shares back to Tribune for cash in the amount of
$34 per share. The Lawsuits allege that the payment for the shares by the
Tribune violated the rights of creditors and seeks to have the cash paid to
shareholders returned to the Tribune's bankruptcy estate and/or various
creditors of the Tribune.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does
not believe that it is possible, at this early stage in the proceedings, to
predict with any reasonable certainty the probable outcome of the Lawsuits or
quantify the ultimate exposure to The U.S. Large Cap Value Series arising from
the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of
the net asset value of The U.S. Large Cap Value Series will be made relating to
the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery they seek, the amount would be less than 1% of The U.S. Large
Cap Value Series' net asset value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
15
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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return.............. $1,000.00 $1,220.56 0.12% $0.66
Hypothetical 5% Annual Return... $1,000.00 $1,024.20 0.12% $0.60
16
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
The DFA International Value Series
----------------------------------
Actual Fund Return............... $1,000.00 $1,146.18 0.23% $1.22
Hypothetical 5% Annual Return.... $1,000.00 $1,023.65 0.23% $1.15
--------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period.
17
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31.The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 31, 2011. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
The U.S. Large Cap Value Series
Consumer Discretionary........ 16.3%
Consumer Staples.............. 7.7%
Energy........................ 17.5%
Financials.................... 21.3%
Health Care................... 10.0%
Industrials................... 13.3%
Information Technology........ 3.4%
Materials..................... 3.0%
Telecommunication Services.... 6.3%
Utilities..................... 1.2%
------
100.0%
The DFA International Value Series
Consumer Discretionary..... 15.4%
Consumer Staples........... 5.7%
Energy..................... 11.5%
Financials................. 30.3%
Health Care................ 1.5%
Industrials................ 9.6%
Information Technology..... 2.8%
Materials.................. 12.7%
Other...................... --
Telecommunication Services. 7.1%
Utilities.................. 3.4%
------
100.0%
18
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (95.1%)...................
Consumer Discretionary -- (15.5%)..........
Carnival Corp............................ 2,260,335 $ 86,050,953 0.8%
CBS Corp. Class B........................ 3,870,469 97,613,228 0.9%
Comcast Corp. Class A.................... 11,535,742 302,697,870 2.9%
Comcast Corp. Special Class A............ 3,843,964 94,369,316 0.9%
*Liberty Media Corp. Interactive Class A. 3,585,265 62,670,432 0.6%
#News Corp. Class A...................... 9,024,175 160,810,799 1.6%
#News Corp. Class B...................... 3,247,295 61,373,876 0.6%
#Time Warner Cable, Inc.................. 2,004,056 156,576,895 1.5%
#Time Warner, Inc........................ 6,251,359 236,676,452 2.3%
Other Securities......................... 435,275,174 4.2%
-------------- -----
Total Consumer Discretionary............... 1,694,114,995 16.3%
-------------- -----
Consumer Staples -- (7.3%).................
Archer-Daniels-Midland Co................ 2,981,045 110,358,286 1.0%
CVS Caremark Corp........................ 6,816,437 247,027,677 2.4%
Kraft Foods, Inc. Class A................ 6,193,330 207,972,021 2.0%
Other Securities......................... 235,468,214 2.3%
-------------- -----
Total Consumer Staples..................... 800,826,198 7.7%
-------------- -----
Energy -- (16.6%)..........................
Anadarko Petroleum Corp.................. 2,773,608 218,948,616 2.1%
Chesapeake Energy Corp................... 3,174,634 106,889,927 1.0%
#Chevron Corp............................ 639,240 69,958,426 0.7%
ConocoPhillips........................... 5,825,280 459,789,350 4.4%
Hess Corp................................ 1,453,921 124,979,049 1.2%
Marathon Oil Corp........................ 3,514,978 189,949,411 1.8%
National-Oilwell, Inc.................... 1,945,893 149,230,534 1.4%
#Pioneer Natural Resources Co............ 577,949 59,083,726 0.6%
#Valero Energy Corp...................... 2,742,854 77,622,768 0.7%
Other Securities......................... 359,665,592 3.5%
-------------- -----
Total Energy............................... 1,816,117,399 17.4%
-------------- -----
Financials -- (20.3%)......................
Bank of America Corp..................... 21,876,033 268,637,685 2.6%
Capital One Financial Corp............... 2,343,277 128,247,550 1.2%
*Citigroup, Inc.......................... 78,417,143 359,934,686 3.5%
CME Group, Inc........................... 314,577 93,042,439 0.9%
Hartford Financial Services Group, Inc... 2,160,202 62,581,052 0.6%
Loews Corp............................... 2,466,987 109,188,845 1.0%
MetLife, Inc............................. 4,607,955 215,606,214 2.1%
Morgan Stanley........................... 3,042,449 79,560,041 0.8%
#Prudential Financial, Inc............... 2,197,605 139,372,109 1.3%
#SunTrust Banks, Inc..................... 2,563,152 72,255,255 0.7%
Other Securities......................... 685,712,027 6.6%
-------------- -----
Total Financials........................... 2,214,137,903 21.3%
-------------- -----
Health Care -- (9.5%)......................
Aetna, Inc............................... 1,938,699 80,223,365 0.8%
*Humana, Inc............................. 712,843 54,261,609 0.5%
Pfizer, Inc.............................. 14,482,035 303,543,454 2.9%
*Thermo Fisher Scientific, Inc........... 1,994,284 119,637,097 1.1%
UnitedHealth Group, Inc.................. 2,296,880 113,075,402 1.1%
WellPoint, Inc........................... 2,580,122 198,127,568 1.9%
Other Securities......................... 172,306,807 1.7%
-------------- -----
Total Health Care.......................... 1,041,175,302 10.0%
-------------- -----
19
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
Industrials -- (12.6%)............................
CSX Corp......................................... 2,287,204 $ 179,980,083 1.7%
General Electric Co.............................. 15,225,603 311,363,581 3.0%
Norfolk Southern Corp............................ 2,186,220 163,266,910 1.6%
#Northrop Grumman Corp.......................... 1,926,678 122,555,988 1.2%
Tyco International, Ltd.......................... 1,149,868 56,044,566 0.5%
Union Pacific Corp............................... 2,594,778 268,481,680 2.6%
Other Securities................................. 277,885,139 2.7%
----------------- ------
Total Industrials................................. 1,379,577,947 13.3%
----------------- ------
Information Technology -- (3.2%) Other Securities. 350,589,780 3.4%
----------------- ------
Materials -- (2.9%)...............................
#Alcoa, Inc..................................... 5,357,434 91,076,378 0.8%
International Paper Co........................... 2,299,481 71,007,973 0.7%
Other Securities................................. 155,591,864 1.5%
----------------- ------
Total Materials................................... 317,676,215 3.0%
----------------- ------
Telecommunication Services -- (6.0%)..............
AT&T, Inc........................................ 12,865,019 400,359,391 3.8%
#CenturyLink, Inc............................... 1,452,902 59,249,344 0.6%
#*Sprint Nextel Corp............................ 13,961,200 72,319,016 0.7%
#Verizon Communications, Inc.................... 1,599,525 60,430,054 0.6%
Other Securities................................. 58,771,008 0.5%
----------------- ------
Total Telecommunication Services.................. 651,128,813 6.2%
----------------- ------
Utilities -- (1.2%)...............................
Public Service Enterprise Group, Inc............. 1,751,371 56,341,605 0.5%
Other Securities................................. 67,245,478 0.7%
----------------- ------
Total Utilities................................... 123,587,083 1.2%
----------------- ------
TOTAL COMMON STOCKS............................... 10,388,931,635 99.8%
----------------- ------
TEMPORARY CASH INVESTMENTS -- (0.1%)..............
BlackRock Liquidity Funds Tempcash Portfolio -
Institutional Shares........................... 10,178,864 10,178,864 0.1%
----------------- ------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (4.8%)...........
(S)@DFA Short Term Investment Fund................ 523,266,285 523,266,285 5.1%
@Repurchase Agreement, UBS Securities LLC 0.06%,
05/02/11 (Collateralized by 1,544,114 FNMA
3.50%, 02/01/26, valued at $1,552,540) to be
repurchased at $1,507,328...................... $1,507 1,507,320 0.0%
----------------- ------
TOTAL SECURITIES LENDING COLLATERAL............... 524,773,605 5.1%
----------------- ------
TOTAL INVESTMENTS -- (100.0%) (Cost
$7,580,486,809).................................. $ 10,923,884,104 105.0%
================= ======
20
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks.................
Consumer Discretionary...... $ 1,694,114,995 -- -- $ 1,694,114,995
Consumer Staples............ 800,826,198 -- -- 800,826,198
Energy...................... 1,816,117,399 -- -- 1,816,117,399
Financials.................. 2,214,137,903 -- -- 2,214,137,903
Health Care................. 1,041,175,302 -- -- 1,041,175,302
Industrials................. 1,379,577,947 -- -- 1,379,577,947
Information Technology...... 350,589,780 -- -- 350,589,780
Materials................... 317,676,215 -- -- 317,676,215
Telecommunication Services.. 651,128,813 -- -- 651,128,813
Utilities................... 123,587,083 -- -- 123,587,083
Temporary Cash Investments.... 10,178,864 -- -- 10,178,864
Securities Lending Collateral. -- $524,773,605 -- 524,773,605
--------------- ------------ -- ---------------
TOTAL......................... $10,399,110,499 $524,773,605 -- $10,923,884,104
=============== ============ == ===============
See accompanying Notes to Financial Statements.
21
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (83.0%)
AUSTRALIA -- (4.8%)
#Australia & New Zealand Banking Group, Ltd. 1,696,439 $ 45,188,322 0.6%
#National Australia Bank, Ltd. 1,901,632 56,616,627 0.7%
Wesfarmers, Ltd. 2,539,298 93,023,189 1.1%
Other Securities 274,559,990 3.4%
------------ -----
TOTAL AUSTRALIA 469,388,128 5.8%
------------ -----
AUSTRIA -- (0.3%)
Other Securities 33,729,173 0.4%
------------ -----
BELGIUM -- (0.8%)
Other Securities 81,832,923 1.0%
------------ -----
CANADA -- (10.2%)
#Encana Corp. 2,051,015 68,912,717 0.9%
#Manulife Financial Corp. 3,219,919 57,820,033 0.7%
#Nexen, Inc. 1,719,282 45,482,882 0.6%
#Sun Life Financial, Inc. 1,494,503 48,919,049 0.6%
Suncor Energy, Inc. 2,545,871 117,344,432 1.4%
Talisman Energy, Inc. 2,162,345 52,221,723 0.6%
Teck Resources, Ltd. Class B 1,303,030 70,828,973 0.9%
#Thomson Reuters Corp. 1,832,184 74,282,702 0.9%
#TransCanada Corp. 1,941,948 83,556,205 1.0%
Other Securities 368,196,722 4.5%
------------ -----
TOTAL CANADA 987,565,438 12.1%
------------ -----
DENMARK -- (1.3%)
Other Securities 125,784,300 1.5%
------------ -----
FINLAND -- (0.7%)
Other Securities 72,344,385 0.9%
------------ -----
FRANCE -- (8.3%)
#AXA SA 3,678,548 82,466,032 1.0%
BNP Paribas SA 607,569 48,031,142 0.6%
Cie de Saint-Gobain SA 875,747 60,426,286 0.8%
Credit Agricole SA 2,709,992 45,077,952 0.6%
#GDF Suez SA 2,720,289 111,230,825 1.4%
Societe Generale Paris SA 1,255,581 83,907,846 1.0%
#Vivendi SA 3,447,034 108,081,627 1.3%
Other Securities 270,063,507 3.3%
------------ -----
TOTAL FRANCE 809,285,217 10.0%
------------ -----
GERMANY -- (8.1%)
#Allianz SE 439,353 69,027,351 0.8%
#Allianz SE Sponsored ADR 2,834,240 44,639,280 0.6%
Bayerische Motoren Werke AG 915,762 86,217,868 1.1%
*Daimler AG 2,088,586 161,419,483 2.0%
Deutsche Bank AG 965,050 62,853,121 0.8%
Deutsche Telekom AG 2,852,483 47,140,915 0.6%
#Deutsche Telekom AG Sponsored ADR 3,099,741 51,455,701 0.6%
#E.ON AG 1,598,720 54,642,935 0.7%
#Munchener Rueckversicherungs-Gesellschaft AG 412,644 68,067,628 0.8%
Other Securities 139,601,150 1.7%
------------ -----
TOTAL GERMANY 785,065,432 9.7%
------------ -----
GREECE -- (0.1%)
Other Securities 10,014,324 0.1%
------------ -----
22
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
HONG KONG -- (1.4%).....................
Hutchison Whampoa, Ltd............... 5,618,000 $ 64,322,781 0.8%
Other Securities..................... 73,073,228 0.9%
-------------- -----
TOTAL HONG KONG......................... 137,396,009 1.7%
-------------- -----
IRELAND -- (0.1%).......................
Other Securities..................... 11,433,581 0.1%
-------------- -----
ISRAEL -- (0.4%)........................
Other Securities..................... 36,826,376 0.4%
-------------- -----
ITALY -- (1.5%).........................
Other Securities..................... 142,505,906 1.7%
-------------- -----
JAPAN -- (16.1%)........................
Mitsubishi Heavy Industries, Ltd..... 9,007,000 43,038,599 0.5%
#Mitsubishi UFJ Financial Group, Inc.. 13,207,406 63,390,116 0.8%
Nissan Motor Co., Ltd................ 4,831,600 46,487,303 0.6%
#Sony Corp. Sponsored ADR............. 1,801,665 51,005,136 0.6%
#Sumitomo Corp........................ 3,241,900 44,721,492 0.5%
#Toyota Motor Corp. Sponsored ADR..... 551,545 43,947,106 0.5%
Other Securities..................... 1,272,689,380 15.7%
-------------- -----
TOTAL JAPAN............................. 1,565,279,132 19.2%
-------------- -----
MALAYSIA -- (0.0%)......................
Other Securities..................... -- 0.0%
-------------- -----
NETHERLANDS -- (3.2%)...................
ArcelorMittal NV..................... 2,446,831 90,424,916 1.1%
*ING Groep NV......................... 3,849,884 50,719,361 0.6%
*Koninklijke Philips Electronics NV... 1,939,039 57,430,601 0.7%
Other Securities..................... 109,870,597 1.4%
-------------- -----
TOTAL NETHERLANDS....................... 308,445,475 3.8%
-------------- -----
NEW ZEALAND -- (0.1%)...................
Other Securities..................... 5,336,761 0.1%
-------------- -----
NORWAY -- (0.9%)........................
Other Securities..................... 87,106,036 1.1%
-------------- -----
PORTUGAL -- (0.1%)......................
Other Securities..................... 9,833,096 0.1%
-------------- -----
SINGAPORE -- (1.0%).....................
Other Securities..................... 94,898,798 1.2%
-------------- -----
SPAIN -- (2.7%).........................
#Repsol YPF SA Sponsored ADR.......... 1,432,181 51,157,505 0.6%
Other Securities..................... 207,178,508 2.6%
-------------- -----
TOTAL SPAIN............................. 258,336,013 3.2%
-------------- -----
SWEDEN -- (2.1%)........................
Nordea Bank AB....................... 4,013,687 45,762,056 0.6%
Other Securities..................... 162,959,751 2.0%
-------------- -----
TOTAL SWEDEN............................ 208,721,807 2.6%
-------------- -----
SWITZERLAND -- (5.2%)...................
#Holcim, Ltd. AG...................... 886,165 77,213,358 0.9%
Swiss Reinsurance Co., Ltd. AG....... 1,108,107 66,116,889 0.8%
Zurich Financial Services AG......... 322,634 90,717,790 1.1%
23
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
SWITZERLAND -- (Continued)
Other Securities $273,495,501
--------------
TOTAL SWITZERLAND 507,543,538
--------------
UNITED KINGDOM -- (13.6%)
Aviva P.L.C. 7,396,866 55,357,784
#Barclays P.L.C. Sponsored ADR 4,180,831 79,644,831
Kingfisher P.L.C. 10,285,817 47,258,773
Royal Dutch Shell P.L.C. ADR 3,242,203 254,059,027
Vodafone Group P.L.C. 34,976,333 101,109,152
Vodafone Group P.L.C. Sponsored ADR 8,335,538 242,730,867
Xstrata P.L.C. 3,843,909 98,592,431
Other Securities 442,839,701
--------------
TOTAL UNITED KINGDOM 1,321,592,566
--------------
TOTAL COMMON STOCKS 8,070,264,414
--------------
RIGHTS/WARRANTS -- (0.0%)
PORTUGAL -- (0.0%)
Other Securities 134,266
--------------
SPAIN -- (0.0%)
Other Securities 257,338
--------------
TOTAL RIGHTS/WARRANTS 391,604
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$8,145,000 FNMA 2.24%, 07/06/15, valued at $8,348,625) to be repurchased at $8,222,130 $8,222 8,222,000
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (16.9%)
(S)@DFA Short Term Investment Fund 1,646,576,000 1,646,576,000
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at
$1,321,755 $1,322 1,321,751
--------------
TOTAL SECURITIES LENDING COLLATERAL 1,647,897,751
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,369,761,306) $9,726,775,769
==============
Percentage
of Net Assets**
---------------
SWITZERLAND -- (Continued)
Other Securities 3.4%
------
TOTAL SWITZERLAND 6.2%
------
UNITED KINGDOM -- (13.6%)
Aviva P.L.C. 0.7%
#Barclays P.L.C. Sponsored ADR 1.0%
Kingfisher P.L.C. 0.6%
Royal Dutch Shell P.L.C. ADR 3.1%
Vodafone Group P.L.C. 1.2%
Vodafone Group P.L.C. Sponsored ADR 3.0%
Xstrata P.L.C. 1.2%
Other Securities 5.5%
------
TOTAL UNITED KINGDOM 16.3%
------
TOTAL COMMON STOCKS 99.2%
------
RIGHTS/WARRANTS -- (0.0%)
PORTUGAL -- (0.0%)
Other Securities 0.0%
------
SPAIN -- (0.0%)
Other Securities 0.0%
------
TOTAL RIGHTS/WARRANTS 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$8,145,000 FNMA 2.24%, 07/06/15, valued at $8,348,625) to be repurchased at $8,222,130 0.1%
------
SECURITIES LENDING COLLATERAL -- (16.9%)
(S)@DFA Short Term Investment Fund 20.3%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at
$1,321,755 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL 20.3%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,369,761,306) 119.6%
======
24
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks.................
Australia................... $ 8,439,298 $ 460,948,830 -- $ 469,388,128
Austria..................... -- 33,729,173 -- 33,729,173
Belgium..................... 4,541,994 77,290,929 -- 81,832,923
Canada...................... 987,565,438 -- -- 987,565,438
Denmark..................... -- 125,784,300 -- 125,784,300
Finland..................... 2,515,212 69,829,173 -- 72,344,385
France...................... 33,906,195 775,379,022 -- 809,285,217
Germany..................... 123,575,824 661,489,608 -- 785,065,432
Greece...................... 984,576 9,029,748 -- 10,014,324
Hong Kong................... -- 137,396,009 -- 137,396,009
Ireland..................... 6,174,077 5,259,504 -- 11,433,581
Israel...................... 4,108,164 32,718,212 -- 36,826,376
Italy....................... 28,173,735 114,332,171 -- 142,505,906
Japan....................... 134,310,391 1,430,968,741 -- 1,565,279,132
Malaysia.................... -- -- -- --
Netherlands................. 26,000,266 282,445,209 -- 308,445,475
New Zealand................. -- 5,336,761 -- 5,336,761
Norway...................... 533,709 86,572,327 -- 87,106,036
Portugal.................... -- 9,833,096 -- 9,833,096
Singapore................... -- 94,898,798 -- 94,898,798
Spain....................... 100,033,060 158,302,953 -- 258,336,013
Sweden...................... 14,472,862 194,248,945 -- 208,721,807
Switzerland................. 66,974,850 440,568,688 -- 507,543,538
United Kingdom.............. 663,451,513 658,141,053 -- 1,321,592,566
Rights/Warrants...............
Portugal.................... 134,266 -- -- 134,266
Spain....................... 257,338 -- -- 257,338
Temporary Cash Investments.... -- 8,222,000 -- 8,222,000
Securities Lending Collateral. -- 1,647,897,751 -- 1,647,897,751
-------------- -------------- -- --------------
TOTAL......................... $2,206,152,768 $7,520,623,001 -- $9,726,775,769
============== ============== == ==============
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The U.S. The DFA
Large Cap Value International Value
Series Series
--------------- -------------------
ASSETS:
Investments at Value (including $505,764 and $1,489,149 of securities on loan,
respectively)................................................................ $10,388,932 $8,070,656
Temporary Cash Investments at Value & Cost..................................... 10,179 8,222
Collateral Received from Securities on Loan at Value & Cost.................... 1,507 1,322
Affiliated Collateral Received from Securities on Loan at Value & Cost 523,266 1,646,576
Foreign Currencies at Value.................................................... -- 29,913
Cash........................................................................... -- 16
Receivables:
Investment Securities Sold.................................................... 11,012 18,234
Dividends, Interest and Tax Reclaims.......................................... 9,094 35,891
Securities Lending Income..................................................... 516 3,179
Fund Shares Sold.............................................................. 687 1,237
Unrealized Gain on Foreign Currency Contracts.................................. -- 59
Prepaid Expenses and Other Assets.............................................. 20 14
----------- ----------
Total Assets................................................................ 10,945,213 9,815,319
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................................. 524,773 1,647,898
Investment Securities Purchased............................................... 13,594 35,319
Fund Shares Redeemed.......................................................... 362 290
Due to Advisor................................................................ 846 1,304
Unrealized Loss on Foreign Currency Contracts.................................. -- 58
Accrued Expenses and Other Liabilities......................................... 375 507
----------- ----------
Total Liabilities........................................................... 539,950 1,685,376
----------- ----------
NET ASSETS..................................................................... $10,405,263 $8,129,943
=========== ==========
Investments at Cost............................................................ $ 7,045,535 $5,713,642
----------- ----------
Foreign Currencies at Cost..................................................... $ -- $ 29,193
----------- ----------
See accompanying Notes to Financial Statements.
26
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series
------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $8,897, respectively). $ 80,274 $ 113,603
Interest................................................................. 15 16
Income from Securities Lending........................................... 2,935 5,858
---------- ----------
Total Investment Income.............................................. 83,224 119,477
---------- ----------
Expenses
Investment Advisory Services Fees........................................ 4,740 7,445
Accounting & Transfer Agent Fees......................................... 449 357
Custodian Fees........................................................... 47 565
Shareholders' Reports.................................................... 24 19
Directors'/Trustees' Fees & Expenses..................................... 60 46
Professional Fees........................................................ 91 71
Other.................................................................... 36 69
---------- ----------
Total Expenses....................................................... 5,447 8,572
---------- ----------
Net Investment Income (Loss)............................................. 77,777 110,905
---------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:.............................................
Investment Securities Sold............................................. 284,130 132,766
Futures................................................................ (12,647) --
Foreign Currency Transactions.......................................... -- 1,257
Change in Unrealized Appreciation (Depreciation) of:.....................
Investmtent Securities and Foreign Currency............................ 1,503,303 778,946
Translation of Foreign Currency Denominated Amounts.................... -- 338
---------- ----------
Net Realized and Unrealized Gain (Loss).................................. 1,774,786 913,307
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations........... $1,852,563 $1,024,212
========== ==========
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. The DFA
Large Cap Value International Value
Series Series
----------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 77,777 $ 167,346 $ 110,905 $ 164,482
Net Realized Gain (Loss) on:................................
Investment Securities Sold................................ 284,130 638,095 132,766 360,748
Futures................................................... (12,647) -- -- --
Foreign Currency Transactions............................. -- -- 1,257 (156)
Change in Unrealized Appreciation (Depreciation) of:........
Investment Securities and Foreign Currency................ 1,503,303 678,724 778,946 182,952
Translation of Foreign Currency Denominated Amounts....... -- -- 338 537
----------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................ 1,852,563 1,484,165 1,024,212 708,563
----------- ---------- ---------- ----------
Transactions in Interest:
Contributions............................................... 625,011 512,765 303,154 611,794
Withdrawals................................................. (888,711) (688,930) (117,056) (592,688)
----------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest... (263,700) (176,165) 186,098 19,106
----------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets................. 1,588,863 1,308,000 1,210,310 727,669
Net Assets
Beginning of Period......................................... 8,816,400 7,508,400 6,919,633 6,191,964
----------- ---------- ---------- ----------
End of Period............................................... $10,405,263 $8,816,400 $8,129,943 $6,919,633
=========== ========== ========== ==========
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+
------------------------------------------------------------
Period
Six Months Year Year Dec. 1,
Ended Ended Ended 2007 to
April 30, Oct. 31, Oct. 31, Oct. 31,
2011 2010 2009 2008
-------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.............................. 22.06%(C) 19.96% 11.90% (36.53)%(C)
-------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $ 10,405,263 $ 8,816,400 $ 7,508,400 $ 6,739,363
Ratio of Expenses to Average Net
Assets................................... 0.12%(B) 0.12% 0.13% 0.11%(B)
Ratio of Net Investment Income to Average
Net Assets............................... 1.66%(B) 2.02% 2.42% 1.97%(B)
Portfolio Turnover Rate................... 7%(C) 28% 29% 19%(C)
-------------------------------------------------------------------------------------------------------
The DFA International Value Series+
------------------------------------------------------------
Period
Six Months Year Year Dec. 1,
Ended Ended Ended 2007 to
April 30, Oct. 31, Oct. 31, Oct. 31,
2011 2010 2009 2008
-------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.............................. 14.62%(C) 11.13% 35.41% (47.87)%(C)
-------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $ 8,129,943 $ 6,919,633 $ 6,191,964 $ 4,700,337
Ratio of Expenses to Average Net
Assets................................... 0.23%(B) 0.24% 0.24% 0.23%(B)
Ratio of Net Investment Income to Average
Net Assets............................... 3.01%(B) 2.55% 3.22% 4.15%(B)
Portfolio Turnover Rate................... 5%(C) 20% 18% 16%(C)
-------------------------------------------------------------------------------------------------------
The U.S. Large Cap Value Series+
----------------------------------------
Year Year Year
Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30,
2007 2006 2005
-----------------------------------------------------------------------------------
Total Return.............................. (0.32)% 18.16% 14.66%
-----------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $ 10,159,322 $ 8,866,306 $ 5,831,587
Ratio of Expenses to Average Net
Assets................................... 0.11% 0.12% 0.14%
Ratio of Net Investment Income to Average
Net Assets............................... 1.44% 1.68% 1.56%
Portfolio Turnover Rate................... 9% 13% 9%
-----------------------------------------------------------------------------------
The DFA International Value Series+
----------------------------------------
Year Year Year
Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30,
2007 2006 2005
-----------------------------------------------------------------------------------
Total Return.............................. 17.32% 35.73% 15.61%
-----------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $ 9,638,721 $ 7,457,252 $ 4,367,698
Ratio of Expenses to Average Net
Assets................................... 0.23% 0.23% 0.27%
Ratio of Net Investment Income to Average
Net Assets............................... 3.04% 3.29% 2.71%
Portfolio Turnover Rate................... 16% 8% 10%
-----------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial statements.
29
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven investment portfolios, of which two (the "Series") are
presented in this report.
Effective December 31, 2008, The U.S. Large Cap Value Series and on
November 1, 2008, The DFA International Value Series, respectively, each a
master fund in a RIC/RIC master-feeder structure, elected with the consent of
their respective Holder(s) to change their U.S. federal income tax
classification from that of an association taxable as a corporation to a
partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in
capital structure and retroactive reclassification of the statement of changes
in net assets and financial highlights for the respective funds is a result of
the treatment of a partnership for book purposes. Each Series/Portfolio will
maintain its books and records and present its financial statements in
accordance with generally accepted accounting principles for investment
partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series value the securities at the mean of the most recent quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Generally, securities issued by open-end
investment companies are valued using their respective net asset values or
public offering prices, as appropriate, for purchase orders placed at the close
of the New York Stock Exchange (NYSE).These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. These securities are generally categorized as
Level 2 in the hierarchy. Fair value pricing may also be used if events that
have a significant effect on the value of an investment (as determined
30
in the discretion of the Investment Committee of the Advisor) occur before the
net asset value is calculated. When fair value pricing is used, the prices of
securities used by the Series may differ from the quoted or published prices
for the same securities on their primary markets or exchanges.
The DFA International Value Series (the "International Series") will also
fair value price in the circumstances described below. Generally, trading in
foreign securities markets is completed each day at various times prior to the
close of the NYSE. For example, trading in the Japanese securities markets is
completed each day at the close of the Tokyo Stock Exchange (normally 11:00
p.m. PT), which is fourteen hours prior to the close of the NYSE (normally 1:00
p.m. PT) and the time that the net asset value of the International Series is
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Series prices its
shares at the close of the NYSE, the International Series 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 International 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, the Board of Directors/Trustees of the International Series 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 Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
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.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2011.
2. Foreign Currency Translation: Securities and other assets and liabilities
of The DFA International Value Series whose values are initially expressed in
foreign currencies, are translated to U.S. dollars using the mean between the
most recently quoted bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates, and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The DFA International Value Series does not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on The DFA International Value
Series books and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of all or a portion
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2
Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International
31
Value Portfolio; International Core Equity Portfolio; Emerging Markets
Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global
Fixed Income Portfolio. Contributions made under the Plan and the change in
unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of agreed
upon years; or quarterly installments over a period of agreed upon years. Each
Trustee shall have the right in a notice of election to defer compensation (the
"Notice") to elect to defer the receipt of the Trustee's deferred compensation
until a date specified by such Trustee in the Notice, which date may not be
sooner than the earlier of: (i) the first business day of January following the
year in which such Trustee ceases to be a member of the Board of the Fund; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board of the Fund (unless the Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2011, none of the Trustees have
requested or received a distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimate the character of distributions
received that may be considered return of capital distributions. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Directors/Trustees, generally based on average
net assets.
The DFA International Value Series 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 DFA International Value Series 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 of foreign investors. In addition, if
there is a deterioration in a country's balance of payments or for other
reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended April 30,
2011, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.10% and 0.20% of average
daily net assets for The U.S. Large Cap Value Series and The DFA International
Value Series, respectively.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Funds; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2011, the total
related amounts paid by the Trust to the CCO were $42 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
32
The U.S. Large Cap Value Series.... $255
The DFA International Value Series. 199
E. Purchases and Sales of Securities:
For the six months ended April 30, 2011, the Series made the following
purchases and sales of investment securities, other than short-term investments
and U.S. government securities (amounts in thousands):
Purchases Sales
--------- --------
The U.S. Large Cap Value Series.... $661,050 $848,904
The DFA International Value Series. 651,422 376,563
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------- ------------ -------------- --------------
The U.S. Large Cap Value Series.... $7,580,502 $3,384,626 $(41,244) $3,343,382
The DFA International Value Series. 7,369,966 2,452,488 (95,678) 2,356,810
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Series' tax
positions and has concluded that no provision for income tax is required in any
Series' financial statements. No Series is aware of any tax positions for which
it is reasonably possible that the total amounts of unrecognized tax benefits
will significantly change in the next six months. Each of the Series' federal
tax returns for the prior three fiscal years remain subject to examination by
the Internal Revenue Service.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed
33
to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The DFA
International Value Series was October 31, 2008. For Federal income tax
purposes, pursuant to Internal Revenue Code (S)336(a), the master fund
recognizes gain or loss as if the master's investment securities were sold to
its shareholders and, pursuant to IRC Code (S)331, each of the Portfolios
recognizes gain or loss as if it liquidated its investment in the master. As a
result of the transaction, The DFA International Value Series recognized a
($2,309,440,866) and ($718,733) capital and currency loss respectively for tax
year ended October 31, 2008. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios will take a fair market value basis in the securities
deemed received by them and a new holding period for those securities commences
on the deemed liquidation date.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Repurchase Agreements: The Series may purchase certain U.S. Government
securities subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on April 29, 2011.
2. Foreign Market Risks: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States of America, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States of
America. Consequently, acquisition and disposition of securities by the Series
may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a fund uses derivatives, how derivatives are accounted
for and how derivative instruments affect a fund's results of operations and
financial position. Summarized below are the specific types of derivative
instruments used by the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Series deposits cash or pledges U.S. Government securities to a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Series as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Series 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 entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
34
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period.
The following is a summary of the Series' location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2011 (amounts in
thousands):
Location on the Statements Equity
of Operations Contracts
------ - ---------
Net Realized Gain (Loss)
The U.S. Large Cap Value Series* on Futures $(12,647)
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at the
rates agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Trust, together with other Dimensional-advised portfolios,
is currently negotiating a new $250 million unsecured discretionary line of
credit with The Bank of New York Mellon, an affiliate of its domestic custodian
bank, to replace the existing line of credit. The Trust anticipates the new
line of credit will have substantially the same terms and conditions as the
existing line of credit. There were no borrowings by the Series under this line
of credit during thesix months ended April 30, 2011.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012.
For the six months ended April 30, 2011, borrowings by the Series under this
line of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
The U.S. Large Cap Value Series.... 0.94% $8,294 11 $ 2 $15,367
The DFA International Value Series. 0.91% 1607 5 -- 4688
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2011 that each Series' available
line of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2011.
I. Securities Lending:
As of April 30, 2011, some of the Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. Each Series
invests the cash collateral, as described below, and records a liability for the
35
return of the collateral, during the period the securities are on loan. Loans
of securities are expected at all times to be secured by collateral equal to at
least (i) 100% of the current market value of the loaned securities with
respect to securities of the U.S. government or its agencies, (ii) 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) 105% of the current market value of the loaned securities with
respect to foreign securities. However, daily market fluctuations could cause
the Series' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Each Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
36
L. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in the bankruptcy
case of the Tribune Company, (the "Tribune"), and subsequently additional
similar class actions have been filed seeking the same recovery (the
"Lawsuits"). The defendants are The U.S. Large Cap Value Series and hundreds of
other mutual funds, institutional investors and others who owned shares in
Tribune in 2007 when it became private in a leveraged buyout transaction and
who, at that time, sold their shares back to Tribune for cash in the amount of
$34 per share. The Lawsuits allege that the payment for the shares by the
Tribune violated the rights of creditors and seeks to have the cash paid to
shareholders returned to the Tribune's bankruptcy estate and/or various
creditors of the Tribune.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does
not believe that it is possible, at this early stage in the proceedings, to
predict with any reasonable certainty the probable outcome of the Lawsuits or
quantify the ultimate exposure to The U.S. Large Cap Value Series arising from
the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of
the net asset value of The U.S. Large Cap Value Series will be made relating to
the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery they seek, the amount would be less than 1% of The U.S. Large
Cap Value Series' net asset value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
37
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (512) 306-7400. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dimensional.com and reflects the twelve-month period beginning
July 1st and ending June 30th.
38
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 17, 2010 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements for each series
(collectively, the "Funds") and the sub-advisory agreements for The DFA
International Value Series. For the DFA International Value Series,
Dimensional Fund Advisors Ltd. and DFAAustralia Limited each serve as a
sub-advisor. (The investment management agreements and the sub-advisory
agreements are referred to as the "AdvisoryAgreements," and the Advisor and
sub-advisors are referred to as the "Advisor.").
Prior to the Meeting, independent counsel to the Independent Board
Members sent to the Advisor a request for information, which identified the
information that the Independent Board Members wished to receive in order to
consider the continuation of the Advisory Agreements. The Independent Board
Members met with their independent counsel in advance of the Meeting to
discuss the materials provided by the Advisor, the independent reports
prepared by Lipper, Inc. (the "Lipper Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Lipper Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and
expenses borne by each Fund; (iv) the profitability realized by the Advisor
from the relationship with each Fund; and (v) whether economies of scale are
realized by the Advisor with respect to each Fund as it grows larger, and
the extent to which this is reflected in the level of the advisory fee
charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and
(c) the Advisor's investment advisory capabilities. The Board evaluated the
Advisor's portfolio management process and discussed the unique features of
the Advisor's investment approach. The Board also considered the nature and
character of non-investment management services provided by the Advisor.
After analyzing the caliber of services provided by the Advisor to each
Fund, both quantitatively and qualitatively, including the impact of these
services on investment performance, the Board concluded that the nature,
extent and quality of services provided to each Fund were consistent with
the operational requirements of the Fund and met the needs of the
shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Lipper Reports, which compared the performance of each Fund with other funds
in its respective peer group and peer universe. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board noted that
the Advisor's investment style and methodologies in managing the Funds are
not designed to track traditional indexes.As a result, it is expected that
certain Funds will underperform their Lipper-designated peer funds and that
reporting results will diverge from market indexes, while other Funds may
outperform their Lipper-designated peer funds and market indexes for the
same periods. The Board determined, among other things, that the performance
of each Fund was reasonable as compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and
considering the reasonableness of the management fees paid to the Advisor in
light of the services provided to the Fund and any additional benefits
received by the Advisor in connection with providing such services, the
Board compared the fees charged by the Advisor to the Fund to the fees
charged to the funds in its peer group for comparable services as provided
in the Lipper Reports. The Board concluded that the advisory fees and total
expenses of each Fund over various periods were favorable in relation to
those of its peer funds, and that the advisory fees were fair, both on an
absolute basis and in comparison with the fees of other funds identified in
the peer groups and the industry at large.
39
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the
overall profitability of the Advisor, and the compensation that it received
for providing services to each Fund, including administrative fees paid by
the feeder portfolios. The Board considered the profitability to the Advisor
of managing the Funds and other "non-1940 Act registered" investment
vehicles. Upon closely examining the Advisor's profitability, the Board
concluded, among other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of advisory fees charged. For several
reasons, the Board concluded that economies of scale and the reflection of
such economies of scale in the level of advisory fees charged were
inapplicable to each Fund at the present time, due to the current level of
fees and expenses and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was
in the best interests of the Fund and its shareholders.
40
LOGO DFA043011-009S
LOGO
SEMI-ANNUAL REPORT
six months ended: April 30, 2011 (Unaudited)
Dimensional Investment Group Inc.
DFA International Value Portfolio III
U.S. Large Cap Value Portfolio III
Tax-Managed U.S. Marketwide Value Portfolio II
LOGO
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2011
Dear Fellow Shareholder,
We recently celebrated Dimensional's thirtieth anniversary. The firm has
developed in ways we never could have predicted. Our success owes a lot to our
clients, especially those we've had a long relationship with. We are proud that
these relationships have been beneficial for our clients and for Dimensional.
Thirty years of growth has brought many changes. But some things haven't
changed, and these have been a key to our success. We have always acted in the
best interests of clients and strived to earn and maintain trust by doing what
we say we are going to do. We have always worked hard to demonstrate the
validity of our ideas. We never try to predict how much money our clients could
make, but we have always worked to deliver a good investment experience. We
continue to believe strongly in the principles of diversification and
discipline. We've been fortunate to find clients sharing that belief and
helping us grow into the firm we are now.
Sincerely,
LOGO
David G. Booth
Chairman and Co-Chief Executive Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes............ 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses........................ 2
Disclosure of Portfolio Holdings................... 4
Schedules of Investments
DFA International Value Portfolio III............ 5
U.S. Large Cap Value Portfolio III............... 5
Tax-Managed U.S. Marketwide Value Portfolio II... 6
Statements of Assets and Liabilities............... 7
Statements of Operations........................... 8
Statements of Changes in Net Assets................ 9
Financial Highlights............................... 10
Notes to Financial Statements...................... 12
The DFA Investment Trust Company
Disclosure of Fund Expenses........................ 19
Disclosure of Portfolio Holdings................... 21
Summary Schedules of Portfolio Holdings............
The DFA International Value Series............... 22
The U.S. Large Cap Value Series.................. 26
The Tax-Managed U.S. Marketwide Value Series..... 29
Statements of Assets and Liabilities............... 32
Statements of Operations........................... 33
Statements of Changes in Net Assets................ 34
Financial Highlights............................... 35
Notes to Financial Statements...................... 36
Voting Proxies on Fund Portfolio Securities........... 44
Board Approval of Investment Advisory Agreements...... 45
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedule of Portfolio Holdings
Investment Abbreviations
ADR American Depositary Receipt
FNMA Federal National Mortgage Association
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial
Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as
a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not represent more than 1.0% of the net assets of the Fund. Some of
the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2011.
(S) Affiliated Fund.
## Par amount of collateral is a part of a pooled collateral facility.
Value is indicative of the value allocated to this Series as a part of
this facility.
Financial Highlights
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Funds.
All Statements, Schedules and Notes to Financial Statements
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT 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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio III
-------------------------------------
Actual Fund Return................. $1,000.00 $1,145.85 0.25% $1.33
Hypothetical 5% Annual Return...... $1,000.00 $1,023.55 0.25% $1.25
U.S. Large Cap Value Portfolio III
----------------------------------
Actual Fund Return................. $1,000.00 $1,220.12 0.14% $0.77
Hypothetical 5% Annual Return...... $1,000.00 $1,024.10 0.14% $0.70
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
Tax-Managed U.S. Marketwide Value Portfolio II
----------------------------------------------
Actual Fund Return..................... $1,000.00 $1,223.43 0.23% $1.27
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.65 0.23% $1.15
-------------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period. The
Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of
the Feeder Fund and the indirect payment of the Feeder Fund's portion of the
expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 31, 2011. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Master Funds' holdings which reflect the
investments by category.
Affiliated Investment Companies
-------------------------------
DFA International Value Portfolio III.......... 100.0%
U.S. Large Cap Value Portfolio III............. 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II. 100.0%
4
DFA INTERNATIONAL VALUE PORTFOLIO III
SCHEDULES OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company...................... $1,342,893,042
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $941,087,508)............................... $1,342,893,042
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
U.S. LARGE CAP VALUE PORTFOLIO III
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company...................... $2,057,089,607
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,392,247,328)............................. $2,057,089,607
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of
The DFA Investment Trust Company............................. $939,556,403
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $723,179,675)...................................... $939,556,403
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Tax-Managed
DFA International U.S. Large Cap U.S. Marketwide
Value Portfolio III Value Portfolio III Value Portfolio II
------------------- ------------------- ------------------
ASSETS:
Investments in Affiliated Investment Companies at Value............. $ 1,342,893 $ 2,057,089 $ 939,557
Receivables:
Affiliated Investment Companies Sold............................... -- 315 --
Fund Shares Sold................................................... 700 1,006 708
Prepaid Expenses and Other Assets................................... 21 24 21
------------ ------------ ------------
Total Assets..................................................... 1,343,614 2,058,434 940,286
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased.......................... 254 -- 244
Fund Shares Redeemed............................................... 446 1,321 464
Due to Advisor..................................................... 11 17 --
Accrued Expenses and Other Liabilities.............................. 61 88 40
------------ ------------ ------------
Total Liabilities................................................ 772 1,426 748
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,342,842 $ 2,057,008 $ 939,538
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 70,996,624 119,523,481 58,320,491
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE $ 18.91 $ 17.21 $ 16.11
============ ============ ============
Investment in Affiliated Investment Companies at Cost............... $ 941,087 $ 1,392,247 $ 723,180
------------ ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 935,775 $ 1,637,729 $ 741,352
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................ 10,472 3,739 1,707
Accumulated Net Realized Gain (Loss)................................ (5,413) (249,302) (19,898)
Net Unrealized Foreign Exchange Gain (Loss)......................... 202 -- --
Net Unrealized Appreciation (Depreciation).......................... 401,806 664,842 216,377
------------ ------------ ------------
NET ASSETS $ 1,342,842 $ 2,057,008 $ 939,538
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
Tax-Managed
DFA International U.S. Large Cap U.S. Marketwide
Value Portfolio III Value Portfolio III Value Portfolio II
------------------- ------------------- ------------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $1,473, $0 and $0,
respectively)................................................ $ 18,822 $ 16,027 $ 7,115
Interest....................................................... 3 3 2
Income from Securities Lending................................. 970 586 214
Expenses Allocated from Affiliated Investment Companies (1,423) (1,087) (936)
-------- -------- --------
Total Investment Income.................................... 18,372 15,529 6,395
-------- -------- --------
Expenses
Administrative Services Fees................................... 62 95 --
Accounting & Transfer Agent Fees............................... 14 17 11
Filing Fees.................................................... 16 17 15
Shareholders' Reports.......................................... 23 28 11
Directors'/Trustees' Fees & Expenses........................... 8 12 5
Audit Fees..................................................... 2 2 2
Legal Fees..................................................... 9 14 6
Other.......................................................... 4 6 4
-------- -------- --------
Total Expenses............................................. 138 191 54
-------- -------- --------
Net Investment Income (Loss)................................... 18,234 15,338 6,341
-------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................... 22,813 56,060 40,352
Futures...................................................... -- (2,459) --
Foreign Currency Transactions 210 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... 128,989 305,028 126,143
Translation of Foreign Currency Denominated Amounts.......... 53 -- --
-------- -------- --------
Net Realized and Unrealized Gain (Loss)........................ 152,065 358,629 166,495
-------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations $170,299 $373,967 $172,836
======== ======== ========
-------------
Investment Income and Realized and Unrealized Gain (Loss) were allocated from
each Portfolio's Master Fund (Affiliated Investment Companies).
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International U.S. Large Cap
Value Portfolio III Value Portfolio III
---------------------- ----------------------
Six Six
Months Year Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ---------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................................. $ 18,234 $ 26,683 $ 15,338 $ 32,363
Net Realized Gain (Loss) on:
Investment Securities Sold................................... 22,813 61,288 56,060 124,615
Futures...................................................... -- -- (2,459) --
Foreign Currency Transactions................................ 210 (19) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... 128,989 28,952 305,028 132,549
Translation of Foreign Currency Denominated Amounts.......... 53 108 -- --
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations 170,299 117,012 373,967 289,527
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income......................................... (11,438) (26,333) (16,385) (31,280)
---------- ---------- ---------- ----------
Total Distributions......................................... (11,438) (26,333) (16,385) (31,280)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................................. 97,969 204,426 158,269 241,150
Shares Issued in Lieu of Cash Distributions................... 10,094 23,776 14,629 28,592
Shares Redeemed............................................... (84,569) (166,566) (187,776) (271,386)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share Transactions..... 23,494 61,636 (14,878) (1,644)
---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets..................... 182,355 152,315 342,704 256,603
Net Assets
Beginning of Period........................................... 1,160,487 1,008,172 1,714,304 1,457,701
---------- ---------- ---------- ----------
End of Period................................................. $1,342,842 $1,160,487 $2,057,008 $1,714,304
========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................................. 5,579 13,306 9,907 17,992
Shares Issued in Lieu of Cash Distributions................... 585 1,658 945 2,184
Shares Redeemed............................................... (4,805) (10,770) (11,830) (20,121)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed................................................... 1,359 4,194 (978) 55
========== ========== ========== ==========
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income) $ 10,472 $ 3,676 $ 3,739 $ 4,786
Tax-Managed
U.S. Marketwide
Value Portfolio II
---------------------
Six
Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ---------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................................. $ 6,341 $ 10,133
Net Realized Gain (Loss) on:
Investment Securities Sold................................... 40,352 29,369
Futures...................................................... -- --
Foreign Currency Transactions................................ -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... 126,143 94,248
Translation of Foreign Currency Denominated Amounts.......... -- --
-------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations 172,836 133,750
-------- ---------
Distributions From:
Net Investment Income......................................... (6,523) (9,851)
-------- ---------
Total Distributions......................................... (6,523) (9,851)
-------- ---------
Capital Share Transactions (1):
Shares Issued................................................. 54,816 91,345
Shares Issued in Lieu of Cash Distributions................... 6,513 9,834
Shares Redeemed............................................... (61,538) (123,047)
-------- ---------
Net Increase (Decrease) from Capital Share Transactions..... (209) (21,868)
-------- ---------
Total Increase (Decrease) in Net Assets..................... 166,104 102,031
Net Assets
Beginning of Period........................................... 773,434 671,403
-------- ---------
End of Period................................................. $939,538 $ 773,434
======== =========
(1) Shares Issued and Redeemed:
Shares Issued................................................. 3,701 7,362
Shares Issued in Lieu of Cash Distributions................... 451 815
Shares Redeemed............................................... (4,125) (9,978)
-------- ---------
Net Increase (Decrease) from Shares Issued and
Redeemed................................................... 27 (1,801)
======== =========
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income) $ 1,707 $ 1,889
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio III
-------------------------------------------------------------------------------------------
Six Period
Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 16.66 $ 15.41 $ 11.74 $ 24.03 $ 21.46 $ 16.89 $ 15.03
---------- ---------- ---------- -------- ---------- -------- --------
Income from Investment
Operations
Net Investment Income (Loss).. 0.26(A) 0.39(A) 0.40(A) 0.72(A) 0.71(A) 0.64(A) 0.49
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 2.15 1.25 3.66 (11.64) 2.92 5.10 1.80
---------- ---------- ---------- -------- ---------- -------- --------
Total from Investment
Operations................. 2.41 1.64 4.06 (10.92) 3.63 5.74 2.29
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income......... (0.16) (0.39) (0.39) (0.80) (0.63) (0.65) (0.42)
Net Realized Gains............ -- -- -- (0.57) (0.43) (0.52) (0.01)
---------- ---------- ---------- -------- ---------- -------- --------
Total Distributions......... (0.16) (0.39) (0.39) (1.37) (1.06) (1.17) (0.43)
---------- ---------- ---------- -------- ---------- -------- --------
Net Asset Value, End of Period. $ 18.91 $ 16.66 $ 15.41 $ 11.74 $ 24.03 $ 21.46 $ 16.89
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Total Return................... 14.59%(C) 11.05% 35.37% (47.87)%(C) 17.32% 35.67% 15.59%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $1,342,842 $1,160,487 $1,008,172 $726,061 $1,190,286 $999,893 $696,954
Ratio of Expenses to Average
Net Assets (D)................ 0.25%(B) 0.26% 0.28% 0.26%(B) 0.25% 0.26% 0.30%
Ratio of Net Investment
Income to Average.............
Net Assets..................... 2.98%(B) 2.53% 3.19% 4.03%(B) 3.02% 3.37% 3.08%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
U.S. Large Cap Value Portfolio III
-------------------------------------------------------------------------------------------------
Six Period
Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period...... $ 14.23 $ 12.10 $ 11.15 $ 18.75 $ 19.55 $ 16.89 $ 14.91
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
Net Investment Income
(Loss)................. 0.13(A) 0.27(A) 0.25(A) 0.29(A) 0.28(A) 0.31(A) 0.25
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 2.99 2.12 0.97 (6.76) (0.33) 2.69 1.91
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............ 3.12 2.39 1.22 (6.47) (0.05) 3.00 2.16
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income.... (0.14) (0.26) (0.27) (0.29) (0.27) (0.29) (0.18)
Net Realized Gains....... -- -- -- (0.84) (0.48) (0.05) --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.... (0.14) (0.26) (0.27) (1.13) (0.75) (0.34) (0.18)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period................... $ 17.21 $ 14.23 $ 12.10 $ 11.15 $ 18.75 $ 19.55 $ 16.89
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Total Return.............. 22.01%(C) 19.96% 11.88% (36.55)%(C) (0.35)% 18.10% 14.62%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $2,057,008 $1,714,304 $1,457,701 $1,227,331 $1,731,226 $1,548,504 $1,122,582
Ratio of Expenses to
Average Net Assets (D)... 0.14%(B) 0.14% 0.16% 0.14%(B) 0.14% 0.14% 0.17%
Ratio of Net Investment
Income to Average........
Net Assets................ 1.64%(B) 2.00% 2.37% 1.98%(B) 1.41% 1.75% 1.60%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Tax-Managed U.S. Marketwide Value Portfolio II
------------------------------------------------------------------------------------------
Six Months Year Year Period Year Year Year
Ended Ended Ended Dec. 1, 2007 Ended Ended Ended
April 30, Oct. 31, Oct. 31, to Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 Oct. 31, 2008 2007 2006 2005
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period.............................. $ 13.27 $ 11.17 $ 10.20 $ 17.41 $ 17.57 $ 15.17 $ 13.20
-------- -------- -------- -------- ---------- ---------- --------
Income from Investment Operations
Net Investment Income (Loss)........ 0.11(A) 0.17(A) 0.21(A) 0.28(A) 0.29(A) 0.26(A) 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 2.84 2.10 1.02 (6.42) (0.16) 2.39 1.94
-------- -------- -------- -------- ---------- ---------- --------
Total from Investment Operations.. 2.95 2.27 1.23 (6.14) 0.13 2.65 2.14
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............... (0.11) (0.17) (0.26) (0.31) (0.29) (0.25) (0.17)
Net Realized Gains.................. -- -- -- (0.76) -- -- --
-------- -------- -------- -------- ---------- ---------- --------
Total Distributions............... (0.11) (0.17) (0.26) (1.07) (0.29) (0.25) (0.17)
-------- -------- -------- -------- ---------- ---------- --------
Net Asset Value, End of Period....... $ 16.11 $ 13.27 $ 11.17 $ 10.20 $ 17.41 $ 17.57 $ 15.17
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
Total Return......................... 22.34%(C) 20.47% 12.64% (37.46)%(C) 0.67% 17.67% 16.36%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $939,538 $773,434 $671,403 $613,690 $1,110,266 $1,015,376 $721,743
Ratio of Expenses to Average Net
Assets (D).......................... 0.23%(B) 0.23% 0.26% 0.23%(B) 0.23% 0.24% 0.26%
Ratio of Net Investment Income to
Average Net Assets.................. 1.47%(B) 1.38% 2.16% 2.07%(B) 1.59% 1.61% 1.49%
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, of
which DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios") are
presented in this report.
DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invests their
assets in The DFA International Value Series, The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding Series of The DFA Investment Trust Company. At April 30,
2011, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 17%, 20% and 29% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701 -3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure, elected with the consent of its
respective Holder(s) to change its U.S. federal income tax classification from
that of an association taxable as a corporation to a partnership pursuant to
Treasury Regulation (S) 301.7701 -3. The change in capital structure and
retroactive reclassification of the statement of changes in net assets and
financial highlights for the fund is a result of the treatment of a partnership
for book purposes. The Series/Portfolio will maintain its books and records and
present its financial statements in accordance with generally accepted
accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
12
. 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 Portfolios' investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed at the end of the Schedule of Investments. The inputs or methodology
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2011.
2. Deferred Compensation Plan: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of all or a
portion of their total fees earned as a Director. These deferred amounts may be
treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2011, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities from the Series, which is treated as a partnership for
federal income tax purposes. Dividend income and distributions to shareholders
are recorded on the ex-dividend date. Distributions received on securities that
represent a return of capital or capital gain are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of distributions received that may be considered return
of capital distributions. Expenses directly attributable to the Portfolios are
directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors/Trustees, generally based on average net
assets.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolios, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Series. For the six months ended April 30,
2011, the Portfolios' administrative services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.01% of average
daily net assets, except for the Tax-Managed U.S. Marketwide Value Portfolio
II, which pays no fee.
13
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the Fund to the CCO were $16 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio III.......... $33
U.S. Large Cap Value Portfolio III............. 49
Tax-Managed U.S. Marketwide Value Portfolio II. 22
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2010 were classified to the following accounts.
The reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Undistributed Accumulated
Net Investment Net Realized
Income Gains (Losses)
-------------- --------------
DFA International Value Portfolio III.......... $(19) $19
U.S. Large Cap Value Portfolio III............. -- --
Tax-Managed U.S. Marketwide Value Portfolio II. (3) 3
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2009 and October 31, 2010 were as follows (amounts
in thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
DFA International Value Portfolio III
2009.................................. $25,965 -- $25,965
2010.................................. 26,333 -- 26,333
U.S. Large Cap Value Portfolio III
2009.................................. 31,932 -- 31,932
2010.................................. 31,280 -- 31,280
14
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
Tax-Managed U.S. Marketwide Value Portfolio II
2009........................................... $13,703 -- $13,703
2010........................................... 9,851 -- 9,851
At October 31, 2010, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
Undistributed
Net Total Net
Investment Distributable
Income and Undistributed Capital Earnings
Short-Term Long-Term Loss Accumulated
Capital Gains Capital Gains Carryforward (Losses)
------------- ------------- ------------ -------------
DFA International Value Portfolio III.......... $3,716 -- $ (28,403) $ (24,687)
U.S. Large Cap Value Portfolio III............. 4,842 -- (302,899) (298,057)
Tax-Managed U.S. Marketwide Value Portfolio II. 1,891 -- (60,119) (58,228)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of October 31, 2010, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
Expires on October 31,
----------------------
2016 2017 Total
------- -------- --------
DFA International Value Portfolio III.......... $28,403 -- $ 28,403
U.S. Large Cap Value Portfolio III............. -- $302,899 302,899
Tax-Managed U.S. Marketwide Value Portfolio II. 6,437 53,682 60,119
During the year ended October 31, 2010, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands).
DFA International Value Portfolio III.......... $ 61,292
U.S. Large Cap Value Portfolio III............. 124,619
Tax-Managed U.S. Marketwide Value Portfolio II. 29,563
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------- ------------ -------------- --------------
DFA International Value Portfolio III.......... $ 941,121 $412,519 $(10,747) $401,772
U.S. Large Cap Value Portfolio III............. 1,392,250 669,973 (5,134) 664,839
Tax-Managed U.S. Marketwide Value Portfolio II. 724,239 257,732 (42,414) 215,318
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 in a tax return. Management has analyzed the Portfolios' tax
position and has concluded that no provision for income tax is required in the
Portfolios' financial statements. The Portfolios are not aware of any tax
position for which it is reasonably possible that the total amounts of
unrecognized
15
tax benefits will significantly change in the next six months. The Portfolios'
federal tax returns for the prior three fiscal years remain subject to
examination by the Internal Revenue Service.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701 -3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701 -3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
F. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Fund, together with other Dimensional-advised portfolios, is
currently negotiating a new $250 million unsecured discretionary line of credit
with The Bank of New York Mellon, an affiliate of its domestic custodian bank,
to replace the existing line of credit. The Fund anticipates the new line of
credit will have substantially the same terms and conditions as the existing
line of credit. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2011.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of
16
credit. The agreement for the line of credit expires on January 13, 2012. There
were no borrowings by the Portfolios under this line of credit during the six
months ended April 30, 2011.
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 the
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
I. Other:
At April 30, 2011, the following number of shareholders held the following
approximate percentages of outstanding shares of the Portfolios. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
DFA International Value Portfolio III.......... 3 87%
U.S. Large Cap Value Portfolio III............. 2 76%
Tax-Managed U.S. Marketwide Value Portfolio II. 2 92%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in the bankruptcy
case of the Tribune Company, (the "Tribune"), and subsequently additional
similar class actions have been filed seeking the same recovery (the
"Lawsuits").
17
The defendants are The U.S. Large Cap Value Series, The Tax-Managed U.S.
Marketwide Value Series and hundreds of other mutual funds, institutional
investors and others who owned shares in Tribune in 2007 when it became private
in a leveraged buyout transaction and who, at that time, sold their shares back
to Tribune for cash in the amount of $34 per share. The Lawsuits allege that
the payment for the shares by the Tribune violated the rights of creditors and
seeks to have the cash paid to shareholders returned to the Tribune's
bankruptcy estate and/or various creditors of the Tribune.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits does not believe that it is
possible, at this early stage in the proceedings, to predict with any
reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full
recovery they seek, the amount would be less than 1% of The U.S. Large Cap
Value Series'and The Tax-Managed U.S. Marketwide Value Series' net asset value
at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot predict what its size might be at the time the cost of the
Lawsuits might be quantifiable and thus potentially deducted from its net asset
value. Therefore, at this time, those buying or redeeming shares of The U.S.
Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will
pay or receive, as the case may be, a price based on net asset values of The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series,
with no adjustment relating to the Lawsuits. The attorneys' fees and costs
relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series as incurred and in a
manner similar to any other expense incurred by The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series.
J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
18
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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
The DFA International Value Series
Actual Fund Return $1,000.00 $1,146.18 0.23% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
The U.S. Large Cap Value Series
Actual Fund Return $1,000.00 $1,220.56 0.12% $0.66
Hypothetical 5% Annual Return...... $1,000.00 $1,024.20 0.12% $0.60
19
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
The Tax-Managed U.S. Marketwide Value Series
Actual Fund Return $1,000.00 $1,223.49 0.22% $1.21
Hypothetical 5% Annual Return................ $1,000.00 $1,023.70 0.22% $1.10
-------------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period.
20
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 31, 2011. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
The DFA International Value Series The U.S. Large Cap Value Series The Tax-Managed U.S. Marketwide Value
Consumer Discretionary.......... 15.4% Consumer Discretionary 16.3% Series
Consumer Staples................ 5.7% Consumer Staples 7.7% Consumer Discretionary 18.1%
Energy.......................... 11.5% Energy 17.5% Consumer Staples 6.9%
Financials...................... 30.3% Financials 21.3% Energy 16.9%
Health Care..................... 1.5% Health Care 10.0% Financials 20.1%
Industrials..................... 9.6% Industrials 13.3% Health Care 8.4%
Information Technology.......... 2.8% Information Technology 3.4% Industrials 12.8%
Materials....................... 12.7% Materials 3.0% Information Technology 6.1%
Other........................... -- Telecommunication Services 6.3% Materials 3.3%
Telecommunication Services...... 7.1% Utilities 1.2% Other --
------
Utilities....................... 3.4% 100.0% Telecommunication Services 6.2%
------
100.0% Utilities 1.2%
------
100.0%
21
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (83.0%)
AUSTRALIA -- (4.8%)
#Australia & New Zealand Banking Group, Ltd 1,696,439 $ 45,188,322 0.6%
#National Australia Bank, Ltd 1,901,632 56,616,627 0.7%
Wesfarmers, Ltd 2,539,298 93,023,189 1.1%
Other Securities 274,559,990 3.4%
------------ -----
TOTAL AUSTRALIA 469,388,128 5.8%
------------ -----
AUSTRIA -- (0.3%)
Other Securities 33,729,173 0.4%
------------ -----
BELGIUM -- (0.8%)
Other Securities 81,832,923 1.0%
------------ -----
CANADA -- (10.2%)
#Encana Corp 2,051,015 68,912,717 0.9%
#Manulife Financial Corp 3,219,919 57,820,033 0.7%
#Nexen, Inc 1,719,282 45,482,882 0.6%
#Sun Life Financial, Inc 1,494,503 48,919,049 0.6%
Suncor Energy, Inc 2,545,871 117,344,432 1.4%
Talisman Energy, Inc 2,162,345 52,221,723 0.6%
Teck Resources, Ltd. Class B 1,303,030 70,828,973 0.9%
#Thomson Reuters Corp 1,832,184 74,282,702 0.9%
#TransCanada Corp 1,941,948 83,556,205 1.0%
Other Securities 368,196,722 4.5%
------------ -----
TOTAL CANADA 987,565,438 12.1%
------------ -----
DENMARK -- (1.3%)
Other Securities 125,784,300 1.5%
------------ -----
FINLAND -- (0.7%)
Other Securities 72,344,385 0.9%
------------ -----
FRANCE -- (8.3%)
#AXA SA 3,678,548 82,466,032 1.0%
BNP Paribas SA 607,569 48,031,142 0.6%
Cie de Saint-Gobain SA 875,747 60,426,286 0.8%
Credit Agricole SA 2,709,992 45,077,952 0.6%
#GDF Suez SA. 2,720,289 111,230,825 1.4%
Societe Generale Paris SA 1,255,581 83,907,846 1.0%
#Vivendi SA 3,447,034 108,081,627 1.3%
Other Securities 270,063,507 3.3%
------------ -----
TOTAL FRANCE 809,285,217 10.0%
------------ -----
GERMANY -- (8.1%)
#Allianz SE. 439,353 69,027,351 0.8%
#Allianz SE Sponsored ADR 2,834,240 44,639,280 0.6%
Bayerische Motoren Werke AG 915,762 86,217,868 1.1%
*Daimler AG 2,088,586 161,419,483 2.0%
Deutsche Bank AG 965,050 62,853,121 0.8%
Deutsche Telekom AG 2,852,483 47,140,915 0.6%
#Deutsche Telekom AG Sponsored ADR. 3,099,741 51,455,701 0.6%
#E.ON AG 1,598,720 54,642,935 0.7%
#Munchener Rueckversicherungs-Gesellschaft AG 412,644 68,067,628 0.8%
Other Securities 139,601,150 1.7%
------------ -----
TOTAL GERMANY 785,065,432 9.7%
------------ -----
GREECE -- (0.1%)
Other Securities 10,014,324 0.1%
------------ -----
22
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ----- ---------------
HONG KONG -- (1.4%)
Hutchison Whampoa, Ltd.............. 5,618,000 $ 64,322,781 0.8%
Other Securities.................... 73,073,228 0.9%
-------------- -----
TOTAL HONG KONG........................ 137,396,009 1.7%
-------------- -----
IRELAND -- (0.1%)
Other Securities.................... 11,433,581 0.1%
-------------- -----
ISRAEL -- (0.4%)
Other Securities.................... 36,826,376 0.4%
-------------- -----
ITALY -- (1.5%)
Other Securities.................... 142,505,906 1.7%
-------------- -----
JAPAN -- (16.1%)
Mitsubishi Heavy Industries, Ltd.... 9,007,000 43,038,599 0.5%
#Mitsubishi UFJ Financial Group, Inc. 13,207,406 63,390,116 0.8%
Nissan Motor Co., Ltd............... 4,831,600 46,487,303 0.6%
#Sony Corp. Sponsored ADR............ 1,801,665 51,005,136 0.6%
#Sumitomo Corp....................... 3,241,900 44,721,492 0.5%
#Toyota Motor Corp. Sponsored ADR.... 551,545 43,947,106 0.5%
Other Securities.................... 1,272,689,380 15.7%
-------------- -----
TOTAL JAPAN............................ 1,565,279,132 19.2%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities.................... -- 0.0%
-------------- -----
NETHERLANDS -- (3.2%)
ArcelorMittal NV.................... 2,446,831 90,424,916 1.1%
*ING Groep NV........................ 3,849,884 50,719,361 0.6%
*Koninklijke Philips Electronics NV.. 1,939,039 57,430,601 0.7%
Other Securities.................... 109,870,597 1.4%
-------------- -----
TOTAL NETHERLANDS...................... 308,445,475 3.8%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities.................... 5,336,761 0.1%
-------------- -----
NORWAY -- (0.9%)
Other Securities.................... 87,106,036 1.1%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities.................... 9,833,096 0.1%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities.................... 94,898,798 1.2%
-------------- -----
SPAIN -- (2.7%)
#Repsol YPF SA Sponsored ADR......... 1,432,181 51,157,505 0.6%
Other Securities.................... 207,178,508 2.6%
-------------- -----
TOTAL SPAIN............................ 258,336,013 3.2%
-------------- -----
SWEDEN -- (2.1%)
Nordea Bank AB...................... 4,013,687 45,762,056 0.6%
Other Securities.................... 162,959,751 2.0%
-------------- -----
TOTAL SWEDEN........................... 208,721,807 2.6%
-------------- -----
SWITZERLAND -- (5.2%)
#Holcim, Ltd. AG..................... 886,165 77,213,358 0.9%
Swiss Reinsurance Co., Ltd. AG...... 1,108,107 66,116,889 0.8%
Zurich Financial Services AG........ 322,634 90,717,790 1.1%
23
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
SWITZERLAND -- (Continued).................................................................
Other Securities........................................................................ $273,495,501
--------------
TOTAL SWITZERLAND.......................................................................... 507,543,538
--------------
UNITED KINGDOM -- (13.6%)
Aviva P.L.C............................................................................. 7,396,866 55,357,784
#Barclays P.L.C. Sponsored ADR........................................................... 4,180,831 79,644,831
Kingfisher P.L.C........................................................................ 10,285,817 47,258,773
Royal Dutch Shell P.L.C. ADR............................................................ 3,242,203 254,059,027
Vodafone Group P.L.C.................................................................... 34,976,333 101,109,152
Vodafone Group P.L.C. Sponsored ADR..................................................... 8,335,538 242,730,867
Xstrata P.L.C........................................................................... 3,843,909 98,592,431
Other Securities........................................................................ 442,839,701
--------------
TOTAL UNITED KINGDOM....................................................................... 1,321,592,566
--------------
TOTAL COMMON STOCKS........................................................................ 8,070,264,414
--------------
RIGHTS/WARRANTS -- (0.0%)
PORTUGAL -- (0.0%)
Other Securities........................................................................ 134,266
--------------
SPAIN -- (0.0%)
Other Securities........................................................................ 257,338
--------------
TOTAL RIGHTS/WARRANTS...................................................................... 391,604
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$8,145,000 FNMA 2.24%, 07/06/15, valued at $8,348,625) to be repurchased at $8,222,130 $8,222 8,222,000
--------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (16.9%)
(S)@DFA Short Term Investment Fund......................................................... 1,646,576,000 1,646,576,000
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at
$1,321,755................................................................................ $1,322 1,321,751
--------------
TOTAL SECURITIES LENDING COLLATERAL 1,647,897,751
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,369,761,306).................................................................... $9,726,775,769
==============
Percentage
of Net Assets**
---------------
SWITZERLAND -- (Continued).................................................................
Other Securities........................................................................ 3.4%
------
TOTAL SWITZERLAND.......................................................................... 6.2%
------
UNITED KINGDOM -- (13.6%)
Aviva P.L.C............................................................................. 0.7%
#Barclays P.L.C. Sponsored ADR........................................................... 1.0%
Kingfisher P.L.C........................................................................ 0.6%
Royal Dutch Shell P.L.C. ADR............................................................ 3.1%
Vodafone Group P.L.C.................................................................... 1.2%
Vodafone Group P.L.C. Sponsored ADR..................................................... 3.0%
Xstrata P.L.C........................................................................... 1.2%
Other Securities........................................................................ 5.5%
------
TOTAL UNITED KINGDOM....................................................................... 16.3%
------
TOTAL COMMON STOCKS........................................................................ 99.2%
------
RIGHTS/WARRANTS -- (0.0%)
PORTUGAL -- (0.0%)
Other Securities........................................................................ 0.0%
------
SPAIN -- (0.0%)
Other Securities........................................................................ 0.0%
------
TOTAL RIGHTS/WARRANTS...................................................................... 0.0%
------
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized by
$8,145,000 FNMA 2.24%, 07/06/15, valued at $8,348,625) to be repurchased at $8,222,130 0.1%
------
SECURITIES LENDING COLLATERAL -- (16.9%)
(S)@DFA Short Term Investment Fund......................................................... 20.3%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11 (Collateralized by
$48,926,610 FNMA 2.063%(r), 06/01/35, valued at $1,348,186)## to be repurchased at
$1,321,755................................................................................ 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL 20.3%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,369,761,306).................................................................... 119.6%
======
24
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks.................
Australia................... $ 8,439,298 $ 460,948,830 -- $ 469,388,128
Austria..................... -- 33,729,173 -- 33,729,173
Belgium..................... 4,541,994 77,290,929 -- 81,832,923
Canada...................... 987,565,438 -- -- 987,565,438
Denmark..................... -- 125,784,300 -- 125,784,300
Finland..................... 2,515,212 69,829,173 -- 72,344,385
France...................... 33,906,195 775,379,022 -- 809,285,217
Germany..................... 123,575,824 661,489,608 -- 785,065,432
Greece...................... 984,576 9,029,748 -- 10,014,324
Hong Kong................... -- 137,396,009 -- 137,396,009
Ireland..................... 6,174,077 5,259,504 -- 11,433,581
Israel...................... 4,108,164 32,718,212 -- 36,826,376
Italy....................... 28,173,735 114,332,171 -- 142,505,906
Japan....................... 134,310,391 1,430,968,741 -- 1,565,279,132
Malaysia.................... -- -- -- --
Netherlands................. 26,000,266 282,445,209 -- 308,445,475
New Zealand................. -- 5,336,761 -- 5,336,761
Norway...................... 533,709 86,572,327 -- 87,106,036
Portugal.................... -- 9,833,096 -- 9,833,096
Singapore................... -- 94,898,798 -- 94,898,798
Spain....................... 100,033,060 158,302,953 -- 258,336,013
Sweden...................... 14,472,862 194,248,945 -- 208,721,807
Switzerland................. 66,974,850 440,568,688 -- 507,543,538
United Kingdom.............. 663,451,513 658,141,053 -- 1,321,592,566
Rights/Warrants...............
Portugal.................... 134,266 -- -- 134,266
Spain....................... 257,338 -- -- 257,338
Temporary Cash Investments.... -- 8,222,000 -- 8,222,000
Securities Lending Collateral. -- 1,647,897,751 -- 1,647,897,751
-------------- -------------- -- --------------
TOTAL......................... $2,206,152,768 $7,520,623,001 -- $9,726,775,769
============== ============== == ==============
See accompanying Notes to Financial Statements.
25
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (95.1%)...................
Consumer Discretionary -- (15.5%)..........
Carnival Corp........................... 2,260,335 $ 86,050,953 0.8%
CBS Corp. Class B....................... 3,870,469 97,613,228 0.9%
Comcast Corp. Class A................... 11,535,742 302,697,870 2.9%
Comcast Corp. Special Class A........... 3,843,964 94,369,316 0.9%
*Liberty Media Corp. Interactive Class A. 3,585,265 62,670,432 0.6%
#News Corp. Class A...................... 9,024,175 160,810,799 1.6%
#News Corp. Class B...................... 3,247,295 61,373,876 0.6%
#Time Warner Cable, Inc.................. 2,004,056 156,576,895 1.5%
#Time Warner, Inc........................ 6,251,359 236,676,452 2.3%
Other Securities........................ 435,275,174 4.2%
-------------- -----
Total Consumer Discretionary............... 1,694,114,995 16.3%
-------------- -----
Consumer Staples -- (7.3%).................
Archer-Daniels-Midland Co............... 2,981,045 110,358,286 1.0%
CVS Caremark Corp....................... 6,816,437 247,027,677 2.4%
Kraft Foods, Inc. Class A............... 6,193,330 207,972,021 2.0%
Other Securities........................ 235,468,214 2.3%
-------------- -----
Total Consumer Staples..................... 800,826,198 7.7%
-------------- -----
Energy -- (16.6%)..........................
Anadarko Petroleum Corp................. 2,773,608 218,948,616 2.1%
Chesapeake Energy Corp.................. 3,174,634 106,889,927 1.0%
#Chevron Corp............................ 639,240 69,958,426 0.7%
ConocoPhillips.......................... 5,825,280 459,789,350 4.4%
Hess Corp............................... 1,453,921 124,979,049 1.2%
Marathon Oil Corp....................... 3,514,978 189,949,411 1.8%
National-Oilwell, Inc................... 1,945,893 149,230,534 1.4%
#Pioneer Natural Resources Co............ 577,949 59,083,726 0.6%
#Valero Energy Corp...................... 2,742,854 77,622,768 0.7%
Other Securities......................... 359,665,592 3.5%
-------------- -----
Total Energy............................... 1,816,117,399 17.4%
-------------- -----
Financials -- (20.3%)......................
Bank of America Corp.................... 21,876,033 268,637,685 2.6%
Capital One Financial Corp.............. 2,343,277 128,247,550 1.2%
*Citigroup, Inc.......................... 78,417,143 359,934,686 3.5%
CME Group, Inc.......................... 314,577 93,042,439 0.9%
Hartford Financial Services Group, Inc.. 2,160,202 62,581,052 0.6%
Loews Corp.............................. 2,466,987 109,188,845 1.0%
MetLife, Inc............................ 4,607,955 215,606,214 2.1%
Morgan Stanley.......................... 3,042,449 79,560,041 0.8%
#Prudential Financial, Inc............... 2,197,605 139,372,109 1.3%
#SunTrust Banks, Inc..................... 2,563,152 72,255,255 0.7%
Other Securities........................ 685,712,027 6.6%
-------------- -----
Total Financials........................... 2,214,137,903 21.3%
-------------- -----
Health Care -- (9.5%)......................
Aetna, Inc.............................. 1,938,699 80,223,365 0.8%
*Humana, Inc............................. 712,843 54,261,609 0.5%
Pfizer, Inc............................. 14,482,035 303,543,454 2.9%
*Thermo Fisher Scientific, Inc........... 1,994,284 119,637,097 1.1%
UnitedHealth Group, Inc................. 2,296,880 113,075,402 1.1%
WellPoint, Inc.......................... 2,580,122 198,127,568 1.9%
Other Securities........................ 172,306,807 1.7%
-------------- -----
Total Health Care.......................... 1,041,175,302 10.0%
-------------- -----
26
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
----------- ---------------
Industrials -- (12.6%)...................................................................
CSX Corp.............................................................................. 2,287,204 $ 179,980,083
General Electric Co................................................................... 15,225,603 311,363,581
Norfolk Southern Corp................................................................. 2,186,220 163,266,910
#Northrop Grumman Corp................................................................. 1,926,678 122,555,988
Tyco International, Ltd............................................................... 1,149,868 56,044,566
Union Pacific Corp.................................................................... 2,594,778 268,481,680
Other Securities...................................................................... 277,885,139
---------------
Total Industrials........................................................................ 1,379,577,947
---------------
Information Technology -- (3.2%).........................................................
Other Securities...................................................................... 350,589,780
---------------
Materials -- (2.9%)......................................................................
#Alcoa, Inc............................................................................ 5,357,434 91,076,378
International Paper Co................................................................ 2,299,481 71,007,973
Other Securities...................................................................... 155,591,864
---------------
Total Materials.......................................................................... 317,676,215
---------------
Telecommunication Services -- (6.0%).....................................................
AT&T, Inc............................................................................. 12,865,019 400,359,391
#CenturyLink, Inc...................................................................... 1,452,902 59,249,344
#*Sprint Nextel Corp................................................................... 13,961,200 72,319,016
#Verizon Communications, Inc........................................................... 1,599,525 60,430,054
Other Securities....................................................................... 58,771,008
---------------
Total Telecommunication Services......................................................... 651,128,813
---------------
Utilities -- (1.2%)......................................................................
Public Service Enterprise Group, Inc.................................................. 1,751,371 56,341,605
Other Securities...................................................................... 67,245,478
---------------
Total Utilities.......................................................................... 123,587,083
---------------
TOTAL COMMON STOCKS...................................................................... 10,388,931,635
---------------
TEMPORARY CASH INVESTMENTS -- (0.1%).....................................................
BlackRock Liquidity Funds Tempcash Portfolio--Institutional Shares.................... 10,178,864 10,178,864
---------------
Shares/
Face
Amount
-----------
(000)
SECURITIES LENDING COLLATERAL -- (4.8%)..................................................
(S)@DFA Short Term Investment Fund....................................................... 523,266,285 523,266,285
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $1,544,114
FNMA 3.500%, 02/01/26, valued at $1,552,540) to be repurchased at $1,507,328............ $1,507 1,507,320
---------------
TOTAL SECURITIES LENDING COLLATERAL...................................................... 524,773,605
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,580,486,809)................................................................... $10,923,884,104
===============
Percentage
of Net Assets**
---------------
Industrials -- (12.6%)...................................................................
CSX Corp.............................................................................. 1.7%
General Electric Co................................................................... 3.0%
Norfolk Southern Corp................................................................. 1.6%
#Northrop Grumman Corp................................................................. 1.2%
Tyco International, Ltd............................................................... 0.5%
Union Pacific Corp.................................................................... 2.6%
Other Securities...................................................................... 2.7%
------
Total Industrials........................................................................ 13.3%
------
Information Technology -- (3.2%).........................................................
Other Securities...................................................................... 3.4%
------
Materials -- (2.9%)......................................................................
#Alcoa, Inc............................................................................ 0.8%
International Paper Co................................................................ 0.7%
Other Securities...................................................................... 1.5%
------
Total Materials.......................................................................... 3.0%
------
Telecommunication Services -- (6.0%).....................................................
AT&T, Inc............................................................................. 3.8%
#CenturyLink, Inc...................................................................... 0.6%
#*Sprint Nextel Corp................................................................... 0.7%
#Verizon Communications, Inc........................................................... 0.6%
Other Securities....................................................................... 0.5%
------
Total Telecommunication Services......................................................... 6.2%
------
Utilities -- (1.2%)......................................................................
Public Service Enterprise Group, Inc.................................................. 0.5%
Other Securities...................................................................... 0.7%
------
Total Utilities.......................................................................... 1.2%
------
TOTAL COMMON STOCKS...................................................................... 99.8%
------
TEMPORARY CASH INVESTMENTS -- (0.1%).....................................................
BlackRock Liquidity Funds Tempcash Portfolio--Institutional Shares.................... 0.1%
------
SECURITIES LENDING COLLATERAL -- (4.8%)..................................................
(S)@DFA Short Term Investment Fund....................................................... 5.1%
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $1,544,114
FNMA 3.500%, 02/01/26, valued at $1,552,540) to be repurchased at $1,507,328............ 0.0%
------
TOTAL SECURITIES LENDING COLLATERAL...................................................... 5.1%
------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,580,486,809)................................................................... 105.0%
======
27
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
----------------------------------------------------
Investment in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks.................
Consumer Discretionary...... $ 1,694,114,995 -- -- $ 1,694,114,995
Consumer Staples............ 800,826,198 -- -- 800,826,198
Energy...................... 1,816,117,399 -- -- 1,816,117,399
Financials.................. 2,214,137,903 -- -- 2,214,137,903
Health Care................. 1,041,175,302 -- -- 1,041,175,302
Industrials................. 1,379,577,947 -- -- 1,379,577,947
Information Technology...... 350,589,780 -- -- 350,589,780
Materials................... 317,676,215 -- -- 317,676,215
Telecommunication Services.. 651,128,813 -- -- 651,128,813
Utilities................... 123,587,083 -- -- 123,587,083
Temporary Cash Investments.... 10,178,864 -- -- 10,178,864
Securities Lending Collateral. -- $524,773,605 -- 524,773,605
--------------- ------------ -- ---------------
TOTAL......................... $10,399,110,499 $524,773,605 -- $10,923,884,104
=============== ============ == ===============
See accompanying Notes to Financial Statements.
28
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (96.4%)..................
Consumer Discretionary -- (17.5%).........
Carnival Corp........................... 489,649 $ 18,640,937 0.6%
CBS Corp. Class B....................... 955,791 24,105,049 0.7%
Comcast Corp. Class A 3,570,978 93,702,463 2.9%
Comcast Corp. Special Class A........... 1,432,185 35,160,142 1.1%
*Liberty Media Corp. Capital Class A..... 204,886 16,855,971 0.5%
*Liberty Media Corp. Interactive Class A 882,463 15,425,453 0.5%
News Corp. Class A...................... 2,360,850 42,070,347 1.3%
News Corp. Class B...................... 937,272 17,714,441 0.5%
Time Warner Cable, Inc.................. 693,942 54,217,688 1.6%
Time Warner, Inc........................ 1,534,860 58,109,800 1.8%
Other Securities........................ 215,607,476 6.6%
------------ -----
Total Consumer Discretionary.............. 591,609,767 18.1%
------------ -----
Consumer Staples -- (6.6%)................
Archer-Daniels-Midland Co............... 813,476 30,114,882 0.9%
CVS Caremark Corp....................... 1,510,745 54,749,399 1.7%
Kraft Foods, Inc. Class A............... 2,081,099 69,883,304 2.1%
Other Securities........................ 69,366,325 2.1%
------------ -----
Total Consumer Staples.................... 224,113,910 6.8%
------------ -----
Energy -- (16.3%).........................
Anadarko Petroleum Corp................. 845,068 66,709,668 2.0%
Chesapeake Energy Corp.................. 833,400 28,060,578 0.9%
ConocoPhillips.......................... 1,766,829 139,455,813 4.2%
Hess Corp............................... 378,130 32,504,055 1.0%
Marathon Oil Corp....................... 903,937 48,848,755 1.5%
National-Oilwell, Inc................... 515,481 39,532,238 1.2%
Pioneer Natural Resources Co............ 155,717 15,918,949 0.5%
Valero Energy Corp...................... 658,099 18,624,202 0.6%
Other Securities........................ 163,636,161 5.0%
------------ -----
Total Energy.............................. 553,290,419 16.9%
------------ -----
Financials -- (19.4%).....................
Allstate Corp. (The).................... 529,952 17,933,576 0.5%
Bank of America Corp.................... 7,109,212 87,301,123 2.7%
Capital One Financial Corp.............. 571,140 31,258,492 1.0%
*Citigroup, Inc.......................... 19,579,221 89,868,624 2.7%
CME Group, Inc.......................... 82,877 24,512,530 0.8%
Loews Corp.............................. 586,729 25,968,626 0.8%
MetLife, Inc............................ 1,032,078 48,290,930 1.5%
Morgan Stanley.......................... 1,224,333 32,016,308 1.0%
Prudential Financial, Inc............... 537,721 34,102,266 1.0%
SunTrust Banks, Inc..................... 617,728 17,413,752 0.5%
Other Securities........................ 249,416,113 7.6%
------------ -----
Total Financials.......................... 658,082,340 20.1%
------------ -----
Health Care -- (8.1%).....................
Aetna, Inc.............................. 503,313 20,827,092 0.6%
*Humana, Inc............................. 236,814 18,026,282 0.6%
Pfizer, Inc............................. 3,958,769 82,975,798 2.5%
*Thermo Fisher Scientific, Inc........... 499,520 29,966,205 0.9%
WellPoint, Inc.......................... 504,640 38,751,306 1.2%
Other Securities........................ 84,202,435 2.6%
------------ -----
Total Health Care......................... 274,749,118 8.4%
------------ -----
29
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Industrials -- (12.4%)
CSX Corp.............................................................................. 416,210 $ 32,751,565
General Electric Co................................................................... 2,763,790 56,519,506
Norfolk Southern Corp................................................................. 545,229 40,717,702
Northrop Grumman Corp................................................................. 337,038 21,438,987
Tyco International, Ltd............................................................... 480,422 23,415,768
Union Pacific Corp.................................................................... 629,770 65,162,302
Other Securities...................................................................... 178,388,280
--------------
Total Industrials......................................................................... 418,394,110
--------------
Information Technology -- (5.9%)
*Corning, Inc.......................................................................... 1,282,985 26,865,706
Xerox Corp............................................................................ 1,791,473 18,075,963
Other Securities...................................................................... 154,690,415
--------------
Total Information Technology.............................................................. 199,632,084
--------------
Materials -- (3.1%)
Alcoa, Inc............................................................................ 1,145,369 19,471,273
International Paper Co................................................................ 493,615 15,242,831
Other Securities...................................................................... 71,559,224
--------------
Total Materials........................................................................... 106,273,328
--------------
Other -- (0.0%)
Other Securities...................................................................... 54
--------------
Telecommunication Services -- (5.9%)
AT&T, Inc............................................................................. 4,065,906 126,530,995
*Sprint Nextel Corp.................................................................... 3,820,377 19,789,553
Verizon Communications, Inc........................................................... 688,680 26,018,330
Other Securities...................................................................... 28,772,302
--------------
Total Telecommunication Services.......................................................... 201,111,180
--------------
Utilities -- (1.2%).......................................................................
Public Service Enterprise Group, Inc.................................................. 655,441 21,085,537
Other Securities...................................................................... 18,713,053
--------------
Total Utilities........................................................................... 39,798,590
--------------
TOTAL COMMON STOCKS....................................................................... 3,267,054,900
--------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities...................................................................... --
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds Tempcash Portfolio -- Institutional Shares.................. 7,970,402 7,970,402
--------------
Shares/
Face
Amount
-----------
(000)
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@DFA Short Term Investment Fund........................................................ 113,772,720 113,772,720
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $335,733
FNMA 3.500%, 02/01/26, valued at $337,565) to be repurchased at $327,735............... $328 327,733
--------------
TOTAL SECURITIES LENDING COLLATERAL....................................................... 114,100,453
--------------
Percentage
of Net Assets**
---------------
Industrials -- (12.4%)
CSX Corp.............................................................................. 1.0%
General Electric Co................................................................... 1.7%
Norfolk Southern Corp................................................................. 1.2%
Northrop Grumman Corp................................................................. 0.7%
Tyco International, Ltd............................................................... 0.7%
Union Pacific Corp.................................................................... 2.0%
Other Securities...................................................................... 5.5%
-----
Total Industrials......................................................................... 12.8%
-----
Information Technology -- (5.9%)
*Corning, Inc.......................................................................... 0.8%
Xerox Corp............................................................................ 0.6%
Other Securities...................................................................... 4.7%
-----
Total Information Technology.............................................................. 6.1%
-----
Materials -- (3.1%)
Alcoa, Inc............................................................................ 0.6%
International Paper Co................................................................ 0.4%
Other Securities...................................................................... 2.2%
-----
Total Materials........................................................................... 3.2%
-----
Other -- (0.0%)
Other Securities...................................................................... 0.0%
-----
Telecommunication Services -- (5.9%)
AT&T, Inc............................................................................. 3.8%
*Sprint Nextel Corp.................................................................... 0.6%
Verizon Communications, Inc........................................................... 0.8%
Other Securities...................................................................... 0.9%
-----
Total Telecommunication Services.......................................................... 6.1%
-----
Utilities -- (1.2%).......................................................................
Public Service Enterprise Group, Inc.................................................. 0.6%
Other Securities...................................................................... 0.6%
-----
Total Utilities........................................................................... 1.2%
-----
TOTAL COMMON STOCKS....................................................................... 99.7%
-----
RIGHTS/WARRANTS -- (0.0%)
Other Securities...................................................................... 0.0%
-----
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds Tempcash Portfolio -- Institutional Shares.................. 0.2%
-----
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@DFA Short Term Investment Fund........................................................ 3.5%
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $335,733
FNMA 3.500%, 02/01/26, valued at $337,565) to be repurchased at $327,735............... 0.0%
-----
TOTAL SECURITIES LENDING COLLATERAL....................................................... 3.5%
-----
30
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Percentage
Value+ of Net Assets
----- -------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,651,961,439)....... $3,389,125,755 103.4%
============== ======
Summary of inputs used to value the Series' investments as of April 30, 2011
is as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 591,609,767 -- -- $ 591,609,767
Consumer Staples............ 224,085,915 $ 27,995 -- 224,113,910
Energy...................... 553,290,419 -- -- 553,290,419
Financials.................. 658,082,340 -- -- 658,082,340
Health Care................. 274,749,118 -- -- 274,749,118
Industrials 418,385,403 8,707 -- 418,394,110
Information Technology...... 199,632,084 -- -- 199,632,084
Materials................... 106,273,328 -- -- 106,273,328
Other....................... -- 54 -- 54
Telecommunication Services.. 201,111,180 -- -- 201,111,180
Utilities................... 39,798,590 -- -- 39,798,590
Rights/Warrants............... -- -- -- --
Temporary Cash Investments.... 7,970,402 -- -- 7,970,402
Securities Lending Collateral. -- 114,100,453 -- 114,100,453
-------------- ------------ -- --------------
TOTAL $3,274,988,546 $114,137,209 -- $3,389,125,755
============== ============ == ==============
See accompanying Notes to Financial Statements.
31
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The DFA The U.S. The
International Large Cap Tax-Managed
Value Value U.S. Marketwide
Series Series Value Series
------------- ----------- ---------------
ASSETS:
Investments at Value (including $1,489,149, $505,764 and $109,610 of
securities on loan, respectively).................................... $8,070,656 $10,388,932 $3,267,055
Temporary Cash Investments at Value & Cost............................. 8,222 10,179 7,970
Collateral Received from Securities on Loan at Value & Cost ........... 1,322 1,507 328
Affiliated Collateral Received from Securities on Loan at Value & Cost. 1,646,576 523,266 113,773
Foreign Currencies at Value............................................ 29,913 -- --
Cash................................................................... 16 -- --
Receivables:
Investment Securities Sold............................................ 18,234 11,012 5
Dividends, Interest and Tax Reclaims.................................. 35,891 9,094 2,949
Securities Lending Income............................................. 3,179 516 128
Fund Shares Sold...................................................... 1,237 687 244
Unrealized Gain on Foreign Currency Contracts.......................... 59 -- --
Prepaid Expenses and Other Assets 14 20 6
---------- ----------- ----------
Total Assets........................................................ 9,815,319 10,945,213 3,392,458
---------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned...................................... 1,647,898 524,773 114,101
Investment Securities Purchased....................................... 35,319 13,594 18
Fund Shares Redeemed.................................................. 290 362 545
Due to Advisor........................................................ 1,304 846 534
Unrealized Loss on Foreign Currency Contracts.......................... 58 -- --
Accrued Expenses and Other Liabilities................................. 507 375 121
---------- ----------- ----------
Total Liabilities................................................... 1,685,376 539,950 115,319
---------- ----------- ----------
NET ASSETS............................................................. $8,129,943 $10,405,263 $3,277,139
========== =========== ==========
Investments at Cost.................................................... $5,713,642 $ 7,045,533 $2,529,891
---------- ----------- ----------
Foreign Currencies at Cost............................................. $ 29,193 $ -- $ --
---------- ----------- ----------
See accompanying Notes to Financial Statements.
32
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The DFA The U.S. The
International Large Cap Tax-Managed
Value Value U.S. Marketwide
Series Series Value Series
------------- ---------- ---------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $8,897, $0 and $0,
respectively)................................................ $ 113,603 $ 80,274 $ 24,634
Interest....................................................... 16 15 7
Income from Securities Lending................................. 5,858 2,935 742
---------- ---------- --------
Total Investment Income...................................... 119,477 83,224 25,383
---------- ---------- --------
Expenses
Investment Advisory Services Fees.............................. 7,445 4,740 3,006
Accounting & Transfer Agent Fees............................... 357 449 149
Custodian Fees................................................. 565 47 23
Shareholders' Reports.......................................... 19 24 6
Directors'/Trustees' Fees & Expenses........................... 46 60 18
Professional Fees.............................................. 71 91 27
Other.......................................................... 69 36 11
---------- ---------- --------
Total Expenses............................................... 8,572 5,447 3,240
---------- ---------- --------
Net Investment Income (Loss)................................... 110,905 77,777 22,143
---------- ---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:...................................
Investment Securities Sold................................... 132,766 284,130 136,307
Futures...................................................... -- (12,647) --
Foreign Currency Transactions 1,257 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... 778,946 1,503,303 440,194
Translation of Foreign Currency Denominated Amounts.......... 338 -- --
---------- ---------- --------
Net Realized and Unrealized Gain (Loss)........................ 913,307 1,774,786 576,501
---------- ---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations. $1,024,212 $1,852,563 $598,644
========== ========== ========
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The DFA International The U.S. Large Cap
Value Series Value Series
---------------------- -----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ---------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............................. $ 110,905 $ 164,482 $ 77,777 $ 167,346
Net Realized Gain (Loss) on:
Investment Securities Sold............................... 132,766 360,748 284,130 638,095
Futures.................................................. -- -- (12,647) --
Foreign Currency Transactions............................ 1,257 (156) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 778,946 182,952 1,503,303 678,724
Translation of Foreign Currency Denominated
Amounts................................................. 338 537 -- --
---------- ---------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations 1,024,212 708,563 1,852,563 1,484,165
---------- ---------- ----------- ----------
Transactions in Interest:...................................
Contributions 303,154 611,794 625,011 512,765
Withdrawals............................................... (117,056) (592,688) (888,711) (688,930)
---------- ---------- ----------- ----------
Net Increase (Decrease) from Transactions in
Interest............................................... 186,098 19,106 (263,700) (176,165)
---------- ---------- ----------- ----------
Total Increase (Decrease) in Net Assets................. 1,210,310 727,669 1,588,863 1,308,000
Net Assets
Beginning of Period....................................... 6,919,633 6,191,964 8,816,400 7,508,400
---------- ---------- ----------- ----------
End of Period............................................. $8,129,943 $6,919,633 $10,405,263 $8,816,400
========== ========== =========== ==========
The Tax-Managed U.S.
Marketwide Value Series
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............................. $ 22,143 $ 35,293
Net Realized Gain (Loss) on:
Investment Securities Sold............................... 136,307 76,239
Futures.................................................. -- --
Foreign Currency Transactions............................ -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 440,194 353,972
Translation of Foreign Currency Denominated
Amounts................................................. -- --
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations 598,644 465,504
---------- ----------
Transactions in Interest:...................................
Contributions 72,886 111,014
Withdrawals............................................... (65,064) (195,772)
---------- ----------
Net Increase (Decrease) from Transactions in
Interest............................................... 7,822 (84,758)
---------- ----------
Total Increase (Decrease) in Net Assets................. 606,466 380,746
Net Assets
Beginning of Period....................................... 2,670,673 2,289,927
---------- ----------
End of Period............................................. $3,277,139 $2,670,673
========== ==========
See accompanying Notes to Financial Statements.
34
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The DFA International Value Series+
-----------------------------------------------------------------------------------------
Six Months Year Year Period Dec. Year Year Year
Ended Ended Ended 1, 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.................. 14.62%(C) 11.13% 35.41% (47.87)%(C) 17.32% 35.73% 15.61%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $8,129,943 $6,919,633 $6,191,964 $4,700,337 $9,638,721 $7,457,252 $4,367,698
Ratio of Expenses to Average
Net Assets................... 0.23%(B) 0.24% 0.24% 0.23%(B) 0.23% 0.23% 0.27%
Ratio of Net Investment
Income to Average Net Assets 3.01%(B) 2.55% 3.22% 4.15%(B) 3.04% 3.29% 2.71%
Portfolio Turnover Rate....... 5%(C) 20% 18% 16%(C) 16% 8% 10%
-----------------------------------------------------------------------------------------------------------------------
The U.S. Large Cap Value Series+
----------------------------------------------------------------------------------------------
Six Month Year Year Period Year Year
Ended Ended Ended Dec. 1, Year Ended Ended
April 30, Oct. 31, Oct. 31, 2007 to Oct. Ended Nov. 30, Nov. 30,
2011 2010 2009 31, 2008 Nov. 30, 2007 2006 2005
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.................. 22.06%(C) 19.96% 11.90% (36.53)%(C) (0.32)% 18.16% 14.66%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $10,405,263 $8,816,400 $7,508,400 $6,739,363 $10,159,322 $8,866,306 $5,831,587
Ratio of Expenses to Average
Net Assets................... 0.12%(B) 0.12% 0.13% 0.11%(B) 0.11% 0.12% 0.14%
Ratio of Net Investment
Income to Average Net Assets 1.66%(B) 2.02% 2.42% 1.97%(B) 1.44% 1.68% 1.56%
----------------------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate....... 7%(C) 28% 29% 19%(C) 9% 13% 9%
The Tax-Managed U.S. Marketwide Value Series
------------------------------------------------------------------------------------------
Six Months Year Year Period Year Year Year
Ended Ended Ended Dec. 1, Ended Ended Ended
April 30, Oct. 31, Oct. 31, 2007 to Oct. Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 31, 2008 2007 2006 2005
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.................. 22.35%(C) 20.38% 12.76% (37.44)%(C) 0.67% 17.70% 16.44%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $3,277,139 $2,670,673 $2,289,927 $2,190,724 $3,858,580 $3,521,559 $2,476,387
Ratio of Expenses to Average
Net Assets................... 0.22%(B) 0.22% 0.23% 0.22%(B) 0.22% 0.22% 0.24%
Ratio of Net Investment
Income to Average Net Assets 1.49%(B) 1.40% 2.23% 2.09%(B) 1.61% 1.63% 1.52%
Portfolio Turnover Rate....... 14%(C) 25% 28% 40%(C) 21% 21% 12%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
35
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational investment portfolios, of which The DFA
International Value Series, The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series (the "Series") are presented in this section of
the report.
Effective December 31, 2008, The U.S. Large Cap Value Series and on
November 1, 2008, The DFA International Value Series, respectively, each a
master fund in a RIC/RIC master-feeder structure, elected with the consent of
their respective Holder(s) to change their U.S. federal income tax
classification from that of an association taxable as a corporation to a
partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in
capital structure and retroactive reclassification of the statement of changes
in net assets and financial highlights for the respective funds is a result of
the treatment of a partnership for book purposes. Each Series/Portfolio will
maintain its books and records and present its financial statements in
accordance with generally accepted accounting principles for investment
partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk, etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series value the securities at the mean of the most recent quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Generally, securities issued by open-end
investment companies are valued using their respective net asset values or
public offering prices, as appropriate, for purchase orders placed at the close
of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. These securities are generally categorized as
Level 2 in the hierarchy.
36
Fair value pricing may also be used if events that have a significant effect on
the value of an investment (as determined in the discretion of the Investment
Committee of the Advisor) occur before the net asset value is calculated. When
fair value pricing is used, the prices of securities used by the Series may
differ from the quoted or published prices for the same securities on their
primary markets or exchanges.
The DFA International Value Series (the "International Series") will also
fair value price in the circumstances described below. Generally, trading in
foreign securities markets is completed each day at various times prior to the
close of the NYSE. For example, trading in the Japanese securities markets is
completed each day at the close of the Tokyo Stock Exchange (normally 11:00
p.m. PT), which is fourteen hours prior to the close of the NYSE (normally 1:00
p.m. PT) and the time that the net asset value of the International Series is
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Series prices its
shares at the close of the NYSE, the International Series 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 International 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, the Board of Directors/Trustees of the International Series 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 Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Series did not have any significant transfers between Level 1 and Level
2 during the six months ended April 30, 2011.
2. Foreign Currency Translation: Securities and other assets and
liabilities of The DFA International Value Series whose values are initially
expressed in foreign currencies, are translated to U.S. dollars using the mean
between the most recently quoted bid and asked prices for the U.S. dollar as
quoted by generally recognized reliable sources. Dividend and interest income
and certain expenses are translated to U.S. dollars at the rate of exchange on
their respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates, and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The DFA International Value Series does not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on The DFA International Value
Series books and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of all or a
portion of their total fees earned as a Trustee. These deferred amounts may be
treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1
37
Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S.
Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of agreed
upon years; or quarterly installments over a period of agreed upon years. Each
Trustee shall have the right in a notice of election to defer compensation (the
"Notice") to elect to defer the receipt of the Trustee's deferred compensation
until a date specified by such Trustee in the Notice, which date may not be
sooner than the earlier of: (i) the first business day of January following the
year in which such Trustee ceases to be a member of the Board of the Fund; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board of the Fund (unless the Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2011, none of the Trustees have
requested or received a distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimate the character of distributions
received that may be considered return of capital distributions. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Directors/Trustees, generally based on average
net assets.
The DFA International Value Series 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 DFA International Value Series 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 of foreign investors. In addition, if
there is a deterioration in a country's balance of payments or for other
reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended April 30,
2011, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.20%, 0.10% and 0.20% of
average daily net assets for The DFA International Value Series, The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series, respectively.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Funds; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2011, the total
related amounts paid by the Trust to the CCO were $42 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
38
The DFA International Value Series........... $199
The U.S. Large Cap Value Series.............. 255
The Tax-Managed U.S. Marketwide Value Series. 77
E. Purchases and Sales of Securities:
For the six months ended April 30, 2011, the Series made the following
purchases and sales of investment securities, other than short-term investments
and U.S. government securities (amounts in thousands):
Purchases Sales
--------- --------
The DFA International Value Series........... $651,422 $376,563
The U.S. Large Cap Value Series.............. 661,050 848,904
The Tax-Managed U.S. Marketwide Value Series. 439,917 406,244
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------- ------------ -------------- --------------
The DFA International Value Series........... $7,369,966 $2,452,488 $ (95,678) $2,356,810
The U.S. Large Cap Value Series.............. 7,580,502 3,384,626 (41,244) 3,343,382
The Tax-Managed U.S. Marketwide Value Series. 2,652,685 917,846 (181,405) 736,441
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Series' tax
positions and has concluded that no provision for income tax is required in any
Series' financial statements. No Series is aware of any tax positions for which
it is reasonably possible that the total amounts of unrecognized tax benefits
will significantly change in the next six months. The Series' federal tax
returns for the prior three fiscal years remain subject to examination by the
Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
39
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Repurchase Agreements: The Series may purchase certain U.S. Government
securities subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on April 29, 2011.
2. Foreign Market Risks: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities by
the Series may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a fund uses derivatives, how derivatives are accounted
for and how derivative instruments affect a fund's results of operations and
financial position. Summarized below are the specific types of derivative
instruments used by the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Series deposits cash or pledges U.S. Government securities to a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Series as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Series 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 entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering
40
into stock index futures are subject to equity price risk from those futures
contracts. Counterparty credit risk related to exchange-traded futures is
minimal because the exchange's clearinghouse, as counterparty to all
exchange-traded futures, guarantees the futures against default.
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period.
The following is a summary of the Series' location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2011 (amounts in
thousands):
Location on the Statements Equity
of Operations Contracts
-------------------------- ---------
The U.S. Large Cap Value Series*. Net Realized Gain (Loss)
on Futures $(12,647)
*As of April 30, 2011, there were no futures contracts outstanding. During
the six months ended April 30, 2011, the Series had limited activity in futures
contracts.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Trust, together with other Dimensional-advised portfolios,
is currently negotiating a new $250 million unsecured discretionary line of
credit with The Bank of New York Mellon, an affiliate of its domestic custodian
bank, to replace the existing line of credit. The Trust anticipates the new
line of credit will have substantially the same terms and conditions as the
existing line of credit. There were no borrowings by the Series under this line
of credit during the six months ended April 30, 2011.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2010 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012.
For the six months ended April 30, 2011, borrowings under this line of
credit by the Series were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
The DFA International Value Series. 0.91% $ 1,607 5 -- $ 4,688
The U.S. Large Cap Value Series.... 0.94% 8,294 11 $2 15,367
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2011 that each Series' available
line of credit was utilized.
41
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2011.
I. Securities Lending:
As of April 30, 2011, some of the Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. Each Series
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan.
Loans of securities are expected at all times to be secured by collateral equal
to at least (i) 100% of the current market value of the loaned securities with
respect to securities of the U.S. government or its agencies, (ii) 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) 105% of the current market value of the loaned securities with
respect to foreign securities. However, daily market fluctuations could cause
the Series' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities.
Subject to each Series' investment policy, the cash collateral received by
the Series from securities on loan is invested in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies or shares of the DFA Short Term
Investment Fund. Agencies include both agency debentures and agency mortgage
backed securities. In addition, each Series will be able to terminate the loan
at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
42
L. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in the bankruptcy
case of the Tribune Company, (the "Tribune"), and subsequently additional
similar class actions have been filed seeking the same recovery (the
"Lawsuits"). The defendants are The U.S. Large Cap Value Series, The
Tax-Managed U.S. Marketwide Value Series and hundreds of other mutual funds,
institutional investors and others who owned shares in Tribune in 2007 when it
became private in a leveraged buyout transaction and who, at that time, sold
their shares back to Tribune for cash in the amount of $34 per share. The
Lawsuits allege that the payment for the shares by the Tribune violated the
rights of creditors and seeks to have the cash paid to shareholders returned to
the Tribune's bankruptcy estate and/or various creditors of the Tribune.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits does not believe that it is
possible, at this early stage in the proceedings, to predict with any
reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full
recovery they seek, the amount would be less than 1% of The U.S. Large Cap
Value Series' and The Tax-Managed U.S. Marketwide Value Series' net asset value
at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot predict what its size might be at the time the cost of the
Lawsuits might be quantifiable and thus potentially deducted from its net asset
value. Therefore, at this time, those buying or redeeming shares of The U.S.
Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will
pay or receive, as the case may be, a price based on net asset values of The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series,
with no adjustment relating to the Lawsuits. The attorneys' fees and costs
relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series as incurred and in a
manner similar to any other expense incurred by The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
43
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (512) 306-7400. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dimensional.com and reflects the twelve-month period beginning
July 1st and ending June 30th.
44
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 17, 2010 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements for each series
(collectively, the "Funds") and the sub-advisory agreements for The DFA
International Value Series. For the DFA International Value Series, Dimensional
Fund Advisors Ltd. and DFAAustralia Limited each serve as a sub-advisor. (The
investment management agreements and the sub-advisory agreements are referred
to as the "Advisory Agreements," and the Advisor and sub-advisors are referred
to as the "Advisor.").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper, Inc. (the
"Lipper Reports"), and issues related to the continuation of the Advisory
Agreements. Also in advance of the Meeting, management provided additional
materials to address and respond to questions that the Independent Board
Members posed after their review and analysis of materials provided by the
Advisor and the Lipper Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Lipper
Reports, which compared the performance of each Fund with other funds in its
respective peer group and peer universe. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board noted that the Advisor's investment style
and methodologies in managing the Funds are not designed to track traditional
indexes. As a result, it is expected that certain Funds will underperform their
Lipper-designated peer funds and that reporting results will diverge from
market indexes, while other Funds may outperform their Lipper-designated peer
funds and market indexes for the same periods. The Board determined, among
other things, that the performance of each Fund was reasonable as compared with
relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods
45
were favorable in relation to those of its peer funds, and that the advisory
fees were fair, both on an absolute basis and in comparison with the fees of
other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing the Funds and other "non-1940 Act registered" investment vehicles.
Upon closely examining the Advisor's profitability, the Board concluded, among
other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
46
LOGO DFA043011-008S
LOGO
SEMI-ANNUAL REPORT
--------------------------------------------------
six months ended: April 30, 2011 (Unaudited)
Dimensional Investment Group Inc.
DFA International Value Portfolio IV
Emerging Markets Portfolio II
LOGO
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2011
Dear Fellow Shareholder,
We recently celebrated Dimensional's thirtieth anniversary. The firm has
developed in ways we never could have predicted. Our success owes a lot to our
clients, especially those we've had a long relationship with. We are proud that
these relationships have been beneficial for our clients and for Dimensional.
Thirty years of growth has brought many changes. But some things haven't
changed, and these have been a key to our success. We have always acted in the
best interests of clients and strived to earn and maintain trust by doing what
we say we are going to do. We have always worked hard to demonstrate the
validity of our ideas. We never try to predict how much money our clients could
make, but we have always worked to deliver a good investment experience. We
continue to believe strongly in the principles of diversification and
discipline. We've been fortunate to find clients sharing that belief and
helping us grow into the firm we are now.
Sincerely,
LOGO
David G. Booth
Chairman and Co-Chief Executive Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
-----
Letter to Shareholders
Definitions of Abbreviations and Footnotes....... 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses................... 2
Disclosure of Portfolio Holdings.............. 4
Schedules of Investments......................
DFA International Value Portfolio IV........ 5
Emerging Markets Portfolio II............... 5
Statements of Assets and Liabilities.......... 6
Statements of Operations...................... 7
Statements of Changes in Net Assets........... 8
Financial Highlights.......................... 9
Notes to Financial Statements................. 10
Disclosure of Fund Expenses................... 16
Disclosure of Portfolio Holdings.............. 17
The DFA International Value Series.......... 18
The Emerging Markets Series................. 22
Statements of Assets and Liabilities.......... 26
Statements of Operations...................... 27
Statements of Changes in Net Assets........... 28
Financial Highlights.......................... 29
Notes to Financial Statements................. 30
Voting Proxies on Fund Portfolio Securities 38
Board Approval of Investment Advisory Agreements 39
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedule of Portfolio Holdings
Investment Abbreviations
ADR American Depositary Receipt
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the
category headings have been calculated as a percentage of total investments. "Other Securities" are
those securities that are not among the top 50 holdings of the Fund or do not represent more than
1.0% of the net assets of the Fund. Some of the individual securities within this category may
include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
## Par amount of collateral is a part of a pooled collateral facility. Value is indicative of the
value allocated to this Series as a part of this facility.
Financial Highlights
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of
its Master Funds.
All Statements, Schedules and Notes to Financial Statements
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT 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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio IV
Actual Fund Return................ $1,000.00 $1,145.66 0.27% $1.44
Hypothetical 5% Annual Return..... $1,000.00 $1,023.46 0.27% $1.35
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
Emerging Markets Portfolio II
Actual Fund Return............ $1,000.00 $1,116.57 0.37% $1.94
Hypothetical 5% Annual Return. $1,000.00 $1,022.96 0.37% $1.86
-------------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period. The
Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of
the Feeder Fund and the indirect payment of the Feeder Fund's portion of the
expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 31, 2011. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Master Funds' holdings which reflect the
investments by category.
Affiliated Investment Companies
-------------------------------
DFA International Value Portfolio IV. 100.0%
Emerging Markets Portfolio II........ 100.0%
4
DFA INTERNATIONAL VALUE PORTFOLIO IV
SCHEDULES OF INVESTMENTS
April 30, 2011
(Unaudited)
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $402,829,406
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $273,025,782)............................... $402,829,406
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
EMERGING MARKETS PORTFOLIO II
Value+
-----
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company..................... $166,739,509
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $63,146,730)................................ $166,739,509
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of April 30, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA International Emerging Markets
Value Portfolio IV Portfolio II
------------------ ----------------
ASSETS:
Investment in Affiliated Investment Companies at Value................................. $ 402,829 $ 166,740
Receivables:
Affiliated Investment Companies Sold.................................................. 148 141
Prepaid Expenses and Other Assets...................................................... 9 2
------------ ------------
Total Assets........................................................................ 402,986 166,883
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.................................................................. 148 141
Due to Advisor........................................................................ 6 21
Accrued Expenses and Other Liabilities................................................. 24 12
------------ ------------
Total Liabilities................................................................... 178 174
------------ ------------
NET ASSETS............................................................................. $ 402,808 $ 166,709
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 25,489,244 5,541,779
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.80 $ 30.08
============ ============
Investment in Affiliated Investment Companies at Cost.................................. $ 273,026 $ 63,147
------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 336,221 $ 125,229
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 4,294 634
Accumulated Net Realized Gain (Loss)................................................... (67,594) (62,574)
Deferred Thailand Capital Gains Tax.................................................... -- (179)
Net Unrealized Foreign Exchange Gain (Loss)............................................ 84 6
Net Unrealized Appreciation (Depreciation)............................................. 129,803 103,593
------------ ------------
NET ASSETS............................................................................. $ 402,808 $ 166,709
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
DFA International Emerging Markets
Value Portfolio IV Portfolio II
------------------ ----------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of
$441 and $111, respectively)................... $ 5,636 $ 1,404
Interest........................................ 1 --
Income from Securities Lending.................. 291 82
Expenses Allocated from Affiliated Investment
Companies...................................... (427) (149)
------- -------
Total Investment Income........................ 5,501 1,337
------- -------
Expenses
Administrative Services Fees.................... 40 119
Accounting & Transfer Agent Fees................ 8 7
Filing Fees..................................... 8 8
Shareholders' Reports........................... 9 4
Directors'/Trustees' Fees & Expenses............ 2 1
Audit Fees...................................... 1 1
Legal Fees...................................... 3 1
Other........................................... 2 3
------- -------
Total Expenses................................. 73 144
------- -------
Net Investment Income (Loss).................... 5,428 1,193
------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:....................
Investment Securities Sold..................... 7,540 9,563
Foreign Currency Transactions.................. 63 23
Change in Unrealized Appreciation
(Depreciation) of:.............................
Investment Securities and Foreign Currency..... 37,944 6,784
Translation of Foreign Currency Denominated
Amounts...................................... 15 1
Change in Deferred Thailand Capital Gains Tax... -- (43)
------- -------
Net Realized and Unrealized Gain (Loss)......... 45,562 16,328
------- -------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................. $50,990 $17,521
======= =======
-------------
Investment Income and Realized and Unrealized Gain (Loss) were allocated from
each Portfolio's Master Fund (Affiliated Investment Companies).
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value Portfolio IV
-----------------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 5,428 $ 8,628
Net Realized Gain (Loss) on:..........................................
Investment Securities Sold.......................................... 7,540 21,682
Foreign Currency Transactions....................................... 63 (16)
Change in Unrealized Appreciation (Depreciation) of:..................
Investment Securities and Foreign Currency.......................... 37,944 5,088
Translation of Foreign Currency Denominated Amounts................. 15 54
Change in Deferred Thailand Capital Gains Tax......................... -- --
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations... 50,990 35,436
-------- --------
Distributions From:
Net Investment Income................................................. (8,815) (9,866)
-------- --------
Total Distributions............................................... (8,815) (9,866)
-------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 24,286 33,837
Shares Issued in Lieu of Cash Distributions........................... 8,815 9,866
Shares Redeemed....................................................... (26,004) (64,779)
-------- --------
Net Increase (Decrease) from Capital Share Transactions........... 7,097 (21,076)
-------- --------
Total Increase (Decrease) in Net Assets........................... 49,272 4,494
Net Assets
Beginning of Period................................................... 353,536 349,042
-------- --------
End of Period......................................................... $402,808 $353,536
======== ========
(1) Shares Issued and Redeemed:
Shares Issued......................................................... 1,632 2,568
Shares Issued in Lieu of Cash Distributions........................... 630 755
Shares Redeemed....................................................... (1,772) (4,981)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........... 490 (1,658)
======== ========
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income) $ 4,294 $ 7,681
Emerging Markets Portfolio II
----------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2011 2010
----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 1,193 $ 2,924
Net Realized Gain (Loss) on:..........................................
Investment Securities Sold.......................................... 9,563 11,782
Foreign Currency Transactions....................................... 23 35
Change in Unrealized Appreciation (Depreciation) of:..................
Investment Securities and Foreign Currency.......................... 6,784 19,774
Translation of Foreign Currency Denominated Amounts................. 1 1
Change in Deferred Thailand Capital Gains Tax......................... (43) (131)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations... 17,521 34,385
-------- --------
Distributions From:
Net Investment Income................................................. (3,370) (2,834)
-------- --------
Total Distributions............................................... (3,370) (2,834)
-------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 12,616 18,542
Shares Issued in Lieu of Cash Distributions........................... 3,370 2,834
Shares Redeemed....................................................... (19,519) (39,042)
-------- --------
Net Increase (Decrease) from Capital Share Transactions........... (3,533) (17,666)
-------- --------
Total Increase (Decrease) in Net Assets........................... 10,618 13,885
Net Assets
Beginning of Period................................................... 156,091 142,206
-------- --------
End of Period......................................................... $166,709 $156,091
======== ========
(1) Shares Issued and Redeemed:
Shares Issued......................................................... 446 759
Shares Issued in Lieu of Cash Distributions........................... 123 122
Shares Redeemed....................................................... (697) (1,637)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........... (128) (756)
======== ========
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income) $ 634 $ 2,811
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio IV
------------------------------------------------------------------------------------
Six Period
Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
--------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period.......................... $ 14.14 $ 13.09 $ 10.46 $ 21.23 $ 18.85 $ 14.63 $ 12.94
-------- -------- -------- -------- -------- -------- --------
Income from Investment
Operations
Net Investment Income
(Loss)........................ 0.22(A) 0.33(A) 0.34(A) 0.62(A) 0.63(A) 0.57(A) 0.40
Net Gains (Losses) on
Securities (Realized and
Unrealized)................... 1.79 1.09 3.05 (10.29) 2.53 4.41 1.58
-------- -------- -------- -------- -------- -------- --------
Total from Investment
Operations................... 2.01 1.42 3.39 (9.67) 3.16 4.98 1.98
------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income.......... (0.35) (0.37) (0.76) (0.64) (0.48) (0.36) (0.27)
Net Realized Gains............. -- -- -- (0.46) (0.30) (0.40) (0.02)
-------- -------- -------- -------- -------- -------- --------
Total Distributions........... (0.35) (0.37) (0.76) (1.10) (0.78) (0.76) (0.29)
-------- -------- -------- -------- -------- -------- --------
Net Asset Value, End of
Period.......................... $ 15.80 $ 14.14 $ 13.09 $ 10.46 $ 21.23 $ 18.85 $ 14.63
------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------
Total Return..................... 14.57%(C) 11.12% 35.27% (47.88)%(C) 17.32% 35.65% 15.58%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $402,808 $353,536 $349,042 $303,822 $729,621 $565,255 $304,601
Ratio of Expenses to Average Net
Assets (D)...................... 0.27%(B) 0.28% 0.30% 0.26%(B) 0.25% 0.27% 0.32%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/
or Recovery of Previously
Waived Fees) (D)................ 0.27%(B) 0.28% 0.30% 0.26%(B) 0.25% 0.27% 0.32%
Ratio of Net Investment Income
to Average Net Assets........... 2.95%(B) 2.52% 3.28% 3.93%(B) 3.07% 3.42% 3.03%
------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio II
----------------------------------------------------------------------------------
Six Period
Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period.......................... $ 27.53 $ 22.13 $ 15.24 $ 30.01 $ 21.50 $ 16.79 $ 13.03
-------- -------- -------- -------- -------- ------- -------
Income from Investment
Operations
Net Investment Income
(Loss)........................ 0.21(A) 0.48(A) 0.41(A) 0.68(A) 0.53(A) 0.45(A) 0.53(A)
Net Gains (Losses) on
Securities (Realized and
Unrealized)................... 2.94 5.37 7.29 (14.92) 8.42 4.74 3.47
-------- -------- -------- -------- -------- ------- -------
Total from Investment
Operations................... 3.15 5.85 7.70 (14.24) 8.95 5.19 4.00
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income.......... (0.60) (0.45) (0.81) (0.31) (0.44) (0.48) (0.24)
Net Realized Gains............. -- -- -- (0.22) -- -- --
-------- -------- -------- -------- -------- ------- -------
Total Distributions........... (0.60) (0.45) (0.81) (0.53) (0.44) (0.48) (0.24)
-------- -------- -------- -------- -------- ------- -------
Net Asset Value, End of
Period.......................... $ 30.08 $ 27.53 $ 22.13 $ 15.24 $ 30.01 $ 21.50 $ 16.79
-----------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------
Total Return..................... 11.66%(C) 26.80% 53.72% (48.27)%(C) 42.40% 31.67% 31.22%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $166,709 $156,091 $142,206 $112,592 $310,627 $62,633 $33,940
Ratio of Expenses to Average Net
Assets (D)...................... 0.37%(B) 0.37% 0.39% 0.35%(B) 0.39% 0.35% 0.41%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/
or Recovery of Previously
Waived Fees) (D)................ 0.37%(B) 0.37% 0.39% 0.35%(B) 0.43% 0.74% 0.81%
Ratio of Net Investment Income
to Average Net Assets........... 1.52%(B) 2.00% 2.42% 2.82%(B) 2.13% 2.38% 3.60%
-----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, of
which DFA International Value Portfolio IV and Emerging Markets Portfolio II
(the "Portfolios") are presented in this report.
DFA International Value Portfolio IV and Emerging Markets Portfolio II
primarily invest their assets in The DFA International Value Series and The
Emerging Markets Series (the "Series"), respectively, each a corresponding
Series of The DFA Investment Trust Company. At April 30, 2011, DFA
International Value Portfolio IV and Emerging Markets Portfolio II owned 5% and
6% of their respective Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolios.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolios' investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed at the end of the Schedule of Investments. The inputs or methodology
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities.
10
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2011.
2. Deferred Compensation Plan: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of all or a
portion of their total fees earned as a Director. These deferred amounts may be
treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2011, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily
basis, of net investment income and realized and unrealized gains and losses of
investment securities from the Series', which is treated as a partnership for
federal income tax purposes. Dividend income and distributions to shareholders
are recorded on the ex-dividend date. Distributions received on securities that
represent a return of capital or capital gain are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of distributions received that may be considered return
of capital distributions. Expenses directly attributable to the Portfolios are
directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors/Trustees, generally based on average net
assets.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolios, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Series. For the six months ended April 30,
2011, the Portfolios' administrative services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.20% of the first
$40 million of average daily net assets and no fees on assets exceeding $40
million for DFA International Value Portfolio IV and based on an effective
annual rate of 0.15% of average daily net assets for Emerging Markets Portfolio
II.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2011, the total
related amounts paid by the Fund to the CCO were $16 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
11
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio IV. $12
Emerging Markets Portfolio II........ 5
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2010 were classified to the following accounts.
The reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Undistributed Accumulated Increase
Net Investment Net Realized (Decrease)
Income Gains (Losses) Paid-In Capital
-------------- -------------- ---------------
DFA International Value Portfolio IV............. $(16) $16 --
Emerging Markets Portfolio II.................... 36 (35) $(1)
The tax character of dividends and distributions declared and paid during the year ended October 31, 2009 and the year ended
October 31, 2010 were as follows (amounts in thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- -------------- ---------------
DFA International Value Portfolio IV
2009............................................. $21,099 -- $21,099
2010............................................. 9,866 -- 9,866
Emerging Markets Portfolio II
2009............................................. 5,915 -- 5,915
2010............................................. 2,834 -- 2,834
At October 31, 2010, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
Undistributed
Net Total Net
Investment Distributable
Income and Undistributed Capital Earnings/
Short-Term Long-Term Loss (Accumulated
Capital Gains Capital Gains Carryforward Losses)
------------- ------------- ------------ -------------
DFA International Value Portfolio IV. $7,693 -- $(75,186) $(67,493)
Emerging Markets Portfolio II........ 2,845 -- (72,226) (69,381)
12
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of October 31, 2010, DFA International Value Portfolio IV and Emerging
Markets Portfolio II Portfolios had capital loss carryforwards of $75,186 and
$72,226 (in thousands), respectively, available to offset future realized
capital gains through October 31, 2016. During the year ended October 31, 2010,
DFA International Value Portfolio IV and Emerging Markets Portfolio II
Portfolios utilized capital loss carryforwards to offset realized capital gains
for federal income tax purposes in the amount of $21,683 and $11,769 (in
thousands), respectively.
Some of the Portfolios' investments are in securities considered to be
"passive foreign investment companies" for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for federal income tax
purposes. At October 31, 2010, Emerging Markets Portfolio II had cumulative
unrealized appreciation (depreciation) (mark to market) of $29 (in thousands)
to be included in distributable net investment income for federal tax purposes.
For the year ended October 31, 2010, realized gains on the sale of passive
foreign investment companies totaling $0 (in thousands) have been reclassified
from accumulated net realized gains to accumulated net investment income for
federal tax purposes.
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
--------- ------------ -------------- --------------
DFA International Value Portfolio IV. $273,036 $136,439 $(6,646) $129,793
Emerging Markets Portfolio II........ 63,173 39,269 64,299 103,568
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 in a tax return. Management has analyzed the Portfolios' tax
position and has concluded that no provision for income tax is required in the
Portfolios' financial statements. The Portfolios are not aware of any tax
position for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next six months. The
Portfolios' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
F. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC Bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under
13
the line of credit are charged interest at rates agreed to by the parties at
the time of borrowing. Each portfolio is individually, and not jointly, liable
for its particular advances under the line of credit. There is no commitment
fee on the unused portion of the line of credit. The agreement for the
discretionary line of credit may be terminated by either party at any time. The
line of credit is scheduled to expire on June 21, 2011; however, PNC Bank is
expected to extend the term of the line of credit to June 30, 2011. The Fund,
together with other Dimensional-advised portfolios, is currently negotiating a
new $250 million unsecured discretionary line of credit with The Bank of New
York Mellon, an affiliate of its domestic custodian bank, to replace the
existing line of credit. The Fund anticipates the new line of credit will have
substantially the same terms and conditions as the existing line of credit.
There were no borrowings by the Portfolios under this line of credit during the
six months ended April 30, 2011.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2011.
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 the
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
I. Other:
At April 30, 2011, the following number of shareholders held the following
approximate percentages of outstanding shares of the Portfolios.
14
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
DFA International Value Portfolio IV. 1 100%
Emerging Markets Portfolio II........ 2 100%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
15
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, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2011
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/10 04/30/11 Ratio* Period*
--------- --------- ---------- --------
The DFA International Value Series
Actual Fund Return................. $1,000.00 $1,146.18 0.23% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
The Emerging Markets Series
Actual Fund Return................. $1,000.00 $1,117.61 0.19% $1.00
Hypothetical 5% Annual Return...... $1,000.00 $1,023.85 0.19% $0.95
--------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period.
16
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 31, 2011. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
INTERNATIONAL EQUITY PORTFOLIOS
The DFA International Value Series
Consumer Discretionary..... 15.4%
Consumer Staples........... 5.7%
Energy..................... 11.5%
Financials................. 30.3%
Health Care................ 1.5%
Industrials................ 9.6%
Information Technology..... 2.8%
Materials.................. 12.7%
Other...................... --
Telecommunication Services. 7.1%
Utilities.................. 3.4%
------
100.0%
The Emerging Market Series
Consumer Discretionary........ 7.1%
Consumer Staples.............. 8.2%
Energy........................ 15.2%
Financials.................... 21.1%
Health Care................... 0.7%
Industrials................... 6.6%
Information Technology........ 14.1%
Materials..................... 14.9%
Other......................... --
Real Estate Investment Trusts. 0.1%
Telecommunication Services.... 8.9%
Utilities..................... 3.1%
------
100.0%
17
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (83.0%).......................
AUSTRALIA -- (4.8%)............................
#Australia & New Zealand Banking Group, Ltd... 1,696,439 $ 45,188,322 0.6%
#National Australia Bank, Ltd................. 1,901,632 56,616,627 0.7%
Wesfarmers, Ltd............................. 2,539,298 93,023,189 1.1%
Other Securities............................ 274,559,990 3.4%
------------ -----
TOTAL AUSTRALIA................................ 469,388,128 5.8%
------------ -----
AUSTRIA -- (0.3%)..............................
Other Securities............................ 33,729,173 0.4%
------------ -----
BELGIUM -- (0.8%)..............................
Other Securities............................ 81,832,923 1.0%
------------ -----
CANADA -- (10.2%)..............................
#Encana Corp.................................. 2,051,015 68,912,717 0.9%
#Manulife Financial Corp...................... 3,219,919 57,820,033 0.7%
#Nexen, Inc................................... 1,719,282 45,482,882 0.6%
#Sun Life Financial, Inc...................... 1,494,503 48,919,049 0.6%
Suncor Energy, Inc.......................... 2,545,871 117,344,432 1.4%
Talisman Energy, Inc........................ 2,162,345 52,221,723 0.6%
Teck Resources, Ltd. Class B................ 1,303,030 70,828,973 0.9%
#Thomson Reuters Corp......................... 1,832,184 74,282,702 0.9%
#TransCanada Corp............................. 1,941,948 83,556,205 1.0%
Other Securities............................ 368,196,722 4.5%
------------ -----
TOTAL CANADA................................... 987,565,438 12.1%
------------ -----
DENMARK -- (1.3%)..............................
Other Securities............................ 125,784,300 1.5%
------------ -----
FINLAND -- (0.7%)..............................
Other Securities............................ 72,344,385 0.9%
------------ -----
FRANCE -- (8.3%)...............................
#AXA SA....................................... 3,678,548 82,466,032 1.0%
BNP Paribas SA.............................. 607,569 48,031,142 0.6%
Cie de Saint-Gobain SA...................... 875,747 60,426,286 0.8%
Credit Agricole SA.......................... 2,709,992 45,077,952 0.6%
#GDF Suez SA.................................. 2,720,289 111,230,825 1.4%
Societe Generale Paris SA................... 1,255,581 83,907,846 1.0%
#Vivendi SA................................... 3,447,034 108,081,627 1.3%
Other Securities............................ 270,063,507 3.3%
------------ -----
TOTAL FRANCE................................... 809,285,217 10.0%
------------ -----
GERMANY -- (8.1%)..............................
#Allianz SE................................... 439,353 69,027,351 0.8%
#Allianz SE Sponsored ADR..................... 2,834,240 44,639,280 0.6%
Bayerische Motoren Werke AG................. 915,762 86,217,868 1.1%
*Daimler AG.................................. 2,088,586 161,419,483 2.0%
Deutsche Bank AG............................ 965,050 62,853,121 0.8%
Deutsche Telekom AG......................... 2,852,483 47,140,915 0.6%
#Deutsche Telekom AG Sponsored ADR............ 3,099,741 51,455,701 0.6%
#E.ON AG...................................... 1,598,720 54,642,935 0.7%
#Munchener Rueckversicherungs-Gesellschaft AG. 412,644 68,067,628 0.8%
Other Securities............................ 139,601,150 1.7%
------------ -----
TOTAL GERMANY.................................. 785,065,432 9.7%
------------ -----
GREECE -- (0.1%)...............................
Other Securities............................ 10,014,324 0.1%
------------ -----
18
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- -------------- ---------------
HONG KONG -- (1.4%)
Hutchison Whampoa, Ltd.............. 5,618,000 $ 64,322,781 0.8%
Other Securities.................... 73,073,228 0.9%
-------------- -----
TOTAL HONG KONG........................ 137,396,009 1.7%
-------------- -----
IRELAND -- (0.1%)......................
Other Securities.................... 11,433,581 0.1%
-------------- -----
ISRAEL -- (0.4%).......................
Other Securities.................... 36,826,376 0.4%
-------------- -----
ITALY -- (1.5%)........................
Other Securities.................... 142,505,906 1.7%
-------------- -----
JAPAN -- (16.1%).......................
Mitsubishi Heavy Industries, Ltd.... 9,007,000 43,038,599 0.5%
#Mitsubishi UFJ Financial Group, Inc.. 13,207,406 63,390,116 0.8%
Nissan Motor Co., Ltd............... 4,831,600 46,487,303 0.6%
#Sony Corp. Sponsored ADR............. 1,801,665 51,005,136 0.6%
#Sumitomo Corp........................ 3,241,900 44,721,492 0.5%
#Toyota Motor Corp. Sponsored ADR..... 551,545 43,947,106 0.5%
Other Securities.................... 1,272,689,380 15.7%
-------------- -----
TOTAL JAPAN............................ 1,565,279,132 19.2%
-------------- -----
MALAYSIA -- (0.0%).....................
Other Securities.................... -- 0.0%
-------------- -----
NETHERLANDS -- (3.2%)..................
ArcelorMittal NV.................... 2,446,831 90,424,916 1.1%
*ING Groep NV......................... 3,849,884 50,719,361 0.6%
*Koninklijke Philips Electronics NV... 1,939,039 57,430,601 0.7%
Other Securities.................... 109,870,597 1.4%
-------------- -----
TOTAL NETHERLANDS...................... 308,445,475 3.8%
-------------- -----
NEW ZEALAND -- (0.1%)..................
Other Securities.................... 5,336,761 0.1%
-------------- -----
NORWAY -- (0.9%).......................
Other Securities.................... 87,106,036 1.1%
-------------- -----
PORTUGAL -- (0.1%).....................
Other Securities.................... 9,833,096 0.1%
-------------- -----
SINGAPORE -- (1.0%)....................
Other Securities.................... 94,898,798 1.2%
-------------- -----
SPAIN -- (2.7%)........................
#Repsol YPF SA Sponsored ADR.......... 1,432,181 51,157,505 0.6%
Other Securities.................... 207,178,508 2.6%
-------------- -----
TOTAL SPAIN............................ 258,336,013 3.2%
-------------- -----
SWEDEN -- (2.1%).......................
Nordea Bank AB...................... 4,013,687 45,762,056 0.6%
Other Securities.................... 162,959,751 2.0%
-------------- -----
TOTAL SWEDEN........................... 208,721,807 2.6%
-------------- -----
SWITZERLAND -- (5.2%)..................
#Holcim, Ltd. AG...................... 886,165 77,213,358 0.9%
Swiss Reinsurance Co., Ltd. AG...... 1,108,107 66,116,889 0.8%
Zurich Financial Services AG........ 322,634 90,717,790 1.1%
19
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
-------------- -------------- ---------------
SWITZERLAND -- (Continued).......................................................
Other Securities.............................................................. $ 273,495,501 3.4%
-------------- ------
TOTAL SWITZERLAND................................................................ 507,543,538 6.2%
-------------- ------
UNITED KINGDOM -- (13.6%)........................................................
Aviva P.L.C................................................................... 7,396,866 55,357,784 0.7%
#Barclays P.L.C. Sponsored ADR.................................................. 4,180,831 79,644,831 1.0%
Kingfisher P.L.C.............................................................. 10,285,817 47,258,773 0.6%
Royal Dutch Shell P.L.C. ADR.................................................. 3,242,203 254,059,027 3.1%
Vodafone Group P.L.C.......................................................... 34,976,333 101,109,152 1.2%
Vodafone Group P.L.C. Sponsored ADR........................................... 8,335,538 242,730,867 3.0%
Xstrata P.L.C................................................................. 3,843,909 98,592,431 1.2%
Other Securities.............................................................. 442,839,701 5.5%
-------------- ------
TOTAL UNITED KINGDOM............................................................. 1,321,592,566 16.3%
-------------- ------
TOTAL COMMON STOCKS.............................................................. 8,070,264,414 99.2%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)........................................................
PORTUGAL -- (0.0%)...............................................................
Other Securities.............................................................. 134,266 0.0%
-------------- ------
SPAIN -- (0.0%)..................................................................
Other Securities.............................................................. 257,338 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS............................................................ 391,604 0.0%
-------------- ------
Face
Amount Value+
-------------- --------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.1%).............................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized
by $8,145,000 FNMA 2.24%, 07/06/15, valued at $8,348,625) to be
repurchased at $8,222,130..................................................... $8,222 8,222,000 0.1%
-------------- ------
Shares/
Face
Amount
--------------
(000)
SECURITIES LENDING COLLATERAL -- (16.9%).........................................
(S)@DFA Short Term Investment Fund............................................... 1,646,576,000 1,646,576,000 20.3%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11
(Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at
$1,348,186)## to be repurchased at $1,321,755................................. $ 1,322 1,321,751 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.............................................. 1,647,897,751 20.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)....................................................
(Cost $7,369,761,306)........................................................... $9,726,775,769 119.6%
============== ======
20
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
-----------------------------------------------------
Investment in Securities (Market Value)
-----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- -------------- ------- --------------
Common Stocks
Australia.................... $ 8,439,298 $ 460,948,830 -- $ 469,388,128
Austria...................... -- 33,729,173 -- 33,729,173
Belgium...................... 4,541,994 77,290,929 -- 81,832,923
Canada....................... 987,565,438 -- -- 987,565,438
Denmark...................... -- 125,784,300 -- 125,784,300
Finland...................... 2,515,212 69,829,173 -- 72,344,385
France....................... 33,906,195 775,379,022 -- 809,285,217
Germany...................... 123,575,824 661,489,608 -- 785,065,432
Greece....................... 984,576 9,029,748 -- 10,014,324
Hong Kong.................... -- 137,396,009 -- 137,396,009
Ireland...................... 6,174,077 5,259,504 -- 11,433,581
Israel....................... 4,108,164 32,718,212 -- 36,826,376
Italy........................ 28,173,735 114,332,171 -- 142,505,906
Japan........................ 134,310,391 1,430,968,741 -- 1,565,279,132
Malaysia..................... -- -- -- --
Netherlands.................. 26,000,266 282,445,209 -- 308,445,475
New Zealand.................. -- 5,336,761 -- 5,336,761
Norway....................... 533,709 86,572,327 -- 87,106,036
Portugal..................... -- 9,833,096 -- 9,833,096
Singapore.................... -- 94,898,798 -- 94,898,798
Spain........................ 100,033,060 158,302,953 -- 258,336,013
Sweden....................... 14,472,862 194,248,945 -- 208,721,807
Switzerland.................. 66,974,850 440,568,688 -- 507,543,538
United Kingdom............... 663,451,513 658,141,053 -- 1,321,592,566
Rights/Warrants
Portugal..................... 134,266 -- -- 134,266
Spain........................ 257,338 -- -- 257,338
Temporary Cash Investments.... -- 8,222,000 -- 8,222,000
Securities Lending Collateral. -- 1,647,897,751 -- 1,647,897,751
--------------- -------------- -- --------------
TOTAL......................... $2,206,152,768 $7,520,623,001 -- $9,726,775,769
=============== ============== == ==============
See accompanying Notes to Financial Statements.
21
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2011
(Unaudited)
Percentage
Shares Value++ of Net Assets**
---------- ------------ ---------------
COMMON STOCKS -- (85.0%).................................
BRAZIL -- (4.6%).........................................
BRF - Brasil Foods SA ADR............................. 590,060 $ 12,220,143 0.4%
Petroleo Brasilerio SA ADR............................ 1,009,389 37,680,491 1.4%
#Vale SA Sponsored ADR.................................. 375,714 12,548,848 0.4%
Other Securities...................................... 70,233,484 2.6%
------------ -----
TOTAL BRAZIL............................................. 132,682,966 4.8%
------------ -----
CHILE -- (1.7%)..........................................
Other Securities...................................... 50,098,578 1.8%
------------ -----
CHINA -- (12.0%).........................................
Bank of China, Ltd.................................... 40,360,100 22,390,727 0.8%
China Construction Bank Corp.......................... 26,181,590 24,825,704 0.9%
#China Life Insurance Co., Ltd. ADR..................... 250,705 13,460,351 0.5%
#China Mobile, Ltd. Sponsored ADR....................... 696,697 32,110,765 1.2%
#CNOOC, Ltd. ADR........................................ 68,756 17,151,184 0.6%
Industrial & Commercial Bank of China, Ltd. Series H.. 35,627,185 30,219,447 1.1%
#PetroChina Co., Ltd. ADR............................... 116,910 17,019,758 0.6%
#Tencent Holdings, Ltd.................................. 700,600 20,095,538 0.8%
Other Securities...................................... 172,363,905 6.3%
------------ -----
TOTAL CHINA.............................................. 349,637,379 12.8%
------------ -----
COLOMBIA -- (0.4%).......................................
Other Securities...................................... 10,070,883 0.4%
------------ -----
CZECH REPUBLIC -- (0.6%).................................
Other Securities...................................... 18,089,752 0.7%
------------ -----
EGYPT -- (0.1%)..........................................
Other Securities...................................... 3,237,365 0.1%
------------ -----
HUNGARY -- (0.7%)........................................
Other Securities...................................... 19,965,905 0.7%
------------ -----
INDIA -- (8.4%)..........................................
HDFC Bank, Ltd........................................ 306,074 15,870,362 0.6%
Infosys Technologies, Ltd............................. 282,676 18,581,616 0.7%
#Infosys Technologies, Ltd. Sponsored ADR............... 233,496 15,219,269 0.5%
Reliance Industries, Ltd.............................. 1,645,075 36,515,394 1.3%
Tata Consultancy Services, Ltd........................ 481,215 12,667,589 0.5%
Other Securities...................................... 146,193,541 5.3%
------------ -----
TOTAL INDIA.............................................. 245,047,771 8.9%
------------ -----
INDONESIA -- (2.5%)......................................
PT Astra International Tbk............................ 2,078,561 13,661,027 0.5%
Other Securities...................................... 59,463,387 2.2%
------------ -----
TOTAL INDONESIA.......................................... 73,124,414 2.7%
------------ -----
ISRAEL -- (0.0%).........................................
Other Securities...................................... 37 0.0%
------------ -----
MALAYSIA -- (3.4%).......................................
Other Securities...................................... 98,899,092 3.6%
------------ -----
MEXICO -- (6.2%).........................................
#America Movil S.A.B. de C.V. Series L.................. 22,345,121 64,016,791 2.3%
#Fomento Economico Mexicano S.A.B. de C.V. Series B & D. 2,109,900 13,267,863 0.5%
Grupo Mexico S.A.B. de C.V. Series B.................. 3,928,317 13,602,050 0.5%
#Wal-Mart de Mexico S.A.B. de C.V. Series V............. 6,300,780 19,704,134 0.7%
22
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- -------------- ---------------
MEXICO -- (Continued)...........................
Other Securities............................. $ 70,617,877 2.6%
-------------- -----
TOTAL MEXICO.................................... 181,208,715 6.6%
-------------- -----
PERU -- (0.4%)..................................
Other Securities............................. 11,168,752 0.4%
-------------- -----
PHILIPPINES -- (0.4%)...........................
Other Securities............................. 12,189,372 0.5%
-------------- -----
POLAND -- (1.4%)................................
Other Securities............................. 39,864,572 1.5%
-------------- -----
RUSSIA -- (5.0%)................................
Gazprom OAO Sponsored ADR.................... 3,487,010 59,083,004 2.1%
Lukoil OAO Sponsored ADR..................... 354,178 24,616,048 0.9%
MMC Norilsk Nickel JSC ADR................... 597,703 16,545,199 0.6%
Other Securities............................. 45,640,181 1.7%
-------------- -----
TOTAL RUSSIA.................................... 145,884,432 5.3%
-------------- -----
SOUTH AFRICA -- (7.8%)..........................
Impala Platinum Holdings, Ltd................ 478,692 14,970,063 0.5%
MTN Group, Ltd............................... 1,659,950 36,468,496 1.3%
Naspers, Ltd. Series N....................... 324,237 19,216,311 0.7%
#Sasol, Ltd. Sponsored ADR.................... 721,569 41,721,120 1.5%
Standard Bank Group, Ltd..................... 861,864 13,536,033 0.5%
Other Securities............................. 102,788,992 3.8%
-------------- -----
TOTAL SOUTH AFRICA.............................. 228,701,015 8.3%
-------------- -----
SOUTH KOREA -- (14.3%)..........................
Hyundai Heavy Industries Co., Ltd............ 39,086 19,548,628 0.7%
#Hyundai Mobis................................ 53,070 17,800,124 0.6%
Hyundai Motor Co., Ltd....................... 95,919 22,123,640 0.8%
Kia Motors Corp.............................. 225,130 16,195,539 0.6%
LG Chemical, Ltd............................. 32,392 16,092,933 0.6%
POSCO........................................ 46,060 20,212,768 0.7%
#Samsung Electronics Co., Ltd................. 95,982 80,171,919 2.9%
Samsung Electronics Co., Ltd. GDR............ 49,372 20,610,804 0.8%
#SK Innovation Co., Ltd....................... 51,889 11,287,927 0.4%
Other Securities............................. 193,951,277 7.1%
-------------- -----
TOTAL SOUTH KOREA............................... 417,995,559 15.2%
-------------- -----
TAIWAN -- (11.6%)...............................
China Steel Corp............................. 9,036,342 11,189,970 0.4%
Formosa Chemicals & Fiber Co., Ltd........... 3,356,445 13,573,038 0.5%
Formosa Plastics Corp........................ 4,522,648 18,520,887 0.7%
Hon Hai Precision Industry Co., Ltd.......... 5,190,997 19,712,931 0.7%
HTC Corp..................................... 553,558 25,196,124 0.9%
Nan Ya Plastic Corp.......................... 6,052,564 18,590,966 0.7%
#Taiwan Semiconductor Manufacturing Co., Ltd.. 22,386,808 57,903,170 2.1%
Other Securities............................. 174,610,573 6.4%
-------------- -----
TOTAL TAIWAN.................................... 339,297,659 12.4%
-------------- -----
THAILAND -- (1.9%)..............................
Other Securities............................. 54,725,930 2.0%
-------------- -----
TURKEY -- (1.6%)................................
Other Securities............................. 47,787,564 1.7%
-------------- -----
TOTAL COMMON STOCKS............................. 2,479,677,712 90.4%
-------------- -----
23
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------------- -------------- ---------------
PREFERRED STOCKS -- (8.3%).......................................................
BRAZIL -- (8.3%).................................................................
Banco Bradesco SA............................................................... 1,584,132 $ 31,396,667 1.2%
Cia de Bebidas das Americas SA Preferred ADR.................................... 661,939 21,565,973 0.8%
Itau Unibanco Holding SA........................................................ 1,765,755 41,248,091 1.5%
Petroleo Brasilerio SA ADR...................................................... 1,376,550 45,935,474 1.7%
Vale SA Series A................................................................ 1,412,691 41,405,531 1.5%
Other Securities................................................................ 61,470,052 2.2%
-------------- ------
TOTAL BRAZIL..................................................................... 243,021,788 8.9%
-------------- ------
TOTAL PREFERRED STOCKS........................................................... 243,021,788 8.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)........................................................
BRAZIL -- (0.0%).................................................................
Other Securities................................................................ 106 0.0%
-------------- ------
TAIWAN -- (0.0%).................................................................
Other Securities................................................................ 26,088 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS............................................................ 26,194 0.0%
-------------- ------
Face
Amount Value+
------------- --------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%).............................................
Repurchase Agreement, PNC Capital Markets, Inc. 0.19%, 05/02/11 (Collateralized
by $6,705,000 FNMA 2.24%, 07/06/15, valued at $6,872,625) to be repurchased
at $6,769,107................................................................. $6,769 6,769,000 0.2%
-------------- ------
Shares
/ Face Amount
-------------
(000)
SECURITIES LENDING COLLATERAL -- (6.5%)..........................................
(S)@DFA Short Term Investment Fund............................................... 188,392,000 188,392,000 6.9%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.04%, 05/02/11
(Collateralized by $48,926,610 FNMA 2.063%(r), 06/01/35, valued at $179,153)##
to be repurchased at $175,641.................................................. $ 176 175,640 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.............................................. 188,567,640 6.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)....................................................
(Cost $1,415,552,525)........................................................... $2,918,062,334 106.4%
============== ======
24
THE EMERGING MARKETS SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of April 30, 2011 is
as follows (See Security Valuation Note):
Valuation Inputs
--------------------------------------------------
Investment in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks
Brazil....................... $132,682,966 -- -- $ 132,682,966
Chile........................ 50,098,578 -- -- 50,098,578
China........................ 100,798,351 $ 248,839,028 -- 349,637,379
Colombia..................... 10,070,883 -- -- 10,070,883
Czech Republic............... -- 18,089,752 -- 18,089,752
Egypt........................ -- 3,237,365 -- 3,237,365
Hungary...................... -- 19,965,905 -- 19,965,905
India........................ 30,113,356 214,934,415 -- 245,047,771
Indonesia.................... -- 73,124,414 -- 73,124,414
Israel....................... -- 37 -- 37
Malaysia..................... 2,163,060 96,736,032 -- 98,899,092
Mexico....................... 181,200,077 8,638 -- 181,208,715
Peru......................... 11,168,752 -- -- 11,168,752
Philippines.................. -- 12,189,372 -- 12,189,372
Poland....................... -- 39,864,572 -- 39,864,572
Russia....................... 740,666 145,143,766 -- 145,884,432
South Africa................. 64,559,947 164,141,068 -- 228,701,015
South Korea.................. 5,334,552 412,661,007 -- 417,995,559
Taiwan....................... 9,062,700 330,234,959 -- 339,297,659
Thailand..................... 54,725,930 -- -- 54,725,930
Turkey....................... 443,693 47,343,871 -- 47,787,564
Preferred Stocks..............
Brazil....................... 243,021,788 -- -- 243,021,788
Rights/Warrants...............
Brazil....................... 106 -- -- 106
Taiwan....................... -- 26,088 -- 26,088
Temporary Cash Investments.... -- 6,769,000 -- 6,769,000
Securities Lending Collateral. -- 188,567,640 -- 188,567,640
------------ -------------- -- --------------
TOTAL......................... $896,185,405 $2,021,876,929 -- $2,918,062,334
============ ============== == ==============
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The DFA
International The Emerging
Value Markets
Series Series
------------- ------------
ASSETS:
Investments at Value (including $1,489,149 and $179,800 of securities on loan, respectively). $8,070,656 $2,722,725
Temporary Cash Investments at Value & Cost................................................... 8,222 6,769
Collateral Received from Securities on Loan at Value & Cost.................................. 1,322 176
Affiliated Collateral Received from Securities on Loan at Value & Cost....................... 1,646,576 188,392
Foreign Currencies at Value.................................................................. 29,913 7,252
Cash......................................................................................... 16 1,212
Receivables:
Investment Securities Sold.................................................................. 18,234 23,773
Dividends, Interest and Tax Reclaims........................................................ 35,891 6,291
Securities Lending Income................................................................... 3,179 222
Fund Shares Sold............................................................................ 1,237 1,007
Unrealized Gain on Foreign Currency Contracts................................................ 59 1
Prepaid Expenses and Other Assets............................................................ 14 5
---------- ----------
Total Assets.............................................................................. 9,815,319 2,957,825
---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 1,647,898 188,568
Investment Securities Purchased............................................................. 35,319 21,582
Fund Shares Redeemed........................................................................ 290 141
Due to Advisor.............................................................................. 1,304 224
Unrealized Loss on Foreign Currency Contracts................................................ 58 --
Deferred Thailand Capital Gains Tax.......................................................... -- 4,947
Accrued Expenses and Other Liabilities....................................................... 507 334
---------- ----------
Total Liabilities......................................................................... 1,685,376 215,796
---------- ----------
NET ASSETS $8,129,943 $2,742,029
========== ==========
Investments at Cost.......................................................................... $5,713,642 $1,220,216
---------- ----------
Foreign Currencies at Cost................................................................... $ 29,193 $ 7,196
---------- ----------
See accompanying Notes to Financial Statements.
26
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2011
(Unaudited)
(Amounts in thousands)
The DFA
International The Emerging
Value Markets
Series Series
------------- ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $8,897 and $1,822, respectively). $ 113,603 $ 22,931
Interest..................................................................... 16 8
Income from Securities Lending............................................... 5,858 1,335
---------- --------
Total Investment Income.................................................. 119,477 24,274
---------- --------
Expenses
Investment Advisory Services Fees............................................ 7,445 1,293
Accounting & Transfer Agent Fees............................................. 357 132
Custodian Fees............................................................... 565 901
Shareholders' Reports........................................................ 19 7
Directors'/Trustees' Fees & Expenses......................................... 46 16
Professional Fees............................................................ 71 59
Other........................................................................ 69 29
---------- --------
Total Expenses........................................................... 8,572 2,437
---------- --------
Net Investment Income (Loss)................................................. 110,905 21,837
---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:.................................................
Investment Securities Sold................................................. 132,766 136,468
Foreign Currency Transactions.............................................. 1,257 368*
Change in Unrealized Appreciation (Depreciation) of:.........................
Investment Securities and Foreign Currency................................. 778,946 130,547
Translation of Foreign Currency Denominated Amounts........................ 338 3
Change in Deferred Thailand Capital Gains Tax................................ -- (519)
---------- --------
Net Realized and Unrealized Gain (Loss)...................................... 913,307 266,867
---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............... $1,024,212 $288,704
========== ========
--------
*Net of foreign capital gain taxes withheld of $212.
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The DFA International The Emerging
Value Series Markets Series
---------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2011 2010 2011 2010
----------- ---------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 110,905 $ 164,482 $ 21,837 $ 48,891
Net Realized Gain (Loss) on:..........................................
Investment Securities Sold.......................................... 132,766 360,748 136,468 160,587
Foreign Currency Transactions....................................... 1,257 (156) 368* 541
Change in Unrealized Appreciation (Depreciation) of:..................
Investment Securities and Foreign Currency.......................... 778,946 182,952 130,547 337,045
Translation of Foreign Currency Denominated Amounts................. 338 537 3 (5)
Change in Deferred Thailand Capital Gains Tax......................... -- -- (519) (2,275)
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations... 1,024,212 708,563 288,704 544,784
---------- ---------- ---------- ----------
Transactions in Interest:
Contributions......................................................... 303,154 611,794 126,062 199,169
Withdrawals........................................................... (117,056) (592,688) (202,230) (323,776)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest............. 186,098 19,106 (76,168) (124,607)
---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets........................... 1,210,310 727,669 212,536 420,177
Net Assets
Beginning of Period................................................... 6,919,633 6,191,964 2,529,493 2,109,316
---------- ---------- ---------- ----------
End of Period......................................................... $8,129,943 $6,919,633 $2,742,029 $2,529,493
========== ========== ========== ==========
--------
*Net of foreign capital gain taxes withheld of $212.
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The DFA International Value Series+
-----------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.................. 14.62%(C) 11.13% 35.41% (47.87)%(C) 17.32% 35.73% 15.61%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $8,129,943 $6,919,633 $6,191,964 $4,700,337 $9,638,721 $7,457,252 $4,367,698
Ratio of Expenses to Average
Net Assets................... 0.23%(B) 0.24% 0.24% 0.23%(B) 0.23% 0.23% 0.27%
Ratio of Net Investment
Income to Average Net Assets. 3.01%(B) 2.55% 3.22% 4.15%(B) 3.04% 3.29% 2.71%
Portfolio Turnover Rate....... 5%(C) 20% 18% 16%(C) 16% 8% 10%
-----------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series
-----------------------------------------------------------------------------------------
Period
Six Months Year Year Dec. 1, Year Year Year
Ended Ended Ended 2007 to Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Nov. 30, Nov. 30, Nov. 30,
2011 2010 2009 2008 2007 2006 2005
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return.................. 11.76%(C) 27.04% 53.99% (48.15)%(C) 42.62% 31.87% 31.23%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $2,742,029 $2,529,493 $2,109,316 $1,624,524 $3,707,790 $2,414,971 $1,852,565
Ratio of Expenses to Average
Net Assets................... 0.19%(B) 0.19% 0.20% 0.18%(B) 0.19% 0.20% 0.27%
Ratio of Net Investment
Income to Average Net Assets. 1.70%(B) 2.18% 2.57% 3.00%(B) 2.52% 2.54% 3.70%
Portfolio Turnover Rate....... 6%(C) 12% 14% 19%(C) 7% 11% 9%
-----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
29
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven investment portfolios, of which two The DFA
International Value Series and The Emerging Markets Series (the "Series") are
presented in this report.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. Security Valuation: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series value the securities at the mean of the most recent quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Generally, securities issued by open-end
investment companies are valued using their respective net asset values or
public offering prices, as appropriate, for purchase orders placed at the close
of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. These securities are generally categorized as
Level 2 in the hierarchy. Fair value pricing may also be used if events that
have a significant effect on the value of an investment (as determined in the
discretion of the Investment Committee of the Advisor) occur before the net
asset value is calculated. When
30
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.
The Series will also fair value price in the circumstances described below.
Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally 11:00 p.m. PT), which is fourteen hours prior to the
close of the NYSE (normally 1:00 p.m. PT) and the time that the net asset value
of the International Series is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series 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 International 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, the Board of
Directors/Trustees of the International Series 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 Series utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). The fair
value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of the International Series. When the International Series uses
fair value pricing, the values assigned to the International Series' foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
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.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2011.
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
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates, and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Series do not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of all or a
portion of their total fees earned as a Trustee. These deferred amounts may be
treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
31
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of agreed
upon years; or quarterly installments over a period of agreed upon years. Each
Trustee shall have the right in a notice of election to defer compensation (the
"Notice") to elect to defer the receipt of the Trustee's deferred compensation
until a date specified by such Trustee in the Notice, which date may not be
sooner than the earlier of: (i) the first business day of January following the
year in which such Trustee ceases to be a member of the Board of the Fund; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to become a
member of the Board of the Fund (unless the Trustee files an amended Notice
selecting a different distribution date). As of April 30, 2011, none of the
Trustees have requested or received a distribution of proceeds of a deferred
fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimate the character of distributions
received that may be considered return of capital distributions. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Directors/Trustees, generally based on average
net assets.
The Series 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 Series 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 of foreign
investors. In addition, if there is a deterioration in a country's balance of
payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
The Emerging Markets Series investments in Thailand are subject to a 15%
governmental capital gains tax. Such taxes are due upon sale of individual
securities. The Emerging Markets Series accrues for taxes on the capital gains
throughout the holding period based on the unrealized gain of the underlying
securities. The Emerging Markets Series is also subject to a 15% governmental
capital gains tax on short-term capital gains for investments in India. Such
taxes are due upon sale of individual securities. The taxes for the capital
gains are accrued when the capital gains are earned.
C. Investment Advisor:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended April 30,
2011, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.20% and 0.10% of average
daily net assets for The DFA International Value Series and The Emerging
Markets Series, respectively.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Funds; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2011, the total
related amounts paid by the Trust to the CCO were $42 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
32
D. Deferred Compensation:
At April 30, 2011, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
The DFA International Value Series $199
The Emerging Markets Series 68
E. Purchases and Sales of Securities:
For the six months ended April 30, 2011, the Series made the following
purchases and sales of investment securities, other than short-term investments
and U.S. government securities (amounts in thousands):
Purchases Sales
--------- --------
The DFA International Value Series. $651,422 $376,563
The Emerging Markets Series........ 157,324 227,516
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
Some of the Series' investments are in securities considered to be "passive
foreign investment companies" for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for federal income tax
purposes. At October 31, 2010, The Emerging Markets Series had cumulative
unrealized appreciation (depreciation) (mark to market) of $462 (in thousands)
to be included in distributable net investment income for federal tax purposes.
For the year ended October 31, 2010, realized gains on the sale of passive
foreign investment companies totaling $0 (in thousands) have been reclassified
from accumulated net realized gains to accumulated net investment income for
federal tax purposes.
At April 30, 2011, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------- ------------ -------------- --------------
The DFA International Value Series. $7,369,966 $2,452,488 $(95,678) $2,356,810
The Emerging Markets Series........ 1,415,979 1,520,666 (18,583) $1,502,083
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Series' tax
positions and has concluded that no provision for income tax is required in any
Series' financial statements. No Series is aware of any tax positions for which
it is reasonably possible that the total amounts of unrecognized tax benefits
will significantly change in the next six months. The Series' federal tax
returns for the prior three fiscal years remain subject to examination by the
Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
33
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Repurchase Agreements: The Series may purchase certain U.S. Government
securities subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on April 29, 2011.
2. Foreign Market Risks: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities by
the Series may be inhibited.
Derivative Financial Instruments:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a fund uses derivatives, how derivatives are accounted
for and how derivative instruments affect a fund's results of operations and
financial position. Summarized below are the specific types of derivative
instruments used by the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Series deposits cash or pledges U.S. Government securities to a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Series as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Series 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 entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
34
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period.
At April 30, 2011, the Series had no outstanding futures contracts.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, has entered
into an amended and restated $250 million unsecured discretionary line of
credit effective July 8, 2009 with PNC bank, an affiliate of its domestic
custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $250 million, as long as total
borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on June 21,
2011; however, PNC Bank is expected to extend the term of the line of credit to
June 30, 2011. The Trust, together with other Dimensional-advised portfolios,
is currently negotiating a new $250 million unsecured discretionary line of
credit with The Bank of New York Mellon, an affiliate of its domestic custodian
bank, to replace the existing line of credit. The Trust anticipates the new
line of credit will have substantially the same terms and conditions as the
existing line of credit. There were no borrowing by the Series under this line
of credit during the six months ended April 30, 2011.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 15, 2011 with its international custodian bank. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed to by
the parties at the time of borrowing. There is no commitment fee on the unused
portion of the line of credit. The agreement for the line of credit expires on
January 13, 2012.
For the six months ended April 30, 2011, borrowings under this line of
credit by the Series were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
The DFA International Value Series. 0.91% $1,607 5 -- $ 4,688
The Emerging Markets Series........ 0.91% 4,846 29 $ 4 15,798
*Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2011 that each Series' available
line of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2011.
I. Securities Lending:
As of April 30, 2011, some of the Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. In addition,
The Emerging Markets Series received non-cash collateral with a market value of
$91,717 (in thousands). Each Series invests the cash collateral, as described
below, and records a liability for the return of the collateral, during the
period the securities are on loan. Loans of securities are expected at all
times to be secured by collateral equal to at least (i) 100% of the current
market value of the loaned securities with respect to securities of the U.S.
government or its agencies, (ii) 102% of the current market value of the loaned
securities with respect to U.S. securities, and (iii) 105% of the current
market value of the loaned securities with respect to foreign securities.
However, daily market fluctuations could cause the Series' collateral to be
lower or higher than the expected thresholds. If this were to occur, the
collateral would be adjusted the next business day to ensure adequate
collateralization. In the event of default or bankruptcy by the other party to
the agreement, realization and/or retention
35
of the collateral may be subject to legal proceedings. If the borrower fails to
return loaned securities, and cash collateral being maintained by the borrower
is insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loan securities in The DFA Short
Term Investment Fund LP (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05%of the average daily net assets of the Money Market
Series. Each Series also may invest in cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securites. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures in the roll forward of activity in Level 3 fair value
measurements effective for interim and annual reporting periods beginning after
December 15, 2010. Management is currently evaluating the impact ASU
No. 2010-06 will have on its financial statement disclosures.
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")". ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
L. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of all proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
36
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
37
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (512) 306-7400. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dimensional.com and reflects the twelve-month period beginning
July 1st and ending June 30th.
38
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 17, 2010 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements and the sub-advisory
agreements for each series (collectively, the "Funds"). Dimensional Fund
Advisors Ltd. and DFA Australia Limited each serve as a sub-advisor to the
Funds. (The investment management agreements and the sub-advisory agreements
are referred to as the "Advisory Agreements," and the Advisor and sub-advisors
are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper, Inc. (the
"Lipper Reports"), and issues related to the continuation of the Advisory
Agreements. Also in advance of the Meeting, management provided additional
materials to address and respond to questions that the Independent Board
Members posed after their review and analysis of materials provided by the
Advisor and the Lipper Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Lipper
Reports, which compared the performance of each Fund with other funds in its
respective peer group and peer universe. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board noted that the Advisor's investment style
and methodologies in managing the Funds are not designed to track traditional
indexes.As a result, it is expected that certain Funds will underperform their
Lipper-designated peer funds and that reporting results will diverge from
market indexes, while other Funds may outperform their Lipper-designated peer
funds and market indexes for the same periods. The Board determined, among
other things, that the performance of each Fund was reasonable as compared with
relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
39
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing the Funds and other "non-1940 Act registered" investment vehicles.
Upon closely examining the Advisor's profitability, the Board concluded, among
other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
40
LOGO DFA043011-011S
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant.
ITEM 6. INVESTMENTS.
(a) Please see schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each master fund in
which a series of the Registrant invests that provided a summary schedule of
portfolio holdings in a report to stockholders included under Item 1 in lieu of
a complete schedule of investments. The schedules of investments for the
following series are provided below:
Name of Entity for which Schedule of Relationship to Series of the
Investments is Provided Registrant
-----------------------------------------------------------------------------
U.S. Large Company Portfolio Series of Registrant
-----------------------------------------------------------------------------
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II, U.S. Large Cap Value
Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio
-----------------------------------------------------------------------------
The DFA International Value Series Master fund for DFA International
Value Portfolio, DFA International
Value Portfolio II, DFA International
Value Portfolio III and DFA
International Value Portfolio IV
-----------------------------------------------------------------------------
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
-----------------------------------------------------------------------------
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments
Investment Abbreviations
ADR American Depository Receipt
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GDR Global Depository Receipt
NVDR Non-Voting Depository Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Security Valuation Note within the Notes to Schedules of Investments.
++ Securities have generally been fair valued. See Security Valuation Note within the
Notes to Schedules of Investments.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from securities on loan.
.. Security is being fair valued as of April 30, 2011.
-- Amounts designated as -- are either zero or rounded to zero.
(S) Affiliated Fund.
## Par amount of collateral is a part of a pooled collateral facility. Value is indicative
of the value allocated to this Portfolio/Series as a part of this facility.
1
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value+
COMMON STOCKS -- (95.3%)....................
Consumer Discretionary -- (10.1%)...........
#Abercrombie & Fitch Co.................. 28,774 $ 2,037,199
*Amazon.com, Inc......................... 117,505 23,089,733
*Apollo Group, Inc. Class A.............. 40,600 1,625,218
#*AutoNation, Inc......................... 21,141 716,891
*AutoZone, Inc........................... 8,810 2,487,768
*Bed Bath & Beyond, Inc.................. 84,010 4,714,641
#Best Buy Co., Inc....................... 107,904 3,368,763
*Big Lots, Inc........................... 24,889 1,023,187
Cablevision Systems Corp................ 76,701 2,702,176
*CarMax, Inc............................. 74,387 2,581,229
Carnival Corp........................... 142,330 5,418,503
CBS Corp. Class B....................... 221,756 5,592,686
Coach, Inc.............................. 97,546 5,834,226
Comcast Corp. Class A................... 915,683 24,027,522
Darden Restaurants, Inc................. 45,542 2,139,108
DeVry, Inc.............................. 20,324 1,075,140
*DIRECTV Class A......................... 261,700 12,716,003
*Discovery Communications, Inc. Class A.. 92,859 4,109,939
DR Horton, Inc.......................... 92,677 1,152,902
Expedia, Inc............................ 65,981 1,651,504
Family Dollar Stores, Inc............... 41,682 2,259,581
*Ford Motor Co........................... 1,247,529 19,299,274
Fortune Brands, Inc..................... 50,598 3,292,918
#*GameStop Corp. Class A.................. 49,924 1,282,048
Gannett Co., Inc........................ 79,048 1,190,463
Gap, Inc................................ 143,856 3,343,213
Genuine Parts Co........................ 51,995 2,792,132
*Goodyear Tire & Rubber Co............... 80,133 1,454,414
#H&R Block, Inc.......................... 100,671 1,740,602
Harley-Davidson, Inc.................... 77,684 2,894,506
Harman International Industries, Inc.... 22,977 1,115,074
Hasbro, Inc............................. 45,195 2,116,934
Home Depot, Inc......................... 540,479 20,073,390
International Game Technology........... 98,544 1,743,243
Interpublic Group of Cos., Inc. (The)... 161,337 1,895,710
J.C. Penney Co., Inc.................... 78,063 3,001,522
Johnson Controls, Inc................... 223,387 9,161,101
Kohl's Corp............................. 96,435 5,083,089
Leggett & Platt, Inc.................... 48,283 1,269,360
#Lennar Corp. Class A.................... 52,997 1,006,413
Limited Brands, Inc..................... 87,235 3,590,593
Lowe's Cos., Inc........................ 455,122 11,946,952
Macy's, Inc............................. 139,603 3,337,908
#Marriott International, Inc. Class A.... 95,863 3,383,964
Mattel, Inc............................. 114,994 3,072,640
McDonald's Corp......................... 344,077 26,944,670
McGraw-Hill Cos., Inc................... 101,141 4,093,176
#*Netflix, Inc............................ 14,478 3,368,596
Newell Rubbermaid, Inc.................. 95,839 1,826,691
News Corp. Class A...................... 753,169 13,421,472
NIKE, Inc. Class B...................... 126,245 10,392,488
#Nordstrom, Inc.......................... 55,360 2,632,368
Omnicom Group, Inc...................... 93,680 4,608,119
*O'Reilly Automotive, Inc................ 46,544 2,748,889
Polo Ralph Lauren Corp.................. 21,571 2,820,840
*Priceline.com, Inc...................... 16,210 8,867,032
*Pulte Group, Inc........................ 110,866 901,341
#RadioShack Corp......................... 34,892 551,643
2
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
Consumer Discretionary -- (Continued)
Ross Stores, Inc............................ 39,274 $ 2,894,101
Scripps Networks Interactive, Inc........... 29,876 1,536,224
#*Sears Holdings Corp......................... 14,366 1,235,045
Snap-On, Inc................................ 19,222 1,187,343
Stanley Black & Decker, Inc................. 55,144 4,006,212
Staples, Inc................................ 237,278 5,016,057
Starbucks Corp.............................. 246,029 8,903,790
Starwood Hotels & Resorts Worldwide, Inc.... 63,376 3,775,308
Target Corp................................. 233,524 11,466,028
Tiffany & Co................................ 41,689 2,894,884
Time Warner Cable, Inc...................... 113,248 8,848,066
Time Warner, Inc............................ 360,414 13,645,274
TJX Cos., Inc. (The)........................ 130,544 6,999,769
*Urban Outfitters, Inc....................... 42,199 1,327,581
V.F. Corp................................... 28,549 2,870,887
Viacom, Inc. Class B........................ 196,879 10,072,330
Walt Disney Co. (The)....................... 626,308 26,993,875
#Washington Post Co. Class B................. 1,748 761,953
#Whirlpool Corp.............................. 25,072 2,160,705
Wyndham Worldwide Corp...................... 57,141 1,977,650
Wynn Resorts, Ltd........................... 25,071 3,689,198
Yum! Brands, Inc............................ 154,163 8,269,303
------------
Total Consumer Discretionary.................... 433,120,290
------------
Consumer Staples -- (9.9%)......................
Altria Group, Inc........................... 689,932 18,517,775
Archer-Daniels-Midland Co................... 210,181 7,780,901
Avon Products, Inc.......................... 141,739 4,164,292
#Brown-Forman Corp. Class B.................. 33,996 2,442,953
#Campbell Soup Co............................ 60,198 2,022,051
#Clorox Co................................... 45,384 3,161,449
Coca-Cola Co. (The)......................... 756,660 51,044,284
Coca-Cola Enterprises, Inc.................. 108,889 3,093,536
Colgate-Palmolive Co........................ 162,877 13,738,675
ConAgra, Inc................................ 143,698 3,513,416
*Constellation Brands, Inc. Class A.......... 58,026 1,299,202
Costco Wholesale Corp....................... 143,965 11,649,648
CVS Caremark Corp........................... 451,220 16,352,213
*Dean Foods Co............................... 60,396 675,831
Dr. Pepper Snapple Group, Inc............... 73,866 2,895,547
Estee Lauder Cos., Inc...................... 37,764 3,663,108
General Mills, Inc.......................... 209,689 8,089,802
H.J. Heinz Co............................... 106,136 5,437,347
Hershey Co. (The)........................... 50,975 2,941,767
#Hormel Foods Corp........................... 45,660 1,342,861
J.M. Smucker Co............................. 39,264 2,947,548
Kellogg Co.................................. 83,082 4,758,106
Kimberly-Clark Corp......................... 133,363 8,809,960
Kraft Foods, Inc. Class A................... 576,792 19,368,675
Kroger Co. (The)............................ 209,735 5,098,658
Lorillard, Inc.............................. 48,003 5,112,320
McCormick & Co., Inc. Non-Voting............ 43,847 2,153,765
Mead Johnson Nutrition Co................... 67,473 4,512,594
Molson Coors Brewing Co. Class B............ 52,379 2,553,476
PepsiCo, Inc................................ 523,225 36,044,970
Philip Morris International, Inc............ 592,690 41,156,394
Procter & Gamble Co. (The).................. 923,692 59,947,611
Reynolds American, Inc...................... 111,535 4,139,064
Safeway, Inc................................ 121,431 2,951,988
Sara Lee Corp............................... 205,281 3,941,395
#SUPERVALU, Inc.............................. 69,976 787,930
3
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
Consumer Staples -- (Continued)
Sysco Corp............................ 192,176 $ 5,555,808
Tyson Foods, Inc. Class A............. 98,354 1,957,245
Walgreen Co........................... 304,210 12,995,851
Wal-Mart Stores, Inc.................. 646,105 35,522,853
Whole Foods Market, Inc............... 48,655 3,053,588
------------
Total Consumer Staples.................... 427,196,457
------------
Energy -- (12.4%).........................
Anadarko Petroleum Corp............... 163,665 12,919,715
Apache Corp........................... 126,231 16,835,428
Baker Hughes, Inc..................... 143,218 11,086,505
Cabot Oil & Gas Corp.................. 34,390 1,935,469
*Cameron International Corp............ 80,722 4,255,664
Chesapeake Energy Corp................ 216,886 7,302,552
Chevron Corp.......................... 662,052 72,454,971
ConocoPhillips........................ 471,494 37,215,021
Consol Energy, Inc.................... 74,612 4,035,763
*Denbury Resources, Inc................ 132,256 2,985,018
Devon Energy Corp..................... 140,824 12,814,984
#Diamond Offshore Drilling, Inc........ 22,926 1,739,396
El Paso Corp.......................... 232,426 4,511,389
EOG Resources, Inc.................... 88,343 9,974,808
Exxon Mobil Corp...................... 1,635,334 143,909,392
*FMC Technologies, Inc................. 79,246 3,683,354
Halliburton Co........................ 301,223 15,205,737
Helmerich & Payne, Inc................ 35,069 2,326,477
Hess Corp............................. 99,116 8,520,011
Marathon Oil Corp..................... 234,249 12,658,816
Massey Energy Co...................... 34,119 2,328,281
Murphy Oil Corp....................... 63,603 4,927,960
*Nabors Industries, Ltd................ 94,370 2,891,497
National-Oilwell, Inc................. 138,868 10,649,787
*Newfield Exploration Co............... 44,304 3,136,723
#Noble Corp............................ 83,201 3,578,475
Noble Energy, Inc..................... 57,961 5,579,905
Occidental Petroleum Corp............. 268,076 30,638,406
Peabody Energy Corp................... 89,230 5,962,349
#Pioneer Natural Resources Co.......... 38,406 3,926,245
QEP Resources, Inc.................... 58,145 2,484,536
Range Resources Corp.................. 52,930 2,987,898
*Rowan Cos., Inc....................... 41,663 1,737,347
Schlumberger, Ltd..................... 448,853 40,284,557
*Southwestern Energy Co................ 114,688 5,030,216
#Spectra Energy Corp................... 213,912 6,212,004
Sunoco, Inc........................... 39,781 1,697,057
*Tesoro Petroleum Corp................. 47,217 1,280,525
Valero Energy Corp.................... 187,645 5,310,354
Williams Cos., Inc. (The)............. 193,330 6,412,756
------------
Total Energy.............................. 533,427,348
------------
Financials -- (13.3%).....................
ACE, Ltd.............................. 110,661 7,441,952
Aflac, Inc............................ 155,073 8,713,552
Allstate Corp. (The).................. 174,717 5,912,423
American Express Co................... 345,000 16,932,600
#*American International Group, Inc..... 47,363 1,475,357
Ameriprise Financial, Inc............. 81,298 5,045,354
AON Corp.............................. 109,852 5,730,979
Assurant, Inc......................... 32,964 1,308,671
Bank of America Corp.................. 3,337,932 40,989,805
Bank of New York Mellon Corp. (The)... 409,552 11,860,626
4
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
Financials -- (Continued)
BB&T Corp................................. 229,079 $ 6,166,807
*Berkshire Hathaway, Inc................... 570,860 47,552,638
*BlackRock, Inc............................ 31,527 6,177,400
Capital One Financial Corp................ 150,832 8,255,035
*CB Richard Ellis Group, Inc............... 96,045 2,565,362
Charles Schwab Corp. (The)................ 329,386 6,031,058
#Chubb Corp................................ 97,362 6,347,029
#Cincinnati Financial Corp................. 53,757 1,703,022
*Citigroup, Inc............................ 9,582,606 43,984,162
CME Group, Inc............................ 22,102 6,537,109
Comerica, Inc............................. 58,297 2,211,205
Discover Financial Services............... 179,821 4,466,754
*E*Trade Financial Corp.................... 72,967 1,184,984
#Federated Investors, Inc. Class B......... 30,540 787,321
Fifth Third Bancorp....................... 302,680 4,016,564
#First Horizon National Corp............... 86,857 951,084
Franklin Resources, Inc................... 47,818 6,174,260
*Genworth Financial, Inc. Class A.......... 161,564 1,969,465
Goldman Sachs Group, Inc. (The)........... 171,662 25,922,679
Hartford Financial Services Group, Inc.... 146,672 4,249,088
Hudson City Bancorp, Inc.................. 173,710 1,655,456
Huntington Bancshares, Inc................ 284,727 1,933,296
*IntercontinentalExchange, Inc............. 24,202 2,912,711
Invesco, Ltd.............................. 151,833 3,776,087
#*Janus Capital Group, Inc.................. 61,370 746,873
JPMorgan Chase & Co....................... 1,313,752 59,946,504
KeyCorp................................... 313,666 2,719,484
Legg Mason, Inc........................... 50,207 1,865,190
Leucadia National Corp.................... 65,270 2,523,338
Lincoln National Corp..................... 104,150 3,252,604
Loews Corp................................ 103,694 4,589,496
M&T Bank Corp............................. 39,652 3,504,047
Marsh & McLennan Cos., Inc................ 179,439 5,433,413
Marshall & Ilsley Corp.................... 174,832 1,428,377
MetLife, Inc.............................. 347,988 16,282,359
Moody's Corp.............................. 65,820 2,576,195
Morgan Stanley............................ 509,746 13,329,858
*NASDAQ OMX Group, Inc. (The).............. 49,390 1,338,469
Northern Trust Corp....................... 79,844 3,991,402
NYSE Euronext, Inc........................ 86,143 3,450,027
People's United Financial, Inc............ 119,387 1,634,408
#Plum Creek Timber Co., Inc................ 53,376 2,299,972
PNC Financial Services Group, Inc......... 173,311 10,804,208
Principal Financial Group, Inc............ 105,804 3,570,885
Progressive Corp.......................... 217,678 4,775,855
Prudential Financial, Inc................. 160,282 10,165,084
Regions Financial Corp.................... 414,804 3,044,661
*SLM Corp.................................. 173,774 2,882,911
State Street Corp......................... 165,621 7,709,658
SunTrust Banks, Inc....................... 176,687 4,980,807
T. Rowe Price Group, Inc.................. 85,416 5,487,978
Torchmark Corp............................ 25,699 1,719,777
Travelers Cos., Inc. (The)................ 142,160 8,995,885
U.S. Bancorp.............................. 633,853 16,366,084
Unum Group................................ 102,132 2,704,455
Wells Fargo & Co.......................... 1,737,400 50,575,714
Xl Group P.L.C............................ 102,570 2,504,759
Zions Bancorporation...................... 60,359 1,475,778
------------
Total Financials.............................. 571,618,410
------------
5
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
Health Care -- (10.8%)....................
Abbott Laboratories................... 510,389 $ 26,560,644
Aetna, Inc............................ 126,807 5,247,274
*Agilent Technologies, Inc............. 113,820 5,680,756
Allergan, Inc......................... 100,812 8,020,603
AmerisourceBergen Corp................ 90,396 3,673,693
*Amgen, Inc............................ 307,521 17,482,569
Bard (C.R.), Inc...................... 28,052 2,994,551
Baxter International, Inc............. 191,093 10,873,192
Becton Dickinson & Co................. 72,923 6,267,003
*Biogen Idec, Inc...................... 79,452 7,734,652
*Boston Scientific Corp................ 502,403 3,762,998
Bristol-Myers Squibb Co............... 561,456 15,776,914
Cardinal Health, Inc.................. 115,347 5,039,510
*CareFusion Corp....................... 73,571 2,160,780
*Celgene Corp.......................... 153,323 9,027,658
#*Cephalon, Inc......................... 24,976 1,918,157
#*Cerner Corp........................... 23,649 2,842,137
Cigna Corp............................ 89,452 4,189,037
*Coventry Health Care, Inc............. 49,395 1,593,977
Covidien P.L.C........................ 162,870 9,070,230
*DaVita, Inc........................... 31,661 2,789,018
DENTSPLY International, Inc........... 46,879 1,759,838
*Edwards Lifesciences Corp............. 37,877 3,270,679
Eli Lilly & Co........................ 335,980 12,434,620
*Express Scripts, Inc.................. 174,227 9,885,640
*Forest Laboratories, Inc.............. 94,352 3,128,712
*Gilead Sciences, Inc.................. 262,276 10,186,800
*Hospira, Inc.......................... 54,959 3,117,824
*Humana, Inc........................... 55,586 4,231,206
#*Intuitive Surgical, Inc............... 12,818 4,482,455
Johnson & Johnson..................... 902,067 59,283,843
*Laboratory Corp. of America Holdings.. 32,980 3,181,581
*Life Technologies Corp................ 59,364 3,276,893
McKesson Corp......................... 83,854 6,960,721
*Medco Health Solutions, Inc........... 133,389 7,913,969
Medtronic, Inc........................ 352,678 14,724,306
Merck & Co., Inc...................... 1,016,793 36,553,708
*Mylan, Inc............................ 144,140 3,591,969
Patterson Cos., Inc................... 31,578 1,096,072
PerkinElmer, Inc...................... 37,392 1,057,072
Pfizer, Inc........................... 2,636,804 55,267,412
Quest Diagnostics, Inc................ 51,378 2,896,692
St. Jude Medical, Inc................. 107,356 5,737,105
Stryker Corp.......................... 110,967 6,547,053
*Tenet Healthcare Corp................. 160,264 1,110,630
*Thermo Fisher Scientific, Inc......... 128,821 7,727,972
UnitedHealth Group, Inc............... 360,698 17,757,163
#*Varian Medical Systems, Inc........... 39,592 2,779,358
*Waters Corp........................... 30,122 2,951,956
*Watson Pharmaceuticals, Inc........... 41,497 2,573,644
WellPoint, Inc........................ 123,843 9,509,904
*Zimmer Holdings, Inc.................. 63,362 4,134,370
------------
Total Health Care......................... 461,836,520
------------
Industrials -- (10.7%)....................
3M Co................................. 234,752 22,820,242
Avery Dennison Corp................... 35,247 1,471,210
Boeing Co. (The)...................... 242,829 19,372,898
C.H. Robinson Worldwide, Inc.......... 54,765 4,391,058
Caterpillar, Inc...................... 210,682 24,314,810
Cintas Corp........................... 41,692 1,294,537
6
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
Industrials -- (Continued).........................
CSX Corp....................................... 122,148 $ 9,611,826
Cummins, Inc................................... 65,242 7,840,784
Danaher Corp................................... 178,265 9,847,359
Deere & Co..................................... 138,858 13,538,655
Dover Corp..................................... 61,522 4,185,957
Dun & Bradstreet Corp. (The)................... 16,394 1,347,259
Eaton Corp..................................... 112,263 6,009,438
Emerson Electric Co............................ 248,705 15,111,316
Equifax, Inc................................... 40,479 1,519,177
Expeditors International of Washington, Inc.... 69,982 3,797,923
#Fastenal Co.................................... 48,625 3,262,251
FedEx Corp..................................... 103,893 9,939,443
Flowserve Corp................................. 18,379 2,327,149
Fluor Corp..................................... 58,226 4,072,326
General Dynamics Corp.......................... 122,917 8,950,816
General Electric Co............................ 3,501,952 71,614,918
Goodrich Corp.................................. 41,425 3,660,727
Honeywell International, Inc................... 258,602 15,834,200
Illinois Tool Works, Inc....................... 164,377 9,601,261
Ingersoll-Rand P.L.C........................... 108,694 5,489,047
#Iron Mountain, Inc............................. 66,024 2,102,864
ITT Industries, Inc............................ 60,584 3,501,149
#*Jacobs Engineering Group, Inc.................. 41,681 2,067,794
*Joy Global, Inc................................ 34,558 3,488,630
L-3 Communications Holdings, Inc............... 37,330 2,993,493
#Lockheed Martin Corp........................... 94,613 7,498,080
#Masco Corp..................................... 118,105 1,584,969
*Monster Worldwide, Inc......................... 42,941 704,662
Norfolk Southern Corp.......................... 117,444 8,770,718
Northrop Grumman Corp.......................... 96,074 6,111,267
PACCAR, Inc.................................... 120,485 6,398,958
Pall Corp...................................... 38,082 2,225,512
Parker Hannifin Corp........................... 53,388 5,035,556
#Pitney Bowes, Inc.............................. 67,208 1,650,628
Precision Castparts Corp....................... 47,310 7,310,341
*Quanta Services, Inc........................... 71,079 1,540,993
R. R. Donnelley & Sons Co...................... 68,113 1,284,611
Raytheon Co.................................... 118,626 5,759,292
Republic Services, Inc......................... 101,330 3,204,055
#Robert Half International, Inc................. 48,250 1,463,422
Rockwell Automation, Inc....................... 46,945 4,090,318
Rockwell Collins, Inc.......................... 51,146 3,227,313
#Roper Industries, Inc.......................... 31,442 2,719,419
Ryder System, Inc.............................. 16,895 903,882
Southwest Airlines Co.......................... 246,544 2,896,892
*Stericycle, Inc................................ 28,163 2,570,719
#Textron, Inc................................... 91,033 2,375,961
Tyco International, Ltd........................ 156,243 7,615,284
Union Pacific Corp............................. 161,931 16,755,001
United Parcel Service, Inc..................... 325,549 24,406,409
United Technologies Corp....................... 303,564 27,193,263
W.W. Grainger, Inc............................. 19,238 2,916,481
Waste Management, Inc.......................... 156,815 6,187,920
------------
Total Industrials.................................. 459,782,443
------------
Information Technology -- (17.2%)..................
*Adobe Systems, Inc............................. 166,915 5,599,998
#*Advanced Micro Devices, Inc.................... 189,829 1,727,444
*Akamai Technologies, Inc....................... 61,722 2,125,706
Altera Corp.................................... 105,522 5,138,921
Amphenol Corp.................................. 58,023 3,244,066
7
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
Information Technology -- (Continued)..............
Analog Devices, Inc............................ 98,811 $ 3,983,071
*Apple, Inc..................................... 303,835 105,804,462
Applied Materials, Inc......................... 435,137 6,827,300
*Autodesk, Inc.................................. 75,491 3,395,585
Automatic Data Processing, Inc................. 163,717 8,898,019
*BMC Software, Inc.............................. 58,909 2,958,999
*Broadcom Corp.................................. 156,841 5,517,666
CA, Inc........................................ 126,161 3,102,299
Cisco Sytems, Inc.............................. 1,823,119 32,013,970
*Citrix Systems, Inc............................ 61,876 5,218,622
*Cognizant Technology Solutions Corp............ 100,329 8,317,274
Computer Sciences Corp......................... 51,148 2,607,525
*Compuware Corp................................. 72,147 817,426
*Corning, Inc................................... 516,366 10,812,704
*Dell, Inc...................................... 553,847 8,590,167
*eBay, Inc...................................... 376,815 12,962,436
*Electronic Arts, Inc........................... 110,257 2,224,986
*EMC Corp....................................... 682,217 19,334,030
*F5 Networks, Inc............................... 26,630 2,699,217
Fidelity National Information Services, Inc.... 87,807 2,906,412
#*First Solar, Inc............................... 17,847 2,490,906
*Fiserv, Inc.................................... 48,176 2,953,671
FLIR Systems, Inc.............................. 52,606 1,852,783
*Google, Inc.................................... 82,709 45,001,967
#Harris Corp.................................... 42,192 2,241,661
Hewlett-Packard Co............................. 717,160 28,951,749
Intel Corp..................................... 1,809,929 41,972,254
International Business Machines Corp........... 402,200 68,607,276
*Intuit, Inc.................................... 89,811 4,989,899
Jabil Circuit, Inc............................. 64,657 1,282,795
*JDS Uniphase Corp.............................. 73,950 1,541,118
*Juniper Networks, Inc.......................... 176,416 6,762,025
KLA-Tencor Corp................................ 55,149 2,421,041
*Lexmark International, Inc..................... 25,925 836,081
#Linear Technology Corp......................... 74,818 2,603,666
*LSI Corp....................................... 203,167 1,489,214
MasterCard, Inc. Class A....................... 31,872 8,793,166
*MEMC Electronic Materials, Inc................. 75,956 898,559
#Microchip Technology, Inc...................... 62,141 2,550,267
*Micron Technology, Inc......................... 282,857 3,193,456
Microsoft Corp................................. 2,438,555 63,451,201
#Molex, Inc..................................... 45,566 1,230,282
*Motorola Mobility Holdings, Inc................ 97,045 2,528,993
*Motorola Solutions, Inc........................ 111,046 5,094,790
National Semiconductor Corp.................... 79,528 1,918,215
*NetApp, Inc.................................... 121,323 6,306,370
*Novellus Systems, Inc.......................... 29,745 954,814
*Nvidia Corp.................................... 191,612 3,832,240
Oracle Corp.................................... 1,283,032 46,253,304
Paychex, Inc................................... 106,165 3,472,657
QUALCOMM, Inc.................................. 542,103 30,813,135
*Red Hat, Inc................................... 63,638 3,020,896
*SAIC, Inc...................................... 96,873 1,685,590
#*Salesforce.com, Inc............................ 39,004 5,405,954
*Sandisk Corp................................... 78,063 3,836,016
*Symantec Corp.................................. 251,718 4,946,259
Tellabs, Inc................................... 119,594 588,402
*Teradata Corp.................................. 55,472 3,101,994
*Teradyne, Inc.................................. 61,127 984,145
Texas Instruments, Inc......................... 386,540 13,733,766
Total System Services, Inc..................... 53,580 1,009,983
8
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
Information Technology -- (Continued)..............
VeriSign, Inc.................................. 57,204 $ 2,114,260
Visa, Inc...................................... 159,829 12,485,841
*Western Digital Corp........................... 76,403 3,040,839
Western Union Co. (The)........................ 213,305 4,532,731
Xerox Corp..................................... 461,532 4,656,858
#Xilinx, Inc.................................... 86,097 3,001,341
*Yahoo!, Inc.................................... 431,841 7,665,178
------------
Total Information Technology....................... 739,927,913
------------
Materials -- (3.6%)................................
Air Products & Chemicals, Inc.................. 70,880 6,770,458
Airgas, Inc.................................... 24,714 1,716,387
#AK Steel Holding Corp.......................... 36,361 590,866
Alcoa, Inc..................................... 350,472 5,958,024
#Allegheny Technologies, Inc.................... 32,553 2,343,816
Ball Corp...................................... 55,801 2,081,935
Bemis Co., Inc................................. 35,303 1,106,396
CF Industries Holdings, Inc.................... 23,514 3,328,407
Cliffs Natural Resources, Inc.................. 44,677 4,187,128
Dow Chemical Co. (The)......................... 385,178 15,788,446
E.I. du Pont de Nemours & Co................... 303,953 17,261,491
Eastman Chemical Co............................ 23,333 2,502,464
Ecolab, Inc.................................... 76,732 4,048,380
FMC Corp....................................... 23,576 2,081,289
Freeport-McMoRan Copper & Gold, Inc. Class B... 312,153 17,177,780
International Flavors & Fragrances, Inc........ 26,468 1,681,247
International Paper Co......................... 145,025 4,478,372
MeadWestavco Corp.............................. 55,527 1,870,705
Monsanto Co.................................... 177,003 12,043,284
Newmont Mining Corp............................ 162,679 9,534,616
Nucor Corp..................................... 104,183 4,892,434
*Owens-Illinois, Inc............................ 53,993 1,601,972
PPG Industries, Inc............................ 52,962 5,013,913
Praxair, Inc................................... 100,031 10,645,299
Sealed Air Corp................................ 52,539 1,353,930
#Sherwin-Williams Co............................ 29,356 2,415,705
#Sigma-Aldrich Corp............................. 40,214 2,838,304
*Titanium Metals Corp........................... 29,712 595,131
#United States Steel Corp....................... 47,411 2,261,979
#Vulcan Materials Co............................ 42,563 1,923,848
Weyerhaeuser Co................................ 177,162 4,076,498
------------
Total Materials.................................... 154,170,504
------------
Real Estate Investment Trusts -- (1.4%)............
#Apartment Investment & Management Co. Class A.. 38,960 1,050,362
#AvalonBay Communities, Inc..................... 28,391 3,594,585
#Boston Properties, Inc......................... 47,036 4,916,673
Equity Residential............................. 96,954 5,790,093
#HCP, Inc....................................... 132,252 5,239,824
#Health Care REIT, Inc.......................... 58,088 3,123,392
#Host Marriott Corp............................. 224,403 3,992,129
#Kimco Realty Corp.............................. 134,039 2,619,122
ProLogis....................................... 188,129 3,064,621
Public Storage REIT............................ 46,092 5,407,053
Simon Property Group, Inc...................... 97,939 11,217,933
#Ventas, Inc.................................... 53,731 3,005,175
Vornado Realty Trust........................... 53,908 5,211,825
------------
Total Real Estate Investment Trusts................ 58,232,787
------------
9
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
Telecommunication Services -- (2.8%)......................................
*American Tower Corp................................................... 131,132 $ 6,859,515
AT&T, Inc............................................................. 1,949,576 60,670,805
CenturyLink, Inc...................................................... 196,426 8,010,252
#Frontier Communications Corp.......................................... 327,746 2,710,459
*MetroPCS Communications, Inc.......................................... 87,035 1,464,799
*Sprint Nextel Corp.................................................... 986,200 5,108,516
Verizon Communications, Inc........................................... 932,691 35,237,066
Windstream Corp....................................................... 166,317 2,130,521
--------------
Total Telecommunication Services.......................................... 122,191,933
--------------
Utilities -- (3.1%).......................................................
*AES Corp.............................................................. 218,370 2,891,219
Ameren Corp........................................................... 79,331 2,325,192
American Electric Power Co., Inc...................................... 158,569 5,784,597
CenterPoint Energy, Inc............................................... 140,114 2,606,120
#CMS Energy Corp....................................................... 83,155 1,646,469
Consolidated Edison, Inc.............................................. 96,291 5,018,687
Constellation Energy Group, Inc....................................... 65,900 2,400,078
Dominion Resources, Inc............................................... 191,563 8,892,354
DTE Energy Co......................................................... 55,882 2,823,717
Duke Energy Corp...................................................... 438,348 8,175,190
Edison International, Inc............................................. 107,459 4,219,915
Entergy Corp.......................................................... 59,046 4,116,687
EQT Corp.............................................................. 49,190 2,587,886
Exelon Corp........................................................... 218,281 9,200,544
FirstEnergy Corp...................................................... 137,924 5,511,443
Integrys Energy Group, Inc............................................ 25,727 1,347,066
NextEra Energy, Inc................................................... 138,829 7,853,557
Nicor, Inc............................................................ 15,017 832,392
#NiSource, Inc......................................................... 92,111 1,791,559
Northeast Utilities, Inc.............................................. 58,211 2,072,312
*NRG Energy, Inc....................................................... 81,637 1,975,615
Oneok, Inc............................................................ 35,295 2,468,532
#Pepco Holdings, Inc................................................... 74,231 1,430,431
PG&E Corp............................................................. 130,685 6,021,965
Pinnacle West Capital Corp............................................ 35,876 1,556,660
PPL Corp.............................................................. 159,751 4,381,970
Progress Energy, Inc.................................................. 96,809 4,593,587
Public Service Enterprise Group, Inc.................................. 166,891 5,368,883
#SCANA Corp............................................................ 37,534 1,558,412
Sempra Energy......................................................... 79,318 4,370,422
Southern Co........................................................... 278,882 10,887,553
TECO Energy, Inc...................................................... 70,870 1,365,665
Wisconsin Energy Corp................................................. 77,091 2,406,010
Xcel Energy, Inc...................................................... 159,189 3,873,068
--------------
Total Utilities........................................................... 134,355,757
--------------
TOTAL COMMON STOCKS....................................................... 4,095,860,362
--------------
TEMPORARY CASH INVESTMENTS -- (1.6%)......................................
BlackRock Liquidity Funds Tempcash Portfolio - Institutional Shares... 70,397,322 70,397,322
--------------
10
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares/
Face
Amount
(000)
SECURITIES LENDING COLLATERAL -- (3.1%).............................................................
(S)@DFA Short Term Investment Fund.................................................................. 131,029,372
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $386,657 FNMA 3.500%,
02/01/26, valued at $388,767) to be repurchased at $377,445........................................ $ 377
TOTAL SECURITIES LENDING COLLATERAL.................................................................
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,829,400,719)..............................................................................
Value+
SECURITIES LENDING COLLATERAL -- (3.1%).............................................................
(S)@DFA Short Term Investment Fund.................................................................. $ 131,029,372
@Repurchase Agreement, UBS Securities LLC 0.06%, 05/02/11 (Collateralized by $386,657 FNMA 3.500%,
02/01/26, valued at $388,767) to be repurchased at $377,445........................................ 377,443
--------------
TOTAL SECURITIES LENDING COLLATERAL................................................................. 131,406,815
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,829,400,719).............................................................................. $4,297,664,499
==============
11
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value+
------ -----
COMMON STOCKS -- (95.1%)
Consumer Discretionary -- (15.5%)
Carnival Corp................................. 2,260,335 $ 86,050,953
CBS Corp. Class A............................. 7,136 180,898
CBS Corp. Class B............................. 3,870,469 97,613,228
*Clear Channel Outdoor Holdings, Inc. Class A.. 168,216 2,314,652
Comcast Corp. Class A......................... 11,535,742 302,697,870
Comcast Corp. Special Class A................. 3,843,964 94,369,316
#Dillard's, Inc. Class A....................... 36,224 1,739,476
#DR Horton, Inc................................ 1,298,657 16,155,293
#*Education Management Corp..................... 478 8,862
Foot Locker, Inc.............................. 700,602 15,076,955
Fortune Brands, Inc........................... 742,497 48,321,705
#*GameStop Corp. Class A........................ 462,200 11,869,296
Gannett Co., Inc.............................. 29,720 447,583
*Hyatt Hotels Corp. Class A.................... 7,500 332,325
#J.C. Penney Co., Inc.......................... 1,058,650 40,705,092
Kohl's Corp................................... 7,480 394,271
#Lennar Corp. Class A.......................... 802,616 15,241,678
Lennar Corp. Class B Voting................... 3,891 59,377
*Liberty Media Corp. Interactive Class A....... 3,585,265 62,670,432
#*Liberty Media-Starz Corp. Series A............ 295,430 22,703,796
Macy's, Inc................................... 148,821 3,558,310
#*MGM Resorts International..................... 2,598,118 32,892,174
#*Mohawk Industries, Inc........................ 392,417 23,560,717
#News Corp. Class A............................ 9,024,175 160,810,799
#News Corp. Class B............................ 3,247,295 61,373,876
*Penn National Gaming, Inc..................... 154,328 6,174,663
Phillips-Van Heusen Corp...................... 63,872 4,497,228
#*Pulte Group, Inc.............................. 1,235,184 10,042,046
#*Royal Caribbean Cruises, Ltd.................. 1,043,290 41,543,808
#*Sears Holdings Corp........................... 595,638 51,206,999
Service Corp. International................... 74,205 873,393
*Signet Jewelers, Ltd. ADR..................... 18,531 810,731
Stanley Black & Decker, Inc................... 201,237 14,619,868
#Time Warner Cable, Inc........................ 2,004,056 156,576,895
#Time Warner, Inc.............................. 6,251,359 236,676,452
#*Toll Brothers, Inc............................ 912,316 19,167,759
#Washington Post Co. Class B................... 36,180 15,770,862
Wendy's/Arby's Group, Inc. Class A............ 576,644 2,779,424
#Whirlpool Corp................................ 20,640 1,778,755
#Wyndham Worldwide Corp........................ 879,722 30,447,178
--------------
Total Consumer Discretionary...................... 1,694,114,995
--------------
Consumer Staples -- (7.3%)
Archer-Daniels-Midland Co..................... 2,981,045 110,358,286
#Bunge, Ltd.................................... 436,733 32,947,138
*Constellation Brands, Inc. Class A............ 933,566 20,902,543
#Corn Products International, Inc.............. 260,094 14,331,179
CVS Caremark Corp............................. 6,816,437 247,027,677
J.M. Smucker Co............................... 561,176 42,127,482
Kraft Foods, Inc. Class A..................... 6,193,330 207,972,021
Molson Coors Brewing Co. Class B.............. 798,416 38,922,780
#*Ralcorp Holdings, Inc......................... 219,022 17,039,912
#Safeway, Inc.................................. 513,146 12,474,579
#*Smithfield Foods, Inc......................... 779,971 18,376,117
#Tyson Foods, Inc. Class A..................... 1,926,959 38,346,484
--------------
Total Consumer Staples............................ 800,826,198
--------------
12
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------ -----
Energy -- (16.6%)
Anadarko Petroleum Corp........................ 2,773,608 $ 218,948,616
Cabot Oil & Gas Corp........................... 14,435 812,402
Chesapeake Energy Corp......................... 3,174,634 106,889,927
#Chevron Corp................................... 639,240 69,958,426
ConocoPhillips................................. 5,825,280 459,789,350
*Denbury Resources, Inc......................... 1,002,524 22,626,967
Devon Energy Corp.............................. 53,721 4,888,611
#Helmerich & Payne, Inc......................... 513,387 34,058,094
Hess Corp...................................... 1,453,921 124,979,049
Marathon Oil Corp.............................. 3,514,978 189,949,411
Murphy Oil Corp................................ 481,773 37,327,772
#*Nabors Industries, Ltd......................... 1,329,946 40,749,545
National-Oilwell, Inc.......................... 1,945,893 149,230,534
Noble Energy, Inc.............................. 437,344 42,103,107
#Patterson-UTI Energy, Inc...................... 732,485 22,787,608
#Pioneer Natural Resources Co................... 577,949 59,083,726
*Plains Exploration & Production Co............. 662,929 25,217,819
#*Pride International, Inc....................... 779,980 34,248,922
QEP Resources, Inc............................. 217,827 9,307,748
*Rowan Cos., Inc................................ 591,554 24,667,802
Sunoco, Inc.................................... 612,366 26,123,534
Teekay Corp.................................... 22,078 750,431
#*Tesoro Petroleum Corp.......................... 322,966 8,758,838
#Tidewater, Inc................................. 276,715 16,467,310
*Unit Corp...................................... 5,053 318,440
#Valero Energy Corp............................. 2,742,854 77,622,768
*Weatherford International, Ltd................. 391,596 8,450,642
--------------
Total Energy...................................... 1,816,117,399
--------------
Financials -- (20.3%)
*Allegheny Corp................................. 19,962 6,567,636
#*Allied World Assurance Co. Holdings, Ltd....... 188,355 12,237,424
Allstate Corp. (The)........................... 364,289 12,327,540
Alterra Capital Holdings, Ltd.................. 35,444 779,059
*American Capital, Ltd.......................... 209,626 2,152,859
American Financial Group, Inc.................. 689,393 24,659,588
American National Insurance Co................. 92,565 7,321,892
#Associated Banc-Corp........................... 313,406 4,575,728
Assurant, Inc.................................. 493,401 19,588,020
#Assured Guaranty, Ltd.......................... 88,666 1,507,322
Axis Capital Holdings, Ltd..................... 613,817 21,704,569
Bank of America Corp........................... 21,876,033 268,637,685
Capital One Financial Corp..................... 2,343,277 128,247,550
*Citigroup, Inc................................. 78,417,143 359,934,686
CME Group, Inc................................. 314,577 93,042,439
CNA Financial Corp............................. 1,676,585 52,041,198
#*E*Trade Financial Corp......................... 372,036 6,041,865
#Everest Re Group, Ltd.......................... 225,379 20,536,534
*Genworth Financial, Inc. Class A............... 2,390,330 29,138,123
Hanover Insurance Group, Inc................... 207,879 8,776,651
Hartford Financial Services Group, Inc......... 2,160,202 62,581,052
KeyCorp........................................ 3,548,538 30,765,824
#Legg Mason, Inc................................ 721,237 26,793,955
#Lincoln National Corp.......................... 1,587,360 49,573,253
Loews Corp..................................... 2,466,987 109,188,845
Marshall & Ilsley Corp......................... 2,398,318 19,594,258
#*MBIA, Inc...................................... 51,273 529,137
MetLife, Inc................................... 4,607,955 215,606,214
Morgan Stanley................................. 3,042,449 79,560,041
#*NASDAQ OMX Group, Inc. (The)................... 840,414 22,775,219
#Old Republic International Corp................ 1,432,884 18,154,640
13
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------ -----
Financials -- (Continued)
#PartnerRe, Ltd................................. 136,828 $ 10,995,498
People's United Financial, Inc................. 17,617 241,177
*Popular, Inc................................... 2,230,515 7,026,122
Protective Life Corp........................... 21,172 569,739
#Prudential Financial, Inc...................... 2,197,605 139,372,109
#Regions Financial Corp......................... 5,735,171 42,096,155
#Reinsurance Group of America, Inc.............. 509,512 32,252,110
#SunTrust Banks, Inc............................ 2,563,152 72,255,255
#Transatlantic Holdings, Inc.................... 317,183 15,633,950
#Travelers Cos., Inc. (The)..................... 729,662 46,173,011
#Unum Group..................................... 1,898,589 50,274,637
Validus Holdings, Ltd.......................... 286,998 9,338,915
Wesco Financial Corp........................... 19,766 7,748,272
White Mountains Insurance Group, Ltd........... 33,498 11,975,870
#Xl Group P.L.C................................. 1,339,810 32,718,160
#Zions Bancorporation........................... 839,514 20,526,117
--------------
Total Financials.................................. 2,214,137,903
--------------
Health Care -- (9.5%)
Aetna, Inc..................................... 1,938,699 80,223,365
#*Alere, Inc..................................... 268,703 9,979,629
#*Boston Scientific Corp......................... 5,269,831 39,471,034
*CareFusion Corp................................ 854,180 25,087,267
Cigna Corp..................................... 21,116 988,862
#*Community Health Systems, Inc.................. 428,183 13,158,064
Cooper Cos., Inc............................... 20,654 1,546,985
*Coventry Health Care, Inc...................... 634,603 20,478,639
*Health Net, Inc................................ 20,828 693,572
*Hologic, Inc................................... 1,206,531 26,567,813
*Humana, Inc.................................... 712,843 54,261,609
#Omnicare, Inc.................................. 602,337 18,925,429
PerkinElmer, Inc............................... 350,185 9,899,730
Pfizer, Inc.................................... 14,482,035 303,543,454
#Teleflex, Inc.................................. 87,443 5,509,783
*Thermo Fisher Scientific, Inc.................. 1,994,284 119,637,097
UnitedHealth Group, Inc........................ 2,296,880 113,075,402
WellPoint, Inc................................. 2,580,122 198,127,568
--------------
Total Health Care................................. 1,041,175,302
--------------
Industrials -- (12.6%)
*Aecom Technology Corp.......................... 28,284 771,022
#*AGCO Corp...................................... 87,378 5,031,225
*Armstrong World Industries, Inc................ 31,166 1,394,679
Cintas Corp.................................... 42,020 1,304,721
Covanta Holding Corp........................... 233,457 4,008,457
CSX Corp....................................... 2,287,204 179,980,083
General Electric Co............................ 15,225,603 311,363,581
#*Hertz Global Holdings, Inc..................... 1,366,323 23,514,419
#*Huntington Ingalls Industries, Inc............. 96,919 3,876,760
#Ingersoll-Rand P.L.C........................... 679,395 34,309,448
*Kansas City Southern........................... 203,745 11,839,622
L-3 Communications Holdings, Inc............... 221,909 17,794,883
Norfolk Southern Corp.......................... 2,186,220 163,266,910
#Northrop Grumman Corp.......................... 1,926,678 122,555,988
*Owens Corning, Inc............................. 589,248 22,297,144
#Pentair, Inc................................... 318,909 12,807,385
*Quanta Services, Inc........................... 169,657 3,678,164
#R. R. Donnelley & Sons Co...................... 572,287 10,793,333
Republic Services, Inc......................... 798,002 25,232,823
Ryder System, Inc.............................. 319,005 17,066,768
Southwest Airlines Co.......................... 4,316,432 50,718,076
14
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------ -----
Industrials -- (Continued)
*Terex Corp..................................... 420,921 $ 14,639,632
Tyco International, Ltd........................ 1,149,868 56,044,566
Union Pacific Corp............................. 2,594,778 268,481,680
#*URS Corp....................................... 375,566 16,806,578
--------------
Total Industrials................................. 1,379,577,947
--------------
Information Technology -- (3.2%)
Activision Blizzard, Inc....................... 2,584,783 29,440,678
#*AOL, Inc....................................... 572,108 11,659,561
*Arrow Electronics, Inc......................... 568,882 25,935,330
#*Avnet, Inc..................................... 704,412 25,584,244
AVX Corp....................................... 289,801 4,726,654
*Brocade Communications Systems, Inc............ 829,329 5,183,306
Computer Sciences Corp......................... 946,932 48,274,593
*CoreLogic, Inc................................. 375,959 6,921,405
*Corning, Inc................................... 384,652 8,054,613
*EchoStar Corp.................................. 1,525 56,547
Fidelity National Information Services, Inc.... 1,227,332 40,624,689
*IAC/InterActiveCorp............................ 662,665 23,928,833
*Ingram Micro, Inc. Class A..................... 969,555 18,159,765
#*MEMC Electronic Materials, Inc................. 569,392 6,735,907
*Micron Technology, Inc......................... 3,036,051 34,277,016
*Motorola Solutions, Inc........................ 276,224 12,673,157
*Tech Data Corp................................. 18,421 978,708
*Vishay Intertechnology, Inc.................... 13,255 252,905
*Western Digital Corp........................... 127,662 5,080,948
Xerox Corp..................................... 3,902,021 39,371,392
*Yahoo!, Inc.................................... 150,396 2,669,529
--------------
Total Information Technology...................... 350,589,780
--------------
Materials -- (2.9%)
#Alcoa, Inc..................................... 5,357,434 91,076,378
Ashland, Inc................................... 375,339 23,301,045
*Coeur d'Alene Mines Corp....................... 77,230 2,448,963
#Cytec Industries, Inc.......................... 64,426 3,780,518
Domtar Corp.................................... 199,193 18,528,933
#Huntsman Corp.................................. 217,513 4,535,146
International Paper Co......................... 2,299,481 71,007,973
MeadWestavco Corp.............................. 1,023,001 34,464,904
Reliance Steel & Aluminum Co................... 363,907 20,600,775
Steel Dynamics, Inc............................ 862,761 15,693,623
Temple-Inland, Inc............................. 78,779 1,853,670
#United States Steel Corp....................... 97,681 4,660,361
#Vulcan Materials Co............................ 561,141 25,363,573
Westlake Chemical Corp......................... 5,489 360,353
--------------
Total Materials................................... 317,676,215
--------------
Telecommunication Services -- (6.0%)
AT&T, Inc...................................... 12,865,019 400,359,391
#CenturyLink, Inc............................... 1,452,902 59,249,344
#Frontier Communications Corp................... 486,889 4,026,572
*MetroPCS Communications, Inc................... 1,422,836 23,946,330
#*Sprint Nextel Corp............................. 13,961,200 72,319,016
Telephone & Data Systems, Inc.................. 309,373 10,382,558
Telephone & Data Systems, Inc. Special Shares.. 251,163 7,321,401
*United States Cellular Corp.................... 265,925 13,094,147
#Verizon Communications, Inc.................... 1,599,525 60,430,054
--------------
Total Telecommunication Services.................. 651,128,813
--------------
15
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------ -----
Utilities -- (1.2%)
*AES Corp..................................... 1,187,094 $ 15,717,125
#*Calpine Corp................................. 1,832,320 30,691,360
*GenOn Energy, Inc............................ 61,570 241,970
*NRG Energy, Inc.............................. 851,034 20,595,023
Public Service Enterprise Group, Inc......... 1,751,371 56,341,605
---------------
Total Utilities................................. 123,587,083
---------------
TOTAL COMMON STOCKS............................. 10,388,931,635
---------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
BlackRock Liquidity Funds Tempcash Portfolio
- Institutional Shares..................... 10,178,864 10,178,864
---------------
Shares/
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (4.8%)
(S)@DFA Short Term Investment Fund.............. 523,266,285 523,266,285
@Repurchase Agreement, UBS Securities LLC
0.06%, 05/02/11 (Collateralized by $1,544,114
FNMA 3.500%, 02/01/26, valued at $1,552,540)
to be repurchased at $1,507,328................ $ 1,507 1,507,320
---------------
TOTAL SECURITIES LENDING COLLATERAL............. 524,773,605
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,580,486,809)....................... $10,923,884,104
===============
16
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value++
------ -----
COMMON STOCKS -- (83.0%)
AUSTRALIA -- (4.8%)
Alumina, Ltd........................................ 2,104,308 $ 5,270,257
#Alumina, Ltd. Sponsored ADR......................... 172,484 1,738,639
Amcor, Ltd.......................................... 2,193,597 16,861,284
Amcor, Ltd. Sponsored ADR........................... 77,103 2,370,917
Asciano Group, Ltd.................................. 1,652,988 3,000,915
#Australia & New Zealand Banking Group, Ltd.......... 1,696,439 45,188,322
#Bank of Queensland, Ltd............................. 192,358 2,081,437
Bendigo Bank, Ltd................................... 525,607 5,394,054
#BlueScope Steel, Ltd................................ 4,756,814 9,060,394
#Boral, Ltd.......................................... 1,516,921 8,193,203
Caltex Australia, Ltd............................... 291,956 4,549,973
Crown, Ltd.......................................... 1,072,628 9,949,388
CSR, Ltd............................................ 968,680 3,193,423
Downer EDI, Ltd..................................... 132,490 539,357
#Fairfax Media, Ltd.................................. 4,500,769 6,528,880
Goodman Fielder, Ltd................................ 2,376,765 2,804,987
#Harvey Norman Holdings, Ltd......................... 991,617 2,921,299
#Incitec Pivot, Ltd.................................. 4,149,937 17,175,423
Insurance Australia Group, Ltd...................... 2,421,223 9,492,817
Lend Lease Group NL................................. 773,285 7,394,724
Macquarie Group, Ltd................................ 568,086 21,962,749
#National Australia Bank, Ltd........................ 1,901,632 56,616,627
*New Hope Corp., Ltd................................. 51,436 276,834
OneSteel, Ltd....................................... 2,331,726 5,466,200
Origin Energy, Ltd.................................. 1,857,216 33,316,604
#OZ Minerals, Ltd.................................... 4,190,871 6,651,859
Primary Health Care, Ltd............................ 28,910 110,274
*Qantas Airways, Ltd................................. 2,850,317 6,606,231
Santos, Ltd......................................... 1,410,263 23,436,294
Sims Metal Management, Ltd.......................... 102,537 1,962,334
Sims Metal Management, Ltd. Sponsored ADR........... 124,013 2,367,408
Sonic Healthcare, Ltd............................... 331,308 4,557,022
Suncorp Group, Ltd.................................. 3,142,301 28,753,505
TABCORP Holdings, Ltd............................... 1,526,918 12,799,695
Tatts Group, Ltd.................................... 2,263,131 5,764,084
Toll Holdings, Ltd.................................. 60,372 373,783
#Washington H. Soul Pattinson & Co., Ltd............. 113,801 1,633,743
Wesfarmers, Ltd..................................... 2,539,298 93,023,189
------------
TOTAL AUSTRALIA........................................ 469,388,128
------------
AUSTRIA -- (0.3%)
Erste Group Bank AG................................. 342,508 17,292,296
OMV AG.............................................. 286,325 13,053,715
Voestalpine AG...................................... 68,767 3,383,162
------------
TOTAL AUSTRIA.......................................... 33,729,173
------------
BELGIUM -- (0.8%)
#*Ageas SA............................................ 1,731,886 5,250,040
Delhaize Group SA................................... 219,305 18,974,598
#Delhaize Group SA Sponsored ADR..................... 52,900 4,541,994
*Dexia SA............................................ 488,480 1,945,557
#*KBC Groep NV........................................ 313,891 12,777,578
Solvay SA........................................... 168,640 24,314,403
#UCB SA.............................................. 290,371 14,028,753
------------
TOTAL BELGIUM.......................................... 81,832,923
------------
CANADA -- (10.2%)
Astral Media, Inc. Class A.......................... 40,138 1,561,570
17
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
CANADA -- (Continued)
#BCE, Inc............................................ 692,027 $ 25,935,927
#Bell Aliant, Inc.................................... 109,130 3,103,830
#Canadian Pacific Railway, Ltd....................... 282,553 18,739,313
#Canadian Tire Corp. Class A......................... 214,347 13,660,756
#Canadian Utilities, Ltd. Class A.................... 82,858 4,696,586
*CGI Group, Inc...................................... 362,612 7,933,275
Empire Co., Ltd. Class A............................ 65,500 3,717,540
#Encana Corp......................................... 2,051,015 68,912,717
Ensign Energy Services, Inc......................... 147,084 2,840,168
#Fairfax Financial Holdings, Ltd..................... 54,722 22,099,325
#Genworth MI Canada, Inc............................. 70,145 1,921,639
George Weston, Ltd.................................. 141,700 10,152,558
Goldcorp, Inc....................................... 618,668 34,583,682
#Husky Energy, Inc................................... 783,918 24,524,624
Industrial Alliance Insurance & Financial Services,
Inc............................................... 168,485 7,240,501
#Inmet Mining Corp................................... 128,378 9,009,459
Intact Financial Corp............................... 121,000 6,138,562
Kinross Gold Corp................................... 600,100 9,513,819
#Loblaw Cos., Ltd.................................... 224,875 9,478,428
*Lundin Mining Corp.................................. 484,110 4,738,000
#Magna International, Inc............................ 583,936 30,006,836
#Manitoba Telecom Services, Inc...................... 40,500 1,290,572
#Manulife Financial Corp............................. 3,219,919 57,820,033
#Metro, Inc. Class A................................. 137,300 6,718,797
#National Bank of Canada............................. 109,467 9,063,726
#*New Gold, Inc...................................... 785,571 8,825,894
#Nexen, Inc.......................................... 1,719,282 45,482,882
#PetroBakken Energy, Ltd............................. 150,435 2,855,586
*Petrobank Energy & Resources, Ltd................... 96,762 2,047,429
*Quadra FNX Mining, Ltd.............................. 397,631 6,526,671
Sears Canada, Inc................................... 34,515 725,211
#*Sino-Forest Corp................................... 521,532 12,959,063
#Sun Life Financial, Inc............................. 1,494,503 48,919,049
Suncor Energy, Inc.................................. 2,545,871 117,344,432
Talisman Energy, Inc................................ 2,162,345 52,221,723
Teck Resources, Ltd. Class A........................ 3,615 199,137
Teck Resources, Ltd. Class B........................ 1,303,030 70,828,973
#Telus Corp. Non-Voting.............................. 365,532 18,393,467
#Thomson Reuters Corp................................ 1,832,184 74,282,702
#TransAlta Corp...................................... 602,148 13,415,716
#TransCanada Corp.................................... 1,941,948 83,556,205
Viterra, Inc........................................ 861,686 10,354,986
Yamana Gold, Inc.................................... 1,777,340 22,654,675
#Yellow Media, Inc................................... 113,179 569,394
------------
TOTAL CANADA........................................... 987,565,438
------------
DENMARK -- (1.3%)
#A.P. Moller - Maersk A.S............................ 3,667 37,165,375
Carlsberg A.S. Series B............................. 288,711 34,257,007
Danisco A.S......................................... 107,780 14,289,014
*Danske Bank A.S..................................... 1,362,592 32,721,943
*Jyske Bank A.S...................................... 111,779 5,555,458
#*Rockwool International A.S......................... 246 32,495
Sydbank A.S......................................... 60,841 1,763,008
------------
TOTAL DENMARK.......................................... 125,784,300
------------
FINLAND -- (0.7%)
*Kesko Oyj........................................... 152,447 7,911,407
#Neste Oil Oyj....................................... 302,274 5,720,556
#Outokumpu Oyj....................................... 228,983 3,814,631
Sampo Oyj........................................... 378,030 12,726,821
18
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
FINLAND -- (Continued)
#Stora Enso Oyj Series R.......................... 1,304,065 $ 15,722,121
Stora Enso Oyj Sponsored ADR..................... 91,500 1,095,255
*UPM-Kymmene Oyj.................................. 1,166,852 23,933,637
*UPM-Kymmene Oyj Sponsored ADR.................... 69,300 1,419,957
- ------------
TOTAL FINLAND....................................... 72,344,385
- ------------
FRANCE -- (8.3%)
*Air France-KLM SA................................ 320,673 5,659,998
#AXA SA........................................... 3,678,548 82,466,032
#AXA SA Sponsored ADR............................. 140,900 3,158,978
BNP Paribas SA................................... 607,569 48,031,142
Capgemini SA..................................... 259,094 15,693,596
#Casino Guichard Perrachon SA..................... 139,152 14,641,767
Cie de Saint-Gobain SA........................... 875,747 60,426,286
#*Cie Generale de Geophysique - Veritas Sponsored
ADR.............................................. 141,089 4,993,140
Cie Generale des Establissements Michelin SA
Series B....................................... 222,791 22,331,280
#Ciments Francais SA.............................. 26,702 2,820,195
CNP Assurances SA................................ 289,208 6,636,726
Credit Agricole SA............................... 2,709,992 45,077,952
*European Aeronautic Defence & Space Co. SA....... 58,580 1,812,528
#GDF Suez SA...................................... 2,720,289 111,230,825
#Groupe Eurotunnel SA............................. 545,525 5,931,116
Lafarge SA....................................... 505,082 35,760,983
Lagardere SCA.................................... 243,906 10,708,917
*Natixis SA....................................... 1,972,004 11,335,625
*Peugeot SA....................................... 358,364 16,263,652
PPR SA........................................... 161,317 28,841,284
*Renault SA....................................... 500,084 30,450,598
*Rexel SA......................................... 107,337 2,938,772
#*Sanofi-Aventis SA ADR........................... 651,672 25,754,077
SCOR SE.......................................... 199,135 6,078,949
Societe Generale Paris SA........................ 1,255,581 83,907,846
STMicroelectronics NV............................ 1,542,301 18,251,326
#Vivendi SA....................................... 3,447,034 108,081,627
------------
TOTAL FRANCE........................................ 809,285,217
------------
GERMANY -- (8.1%)
#Allianz SE....................................... 439,353 69,027,351
#Allianz SE Sponsored ADR......................... 2,834,240 44,639,280
Bayerische Motoren Werke AG...................... 915,762 86,217,868
Celesio AG....................................... 69,612 1,690,907
#*Commerzbank AG................................... 1,163,573 7,404,343
*Daimler AG....................................... 2,088,586 161,419,483
Deutsche Bank AG................................. 965,050 62,853,121
#Deutsche Bank AG (D18190898)..................... 420,711 27,480,843
#*Deutsche Lufthansa AG........................... 464,311 10,534,177
Deutsche Telekom AG.............................. 2,852,483 47,140,915
#Deutsche Telekom AG Sponsored ADR................ 3,099,741 51,455,701
#E.ON AG.......................................... 1,598,720 54,642,935
Fraport AG....................................... 41,329 3,300,375
Generali Deutschland Holding AG.................. 12,911 1,673,782
#Hannover Rueckversicherung AG.................... 74,974 4,529,318
#Heidelberger Zement AG........................... 201,967 15,443,871
Linde AG......................................... 20,627 3,712,159
*Merck KGaA....................................... 50,209 5,317,048
#Munchener Rueckversicherungs-Gesellschaft AG..... 412,644 68,067,628
#Porsche Automobil Holding SE..................... 334,085 24,148,830
Salzgitter AG.................................... 79,216 6,211,356
SCA Hygiene Products SE.......................... 3,195 1,680,521
Suedzucker AG.................................... 54,734 1,687,385
ThyssenKrupp AG.................................. 368,208 16,928,478
19
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
GERMANY -- (Continued)
#Volkswagen AG.................................... 44,125 $ 7,857,757
------------
TOTAL GERMANY....................................... 785,065,432
------------
GREECE -- (0.1%)
#*Alpha Bank A.E................................... 288,957 1,684,550
#*EFG Eurobank Ergasias S.A........................ 385,650 2,170,707
Hellenic Petroleum S.A........................... 334,517 3,563,782
*National Bank of Greece S.A...................... 208,302 1,610,709
National Bank of Greece S.A. ADR................. 619,230 984,576
------------
TOTAL GREECE........................................ 10,014,324
------------
HONG KONG -- (1.4%)
Cathay Pacific Airways, Ltd...................... 170,000 426,109
Cheung Kong Holdings, Ltd........................ 10,000 157,825
Dah Sing Financial Holdings, Ltd................. 113,650 715,296
Great Eagle Holdings, Ltd........................ 847,721 3,018,500
Hang Lung Group, Ltd............................. 477,000 3,214,274
#Henderson Land Development Co., Ltd.............. 3,177,114 21,806,968
Hong Kong & Shanghai Hotels, Ltd................. 1,321,837 2,331,713
Hopewell Holdings, Ltd........................... 1,064,169 3,217,843
Hutchison Whampoa, Ltd........................... 5,618,000 64,322,781
Hysan Development Co., Ltd....................... 1,035,259 4,840,375
*Mongolia Energy Corp, Ltd........................ 1,900,000 447,780
New World Development Co., Ltd................... 8,159,476 14,359,894
*Orient Overseas International, Ltd............... 360,500 2,764,235
Pacific Basin Shipping, Ltd...................... 301,000 186,765
#Sino Land Co., Ltd............................... 610,684 1,080,131
Wharf Holdings, Ltd.............................. 7,990 58,839
#Wheelock & Co., Ltd.............................. 3,482,000 14,446,681
------------
TOTAL HONG KONG..................................... 137,396,009
------------
IRELAND -- (0.1%)
CRH P.L.C........................................ 211,877 5,259,504
#CRH P.L.C. Sponsored ADR......................... 247,458 6,174,077
------------
TOTAL IRELAND....................................... 11,433,581
------------
ISRAEL -- (0.4%)
*Bank Hapoalim B.M................................ 2,375,530 12,492,265
Bank Leumi Le-Israel B.M......................... 2,840,659 14,779,239
Elbit Systems, Ltd............................... 28,717 1,629,927
*Israel Discount Bank, Ltd........................ 948,013 2,006,545
*NICE Systems, Ltd. Sponsored ADR................. 107,741 4,108,164
Partner Communications Co., Ltd.................. 95,455 1,810,236
------------
TOTAL ISRAEL........................................ 36,826,376
------------
ITALY -- (1.5%)
#*Banca Monte Dei Paschi di Siena SpA.............. 5,698,737 7,721,993
Banco Popolare Scarl............................. 426,228 1,264,265
*Finmeccanica SpA................................. 680,162 9,190,027
Intesa Sanpaolo SpA.............................. 10,123,801 33,625,792
#Telecom Italia SpA............................... 5,476,933 8,235,291
#Telecom Italia SpA Sponsored ADR................. 1,874,500 28,173,735
UniCredit SpA.................................... 15,743,876 40,545,467
#Unione di Banche Italiane ScpA................... 1,533,872 13,749,336
------------
TOTAL ITALY......................................... 142,505,906
------------
JAPAN -- (16.1%)
77 Bank, Ltd. (The).............................. 737,372 3,406,225
#AEON Co., Ltd.................................... 1,886,800 22,733,204
#Aisin Seiki Co., Ltd............................. 346,600 12,225,177
20
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
JAPAN -- (Continued)
Ajinomoto Co., Inc.................................. 1,342,000 $14,924,639
Alfresa Holdings Corp............................... 85,700 3,026,273
Amada Co., Ltd...................................... 821,000 6,593,360
#Aozora Bank, Ltd.................................... 991,000 2,146,635
#Asahi Kasei Corp.................................... 890,000 6,151,904
#Asatsu-DK, Inc...................................... 32,500 852,806
Autobacs Seven Co., Ltd............................. 5,600 205,819
#Awa Bank, Ltd. (The)................................ 65,600 409,873
Bank of Kyoto, Ltd. (The)........................... 739,400 6,852,066
Bank of Yokohama, Ltd. (The)........................ 1,308,000 6,479,881
Bridgestone Corp.................................... 1,240,300 27,393,779
Canon Marketing Japan, Inc.......................... 124,900 1,383,202
#Casio Computer Co., Ltd............................. 249,300 1,982,416
Chiba Bank, Ltd. (The).............................. 1,016,000 6,015,367
Chugoku Bank, Ltd. (The)............................ 403,800 4,705,995
Chuo Mitsui Trust Holdings, Inc..................... 5,877,629 20,235,140
Citizen Holdings Co., Ltd........................... 511,000 3,094,181
#Coca-Cola West Co., Ltd............................. 109,007 2,257,560
Comsys Holdings Corp................................ 151,700 1,587,411
#Cosmo Oil Co., Ltd.................................. 1,212,364 4,001,907
Credit Saison Co., Ltd.............................. 345,100 5,786,754
Dai Nippon Printing Co., Ltd........................ 1,815,000 21,772,708
Daicel Chemical Industries, Ltd..................... 515,000 3,321,597
#Daido Steel Co., Ltd................................ 398,000 2,274,964
Dainippon Sumitomo Pharma Co., Ltd.................. 374,800 3,603,995
Daishi Bank, Ltd. (The)............................. 573,932 1,810,884
Daiwa House Industry Co., Ltd....................... 769,000 9,317,360
#Daiwa Securities Group, Inc......................... 3,289,000 14,195,388
Denso Corp.......................................... 367,888 12,311,908
#*Elpida Memory, Inc................................. 385,300 5,773,322
Fuji Heavy Industries, Ltd.......................... 1,318,000 9,810,231
Fuji Television Network, Inc........................ 1,128 1,507,859
FUJIFILM Holdings Corp.............................. 1,327,000 41,253,620
Fujikura, Ltd....................................... 694,000 3,596,546
Fukuoka Financial Group, Inc........................ 1,800,000 7,479,700
Fukuyama Transporting Co., Ltd...................... 71,000 343,123
Glory, Ltd.......................................... 119,600 2,626,662
Gunma Bank, Ltd. (The).............................. 921,397 4,987,508
#H2O Retailing Corp.................................. 198,000 1,439,339
Hachijuni Bank, Ltd. (The).......................... 993,231 5,929,308
Hakuhodo Dy Holdings, Inc........................... 39,920 2,090,358
#Hankyu Hanshin Holdings, Inc........................ 552,000 2,445,322
Higo Bank, Ltd. (The)............................... 376,000 2,168,084
#Hiroshima Bank, Ltd. (The).......................... 300,000 1,311,252
Hitachi Capital Corp................................ 105,100 1,499,183
Hitachi High-Technologies Corp...................... 159,200 3,350,348
Hitachi Transport System, Ltd....................... 111,000 1,542,447
Hitachi, Ltd........................................ 660,000 3,582,301
Hitachi, Ltd. ADR................................... 111,293 6,061,017
Hokkoku Bank, Ltd. (The)............................ 512,409 1,732,023
#Hokuhoku Financial Group, Inc....................... 2,620,000 5,000,101
#House Foods Corp.................................... 148,300 2,427,602
Hyakugo Bank, Ltd. (The)............................ 475,028 2,070,506
Hyakujishi Bank, Ltd. (The)......................... 329,000 1,228,175
Idemitsu Kosan Co., Ltd............................. 51,124 6,045,962
Inpex Corp.......................................... 3,476 26,722,740
#*Isetan Mitsukoshi Holdings, Ltd.................... 882,200 8,516,391
ITOCHU Corp......................................... 2,108,100 21,960,332
Iyo Bank, Ltd. (The)................................ 548,000 4,582,799
#J. Front Retailing Co., Ltd......................... 1,136,000 4,936,596
Joyo Bank, Ltd. (The)............................... 1,518,000 6,126,818
21
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
JAPAN -- (Continued)
JS Group Corp...................................... 561,100 $13,523,511
JTEKT Corp......................................... 475,200 6,172,972
Juroku Bank, Ltd................................... 400,000 1,240,206
JX Holdings, Inc................................... 5,520,533 38,879,397
Kagoshima Bank, Ltd. (The)......................... 358,143 2,408,221
#Kajima Corp........................................ 1,830,000 5,247,342
Kamigumi Co., Ltd.................................. 519,000 4,445,131
#Kandenko Co., Ltd.................................. 129,000 667,920
Kaneka Corp........................................ 653,542 4,770,078
#Kawasaki Kisen Kaisha, Ltd......................... 1,166,087 3,910,320
Keiyo Bank, Ltd. (The)............................. 418,000 2,056,358
#Kewpie Corp........................................ 131,300 1,572,741
#Kinden Corp........................................ 285,000 2,429,675
Kobe Steel, Ltd.................................... 3,785,000 9,392,385
Kyocera Corp....................................... 306,200 33,784,557
Kyocera Corp. Sponsored ADR........................ 13,600 1,494,776
Kyowa Hakko Kirin Co., Ltd......................... 604,000 6,026,628
Mabuchi Motor Co., Ltd............................. 36,100 1,791,044
Marui Group Co., Ltd............................... 542,642 3,748,884
#Maruichi Steel Tube, Ltd........................... 104,400 2,598,008
Mazda Motor Corp................................... 3,005,000 6,900,348
Medipal Holdings Corp.............................. 339,800 2,826,017
Meiji Holdings Co., Ltd............................ 144,395 6,167,108
Mitsubishi Chemical Holdings Corp.................. 2,542,500 17,216,250
Mitsubishi Gas Chemical Co., Inc................... 890,000 6,972,654
Mitsubishi Heavy Industries, Ltd................... 9,007,000 43,038,599
#Mitsubishi Logistics Corp.......................... 236,000 2,610,466
Mitsubishi Materials Corp.......................... 2,533,000 8,793,390
Mitsubishi Tanabe Pharma Corp...................... 623,000 10,335,289
#Mitsubishi UFJ Financial Group, Inc................ 13,207,406 63,390,116
#Mitsubishi UFJ Financial Group, Inc. ADR........... 4,781,372 22,807,144
Mitsui & Co., Ltd.................................. 644,200 11,463,597
Mitsui & Co., Ltd. Sponsored ADR................... 11,723 4,164,596
#Mitsui Chemicals, Inc.............................. 1,861,800 6,821,521
#Mitsui Engineering & Shipbuilding Co., Ltd......... 1,025,000 2,544,963
Mitsui Mining & Smelting Co., Ltd.................. 64,030 229,235
Mitsui O.S.K. Lines, Ltd........................... 726,000 4,049,282
Mitsumi Electric Co., Ltd.......................... 149,000 1,910,626
#*Mizuho Financial Group, Inc. ADR................... 349,173 1,113,862
#Mizuho Securities Co., Ltd......................... 1,325,000 3,372,225
MS&AD Insurance Group Holdings, Inc................ 859,353 20,124,210
Nagase & Co., Ltd.................................. 235,889 2,988,258
Namco Bandai Holdings, Inc......................... 441,300 4,873,531
Nanto Bank, Ltd. (The)............................. 323,000 1,579,974
*NEC Corp........................................... 5,425,101 11,443,119
Nippon Express Co., Ltd............................ 1,952,238 7,778,466
Nippon Kayaku Co., Ltd............................. 6,000 57,958
Nippon Meat Packers, Inc........................... 429,536 5,950,236
Nippon Paper Group, Inc............................ 231,700 4,655,540
Nippon Sheet Glass Co., Ltd........................ 1,171,739 3,450,328
Nippon Shokubai Co., Ltd........................... 234,000 3,071,343
Nippon Steel Corp.................................. 3,383,000 10,582,166
Nippon Television Network Corp..................... 12,380 1,760,442
Nippon Yusen K.K................................... 3,032,000 11,208,824
Nishi-Nippon Bank, Ltd............................. 1,403,569 3,975,435
Nissan Motor Co., Ltd.............................. 4,831,600 46,487,303
Nisshin Seifun Group, Inc.......................... 394,500 4,938,299
#Nisshin Steel Co., Ltd............................. 1,431,000 2,856,415
Nisshinbo Holdings, Inc............................ 305,000 3,018,991
NKSJ Holdings, Inc................................. 1,353,000 8,720,323
NOK Corp........................................... 162,200 2,772,446
22
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
JAPAN -- (Continued)
Nomura Real Estate Holdings, Inc.................... 164,700 $ 2,544,106
NTN Corp............................................ 651,000 3,126,166
#Obayashi Corp....................................... 1,650,682 6,963,424
Ogaki Kyoritsu Bank, Ltd. (The)..................... 334,000 1,071,825
Oji Paper Co., Ltd.................................. 1,997,000 8,966,431
#Ono Pharmaceutical Co., Ltd......................... 92,600 4,677,963
Onward Holdings Co., Ltd............................ 278,000 2,070,954
Panasonic Corp...................................... 3,135,817 38,559,093
Panasonic Corp. Sponsored ADR....................... 302,421 3,716,754
Rengo Co., Ltd...................................... 428,000 2,562,154
Ricoh Co., Ltd...................................... 1,666,000 18,385,210
Rohm Co., Ltd....................................... 230,500 13,882,109
San-in Godo Bank, Ltd. (The)........................ 309,900 2,298,586
Sankyo Co., Ltd..................................... 57,500 2,990,318
Sapporo Hokuyo Holdings, Inc........................ 529,800 2,350,165
#SBI Holdings, Inc................................... 45,820 4,939,619
#Seiko Epson Corp.................................... 296,800 5,164,517
#Seino Holdings Co., Ltd............................. 295,000 2,216,047
Sekisui Chemical Co., Ltd........................... 988,000 8,289,272
Sekisui House, Ltd.................................. 1,354,000 13,125,304
Seven & I Holdings Co., Ltd......................... 1,322,700 33,287,207
#Sharp Corp.......................................... 2,998,000 27,583,492
Shiga Bank, Ltd..................................... 455,185 2,442,079
#Shimizu Corp........................................ 1,371,000 5,792,622
#Shinko Electric Industries Co., Ltd................. 120,300 1,235,418
Shinsei Bank, Ltd................................... 1,642,000 1,974,626
Shizuoka Bank, Ltd.................................. 1,009,000 9,193,640
Showa Denko K.K..................................... 1,456,000 2,905,748
Showa Shell Sekiyu K.K.............................. 127,500 1,391,044
#SKY Perfect JSAT Holdings, Inc...................... 3,029 1,210,445
Sohgo Security Services Co., Ltd.................... 101,300 1,162,891
Sojitz Corp......................................... 2,578,100 4,975,019
Sony Corp........................................... 768,200 21,690,495
#Sony Corp. Sponsored ADR............................ 1,801,665 51,005,136
Sumitomo Bakelite Co., Ltd.......................... 347,000 2,225,394
#Sumitomo Chemical Co., Ltd.......................... 2,223,000 11,821,950
#Sumitomo Corp....................................... 3,241,900 44,721,492
Sumitomo Electric Industries, Ltd................... 2,606,700 36,293,483
Sumitomo Forestry Co., Ltd.......................... 158,000 1,384,790
Sumitomo Heavy Industries, Ltd...................... 297,000 1,958,556
Sumitomo Mitsui Financial Group, Inc................ 695,200 21,594,213
Sumitomo Rubber Industries, Ltd..................... 230,300 2,609,698
Suzuken Co., Ltd.................................... 150,000 3,750,258
#Suzuki Motor Corp................................... 166,600 3,966,220
#Taiheiyo Cement Corp................................ 1,638,800 2,809,760
#Taisei Corp......................................... 2,148,703 5,033,548
#Taisho Pharmaceutical Co., Ltd...................... 285,000 6,721,227
#Taiyo Yuden Co., Ltd................................ 177,000 2,492,527
#Takashimaya Co., Ltd................................ 615,634 4,209,435
TDK Corp............................................ 45,400 2,342,409
Teijin, Ltd......................................... 1,535,450 7,358,593
Toda Corp........................................... 385,000 1,429,869
#Tokai Rika Co., Ltd................................. 94,200 1,650,635
#Tokuyama Corp....................................... 637,000 3,311,904
Tokyo Broadcasting System, Inc...................... 85,300 997,837
#Tokyo Steel Manufacturing Co., Ltd.................. 224,500 2,432,909
Tokyo Tatemono Co., Ltd............................. 808,000 2,921,767
#Toppan Printing Co., Ltd............................ 1,312,000 10,312,974
Tosoh Corp.......................................... 1,044,000 4,038,660
TOTO, Ltd........................................... 3,000 23,556
Toyo Seikan Kaisha, Ltd............................. 346,349 5,887,977
23
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
JAPAN -- (Continued)
Toyobo Co., Ltd.................................. 743,000 $ 1,174,040
Toyota Auto Body Co., Ltd........................ 108,400 1,918,373
#Toyota Motor Corp. Sponsored ADR................. 551,545 43,947,106
Toyota Tsusho Corp............................... 482,400 8,043,545
TV Asahi Corp.................................... 755 1,160,072
UNY Co., Ltd..................................... 390,450 3,421,591
#Wacoal Corp...................................... 179,000 2,330,271
Yamaguchi Financial Group, Inc................... 492,148 4,445,126
Yamaha Corp...................................... 327,300 4,093,580
#Yamato Holdings Co., Ltd......................... 510,500 8,150,421
Yamato Kogyo Co., Ltd............................ 82,600 2,726,086
Yamazaki Baking Co., Ltd......................... 170,000 2,192,332
*Yokogawa Electric Corp........................... 370,400 3,001,031
Yokohama Rubber Co., Ltd......................... 437,000 2,235,036
--------------
TOTAL JAPAN......................................... 1,565,279,132
--------------
MALAYSIA -- (0.0%)
*Rekapacific Berhad............................... 691,000 --
--------------
NETHERLANDS -- (3.2%)
*Aegon NV......................................... 3,288,297 26,136,834
#Akzo Nobel NV.................................... 172,297 13,359,615
APERAM NV........................................ 122,341 5,150,771
ArcelorMittal NV................................. 2,446,831 90,424,916
*ING Groep NV..................................... 3,849,884 50,719,361
#*ING Groep NV Sponsored ADR....................... 1,273,519 16,797,716
#Koninklijke Ahold NV............................. 984,473 13,825,479
Koninklijke DSM NV............................... 443,200 30,548,403
*Koninklijke Philips Electronics NV............... 1,939,039 57,430,601
*Philips Electronics NV ADR....................... 137,395 4,051,779
--------------
TOTAL NETHERLANDS................................... 308,445,475
--------------
NEW ZEALAND -- (0.1%)
Auckland International Airport, Ltd.............. 1,500 2,699
#Contact Energy, Ltd.............................. 1,105,671 5,334,062
--------------
TOTAL NEW ZEALAND................................... 5,336,761
--------------
NORWAY -- (0.9%)
#*Aker ASA......................................... 47,313 1,443,860
*Austevoll Seafood ASA............................ 3,776 29,012
#DnB NOR ASA Series A............................. 1,019,893 16,584,115
Marine Harvest ASA............................... 3,830,782 5,061,012
#Norsk Hydro ASA.................................. 2,611,753 23,165,445
Norsk Hydro ASA Sponsored ADR.................... 59,900 533,709
Orkla ASA........................................ 2,700,350 27,328,613
#*Renewable Energy Corp. ASA....................... 1,281,469 4,525,572
*Storebrand ASA................................... 812,117 8,434,698
--------------
TOTAL NORWAY........................................ 87,106,036
--------------
PORTUGAL -- (0.1%)
#Banco Comercial Portugues SA..................... 3,941,284 3,144,457
#Banco Espirito Santo SA.......................... 747,704 3,149,473
#Cimpor Cimentos de Portugal SA................... 141,684 978,886
#*EDP Renovaveis SA................................ 332,401 2,560,280
--------------
TOTAL PORTUGAL...................................... 9,833,096
--------------
SINGAPORE -- (1.0%)
*Allgreen Properties, Ltd......................... 896,000 864,906
CapitaLand, Ltd.................................. 4,942,000 13,745,108
#DBS Group Holdings, Ltd.......................... 2,060,279 25,242,488
24
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
SINGAPORE -- (Continued)
Fraser & Neave, Ltd.............................. 1,620,450 $ 8,307,108
Golden Agri-Resources, Ltd....................... 13,950,000 7,598,047
#*Neptune Orient Lines, Ltd........................ 1,079,004 1,661,998
Oversea-Chinese Banking Corp., Ltd............... 115,656 903,184
#Overseas Union Enterprise, Ltd................... 405,000 1,015,694
Singapore Airlines, Ltd.......................... 1,585,600 18,264,727
Singapore Land, Ltd.............................. 532,000 3,112,906
United Industrial Corp., Ltd..................... 2,155,000 4,986,717
UOL Group, Ltd................................... 1,376,600 5,450,267
Venture Corp., Ltd............................... 307,000 2,422,225
Wheelock Properties, Ltd......................... 870,000 1,323,423
------------
TOTAL SINGAPORE..................................... 94,898,798
------------
SPAIN -- (2.7%)
#Acciona SA....................................... 114,419 13,309,795
Acerinox SA...................................... 49,571 995,853
Banco Bilbao Vizcaya Argentaria SA............... 330,320 4,231,249
#Banco de Sabadell SA............................. 4,324,542 19,152,397
#Banco Espanol de Credito SA...................... 400,117 3,737,839
#Banco Popular Espanol SA......................... 3,696,634 22,143,783
#Banco Santander SA............................... 2,602,226 33,231,715
#Banco Santander SA Sponsored ADR................. 1,261,600 15,643,840
Cia Espanola de Petroleos SA..................... 15,456 645,711
Criteria Caixacorp SA............................ 2,389,809 17,628,434
#Fomento de Construcciones y Contratas SA......... 41,871 1,422,515
Gas Natural SDG SA............................... 1,125,597 23,144,887
Iberdrola Renovables SA.......................... 2,721,005 12,452,602
#Iberdrola SA..................................... 81,176 752,786
Repsol YPF SA.................................... 1,083,639 38,685,102
#Repsol YPF SA Sponsored ADR...................... 1,432,181 51,157,505
------------
TOTAL SPAIN......................................... 258,336,013
------------
SWEDEN -- (2.1%)
#Boliden AB....................................... 148,536 3,350,284
Holmen AB Series A............................... 6,300 244,462
Nordea Bank AB................................... 4,013,687 45,762,056
#Skandinaviska Enskilda Banken AB Series A........ 3,019,960 29,030,609
Skandinaviska Enskilda Banken AB Series C........ 10,974 104,506
#*SSAB AB Series A................................. 507,586 9,071,359
*SSAB AB Series B................................. 233,785 3,655,576
Svenska Cellulosa AB............................. 57,860 883,896
#Svenska Cellulosa AB Series B.................... 1,586,671 24,324,302
Swedbank AB Series A............................. 1,315,078 24,941,152
Tele2 AB Series B................................ 514,774 12,927,415
*Telefonaktiebolaget LM Ericsson AB............... 44,151 669,926
*Telefonaktiebolaget LM Ericsson AB Series A...... 462 6,792
#Telefonaktiebolaget LM Ericsson AB Sponsored ADR. 952,162 14,472,862
#TeliaSonera AB................................... 3,787,012 30,905,616
*Volvo AB Series A................................ 427,286 8,370,994
------------
TOTAL SWEDEN........................................ 208,721,807
------------
SWITZERLAND -- (5.2%)
#Adecco SA........................................ 351,751 25,137,851
*Alpiq Holding AG................................. 883 355,340
Baloise Holding AG............................... 200,163 22,153,281
Banque Cantonale Vaudoise AG..................... 4,139 2,544,835
Compagnie Financiere Richemont SA Series A....... 661,342 42,775,038
Credit Suisse Group AG........................... 302,062 13,748,857
#Credit Suisse Group AG Sponsored ADR............. 805,990 36,664,485
#Givaudan SA...................................... 14,257 15,863,691
25
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
SWITZERLAND -- (Continued)
#Holcim, Ltd. AG................................ 886,165 $ 77,213,358
*Lonza Group AG................................. 10,691 919,402
Novartis AG ADR................................ 512,259 30,310,365
PSP Swiss Property AG.......................... 95,780 8,719,368
St. Galler Kantonalbank AG..................... 4,446 2,492,390
Swatch Group AG (The).......................... 13,715 6,753,751
Swiss Life Holding AG.......................... 123,557 22,559,720
Swiss Reinsurance Co., Ltd. AG................. 1,108,107 66,116,889
*UBS AG......................................... 2,123,522 42,497,127
Zurich Financial Services AG................... 322,634 90,717,790
--------------
TOTAL SWITZERLAND................................. 507,543,538
--------------
UNITED KINGDOM -- (13.6%)
Anglo American P.L.C........................... 2,379 124,704
Associated British Foods P.L.C................. 1,497,803 25,225,207
Aviva P.L.C.................................... 7,396,866 55,357,784
#Barclays P.L.C. Sponsored ADR.................. 4,180,831 79,644,831
BP P.L.C. Sponsored ADR........................ 293,750 13,553,625
Carnival P.L.C................................. 658,867 26,527,823
#Carnival P.L.C. ADR............................ 241,674 9,664,543
*easyJet P.L.C.................................. 484,588 2,827,629
#*International Consolidated Airlines Group
P.L.C.......................................... 3,077,641 12,245,171
International Power P.L.C...................... 6,483,180 35,882,744
Investec P.L.C................................. 458,970 3,696,178
Kazakhmys P.L.C................................ 690,345 16,035,790
Kingfisher P.L.C............................... 10,285,817 47,258,773
Legal & General Group P.L.C.................... 9,524,371 19,589,688
*Lloyds Banking Group P.L.C..................... 3,393,003 3,368,752
#*Lloyds Banking Group P.L.C. Sponsored ADR..... 2,857,128 11,285,656
Mondi P.L.C.................................... 1,450,865 14,420,005
Old Mutual P.L.C............................... 11,290,622 26,319,667
#Pearson P.L.C. Sponsored ADR................... 1,734,559 33,043,349
Resolution, Ltd. P.L.C......................... 1,689,231 8,554,343
Rexam P.L.C.................................... 4,277,874 27,957,963
*Royal Bank of Scotland Group P.L.C............. 15,142,602 10,553,674
#*Royal Bank of Scotland Group P.L.C. Sponsored
ADR............................................ 377,000 5,259,150
Royal Dutch Shell P.L.C. ADR................... 3,242,203 254,059,027
*Royal Dutch Shell P.L.C. Series B.............. 29,861 1,162,456
RSA Insurance Group P.L.C...................... 5,305,189 12,225,742
Sainsbury (J.) P.L.C........................... 5,529,939 32,210,738
Vodafone Group P.L.C........................... 34,976,333 101,109,152
Vodafone Group P.L.C. Sponsored ADR............ 8,335,538 242,730,867
Whitbread P.L.C................................ 7,910 222,376
William Morrison Supermarkets P.L.C............ 8,127,143 40,095,352
*Wolseley P.L.C................................. 889,796 32,320,824
WPP P.L.C...................................... 1,259,793 16,501,258
#WPP P.L.C. Sponsored ADR....................... 30,101 1,965,294
Xstrata P.L.C.................................. 3,843,909 98,592,431
--------------
TOTAL UNITED KINGDOM.............................. 1,321,592,566
--------------
TOTAL COMMON STOCKS............................... 8,070,264,414
--------------
26
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value++
------ -----
RIGHTS/WARRANTS -- (0.0%)
PORTUGAL -- (0.0%)
*Banco Comercial Portugues SA Rights
05/05/11................................. 3,941,284 $ 134,266
--------------
SPAIN -- (0.0%)
#*Banco Popular Espanol SA Rights 04/27/11.. 3,696,634 257,338
--------------
TOTAL RIGHTS/WARRANTS........................ 391,604
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.19%, 05/02/11
(Collateralized by $8,145,000 FNMA
2.24%, 07/06/15, valued at $8,348,625)
to be repurchased at $8,222,130......... $ 8,222 8,222,000
--------------
Shares /
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (16.9%)
(S)@DFA Short Term Investment Fund......... 1,646,576,000 1,646,576,000
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.04%, 05/02/11
(Collateralized by $48,926,610 FNMA
2.063%(r), 06/01/35, valued at
$1,348,186)## to be repurchased at
$1,321,755............................... $ 1,322 1,321,751
--------------
TOTAL SECURITIES LENDING COLLATERAL.......... 1,647,897,751
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,369,761,306)..................... $9,726,775,769
==============
27
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value++
------ -----
COMMON STOCKS -- (85.0%)
BRAZIL -- (4.6%)
AES Tiete SA........................................ 16,500 $ 246,158
*All America Latina Logistica SA..................... 157,300 1,295,835
Amil Participacoes SA............................... 29,000 352,085
Banco Bradesco SA................................... 61,100 1,018,722
Banco do Brasil SA.................................. 327,585 6,017,802
Banco Santander Brasil SA ADR....................... 288,084 3,344,655
BM&F Bovespa SA..................................... 460,000 3,453,216
*BR Malls Participacoes SA........................... 162,900 1,720,950
Brasil Telecom SA................................... 38,241 407,398
Brasil Telecom SA ADR............................... 8,140 86,610
BRF - Brasil Foods SA ADR........................... 590,060 12,220,143
CCR SA.............................................. 7,800 242,201
#Centrais Eletricas Brasileiras SA ADR............... 76,563 1,434,791
Centrais Eletricas Brasileiras SA Sponsored ADR..... 92,700 1,373,814
Cia de Bebidas das Americas......................... 293,290 7,884,080
Cia de Saneamento Basico do Estado de Sao Paulo ADR. 19,718 1,153,897
Cia Energetica de Minas Gerais SA................... 16,900 273,825
Cia Energetica de Sao Paulo SA...................... 53,800 1,036,878
Cia Siderurgica Nacional SA......................... 704,052 10,991,303
Cosan SA Industria e Comercio....................... 77,800 1,189,847
CPFL Energia SA..................................... 1,935 56,087
*CPFL Energia SA ADR................................. 1,296 114,618
*Cyrela Brazil Realty SA Empreendimentos e
Participacoes...................................... 84,050 890,614
Duratex SA.......................................... 106,500 1,120,376
Embraer SA ADR...................................... 81,575 2,649,556
*Energias do Brazil SA............................... 3,500 87,011
*Fibria Celulose SA.................................. 13,825 216,620
#*Fibria Celulose SA Sponsored ADR.................... 50,280 812,022
Gerdau SA........................................... 19,200 187,216
*Hypermarcas SA...................................... 19,200 257,391
Itau Unibanco Holding SA............................ 33,500 660,971
*JBS SA.............................................. 160,374 542,328
Lojas Americanas SA................................. 14,800 113,738
Lojas Renner SA..................................... 20,300 752,282
MRV Engenharia e Participacoes SA................... 76,950 671,576
*Multiplan Empreendimentos Imobiliarios SA........... 9,300 194,371
Natura Cosmeticos SA................................ 16,800 471,472
*OGX Petroleo e Gas Participacoes SA................. 149,800 1,582,555
*PDG Realty SA Empreendimentos e Participacoes....... 389,200 2,290,867
Petroleo Brasilerio SA ADR.......................... 1,009,389 37,680,491
Porto Seguro SA..................................... 33,200 551,645
Redecard SA......................................... 14,200 206,339
Souza Cruz SA....................................... 369,370 4,202,722
Tele Norte Leste Participacoes SA................... 59,254 1,268,545
Telecomunicacoes de Sao Paulo SA.................... 1,000 24,212
*Tim Participacoes SA................................ 53,600 289,942
Tractebel Energia SA................................ 99,200 1,756,115
Usinas Siderurgicas de Minas Gerais SA.............. 39,100 635,015
#Vale SA Sponsored ADR............................... 375,714 12,548,848
Vivo Participacoes SA............................... 16,288 637,771
WEG Industrias SA................................... 278,866 3,465,440
------------
TOTAL BRAZIL........................................... 132,682,966
------------
CHILE -- (1.7%)
AES Gener SA........................................ 1,098,207 672,400
#Banco de Chile SA Series F ADR...................... 48,896 4,359,085
Banco de Credito e Inversiones SA Series A.......... 15,763 1,068,141
#Banco Santander Chile SA ADR........................ 52,385 4,797,942
28
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
CHILE -- (Continued)
CAP SA.............................................. 34,560 $ 1,857,511
Cencosud SA......................................... 348,907 2,755,490
Cia Cervecerias Unidas SA ADR....................... 14,357 861,420
Colbun SA........................................... 4,884,083 1,471,536
Corpbanca SA........................................ 34,534,433 548,486
Embotelladora Andina SA Series A ADR................ 23,068 544,405
#Embotelladora Andina SA Series B ADR................ 17,106 493,337
#Empresa Nacional de Electricidad SA Sponsored ADR... 137,613 7,758,621
Empresas CMPC SA.................................... 29,886 1,658,545
Empresas Copec SA................................... 46,343 898,860
Enersis SA Sponsored ADR............................ 270,752 5,783,263
ENTEL Chile SA...................................... 70,233 1,419,150
#Lan Airlines SA Sponsored ADR....................... 175,360 4,899,558
*Ripley Corp. SA..................................... 159,062 213,488
S.A.C.I. Falabella SA............................... 124,985 1,363,910
#Sociedad Quimica y Minera de Chile SA Sponsored ADR. 95,583 5,833,430
#Vina Concha Y Toro SA Sponsored ADR................. 16,800 840,000
-----------
TOTAL CHILE............................................ 50,098,578
-----------
CHINA -- (12.0%)
#Agile Property Holdings, Ltd........................ 842,000 1,366,833
#*Air China, Ltd...................................... 938,000 951,917
#Alibaba.com, Ltd.................................... 457,500 813,348
#*Aluminum Corp. of China, Ltd. ADR................... 89,910 2,117,381
#Angang Steel Co., Ltd............................... 638,000 821,842
Anhui Conch Cement Co., Ltd......................... 507,000 2,397,268
#Anta Sports Products, Ltd........................... 341,000 553,767
Bank of China, Ltd.................................. 40,360,100 22,390,727
Bank of Communications Co., Ltd..................... 3,881,650 4,111,051
*BBMG Corp. Series H................................. 392,500 644,724
Beijing Enterprises Holdings, Ltd................... 393,472 2,103,165
Belle International Holdings, Ltd................... 1,948,000 3,822,787
#*Brilliance China Automotive Holdings, Ltd........... 952,000 933,505
#BYD Co., Ltd........................................ 395,886 1,434,540
China Agri-Industries Holdings, Ltd................. 1,083,202 1,246,609
China BlueChemical, Ltd............................. 1,076,000 876,817
China Citic Bank Corp., Ltd......................... 4,332,928 3,109,462
China Coal Energy Co., Ltd.......................... 1,484,777 2,083,306
China Communications Construction Co., Ltd.......... 2,434,000 2,254,375
China Communications Services Corp., Ltd............ 1,484,000 909,111
China Construction Bank Corp........................ 26,181,590 24,825,704
#*China COSCO Holdings Co., Ltd....................... 1,646,000 1,585,532
#*China Eastern Airlines Corp., Ltd................... 536,000 235,368
#China Everbright, Ltd............................... 712,235 1,576,234
#China Life Insurance Co., Ltd. ADR.................. 250,705 13,460,351
*China Longyuan Power Group Corp..................... 538,000 553,694
China Mengniu Dairy Co., Ltd........................ 471,000 1,454,676
#China Merchants Bank Co., Ltd....................... 2,054,034 5,306,108
China Merchants Holdings International Co., Ltd..... 705,532 3,275,934
#*China Minsheng Banking Corp., Ltd. Series H......... 1,917,500 1,841,695
#China Mobile, Ltd. Sponsored ADR.................... 696,697 32,110,765
#China Molybdenum Co., Ltd........................... 865,322 775,831
China National Building Material Co., Ltd........... 1,191,916 2,516,174
China Oilfield Services, Ltd........................ 628,000 1,242,921
China Overseas Land & Investment, Ltd............... 2,418,000 4,671,855
*China Pacific Insurance Group Co., Ltd.............. 352,400 1,523,142
China Petroleum & Chemical Corp..................... 2,542,000 2,562,260
China Petroleum & Chemical Corp. ADR................ 64,260 6,475,480
China Railway Construction Corp., Ltd............... 1,086,500 963,265
China Railway Group, Ltd............................ 1,730,000 929,434
*China Resources Cement Holdings, Ltd................ 256,000 262,127
29
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
CHINA -- (Continued)
China Resources Enterprise, Ltd...................... 1,035,000 $ 4,152,834
China Resources Land, Ltd............................ 1,130,000 1,944,488
China Resources Power Holdings Co., Ltd.............. 920,000 1,698,650
China Shenhua Energy Co., Ltd. Series H.............. 1,971,500 9,208,248
#*China Shipping Container Lines Co., Ltd.............. 1,951,907 778,790
China Shipping Development Co., Ltd.................. 604,000 638,608
*China Southern Airlines Co., Ltd..................... 364,000 190,025
*China Southern Airlines Co., Ltd. ADR................ 8,400 220,836
*China Taiping Insurance Holdings Co., Ltd............ 408,200 1,117,820
China Telecom Corp., Ltd............................. 2,306,000 1,344,732
#China Telecom Corp., Ltd. ADR........................ 37,571 2,192,268
China Unicom Hong Kong, Ltd. ADR..................... 306,175 6,264,341
China Yurun Food Group, Ltd.......................... 515,000 1,895,543
CITIC Pacific, Ltd................................... 1,005,000 3,004,483
CNOOC, Ltd........................................... 1,028,000 2,555,173
#CNOOC, Ltd. ADR...................................... 68,756 17,151,184
COSCO Pacific, Ltd................................... 1,313,818 2,720,449
Country Garden Holdings Co........................... 2,232,000 903,618
#*CSR Corp., Ltd....................................... 685,000 757,915
#Datang International Power Generation Co., Ltd....... 1,272,000 479,088
Dongfang Electric Co., Ltd........................... 130,000 426,183
Dongfeng Motor Corp.................................. 884,000 1,381,200
#*Evergrande Real Estate Group, Ltd.................... 2,101,000 1,505,069
Fosun International, Ltd............................. 900,941 714,637
Fushan International Energy Group, Ltd............... 2,062,000 1,444,728
*GCL-Poly Energy Holdings, Ltd........................ 2,729,814 1,959,348
Golden Eagle Retail Group, Ltd....................... 261,000 680,805
#*GOME Electrical Appliances Holding, Ltd.............. 4,865,000 1,755,819
#Great Wall Motor Co., Ltd............................ 320,500 579,254
Guangdong Investment, Ltd............................ 792,000 410,966
#Guangshen Railway Co., Ltd. Sponsored ADR............ 16,034 318,596
#Guangzhou Automobile Group Co., Ltd.................. 360,259 405,270
#Guangzhou R&F Properties Co., Ltd.................... 433,978 591,021
Hengan International Group Co., Ltd.................. 238,000 1,850,983
*Hong Kong Energy Holdings, Ltd....................... 31,116 2,656
Huabao International Holdings, Ltd................... 609,586 910,012
Huaneng Power International, Inc..................... 136,000 75,284
Huaneng Power International, Inc. ADR................ 32,552 722,329
Industrial & Commercial Bank of China, Ltd. Series H. 35,627,185 30,219,447
#Jiangsu Express Co., Ltd............................. 764,000 810,386
Jiangxi Copper Co., Ltd.............................. 511,000 1,740,971
Kingboard Chemical Holdings, Ltd..................... 365,351 2,007,271
Kunlun Energy Co., Ltd............................... 1,018,000 1,801,424
#Lee & Man Paper Manufacturing, Ltd................... 829,000 596,975
#Lenovo Group, Ltd.................................... 2,023,278 1,185,972
#*Longfor Properties Co., Ltd.......................... 501,000 803,004
#Maanshan Iron & Steel Co., Ltd....................... 1,084,000 570,324
*Metallurgical Corp of China, Ltd. Series H........... 401,000 171,882
Nine Dragons Paper Holdings, Ltd..................... 1,177,000 1,349,527
#Parkson Retail Group, Ltd............................ 480,000 742,203
#PetroChina Co., Ltd. ADR............................. 116,910 17,019,758
#*PICC Property & Casualty Co., Ltd.................... 994,000 1,281,272
#Ping An Insurance Group Co. of China, Ltd. Series H.. 697,000 7,644,359
#*Poly Hong Kong Investment, Ltd....................... 799,000 638,911
#*Renhe Commercial Holdings Co., Ltd................... 5,084,000 878,878
Shanghai Electric Group Co., Ltd..................... 2,392,000 1,203,905
Shanghai Industrial Holdings, Ltd.................... 467,274 1,845,038
#Shimao Property Holdings, Ltd........................ 1,600,871 2,181,126
#Sino-Ocean Land Holdings, Ltd........................ 1,927,100 1,096,030
Sinopec Shanghai Petrochemical Co., Ltd.............. 848,000 409,528
Sinopec Shanghai Petrochemical Co., Ltd. Sponsored
ADR................................................ 1,188 57,939
30
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
CHINA -- (Continued)
#*Sinopec Yizheng Chemical Fibre Co., Ltd............ 582,000 $ 249,645
*Sinopharm Group Co., Ltd............................ 200,800 694,328
#Soho China, Ltd..................................... 1,436,263 1,242,044
#Tencent Holdings, Ltd............................... 700,600 20,095,538
#Tingyi (Cayman Islands) Holding Corp................ 1,072,000 2,852,120
Tsingtao Brewery Co., Ltd........................... 120,000 638,263
Want Want China Holdings, Ltd....................... 1,466,000 1,317,757
#Weichai Power Co., Ltd.............................. 148,000 1,015,102
#Yanzhou Coal Mining Co., Ltd. Sponsored ADR......... 68,830 2,687,123
Zhaojin Mining Industry Co., Ltd.................... 172,500 801,369
Zhejiang Expressway Co., Ltd........................ 292,000 241,802
#*Zhongsheng Group Holdings, Ltd..................... 81,500 154,058
Zhuzhou CSR Times Electric Co., Ltd................. 155,000 614,757
Zijin Mining Group Co., Ltd......................... 1,358,000 1,072,279
#ZTE Corp............................................ 460,838 1,660,726
------------
TOTAL CHINA............................................ 349,637,379
------------
COLOMBIA -- (0.4%)
#Bancolombia SA Sponsored ADR........................ 67,624 4,480,090
#Ecopetrol SA Sponsored ADR.......................... 127,440 5,590,793
------------
TOTAL COLOMBIA......................................... 10,070,883
------------
CZECH REPUBLIC -- (0.6%)
CEZ A.S............................................. 184,371 10,576,484
Komercni Banka A.S.................................. 14,663 3,865,613
Telefonica 02 Czech Republic A.S.................... 142,100 3,647,655
------------
TOTAL CZECH REPUBLIC................................... 18,089,752
------------
EGYPT -- (0.1%)
Commercial International Bank Egypt S.A.E.
Sponsored GDR..................................... 157,043 756,224
*Egyptian Financial Group-Hermes Holding GDR......... 451 2,676
Orascom Construction Industries GDR................. 39,628 1,625,659
*Orascom Telecom Holding S.A.E. GDR.................. 246,435 852,806
------------
TOTAL EGYPT............................................ 3,237,365
------------
HUNGARY -- (0.7%)
ELMU NYRT........................................... 185 27,767
Magyar Telekom Telecommunications P.L.C............. 524,822 1,790,791
*MOL Hungarian Oil & Gas P.L.C....................... 42,653 5,961,230
#*OTP Bank P.L.C..................................... 248,729 8,830,468
Richter Gedeon NYRT................................. 13,851 2,898,442
*Tisza Chemical Group P.L.C.......................... 24,774 457,207
------------
TOTAL HUNGARY.......................................... 19,965,905
------------
INDIA -- (8.4%)
ACC, Ltd............................................ 43,053 1,080,198
Adani Enterprises, Ltd.............................. 108,375 1,537,256
*Adani Power, Ltd.................................... 3,489 8,882
Aditya Birla Nuvo, Ltd.............................. 979 19,242
*Agre Developers, Ltd................................ 388 509
*Allahabad Bank, Ltd................................. 8,439 39,172
Ambuja Cements, Ltd................................. 859,949 3,026,926
Asea Brown Boveri India, Ltd........................ 39,249 760,801
Asian Paints, Ltd................................... 29,464 1,850,514
Axis Bank, Ltd...................................... 227,042 6,609,001
Bajaj Auto, Ltd..................................... 88,932 2,970,435
Bajaj Finserv, Ltd.................................. 8,485 101,514
*Bank of India....................................... 27,875 288,654
Bharat Electronics, Ltd............................. 7,300 303,128
Bharat Heavy Electricals, Ltd....................... 19,249 872,004
31
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
INDIA -- (Continued)
Bharat Petroleum Corp., Ltd......................... 49,660 $ 705,090
Bharti Airtel, Ltd.................................. 852,924 7,314,575
*Bhushan Steel, Ltd.................................. 7,335 82,772
Bosch, Ltd.......................................... 13,501 2,028,779
*Cairn India, Ltd.................................... 61,194 483,768
*Canara Bank......................................... 41,430 592,016
*Central Bank of India............................... 30,013 91,534
Cipla, Ltd.......................................... 354,995 2,483,155
Colgate-Palmolive (India), Ltd...................... 6,437 131,200
Container Corp. of India............................ 595 15,479
*Corp. Bank.......................................... 467 6,179
Crompton Greaves, Ltd............................... 169,046 966,005
Cummins India, Ltd.................................. 12,348 196,830
Dabur India, Ltd.................................... 452,662 1,037,490
DLF, Ltd............................................ 141,516 714,261
Dr. Reddy's Laboratories, Ltd....................... 22,080 834,822
#Dr. Reddy's Laboratories, Ltd. ADR.................. 83,498 3,276,462
*Essar Oil, Ltd...................................... 129,130 386,886
Exide Industries, Ltd............................... 52,639 181,834
GAIL India, Ltd..................................... 57,000 613,845
GAIL India, Ltd. Sponsored GDR...................... 28,791 1,857,561
GlaxoSmithKline Pharmaceuticals, Ltd................ 21,922 1,114,323
Glenmark Pharmaceuticals, Ltd....................... 10,850 73,389
Godrej Consumer Products, Ltd....................... 23,579 201,135
Grasim Industries, Ltd.............................. 6,300 349,399
HCL Technologies, Ltd............................... 177,470 2,092,171
HDFC Bank, Ltd...................................... 306,074 15,870,362
Hero Honda Motors, Ltd. Series B.................... 89,012 3,443,117
*Hindalco Industries, Ltd............................ 31,100 151,892
Hindustan Unilever, Ltd............................. 894,265 5,771,698
ICICI Bank, Ltd. Sponsored ADR...................... 193,312 9,742,925
IDBI Bank, Ltd...................................... 20,895 67,925
*Idea Cellular, Ltd.................................. 128,515 199,820
*Indian Bank......................................... 23,302 127,271
*Indian Oil Corp., Ltd............................... 64,341 495,422
*Indian Overseas Bank................................ 23,029 79,547
*IndusInd Bank, Ltd.................................. 51,381 302,725
Infosys Technologies, Ltd........................... 282,676 18,581,616
#Infosys Technologies, Ltd. Sponsored ADR............ 233,496 15,219,269
Infrastructure Development Finance Co., Ltd......... 357,891 1,178,412
ITC, Ltd............................................ 2,298,662 9,998,423
Jaiprakash Associates, Ltd.......................... 70,072 147,275
*Jaiprakash Power Ventures, Ltd...................... 20,194 21,997
Jindal Steel & Power, Ltd........................... 382,842 5,666,950
*JSW Energy, Ltd..................................... 8,476 14,322
JSW Steel, Ltd...................................... 106,526 2,288,618
*Jubilant Industries, Ltd............................ 1,743 9,394
*Kotak Mahindra Bank, Ltd............................ 76,414 744,277
*Lanco Infratech, Ltd................................ 163,805 148,225
Larsen & Toubro, Ltd................................ 217,260 7,861,985
*LIC Housing Finance, Ltd............................ 53,635 266,495
Mahindra & Mahindra, Ltd............................ 298,575 5,096,670
Mangalore Refinery & Petrochemicals, Ltd............ 399,619 666,497
Maruti Suzuki India, Ltd............................ 101,304 3,029,109
*Mphasis, Ltd........................................ 1,514 16,101
Mundra Port & Special Economic Zone, Ltd............ 94,479 308,837
NTPC, Ltd........................................... 147,532 607,383
Oil & Natural Gas Corp, Ltd......................... 209,228 1,463,898
Oil India, Ltd...................................... 10,163 318,258
*Oracle Financial Services Software, Ltd............. 14,000 640,444
*Oriental Bank of Commerce........................... 29,147 228,280
32
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
INDIA -- (Continued)
Pantaloon Retail India, Ltd...................... 4,999 $ 31,144
Pantaloon Retail India, Ltd. Class B............. 305 1,277
Piramal Healthcare, Ltd.......................... 16,398 170,197
Power Grid Corp. of India, Ltd................... 21,633 51,066
Proctor & Gamble Hygiene & Health Care, Ltd...... 7,710 347,120
*Ranbaxy Laboratories, Ltd........................ 131,027 1,353,592
Reliance Capital, Ltd............................ 129,174 1,647,759
Reliance Communications, Ltd..................... 742,705 1,679,041
Reliance Energy, Ltd............................. 116,792 1,738,467
Reliance Industries, Ltd......................... 1,645,075 36,515,394
*Reliance Power, Ltd.............................. 168,359 496,226
*Rural Electrification Corp., Ltd................. 1,290 6,975
Sesa Goa, Ltd.................................... 466,659 3,317,863
Shriram Transport Finance Co., Ltd............... 11,519 202,047
*State Bank of India.............................. 32,851 2,088,314
Steel Authority of India, Ltd.................... 201,411 730,692
Sterlite Industries (India), Ltd. Series A....... 1,725,980 7,087,075
Sun Pharmaceuticals Industries, Ltd.............. 333,183 3,508,814
Sun TV Network, Ltd.............................. 10,627 102,144
Tata Chemicals, Ltd.............................. 19,724 167,866
Tata Consultancy Services, Ltd................... 481,215 12,667,589
Tata Motors, Ltd................................. 23,333 649,183
Tata Power Co., Ltd.............................. 110,221 3,245,903
Tata Steel, Ltd.................................. 105,709 1,473,017
Tech Mahindra, Ltd............................... 15,908 247,034
Thermax India, Ltd............................... 6,201 90,980
Titan Industries, Ltd............................ 2,839 259,228
*Torrent Power, Ltd............................... 5,014 28,032
*Ultratech Cement, Ltd............................ 19,791 487,061
Unitech, Ltd..................................... 25,419 21,314
United Spirits, Ltd.............................. 30,448 713,686
Wipro, Ltd....................................... 502,858 5,116,442
*Yes Bank, Ltd.................................... 39,562 273,821
Zee Entertainment Enterprises, Ltd............... 142,007 432,147
*Zee Learn, Ltd................................... 14,064 7,236
Zydus Wellness, Ltd.............................. 1,299 17,390
------------
TOTAL INDIA......................................... 245,047,771
------------
INDONESIA -- (2.5%)
PT Adaro Energy Tbk.............................. 5,833,000 1,505,576
PT Astra Agro Lestari Tbk........................ 222,000 602,140
PT Astra International Tbk....................... 2,078,561 13,661,027
PT Bank Central Asia Tbk......................... 9,187,000 7,956,908
PT Bank Danamon Indonesia Tbk.................... 2,719,740 1,974,500
PT Bank Mandiri Tbk.............................. 4,035,117 3,374,870
*PT Bank Negara Indonesia Persero Tbk............. 2,213,722 1,048,747
*PT Bank Pan Indonesia Tbk........................ 8,080,000 1,077,612
PT Bank Rakyat Indonesia Persero Tbk............. 6,566,000 4,957,498
*PT Bayan Resources Tbk........................... 13,000 25,660
PT Bumi Resources Tbk............................ 15,481,000 6,220,700
PT Gudang Garam Tbk.............................. 281,000 1,334,826
PT Indo Tambangraya Megah Tbk.................... 195,500 1,071,146
PT Indocement Tunggal Prakarsa Tbk............... 834,500 1,659,799
PT Indofood Sukses Makmur Tbk.................... 1,691,000 1,097,477
PT Indosat Tbk................................... 490,500 307,624
PT International Nickel Indonesia Tbk............ 1,647,500 960,931
PT Kalbe Farma Tbk............................... 1,161,000 485,756
PT Lippo Karawaci Tbk............................ 187 17
*PT Panasia Indosyntec Tbk........................ 75,100 1,920
PT Perusahaan Gas Negara Tbk..................... 6,456,000 3,023,524
PT Semen Gresik Persero Tbk...................... 2,263,000 2,514,326
33
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
INDONESIA -- (Continued)
PT Sinar Mas Agro Resources & Technology Tbk....... 1,150,500 $ 727,156
PT Tambang Batubara Bukit Asam Tbk................. 502,000 1,310,051
PT Telekomunikasi Indonesia Tbk.................... 11,996,140 10,812,679
PT Unilever Indonesia Tbk.......................... 1,623,500 2,905,416
PT United Tractors Tbk............................. 921,500 2,506,528
-----------
TOTAL INDONESIA........................................ 73,124,414
-----------
ISRAEL -- (0.0%)
IDB Holding Corp., Ltd............................. -- 12
*Koor Industries, Ltd............................... 1 13
*Makhteshim-Agan Industries, Ltd.................... 1 3
Osem Investments, Ltd.............................. 1 9
-----------
TOTAL ISRAEL........................................... 37
-----------
MALAYSIA -- (3.4%)
Affin Holdings Berhad.............................. 318,200 376,356
*Airasia Berhad..................................... 2,000 1,942
Alliance Financial Group Berhad.................... 323,300 339,715
AMMB Holdings Berhad............................... 874,959 1,886,813
*Axiata Group Berhad................................ 2,221,275 3,679,402
Batu Kawan Berhad.................................. 15,000 77,593
Berjaya Corp. Berhad............................... 734,800 283,339
*Berjaya Media Berhad............................... 18,300 3,449
*Berjaya Retail Berhad.............................. 73,480 16,001
Berjaya Sports Toto Berhad......................... 709,264 1,011,494
Boustead Holdings Berhad........................... 197,860 386,906
British American Tobacco Malaysia Berhad........... 135,500 2,197,320
*Bursa Malaysia Berhad.............................. 44,600 120,959
CIMB Group Holdings Berhad......................... 3,992,654 11,053,312
DiGi.Com Berhad.................................... 329,462 3,239,392
*EON Capital Berhad................................. 175,500 428,381
Fraser & Neave Holdings Berhad..................... 61,000 364,504
Gamuda Berhad...................................... 805,700 1,017,924
Genting Berhad..................................... 2,167,400 8,499,745
Genting Malaysia Berhad............................ 2,820,500 3,510,061
Genting Plantations Berhad......................... 213,900 578,117
Hong Leong Bank Berhad............................. 494,050 1,734,679
Hong Leong Financial Group Berhad.................. 205,729 713,293
IJM Corp. Berhad................................... 414,560 868,202
IOI Corp. Berhad................................... 3,208,105 5,735,496
Kuala Lumpur Kepong Berhad......................... 443,400 3,164,896
Lafarge Malayan Cement Berhad...................... 259,580 635,228
Malayan Banking Berhad............................. 757,665 2,240,447
*Malaysia Airports Holdings Berhad.................. 23,200 48,386
*Malaysian Airlines System Berhad................... 1,089,334 670,684
MISC Berhad........................................ 1,391,098 3,667,484
MMC Corp. Berhad................................... 922,900 836,769
Nestle (Malaysia) Berhad........................... 204,500 3,310,456
Oriental Holdings Berhad........................... 225,780 394,092
Parkson Holdings Berhad............................ 186,320 360,599
Petronas Dagangan Berhad........................... 257,600 1,347,150
Petronas Gas Berhad................................ 475,500 1,808,473
Plus Expressways Berhad............................ 2,201,100 3,342,050
PPB Group Berhad................................... 382,800 2,196,004
Public Bank Berhad................................. 67,739 299,361
Public Bank Berhad Foreign Market Shares........... 1,039,201 4,598,415
RHB Capital Berhad................................. 372,800 1,116,626
Shell Refining Co. Federation of Malaysia Berhad... 149,500 550,438
Sime Darby Berhad.................................. 2,342,720 7,137,318
SP Setia Berhad.................................... 883,425 1,246,177
Star Publications (Malaysia) Berhad................ 165,900 191,716
34
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
MALAYSIA -- (Continued)
Telekom Malaysia Berhad............................. 957,700 $ 1,291,086
Tenaga Nasional Berhad.............................. 2,608,450 5,297,491
*UEM Land Holdings Berhad............................ 788,637 717,379
UMW Holdings Berhad................................. 475,466 1,128,120
YTL Corp. Berhad.................................... 5,279,425 2,961,859
YTL Power International Berhad...................... 283,040 215,993
------------
TOTAL MALAYSIA......................................... 98,899,092
------------
MEXICO -- (6.2%)
*Alfa S.A.B. de C.V. Series A........................ 41,900 622,766
#America Movil S.A.B. de C.V. Series L............... 22,345,121 64,016,791
America Movil S.A.B. de C.V. Series L ADR........... 11,264 644,301
*Cementos de Mexico S.A.B de C.V. Series B........... 289,651 250,608
#*Cemex S.A.B. de C.V. Sponsored ADR.................. 283,720 2,462,690
#Coca-Cola Femsa S.A.B. de C.V. Series L............. 298,900 2,385,135
*Corporacion Interamericana de Entramiento S.A.B. de
C.V. Series B...................................... 28,827 16,277
Corporativo Fragua S.A.B. de C.V.................... 21 274
El Puerto de Liverpool S.A.B. de C.V................ 109,400 826,794
#Fomento Economico Mexicano S.A.B. de C.V. Series B
& D................................................ 2,109,900 13,267,863
Grupo Carso S.A.B. de C.V. Series A-1............... 577,632 2,243,952
#*Grupo Elektra S.A. de C.V........................... 88,187 4,021,836
Grupo Financiero Banorte S.A.B. de C.V.............. 1,473,229 7,358,658
#Grupo Financiero Inbursa S.A.B. de C.V. Series O.... 908,264 4,753,677
#Grupo Industrial Bimbo S.A.B. de C.V. Series A...... 1,570,500 3,472,052
Grupo Industrial Maseca S.A.B. de C.V. Series B..... 229,000 275,515
Grupo Mexico S.A.B. de C.V. Series B................ 3,928,317 13,602,050
#Grupo Modelo S.A.B. de C.V. Series C................ 731,750 4,637,122
*Grupo Nutrisa S.A.B. de C.V......................... 129 448
*Grupo Qumma S.A. de C.V. Series B................... 1,591 25
*Grupo Televisa S.A. de C.V.......................... 1,704,800 8,068,096
*Grupo Televisa S.A. de C.V. Sponsored ADR........... 109,820 2,604,930
*Impulsora del Desarrollo y El Empleo en America
Latina S.A.B. de C.V............................... 2,373,426 4,329,677
#Industrias Penoles S.A.B. de C.V.................... 99,638 3,877,605
#*Inmuebles Carso S.A.B. de C.V....................... 813,232 916,959
Kimberly Clark de Mexico S.A.B. de C.V. Series A.... 607,800 3,748,690
*Minera Frisco S.A.B. de C.V......................... 799,732 3,444,384
#Organizacion Soriana S.A.B. de C.V. Series B........ 1,112,075 3,816,820
*Savia S.A. de C.V................................... 120,000 8,339
Telefonos de Mexico S.A.B. de C.V. Series A......... 200,000 187,809
Telefonos de Mexico S.A.B. de C.V. Series L......... 5,939,500 5,572,296
*Urbi Desarrollos Urbanos S.A.B. de C.V.............. 29,362 70,142
#Wal-Mart de Mexico S.A.B. de C.V. Series V.......... 6,300,780 19,704,134
------------
TOTAL MEXICO........................................... 181,208,715
------------
PERU -- (0.4%)
Cia de Minas Buenaventura S.A. ADR.................. 103,984 4,333,013
*Credicorp, Ltd...................................... 70,822 6,835,739
------------
TOTAL PERU............................................. 11,168,752
------------
PHILIPPINES -- (0.4%)
Aboitiz Equity Ventures, Inc........................ 884,000 819,498
Aboitiz Power Corp.................................. 1,073,000 792,766
Ayala Corp. Series A................................ 185,413 1,695,995
Ayala Land, Inc..................................... 4,735,418 1,821,335
Banco de Oro Unibank, Inc........................... 1,011,418 1,284,686
Bank of the Philippine Islands...................... 1,747,004 2,402,926
*Filipina Water Bottling Corp........................ 2,006,957 --
Manila Electric Co.................................. 15,000 85,941
*Metro Bank & Trust Co............................... 351,163 563,518
Philippine Long Distance Telephone Co............... 42,445 2,467,106
35
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
PHILIPPINES -- (Continued)
*SM Investments Corp................................. 6,000 $ 81,204
SM Prime Holdings, Inc.............................. 508,168 142,643
Universal Robina Corp............................... 36,400 31,754
------------
TOTAL PHILIPPINES...................................... 12,189,372
------------
POLAND -- (1.4%)
Asseco Poland SA.................................... 43,043 861,153
Bank Handlowy w Warszawie SA........................ 17,748 668,410
*Bank Millennium SA.................................. 279,559 572,990
Bank Pekao SA....................................... 113,393 7,432,331
*Bank Przemyslowo Handlowy BPH SA.................... 2,029 58,111
*BRE Bank SA......................................... 7,401 964,256
Browary Zywiec SA................................... 13,516 3,638,954
Cyfrowy Polsat SA................................... 16,779 102,577
*Enea SA............................................. 12,021 88,322
*Eurocash SA......................................... 3,829 46,882
*Getin Holding SA.................................... 156,860 881,479
*Getin Holding SA Allotment Certificates............. 3,927 22,056
*Grupa Lotos SA...................................... 41,630 744,709
*ING Bank Slaski SA.................................. 1,790 590,801
*Kernel Holding SA................................... 10,020 272,054
KGHM Polska Miedz SA................................ 61,000 4,487,143
*Kredyt Bank SA...................................... 65,825 430,157
*Mondi Packaging Paper Swiecie SA.................... 12,683 394,223
*PGE SA.............................................. 182,228 1,644,612
*Polski Koncern Naftowy Orlen SA..................... 267,237 5,570,036
Polskie Gornictwo Naftowe I Gazownictwo SA.......... 748,661 1,096,503
Powszechna Kasa Oszczednosci Bank Polski SA......... 267,637 4,605,666
*Synthos SA.......................................... 104,269 176,998
Telekomunikacja Polska SA........................... 591,537 3,910,604
TVN SA.............................................. 91,082 603,545
------------
TOTAL POLAND........................................... 39,864,572
------------
RUSSIA -- (5.0%)
*Evraz Group SA GDR.................................. 74,992 2,548,322
*Federal Hydrogenerating Co. ADR..................... 773,445 4,032,234
Gazprom OAO Sponsored ADR........................... 3,487,010 59,083,004
Gazpromneft JSC Sponsored ADR....................... 47,396 1,202,291
Lukoil OAO Sponsored ADR............................ 354,178 24,616,048
Magnitogorsk Iron & Steel Works Sponsored GDR....... 111,820 1,410,391
MMC Norilsk Nickel JSC ADR.......................... 597,703 16,545,199
Novolipetsk Steel OJSC GDR.......................... 83,762 3,208,723
Novorossiysk Sea Trade Port GDR..................... 7,539 71,139
*Polymetal JSC GDR................................... 64,567 1,236,666
Rosneft Oil Co. GDR................................. 1,184,101 10,605,045
Severstal OAO GDR................................... 106,027 1,917,940
Surgutneftegas Sponsonsored ADR..................... 544,495 5,822,487
Tatneft Sponsored ADR............................... 29,354 1,325,993
*TMK OAO GDR......................................... 43,610 896,490
Uralkali Sponsored GDR.............................. 111,980 4,721,094
VimpelCom, Ltd. Sponsored ADR....................... 50,835 740,666
VTB Bank OJSC GDR................................... 582,346 3,780,546
*X5 Retail Group NV GDR.............................. 59,942 2,120,154
------------
TOTAL RUSSIA........................................... 145,884,432
------------
SOUTH AFRICA -- (7.8%)
ABSA Group, Ltd..................................... 362,514 7,508,747
African Bank Investments, Ltd....................... 374,940 2,188,813
African Rainbow Minerals, Ltd....................... 105,298 3,429,537
Anglo American Platinum Corp., Ltd.................. 70,553 7,180,148
36
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
SOUTH AFRICA -- (Continued)
#AngloGold Ashanti, Ltd. Sponsored ADR............... 197,922 $ 10,090,064
ArcelorMittal South Africa, Ltd..................... 225,381 3,086,590
Aspen Pharmacare Holdings, Ltd...................... 72,465 894,574
Barloworld, Ltd..................................... 45,024 508,955
Bidvest Group, Ltd.................................. 182,111 4,198,606
Discovery Holdings, Ltd............................. 357,805 2,064,082
Exxaro Resources, Ltd............................... 83,898 2,262,714
FirstRand, Ltd...................................... 1,540,707 4,852,072
Freeworld Coatings, Ltd............................. 88,329 164,629
Gold Fields, Ltd. Sponsored ADR..................... 425,086 7,583,534
*Growthpoint Properties, Ltd......................... 3,896 10,816
Harmony Gold Mining Co., Ltd........................ 132,269 2,006,134
Harmony Gold Mining Co., Ltd. Sponsored ADR......... 331,569 5,162,529
Impala Platinum Holdings, Ltd....................... 478,692 14,970,063
Imperial Holdings, Ltd.............................. 53,487 949,250
Investec, Ltd....................................... 118,615 959,952
Kumba Iron Ore, Ltd................................. 15,092 1,104,351
Liberty Holdings, Ltd............................... 117,508 1,288,585
Massmart Holdings, Ltd.............................. 83,456 1,816,622
*Medi-Clinic Corp., Ltd.............................. 9,184 40,534
MMI Holdings, Ltd................................... 283,735 736,026
Mondi, Ltd.......................................... 32,757 315,230
Mr. Price Group, Ltd................................ 4,144 42,455
MTN Group, Ltd...................................... 1,659,950 36,468,496
Naspers, Ltd. Series N.............................. 324,237 19,216,311
Nedbank Group, Ltd.................................. 55,383 1,234,004
Network Healthcare Holdings, Ltd.................... 251,159 542,283
Northam Platinum, Ltd............................... 29,145 192,591
Pick'n Pay Stores, Ltd.............................. 244,318 1,580,395
Pretoria Portland Cement Co., Ltd................... 591,367 2,248,721
PSG Group, Ltd...................................... 81,771 543,643
Sanlam, Ltd......................................... 961,639 4,124,867
*Sappi, Ltd. Sponsored ADR........................... 500 2,700
#Sasol, Ltd. Sponsored ADR........................... 721,569 41,721,120
Shoprite Holdings, Ltd.............................. 440,921 6,959,148
Standard Bank Group, Ltd............................ 861,864 13,536,033
Steinhoff International Holdings, Ltd............... 842,503 3,227,202
*Super Group, Ltd.................................... 37,827 4,560
Telkom South Africa, Ltd............................ 318,908 1,858,406
Tiger Brands, Ltd................................... 79,054 2,308,496
Truworths International, Ltd........................ 186,043 2,152,048
Vodacom Group, Ltd.................................. 389,448 4,769,894
Woolworths Holdings, Ltd............................ 130,252 594,485
------------
TOTAL SOUTH AFRICA..................................... 228,701,015
------------
SOUTH KOREA -- (14.3%)
#Amorepacific Corp................................... 3,479 3,506,747
Cheil Industrial, Inc............................... 20,690 2,281,190
*Daelim Industrial Co., Ltd.......................... 18,215 2,060,185
#*Daewoo Engineering & Construction Co., Ltd.......... 125,248 1,334,579
#Daewoo International Corp........................... 38,863 1,511,824
*Daewoo Securities Co., Ltd.......................... 103,195 2,177,482
Daewoo Shipbuilding & Marine Engineering Co., Ltd... 105,130 4,505,671
Dongbu Insurance Co., Ltd........................... 100 4,768
Doosan Corp......................................... 4,502 553,190
Doosan Heavy Industries & Construction Co., Ltd..... 21,575 1,204,751
#*Doosan Infracore Co., Ltd........................... 82,000 2,273,612
GS Engineering & Construction Corp.................. 27,320 3,292,774
#GS Holdings Corp.................................... 42,945 3,600,556
Hana Financial Group, Inc........................... 126,111 5,350,730
#Hankook Tire Manufacturing Co., Ltd................. 82,310 3,305,935
37
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
SOUTH KOREA -- (Continued)
*Hanwha Corp......................................... 11,920 $ 548,769
#Hynix Semiconductor, Inc............................ 181,980 5,754,210
*Hyosung T & C Co., Ltd.............................. 7,217 592,374
Hyundai Department Store Co., Ltd................... 6,301 924,462
Hyundai Development Co.............................. 3,928 107,586
Hyundai Engineering & Construction Co., Ltd......... 8,263 694,124
Hyundai Glovis Co., Ltd............................. 6,360 908,920
Hyundai Heavy Industries Co., Ltd................... 39,086 19,548,628
Hyundai Merchant Marine Co., Ltd.................... 26,021 794,629
*Hyundai Mipo Dockyard Co., Ltd...................... 3,146 558,767
#Hyundai Mobis....................................... 53,070 17,800,124
Hyundai Motor Co., Ltd.............................. 95,919 22,123,640
Hyundai Steel Co.................................... 58,560 7,460,077
Industrial Bank of Korea, Ltd....................... 90,040 1,730,357
#Kangwon Land, Inc................................... 114,660 2,606,808
KB Financial Group, Inc............................. 139,085 7,455,713
*KB Financial Group, Inc. ADR........................ 2,072 110,417
KCC Corp............................................ 5,799 1,966,429
Kia Motors Corp..................................... 225,130 16,195,539
*Korea Electric Power Corp........................... 262,020 6,277,792
Korea Exchange Bank................................. 200,200 1,706,201
Korea Gas Corp...................................... 23,463 748,459
Korea Zinc Co., Ltd................................. 1,294 511,040
*Korean Air Co., Ltd................................. 21,974 1,343,315
KT Corp............................................. 110,260 3,958,660
KT&G Corp........................................... 103,590 6,131,129
LG Chemical, Ltd.................................... 32,392 16,092,933
LG Corp............................................. 118,265 10,888,100
#LG Display Co., Ltd. ADR............................ 201,858 3,597,110
#LG Electronics, Inc................................. 88,910 8,559,430
#LG Household & Healthcare Co., Ltd.................. 5,120 2,059,436
LG Uplus Corp....................................... 86,270 524,116
Lotte Shopping Co., Ltd............................. 4,474 2,040,419
LS Corp............................................. 5,756 638,020
NCsoft Corp......................................... 4,942 1,310,586
#*NHN Corp........................................... 8,597 1,705,525
OCI Co., Ltd........................................ 3,894 2,329,323
POSCO............................................... 46,060 20,212,768
Samsung Card Co., Ltd............................... 23,720 1,178,552
#Samsung Corp........................................ 100,930 7,311,633
#Samsung Electro-Mechanics Co., Ltd.................. 37,767 3,655,869
#Samsung Electronics Co., Ltd........................ 95,982 80,171,919
Samsung Electronics Co., Ltd. GDR................... 49,372 20,610,804
Samsung Engineering Co., Ltd........................ 6,628 1,474,055
Samsung Fire & Marine Insurance, Ltd................ 35,022 7,523,107
#Samsung Heavy Industries Co., Ltd................... 126,000 5,712,287
#Samsung SDI Co., Ltd................................ 23,228 4,162,253
*Samsung Securities Co., Ltd......................... 33,780 2,824,443
#Samsung Techwin Co., Ltd............................ 7,702 634,805
Shinhan Financial Group Co., Ltd.................... 218,686 10,728,320
#Shinhan Financial Group Co., Ltd. ADR............... 16,770 1,627,025
Shinsegae Co., Ltd.................................. 25,192 6,347,072
SK Co., Ltd......................................... 21,194 3,808,887
#SK Innovation Co., Ltd.............................. 51,889 11,287,927
SK Telecom Co., Ltd................................. 40,416 6,123,566
#S-Oil Corp.......................................... 46,083 6,889,960
Woongjin Coway Co., Ltd............................. 13,260 443,146
------------
TOTAL SOUTH KOREA 417,995,559
------------
TAIWAN -- (11.6%)
#Acer, Inc........................................... 2,805,040 5,262,313
38
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
TAIWAN -- (Continued)
Advanced Semiconductor Engineering, Inc............. 3,289,702 $ 3,852,990
Advantech Co., Ltd.................................. 132,000 437,936
#Asia Cement Corp.................................... 2,174,316 2,915,207
Asustek Computer, Inc............................... 445,230 4,019,375
#*AU Optronics Corp................................... 1,332,873 1,074,400
*AU Optronics Corp. Sponsored ADR.................... 353,406 2,862,589
#Catcher Technology Co., Ltd......................... 302,429 1,903,376
Cathay Financial Holdings Co., Ltd.................. 3,891,738 6,506,872
Chang Hwa Commercial Bank........................... 2,229,000 1,948,122
#Cheng Shin Rubber Industry Co., Ltd................. 1,166,486 2,948,721
#Chicony Electronics Co., Ltd........................ 232,436 458,533
#*Chimei Innolux Corp................................. 3,192,818 3,286,546
*China Airlines, Ltd................................. 1,086,000 695,203
China Development Financial Holding Corp............ 4,762,150 1,998,142
China Life Insurance Co., Ltd....................... 671,420 786,326
*China Petrochemical Development Corp................ 305,000 380,619
China Steel Corp.................................... 9,036,342 11,189,970
Chinatrust Financial Holdings Co., Ltd.............. 3,493,931 3,210,021
#Chunghwa Telecom Co., Ltd. ADR...................... 196,517 6,200,111
Clevo Co., Ltd...................................... 258,643 592,843
#Compal Electronics, Inc............................. 3,781,541 4,295,168
#Delta Electronics, Inc.............................. 1,812,366 8,112,755
E.Sun Financial Holding Co., Ltd.................... 2,036,668 1,445,176
#Epistar Corp........................................ 396,000 1,316,568
*Eva Airways Corp.................................... 856,000 789,240
*Evergreen Marine Corp., Ltd......................... 1,047,869 971,181
#Everlight Electronics Co., Ltd...................... 163,942 469,353
#Far Eastern Department Stores Co., Ltd.............. 390,525 691,358
#Far Eastern New Century Corp........................ 3,073,987 4,839,500
Far EasTone Telecommunications Co., Ltd............. 815,000 1,236,490
#Farglory Land Development Co., Ltd.................. 134,229 306,736
First Financial Holding Co., Ltd.................... 5,340,838 4,955,288
Formosa Chemicals & Fiber Co., Ltd.................. 3,356,445 13,573,038
Formosa Plastics Corp............................... 4,522,648 18,520,887
Formosa Taffeta Co., Ltd............................ 642,000 696,229
#Foxconn Technology Co., Ltd......................... 696,661 3,340,388
Fubon Financial Holding Co., Ltd.................... 6,236,736 9,161,570
Giant Manufacture Co., Ltd.......................... 86,506 346,074
#Highwealth Construction Corp........................ 213,000 473,477
Hon Hai Precision Industry Co., Ltd................. 5,190,997 19,712,931
#Hotai Motor Co., Ltd................................ 298,000 934,201
HTC Corp............................................ 553,558 25,196,124
Hua Nan Financial Holding Co., Ltd.................. 4,578,066 3,665,921
#*Inotera Memories, Inc.............................. 674,976 339,431
Inventec Co., Ltd................................... 1,819,358 979,626
#Kinsus Interconnect Technology Corp................. 120,000 419,241
#Largan Precision Co., Ltd........................... 52,860 1,680,272
#LCY Chemical Corp................................... 87,853 260,226
Lite-On Technology Corp............................. 1,346,798 1,707,764
#Macronix International Co., Ltd..................... 2,457,825 1,615,910
#Media Tek, Inc...................................... 736,995 8,160,660
Mega Financial Holding Co., Ltd..................... 4,782,000 4,177,972
Nan Ya Plastic Corp................................. 6,052,564 18,590,966
#Nan Ya Printed Circuit Board Corp................... 200,940 657,646
#*Nanya Technology Corp............................... 185,000 93,984
Novatek Microelectronics Corp....................... 276,000 845,958
#*Pegatron Corp....................................... 1,211,345 1,281,661
Polaris Securities Co., Ltd......................... 465,000 334,979
#Pou Chen Corp....................................... 2,047,487 1,934,505
Powertech Technology, Inc........................... 339,836 1,236,265
#President Chain Store Corp.......................... 576,831 3,166,628
39
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
TAIWAN -- (Continued)
*Qisda Corp....................................... 728,000 $ 415,051
#Quanta Computer, Inc............................. 662,000 1,306,602
Richtek Technology Corp.......................... 74,550 499,292
#Ruentex Development Co., Ltd..................... 251,000 418,671
Ruentex Industries, Ltd.......................... 239,000 675,717
*Shin Kong Financial Holding Co., Ltd............. 2,977,344 1,307,196
#Siliconware Precision Industries Co.............. 2,347,324 3,147,740
SinoPac Holdings Co., Ltd........................ 3,543,000 1,683,589
#Synnex Technology International Corp............. 1,019,756 2,606,947
*Taishin Financial Holdings Co., Ltd.............. 2,099,122 1,237,256
*Taiwan Business Bank............................. 1,900,800 773,758
Taiwan Cement Corp............................... 2,650,720 3,894,394
Taiwan Cooperative Bank.......................... 3,297,397 2,768,858
Taiwan Fertilizer Co., Ltd....................... 421,000 1,420,483
Taiwan Glass Industrial Corp..................... 988,476 1,616,043
Taiwan Mobile Co., Ltd........................... 47,000 121,375
#Taiwan Semiconductor Manufacturing Co., Ltd...... 22,386,808 57,903,170
*Tatung Co., Ltd.................................. 260,792 130,910
Transcend Information, Inc....................... 131,181 386,026
Tripod Technology Corp........................... 217,000 1,028,242
U-Ming Marine Transport Corp..................... 551,860 1,196,621
#Unimicron Technology Corp........................ 769,896 1,270,051
Uni-President Enterprises Corp................... 3,845,980 5,543,336
United Microelectronics Corp..................... 7,733,000 4,036,235
*Walsin Lihwa Corp................................ 1,287,000 747,071
*Wan Hai Lines Co., Ltd........................... 426,000 326,384
#*Wintek Corp..................................... 528,000 772,596
#Wistron Corp..................................... 1,314,716 2,369,240
#WPG Holdings, Ltd................................ 461,348 854,593
*Yang Ming Marine Transport Corp.................. 748,000 634,467
#Young Fast Optoelectronics Co., Ltd.............. 50,294 344,934
Yuanta Financial Holding Co., Ltd................ 3,090,885 2,151,102
Yulon Motor Co., Ltd............................. 310,000 646,147
------------
TOTAL TAIWAN........................................ 339,297,659
------------
THAILAND -- (1.9%)
Advance Info Service PCL (Foreign)............... 1,022,200 3,167,621
Bangkok Bank PCL (Foreign)....................... 329,000 1,873,702
Bangkok Bank PCL (Foreign) NVDR.................. 286,400 1,631,089
Bangkok Dusit Medical Services PCL (Foreign)..... 82,900 145,110
Bank of Ayudhya PCL (Foreign).................... 2,590,200 2,494,749
Banpu PCL (Foreign).............................. 113,100 2,826,553
BEC World PCL (Foreign).......................... 975,300 1,127,231
Charoen Pokphand Foods PCL (Foreign)............. 2,686,100 2,654,605
CP ALL PCL (Foreign)............................. 1,978,700 2,866,961
Delta Electronics (Thailand) PCL (Foreign)....... 10 9
Glow Energy PCL (Foreign)........................ 119,000 182,387
IRPC PCL (Foreign)............................... 4,240,300 880,732
Kasikornbank PCL (Foreign)....................... 1,531,600 6,670,285
Krung Thai Bank PCL (Foreign).................... 4,726,870 3,103,740
Land & Houses PCL (Foreign) NVDR................. 790,000 174,673
PTT Aromatics & Refining PCL (Foreign)........... 1,287,137 1,778,707
PTT Chemical PCL (Foreign)....................... 517,460 2,773,655
PTT Exploration & Production PCL (Foreign)....... 592,000 3,688,844
PTT PCL (Foreign)................................ 649,900 8,164,573
Ratchaburi Electricity Generating Holding PCL
(Foreign)...................................... 521,300 698,559
Siam Cement PCL (Foreign) (The).................. 117,100 1,624,100
Siam Cement PCL (Foreign) NVDR (The)............. 41,600 522,613
Siam City Cement PCL (Foreign)................... 94,913 689,987
Siam Commercial Bank PCL (Foreign)............... 1,001,366 3,891,406
Thai Oil PCL (Foreign)........................... 218,000 617,119
40
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
THAILAND -- (Continued)
*TMB Bank PCL (Foreign)........................... 4,680,000 $ 363,739
*Total Access Communication PCL (Foreign) NVDR.... 66,900 113,181
--------------
TOTAL THAILAND...................................... 54,725,930
--------------
TURKEY -- (1.6%)
Akbank T.A.S..................................... 1,275,410 6,630,316
Anadolu Efes Biracilik ve Malt Sanayi A.S........ 224,805 3,451,974
Arcelik A.S...................................... 57,897 328,188
Asya Katilim Bankasi A.S......................... 151,578 300,230
Aygaz A.S........................................ 19,411 144,242
BIM BirlesikMagazalar A.S........................ 35,088 1,222,404
*Dogan Sirketler Grubu Holdings A.S............... 399,572 317,207
*Dogan Yayin Holding A.S.......................... 3 4
Enka Insaat ve Sanayi A.S........................ 278,759 1,219,425
*Eregli Demir ve Celik Fabrikalari T.A.S.......... 452,355 1,377,347
*Eregli Demir ve Celik Fabrikalari T.A.S.......... 155,497 443,693
Ford Otomotiv Sanayi A.S......................... 74,222 754,761
Koc Holding A.S. Series B........................ 775,171 4,167,365
*Petkim Petrokimya Holding A.S.................... 201,256 349,632
Tupras Turkiye Petrol Rafinerileri A.S........... 122,470 3,984,921
*Turk Hava Yollari A.S............................ 150,171 442,712
Turkcell Iletisim Hizmetleri AS.................. 240,093 1,420,162
Turkiye Garanti Bankasi A.S...................... 2,046,828 10,600,823
Turkiye Halk Bankasi A.S......................... 139,950 1,213,076
Turkiye Is Bankasi A.S........................... 1,484,267 5,248,419
*Turkiye Sise ve Cam Fabrikalari A.S.............. 232,233 569,824
Turkiye Vakiflar Bankasi T.A.O................... 385,861 1,024,435
*Yapi ve Kredi Bankasi A.S........................ 819,337 2,576,404
--------------
TOTAL TURKEY........................................ 47,787,564
--------------
TOTAL COMMON STOCKS................................. 2,479,677,712
--------------
PREFERRED STOCKS -- (8.3%)
BRAZIL -- (8.3%)
AES Tiete SA..................................... 35,200 580,625
Banco Bradesco SA................................ 1,584,132 31,396,667
Banco do Estado do Rio Grande do Sul SA.......... 98,400 1,169,642
Brasil Telecom SA................................ 396,753 3,666,914
Brasil Telecom SA ADR............................ 14,349 404,642
#Braskem SA Preferred A Sponsored ADR............. 37,695 1,124,442
#Cia Brasileira de Distribuicao Grupo Pao de
Acucar SA Sponsored ADR Series A................ 70,200 3,191,292
Cia de Bebidas das Americas SA................... 415 13,221
Cia de Bebidas das Americas SA Preferred ADR..... 661,939 21,565,973
Cia de Transmissao de Energia Electrica Paulista
SA Series A.................................... 10,800 348,535
Cia Energetica de Minas Gerais SA................ 291,821 5,939,555
*Cia Paranaense de Energia SA Sponsored ADR
Series A........................................ 35,600 981,492
Empresa Nasional de Comercio Redito e
Participacoes SA............................... 480 6,368
Gerdau SA........................................ 756,268 9,013,492
Itau Unibanco Holding SA......................... 1,765,755 41,248,091
Itau Unibanco Holding SA ADR..................... 271,346 6,444,468
Lojas Americanas SA.............................. 61,900 550,852
Petroleo Brasilerio SA ADR....................... 1,376,550 45,935,474
*Suzano Papel e Celullose SA...................... 50,500 496,911
Tele Norte Leste Participacoes SA................ 118,734 1,984,183
Tele Norte Leste Participacoes SA ADR............ 127,600 2,175,580
Telecomunicacoes de Sao Paulo SA................. 96,700 2,575,470
Telemar Norte Leste SA........................... 26,112 906,916
#Tim Participacoes SA ADR......................... 19,000 896,420
#Ultrapar Participacoes SA Sponsored ADR.......... 254,308 4,575,001
Usinas Siderurgicas de Minas Gerais SA Series A.. 387,924 3,969,982
Vale SA Series A................................. 1,412,691 41,405,531
*Vale SA Series B................................. 81,160 --
41
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value++
------ -----
BRAZIL -- (Continued)
Vale SA Sponsored ADR......................... 166,500 $ 4,978,350
Vivo Participacoes SA......................... 134,958 5,475,699
--------------
TOTAL BRAZIL..................................... 243,021,788
--------------
TOTAL PREFERRED STOCKS........................... 243,021,788
--------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
*Cia de Transmissao de Energia Electrica
Paulista SA Series A Rights 05/26/11......... 107 89
*Tim Participacoes SA Rights 05/12/11.......... 44 17
--------------
TOTAL BRAZIL..................................... 106
--------------
TAIWAN -- (0.0%)
*China Life Insurance Co., Ltd. Rights 05/12/11 88,416 26,088
--------------
TOTAL RIGHTS/WARRANTS............................ 26,194
--------------
Face
Amount Value+
------ -----
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets,
Inc. 0.19%, 05/02/11 (Collateralized by
$6,705,000 FNMA 2.24%, 07/06/15, valued at
$6,872,625) to be repurchased at $6,769,107. $ 6,769 6,769,000
--------------
Shares /
Face
Amount
------
(000)
SECURITIES LENDING COLLATERAL -- (6.5%)
(S)@DFA Short Term Investment Fund............... 188,392,000 188,392,000
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.04%, 05/02/11
(Collateralized by $48,926,610 FNMA 2.063%(r),
06/01/35, valued at $179,153)## to be
repurchased at $175,641......................... $ 176 175,640
--------------
TOTAL SECURITIES LENDING COLLATERAL.............. 188,567,640
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,415,552,525)......................... $2,918,062,334
==============
42
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
April 30, 2011
(Unaudited)
Shares Value+
------ -----
COMMON STOCKS -- (96.4%)
Consumer Discretionary -- (17.5%)
*1-800-FLOWERS.COM, Inc.............................. 4,071 $ 13,638
#Aaron's, Inc........................................ 128 3,685
*AC Moore Arts & Crafts, Inc......................... 29,088 79,119
Acme United Corp.................................... 1,030 9,682
*AH Belo Corp........................................ 2,331 19,394
Aldila, Inc......................................... 2,281 9,808
#American Greetings Corp. Class A.................... 62,335 1,533,441
*America's Car-Mart, Inc............................. 2,670 65,362
*Arctic Cat, Inc..................................... 21,666 363,772
*Ascent Media Corp................................... 3,617 173,725
*Audiovox Corp. Class A.............................. 26,868 198,286
#*AutoNation, Inc..................................... 58,733 1,991,636
*Ballantyne Strong, Inc.............................. 1,196 8,073
#Barnes & Noble, Inc................................. 39,682 436,105
*Bassett Furniture Industries, Inc................... 1,236 11,087
*Beasley Broadcast Group, Inc........................ 9,471 63,835
#*Beazer Homes USA, Inc............................... 50,253 234,179
bebe stores, Inc.................................... 27,865 187,253
*Benihana, Inc....................................... 3,200 28,320
*Benihana, Inc. Class A.............................. 2,072 18,337
*Biglari Holdings, Inc............................... 1,967 860,051
*Bluegreen Corp...................................... 13,073 50,854
Blyth, Inc.......................................... 5,078 239,377
Bob Evans Farms, Inc................................ 52,387 1,642,856
#Books-A-Million, Inc................................ 20,187 93,264
#*Boyd Gaming Corp.................................... 27,300 244,062
*Brookfield Residential Properties, Inc.............. 28,134 347,455
#Brown Shoe Co., Inc................................. 53,916 682,037
*Build-A-Bear-Workshop, Inc.......................... 30,090 184,452
#*Cabela's, Inc....................................... 109,175 2,788,330
*Cache, Inc.......................................... 17,998 103,309
#Callaway Golf Co.................................... 112,370 795,580
*Cambium Learning Group, Inc......................... 37,138 127,755
*Canterbury Park Holding Corp........................ 2,755 35,787
Carnival Corp....................................... 489,649 18,640,937
*Carriage Services, Inc.............................. 19,056 121,958
#*Cavco Industries, Inc............................... 5,860 272,373
CBS Corp. Class A................................... 29,591 750,132
CBS Corp. Class B................................... 955,791 24,105,049
*Charming Shoppes, Inc............................... 112,182 508,184
Chico's FAS, Inc.................................... 36,233 530,089
Christopher & Banks Corp............................ 62,531 384,566
Churchill Downs, Inc................................ 3,871 161,459
Cinemark Holdings, Inc.............................. 14,500 294,785
*Clear Channel Outdoor Holdings, Inc. Class A........ 15,638 215,179
*Coast Distribution System, Inc...................... 547 2,122
#*Collective Brands, Inc.............................. 59,190 1,242,990
Comcast Corp. Class A............................... 3,570,978 93,702,463
Comcast Corp. Special Class A....................... 1,432,185 35,160,142
#*Conn's, Inc......................................... 229 1,500
*Core-Mark Holding Co., Inc.......................... 24,059 806,217
#*Corinthian Colleges, Inc............................ 23,500 104,575
CSS Industries, Inc................................. 12,410 239,265
*Culp, Inc........................................... 10,136 102,171
*Cybex International, Inc............................ 29,263 31,311
*dELiA*s, Inc........................................ 22,143 39,193
*Delta Apparel, Inc.................................. 7,832 138,548
Destination Maternity Corp.......................... 22,450 524,657
43
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Consumer Discretionary -- (Continued)
#Dillard's, Inc. Class A................................. 120,300 $5,776,806
#*DineEquity, Inc........................................ 24,362 1,217,369
*Discovery Communications, Inc. Class A.................. 12,823 567,546
*Discovery Communications, Inc. Class B.................. 3,937 172,086
*Discovery Communications, Inc. Class C.................. 45,424 1,792,431
*Dixie Group, Inc........................................ 11,800 50,740
*Dolan Media Co.......................................... 16,543 194,711
*Dorman Products, Inc.................................... 11,776 459,264
*Dover Motorsports, Inc.................................. 15,200 29,640
DR Horton, Inc.......................................... 203,325 2,529,363
*Duckwall-ALCO Stores, Inc............................... 700 8,918
Educational Development Corp............................ 1,679 9,738
Escalade, Inc........................................... 377 2,062
*EW Scripps Co. Class A (The)............................ 17,770 168,815
*Exide Technologies...................................... 12,623 126,735
*Federal-Mogul Corp...................................... 40,785 1,080,803
Finish Line, Inc. Class A............................... 29,632 636,792
*Fisher Communications, Inc.............................. 10,146 306,916
Flanigan's Enterprises, Inc............................. 865 6,868
Flexsteel Industries, Inc............................... 2,068 29,552
Foot Locker, Inc........................................ 219,549 4,724,694
Fortune Brands, Inc..................................... 149,626 9,737,660
Fred's, Inc............................................. 45,030 628,619
Frisch's Restaurants, Inc............................... 600 13,608
*Full House Resorts, Inc................................. 1,074 4,296
*Furniture Brands International, Inc..................... 37,364 180,842
Gaiam, Inc.............................................. 5,988 35,629
#*GameStop Corp. Class A................................. 95,200 2,444,736
*GameTech International, Inc............................. 1,560 312
Gaming Partners International Corp...................... 500 3,525
#Gannett Co., Inc........................................ 5,294 79,728
#*Gaylord Entertainment Co............................... 45,753 1,641,160
*Genesco, Inc............................................ 28,145 1,136,495
*Gray Television, Inc.................................... 5,550 15,484
*Great Wolf Resorts, Inc................................. 42,789 91,141
Group 1 Automotive, Inc................................. 57,936 2,493,565
*Hallwood Group, Inc..................................... 296 6,545
*Hastings Entertainment, Inc............................. 764 3,835
Haverty Furniture Cos., Inc............................. 34,353 450,024
*Helen of Troy, Ltd...................................... 64,389 2,003,786
*Hollywood Media Corp.................................... 19,037 32,363
Hooker Furniture Corp................................... 13,559 168,674
Hot Topic, Inc.......................................... 32,189 215,988
*Hyatt Hotels Corp. Class A.............................. 3,893 172,499
*Iconix Brand Group, Inc................................. 95,618 2,341,685
*Isle of Capri Casinos, Inc.............................. 15,000 143,100
*J. Alexander's Corp..................................... 9,196 54,992
J.C. Penney Co., Inc.................................... 208,599 8,020,632
#*JAKKS Pacific, Inc..................................... 15,841 333,295
Jarden Corp............................................. 108,050 3,931,940
*Johnson Outdoors, Inc. Class A.......................... 18,189 301,756
Jones Group, Inc. (The)................................. 106,821 1,455,970
*Journal Communications, Inc............................. 7,321 39,899
*Kenneth Cole Productions, Inc. Class A.................. 10,066 135,589
*Kid Brands, Inc......................................... 10,476 76,580
KSW, Inc................................................ 446 1,623
#*K-Swiss, Inc. Class A.................................. 1,321 16,262
Lacrosse Footwear, Inc.................................. 317 5,269
*Lakeland Industries, Inc................................ 11,757 102,286
*Lakes Entertainment, Inc................................ 25,795 59,071
*La-Z-Boy, Inc........................................... 9,199 108,180
44
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Consumer Discretionary -- (Continued)
*Lee Enterprises, Inc................................ 39,378 $ 56,311
#Lennar Corp. Class A................................ 224,100 4,255,659
Lennar Corp. Class B Voting......................... 6,703 102,288
#*Liberty Global, Inc. Class A........................ 1,678 78,027
*Liberty Global, Inc. Class C........................ 5,309 235,667
*Liberty Media Corp. Capital Class A................. 204,886 16,855,971
*Liberty Media Corp. Capital Class B................. 6,066 497,746
*Liberty Media Corp. Interactive Class A............. 882,463 15,425,453
*Liberty Media Corp. Interactive Class B............. 35,706 632,175
*Liberty Media-Starz Corp. Series A.................. 28,742 2,208,823
*Liberty Media-Starz Corp. Series B.................. 1,766 135,691
*Life Time Fitness, Inc.............................. 6,400 250,368
*Lifetime Brands, Inc................................ 17,058 271,563
Lincoln Educational Services Corp................... 5,300 88,510
Lithia Motors, Inc.................................. 39,056 710,429
*Live Nation Entertainment, Inc...................... 147,097 1,631,306
*Luby's, Inc......................................... 42,423 212,115
*M/I Homes, Inc...................................... 37,930 504,090
Mac-Gray Corp....................................... 13,366 226,420
Macy's, Inc......................................... 155,548 3,719,153
*Madison Square Garden, Inc.......................... 28,630 783,030
Marcus Corp......................................... 25,596 283,860
*MarineMax, Inc...................................... 25,977 248,340
#*McClatchy Co. (The)................................. 24,935 71,314
*McCormick & Schmick's Seafood Restaurants, Inc...... 26,747 244,200
#MDC Holdings, Inc................................... 18,400 537,096
*Media General, Inc. Class A......................... 27,660 149,087
Men's Wearhouse, Inc. (The)......................... 82,560 2,302,598
*Meritage Homes Corp................................. 28,156 673,210
#*MGM Resorts International........................... 251,100 3,178,926
*Modine Manufacturing Co............................. 7,266 129,407
*Mohawk Industries, Inc.............................. 98,740 5,928,350
*Monarch Casino & Resort, Inc........................ 988 11,322
*Morton's Restaurant Group, Inc...................... 6,775 50,135
*Motorcar Parts of America, Inc...................... 3,636 50,613
*Movado Group, Inc................................... 30,500 509,045
*MTR Gaming Group, Inc............................... 24,135 63,958
*Multimedia Games Holding Co., Inc................... 26,639 156,371
*Nautilus, Inc....................................... 5,393 17,473
*Navarre Corp........................................ 340 653
*New Frontier Media, Inc............................. 20,483 36,255
*New York & Co., Inc................................. 16,301 100,088
News Corp. Class A.................................. 2,360,850 42,070,347
News Corp. Class B.................................. 937,272 17,714,441
#*O'Charley's, Inc.................................... 19,478 127,386
*Orient-Express Hotels, Ltd.......................... 81,098 995,072
Outdoor Channel Holdings, Inc....................... 37,022 264,707
#*Pacific Sunwear of California, Inc.................. 48,428 154,485
*Penn National Gaming, Inc........................... 36,915 1,476,969
*Penske Automotive Group, Inc........................ 59,294 1,332,929
Pep Boys--Manny, Moe & Jack (The)................... 81,600 1,117,920
*Perry Ellis International, Inc...................... 23,892 673,277
Phillips-Van Heusen Corp............................ 40,464 2,849,070
*Pinnacle Entertainment, Inc......................... 94,530 1,312,076
#*Pulte Group, Inc.................................... 73,084 594,173
*Quiksilver, Inc..................................... 7,429 32,316
#*Radio One, Inc...................................... 14,255 41,482
*Red Lion Hotels Corp................................ 17,936 156,940
#*Red Robin Gourmet Burgers, Inc...................... 41,775 1,135,862
Regis Corp.......................................... 57,983 985,711
Rent-A-Center, Inc.................................. 76,435 2,327,446
45
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Consumer Discretionary -- (Continued)
*Rick's Cabaret International, Inc................... 9,575 $ 100,250
*Rocky Brands, Inc................................... 10,329 157,311
#*Royal Caribbean Cruises, Ltd........................ 322,500 12,841,950
*Ruby Tuesday, Inc................................... 68,262 717,434
Ryland Group, Inc. (The)............................ 1,304 22,572
*Saga Communications, Inc............................ 6,520 234,133
#*Saks, Inc........................................... 79,902 955,628
Salem Communications Corp........................... 5,831 20,992
Scholastic Corp..................................... 38,300 1,006,524
#*Sears Holdings Corp................................. 130,528 11,221,492
Service Corp. International......................... 277,569 3,266,987
Shiloh Industries, Inc.............................. 24,999 285,239
*Shoe Carnival, Inc.................................. 22,300 652,721
Sinclair Broadcast Group, Inc. Class A.............. 67,661 777,425
#*Skechers U.S.A., Inc. Class A....................... 49,610 945,070
Skyline Corp........................................ 2,823 55,359
Spartan Motors, Inc................................. 17,493 118,253
Speedway Motorsports, Inc........................... 59,454 926,293
*Sport Chalet, Inc. Class A.......................... 875 1,601
*Sport Chalet, Inc. Class B.......................... 299 688
Stage Stores, Inc................................... 60,550 1,166,193
Standard Motor Products, Inc........................ 28,160 401,280
Stanley Black & Decker, Inc......................... 154,919 11,254,865
*Stanley Furniture, Inc.............................. 16,348 92,203
Stein Mart, Inc..................................... 14,241 154,942
*Steinway Musical Instruments, Inc................... 13,526 338,150
Stewart Enterprises, Inc............................ 85,569 693,965
Strattec Security Corp.............................. 5,556 159,513
Superior Industries International, Inc.............. 40,100 1,013,327
*Syms Corp........................................... 5,500 43,670
*Systemax, Inc....................................... 7,773 100,660
*Tandy Brands Accessories, Inc....................... 8,378 21,113
Tandy Leather Factory, Inc.......................... 500 2,335
*Timberland Co. Class A.............................. 1,169 52,827
Time Warner Cable, Inc.............................. 693,942 54,217,688
Time Warner, Inc.................................... 1,534,860 58,109,800
*Toll Brothers, Inc.................................. 203,299 4,271,312
*Trans World Entertainment Corp...................... 5,781 9,654
*TRW Automotive Holdings Corp........................ 153,112 8,736,571
#*Tuesday Morning Corp................................ 60,500 302,500
*Unifi, Inc.......................................... 54,494 889,342
*Vail Resorts, Inc................................... 15,400 754,446
Walt Disney Co. (The)............................... 231,421 9,974,245
#Washington Post Co. Class B......................... 5,780 2,519,502
Wendy's/Arby's Group, Inc. Class A.................. 236,804 1,141,395
*West Marine, Inc.................................... 26,563 289,005
*Wet Seal, Inc. (The)................................ 14,136 62,198
#Whirlpool Corp...................................... 25,149 2,167,341
Wyndham Worldwide Corp.............................. 262,116 9,071,835
------------
Total Consumer Discretionary........................... 591,609,767
------------
Consumer Staples -- (6.6%)
*Alliance One International, Inc..................... 24,193 96,530
Andersons, Inc. (The)............................... 11,174 554,789
Archer-Daniels-Midland Co........................... 813,476 30,114,882
B&G Foods, Inc...................................... 30,873 558,184
Bunge, Ltd.......................................... 121,368 9,156,002
*Cagle's, Inc. Class A............................... 955 5,835
CCA Industries, Inc................................. 8,323 48,690
#*Central European Distribution Corp.................. 57,775 682,901
*Central Garden & Pet Co............................. 37,832 369,619
46
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Consumer Staples -- (Continued)
*Central Garden & Pet Co. Class A.................... 48,053 $ 481,491
*Chiquita Brands International, Inc.................. 70,190 1,117,425
*Constellation Brands, Inc. Class A.................. 249,042 5,576,050
#*Constellation Brands, Inc. Class B.................. 12,715 285,960
Corn Products International, Inc.................... 62,117 3,422,647
*Craft Brewers Alliance, Inc......................... 2,746 25,291
CVS Caremark Corp................................... 1,510,745 54,749,399
#*Dole Food Co., Inc.................................. 15,307 211,390
*Elizabeth Arden, Inc................................ 21,291 640,007
Farmer Brothers Co.................................. 17,539 210,994
Griffin Land & Nurseries, Inc. Class A.............. 1,500 40,170
*Hain Celestial Group, Inc........................... 63,205 2,149,602
*Harbinger Group, Inc................................ 2,082 12,638
.#*HQ Sustainable Maritime Industries, Inc............ 10,070 27,995
Imperial Sugar Co................................... 14,949 204,502
Ingles Markets, Inc................................. 12,616 239,830
J.M. Smucker Co..................................... 108,204 8,122,874
*John B. Sanfilippo & Son, Inc....................... 9,100 100,100
Kraft Foods, Inc. Class A........................... 2,081,099 69,883,304
*Mannatech, Inc...................................... 13,238 22,107
MGP Ingredients, Inc................................ 2,959 25,832
Molson Coors Brewing Co. Class A.................... 1,908 93,578
Molson Coors Brewing Co. Class B.................... 190,750 9,299,062
*Nutraceutical International Corp.................... 17,801 282,324
Oil-Dri Corp. of America............................ 236 5,213
*Omega Protein Corp.................................. 27,752 357,446
*Pantry, Inc......................................... 26,158 404,926
*Parlux Fragrances, Inc.............................. 1,498 5,003
*Physicians Formula Holdings, Inc.................... 15,201 80,565
*Prestige Brands Holdings, Inc....................... 112,017 1,293,796
*Ralcorp Holdings, Inc............................... 59,647 4,640,537
*Seneca Foods Corp................................... 1,100 30,756
*Seneca Foods Corp. Class B.......................... 300 8,390
*Smart Balance, Inc.................................. 66,458 317,669
*Smithfield Foods, Inc............................... 185,173 4,362,676
Spartan Stores, Inc................................. 22,430 350,132
*Spectrum Brands Holdings, Inc....................... 46,130 1,499,225
#SUPERVALU, Inc...................................... 191,716 2,158,722
*Susser Holdings Corp................................ 14,936 205,967
Tasty Baking Co..................................... 7,784 31,019
Tyson Foods, Inc. Class A........................... 405,030 8,060,097
#Universal Corp...................................... 18,490 802,096
Weis Markets, Inc................................... 806 33,264
*Winn-Dixie Stores, Inc.............................. 92,300 654,407
------------
Total Consumer Staples................................. 224,113,910
------------
Energy -- (16.3%)
Adams Resources & Energy, Inc....................... 6,758 198,820
Alon USA Energy, Inc................................ 33,484 460,405
Anadarko Petroleum Corp............................. 845,068 66,709,668
Apache Corp......................................... 80,277 10,706,544
*Approach Resources, Inc............................. 7,782 229,102
#*ATP Oil & Gas Corp.................................. 13,671 243,070
Baker Hughes, Inc................................... 100,807 7,803,470
*Barnwell Industries, Inc............................ 5,190 35,863
*Basic Energy Services, Inc.......................... 52,227 1,605,458
Berry Petroleum Corp. Class A....................... 54,457 2,893,300
*Bill Barrett Corp................................... 34,200 1,427,166
*Bolt Technology Corp................................ 2,329 34,097
*Bristow Group, Inc.................................. 41,500 1,925,600
*Bronco Drilling Co., Inc............................ 18,737 205,732
47
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Energy -- (Continued)
Cabot Oil & Gas Corp................................ 25,205 $ 1,418,537
*Cal Dive International, Inc......................... 60,773 477,676
Chesapeake Energy Corp.............................. 833,400 28,060,578
Chevron Corp........................................ 4,109 449,689
Cimarex Energy Co................................... 16,380 1,811,464
*Complete Production Services, Inc................... 41,455 1,406,983
ConocoPhillips...................................... 1,766,829 139,455,813
*Crimson Exploration, Inc............................ 26,671 108,018
Crosstex Energy, Inc................................ 46,661 492,274
*CVR Energy, Inc..................................... 18,688 415,434
*Dawson Geophysical Co............................... 4,547 202,796
Delek US Holdings, Inc.............................. 63,356 850,871
*Denbury Resources, Inc.............................. 227,307 5,130,319
DHT Holdings, Inc................................... 33,011 142,938
*Double Eagle Petroleum Co........................... 6,032 61,406
*Energy Partners, Ltd................................ 3,418 62,242
#*Exterran Holdings, Inc............................. 85,189 1,849,453
*General Maritime Corp............................... 6,282 13,443
#*GeoResources, Inc.................................. 7,525 218,376
*Global Industries, Ltd............................. 36,106 356,005
#*Green Plains Renewable Energy, Inc................. 9,815 122,884
Gulf Island Fabrication, Inc........................ 6,877 243,033
*Gulfmark Offshore, Inc.............................. 35,505 1,511,448
*Harvest Natural Resources, Inc...................... 45,263 625,535
*Helix Energy Solutions Group, Inc................... 93,310 1,766,358
Helmerich & Payne, Inc.............................. 106,356 7,055,657
*Hercules Offshore, Inc.............................. 54,574 342,452
Hess Corp........................................... 378,130 32,504,055
*HKN, Inc............................................ 22,724 70,217
*Hornbeck Offshore Services, Inc..................... 16,700 488,141
*International Coal Group, Inc....................... 121,496 1,340,101
#*Key Energy Services, Inc........................... 56,774 1,033,287
Marathon Oil Corp................................... 903,937 48,848,755
*Matrix Service Co................................... 8,405 121,536
*Mitcham Industries, Inc............................. 7,044 112,563
Murphy Oil Corp..................................... 189,426 14,676,726
*Nabors Industries, Ltd.............................. 276,982 8,486,728
National-Oilwell, Inc............................... 515,481 39,532,238
*Natural Gas Services Group, Inc..................... 17,452 314,660
*Newpark Resources, Inc.............................. 101,220 914,017
Noble Energy, Inc................................... 106,590 10,261,419
*Oil States International, Inc....................... 25,058 2,080,065
Overseas Shipholding Group, Inc..................... 31,709 883,413
*Parker Drilling Co.................................. 117,663 838,937
*Patriot Coal Corp................................... 52,400 1,319,432
Patterson-UTI Energy, Inc........................... 152,325 4,738,831
#*Petrohawk Energy Corp.............................. 117,383 3,170,515
*Petroleum Development Corp.......................... 26,573 1,058,137
*PHI, Inc. Non-Voting................................ 21,578 482,916
*PHI, Inc. Voting.................................... 1,099 24,013
*Pioneer Drilling Co................................. 67,927 1,052,868
Pioneer Natural Resources Co........................ 155,717 15,918,949
*Plains Exploration & Production Co.................. 162,430 6,178,837
*Pride International, Inc............................ 119,278 5,237,497
QEP Resources, Inc.................................. 44,578 1,904,818
*REX American Resources Corp......................... 4,050 69,984
*Rosetta Resources, Inc.............................. 62,789 2,883,899
*Rowan Cos., Inc..................................... 121,858 5,081,479
#Schlumberger, Ltd................................... 35,248 3,163,508
SEACOR Holdings, Inc................................ 36,653 3,622,416
#*Seahawk Drilling, Inc.............................. 2,343 17,221
48
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Energy -- (Continued)
*Stone Energy Corp................................... 16,671 $ 589,487
Sunoco, Inc......................................... 149,214 6,365,469
*Swift Energy Corp................................... 61,413 2,406,775
Teekay Corp......................................... 34,743 1,180,915
#*Tesoro Petroleum Corp.............................. 168,807 4,578,046
*Tetra Technologies, Inc............................. 38,070 562,294
*TGC Industries, Inc................................. 1,445 11,892
Tidewater, Inc...................................... 50,804 3,023,346
*Union Drilling, Inc................................. 22,000 298,320
*Unit Corp........................................... 57,000 3,592,140
#*USEC, Inc.......................................... 168,662 772,472
Valero Energy Corp.................................. 658,099 18,624,202
#*Western Refining, Inc.............................. 68,485 1,161,506
*Whiting Petroleum Corp.............................. 33,587 2,334,296
*Willbros Group, Inc................................. 21,126 227,104
------------
Total Energy........................................... 553,290,419
------------
Financials -- (19.4%)
1st Source Corp..................................... 44,743 949,446
21st Century Holding Co............................. 13,665 40,312
Abington Bancorp, Inc............................... 21,227 257,271
ACE, Ltd............................................ 86,825 5,838,981
*Affirmative Insurance Holdings, Inc................. 14,714 36,344
*Allegheny Corp...................................... 7,756 2,551,763
Alliance Bancorp, Inc. of Pennsylvania.............. 180 2,007
*Allied World Assurance Co. Holdings, Ltd............ 24,643 1,601,056
Allstate Corp. (The)................................ 529,952 17,933,576
Alterra Capital Holdings, Ltd....................... 48,183 1,059,062
*American Capital, Ltd............................... 422,803 4,342,187
#American Equity Investment Life Holding Co.......... 88,700 1,140,682
American Financial Group, Inc....................... 199,200 7,125,384
*American Independence Corp.......................... 866 4,521
American National Insurance Co...................... 40,650 3,215,415
*American River Bankshares........................... 634 3,963
*American Safety Insurance Holdings, Ltd............. 15,049 306,398
*Ameris Bancorp...................................... 20,500 203,770
*AmeriServe Financial, Inc........................... 33,075 79,380
*Arch Capital Group, Ltd............................. 18,690 1,943,760
Argo Group International Holdings, Ltd.............. 38,796 1,218,582
#Aspen Insurance Holdings, Ltd....................... 102,623 2,931,939
*Asset Acceptance Capital Corp....................... 3,458 19,641
#Associated Banc-Corp................................ 121,017 1,766,848
Assurant, Inc....................................... 65,820 2,613,054
Assured Guaranty, Ltd............................... 122,989 2,090,813
Asta Funding, Inc................................... 8,397 68,100
*Atlantic Coast Financial Corp....................... 579 5,651
*Avatar Holdings, Inc................................ 18,272 328,896
Axis Capital Holdings, Ltd.......................... 119,779 4,235,385
*B of I Holding, Inc................................. 8,781 147,521
Baldwin & Lyons, Inc................................ 300 6,458
Baldwin & Lyons, Inc. Class B....................... 8,321 192,132
*Bancorp, Inc........................................ 1,342 13,138
*BancTrust Financial Group, Inc...................... 33,553 83,883
Bank Mutual Corp.................................... 50,249 205,518
Bank of America Corp................................ 7,109,212 87,301,123
#*BankAtlantic Bancorp, Inc.......................... 37,108 33,742
BankFinancial Corp.................................. 39,867 364,384
Banner Corp......................................... 13,022 35,811
BCB Bancorp, Inc.................................... 2,000 22,000
Berkshire Hills Bancorp, Inc........................ 30,189 673,215
Boston Private Financial Holdings, Inc.............. 35,786 250,144
49
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Financials -- (Continued)
Capital City Bank Group, Inc...................... 16,636 $ 186,323
Capital One Financial Corp........................ 571,140 31,258,492
Capital Southwest Corp............................ 7,189 691,869
CapitalSource, Inc................................ 125,238 836,590
*Capitol Federal Financial, Inc.................... 41,295 467,459
Cathay General Bancorp............................ 67,312 1,147,670
Century Bancorp, Inc. Class A..................... 596 16,438
CFS Bancorp, Inc.................................. 14,148 76,682
Chemical Financial Corp........................... 4,362 87,807
*Chicopee Bancorp, Inc............................. 1,000 14,210
#Cincinnati Financial Corp......................... 7,302 231,327
*Citigroup, Inc.................................... 19,579,221 89,868,624
*Citizens Community Bancorp, Inc................... 10,355 55,140
Citizens South Banking Corp....................... 1,934 9,187
CME Group, Inc.................................... 82,877 24,512,530
CNA Financial Corp................................ 313,566 9,733,089
*CNA Surety Corp................................... 34,580 916,024
*CNO Financial Group, Inc.......................... 118,185 952,571
#CoBiz Financial, Inc.............................. 4,003 27,180
Codorus Valley Bancorp, Inc....................... 115 1,252
#Comerica, Inc..................................... 3,474 131,769
*Community West Bancshares......................... 400 1,728
*CompuCredit Holdings Corp......................... 34,613 147,451
#*Cowen Group, Inc.................................. 10,664 44,362
*Crescent Financial Corp........................... 18,440 75,235
Delphi Financial Group, Inc. Class A.............. 53 1,693
Donegal Group, Inc. Class A....................... 30,619 417,643
Donegal Group, Inc. Class B....................... 300 4,623
*E*Trade Financial Corp............................ 160,321 2,603,613
Eastern Insurance Holdings, Inc................... 23,326 312,802
Eastern Virginia Bankshares, Inc.................. 560 1,977
EMC Insurance Group, Inc.......................... 19,181 418,338
*Encore Bancshares, Inc............................ 7,009 84,809
*Encore Capital Group, Inc......................... 789 23,623
*Endurance Specialty Holdings, Ltd................. 76,288 3,382,610
Enterprise Financial Services Corp................ 6,453 96,150
ESB Financial Corp................................ 300 5,091
ESSA Bancorp, Inc................................. 9,817 123,203
Evans Bancorp, Inc................................ 1,681 23,786
Everest Re Group, Ltd............................. 53,099 4,838,381
*Farmers Capital Bank Corp......................... 818 5,693
FBL Financial Group, Inc. Class A................. 35,719 1,089,430
Federal Agricultural Mortgage Corp................ 8,800 166,760
Federal Agricultural Mortgage Corp. Class A....... 177 2,416
Fidelity Bancorp, Inc............................. 400 3,600
#Fidelity National Financial, Inc.................. 75,967 1,172,930
#*Fidelity Southern Corp............................ 6,582 49,495
*First Acceptance Corp............................. 39,006 70,601
First Bancorp..................................... 13,653 190,596
*First Bancshares, Inc............................. 400 2,488
First Bancshares, Inc. (The)...................... 300 2,655
First Busey Corp.................................. 14,316 75,159
First Business Financial Services, Inc............ 482 5,760
*First California Financial Group, Inc............. 600 2,310
First Citizens BancShares, Inc.................... 12,386 2,477,324
*First Defiance Financial Corp..................... 9,457 129,372
*First Federal of Northern Michigan Bancorp, Inc... 1,100 3,729
First Financial Holdings, Inc..................... 14,857 163,130
*First Financial Northwest, Inc.................... 25,471 158,939
*First Financial Service Corp...................... 700 2,835
First Merchants Corp.............................. 28,856 267,495
50
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Financials -- (Continued)
First Midwest Bancorp, Inc........................... 10,824 $ 141,794
First Niagara Financial Group, Inc................... 34,092 490,925
First Pactrust Bancorp, Inc.......................... 3,050 47,245
*First Place Financial Corp........................... 21,198 38,156
*First Security Group, Inc............................ 12,267 10,672
First South Bancorp, Inc............................. 1,978 8,861
*FirstCity Financial Corp............................. 5,872 39,460
Flagstone Reinsurance Holdings SA.................... 45,783 385,035
Flushing Financial Corp.............................. 4,218 62,089
#*FNB United Corp..................................... 7,443 3,573
Fox Chase Bancorp, Inc............................... 999 13,636
*FPIC Insurance Group, Inc............................ 11,445 422,549
German American Bancorp, Inc......................... 9,463 165,129
*Gleacher & Co., Inc.................................. 45,986 86,914
*Global Indemnity P.L.C............................... 5,977 152,653
Great Southern Bancorp, Inc.......................... 2,301 47,631
#*Greene Bancshares, Inc.............................. 16,271 33,030
GS Financial Corp.................................... 400 8,224
*Guaranty Bancorp..................................... 79,999 115,199
*Guaranty Federal Bancshares, In.c.................... 1,684 10,289
*Hallmark Financial Services, Inc..................... 26,292 224,797
Hampden Bancorp, Inc................................. 5,886 79,461
Hanover Insurance Group, Inc......................... 88,829 3,750,360
Hartford Financial Services Group, Inc............... 478,387 13,858,871
HCC Insurance Holdings, Inc.......................... 19,162 623,531
Heartland Financial USA, Inc......................... 3,288 51,687
*Heritage Commerce Corp............................... 23,031 120,452
*Heritage Financial Corp.............................. 2,036 30,011
HF Financial Corp.................................... 400 4,428
*Hilltop Holdings, Inc................................ 8,181 79,356
Hingham Institution for Savings...................... 500 26,450
*HMN Financial, Inc................................... 3,456 9,850
*Home Bancorp, Inc.................................... 951 15,187
Home Federal Bancorp, Inc............................ 12,347 150,016
HopFed Bancorp, Inc.................................. 6,649 59,575
Horace Mann Educators Corp........................... 58,206 1,040,723
Horizon Bancorp...................................... 300 8,130
Huntington Bancshares, Inc........................... 144,163 978,867
Independence Holding Co.............................. 22,770 176,695
Indiana Community Bancorp............................ 2,029 32,078
Infinity Property & Casualty Corp.................... 21,428 1,266,395
*Internet Capital Group, Inc.......................... 36,215 503,026
*Investment Technology Group, Inc..................... 8,611 147,334
Investors Title Co................................... 1,169 40,003
Kentucky First Federal Bancorp....................... 2,800 22,484
KeyCorp.............................................. 476,566 4,131,827
Lakeland Bancorp, Inc................................ 8,219 87,861
Landmark Bancorp, Inc................................ 1,701 28,577
Legacy Bancorp, Inc.................................. 19,374 262,711
Legg Mason, Inc...................................... 128,883 4,788,003
Lincoln National Corp................................ 460,953 14,395,562
LNB Bancorp, Inc..................................... 13,395 78,093
Loews Corp........................................... 586,729 25,968,626
*Louisiana Bancorp, Inc............................... 5,606 84,314
#*Macatawa Bank Corp.................................. 19,463 50,409
*Magyar Bancorp, Inc.................................. 500 2,115
Maiden Holdings, Ltd................................. 15,042 112,063
MainSource Financial Group, Inc...................... 47,000 452,610
*Marlin Business Services Corp........................ 14,664 178,754
Marshall & Ilsley Corp............................... 470,172 3,841,305
MB Financial, Inc.................................... 691 14,297
51
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Financials -- (Continued)
#*MBIA, Inc.......................................... 337,600 $ 3,484,032
#*MBT Financial Corp................................. 23,185 33,850
MCG Capital Corp.................................... 18,540 122,364
Meadowbrook Insurance Group, Inc.................... 39,471 404,183
Medallion Financial Corp............................ 19,310 178,231
#*Mercantile Bank Corp............................... 4,474 40,892
*Meridian Interstate Bancorp, Inc.................... 1,879 26,231
Meta Financial Group, Inc........................... 1,251 18,140
MetLife, Inc........................................ 1,032,078 48,290,930
*Metro Bancorp, Inc.................................. 1,530 19,125
*MetroCorp Bancshares, Inc........................... 2,250 15,255
*MF Global Holdings, Ltd............................. 62,953 529,435
#*MGIC Investment Corp............................... 63,595 550,733
MicroFinancial, Inc................................. 5,900 29,441
MidWestOne Financial Group, Inc..................... 541 7,947
Montpelier Re Holdings, Ltd......................... 40,646 735,286
Morgan Stanley...................................... 1,224,333 32,016,308
MutualFirst Financial, Inc.......................... 2,300 20,125
*NASDAQ OMX Group, Inc. (The)........................ 70,529 1,911,336
National Penn Bancshares, Inc....................... 11,213 92,059
National Western Life Insurance Co. Class A......... 900 144,963
*Navigators Group, Inc. (The)........................ 6,177 320,154
*New Century Bancorp, Inc............................ 600 3,090
New Hampshire Thrift Bancshares, Inc................ 3,667 49,211
New Westfield Financial, Inc........................ 2,738 24,861
*NewBridge Bancorp................................... 6,172 28,391
*Newport Bancorp, Inc................................ 700 9,940
#*NewStar Financial, Inc............................. 52,589 628,439
*North Valley Bancorp................................ 907 9,156
Northeast Community Bancorp, Inc.................... 18,190 115,325
Northrim Bancorp, Inc............................... 6,379 127,644
NYSE Euronext, Inc.................................. 40,722 1,630,916
#Old Republic International Corp..................... 357,183 4,525,509
#Old Second Bancorp, Inc............................. 5,088 6,309
OneBeacon Insurance Group, Ltd...................... 6,278 88,206
Oppenheimer Holdings, Inc. Class A.................. 1,674 51,409
#*Pacific Mercantile Bancorp......................... 16,756 72,051
*Pacific Premier Bancorp, Inc........................ 100 700
Parkvale Financial Corp............................. 102 1,148
PartnerRe, Ltd...................................... 52,224 4,196,721
#*Penson Worldwide, Inc.............................. 25,072 152,187
Peoples Bancorp of North Carolina................... 250 1,622
Peoples Bancorp, Inc................................ 17,708 241,360
#People's United Financial, Inc...................... 23,949 327,862
#*PHH Corp........................................... 92,304 1,980,844
*Phoenix Cos., Inc. (The)............................ 50,183 134,992
*PICO Holdings, Inc.................................. 82 2,634
#*Pinnacle Financial Partners, Inc................... 51,523 827,975
Platinum Underwriters Holdings, Ltd................. 25,125 949,976
*Popular, Inc........................................ 565,367 1,780,906
Porter Bancorp, Inc................................. 1,737 13,774
*Preferred Bank...................................... 1,179 1,922
Premier Financial Bancorp, Inc...................... 1,301 9,497
Presidential Life Corp.............................. 29,727 331,159
Protective Life Corp................................ 96,837 2,605,884
Provident Financial Holdings, Inc................... 544 4,423
Provident Financial Services, Inc................... 58,586 850,669
Provident New York Bancorp.......................... 70,554 661,797
Prudential Financial, Inc........................... 537,721 34,102,266
Pulaski Financial Corp.............................. 4,550 33,397
Radian Group, Inc................................... 102,845 609,871
52
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Financials -- (Continued)
Regions Financial Corp.............................. 1,304,230 $ 9,573,048
Reinsurance Group of America, Inc................... 169,166 10,708,208
Renasant Corp....................................... 46,114 773,793
*Republic First Bancorp, Inc......................... 2,474 6,902
Resource America, Inc............................... 21,502 132,237
*Riverview Bancorp, Inc.............................. 15,319 48,102
Safety Insurance Group, Inc......................... 14,036 657,166
Sanders Morris Harris Group, Inc.................... 51,590 445,222
Sandy Spring Bancorp, Inc........................... 19,540 349,180
*Savannah Bancorp, Inc. (The)........................ 2,998 23,564
SeaBright Holdings, Inc............................. 40,890 417,896
Selective Insurance Group, Inc...................... 72,997 1,287,667
SI Financial Group, Inc............................. 5,444 54,168
Simmons First National Corp......................... 3,166 83,551
Somerset Hills Bancorp.............................. 4,317 38,378
*Southern Community Financial Corp................... 29,890 41,547
*Southern First Bancshares, Inc...................... 1,006 8,018
Southern Missouri Bancorp, Inc...................... 41 1,054
#*Southwest Bancorp, Inc............................. 23,408 331,925
State Auto Financial Corp........................... 62,840 1,067,023
StellarOne Corp..................................... 24,967 349,538
#Stewart Information Services Corp................... 12,271 124,428
*Stratus Properties, Inc............................. 3,069 41,738
*Sun Bancorp, Inc.................................... 7,172 26,106
SunTrust Banks, Inc................................. 617,728 17,413,752
Susquehanna Bancshares, Inc......................... 124,870 1,151,301
Symetra Financial Corp.............................. 3,055 42,403
*Taylor Capital Group, Inc........................... 1,483 14,741
Teche Holding Co.................................... 600 21,480
*Tennessee Commerce Bancorp, Inc..................... 772 2,463
TF Financial Corp................................... 630 13,551
*Timberland Bancorp, Inc............................. 2,500 15,500
#TowneBank........................................... 5,371 79,598
Transatlantic Holdings, Inc......................... 91,903 4,529,899
Travelers Cos., Inc. (The).......................... 113,788 7,200,505
*Tree.com, Inc....................................... 5,635 29,978
Umpqua Holdings Corp................................ 92,268 1,071,231
Unico American Corp................................. 1,900 18,430
Union First Market Bankshares Corp.................. 12,821 163,211
#*United Community Banks, Inc........................ 10,544 25,306
United Financial Bancorp, Inc....................... 14,132 230,917
United Fire & Casualty Co........................... 41,412 819,958
*United Security Bancshares.......................... 358 1,180
Unitrin, Inc........................................ 90,527 2,737,536
*Unity Bancorp, Inc.................................. 3,306 22,811
Unum Group.......................................... 530,100 14,037,048
Validus Holdings, Ltd............................... 56,030 1,823,216
*Virginia Commerce Bancorp, Inc...................... 22,274 133,867
VIST Financial Corp................................. 271 2,070
*Waterstone Financial, Inc........................... 1,300 4,160
Webster Financial Corp.............................. 21,774 468,576
WesBanco, Inc....................................... 34,885 708,166
Wesco Financial Corp................................ 11,276 4,420,192
West Bancorporation, Inc............................ 15,124 117,816
White Mountains Insurance Group, Ltd................ 18,187 6,502,034
White River Capital, Inc............................ 300 5,418
Whitney Holding Corp................................ 25,863 350,185
#Wintrust Financial Corp............................. 1,600 53,904
WR Berkley Corp..................................... 21,887 713,735
*WSB Holdings, Inc................................... 100 307
Xl Group P.L.C...................................... 199,510 4,872,034
53
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Financials -- (Continued)
*Yadkin Valley Financial Corp........................ 16,710 $ 38,266
#Zions Bancorporation................................ 91,968 2,248,618
*ZipRealty, Inc...................................... 10,028 26,173
------------
Total Financials....................................... 658,082,340
------------
Health Care -- (8.1%)
Aetna, Inc.......................................... 503,313 20,827,092
*Affymetrix, Inc..................................... 46,312 250,085
*Albany Molecular Research, Inc...................... 35,737 174,754
#*Alere, Inc......................................... 74,130 2,753,188
*Allied Healthcare International, Inc................ 67,398 175,909
*Allied Healthcare Products, Inc..................... 1,000 4,340
*Alphatec Holdings, Inc.............................. 6,077 19,325
#*Amedisys, Inc...................................... 12,879 429,128
*American Dental Partners, Inc....................... 26,370 347,820
*Amsurg Corp......................................... 28,998 778,886
Analogic Corp....................................... 7,334 422,952
*AngioDynamics, Inc.................................. 47,752 778,358
*Anika Therapeutics, Inc............................. 17,185 143,323
Arrhythmia Research Technology, Inc................. 1,200 6,738
#*Assisted Living Concepts, Inc...................... 17,742 639,777
*BioClinica, Inc..................................... 10,162 53,554
#*BioScrip, Inc...................................... 37,700 173,797
*Boston Scientific Corp.............................. 1,205,899 9,032,184
*Brookdale Senior Living, Inc........................ 16,954 461,827
*Cambrex Corp........................................ 23,463 123,415
Cantel Medical Corp................................. 7,270 188,511
*Capital Senior Living Corp.......................... 45,270 419,653
*CareFusion Corp..................................... 207,163 6,084,377
*Celera Corp......................................... 91,861 726,621
*Codexis, Inc........................................ 519 5,444
*Community Health Systems, Inc....................... 105,314 3,236,299
*CONMED Corp......................................... 43,239 1,214,151
Cooper Cos., Inc.................................... 65,164 4,880,784
*Coventry Health Care, Inc........................... 141,956 4,580,920
*Cross Country Healthcare, Inc....................... 33,630 249,535
*Cutera, Inc......................................... 22,757 201,172
Daxor Corp.......................................... 545 5,466
*Digirad Corp........................................ 26,648 81,010
#*Dynacq Healthcare, Inc............................. 909 1,745
*Enzo Biochem, Inc................................... 22,793 90,944
*Exactech, Inc....................................... 760 13,612
*Five Star Quality Care, Inc......................... 38,499 322,622
*Gentiva Health Services, Inc........................ 28,510 798,280
*Greatbatch, Inc..................................... 29,721 804,547
*Health Net, Inc..................................... 59,294 1,974,490
*HealthSpring, Inc................................... 86,917 3,606,186
*Healthways, Inc..................................... 20,167 341,226
Hill-Rom Holdings, Inc.............................. 3,613 162,621
*Hologic, Inc........................................ 305,036 6,716,893
*Humana, Inc......................................... 236,814 18,026,282
*IntegraMed America, Inc............................. 3,874 39,127
Invacare Corp....................................... 26,628 876,061
*Kendle International, Inc........................... 11,329 113,856
Kewaunee Scientific Corp............................ 1,631 18,251
*Kindred Healthcare, Inc............................. 43,118 1,087,436
*LCA-Vision, Inc..................................... 5,205 35,082
LeMaitre Vascular, Inc.............................. 5,100 34,884
*LifePoint Hospitals, Inc............................ 82,208 3,420,675
*Magellan Health Services, Inc....................... 9,409 489,456
*Maxygen, Inc........................................ 45,644 235,523
54
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Health Care -- (Continued)
*MedCath Corp........................................ 30,240 $ 408,542
*Medical Action Industries, Inc...................... 26,509 230,628
#*MediciNova, Inc.................................... 225 583
MEDTOX Scientific, Inc.............................. 7,900 126,242
*Misonix, Inc........................................ 4,083 9,554
*Molina Healthcare, Inc.............................. 12,070 519,010
National Healthcare Corp............................ 1,134 52,686
*Natus Medical, Inc.................................. 4,075 69,153
*NovaMed, Inc........................................ 10,734 142,226
#Omnicare, Inc....................................... 197,388 6,201,931
*PDI, Inc............................................ 15,333 132,937
Pfizer, Inc......................................... 3,958,769 82,975,798
*PharMerica Corp..................................... 7,655 100,740
*Regeneration Technologies, Inc...................... 19,587 56,802
*RehabCare Group, Inc................................ 15,767 592,366
*Select Medical Holdings Corp........................ 25,076 223,678
*Skilled Healthcare Group, Inc....................... 18,080 219,130
*Solta Medical, Inc.................................. 3,075 11,162
*SRI/Surgical Express, Inc........................... 2,127 9,465
*Sucampo Pharmaceuticals, Inc........................ 7,965 35,683
*Sun Healthcare Group, Inc........................... 8,903 104,966
*SunLink Health Systems, Inc......................... 1,750 3,850
*Symmetry Medical, Inc............................... 49,574 493,261
Teleflex, Inc....................................... 37,423 2,358,023
*Theragenics Corp.................................... 21,383 41,697
*Thermo Fisher Scientific, Inc....................... 499,520 29,966,205
*TomoTherapy, Inc.................................... 56,619 259,315
*TranS1, Inc......................................... 6,997 34,845
*Triple-S Management Corp............................ 17,739 371,455
UnitedHealth Group, Inc............................. 133,703 6,582,199
Universal American Corp............................. 85,628 1,978,007
*Viropharma, Inc..................................... 103,779 2,001,897
*Vital Images, Inc................................... 20,078 374,254
*WellCare Health Plans, Inc.......................... 12,832 562,170
WellPoint, Inc...................................... 504,640 38,751,306
Young Innovations, Inc.............................. 2,165 67,158
------------
Total Health Care...................................... 274,749,118
------------
Industrials -- (12.4%)
*A.T. Cross Co....................................... 18,431 206,243
*AAR Corp............................................ 30,805 802,162
Aceto Corp.......................................... 30,245 242,262
*Aecom Technology Corp............................... 10,543 287,402
*Air Transport Services Group, Inc................... 8,765 71,698
Aircastle, Ltd...................................... 54,200 675,332
Alamo Group, Inc.................................... 22,951 656,628
*Alaska Air Group, Inc............................... 17,713 1,166,755
Albany International Corp........................... 4,175 105,669
Alexander & Baldwin, Inc............................ 66,838 3,522,363
*Allied Defense Group, Inc........................... 2,645 8,993
*Allied Motion Technologies, Inc..................... 162 1,139
*Amerco, Inc......................................... 30,531 3,105,613
*American Railcar Industries, Inc.................... 21,009 595,185
*American Reprographics Co........................... 4,040 36,158
Ameron International Corp........................... 9,647 678,570
Ampco-Pittsburgh Corp............................... 3,139 84,345
*AMREP Corp.......................................... 966 9,563
Apogee Enterprises, Inc............................. 32,037 457,488
Applied Industrial Technologies, Inc................ 28,972 1,021,553
Arkansas Best Corp.................................. 25,200 579,852
*Armstrong World Industries, Inc..................... 82,188 3,677,913
55
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Industrials -- (Continued)
#*Ascent Solar Technologies, Inc..................... 7,857 $ 12,650
*Astec Industries, Inc............................... 4,900 190,022
*Atlas Air Worldwide Holdings, Inc................... 37,114 2,557,526
#*Avis Budget Group, Inc............................. 29,897 566,847
#Barnes Group, Inc................................... 46,604 1,152,983
Barrett Business Services, Inc...................... 12,955 208,835
*BlueLinx Holdings, Inc.............................. 18,120 65,594
Briggs & Stratton Corp.............................. 24,500 577,955
*BTU International, Inc.............................. 1,600 18,224
*CAI International, Inc.............................. 12,399 311,959
Cascade Corp........................................ 5,840 267,472
*Casella Waste Systems, Inc.......................... 2,641 17,853
#*CBIZ, Inc.......................................... 15,323 112,318
CDI Corp............................................ 43,399 643,173
*CECO Environmental Corp............................. 5,323 30,394
*Celadon Group, Inc.................................. 10,492 154,967
*Ceradyne, Inc....................................... 26,425 1,238,276
*Champion Industries, Inc............................ 686 1,098
*Chart Industries, Inc............................... 3,000 145,830
Chicago Rivet & Machine Co.......................... 700 12,289
Cintas Corp......................................... 1,940 60,237
CIRCOR International, Inc........................... 1,740 79,048
*Columbus McKinnon Corp.............................. 32,876 657,520
*Comarco, Inc........................................ 9,299 3,348
Comfort Systems USA, Inc............................ 17,366 212,039
CompX International, Inc............................ 500 7,025
*Consolidated Graphics, Inc.......................... 18,127 1,017,831
Courier Corp........................................ 8,103 111,011
Covanta Holding Corp................................ 81,479 1,398,994
*Covenant Transportation Group, Inc.................. 7,080 67,543
*CPI Aerostructures, Inc............................. 5,826 81,040
*CRA International, Inc.............................. 4,103 116,730
CSX Corp............................................ 416,210 32,751,565
Curtiss-Wright Corp................................. 24,966 830,120
Ducommun, Inc....................................... 16,345 371,849
*Dycom Industries, Inc............................... 41,650 618,919
#*Eagle Bulk Shipping, Inc........................... 19,733 67,684
Eastern Co.......................................... 10,193 193,667
Eaton Corp.......................................... 71,374 3,820,650
Ecology & Environment, Inc. Class A................. 900 17,604
#Encore Wire Corp.................................... 19,066 532,132
EnergySolutions, Inc................................ 12,385 69,975
*EnerSys............................................. 51,339 1,945,235
Ennis, Inc.......................................... 48,483 905,662
ESCO Technologies, Inc.............................. 400 14,672
Espey Manufacturing & Electronics Corp.............. 1,671 45,451
*Esterline Technologies Corp......................... 44,968 3,228,702
#*Excel Maritime Carriers, Ltd....................... 39,214 157,248
Federal Signal Corp................................. 70,880 478,440
FedEx Corp.......................................... 5,198 497,293
*Flow International Corp............................. 23,633 101,858
*Franklin Covey Co................................... 3,113 28,702
*Frozen Food Express Industries...................... 8,986 33,158
#*FTI Consulting, Inc................................ 6,784 270,682
G & K Services, Inc. Class A........................ 29,714 983,533
GATX Corp........................................... 65,445 2,766,360
#*Genco Shipping & Trading, Ltd...................... 2,886 24,214
*Gencor Industries, Inc.............................. 8,766 66,622
#*General Cable Corp................................. 26,092 1,265,462
General Electric Co................................. 2,763,790 56,519,506
*GEO Group, Inc. (The)............................... 23,372 623,565
56
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Industrials -- (Continued)
*Gibraltar Industries, Inc.............................. 36,288 $ 423,844
*GP Strategies Corp..................................... 19,900 260,491
#Granite Construction, Inc.............................. 16,160 439,229
Great Lakes Dredge & Dock Corp......................... 79,907 595,307
*Greenbrier Cos., Inc................................... 20,647 558,914
*Griffon Corp........................................... 74,563 949,933
*H&E Equipment Services, Inc............................ 66,829 1,329,897
Hardinge, Inc.......................................... 20,151 260,955
*Hertz Global Holdings, Inc............................. 278,411 4,791,453
*Hill International, Inc................................ 12,321 62,467
#*Hoku Corp............................................. 400 816
#Horizon Lines, Inc..................................... 41,523 73,496
*Hudson Highland Group, Inc............................. 25,892 156,129
#*Huntington Ingalls Industries, Inc.................... 56,173 2,246,920
*Hurco Cos., Inc........................................ 8,210 266,579
*ICF International, Inc................................. 6,103 148,669
*Identive Group, Inc.................................... 18,612 64,398
Ingersoll-Rand P.L.C................................... 221,643 11,192,972
Insteel Industries, Inc................................ 8,989 134,206
*Interline Brands, Inc.................................. 74,162 1,566,301
International Shipholding Corp......................... 9,397 225,434
Intersections, Inc..................................... 34,178 514,379
#*JetBlue Airways Corp.................................. 324,893 1,838,894
*Kadant, Inc............................................ 6,383 196,916
*Kansas City Southern................................... 44,862 2,606,931
*KAR Auction Services, Inc.............................. 18,100 352,950
KBR, Inc............................................... 15,450 592,816
*Kelly Services, Inc. Class A........................... 44,445 849,344
Kennametal, Inc........................................ 10,344 436,724
*Key Technology, Inc.................................... 3,199 59,533
Kimball International, Inc. Class B.................... 25,521 190,897
*Korn/Ferry International............................... 12,556 260,035
L.S. Starrett Co. Class A.............................. 4,097 56,170
L-3 Communications Holdings, Inc....................... 100,470 8,056,689
Lawson Products, Inc................................... 10,838 238,761
*Layne Christensen Co................................... 20,333 605,110
LB Foster Co. Class A.................................. 780 33,197
*LMI Aerospace, Inc..................................... 14,827 297,281
LSI Industries, Inc.................................... 24,154 200,237
*Lydall, Inc............................................ 14,201 138,460
*M&F Worldwide Corp..................................... 24,164 606,275
Manpower, Inc.......................................... 27,028 1,790,605
Marten Transport, Ltd.................................. 31,777 710,534
McGrath Rentcorp....................................... 14,876 422,330
#*Metalico, Inc......................................... 74,246 470,720
*MFRI, Inc.............................................. 8,800 91,080
Miller Industries, Inc................................. 20,010 316,558
#*Mobile Mini, Inc...................................... 54,461 1,356,624
*Moog, Inc.............................................. 34,239 1,510,625
Mueller Industries, Inc................................ 29,387 1,149,619
Mueller Water Products, Inc............................ 136,335 599,874
Multi-Color Corp....................................... 1,625 33,572
NACCO Industries, Inc. Class A......................... 6,123 644,323
National Technical Systems, Inc........................ 15,600 116,064
.#*NIVS IntelliMedia Technology Group, Inc............... 3,940 8,707
Norfolk Southern Corp.................................. 545,229 40,717,702
Northrop Grumman Corp.................................. 337,038 21,438,987
*Northwest Pipe Co...................................... 8,785 211,367
*Ocean Power Technologies, Inc.......................... 8,500 41,395
*On Assignment, Inc..................................... 57,765 633,682
*Owens Corning, Inc..................................... 152,823 5,782,822
57
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Industrials -- (Continued)
*P.A.M. Transportation Services, Inc.................... 19,691 $ 223,887
*Park-Ohio Holdings Corp................................ 5,316 113,337
Pentair, Inc........................................... 44,885 1,802,582
*PGT, Inc............................................... 500 1,240
*Pike Electric Corp..................................... 17,263 175,392
*Pinnacle Airlines Corp................................. 13,732 74,839
*Polypore International, Inc............................ 5,700 352,089
*Powell Industries, Inc................................. 3,095 122,314
*PowerSecure International, Inc......................... 7,600 59,660
Providence & Worcester Railroad Co..................... 1,200 19,188
*Quanta Services, Inc................................... 54,807 1,188,216
R. R. Donnelley & Sons Co.............................. 150,012 2,829,226
*RailAmerica, Inc....................................... 16,561 281,868
*RCM Technologies, Inc.................................. 19,013 107,423
#*Republic Airways Holdings, Inc........................ 48,800 263,276
Republic Services, Inc................................. 429,755 13,588,853
Robbins & Myers, Inc................................... 3,089 134,279
*Rush Enterprises, Inc. Class A......................... 33,846 713,135
*Rush Enterprises, Inc. Class B......................... 18,522 342,657
Ryder System, Inc...................................... 89,844 4,806,654
*Saia, Inc.............................................. 17,104 283,926
Schawk, Inc............................................ 45,135 851,246
*School Specialty, Inc.................................. 23,822 352,804
Seaboard Corp.......................................... 1,906 4,549,622
Servidyne, Inc......................................... 7,283 17,989
*SFN Group, Inc......................................... 48,881 514,717
SIFCO Industries, Inc.................................. 6,623 109,147
SkyWest, Inc........................................... 45,606 753,867
*SL Industries, Inc..................................... 300 6,351
Southwest Airlines Co.................................. 645,761 7,587,692
*Sparton Corp........................................... 5,932 48,286
Standex International Corp............................. 24,472 894,696
#Steelcase, Inc. Class A................................ 93,910 1,084,660
*Sterling Construction Co., Inc......................... 6,673 100,028
#*SunPower Corp. Class B................................ 41,590 888,778
Superior Uniform Group, Inc............................ 8,978 101,137
*Supreme Industries, Inc................................ 1,365 3,508
*SYKES Enterprises, Inc................................. 17,864 357,816
*Sypris Solutions, Inc.................................. 9,366 47,017
TAL International Group, Inc........................... 22,054 795,047
Technology Research Corp............................... 11,621 83,323
*Tecumseh Products Co. Class A.......................... 11,200 114,688
*Tecumseh Products Co. Class B.......................... 1,400 13,972
#Titan International, Inc............................... 25,647 792,236
*Titan Machinery, Inc................................... 13,585 427,384
*TRC Cos., Inc.......................................... 29,413 147,065
Tredegar Industries, Inc............................... 40,177 879,073
*TriMas Corp............................................ 1,071 24,858
Trinity Industries, Inc................................ 93,807 3,395,813
#Triumph Group, Inc..................................... 29,320 2,525,038
*Tufco Technologies, Inc................................ 1,000 3,260
Tutor Perini Corp...................................... 40,371 1,076,291
Twin Disc, Inc......................................... 10,658 363,118
Tyco International, Ltd................................ 480,422 23,415,768
*U.S. Home Systems, Inc................................. 4,314 22,217
*Ultralife Corp......................................... 7,489 32,952
UniFirst Corp.......................................... 14,500 750,520
Union Pacific Corp..................................... 629,770 65,162,302
*United Capital Corp.................................... 300 8,175
*United Rentals, Inc.................................... 22,200 653,124
Universal Forest Products, Inc......................... 31,800 1,026,822
58
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Industrials -- (Continued)
*URS Corp............................................ 86,998 $ 3,893,160
*USA Truck, Inc...................................... 15,305 190,547
*Valpey Fisher Corp.................................. 1,464 4,568
*Versar, Inc......................................... 6,026 18,379
Viad Corp........................................... 27,199 674,807
Virco Manufacturing Corp............................ 12,601 38,559
*Vishay Precision Group, Inc......................... 9,257 152,740
Watts Water Technologies, Inc....................... 53,615 2,074,900
*WCA Waste Corp...................................... 29,254 174,646
#*WESCO International, Inc........................... 38,022 2,355,463
*Willdan Group, Inc.................................. 1,000 4,360
*Willis Lease Finance Corp........................... 7,300 96,287
------------
Total Industrials...................................... 418,394,110
------------
Information Technology -- (5.9%)
Activision Blizzard, Inc............................ 982,162 11,186,825
*Advanced Analogic Technologies, Inc................. 33,823 144,086
*Agilysys, Inc....................................... 12,799 66,811
*Amtech Systems, Inc................................. 10,600 242,528
*Anadigics, Inc...................................... 400 1,564
*AOL, Inc............................................ 105,592 2,151,965
*Arris Group, Inc.................................... 108,150 1,297,800
*Arrow Electronics, Inc.............................. 182,170 8,305,130
Astro-Med, Inc...................................... 2,897 22,568
#*ATMI, Inc.......................................... 23,310 464,102
*Aviat Networks, Inc................................. 55,320 283,238
*Avid Technology, Inc................................ 47,121 875,508
*Avnet, Inc.......................................... 90,900 3,301,488
AVX Corp............................................ 223,639 3,647,552
*Aware, Inc.......................................... 22,140 74,833
*AXT, Inc............................................ 26,200 183,138
Bel Fuse, Inc. Class A.............................. 4,174 96,002
Bel Fuse, Inc. Class B.............................. 18,986 382,188
*Benchmark Electronics, Inc.......................... 93,903 1,586,961
Black Box Corp...................................... 27,128 947,852
*Brocade Communications Systems, Inc................. 461,513 2,884,456
*Brooks Automation, Inc.............................. 34,786 425,433
*Bsquare Corp........................................ 5,200 36,972
*CACI International, Inc............................. 5,951 363,666
*Cascade Microtech, Inc.............................. 24,071 158,628
*Checkpoint Systems, Inc............................. 24,933 525,089
*China Information Technology, Inc................... 19,441 50,935
*Ciber, Inc.......................................... 69,623 398,244
*Cogo Group, Inc..................................... 18,344 150,604
Cohu, Inc........................................... 41,402 596,603
Communications Systems, Inc......................... 12,753 202,773
Computer Sciences Corp.............................. 225,553 11,498,692
Comtech Telecommunications Corp..................... 2,567 72,646
*Concurrent Computer Corp............................ 13,740 81,478
*Convergys Corp...................................... 197,364 2,861,778
*CoreLogic, Inc...................................... 96,545 1,777,393
*Corning, Inc........................................ 1,282,985 26,865,706
*CSP, Inc............................................ 2,414 11,491
CTS Corp............................................ 32,260 354,537
*CyberOptics Corp.................................... 9,134 90,883
*Datalink Corp....................................... 5,600 44,632
*Dataram Corp........................................ 7,744 14,791
DDi Corp............................................ 23,866 229,352
*Digi International, Inc............................. 35,811 422,928
*DSP Group, Inc...................................... 49,501 399,968
*Dynamics Research Corp.............................. 16,586 246,468
59
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Information Technology -- (Continued)
Earthlink, Inc........................................ 41,486 $ 341,015
*EchoStar Corp......................................... 23,551 873,271
*Edgewater Technology, Inc............................. 13,603 44,482
Electro Rent Corp..................................... 42,586 670,730
#*Electro Scientific Industries, Inc................... 38,559 634,296
*Electronics for Imaging, Inc.......................... 73,756 1,324,658
*EMS Technologies, Inc................................. 15,031 379,683
*Emulex Corp........................................... 46,665 452,184
*EndWave Corp.......................................... 14,015 33,776
*Epicor Software Corp.................................. 44,725 559,063
*ePlus, Inc............................................ 6,954 192,278
*Euronet Worldwide, Inc................................ 28,697 538,069
*Exar Corp............................................. 44,300 270,673
*Fairchild Semiconductor International, Inc............ 144,238 3,024,671
Fidelity National Information Services, Inc........... 10,293 340,698
*Frequency Electronics, Inc............................ 16,953 174,277
*Gerber Scientific, Inc................................ 48,089 459,731
*Globecomm Systems, Inc................................ 41,466 593,793
*GSI Technology, Inc................................... 7,977 71,075
*GTSI Corp............................................. 8,203 38,062
*Hackett Group, Inc.................................... 54,740 237,572
*I.D. Systems, Inc..................................... 13,298 59,575
*IAC/InterActiveCorp................................... 178,991 6,463,365
*Imation Corp.......................................... 34,398 353,267
*InfoSpace, Inc........................................ 65,156 586,404
*Ingram Micro, Inc. Class A............................ 277,679 5,200,928
*Insight Enterprises, Inc.............................. 23,362 400,892
*Integral Systems, Inc................................. 1,230 15,363
*Integrated Silicon Solution, Inc...................... 34,977 337,878
*Intermec, Inc......................................... 10,341 118,715
*Internap Network Services Corp........................ 35,546 287,567
*International Rectifier Corp.......................... 80,500 2,782,080
*Interphase Corp....................................... 4,460 24,129
#Intersil Corp. Class A................................ 78,236 1,155,546
*Intevac, Inc.......................................... 3,624 44,322
*IntriCon Corp......................................... 2,835 13,324
*INX, Inc.............................................. 500 3,250
*IXYS Corp............................................. 11,466 181,851
*Key Tronic Corp....................................... 15,546 81,927
Keynote Systems, Inc.................................. 18,330 391,162
*KVH Industries, Inc................................... 658 8,620
#*L-1 Identity Solutions, Inc.......................... 111,378 1,306,464
*Lattice Semiconductor Corp............................ 49,369 335,216
*LGL Group, Inc........................................ 269 3,712
*LoJack Corp........................................... 2,101 9,623
*LookSmart, Ltd........................................ 25,479 49,429
*Loral Space & Communications, Inc..................... 30,360 2,122,164
*ManTech International Corp. Class A................... 5,852 256,844
Marchex, Inc.......................................... 38,553 272,184
*Measurement Specialties, Inc.......................... 6,983 242,869
*MEMC Electronic Materials, Inc........................ 224,947 2,661,123
*MEMSIC, Inc........................................... 1,150 4,014
*Mentor Graphics Corp.................................. 36,684 541,089
*Mercury Computer Systems, Inc......................... 4,566 88,169
Methode Electronics, Inc.............................. 27,826 343,929
*Micron Technology, Inc................................ 758,908 8,568,071
MKS Instruments, Inc.................................. 61,200 1,736,856
ModusLink Global Solutions, Inc....................... 68,955 361,324
*MoSys, Inc............................................ 2,834 17,542
*Motorola Solutions, Inc............................... 317,089 14,548,043
*Newport Corp.......................................... 8,439 158,062
60
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Information Technology -- (Continued)
*Novatel Wireless, Inc................................ 22,839 $ 141,602
*Online Resources Corp................................ 18,620 71,128
*Oplink Communications, Inc........................... 23,684 468,943
*Opnext, Inc.......................................... 8,926 21,065
Optical Cable Corp................................... 9,195 41,286
*Orbcomm, Inc......................................... 21,229 65,810
*PAR Technology Corp.................................. 22,705 96,269
*PC Connection, Inc................................... 46,126 409,599
*PC Mall, Inc......................................... 10,070 98,384
*PC-Tel, Inc.......................................... 46,980 342,954
*Perceptron, Inc...................................... 4,904 30,699
*Performance Technologies, Inc........................ 24,790 53,794
*Pericom Semiconductor Corp........................... 38,062 345,984
*Pervasive Software, Inc.............................. 35,664 242,515
*Photronics, Inc...................................... 34,982 305,393
*Planar Systems, Inc.................................. 11,933 29,713
*Presstek, Inc........................................ 7,000 12,740
.*Price Communications Liquidation Trust.............. 47,738 --
*Qualstar Corp........................................ 12,400 21,948
*RadiSys Corp......................................... 12,028 105,967
*RealNetworks, Inc.................................... 141,526 523,646
*Reis, Inc............................................ 16,361 159,683
Richardson Electronics, Ltd.......................... 19,783 266,675
*Rudolph Technologies, Inc............................ 10,995 124,353
*S1 Corp.............................................. 65,938 452,994
*Sandisk Corp......................................... 13,097 643,587
*SeaChange International, Inc......................... 30,686 328,647
*Sigma Designs, Inc................................... 23,129 295,126
*Silicon Image, Inc................................... 29,804 247,969
#*Skyworks Solutions, Inc............................. 33,004 1,038,306
*Smart Modular Technologies (WWH), Inc................ 46,800 427,752
*Spectrum Control, Inc................................ 18,040 358,816
*Standard Microsystems Corp........................... 16,505 448,111
*StarTek, Inc......................................... 29,848 162,373
#*SunPower Corp. Class A.............................. 23,002 500,754
*Support.com, Inc..................................... 58,408 334,678
*Sycamore Networks, Inc............................... 47,495 1,163,628
*Symmetricom, Inc..................................... 86,446 527,321
*SYNNEX Corp.......................................... 60,100 2,015,153
*Tech Data Corp....................................... 85,452 4,540,065
*TechTarget, Inc...................................... 19,428 167,858
*TeleCommunication Systems, Inc....................... 34,100 157,201
Tellabs, Inc......................................... 223,051 1,097,411
Telular Corp......................................... 28,223 197,279
Tessco Technologies, Inc............................. 11,399 134,394
TheStreet.com, Inc................................... 36,282 130,615
*Tier Technologies, Inc............................... 3,839 21,460
*Tollgrade Communications, Inc........................ 19,226 193,990
*Triquint Semiconductor, Inc.......................... 57,628 793,538
*TSR, Inc............................................. 650 3,263
*TTM Technologies, Inc................................ 66,931 1,279,721
United Online, Inc................................... 51,420 339,372
*UTStarcom, Inc....................................... 118,917 305,617
*Vicon Industries, Inc................................ 5,787 28,356
*Video Display Corp................................... 600 2,166
*Virtusa Corp......................................... 39,100 729,606
*Vishay Intertechnology, Inc.......................... 236,119 4,505,151
*Web.com Group, Inc................................... 26,373 416,166
*Western Digital Corp................................. 73,400 2,921,320
*WPCS International, Inc.............................. 9,161 23,819
Xerox Corp........................................... 1,791,473 18,075,963
61
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Information Technology -- (Continued)
*Zoran Corp.......................................... 82,007 $ 858,613
*Zygo Corp........................................... 24,384 364,541
------------
Total Information Technology........................... 199,632,084
------------
Materials -- (3.1%)
A. Schulman, Inc.................................... 25,754 652,091
*A.M. Castle & Co.................................... 38,646 729,636
Alcoa, Inc.......................................... 1,145,369 19,471,273
*American Pacific Corp............................... 7,647 47,182
Ashland, Inc........................................ 112,560 6,987,725
Boise, Inc.......................................... 62,904 617,717
Buckeye Technologies, Inc........................... 37,822 1,065,068
Cabot Corp.......................................... 46,280 2,075,658
*Century Aluminum Co................................. 32,155 642,457
*Coeur d'Alene Mines Corp............................ 133,765 4,241,688
Commercial Metals Co................................ 85,208 1,428,086
*Continental Materials Corp.......................... 100 1,581
*Core Molding Technologies, Inc...................... 2,488 20,899
Cytec Industries, Inc............................... 64,700 3,796,596
Domtar Corp......................................... 30,917 2,875,899
Dow Chemical Co. (The).............................. 62,835 2,575,607
Friedman Industries, Inc............................ 17,453 185,002
*Georgia Gulf Corp................................... 26,423 1,040,538
*Graphic Packaging Holding Co........................ 95,669 525,223
Haynes International, Inc........................... 4,293 231,994
*Headwaters, Inc..................................... 43,114 235,402
#*Hecla Mining Co.................................... 9,000 84,690
*Horsehead Holding Corp.............................. 49,171 775,427
Innophos Holdings, Inc.............................. 870 40,316
*Innospec, Inc....................................... 2,400 90,384
International Paper Co.............................. 493,615 15,242,831
Kaiser Aluminum Corp................................ 27,181 1,362,040
*KapStone Paper & Packaging Corp..................... 38,216 664,194
*Landec Corp......................................... 27,697 179,477
*Louisiana-Pacific Corp.............................. 153,257 1,425,290
*Materion Corp....................................... 17,890 747,086
MeadWestavco Corp................................... 188,451 6,348,914
*Mercer International, Inc........................... 13,451 163,699
Minerals Technologies, Inc.......................... 14,415 980,220
*Mod-Pac Corp........................................ 1,501 8,090
Myers Industries, Inc............................... 65,520 699,098
Neenah Paper, Inc................................... 8,732 203,718
NL Industries, Inc.................................. 51,662 735,667
*Northern Technologies International Corp............ 3,035 47,103
Olympic Steel, Inc.................................. 6,872 201,831
*OM Group, Inc....................................... 42,299 1,532,916
P.H. Glatfelter Co.................................. 54,200 737,120
*Penford Corp........................................ 27,122 152,154
PolyOne Corp........................................ 73,379 1,062,528
Quaker Chemical Corp................................ 286 12,921
Reliance Steel & Aluminum Co........................ 94,901 5,372,346
*RTI International Metals, Inc....................... 50,032 1,598,022
Schnitzer Steel Industries, Inc. Class A............ 15,822 982,072
*Spartech Corp....................................... 32,120 229,337
Steel Dynamics, Inc................................. 552 10,041
#*Stillwater Mining Co............................... 2,109 48,106
Synalloy Corp....................................... 5,144 77,160
Temple-Inland, Inc.................................. 122,582 2,884,354
Texas Industries, Inc............................... 44,894 1,893,180
*Universal Stainless & Alloy Products, Inc........... 8,188 296,815
#Vulcan Materials Co................................. 23,587 1,066,132
62
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares Value+
------ -----
Materials -- (Continued)
Wausau Paper Corp................................ 19,808 $ 133,704
Westlake Chemical Corp........................... 105,000 6,893,250
Worthington Industries, Inc...................... 56,424 1,217,066
*Zoltek Cos., Inc................................. 48,771 626,707
--------------
Total Materials..................................... 106,273,328
--------------
Other -- (0.0%)
.*Concord Camera Corp. Escrow Shares.............. -- --
.*MAIR Holdings, Inc. Escrow Shares............... 1,415 --
.*Petrocorp, Inc. Escrow Shares................... 900 54
--------------
Total Other......................................... 54
--------------
Telecommunication Services -- (5.9%)
AT&T, Inc........................................ 4,065,906 126,530,995
CenturyLink, Inc................................. 295,128 12,035,320
Frontier Communications Corp..................... 682,523 5,644,465
*General Communications, Inc. Class A............. 47,997 551,966
*Leap Wireless International, Inc................. 8,393 124,552
*MetroPCS Communications, Inc..................... 227,572 3,830,037
*Premiere Global Services, Inc.................... 1,307 10,338
*Sprint Nextel Corp............................... 3,820,377 19,789,553
*SureWest Communications.......................... 11,255 163,985
Telephone & Data Systems, Inc.................... 80,200 2,691,512
Telephone & Data Systems, Inc. Special Shares.... 67,452 1,966,226
*United States Cellular Corp...................... 33,568 1,652,888
Verizon Communications, Inc...................... 688,680 26,018,330
*Xeta Corp........................................ 18,366 101,013
--------------
Total Telecommunication Services.................... 201,111,180
--------------
Utilities -- (1.2%)
*AES Corp......................................... 583,867 7,730,399
*Calpine Corp..................................... 434,531 7,278,394
Consolidated Water Co., Ltd...................... 912 8,947
#*Dynegy, Inc..................................... 84,156 533,549
*GenOn Energy, Inc................................ 637,528 2,505,485
#Ormat Technologies, Inc.......................... 18,134 451,537
Public Service Enterprise Group, Inc............. 655,441 21,085,537
SJW Corp......................................... 3,684 85,616
Unitil Corp...................................... 4,716 119,126
--------------
Total Utilities..................................... 39,798,590
--------------
TOTAL COMMON STOCKS................................. 3,267,054,900
--------------
RIGHTS/WARRANTS -- (0.0%)
.*Macatawa Bank Corp. Rights...................... 19,463 --
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds Tempcash Portfolio -
Institutional Shares........................... 7,970,402 7,970,402
--------------
63
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares/
Face
Amount Value+
------ -----
(000)
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@DFA Short Term Investment Fund............... 113,772,720 $ 113,772,720
@Repurchase Agreement, UBS Securities LLC
0.06%, 05/02/11 (Collateralized by $335,733
FNMA 3.500%, 02/01/26, valued at $337,565) to
be repurchased at $327,735...................... $ 328 327,733
--------------
TOTAL SECURITIES LENDING COLLATERAL.............. 114,100,453
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,651,961,439) $3,389,125,755
==============
64
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Principal Executive Officer and
Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) are effectively designed to ensure that
information required to be disclosed by the Registrant in the Report is
recorded, processed, summarized and reported by the filing date,
including ensuring that information required to be disclosed in the
Report is accumulated and communicated to the Registrant's officers
that are making certifications in the Report, as appropriate, to allow
timely decisions regarding required disclosure. The Registrant's
management, including the Principal Executive Officer and the Principal
Financial Officer, recognizes that any set of controls and procedures,
no matter how well designed and operated, can provide only reasonable
assurance of achieving the desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second fiscal
quarter of the period covered by this Report that have materially
affected, or are reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1)This item is not applicable.
(a)(2)Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3)This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/David G. Booth
--------------------------
David G. Booth
Chairman, Director,
President and
Co-Chief Executive Officer
Date: July 8, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/David G. Booth
-------------------------
David G. Booth
Principal Executive
Officer
Dimensional Investment
Group Inc.
Date: July 8, 2011
By: /s/David R. Martin
-------------------------
David R. Martin
Principal Financial
Officer
Dimensional Investment
Group Inc.
Date: July 8, 2011