================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR/A
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
THE DFA INVESTMENT TRUST COMPANY
(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)
CATHERINE L. NEWELL, ESQUIRE, VICE PRESIDENT AND SECRETARY
THE DFA INVESTMENT TRUST COMPANY,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: OCTOBER 31
Date of reporting period: OCTOBER 31, 2011
Explanatory Note: This Form N-CSR/A for The DFA Investment Trust Company
(the "Registrant") is being filed solely to reflect a change in the footnotes
to the performance information provided within the Performance Charts section
of the annual report for The Japanese Small Company Series, The Continental
Small Company Series, The Asia Pacific Small Company Series, The Emerging
Markets Series and The Emerging Markets Small Cap Series (the "Series") within
Item 1 "Reports to Stockholders". The annual reports for the other series of
the Registrant are contained in the Form N-CSR filed on January 9, 2012
(Accession Number 0001193125-12-006335) and are not amended or modified in any
way by this Form N-CSR/A. The schedule of investments for the Series in
response to Item 6 of this Form N-CSR/A are contained in the Form N-CSR filed
on January 9, 2012 (Accession Number 0001193125-12-006335) and are incorporated
by reference into this Form N-CSR/A. This Form N-CSR/A also updates Item 11
"Controls and Procedures" and Item 12 "Exhibits." Other than the aforementioned
amendments, no other information or disclosures contained in the Registrant's
Form N-CSR filed on January 9, 2012 are being amended by this Form N-CSR/A.
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO] DIMENSIONAL
ANNUAL REPORT
year ended: October 31, 2011
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
[LOGO] DIMENSIONAL
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 2011
Dear Fellow Shareholder,
Our investment approach at Dimensional is based on a very solid story about
risk and return. We keep a long-range focus built on that risk and return
relationship. We don't think we can forecast where the markets are headed. The
recent market volatility has reinforced our belief that Dimensional's approach
is the right one.
We've been fortunate this year to see strong positive inflows overall from our
clients even as the industry has generally experienced outflows. We're pleased
by this because it shows that clients understand and share our long-term,
disciplined philosophy. Working together in this way benefits us both. Clients
can stay focused on investment goals, and Dimensional can continue managing
assets to help meet those goals.
Our success over more than 30 years shows the ideas we built the firm on were
indeed the right ones. We're optimistic about the future.
Sincerely,
/s/ David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts................................................ 3
Management's Discussion and Analysis.............................. 13
Disclosure of Fund Expenses....................................... 26
Disclosure of Portfolio Holdings.................................. 31
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio......................... 34
U.S. Large Cap Value Portfolio................................ 38
U.S. Targeted Value Portfolio................................. 39
U.S. Small Cap Value Portfolio................................ 42
U.S. Core Equity 1 Portfolio.................................. 45
U.S. Core Equity 2 Portfolio.................................. 48
U.S. Vector Equity Portfolio.................................. 51
U.S. Small Cap Portfolio...................................... 54
U.S. Micro Cap Portfolio...................................... 57
DFA Real Estate Securities Portfolio.......................... 60
Large Cap International Portfolio............................. 62
International Core Equity Portfolio........................... 66
International Small Company Portfolio......................... 71
Japanese Small Company Portfolio.............................. 72
Asia Pacific Small Company Portfolio.......................... 72
United Kingdom Small Company Portfolio........................ 73
Continental Small Company Portfolio........................... 73
DFA International Real Estate Securities Portfolio............ 74
DFA Global Real Estate Securities Portfolio................... 77
DFA International Small Cap Value Portfolio................... 78
International Vector Equity Portfolio......................... 82
World ex U.S. Value Portfolio................................. 86
Emerging Markets Portfolio.................................... 87
Emerging Markets Small Cap Portfolio.......................... 87
Emerging Markets Value Portfolio.............................. 88
Emerging Markets Core Equity Portfolio........................ 89
Statements of Assets and Liabilities.............................. 93
Statements of Operations.......................................... 100
Statements of Changes in Net Assets............................... 107
Financial Highlights.............................................. 116
Notes to Financial Statements..................................... 132
Report of Independent Registered Public Accounting Firm........... 159
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO
Performance Chart.................................................... 160
Management's Discussion and Analysis................................. 161
Consolidated Disclosure of Fund Expenses............................. 162
Consolidated Disclosure of Portfolio Holdings........................ 163
Consolidated Schedule of Investments................................. 164
Consolidated Statement of Assets and Liabilities..................... 170
Consolidated Statement of Operations................................. 171
Consolidated Statement of Changes in Net Assets...................... 172
Consolidated Financial Highlights.................................... 173
Consolidated Notes to Financial Statements........................... 174
Report of Independent Registered Public Accounting Firm.............. 186
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................... 187
Management's Discussion and Analysis................................. 188
Disclosure of Fund Expenses.......................................... 192
Disclosure of Portfolio Holdings..................................... 194
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio................................ 195
U.S. Large Company Portfolio..................................... 196
Statements of Assets and Liabilities................................. 199
Statements of Operations............................................. 200
Statements of Changes in Net Assets.................................. 201
Financial Highlights................................................. 202
Notes to Financial Statements........................................ 204
Report of Independent Registered Public Accounting Firm.............. 216
THE DFA INVESTMENT TRUST COMPANY
Performance Charts................................................... 217
Management's Discussion and Analysis................................. 220
Disclosure of Fund Expenses.......................................... 226
Disclosure of Portfolio Holdings..................................... 228
Schedules of Investments/Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series.................................. 230
The DFA International Value Series............................... 233
The Japanese Small Company Series................................ 237
The Asia Pacific Small Company Series............................ 240
The United Kingdom Small Company Series.......................... 243
The Continental Small Company Series............................. 246
The Canadian Small Company Series................................ 250
The Emerging Markets Series...................................... 253
The Emerging Markets Small Cap Series............................ 257
Statements of Assets and Liabilities................................. 261
Statements of Operations............................................. 263
Statements of Changes in Net Assets.................................. 265
Financial Highlights................................................. 268
Notes to Financial Statements........................................ 273
Report of Independent Registered Public Accounting Firm.............. 283
ii
TABLE OF CONTENTS
CONTINUED
PAGE
----
DIMENSIONAL EMERGING MARKETS VALUE FUND
Performance Chart....................................... 284
Management's Discussion and Analysis.................... 285
Disclosure of Fund Expenses............................. 287
Disclosure of Portfolio Holdings........................ 288
Summary Schedule of Portfolio Holdings.................. 289
Statement of Assets and Liabilities..................... 293
Statement of Operations................................. 294
Statements of Changes in Net Assets..................... 295
Financial Highlights.................................... 296
Notes to Financial Statements........................... 297
Report of Independent Registered Public Accounting Firm. 305
FUND MANAGEMENT............................................ 306
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................ 315
NOTICE TO SHAREHOLDERS..................................... 316
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.
iii
[THIS PAGE INTENTIONALLY LEFT BLANK]
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
Investment Abbreviations
ADR American Depositary Receipt
FHLMC Federal Home Loan Mortgage Association
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
P.L.C. Public Limited Company
REIT Real Estate Investment Trust
SPDR Standard & Poor's Depository Receipts
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to
Financial Statements.
** Calculated as a percentage of total net assets. Percentages
shown parenthetically next to the
category headings have been calculated as a percentage of
total investments. "Other Securities"
are those securities that are not among the top 50 holdings of
the Fund or do not represent more
than 1.0% of the net assets of the Fund. Some of the individual
securities within this category may
include Total or Partial Securities on Loan and/or Non-Income
Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Denominated in local currency or the Euro, unless otherwise noted.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of October 31, 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.
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.
PERFORMANCE CHARTS
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(R) INDEX
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
Enhanced U.S. Large
ROUNDED Company Portfolio- S&P 500
E500 - 76 Institutional Class INDEX
10/31/2001 ---------- ------------------- ---------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,747.89 10,767.06
12/31/2001 10,844.39 10,861.39
1/31/2002 10,687.58 10,702.88
2/28/2002 10,494.57 10,496.48
3/31/2002 10,824.08 10,891.24
4/30/2002 10,217.35 10,230.93
5/31/2002 10,156.68 10,155.55
6/30/2002 9,466.70 9,432.08
7/31/2002 8,783.54 8,696.90
8/31/2002 8,856.74 8,754.00
9/30/2002 7,902.35 7,802.62
10/31/2002 8,614.05 8,489.37
11/30/2002 9,092.61 8,989.05
2003 12/31/2002 8,589.12 8,460.85
1/31/2003 8,366.99 8,239.18
2/28/2003 8,255.92 8,115.59
3/31/2003 8,330.47 8,194.39
4/30/2003 9,024.67 8,869.36
5/31/2003 9,520.53 9,336.69
6/30/2003 9,633.01 9,456.20
7/31/2003 9,757.31 9,622.91
8/31/2003 9,943.75 9,810.56
9/30/2003 9,880.99 9,706.37
10/31/2003 10,404.32 10,255.46
11/30/2003 10,491.54 10,345.71
2004 12/31/2003 11,067.68 10,888.24
1/31/2004 11,267.55 11,088.09
2/29/2004 11,442.43 11,242.21
3/31/2004 11,281.00 11,072.57
4/30/2004 11,030.59 10,898.73
5/31/2004 11,168.32 11,048.26
6/30/2004 11,366.10 11,263.03
7/31/2004 11,001.88 10,890.23
8/31/2004 11,077.24 10,934.12
9/30/2004 11,187.68 11,052.53
10/31/2004 11,364.06 11,221.41
11/30/2004 11,779.82 11,675.43
2005 12/31/2004 12,178.76 12,072.75
1/31/2005 11,860.28 11,778.48
2/28/2005 12,089.59 12,026.29
3/31/2005 11,847.54 11,813.31
4/30/2005 11,643.71 11,589.21
5/31/2005 12,013.15 11,957.98
6/30/2005 12,025.81 11,974.96
7/31/2005 12,421.56 12,420.43
8/31/2005 12,332.20 12,307.15
9/30/2005 12,408.56 12,406.84
10/31/2005 12,151.65 12,200.02
11/30/2005 12,614.09 12,661.42
2006 12/31/2005 12,614.97 12,665.86
1/31/2006 12,953.81 13,001.25
2/28/2006 12,953.81 13,036.48
3/31/2006 13,115.98 13,198.78
4/30/2006 13,272.91 13,376.04
5/31/2006 12,880.60 12,991.08
6/30/2006 12,893.68 13,008.75
7/31/2006 12,972.14 13,089.01
8/31/2006 13,272.91 13,400.44
9/30/2006 13,612.90 13,745.77
10/31/2006 14,044.43 14,193.75
11/30/2006 14,319.05 14,463.71
2007 12/31/2006 14,510.63 14,666.60
1/31/2007 14,716.55 14,888.41
2/28/2007 14,428.26 14,597.21
3/31/2007 14,593.00 14,760.48
4/30/2007 15,224.49 15,414.30
5/31/2007 15,746.16 15,952.18
6/30/2007 15,471.60 15,687.17
7/31/2007 15,004.84 15,200.79
8/31/2007 15,210.76 15,428.65
9/30/2007 15,776.49 16,005.68
10/31/2007 16,029.59 16,260.33
11/30/2007 15,354.66 15,580.49
2008 12/31/2007 15,245.82 15,472.36
1/31/2008 14,290.07 14,544.02
2/29/2008 13,827.61 14,071.48
3/31/2008 13,765.94 14,010.69
4/30/2008 14,413.39 14,693.01
5/31/2008 14,613.79 14,884.02
6/30/2008 13,372.39 13,629.30
7/31/2008 13,263.29 13,514.68
8/31/2008 13,465.91 13,710.10
9/30/2008 12,226.06 12,488.39
10/31/2008 10,141.36 10,390.97
11/30/2008 9,451.69 9,645.41
2009 12/31/2008 9,562.64 9,748.04
1/31/2009 8,761.40 8,926.41
2/28/2009 7,803.39 7,975.93
3/31/2009 8,513.91 8,674.58
4/30/2009 9,353.06 9,504.83
5/31/2009 9,912.50 10,036.43
6/30/2009 9,947.46 10,056.30
7/31/2009 10,734.17 10,816.94
8/31/2009 11,153.74 11,207.43
9/30/2009 11,592.11 11,625.69
10/31/2009 11,381.34 11,409.72
11/30/2009 12,101.46 12,094.07
2010 12/31/2009 12,309.57 12,327.73
1/31/2010 11,886.32 11,884.30
2/28/2010 12,274.30 12,252.44
3/31/2010 12,997.35 12,991.80
4/30/2010 13,208.98 13,196.90
5/31/2010 12,168.49 12,143.13
6/30/2010 11,543.02 11,507.46
7/31/2010 12,357.41 12,313.71
8/31/2010 11,808.58 11,757.82
9/30/2010 12,864.84 12,807.13
10/31/2010 13,361.69 13,294.43
11/30/2010 13,343.94 13,296.13
2011 12/31/2010 14,237.00 14,184.73
1/31/2011 14,592.48 14,520.92
2/28/2011 15,072.38 15,018.39
3/31/2011 15,072.38 15,024.36
4/30/2011 15,552.28 15,469.30
5/31/2011 15,410.08 15,294.21
6/30/2011 15,143.47 15,039.27
7/31/2011 14,859.09 14,733.46
8/31/2011 14,041.48 13,933.12
9/30/2011 13,046.14 12,953.65
10/11 10/31/2011 14,485.83 14,369.39
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---- ----- -----
8.41% 0.62% 3.78%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
The S&P data are provided by Standard & Poor's Index Services Group.
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
U.S. Large Cap
ROUNDED Value Portfolio- RUSSELL 1000
LBKF - 35 Institutional Class VALUE INDEX
---------- ------------------- ------------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,941.33 10,581.00
12/31/2001 11,196.96 10,830.71
1/31/2002 11,313.21 10,747.32
2/28/2002 11,458.53 10,764.51
3/31/2002 11,935.16 11,273.67
4/30/2002 11,826.00 10,886.99
5/31/2002 11,898.78 10,941.42
6/30/2002 11,174.87 10,313.38
7/31/2002 9,934.03 9,354.24
8/31/2002 10,094.61 9,424.39
9/30/2002 8,970.72 8,376.40
10/31/2002 9,322.23 8,997.09
11/30/2002 9,981.30 9,563.91
2003 12/31/2002 9,526.91 9,148.84
1/31/2003 9,306.03 8,927.43
2/28/2003 9,033.63 8,689.07
3/31/2003 8,991.25 8,703.84
4/30/2003 9,818.03 9,469.78
5/31/2003 10,475.02 10,081.53
6/30/2003 10,587.70 10,207.55
7/31/2003 10,854.25 10,359.64
8/31/2003 11,239.26 10,521.25
9/30/2003 10,992.35 10,418.14
10/31/2003 11,727.65 11,055.73
11/30/2003 11,987.60 11,206.09
2004 12/31/2003 12,806.42 11,896.39
1/31/2004 13,022.84 12,105.76
2/29/2004 13,358.67 12,364.83
3/31/2004 13,304.88 12,256.02
4/30/2004 13,080.64 11,956.97
5/31/2004 13,155.39 12,078.93
6/30/2004 13,548.13 12,363.99
7/31/2004 13,105.77 12,189.66
8/31/2004 13,105.77 12,362.75
9/30/2004 13,509.81 12,554.38
10/31/2004 13,667.69 12,762.78
11/30/2004 14,562.33 13,408.58
2005 12/31/2004 15,142.95 13,857.76
1/31/2005 14,765.32 13,611.10
2/28/2005 15,210.92 14,061.62
3/31/2005 15,171.11 13,868.98
4/30/2005 14,649.27 13,620.72
5/31/2005 15,276.99 13,948.73
6/30/2005 15,587.68 14,101.26
7/31/2005 16,361.00 14,509.24
8/31/2005 16,224.54 14,446.19
9/30/2005 16,475.04 14,649.02
10/31/2005 16,034.09 14,276.97
11/30/2005 16,672.71 14,743.83
2006 12/31/2005 16,693.71 14,831.90
1/31/2006 17,484.26 15,407.84
2/28/2006 17,422.86 15,501.93
3/31/2006 17,729.13 15,711.91
4/30/2006 18,228.87 16,111.25
5/31/2006 17,890.58 15,704.27
6/30/2006 18,045.83 15,804.62
7/31/2006 17,783.40 16,188.89
8/31/2006 18,068.99 16,459.82
9/30/2006 18,568.54 16,787.77
10/31/2006 19,304.16 17,337.39
11/30/2006 19,668.10 17,733.15
2007 12/31/2006 20,063.25 18,131.24
1/31/2007 20,643.29 18,363.12
2/28/2007 20,333.41 18,076.84
3/31/2007 20,466.63 18,356.32
4/30/2007 21,334.33 19,034.63
5/31/2007 22,210.00 19,721.20
6/30/2007 21,849.16 19,260.39
7/31/2007 20,492.07 18,369.72
8/31/2007 20,100.91 18,575.56
9/30/2007 20,620.41 19,213.59
10/31/2007 20,732.52 19,215.71
11/30/2007 19,571.37 18,276.56
2008 12/31/2007 19,508.52 18,099.83
1/31/2008 18,760.14 17,374.87
2/29/2008 18,179.92 16,646.90
3/31/2008 18,010.07 16,522.05
4/30/2008 19,139.92 17,327.43
5/31/2008 19,595.23 17,299.93
6/30/2008 17,447.77 15,643.96
7/31/2008 17,253.06 15,587.48
8/31/2008 17,591.69 15,852.47
9/30/2008 16,009.28 14,687.77
10/31/2008 12,402.52 12,145.13
11/30/2008 11,186.08 11,274.22
2009 12/31/2008 11,549.08 11,430.71
1/31/2009 10,179.73 10,116.29
2/28/2009 8,750.09 8,764.65
3/31/2009 9,610.41 9,514.06
4/30/2009 11,165.55 10,533.88
5/31/2009 12,021.75 11,185.26
6/30/2009 11,876.22 11,102.66
7/31/2009 12,995.62 12,011.43
8/31/2009 13,878.91 12,639.69
9/30/2009 14,483.20 13,128.03
10/31/2009 13,860.74 12,726.25
11/30/2009 14,641.01 13,443.54
2010 12/31/2009 15,035.68 13,681.45
1/31/2010 14,683.14 13,296.67
2/28/2010 15,317.71 13,716.38
3/31/2010 16,512.42 14,609.32
4/30/2010 17,033.67 14,987.35
5/31/2010 15,575.92 13,755.45
6/30/2010 14,398.05 12,981.10
7/31/2010 15,524.00 13,859.89
8/31/2010 14,575.36 13,266.83
9/30/2010 16,003.61 14,296.12
10/31/2010 16,593.03 14,725.09
11/30/2010 16,468.00 14,647.16
2011 12/31/2010 18,068.89 15,802.89
1/31/2011 18,652.62 16,160.37
2/28/2011 19,658.44 16,756.44
3/31/2011 19,747.84 16,822.99
4/30/2011 20,243.11 17,270.96
5/31/2011 19,954.95 17,088.49
6/30/2011 19,592.07 16,738.11
7/31/2011 18,697.42 16,182.92
8/31/2011 17,115.95 15,173.01
9/30/2011 15,386.62 14,026.33
10/11 10/31/2011 17,510.79 15,632.24
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---- ----- -----
5.53% -1.93% 5.76%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
U.S. TARGETED VALUE PORTFOLIO CLASS R1 VS.
RUSSELL 2000(R) VALUE INDEX
JANUARY 31, 2008-OCTOBER 31, 2011
GROWTH OF $10,000
ROUNDED U.S. Targeted Value RUSSELL 2000
410F - 402 Portfolio - Class R1 VALUE INDEX
1/31/2008 ---------- -------------------- ------------
01/08 1/31/2008 10,000.00 10,000.00
2/29/2008 9,750.00 9,602.57
3/31/2008 9,820.73 9,747.57
4/30/2008 10,151.76 10,055.99
5/31/2008 10,613.21 10,399.80
6/30/2008 9,538.43 9,401.93
7/31/2008 9,789.97 9,883.91
8/31/2008 10,232.68 10,353.40
9/30/2008 9,575.01 9,868.08
10/31/2008 7,504.46 7,896.67
11/30/2008 6,524.74 6,982.16
2009 12/31/2008 6,945.84 7,411.68
1/31/2009 5,998.68 6,352.93
2/28/2009 5,204.29 5,470.50
3/31/2009 5,777.12 5,956.20
4/30/2009 6,901.87 6,901.30
5/31/2009 7,137.05 7,050.52
6/30/2009 7,107.37 7,028.30
7/31/2009 7,958.61 7,841.06
8/31/2009 8,379.10 8,212.18
9/30/2009 8,844.37 8,624.05
10/31/2009 8,206.76 8,051.36
11/30/2009 8,484.43 8,307.57
2010 12/31/2009 9,149.55 8,936.79
1/31/2010 8,943.01 8,674.85
2/28/2010 9,449.03 9,077.10
3/31/2010 10,228.79 9,832.10
4/30/2010 10,972.71 10,520.04
5/31/2010 9,980.82 9,631.12
6/30/2010 9,031.07 8,790.37
7/31/2010 9,734.52 9,417.84
8/31/2010 8,948.31 8,709.68
9/30/2010 10,043.55 9,644.83
10/31/2010 10,417.07 10,018.50
11/30/2010 10,839.57 10,273.12
2011 12/31/2010 11,804.96 11,126.66
1/31/2011 11,883.04 11,132.73
2/28/2011 12,550.31 11,698.01
3/31/2011 12,791.66 11,860.57
4/30/2011 12,997.52 12,053.28
5/31/2011 12,678.09 11,837.36
6/30/2011 12,397.48 11,546.29
7/31/2011 11,964.10 11,164.48
8/31/2011 10,763.43 10,178.35
9/30/2011 9,424.71 9,066.77
10/11 10/31/2011 10,905.33 10,373.32
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 1/31/2008
-------------- ---- ---------
4.69% 2.34%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. TARGETED VALUE PORTFOLIO CLASS R2 VS.
RUSSELL 2000(R) VALUE INDEX
JUNE 30, 2008-OCTOBER 31, 2011
GROWTH OF $10,000
ROUNDED U.S. Targeted Value RUSSELL 2000
410F - 403 Portfolio - Class R2 VALUE INDEX
6/30/2008 ---------- -------------------- ------------
06/08 6/30/2008 10,000.00 10,000.00
7/31/2008 10,260.00 10,512.63
8/31/2008 10,720.00 11,011.98
9/30/2008 10,038.28 10,495.79
10/31/2008 7,859.97 8,398.98
11/30/2008 6,836.07 7,426.30
12/31/2008 7,273.61 7,883.14
1/31/2009 6,272.10 6,757.04
2/28/2009 5,442.56 5,818.48
3/31/2009 6,038.30 6,335.08
4/30/2009 7,215.51 7,340.30
5/31/2009 7,459.08 7,499.01
6/30/2009 7,435.89 7,475.37
7/31/2009 8,320.88 8,339.84
8/31/2009 8,768.45 8,734.56
9/30/2009 9,248.19 9,172.64
10/31/2009 8,585.42 8,563.51
11/30/2009 8,870.93 8,836.02
2010 12/31/2009 9,567.97 9,505.27
1/31/2010 9,342.85 9,226.67
2/28/2010 9,864.74 9,654.50
3/31/2010 10,685.47 10,457.53
4/30/2010 11,453.10 11,189.23
5/31/2010 10,419.36 10,243.76
6/30/2010 9,433.57 9,349.53
7/31/2010 10,160.80 10,016.92
8/31/2010 9,341.38 9,263.71
9/30/2010 10,483.99 10,258.34
10/31/2010 10,874.19 10,655.79
11/30/2010 11,306.03 10,926.61
2011 12/31/2010 12,307.64 11,834.44
1/31/2011 12,396.45 11,840.89
2/28/2011 13,084.73 12,442.13
3/31/2011 13,336.36 12,615.03
4/30/2011 13,543.58 12,820.00
5/31/2011 13,210.54 12,590.35
6/30/2011 12,925.77 12,280.76
7/31/2011 12,466.25 11,874.67
8/31/2011 11,213.70 10,825.80
9/30/2011 9,819.78 9,643.52
10/11 10/31/2011 11,363.63 11,033.18
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 6/30/2008
-------------- ---- ---------
4.50% 3.91%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
U.S. TARGETED VALUE PORTFOLIO INSTITUTIONAL CLASS VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
U.S. Targeted
Value Portfo
ROUNDED lio -Institutional RUSSELL 2000
410F - 96 Class VALUE INDEX
10/31/2001 ---------- ------------------ ------------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,922.05 10,719.00
12/31/2001 11,644.34 11,375.00
1/31/2002 11,805.57 11,526.29
2/28/2002 12,065.32 11,596.60
3/31/2002 13,104.36 12,465.19
4/30/2002 13,471.60 12,903.96
5/31/2002 13,041.66 12,476.84
6/30/2002 12,557.97 12,201.10
7/31/2002 10,712.79 10,388.02
8/31/2002 10,712.79 10,342.31
9/30/2002 9,763.33 9,603.87
10/31/2002 10,014.13 9,747.93
11/30/2002 11,115.86 10,525.81
2003 12/31/2002 10,519.26 10,076.36
1/31/2003 10,031.41 9,792.21
2/28/2003 9,604.54 9,463.19
3/31/2003 9,574.05 9,564.44
4/30/2003 10,712.37 10,473.07
5/31/2003 11,931.99 11,542.37
6/30/2003 12,125.10 11,737.43
7/31/2003 12,826.39 12,323.13
8/31/2003 13,659.80 12,791.41
9/30/2003 13,476.85 12,644.31
10/31/2003 14,777.79 13,674.82
11/30/2003 15,387.60 14,199.93
2004 12/31/2003 16,206.74 14,713.97
1/31/2004 16,950.70 15,223.07
2/29/2004 17,213.94 15,518.40
3/31/2004 17,362.73 15,732.56
4/30/2004 16,779.01 14,919.18
5/31/2004 17,030.81 15,099.70
6/30/2004 17,998.54 15,866.77
7/31/2004 17,127.83 15,136.90
8/31/2004 17,013.26 15,285.24
9/30/2004 17,785.91 15,890.54
10/31/2004 17,946.46 16,136.84
11/30/2004 19,597.76 17,568.18
2005 12/31/2004 20,206.65 17,988.06
1/31/2005 19,563.37 17,291.92
2/28/2005 20,105.75 17,636.03
3/31/2005 19,916.54 17,272.72
4/30/2005 18,566.91 16,381.45
5/31/2005 19,803.02 17,380.58
6/30/2005 20,580.88 18,149.16
7/31/2005 21,842.74 19,181.86
8/31/2005 21,502.04 18,741.47
9/30/2005 21,577.35 18,710.48
10/31/2005 21,006.52 18,240.54
11/30/2005 21,983.27 18,980.48
2006 12/31/2005 22,075.88 18,834.75
1/31/2006 23,848.09 20,392.26
2/28/2006 23,596.92 20,390.87
3/31/2006 24,574.44 21,378.52
4/30/2006 24,895.58 21,435.69
5/31/2006 24,029.89 20,548.04
6/30/2006 24,165.65 20,800.47
7/31/2006 23,423.17 20,512.00
8/31/2006 23,955.51 21,125.09
9/30/2006 24,199.32 21,331.32
10/31/2006 25,393.83 22,417.00
11/30/2006 26,265.12 23,056.21
2007 12/31/2006 26,424.91 23,257.08
1/31/2007 26,976.39 23,605.46
2/28/2007 26,838.52 23,315.56
3/31/2007 27,044.16 23,596.94
4/30/2007 27,596.09 23,841.80
5/31/2007 28,791.92 24,715.98
6/30/2007 28,411.53 24,139.89
7/31/2007 26,352.50 22,085.27
8/31/2007 26,275.67 22,527.77
9/30/2007 26,354.85 22,629.49
10/31/2007 26,416.61 22,875.94
11/30/2007 24,533.02 21,162.09
2008 12/31/2007 24,260.34 20,983.18
1/31/2008 23,100.55 20,122.10
2/29/2008 22,512.71 19,322.39
3/31/2008 22,704.54 19,614.16
4/30/2008 23,452.87 20,234.77
5/31/2008 24,535.56 20,926.58
6/30/2008 22,053.93 18,918.67
7/31/2008 22,628.41 19,888.50
8/31/2008 23,649.72 20,833.21
9/30/2008 22,153.05 19,856.65
10/31/2008 17,351.09 15,889.75
11/30/2008 15,094.16 14,049.57
2009 12/31/2008 16,064.79 14,913.85
1/31/2009 13,857.29 12,783.42
2/28/2009 12,036.51 11,007.80
3/31/2009 13,349.43 11,985.13
4/30/2009 15,951.44 13,886.86
5/31/2009 16,500.93 14,187.14
6/30/2009 16,444.05 14,142.41
7/31/2009 18,404.38 15,777.86
8/31/2009 19,392.64 16,524.63
9/30/2009 20,471.20 17,353.41
10/31/2009 18,993.89 16,201.02
11/30/2009 19,627.02 16,716.58
2010 12/31/2009 21,185.39 17,982.70
1/31/2010 20,696.87 17,455.63
2/28/2010 21,853.03 18,265.03
3/31/2010 23,672.16 19,784.25
4/30/2010 25,382.81 21,168.53
5/31/2010 23,101.94 19,379.83
6/30/2010 20,907.00 17,688.07
7/31/2010 22,537.81 18,950.68
8/31/2010 20,711.30 17,525.71
9/30/2010 23,258.52 19,407.42
10/31/2010 24,124.79 20,159.33
11/30/2010 25,089.12 20,671.68
2011 12/31/2010 27,331.97 22,389.18
1/31/2011 27,512.76 22,401.39
2/28/2011 29,074.12 23,538.86
3/31/2011 29,632.92 23,865.96
4/30/2011 30,093.11 24,253.74
5/31/2011 29,353.52 23,819.27
6/30/2011 28,722.84 23,233.57
7/31/2011 27,718.77 22,465.29
8/31/2011 24,937.02 20,480.98
9/30/2011 21,841.47 18,244.25
10/11 10/31/2011 25,272.76 20,873.30
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---- ----- -----
4.76% -0.10% 9.71%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
U.S. Small Cap
ROUNDED Value Portfolio- RUSSELL 2000
SBKF - 34 Institutional Class VALUE INDEX
10/31/2001 ---------- ------------------- ------------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,781.41 10,719.00
12/31/2001 11,538.60 11,375.00
1/31/2002 11,716.50 11,526.29
2/28/2002 11,698.09 11,596.60
3/31/2002 12,851.34 12,465.19
4/30/2002 13,434.10 12,903.96
5/31/2002 13,010.83 12,476.84
6/30/2002 12,740.92 12,201.10
7/31/2002 10,753.41 10,388.02
8/31/2002 10,618.46 10,342.31
9/30/2002 9,845.54 9,603.87
10/31/2002 10,005.03 9,747.93
11/30/2002 10,857.69 10,525.81
2003 12/31/2002 10,469.19 10,076.36
1/31/2003 10,108.19 9,792.21
2/28/2003 9,692.69 9,463.19
3/31/2003 9,672.26 9,564.44
4/30/2003 10,693.97 10,473.07
5/31/2003 11,947.28 11,542.37
6/30/2003 12,383.21 11,737.43
7/31/2003 13,255.08 12,323.13
8/31/2003 13,936.22 12,791.41
9/30/2003 13,827.24 12,644.31
10/31/2003 15,209.96 13,674.82
11/30/2003 15,843.43 14,199.93
2004 12/31/2003 16,688.26 14,713.97
1/31/2004 17,504.09 15,223.07
2/29/2004 17,751.76 15,518.40
3/31/2004 17,919.30 15,732.56
4/30/2004 17,351.12 14,919.18
5/31/2004 17,416.68 15,099.70
6/30/2004 18,582.47 15,866.77
7/31/2004 17,591.41 15,136.90
8/31/2004 17,329.07 15,285.24
9/30/2004 18,183.18 15,890.54
10/31/2004 18,358.09 16,136.84
11/30/2004 20,194.62 17,568.18
2005 12/31/2004 20,925.47 17,988.06
1/31/2005 20,178.13 17,291.92
2/28/2005 20,723.07 17,636.03
3/31/2005 20,318.71 17,272.72
4/30/2005 18,839.57 16,381.45
5/31/2005 20,092.95 17,380.58
6/30/2005 20,931.41 18,149.16
7/31/2005 22,420.39 19,181.86
8/31/2005 22,046.20 18,741.47
9/30/2005 22,221.68 18,710.48
10/31/2005 21,572.47 18,240.54
11/30/2005 22,479.80 18,980.48
2006 12/31/2005 22,555.25 18,834.75
1/31/2006 24,545.42 20,392.26
2/28/2006 24,460.37 20,390.87
3/31/2006 25,951.07 21,378.52
4/30/2006 26,206.58 21,435.69
5/31/2006 25,056.80 20,548.04
6/30/2006 25,068.95 20,800.47
7/31/2006 24,130.04 20,512.00
8/31/2006 24,599.49 21,125.09
9/30/2006 24,892.86 21,331.32
10/31/2006 26,245.36 22,417.00
11/30/2006 27,041.45 23,056.21
2007 12/31/2006 27,415.89 23,257.08
1/31/2007 28,019.15 23,605.46
2/28/2007 27,954.18 23,315.56
3/31/2007 28,258.01 23,596.94
4/30/2007 28,768.75 23,841.80
5/31/2007 29,818.10 24,715.98
6/30/2007 29,357.03 24,139.89
7/31/2007 27,113.12 22,085.27
8/31/2007 26,908.28 22,527.77
9/30/2007 26,834.13 22,629.49
10/31/2007 27,133.32 22,875.94
11/30/2007 24,767.81 21,162.09
2008 12/31/2007 24,469.88 20,983.18
1/31/2008 23,505.05 20,122.10
2/29/2008 22,837.87 19,322.39
3/31/2008 23,030.84 19,614.16
4/30/2008 23,412.11 20,234.77
5/31/2008 24,380.75 20,926.58
6/30/2008 21,917.37 18,918.67
7/31/2008 22,371.40 19,888.50
8/31/2008 23,300.11 20,833.21
9/30/2008 21,694.16 19,856.65
10/31/2008 16,891.64 15,889.75
11/30/2008 14,697.38 14,049.57
2009 12/31/2008 15,468.52 14,913.85
1/31/2009 13,260.22 12,783.42
2/28/2009 11,575.22 11,007.80
3/31/2009 12,778.80 11,985.13
4/30/2009 15,290.60 13,886.86
5/31/2009 15,782.49 14,187.14
6/30/2009 15,838.32 14,142.41
7/31/2009 17,967.58 15,777.86
8/31/2009 18,890.61 16,524.63
9/30/2009 20,087.10 17,353.41
10/31/2009 18,575.05 16,201.02
11/30/2009 19,152.57 16,716.58
2010 12/31/2009 20,669.28 17,982.70
1/31/2010 20,016.45 17,455.63
2/28/2010 21,248.40 18,265.03
3/31/2010 23,131.21 19,784.25
4/30/2010 25,006.14 21,168.53
5/31/2010 22,530.81 19,379.83
6/30/2010 20,245.07 17,688.07
7/31/2010 22,004.14 18,950.68
8/31/2010 20,160.81 17,525.71
9/30/2010 22,768.52 19,407.42
10/31/2010 23,717.65 20,159.33
11/30/2010 24,782.78 20,671.68
2011 12/31/2010 27,056.63 22,389.18
1/31/2011 27,141.28 22,401.39
2/28/2011 28,844.89 23,538.86
3/31/2011 29,437.45 23,865.96
4/30/2011 29,807.80 24,253.74
5/31/2011 28,876.63 23,819.27
6/30/2011 28,354.36 23,233.57
7/31/2011 27,538.79 22,465.29
8/31/2011 24,626.03 20,480.98
9/30/2011 21,528.84 18,244.25
10/11 10/31/2011 24,934.83 20,873.30
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---- ----- -----
5.13% -1.02% 9.57%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. CORE EQUITY 1 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
SEPTEMBER 15, 2005-OCTOBER 31, 2011
GROWTH OF $10,000
U.S. Core Equity
ROUNDED 1 Portfolio- RUSSELL
COR1 - 303 Institutional Class 3000 INDEX
9/15/2005 ---------- ------------------- ----------
09/05 9/15/2005 10,000.00 10,000.00
9/30/2005 10,040.00 10,026.07
10/31/2005 9,820.00 9,838.29
11/30/2005 10,220.00 10,221.00
12/31/2005 10,223.79 10,229.42
1/31/2006 10,635.96 10,571.16
2/28/2006 10,656.06 10,589.96
3/31/2006 10,892.74 10,773.03
4/30/2006 11,023.61 10,889.90
5/31/2006 10,641.06 10,541.27
6/30/2006 10,643.53 10,559.89
7/31/2006 10,532.45 10,550.00
8/31/2006 10,784.91 10,808.11
9/30/2006 11,008.94 11,050.04
10/31/2006 11,414.05 11,447.81
11/30/2006 11,686.05 11,696.88
2007 12/31/2006 11,828.32 11,836.98
1/31/2007 12,052.84 12,062.28
2/28/2007 11,920.17 11,864.41
3/31/2007 12,038.99 11,987.90
4/30/2007 12,489.05 12,466.78
5/31/2007 12,969.79 12,921.10
6/30/2007 12,760.03 12,679.16
7/31/2007 12,226.22 12,246.76
8/31/2007 12,349.41 12,422.56
9/30/2007 12,703.61 12,875.45
10/31/2007 12,899.37 13,111.64
11/30/2007 12,232.77 12,521.37
2008 12/31/2007 12,158.56 12,445.60
1/31/2008 11,464.67 11,691.25
2/29/2008 11,122.90 11,328.12
3/31/2008 11,043.49 11,261.29
4/30/2008 11,594.10 11,824.45
5/31/2008 11,895.38 12,066.69
6/30/2008 10,876.71 11,070.94
7/31/2008 10,876.71 10,982.64
8/31/2008 11,116.56 11,152.87
9/30/2008 10,086.11 10,104.24
10/31/2008 8,213.69 8,312.15
11/30/2008 7,519.57 7,656.00
2009 12/31/2008 7,717.62 7,802.46
1/31/2009 7,019.86 7,147.67
2/28/2009 6,269.24 6,398.92
3/31/2009 6,845.38 6,959.42
4/30/2009 7,674.48 7,691.79
5/31/2009 8,035.88 8,102.26
6/30/2009 8,072.08 8,129.80
7/31/2009 8,755.43 8,762.60
8/31/2009 9,075.75 9,075.70
9/30/2009 9,505.93 9,455.93
10/31/2009 9,169.77 9,212.73
11/30/2009 9,631.48 9,736.23
2010 12/31/2009 10,020.22 10,013.69
1/31/2010 9,696.98 9,652.72
2/28/2010 10,074.09 9,979.96
3/31/2010 10,743.74 10,608.97
4/30/2010 11,078.47 10,837.92
5/31/2010 10,203.85 9,981.75
6/30/2010 9,546.47 9,407.92
7/31/2010 10,229.14 10,061.04
8/31/2010 9,676.50 9,587.44
9/30/2010 10,663.53 10,492.66
10/31/2010 11,077.01 10,902.68
11/30/2010 11,218.46 10,965.62
2011 12/31/2010 12,035.14 11,708.97
1/31/2011 12,275.84 11,964.71
2/28/2011 12,768.19 12,400.32
3/31/2011 12,903.07 12,456.26
4/30/2011 13,253.87 12,827.01
5/31/2011 13,067.51 12,680.66
6/30/2011 12,825.77 12,452.92
7/31/2011 12,462.77 12,167.75
8/31/2011 11,593.79 11,437.75
9/30/2011 10,579.30 10,550.23
10/11 10/31/2011 11,904.47 11,764.48
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 9/15/2005
-------------- ---- ----- ---------
7.47% 0.84% 2.89%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
SEPTEMBER 15, 2005-OCTOBER 31, 2011
GROWTH OF $10,000
U.S. Core Equity
ROUNDED 2 Portfolio- RUSSELL
COR2 - 304 Institutional Class 3000 INDEX
9/15/2005 ---------- ------------------- ----------
09/05 9/15/2005 10,000.00 10,000.00
9/30/2005 10,050.00 10,026.07
10/31/2005 9,830.00 9,838.29
11/30/2005 10,240.00 10,221.00
12/31/2005 10,246.91 10,229.42
1/31/2006 10,739.16 10,571.16
2/28/2006 10,759.25 10,589.96
3/31/2006 11,015.88 10,773.03
4/30/2006 11,176.84 10,889.90
5/31/2006 10,774.44 10,541.27
6/30/2006 10,765.83 10,559.89
7/31/2006 10,644.75 10,550.00
8/31/2006 10,886.90 10,808.11
9/30/2006 11,109.73 11,050.04
10/31/2006 11,534.69 11,447.81
11/30/2006 11,826.73 11,696.88
2007 12/31/2006 11,988.23 11,836.98
1/31/2007 12,212.50 12,062.28
2/28/2007 12,090.17 11,864.41
3/31/2007 12,218.05 11,987.90
4/30/2007 12,636.90 12,466.78
5/31/2007 13,147.69 12,921.10
6/30/2007 12,936.12 12,679.16
7/31/2007 12,331.34 12,246.76
8/31/2007 12,444.09 12,422.56
9/30/2007 12,756.69 12,875.45
10/31/2007 12,890.43 13,111.64
11/30/2007 12,155.01 12,521.37
2008 12/31/2007 12,048.86 12,445.60
1/31/2008 11,428.32 11,691.25
2/29/2008 11,066.33 11,328.12
3/31/2008 10,954.96 11,261.29
4/30/2008 11,504.78 11,824.45
5/31/2008 11,826.38 12,066.69
6/30/2008 10,757.17 11,070.94
7/31/2008 10,788.41 10,982.64
8/31/2008 11,027.92 11,152.87
9/30/2008 10,032.14 10,104.24
10/31/2008 8,123.97 8,312.15
11/30/2008 7,388.29 7,656.00
2009 12/31/2008 7,607.36 7,802.46
1/31/2009 6,814.92 7,147.67
2/28/2009 6,022.49 6,398.92
3/31/2009 6,614.97 6,959.42
4/30/2009 7,538.73 7,691.79
5/31/2009 7,899.74 8,102.26
6/30/2009 7,889.10 8,129.80
7/31/2009 8,603.39 8,762.60
8/31/2009 8,955.20 9,075.70
9/30/2009 9,401.70 9,455.93
10/31/2009 8,990.28 9,212.73
11/30/2009 9,397.46 9,736.23
2010 12/31/2009 9,825.03 10,013.69
1/31/2010 9,524.04 9,652.72
2/28/2010 9,921.77 9,979.96
3/31/2010 10,630.67 10,608.97
4/30/2010 11,018.42 10,837.92
5/31/2010 10,145.99 9,981.75
6/30/2010 9,432.16 9,407.92
7/31/2010 10,123.64 10,061.04
8/31/2010 9,518.60 9,587.44
9/30/2010 10,524.42 10,492.66
10/31/2010 10,915.01 10,902.68
11/30/2010 11,088.61 10,965.62
2011 12/31/2010 11,968.23 11,708.97
1/31/2011 12,197.34 11,964.71
2/28/2011 12,742.84 12,400.32
3/31/2011 12,896.99 12,456.26
4/30/2011 13,192.09 12,827.01
5/31/2011 12,984.42 12,680.66
6/30/2011 12,729.15 12,452.92
7/31/2011 12,301.56 12,167.75
8/31/2011 11,369.62 11,437.75
9/30/2011 10,290.37 10,550.23
10/11 10/31/2011 11,677.10 11,764.48
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 9/15/2005
-------------- ---- ----- ---------
6.98% 0.25% 2.56%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
U.S. VECTOR EQUITY PORTFOLIO VS.
RUSSELL 2500(R) INDEX
DECEMBER 30, 2005-OCTOBER 31, 2011
GROWTH OF $10,000
U.S. Vector Equity
ROUNDED Portfolio- RUSSELL
VECT - 305 Institutional Class 2500 INDEX
12/30/2005 ---------- ------------------- ----------
12/05 12/30/2005 10,000.00 10,000.00
12/31/2005 10,000.00 10,000.00
1/31/2006 10,810.00 10,707.37
2/28/2006 10,800.00 10,698.43
3/31/2006 11,195.70 11,114.27
4/30/2006 11,315.87 11,153.28
5/31/2006 10,865.24 10,626.48
6/30/2006 10,844.62 10,631.80
7/31/2006 10,623.71 10,297.36
8/31/2006 10,864.70 10,558.30
9/30/2006 11,050.09 10,686.89
10/31/2006 11,533.16 11,200.39
11/30/2006 11,865.26 11,565.75
2007 12/31/2006 12,000.89 11,616.48
1/31/2007 12,236.81 11,929.91
2/28/2007 12,154.75 11,913.15
3/31/2007 12,267.96 12,029.08
4/30/2007 12,627.58 12,339.03
5/31/2007 13,151.58 12,854.61
6/30/2007 12,951.14 12,623.94
7/31/2007 12,219.61 11,898.66
8/31/2007 12,281.43 12,024.84
9/30/2007 12,496.25 12,307.99
10/31/2007 12,578.94 12,624.16
11/30/2007 11,762.39 11,850.46
2008 12/31/2007 11,631.77 11,776.65
1/31/2008 11,081.34 11,057.29
2/29/2008 10,707.46 10,753.54
3/31/2008 10,663.12 10,673.96
4/30/2008 11,142.13 11,248.63
5/31/2008 11,517.00 11,782.79
6/30/2008 10,416.83 10,821.91
7/31/2008 10,500.41 10,896.99
8/31/2008 10,803.41 11,208.64
9/30/2008 9,892.44 10,094.84
10/31/2008 7,846.81 7,920.14
11/30/2008 6,986.60 7,061.28
2009 12/31/2008 7,306.84 7,444.66
1/31/2009 6,417.31 6,774.57
2/28/2009 5,612.50 6,042.10
3/31/2009 6,178.31 6,593.63
4/30/2009 7,177.90 7,609.72
5/31/2009 7,486.28 7,841.52
6/30/2009 7,489.59 7,930.38
7/31/2009 8,257.75 8,645.90
8/31/2009 8,641.83 8,999.12
9/30/2009 9,092.77 9,521.24
10/31/2009 8,590.00 8,970.17
11/30/2009 8,910.92 9,331.90
2010 12/31/2009 9,441.99 10,004.76
1/31/2010 9,173.45 9,669.84
2/28/2010 9,624.60 10,150.60
3/31/2010 10,346.73 10,926.40
4/30/2010 10,873.75 11,443.96
5/31/2010 10,002.56 10,591.65
6/30/2010 9,226.60 9,835.73
7/31/2010 9,905.66 10,527.79
8/31/2010 9,226.60 9,904.49
9/30/2010 10,242.67 11,037.14
10/31/2010 10,621.22 11,460.40
11/30/2010 10,880.81 11,782.83
2011 12/31/2010 11,813.41 12,676.91
1/31/2011 11,976.43 12,846.87
2/28/2011 12,585.03 13,473.74
3/31/2011 12,793.92 13,779.87
4/30/2011 13,055.02 14,177.73
5/31/2011 12,804.80 14,007.78
6/30/2011 12,529.70 13,699.17
7/31/2011 12,071.69 13,177.71
8/31/2011 11,013.92 12,098.98
9/30/2011 9,821.94 10,792.05
10/11 10/31/2011 11,243.83 12,373.94
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/30/2005
-------------- ---- ----- ----------
5.86% -0.51% 2.03%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
U.S. Small Cap
ROUNDED Portfolio-Institutional RUSSELL
610F - 31 Class 2000 INDEX
10/31/2001 ---------- ----------------------- ----------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,776.70 10,774.00
12/31/2001 11,495.97 11,438.76
1/31/2002 11,413.80 11,319.79
2/28/2002 11,109.76 11,009.63
3/31/2002 12,054.75 11,894.80
4/30/2002 12,087.62 12,003.05
5/31/2002 11,578.14 11,470.11
6/30/2002 10,986.50 10,901.19
7/31/2002 9,408.78 9,255.11
8/31/2002 9,417.00 9,231.05
9/30/2002 8,702.10 8,568.26
10/31/2002 9,030.79 8,843.30
11/30/2002 9,836.08 9,632.13
2003 12/31/2002 9,295.32 9,095.62
1/31/2003 9,045.44 8,843.67
2/28/2003 8,753.92 8,576.59
3/31/2003 8,837.21 8,687.23
4/30/2003 9,728.43 9,510.78
5/31/2003 10,819.55 10,531.28
6/30/2003 11,111.07 10,721.90
7/31/2003 11,810.71 11,393.09
8/31/2003 12,402.08 11,914.89
9/30/2003 12,210.51 11,694.47
10/31/2003 13,276.64 12,676.80
11/30/2003 13,759.73 13,126.83
2004 12/31/2003 14,081.46 13,393.30
1/31/2004 14,708.98 13,974.57
2/29/2004 14,834.48 14,100.34
3/31/2004 14,909.78 14,231.48
4/30/2004 14,299.00 13,505.67
5/31/2004 14,449.60 13,720.41
6/30/2004 15,081.01 14,298.04
7/31/2004 14,000.20 13,335.78
8/31/2004 13,799.12 13,267.77
9/30/2004 14,473.97 13,890.03
10/31/2004 14,750.70 14,163.66
11/30/2004 16,042.12 15,391.65
2005 12/31/2004 16,598.11 15,847.24
1/31/2005 15,945.38 15,186.41
2/28/2005 16,225.12 15,443.07
3/31/2005 15,756.97 15,001.39
4/30/2005 14,773.22 14,141.81
5/31/2005 15,790.89 15,067.41
6/30/2005 16,386.82 15,648.59
7/31/2005 17,507.57 16,639.99
8/31/2005 17,261.35 16,331.46
9/30/2005 17,371.59 16,382.71
10/31/2005 16,835.64 15,874.05
11/30/2005 17,652.33 16,644.64
2006 12/31/2005 17,607.88 16,568.59
1/31/2006 19,207.77 18,054.33
2/28/2006 19,171.62 18,004.61
3/31/2006 20,050.84 18,878.12
4/30/2006 20,096.06 18,875.06
5/31/2006 19,001.72 17,815.02
6/30/2006 18,889.99 17,929.61
7/31/2006 18,165.19 17,346.19
8/31/2006 18,672.55 17,859.74
9/30/2006 18,826.48 18,008.44
10/31/2006 19,888.54 19,045.32
11/30/2006 20,387.79 19,546.32
2007 12/31/2006 20,532.96 19,611.76
1/31/2007 20,840.14 19,939.96
2/28/2007 20,734.55 19,781.73
3/31/2007 20,951.89 19,993.50
4/30/2007 21,336.15 20,352.63
5/31/2007 22,143.10 21,187.22
6/30/2007 21,901.09 20,877.28
7/31/2007 20,581.63 19,449.38
8/31/2007 20,870.56 19,890.22
9/30/2007 21,134.26 20,231.63
10/31/2007 21,549.80 20,812.09
11/30/2007 19,945.64 19,317.66
2008 12/31/2007 19,904.91 19,305.61
1/31/2008 18,527.90 17,989.07
2/29/2008 17,931.89 17,322.27
3/31/2008 17,996.23 17,395.03
4/30/2008 18,562.79 18,123.36
5/31/2008 19,448.70 18,955.89
6/30/2008 17,707.87 17,496.52
7/31/2008 18,265.44 18,144.00
8/31/2008 18,926.26 18,799.00
9/30/2008 17,413.19 17,301.09
10/31/2008 13,829.03 13,701.95
11/30/2008 12,140.54 12,081.19
2009 12/31/2008 12,737.23 12,782.40
1/31/2009 11,327.78 11,360.72
2/28/2009 9,960.09 9,980.13
3/31/2009 10,985.59 10,871.03
4/30/2009 13,025.77 12,551.49
5/31/2009 13,486.12 12,929.91
6/30/2009 13,835.56 13,119.82
7/31/2009 15,272.61 14,383.40
8/31/2009 15,818.06 14,795.84
9/30/2009 16,803.70 15,649.22
10/31/2009 15,637.94 14,586.71
11/30/2009 16,037.03 15,044.60
2010 12/31/2009 17,366.13 16,255.60
1/31/2010 16,839.24 15,657.20
2/28/2010 17,661.18 16,362.50
3/31/2010 19,108.21 17,694.22
4/30/2010 20,405.29 18,695.61
5/31/2010 18,812.94 17,277.48
6/30/2010 17,308.90 15,938.58
7/31/2010 18,555.06 17,033.87
8/31/2010 17,139.93 15,772.72
9/30/2010 19,377.30 17,737.94
10/31/2010 20,171.02 18,463.80
11/30/2010 21,017.65 19,104.01
2011 12/31/2010 22,697.88 20,621.02
1/31/2011 22,719.13 20,567.88
2/28/2011 23,994.29 21,695.86
3/31/2011 24,681.18 22,258.13
4/30/2011 25,266.05 22,845.87
5/31/2011 24,755.62 22,417.54
6/30/2011 24,360.13 21,900.69
7/31/2011 23,508.00 21,109.08
8/31/2011 21,398.99 19,272.54
9/30/2011 19,022.65 17,112.05
10/11 10/31/2011 21,936.90 19,702.10
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---- ----- -----
8.76% 1.98% 8.17%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
U.S. MICRO CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
U.S. Micro Cap
ROUNDED Portfolio- RUSSELL
FUND - 1 Institutional Class 2000 INDEX
10/31/2001 ---------- ------------------- ----------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,673.72 10,774.00
12/31/2001 11,390.75 11,438.76
1/31/2002 11,515.92 11,319.79
2/28/2002 11,197.30 11,009.63
3/31/2002 12,187.30 11,894.80
4/30/2002 12,483.17 12,003.05
5/31/2002 12,141.79 11,470.11
6/30/2002 11,709.37 10,901.19
7/31/2002 10,013.84 9,255.11
8/31/2002 9,956.95 9,231.05
9/30/2002 9,285.57 8,568.26
10/31/2002 9,524.53 8,843.30
11/30/2002 10,321.09 9,632.13
2003 12/31/2002 9,878.82 9,095.62
1/31/2003 9,658.77 8,843.67
2/28/2003 9,380.82 8,576.59
3/31/2003 9,485.05 8,687.23
4/30/2003 10,365.23 9,510.78
5/31/2003 11,569.68 10,531.28
6/30/2003 12,079.26 10,721.90
7/31/2003 12,971.01 11,393.09
8/31/2003 13,584.82 11,914.89
9/30/2003 13,596.40 11,694.47
10/31/2003 14,812.43 12,676.80
11/30/2003 15,449.40 13,126.83
2004 12/31/2003 15,876.96 13,393.30
1/31/2004 16,794.77 13,974.57
2/29/2004 16,878.21 14,100.34
3/31/2004 16,902.05 14,231.48
4/30/2004 16,210.71 13,505.67
5/31/2004 16,210.71 13,720.41
6/30/2004 16,926.21 14,298.04
7/31/2004 15,661.81 13,335.78
8/31/2004 15,423.25 13,267.77
9/30/2004 16,195.29 13,890.03
10/31/2004 16,493.65 14,163.66
11/30/2004 17,973.54 15,391.65
2005 12/31/2004 18,796.42 15,847.24
1/31/2005 18,025.67 15,186.41
2/28/2005 18,174.84 15,443.07
3/31/2005 17,588.11 15,001.39
4/30/2005 16,493.52 14,141.81
5/31/2005 17,488.60 15,067.41
6/30/2005 18,279.15 15,648.59
7/31/2005 19,673.75 16,639.99
8/31/2005 19,399.81 16,331.46
9/30/2005 19,518.00 16,382.71
10/31/2005 18,969.61 15,874.05
11/30/2005 19,829.59 16,644.64
2006 12/31/2005 19,865.16 16,568.59
1/31/2006 21,680.87 18,054.33
2/28/2006 21,734.67 18,004.61
3/31/2006 22,723.62 18,878.12
4/30/2006 22,629.44 18,875.06
5/31/2006 21,297.51 17,815.02
6/30/2006 21,108.04 17,929.61
7/31/2006 20,380.64 17,346.19
8/31/2006 20,946.39 17,859.74
9/30/2006 21,062.99 18,008.44
10/31/2006 22,209.92 19,045.32
11/30/2006 22,709.17 19,546.32
2007 12/31/2006 23,075.56 19,611.76
1/31/2007 23,340.12 19,939.96
2/28/2007 23,222.54 19,781.73
3/31/2007 23,459.62 19,993.50
4/30/2007 23,812.62 20,352.63
5/31/2007 24,562.74 21,187.22
6/30/2007 24,480.80 20,877.28
7/31/2007 22,888.07 19,449.38
8/31/2007 23,153.53 19,890.22
9/30/2007 23,495.08 20,231.63
10/31/2007 23,894.30 20,812.09
11/30/2007 21,883.39 19,317.66
2008 12/31/2007 21,871.06 19,305.61
1/31/2008 20,198.67 17,989.07
2/29/2008 19,565.43 17,322.27
3/31/2008 19,625.65 17,395.03
4/30/2008 20,032.15 18,123.36
5/31/2008 20,828.88 18,955.89
6/30/2008 18,943.80 17,496.52
7/31/2008 19,791.54 18,144.00
8/31/2008 20,459.95 18,799.00
9/30/2008 18,952.86 17,301.09
10/31/2008 15,028.19 13,701.95
11/30/2008 13,098.57 12,081.19
2009 12/31/2008 13,839.66 12,782.40
1/31/2009 12,190.89 11,360.72
2/28/2009 10,592.08 9,980.13
3/31/2009 11,606.95 10,871.03
4/30/2009 13,624.82 12,551.49
5/31/2009 14,091.77 12,929.91
6/30/2009 14,480.92 13,119.82
7/31/2009 15,902.26 14,383.40
8/31/2009 16,337.02 14,795.84
9/30/2009 17,277.42 15,649.22
10/31/2009 16,021.80 14,586.71
11/30/2009 16,306.40 15,044.60
2010 12/31/2009 17,723.07 16,255.60
1/31/2010 17,202.79 15,657.20
2/28/2010 17,958.03 16,362.50
3/31/2010 19,409.86 17,694.22
4/30/2010 20,820.27 18,695.61
5/31/2010 19,275.54 17,277.48
6/30/2010 17,880.20 15,938.58
7/31/2010 19,157.36 17,033.87
8/31/2010 17,628.13 15,772.72
9/30/2010 19,771.88 17,737.94
10/31/2010 20,630.80 18,463.80
11/30/2010 21,506.55 19,104.01
2011 12/31/2010 23,268.23 20,621.02
1/31/2011 23,014.76 20,567.88
2/28/2011 24,366.59 21,695.86
3/31/2011 25,157.79 22,258.13
4/30/2011 25,580.46 22,845.87
5/31/2011 25,090.16 22,417.54
6/30/2011 24,549.14 21,900.69
7/31/2011 23,888.85 21,109.08
8/31/2011 21,755.62 19,272.54
9/30/2011 19,454.09 17,112.05
10/11 10/31/2011 22,456.16 19,702.10
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEATRS
-------------- ---- ----- ------
8.85% 0.22% 8.43%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
DOW JONES U.S. SELECT REIT INDEXSM, S&P 500(R) INDEX
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
DFA Real
Estate Securities
Portfolio- DOW JONES
ROUNDED Institutional US SELECT S&P 500
REIT - 36 Class REIT INDEX INDEX
10/31/2001 ---------- ----------------- ---------- --------
10/01 10/31/2001 10,000.00 10000 10000
11/30/2001 10,525.58 10603.6021 10767.06
12/31/2001 10,784.58 10874.6882 10861.39
1/31/2002 10,747.39 10832.058 10702.88
2/28/2002 10,948.20 11069.4105 10496.48
3/31/2002 11,632.47 11784.6457 10891.24
4/30/2002 11,706.84 11850.3651 10230.93
5/31/2002 11,863.03 12008.7591 10155.55
6/30/2002 12,182.85 12327.7181 9432.083
7/31/2002 11,565.53 11660.2501 8696.898
8/31/2002 11,595.28 11670.3119 8753.998
9/30/2002 11,178.77 11207.9456 7802.618
10/31/2002 10,613.51 10606.3559 8489.372
11/30/2002 11,089.52 11113.4177 8989.048
2003 12/31/2002 11,235.24 11264.2388 8460.852
1/31/2003 10,951.80 10936.33 8239.177
2/28/2003 11,148.64 11135.4477 8115.59
3/31/2003 11,416.33 11406.5338 8194.392
4/30/2003 11,849.36 11846.1815 8869.364
5/31/2003 12,502.85 12516.9859 9336.691
6/30/2003 12,762.67 12787.1717 9456.201
7/31/2003 13,416.16 13467.1376 9622.913
8/31/2003 13,510.64 13579.3002 9810.56
9/30/2003 13,975.16 14056.8121 9706.372
10/31/2003 14,164.12 14264.5618 10255.46
11/30/2003 14,801.86 14893.1066 10345.71
2004 12/31/2003 15,234.37 15339.6387 10888.24
1/31/2004 15,861.23 15953.5145 11088.09
2/29/2004 16,141.67 16219.146 11242.21
3/31/2004 17,065.46 17193.8697 11072.57
4/30/2004 14,615.76 14676.619 10898.73
5/31/2004 15,671.52 15790.8311 11048.26
6/30/2004 16,124.02 16263.5239 11263.03
7/31/2004 16,190.51 16344.8126 10890.23
8/31/2004 17,478.77 17694.5237 10934.12
9/30/2004 17,420.11 17610.1105 11052.53
10/31/2004 18,360.61 18591.3479 11221.41
11/30/2004 19,159.62 19419.3812 11675.43
2005 12/31/2004 20,120.02 20426.7792 12072.75
1/31/2005 18,435.31 18625.1344 11778.48
2/28/2005 19,014.43 19226.1946 12026.29
3/31/2005 18,724.87 18934.9319 11813.31
4/30/2005 19,786.59 20071.7565 11589.21
5/31/2005 20,435.90 20735.8883 11957.98
6/30/2005 21,480.07 21816.9494 11974.96
7/31/2005 23,041.94 23481.3301 12420.43
8/31/2005 22,182.04 22579.9516 12307.15
9/30/2005 22,285.24 22677.4452 12406.84
10/31/2005 21,781.37 22195.6967 12200.02
11/30/2005 22,762.59 23226.6606 12661.42
2006 12/31/2005 22,766.14 23249.6968 12665.86
1/31/2006 24,514.58 25072.1008 13001.25
2/28/2006 24,979.01 25608.7654 13036.48
3/31/2006 26,272.13 26919.818 13198.78
4/30/2006 25,279.53 25901.2461 13376.04
5/31/2006 24,523.69 25184.2633 12991.08
6/30/2006 25,879.45 26617.1167 13008.75
7/31/2006 26,767.42 27562.1846 13089.01
8/31/2006 27,710.33 28488.3998 13400.44
9/30/2006 28,263.93 29042.6991 13745.77
10/31/2006 30,036.20 30873.2054 14193.75
11/30/2006 31,464.37 32345.6705 14463.71
2007 12/31/2006 30,794.54 31613.648 14666.6
1/31/2007 33,461.03 34429.3635 14888.41
2/28/2007 32,681.30 33658.1 14597.21
3/31/2007 31,869.65 32795.8037 14760.48
4/30/2007 31,840.64 32782.2997 15414.3
5/31/2007 31,840.65 32804.3298 15952.18
6/30/2007 28,853.96 29724.7303 15687.17
7/31/2007 26,581.92 27391.9283 15200.79
8/31/2007 28,190.87 29011.9659 15428.65
9/30/2007 29,292.76 30146.5898 16005.68
10/31/2007 29,624.31 30491.7673 16260.33
11/30/2007 26,602.07 27527.9957 15580.49
2008 12/31/2007 25,044.28 26063.8845 15472.36
1/31/2008 25,054.97 25939.0752 14544.02
2/29/2008 24,103.25 24961.4354 14071.48
3/31/2008 25,619.00 26620.7212 14010.69
4/30/2008 27,129.78 28261.6892 14693.01
5/31/2008 27,183.35 28325.2389 14884.02
6/30/2008 24,199.34 25187.1226 13629.3
7/31/2008 24,900.61 25914.2323 13514.68
8/31/2008 25,515.57 26501.6096 13710.1
9/30/2008 25,461.63 26390.6874 12488.39
10/31/2008 17,434.74 17844.3964 10390.97
11/30/2008 13,399.72 13463.408 9645.414
2009 12/31/2008 15,686.60 15846.7869 9748.042
1/31/2009 12,902.59 12981.4829 8926.414
2/28/2009 10,196.85 10144.8983 7975.93
3/31/2009 10,557.99 10471.6066 8674.583
4/30/2009 13,863.00 13907.1643 9504.827
5/31/2009 14,223.95 14263.9676 10036.43
6/30/2009 13,783.28 13765.5079 10056.3
7/31/2009 15,228.76 15199.294 10816.94
8/31/2009 17,288.85 17424.6249 11207.43
9/30/2009 18,446.00 18644.3189 11625.69
10/31/2009 17,605.45 17798.7563 11409.72
11/30/2009 18,814.46 19023.808 12094.07
2010 12/31/2009 20,106.09 20356.0857 12327.73
1/31/2010 19,055.86 19191.7031 11884.3
2/28/2010 20,106.09 20281.6998 12252.44
3/31/2010 22,150.46 22353.7975 12991.8
4/30/2010 23,708.37 23933.8726 13196.9
5/31/2010 22,443.30 22644.9016 12143.13
6/30/2010 21,280.65 21430.4409 11507.46
7/31/2010 23,380.40 23549.3525 12313.71
8/31/2010 23,085.49 23234.3649 11757.82
9/30/2010 24,085.53 24263.4234 12807.13
10/31/2010 25,213.24 25385.898 13294.43
11/30/2010 24,714.67 24891.5982 13296.13
2011 12/31/2010 25,870.51 26070.8955 14184.73
1/31/2011 26,782.46 26996.847 14520.92
2/28/2011 27,994.39 28229.8955 15018.39
3/31/2011 27,574.41 27816.5139 15024.36
4/30/2011 29,170.32 29465.8037 15469.3
5/31/2011 29,566.30 29923.4043 15294.21
6/30/2011 28,593.53 28920.2417 15039.27
7/31/2011 29,062.47 29446.5804 14733.46
8/31/2011 27,499.32 27833.0365 13933.12
9/30/2011 24,478.76 24716.152 12953.65
10/11 10/31/2011 28,008.43 28347.8305 14369.39
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
11.09% -1.39% 10.85%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Dow Jones data provided by Dow Jones Indexes. The S&P data are provided by
Standard & Poor's Index Services Group.
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
Large Cap MSCI
International WORLD EX
ROUNDED Portfolio-Institutional USA INDEX
LCAP - 28 Class (NET DIV.)
10/31/2001 ---------- ----------------------- ----------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,334.57 10,393.05
12/31/2001 10,377.69 10,459.69
1/31/2002 9,833.48 9,927.67
2/28/2002 9,893.95 9,988.19
3/31/2002 10,453.27 10,519.13
4/30/2002 10,483.50 10,581.25
5/31/2002 10,642.23 10,719.90
6/30/2002 10,249.19 10,283.85
7/31/2002 9,311.95 9,261.52
8/31/2002 9,289.28 9,247.14
9/30/2002 8,321.80 8,266.41
10/31/2002 8,760.19 8,700.64
11/30/2002 9,145.67 9,101.20
2003 12/31/2002 8,860.86 8,807.06
1/31/2003 8,506.73 8,471.49
2/28/2003 8,298.87 8,304.50
3/31/2003 8,137.21 8,144.45
4/30/2003 8,907.05 8,926.06
5/31/2003 9,438.24 9,479.67
6/30/2003 9,661.49 9,709.96
7/31/2003 9,884.74 9,932.72
8/31/2003 10,108.00 10,188.84
9/30/2003 10,415.93 10,494.52
10/31/2003 11,039.50 11,151.70
11/30/2003 11,278.15 11,404.48
2004 12/31/2003 12,113.20 12,278.97
1/31/2004 12,269.80 12,449.94
2/29/2004 12,543.85 12,736.28
3/31/2004 12,637.82 12,800.04
4/30/2004 12,246.31 12,464.99
5/31/2004 12,340.27 12,523.26
6/30/2004 12,683.06 12,812.46
7/31/2004 12,208.03 12,421.74
8/31/2004 12,287.20 12,473.38
9/30/2004 12,528.37 12,836.97
10/31/2004 12,949.96 13,298.30
11/30/2004 13,769.27 14,182.70
2005 12/31/2004 14,392.05 14,781.87
1/31/2005 14,135.34 14,490.86
2/28/2005 14,680.85 15,135.50
3/31/2005 14,335.02 14,791.94
4/30/2005 14,045.75 14,414.77
5/31/2005 13,957.36 14,441.06
6/30/2005 14,158.44 14,677.11
7/31/2005 14,589.46 15,151.11
8/31/2005 15,126.19 15,569.39
9/30/2005 15,627.40 16,279.93
10/31/2005 15,284.30 15,753.88
11/30/2005 15,521.20 16,171.07
2006 12/31/2005 16,331.29 16,920.86
1/31/2006 17,285.18 17,991.10
2/28/2006 17,170.06 17,930.68
3/31/2006 17,803.23 18,499.33
4/30/2006 18,667.46 19,383.92
5/31/2006 17,992.54 18,647.48
6/30/2006 17,921.72 18,623.47
7/31/2006 18,113.62 18,797.96
8/31/2006 18,589.19 19,332.22
9/30/2006 18,581.75 19,316.65
10/31/2006 19,295.14 20,080.04
11/30/2006 19,867.15 20,678.14
2007 12/31/2006 20,391.13 21,271.04
1/31/2007 20,652.66 21,400.80
2/28/2007 20,711.72 21,572.00
3/31/2007 21,284.46 22,124.75
4/30/2007 22,036.17 23,131.37
5/31/2007 22,720.32 23,645.05
6/30/2007 22,677.99 23,668.78
7/31/2007 22,250.10 23,341.60
8/31/2007 22,096.06 23,003.73
9/30/2007 23,308.29 24,310.66
10/31/2007 24,348.99 25,367.46
11/30/2007 23,479.90 24,375.45
2008 12/31/2007 22,932.03 23,917.24
1/31/2008 21,195.02 21,760.83
2/29/2008 21,177.48 22,155.18
3/31/2008 21,103.41 21,838.92
4/30/2008 22,219.67 23,052.85
5/31/2008 22,685.51 23,402.67
6/30/2008 20,878.77 21,582.81
7/31/2008 20,118.73 20,814.76
8/31/2008 19,260.33 20,009.79
9/30/2008 16,918.09 17,120.81
10/31/2008 13,350.99 13,559.35
11/30/2008 12,548.67 12,824.03
2009 12/31/2008 13,428.09 13,500.05
1/31/2009 11,919.93 12,240.40
2/28/2009 10,720.67 11,001.28
3/31/2009 11,545.35 11,726.22
4/30/2009 12,858.56 13,238.41
5/31/2009 14,655.12 14,912.63
6/30/2009 14,451.82 14,758.20
7/31/2009 15,839.64 16,143.96
8/31/2009 16,459.53 16,917.67
9/30/2009 17,160.66 17,615.66
10/31/2009 16,715.41 17,332.88
11/30/2009 17,336.90 17,761.74
2010 12/31/2009 17,542.65 18,044.88
1/31/2010 16,635.11 17,199.03
2/28/2010 16,747.39 17,181.80
3/31/2010 17,802.54 18,287.85
4/30/2010 17,455.68 18,015.17
5/31/2010 15,552.62 16,027.20
6/30/2010 15,299.87 15,795.35
7/31/2010 16,879.33 17,255.24
8/31/2010 16,298.93 16,739.48
9/30/2010 17,902.86 18,345.25
10/31/2010 18,552.48 18,998.78
11/30/2010 17,740.45 18,194.20
2011 12/31/2010 19,165.33 19,659.22
1/31/2011 19,598.50 20,082.72
2/28/2011 20,368.57 20,827.38
3/31/2011 19,902.08 20,410.15
4/30/2011 21,041.00 21,521.72
5/31/2011 20,442.59 20,883.72
6/30/2011 20,153.06 20,586.29
7/31/2011 19,741.57 20,246.71
8/31/2011 18,085.83 18,534.99
9/30/2011 16,094.57 16,673.65
10/11 10/31/2011 17,651.79 18,295.22
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
-4.86% -1.76% 5.85%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
INTERNATIONAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
SEPTEMBER 15, 2005-OCTOBER 31, 2011
GROWTH OF $10,000
International Core MSCI WORLD
Equity EX USA
ROUNDED Portfolio-Institutional INDEX
DICE - 306 Class (NET DIV.)
9/15/2005 ---------- ----------------------- ----------
09/05 9/15/2005 10,000.00 10,000.00
9/30/2005 10,100.00 10,170.84
10/31/2005 9,860.00 9,842.19
11/30/2005 10,070.00 10,102.83
12/31/2005 10,636.31 10,571.26
1/31/2006 11,328.67 11,239.89
2/28/2006 11,338.71 11,202.14
3/31/2006 11,781.28 11,557.40
4/30/2006 12,343.25 12,110.04
5/31/2006 11,841.49 11,649.96
6/30/2006 11,702.59 11,634.96
7/31/2006 11,763.43 11,743.97
8/31/2006 12,108.22 12,077.74
9/30/2006 12,173.07 12,068.02
10/31/2006 12,651.84 12,544.95
11/30/2006 13,096.89 12,918.61
2007 12/31/2006 13,502.22 13,289.02
1/31/2007 13,748.65 13,370.09
2/28/2007 13,820.53 13,477.04
3/31/2007 14,258.15 13,822.37
4/30/2007 14,792.32 14,451.26
5/31/2007 15,203.22 14,772.18
6/30/2007 15,111.55 14,787.00
7/31/2007 14,851.72 14,582.59
8/31/2007 14,571.11 14,371.51
9/30/2007 15,193.08 15,188.01
10/31/2007 15,913.09 15,848.24
11/30/2007 15,040.00 15,228.49
2008 12/31/2007 14,649.07 14,942.22
1/31/2008 13,545.08 13,595.01
2/29/2008 13,566.31 13,841.38
3/31/2008 13,628.77 13,643.80
4/30/2008 14,192.20 14,402.20
5/31/2008 14,426.08 14,620.75
6/30/2008 13,086.00 13,483.80
7/31/2008 12,566.88 13,003.96
8/31/2008 12,091.03 12,501.06
9/30/2008 10,548.31 10,696.18
10/31/2008 8,157.76 8,471.16
11/30/2008 7,665.67 8,011.77
2009 12/31/2008 8,201.80 8,434.12
1/31/2009 7,312.45 7,647.15
2/28/2009 6,543.87 6,873.02
3/31/2009 7,095.45 7,325.92
4/30/2009 8,164.17 8,270.66
5/31/2009 9,398.16 9,316.62
6/30/2009 9,319.18 9,220.14
7/31/2009 10,245.52 10,085.89
8/31/2009 10,814.71 10,569.26
9/30/2009 11,340.07 11,005.33
10/31/2009 10,997.28 10,828.66
11/30/2009 11,289.34 11,096.59
2010 12/31/2009 11,424.48 11,273.48
1/31/2010 10,940.01 10,745.04
2/28/2010 10,951.27 10,734.28
3/31/2010 11,768.61 11,425.28
4/30/2010 11,712.20 11,254.92
5/31/2010 10,335.62 10,012.95
6/30/2010 10,163.34 9,868.10
7/31/2010 11,237.98 10,780.16
8/31/2010 10,780.69 10,457.94
9/30/2010 11,933.21 11,461.14
10/31/2010 12,369.23 11,869.43
11/30/2010 11,875.84 11,366.77
2011 12/31/2010 13,013.38 12,282.04
1/31/2011 13,348.54 12,546.62
2/28/2011 13,799.27 13,011.84
3/31/2011 13,557.45 12,751.18
4/30/2011 14,287.47 13,445.63
5/31/2011 13,847.14 13,047.04
6/30/2011 13,602.18 12,861.23
7/31/2011 13,296.78 12,649.07
8/31/2011 12,122.15 11,579.68
9/30/2011 10,709.05 10,416.81
10/11 10/31/2011 11,690.12 11,429.88
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEAR 9/15/2005
-------------- ----- ----- ---------
-5.49% -1.57% 2.58%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
International MSCI WORLD
Small Company EX USA
Portfolio- SMALL CAP
ROUNDED Institutional INDEX (NET
INTS - 89 Class DIV.)
10/31/2001 ---------- ------------- ----------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,092.11 10,395.60
12/31/2001 9,830.81 10,209.62
1/31/2002 9,709.94 10,017.36
2/28/2002 10,045.69 10,177.18
3/31/2002 10,542.60 10,844.42
4/30/2002 10,918.64 11,202.09
5/31/2002 11,549.86 11,725.29
6/30/2002 11,254.39 11,244.36
7/31/2002 10,663.47 10,330.82
8/31/2002 10,569.46 10,210.76
9/30/2002 9,817.38 9,424.37
10/31/2002 9,696.51 9,347.03
11/30/2002 9,951.68 9,609.09
2003 12/31/2002 10,018.32 9,452.36
1/31/2003 9,990.95 9,350.69
2/28/2003 10,045.70 9,282.15
3/31/2003 10,004.64 9,192.36
4/30/2003 10,825.81 10,034.96
5/31/2003 11,824.91 10,922.10
6/30/2003 12,358.67 11,491.68
7/31/2003 12,782.94 11,838.49
8/31/2003 13,439.88 12,617.69
9/30/2003 14,206.31 13,338.97
10/31/2003 14,972.74 14,402.49
11/30/2003 15,054.86 14,415.18
2004 12/31/2003 15,907.17 15,295.01
1/31/2004 16,797.08 15,952.89
2/29/2004 17,297.66 16,435.87
3/31/2004 17,992.90 17,069.31
4/30/2004 17,450.61 16,459.75
5/31/2004 17,255.94 16,282.23
6/30/2004 18,059.81 17,104.49
7/31/2004 17,400.28 16,350.20
8/31/2004 17,554.64 16,434.96
9/30/2004 17,972.30 16,884.59
10/31/2004 18,549.78 17,509.34
11/30/2004 19,887.84 18,909.51
2005 12/31/2004 20,825.43 19,791.06
1/31/2005 21,319.20 20,095.96
2/28/2005 22,263.17 20,949.86
3/31/2005 21,871.06 20,608.76
4/30/2005 21,348.25 20,028.33
5/31/2005 20,985.18 20,075.51
6/30/2005 21,513.92 20,607.96
7/31/2005 22,291.18 21,503.33
8/31/2005 23,273.75 22,163.26
9/30/2005 23,828.85 23,061.72
10/31/2005 23,358.15 22,221.52
11/30/2005 23,814.14 22,962.34
2006 12/31/2005 25,397.98 24,747.26
1/31/2006 27,153.32 26,511.50
2/28/2006 26,982.44 26,178.73
3/31/2006 28,225.16 27,409.50
4/30/2006 29,561.08 28,685.27
5/31/2006 28,069.82 27,100.04
6/30/2006 27,530.93 26,440.10
7/31/2006 27,232.87 25,794.33
8/31/2006 27,954.48 26,548.51
9/30/2006 28,161.30 26,477.11
10/31/2006 29,279.57 27,528.30
11/30/2006 30,602.58 28,712.35
2007 12/31/2006 31,716.35 29,562.37
1/31/2007 32,603.75 30,165.41
2/28/2007 33,063.88 30,694.69
3/31/2007 34,300.44 31,712.11
4/30/2007 35,435.02 32,934.91
5/31/2007 36,158.52 33,421.63
6/30/2007 36,100.06 33,348.81
7/31/2007 36,116.65 33,143.54
8/31/2007 34,722.45 31,395.61
9/30/2007 35,485.80 32,104.61
10/31/2007 37,402.60 34,272.26
11/30/2007 34,669.07 31,454.54
2008 12/31/2007 33,511.63 30,532.88
1/31/2008 30,962.61 27,573.14
2/29/2008 31,746.93 28,882.57
3/31/2008 31,788.51 28,563.67
4/30/2008 32,467.14 29,258.70
5/31/2008 33,324.36 29,849.74
6/30/2008 30,856.82 27,544.85
7/31/2008 29,372.79 26,155.91
8/31/2008 28,214.53 25,188.75
9/30/2008 23,936.89 20,758.01
10/31/2008 18,330.38 15,633.84
11/30/2008 17,383.82 14,876.27
2009 12/31/2008 18,810.26 15,868.29
1/31/2009 17,323.79 14,946.71
2/28/2009 15,745.57 13,581.48
3/31/2009 16,787.19 14,453.64
4/30/2009 19,012.00 16,681.70
5/31/2009 21,843.58 19,150.28
6/30/2009 22,073.21 19,380.32
7/31/2009 23,728.23 20,937.71
8/31/2009 25,234.49 22,551.53
9/30/2009 26,576.61 23,819.00
10/31/2009 26,091.70 23,451.56
11/30/2009 26,446.06 23,634.35
2010 12/31/2009 26,702.83 23,933.21
1/31/2010 26,290.00 23,617.85
2/28/2010 26,252.46 23,482.65
3/31/2010 28,127.68 25,228.40
4/30/2010 28,559.54 25,726.95
5/31/2010 25,179.72 22,635.77
6/30/2010 25,120.59 22,423.39
7/31/2010 27,416.35 24,346.48
8/31/2010 26,600.50 23,713.92
9/30/2010 29,526.13 26,404.59
10/31/2010 30,685.89 27,492.88
11/30/2010 29,830.33 26,772.19
2011 12/31/2010 33,087.83 29,798.98
1/31/2011 33,492.28 29,955.31
2/28/2011 34,513.03 30,807.03
3/31/2011 34,459.12 30,778.57
4/30/2011 36,097.27 32,304.59
5/31/2011 35,095.11 31,410.01
6/30/2011 34,382.80 30,730.42
7/31/2011 34,051.64 30,562.75
8/31/2011 31,382.83 28,148.42
9/30/2011 27,673.54 24,916.75
10/11 10/31/2011 29,788.71 26,939.66
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
-2.92% 0.35% 11.53%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
JAPANESE SMALL COMPANY PORTFOLIO VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
Japanese Small MSCI
Company JAPAN
Portfolio- SMALL CAP
ROUNDED Institutional INDEX
JAPF - 6 Class (NET DIV.)
10/31/2001 ---------- -------------- ----------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 9,334.81 9,612.18
12/31/2001 8,281.19 8,450.66
1/31/2002 7,832.35 7,877.64
2/28/2002 8,460.73 8,289.40
3/31/2002 8,887.13 8,875.95
4/30/2002 9,257.43 9,462.07
5/31/2002 10,166.34 10,453.56
6/30/2002 9,706.28 9,993.50
7/31/2002 9,594.06 9,677.48
8/31/2002 9,459.41 9,452.00
9/30/2002 9,190.10 9,074.03
10/31/2002 8,460.73 8,135.29
11/30/2002 8,404.62 8,196.37
2003 12/31/2002 8,340.30 8,013.23
1/31/2003 8,340.30 7,966.77
2/28/2003 8,953.89 8,370.73
3/31/2003 9,022.06 8,235.14
4/30/2003 9,419.76 8,492.03
5/31/2003 9,999.26 8,880.07
6/30/2003 10,771.94 9,876.75
7/31/2003 10,908.29 9,992.74
8/31/2003 11,851.40 11,252.49
9/30/2003 12,601.35 12,071.13
10/31/2003 13,089.95 12,965.80
11/30/2003 12,271.82 12,074.92
2004 12/31/2003 12,993.55 12,938.18
1/31/2004 13,606.23 13,409.29
2/29/2004 13,687.15 13,374.63
3/31/2004 16,438.45 15,826.55
4/30/2004 15,906.69 15,323.06
5/31/2004 15,143.72 14,562.03
6/30/2004 16,577.17 16,093.72
7/31/2004 15,536.77 14,774.84
8/31/2004 15,767.97 14,929.06
9/30/2004 15,386.48 14,478.43
10/31/2004 15,687.05 14,746.14
11/30/2004 16,172.57 15,387.82
2005 12/31/2004 16,945.25 16,132.71
1/31/2005 17,623.53 16,681.47
2/28/2005 18,266.72 17,000.41
3/31/2005 18,371.97 16,960.77
4/30/2005 17,869.11 16,822.91
5/31/2005 17,553.36 16,513.06
6/30/2005 17,883.03 16,736.48
7/31/2005 18,257.79 17,210.51
8/31/2005 19,253.24 17,801.18
9/30/2005 20,037.89 18,913.75
10/31/2005 20,646.88 19,291.61
11/30/2005 21,045.06 20,116.10
2006 12/31/2005 23,433.25 22,836.49
1/31/2006 24,422.89 23,564.37
2/28/2006 22,950.21 22,029.98
3/31/2006 23,963.42 23,018.22
4/30/2006 24,422.89 23,132.47
5/31/2006 22,691.02 21,276.86
6/30/2006 21,821.10 20,610.49
7/31/2006 20,779.18 19,247.96
8/31/2006 21,110.70 19,759.90
9/30/2006 20,735.78 19,327.46
10/31/2006 20,569.80 19,203.45
11/30/2006 20,427.53 19,041.76
2007 12/31/2006 20,604.92 19,152.66
1/31/2007 21,022.51 19,525.00
2/28/2007 21,869.61 20,295.43
3/31/2007 21,690.64 20,108.45
4/30/2007 21,392.37 19,764.20
5/31/2007 20,950.92 19,293.11
6/30/2007 21,288.71 19,419.79
7/31/2007 21,396.71 19,414.82
8/31/2007 20,496.68 18,232.06
9/30/2007 20,467.04 18,121.39
10/31/2007 20,599.16 18,776.67
11/30/2007 20,118.71 17,987.27
2008 12/31/2007 18,847.24 16,911.13
1/31/2008 18,327.07 16,080.52
2/29/2008 18,169.81 16,256.79
3/31/2008 18,526.52 16,262.06
4/30/2008 18,659.72 16,463.98
5/31/2008 19,337.81 16,971.30
6/30/2008 18,420.05 15,929.21
7/31/2008 17,906.34 15,407.85
8/31/2008 16,915.62 14,727.10
9/30/2008 15,804.74 13,289.05
10/31/2008 14,653.97 11,886.37
11/30/2008 15,033.48 12,371.81
2009 12/31/2008 16,563.40 13,335.23
1/31/2009 15,426.22 12,636.29
2/28/2009 13,411.41 10,974.99
3/31/2009 14,032.87 11,362.30
4/30/2009 14,589.73 11,943.61
5/31/2009 16,384.05 13,405.20
6/30/2009 17,468.24 14,257.97
7/31/2009 17,830.34 14,614.88
8/31/2009 18,766.81 15,434.15
9/30/2009 18,564.47 15,373.22
10/31/2009 17,889.86 14,810.53
11/30/2009 17,165.27 14,281.12
2010 12/31/2009 17,094.20 14,014.45
1/31/2010 17,320.78 14,316.74
2/28/2010 17,648.06 14,588.56
3/31/2010 18,544.40 15,252.36
4/30/2010 19,085.75 15,665.44
5/31/2010 17,486.88 14,578.75
6/30/2010 17,756.80 14,643.15
7/31/2010 18,061.64 14,820.66
8/31/2010 17,566.28 14,506.95
9/30/2010 18,342.37 15,100.17
10/31/2010 17,948.59 14,976.12
11/30/2010 18,393.18 15,267.84
2011 12/31/2010 20,085.70 16,808.33
1/31/2011 20,533.19 17,008.22
2/28/2011 21,479.30 17,692.38
3/31/2011 20,136.84 16,600.65
4/30/2011 20,034.56 16,615.70
5/31/2011 19,702.14 16,368.73
6/30/2011 20,682.37 16,978.44
7/31/2011 21,430.71 17,683.68
8/31/2011 20,850.10 16,960.86
9/30/2011 20,736.64 16,976.25
10/11 10/31/2011 19,665.61 16,350.07
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---- ----- -----
9.57% -0.90% 7.00%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
ASIA PACIFIC SMALL COMPANY PORTFOLIO VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
10/31/2001 ROUNDED $ 47,226 $ 44,164
Asia Pacific
Small MSCI
Company PACIFIC EX
Portfolio- JAPAN SMALL
Institutional CAP INDEX
PRFD - 27 Class (NET DIV.)
- ---------- ------------- -----------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,547.95 10,540.34
12/31/2001 10,708.44 10,696.29
1/31/2002 11,206.84 11,048.01
2/28/2002 11,320.76 11,116.83
3/31/2002 11,804.92 11,635.32
4/30/2002 11,876.12 11,658.69
5/31/2002 12,545.39 12,522.73
6/30/2002 12,146.67 12,105.21
7/31/2002 11,420.44 11,327.86
8/31/2002 11,619.80 11,600.69
9/30/2002 10,836.60 10,932.32
10/31/2002 11,164.12 11,188.80
11/30/2002 11,278.04 11,438.25
2003 12/31/2002 11,419.16 11,624.82
1/31/2003 11,793.31 12,055.00
2/28/2003 11,853.17 11,866.69
3/31/2003 11,613.72 11,838.56
4/30/2003 11,942.97 12,491.67
5/31/2003 13,155.23 13,379.83
6/30/2003 13,768.84 14,093.87
7/31/2003 14,696.74 14,415.18
8/31/2003 15,729.40 15,115.04
9/30/2003 16,986.55 16,317.91
10/31/2003 17,974.32 17,665.90
11/30/2003 18,109.01 17,587.77
2004 12/31/2003 18,908.72 18,740.21
1/31/2004 20,091.49 19,507.16
2/29/2004 20,682.87 20,096.75
3/31/2004 20,029.24 20,136.47
4/30/2004 18,566.34 18,997.55
5/31/2004 18,426.28 18,911.52
6/30/2004 18,489.59 18,933.81
7/31/2004 18,819.20 19,648.28
8/31/2004 19,258.68 20,295.55
9/30/2004 20,440.48 21,507.08
10/31/2004 21,403.32 22,883.75
11/30/2004 22,950.16 24,644.82
2005 12/31/2004 23,466.63 25,686.55
1/31/2005 23,998.87 25,910.67
2/28/2005 24,676.26 26,735.96
3/31/2005 23,837.59 25,975.82
4/30/2005 23,031.17 25,553.33
5/31/2005 22,498.94 25,881.67
6/30/2005 23,511.21 27,296.65
7/31/2005 24,291.12 28,433.08
8/31/2005 24,924.80 28,410.57
9/30/2005 25,836.87 29,843.62
10/31/2005 24,366.08 28,090.23
11/30/2005 24,970.73 29,155.56
2006 12/31/2005 25,343.42 29,727.83
1/31/2006 27,048.58 31,429.05
2/28/2006 27,433.08 31,744.73
3/31/2006 28,820.61 33,088.83
4/30/2006 30,458.91 35,223.04
5/31/2006 28,737.03 33,424.53
6/30/2006 28,536.65 33,017.40
7/31/2006 29,076.03 33,356.24
8/31/2006 29,783.97 34,444.29
9/30/2006 30,085.32 35,013.74
10/31/2006 32,542.99 37,454.98
11/30/2006 34,339.63 39,731.51
2007 12/31/2006 35,307.16 41,214.77
1/31/2007 36,223.11 42,261.59
2/28/2007 37,173.62 43,067.41
3/31/2007 39,109.20 45,289.34
4/30/2007 41,839.76 48,429.84
5/31/2007 45,399.86 50,331.04
6/30/2007 47,251.52 51,639.92
7/31/2007 47,983.03 51,626.14
8/31/2007 44,377.77 48,303.77
9/30/2007 49,572.02 52,590.28
10/31/2007 53,898.63 56,185.13
11/30/2007 50,325.24 51,671.82
2008 12/31/2007 49,448.46 50,960.73
1/31/2008 44,466.38 44,132.03
2/29/2008 45,813.84 46,753.63
3/31/2008 43,587.72 43,804.20
4/30/2008 46,618.36 46,734.65
5/31/2008 48,650.67 47,238.82
6/30/2008 43,843.03 41,953.90
7/31/2008 41,250.26 40,024.66
8/31/2008 38,351.40 36,773.53
9/30/2008 31,760.49 29,594.72
10/31/2008 21,185.75 19,141.79
11/30/2008 19,154.24 17,052.75
2009 12/31/2008 21,241.81 19,034.03
1/31/2009 18,614.54 16,938.03
2/28/2009 17,589.71 15,886.23
3/31/2009 20,316.82 18,163.07
4/30/2009 23,341.93 21,414.23
5/31/2009 29,373.49 26,548.71
6/30/2009 29,585.49 27,296.09
7/31/2009 33,847.01 31,237.80
8/31/2009 35,393.22 32,843.12
9/30/2009 38,139.14 35,594.15
10/31/2009 38,971.95 36,447.47
11/30/2009 40,789.00 37,495.39
2010 12/31/2009 41,855.25 38,993.74
1/31/2010 39,576.76 36,500.35
2/28/2010 40,266.05 36,957.83
3/31/2010 43,576.62 40,003.60
4/30/2010 44,152.02 41,122.24
5/31/2010 38,033.65 34,913.27
6/30/2010 37,555.64 34,714.24
7/31/2010 41,713.38 38,246.22
8/31/2010 41,655.09 38,161.09
9/30/2010 47,973.93 43,890.56
10/31/2010 50,022.43 45,838.85
11/30/2010 49,339.60 45,226.66
2011 12/31/2010 54,166.33 49,791.31
1/31/2011 52,994.51 48,343.35
2/28/2011 53,317.77 48,608.02
3/31/2011 54,436.38 50,100.04
4/30/2011 56,722.26 52,126.61
5/31/2011 55,043.25 50,933.42
6/30/2011 53,172.18 49,122.18
7/31/2011 54,030.79 49,846.74
8/31/2011 50,248.84 46,379.74
9/30/2011 40,868.72 37,947.11
10/11 10/31/2011 47,225.62 44,164.23
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
-5.59% 7.73% 16.79%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
United Kingdom
Small Company MSCI UK
Portfolio- SMALL CAP
ROUNDED Institutional INDEX
UKF - 7 Class (NET DIV.)
10/31/2001 ---------- -------------- ----------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,663.60 10,936.71
12/31/2001 11,097.57 11,303.48
1/31/2002 10,792.07 10,713.26
2/28/2002 10,898.64 10,717.24
3/31/2002 11,445.71 11,515.80
4/30/2002 11,943.04 11,944.79
5/31/2002 12,070.92 11,810.27
6/30/2002 11,587.80 11,087.75
7/31/2002 10,749.44 9,862.08
8/31/2002 10,756.55 9,944.34
9/30/2002 9,840.04 9,255.93
10/31/2002 9,797.41 9,267.18
11/30/2002 10,117.12 9,438.37
2003 12/31/2002 10,091.59 9,165.00
1/31/2003 9,841.95 8,476.23
2/28/2003 9,516.66 8,230.16
3/31/2003 9,425.88 8,220.08
4/30/2003 10,310.98 9,320.73
5/31/2003 11,544.06 10,677.75
6/30/2003 12,194.64 11,029.52
7/31/2003 12,686.36 11,727.54
8/31/2003 13,215.90 12,285.65
9/30/2003 13,722.75 12,608.01
10/31/2003 14,501.94 13,630.49
11/30/2003 14,570.02 13,744.04
2004 12/31/2003 15,375.33 14,514.71
1/31/2004 16,518.62 15,744.72
2/29/2004 17,464.79 16,811.38
3/31/2004 17,228.25 16,747.28
4/30/2004 16,597.47 16,164.56
5/31/2004 16,621.12 16,155.31
6/30/2004 17,182.68 16,715.76
7/31/2004 16,538.33 15,959.27
8/31/2004 16,419.00 15,740.85
9/30/2004 16,879.98 16,258.19
10/31/2004 17,408.73 16,876.88
11/30/2004 18,802.71 18,241.41
2005 12/31/2004 19,575.71 19,293.66
1/31/2005 20,123.93 19,726.86
2/28/2005 20,807.09 20,193.81
3/31/2005 20,330.85 19,941.65
4/30/2005 19,638.23 19,040.32
5/31/2005 19,249.69 18,871.47
6/30/2005 19,596.35 19,161.83
7/31/2005 19,979.10 19,730.96
8/31/2005 21,101.80 20,685.84
9/30/2005 20,849.94 20,721.81
10/31/2005 20,258.64 20,090.81
11/30/2005 21,124.17 21,093.61
2006 12/31/2005 22,047.47 22,005.02
1/31/2006 23,765.22 23,797.00
2/28/2006 24,085.01 24,170.09
3/31/2006 24,477.90 24,659.07
4/30/2006 25,702.25 25,964.07
5/31/2006 25,172.31 25,387.80
6/30/2006 25,142.09 25,172.31
7/31/2006 25,316.62 24,976.62
8/31/2006 26,373.01 25,875.37
9/30/2006 27,133.76 26,633.97
10/31/2006 28,657.61 28,159.38
11/30/2006 30,449.29 29,984.30
2007 12/31/2006 32,101.73 31,391.24
1/31/2007 32,307.45 31,318.01
2/28/2007 32,297.65 31,415.74
3/31/2007 33,796.45 32,715.16
4/30/2007 34,952.39 34,339.00
5/31/2007 35,412.81 34,559.59
6/30/2007 34,105.75 33,553.76
7/31/2007 33,908.38 33,365.13
8/31/2007 33,701.14 32,142.02
9/30/2007 32,527.80 30,320.58
10/31/2007 35,116.93 33,652.34
11/30/2007 31,039.79 29,758.35
2008 12/31/2007 29,394.81 28,264.30
1/31/2008 27,410.09 25,990.00
2/29/2008 27,796.59 26,870.55
3/31/2008 27,681.28 26,532.84
4/30/2008 28,141.59 27,026.34
5/31/2008 28,214.82 27,154.23
6/30/2008 25,960.48 25,297.80
7/31/2008 25,039.74 24,288.46
8/31/2008 24,616.42 23,652.70
9/30/2008 20,809.36 19,303.37
10/31/2008 15,220.38 13,947.23
11/30/2008 14,132.44 12,653.82
2009 12/31/2008 13,809.16 12,332.82
1/31/2009 13,475.24 12,265.18
2/28/2009 12,915.12 11,858.58
3/31/2009 13,468.89 12,546.32
4/30/2009 16,285.70 15,428.40
5/31/2009 17,947.73 17,057.98
6/30/2009 18,025.70 17,178.38
7/31/2009 19,586.03 18,759.16
8/31/2009 21,102.72 20,567.85
9/30/2009 21,714.63 21,042.33
10/31/2009 21,736.56 21,072.79
11/30/2009 21,659.83 20,853.53
2010 12/31/2009 22,105.52 21,368.65
1/31/2010 21,884.25 21,269.47
2/28/2010 21,131.91 20,316.81
3/31/2010 22,894.02 22,107.47
4/30/2010 23,725.12 22,989.86
5/31/2010 21,032.35 20,226.43
6/30/2010 21,429.30 20,313.81
7/31/2010 24,314.87 22,757.26
8/31/2010 23,408.93 22,139.12
9/30/2010 25,901.11 24,578.39
10/31/2010 27,250.13 25,626.08
11/30/2010 25,901.11 24,558.85
2011 12/31/2010 28,533.50 27,128.52
1/31/2011 28,941.93 27,390.91
2/28/2011 29,804.17 28,113.28
3/31/2011 29,236.44 27,628.21
4/30/2011 31,817.79 30,160.70
5/31/2011 31,613.11 29,778.97
6/30/2011 30,603.31 28,775.86
7/31/2011 30,385.29 28,696.23
8/31/2011 27,344.47 25,768.96
9/30/2011 24,576.81 23,051.45
10/11 10/31/2011 27,173.60 25,570.45
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
-0.28% -1.06% 10.51%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
Continental MSCI
Small Company EUROPE EX
Portfolio- UK SMALL
ROUNDED Institutional CAP INDEX
CONF - 12 Class (NET DIV.)
10/31/2001 ---------- ------------- ----------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,418.41 10,756.14
12/31/2001 10,496.77 10,854.44
1/31/2002 10,508.75 10,862.21
2/28/2002 10,664.53 10,914.49
3/31/2002 11,203.74 11,613.59
4/30/2002 11,647.10 11,931.29
5/31/2002 12,114.42 12,138.16
6/30/2002 12,114.42 11,861.08
7/31/2002 11,155.81 10,602.31
8/31/2002 11,000.04 10,326.98
9/30/2002 9,849.71 9,021.19
10/31/2002 10,149.27 9,563.57
11/30/2002 10,700.47 10,087.76
2003 12/31/2002 10,901.68 9,850.93
1/31/2003 10,811.26 9,720.16
2/28/2003 10,501.26 9,292.75
3/31/2003 10,423.76 9,271.06
4/30/2003 11,728.34 10,633.78
5/31/2003 12,903.76 11,679.16
6/30/2003 13,123.35 11,852.81
7/31/2003 13,575.43 12,274.82
8/31/2003 13,872.51 12,628.64
9/30/2003 14,582.93 13,344.66
10/31/2003 15,474.18 14,459.38
11/30/2003 16,275.02 15,228.81
2004 12/31/2003 17,273.62 16,025.45
1/31/2004 18,113.20 16,831.49
2/29/2004 18,704.02 17,399.32
3/31/2004 18,315.32 16,798.90
4/30/2004 18,097.65 16,534.35
5/31/2004 18,284.22 16,587.01
6/30/2004 18,836.67 17,178.66
7/31/2004 18,212.94 16,488.34
8/31/2004 18,322.09 16,540.62
9/30/2004 19,267.64 17,462.76
10/31/2004 19,988.22 18,202.98
11/30/2004 22,118.63 20,223.29
2005 12/31/2004 23,254.65 21,234.33
1/31/2005 23,583.80 21,472.42
2/28/2005 25,081.45 22,976.81
3/31/2005 24,390.23 22,390.05
4/30/2005 23,731.92 21,731.32
5/31/2005 23,781.30 22,040.87
6/30/2005 24,425.41 22,746.24
7/31/2005 25,931.32 24,306.80
8/31/2005 26,791.83 24,996.99
9/30/2005 27,470.37 25,850.55
10/31/2005 26,109.30 24,066.45
11/30/2005 26,192.29 24,373.37
2006 12/31/2005 27,532.82 25,785.86
1/31/2006 30,173.46 28,663.11
2/28/2006 31,022.90 29,472.42
3/31/2006 33,017.23 31,376.50
4/30/2006 35,288.54 33,599.80
5/31/2006 33,571.21 31,872.74
6/30/2006 32,949.00 31,146.44
7/31/2006 32,855.76 30,805.67
8/31/2006 33,713.52 31,530.47
9/30/2006 34,151.20 31,861.33
10/31/2006 35,855.01 33,564.19
11/30/2006 38,326.48 35,912.99
2007 12/31/2006 40,149.91 37,607.07
1/31/2007 42,001.20 38,811.43
2/28/2007 42,039.77 38,977.52
3/31/2007 44,488.88 41,050.13
4/30/2007 46,822.28 43,534.46
5/31/2007 47,709.36 44,293.47
6/30/2007 47,175.05 43,870.15
7/31/2007 46,902.81 43,549.02
8/31/2007 45,211.04 41,578.04
9/30/2007 46,204.69 42,405.35
10/31/2007 48,431.89 44,942.91
11/30/2007 44,837.11 41,727.51
2008 12/31/2007 43,943.07 40,882.27
1/31/2008 39,751.20 35,959.03
2/29/2008 41,448.39 38,135.17
3/31/2008 42,754.01 38,910.66
4/30/2008 43,244.96 39,575.33
5/31/2008 44,063.22 40,190.70
6/30/2008 40,333.39 36,476.45
7/31/2008 38,191.98 34,405.48
8/31/2008 37,131.67 33,465.93
9/30/2008 30,658.55 26,537.01
10/31/2008 22,470.37 19,070.42
11/30/2008 20,711.27 17,489.52
2009 12/31/2008 22,870.01 19,105.69
1/31/2009 20,270.67 17,389.96
2/28/2009 18,509.82 15,858.85
3/31/2009 19,839.69 17,085.09
4/30/2009 23,069.41 20,641.43
5/31/2009 26,424.96 23,722.81
6/30/2009 26,084.03 23,418.72
7/31/2009 28,152.84 25,521.22
8/31/2009 30,498.91 28,140.39
9/30/2009 33,101.82 30,837.40
10/31/2009 32,159.72 29,995.79
11/30/2009 33,123.23 30,612.47
2010 12/31/2009 33,008.15 30,750.49
1/31/2010 32,449.42 30,340.42
2/28/2010 31,761.75 29,476.79
3/31/2010 34,104.13 31,867.58
4/30/2010 33,781.78 31,666.40
5/31/2010 28,968.09 26,767.57
6/30/2010 28,764.08 26,367.41
7/31/2010 32,209.66 29,526.59
8/31/2010 30,726.75 28,123.38
9/30/2010 34,971.79 32,463.01
10/31/2010 36,957.09 34,545.61
11/30/2010 34,055.50 31,928.47
2011 12/31/2010 38,478.41 36,398.58
1/31/2011 39,553.35 37,221.62
2/28/2011 40,211.48 37,852.76
3/31/2011 41,571.60 39,130.12
4/30/2011 44,357.67 41,863.46
5/31/2011 42,843.98 40,266.66
6/30/2011 41,451.69 38,966.49
7/31/2011 39,091.93 36,601.48
8/31/2011 35,084.78 32,777.62
9/30/2011 29,769.07 27,853.45
10/11 10/31/2011 32,837.82 30,905.90
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ------ ----- -----
-11.09% -1.74% 12.63%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL EX US REIT INDEX (NET DIVIDENDS)
MARCH 1, 2007-OCTOBER 31, 2011
GROWTH OF $10,000
International
Real Estate S&P
Securities GLOBAL EX
Portfolio- US REIT
ROUNDED Institutional INDEX
RENT - 340 Class (NET DIV.)
3/1/2007 ---------- ------------- ----------
03/07 3/1/2007 10,000.00 10,000.00
3/31/2007 10,480.00 10,343.27
4/30/2007 10,570.00 10,491.72
5/31/2007 10,780.00 10,646.63
6/30/2007 10,061.02 9,995.03
7/31/2007 9,458.56 9,512.55
8/31/2007 9,679.46 9,662.11
9/30/2007 10,130.21 10,149.19
10/31/2007 10,211.17 10,249.08
11/30/2007 9,462.29 9,432.93
2008 12/31/2007 8,994.76 9,060.72
1/31/2008 8,627.41 8,529.16
2/29/2008 8,585.43 8,635.04
3/31/2008 8,606.07 8,552.22
4/30/2008 8,658.74 8,703.49
5/31/2008 8,332.20 8,347.70
6/30/2008 7,449.80 7,504.99
7/31/2008 7,214.99 7,301.26
8/31/2008 6,969.51 7,087.95
9/30/2008 6,457.20 6,367.96
10/31/2008 4,461.34 4,537.39
11/30/2008 4,151.82 4,233.75
2009 12/31/2008 4,324.57 4,362.99
1/31/2009 3,873.40 3,947.40
2/28/2009 3,356.22 3,433.41
3/31/2009 3,587.30 3,636.04
4/30/2009 3,950.43 4,052.54
5/31/2009 4,478.62 4,503.14
6/30/2009 4,577.66 4,609.94
7/31/2009 4,984.81 5,022.02
8/31/2009 5,535.01 5,633.82
9/30/2009 5,887.13 6,016.63
10/31/2009 5,766.09 5,921.55
11/30/2009 5,832.11 5,925.69
2010 12/31/2009 5,925.17 6,027.38
1/31/2010 5,703.90 5,831.47
2/28/2010 5,728.49 5,809.07
3/31/2010 5,925.17 6,011.15
4/30/2010 5,974.34 6,081.70
5/31/2010 5,347.41 5,413.77
6/30/2010 5,359.70 5,434.68
7/31/2010 5,986.64 6,026.40
8/31/2010 5,998.93 6,043.94
9/30/2010 6,576.70 6,623.55
10/31/2010 6,859.43 6,894.46
11/30/2010 6,429.18 6,471.12
2011 12/31/2010 6,997.24 7,046.48
1/31/2011 7,025.11 7,045.19
2/28/2011 7,317.83 7,329.36
3/31/2011 7,331.76 7,347.93
4/30/2011 7,791.74 7,804.14
5/31/2011 7,749.93 7,760.85
6/30/2011 7,694.17 7,685.02
7/31/2011 7,568.72 7,574.71
8/31/2011 7,262.07 7,261.43
9/30/2011 6,328.18 6,367.00
10/11 10/31/2011 6,829.97 6,889.28
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 3/1/2007
-------------- ----- --------
-0.43% -7.84%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
The S&P data are provided by Standard & Poor's Index Services Group.
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL REIT INDEX (NET DIVIDENDS)
JUNE 4, 2008-OCTOBER 31, 2011
GROWTH OF $10,000
S&P
DFA Global GLOBAL
Real Estate REIT
ROUNDED Securities INDEX
GRND - 416 Portfolio (NET DIV.)
6/4/2008 ---------- ----------- ----------
06/08 6/4/2008 10,000.00 10,000.00
6/30/2008 9,000.00 8,970.16
7/31/2008 9,020.00 8,994.62
8/31/2008 9,000.00 8,979.20
9/30/2008 8,710.00 8,552.07
10/31/2008 6,040.00 5,938.93
11/30/2008 5,040.00 4,954.84
12/31/2008 5,631.59 5,465.27
1/31/2009 4,816.90 4,697.67
2/28/2009 3,981.83 3,886.94
3/31/2009 4,185.51 4,070.44
4/30/2009 5,051.12 4,921.28
5/31/2009 5,438.10 5,234.90
6/30/2009 5,407.55 5,208.16
7/31/2009 5,937.10 5,715.60
8/31/2009 6,670.33 6,460.23
9/30/2009 7,108.23 6,888.89
10/31/2009 6,874.01 6,673.05
11/30/2009 7,159.15 6,896.88
2010 12/31/2009 7,471.24 7,198.88
1/31/2010 7,133.13 6,884.34
2/28/2010 7,362.17 7,065.68
3/31/2010 7,874.80 7,556.93
4/30/2010 8,202.01 7,886.77
5/31/2010 7,591.22 7,269.80
6/30/2010 7,373.08 7,054.41
7/31/2010 8,158.38 7,771.86
8/31/2010 8,114.75 7,722.45
9/30/2010 8,649.19 8,230.82
10/31/2010 9,030.93 8,595.33
11/30/2010 8,681.91 8,264.42
2011 12/31/2010 9,248.98 8,788.84
1/31/2011 9,447.51 8,947.22
2/28/2011 9,856.24 9,333.79
3/31/2011 9,786.17 9,257.53
4/30/2011 10,370.07 9,804.23
5/31/2011 10,428.46 9,852.53
6/30/2011 10,194.90 9,617.22
7/31/2011 10,218.26 9,646.76
8/31/2011 9,727.78 9,152.80
9/30/2011 8,583.33 8,093.32
10/11 10/31/2011 9,587.64 9,051.92
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 6/4/2008
-------------- ---- --------
6.17% -1.23%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
The S&P data are provided by Standard & Poor's Index Services Group.
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
10/31/2001
MSCI WORLD
DFA International EX USA
Small Cap Value SMALL CAP
ROUNDED Portfolio- INDEX
SVAL - 66 Institutional Class (NET DIV.)
---------- ------------------- ----------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 10,054.42 10,395.60
12/31/2001 9,904.10 10,209.62
1/31/2002 9,806.46 10,017.36
2/28/2002 10,197.04 10,177.18
3/31/2002 10,685.27 10,844.42
4/30/2002 11,103.76 11,202.09
5/31/2002 11,801.23 11,725.29
6/30/2002 11,591.99 11,244.36
7/31/2002 10,978.21 10,330.82
8/31/2002 10,950.31 10,210.76
9/30/2002 10,224.94 9,424.37
10/31/2002 10,127.30 9,347.03
11/30/2002 10,350.49 9,609.09
2003 12/31/2002 10,477.58 9,452.36
1/31/2003 10,506.05 9,350.69
2/28/2003 10,562.99 9,282.15
3/31/2003 10,463.34 9,192.36
4/30/2003 11,459.85 10,034.96
5/31/2003 12,612.95 10,922.10
6/30/2003 13,324.74 11,491.68
7/31/2003 13,865.70 11,838.49
8/31/2003 14,634.44 12,617.69
9/30/2003 15,460.12 13,338.97
10/31/2003 16,342.74 14,402.49
11/30/2003 16,413.92 14,415.18
2004 12/31/2003 17,443.15 15,295.01
1/31/2004 18,506.93 15,952.89
2/29/2004 19,075.25 16,435.87
3/31/2004 19,876.73 17,069.31
4/30/2004 19,177.26 16,459.75
5/31/2004 18,987.82 16,282.23
6/30/2004 19,851.60 17,104.49
7/31/2004 19,160.98 16,350.20
8/31/2004 19,396.09 16,434.96
9/30/2004 19,911.48 16,884.59
10/31/2004 20,560.45 17,509.34
11/30/2004 22,359.86 18,909.51
2005 12/31/2004 23,514.07 19,791.06
1/31/2005 24,170.63 20,095.96
2/28/2005 25,315.79 20,949.86
3/31/2005 25,077.29 20,608.76
4/30/2005 24,588.57 20,028.33
5/31/2005 24,222.04 20,075.51
6/30/2005 24,790.73 20,607.96
7/31/2005 25,732.93 21,503.33
8/31/2005 26,736.91 22,163.26
9/30/2005 27,361.74 23,061.72
10/31/2005 26,726.50 22,221.52
11/30/2005 27,222.30 22,962.34
2006 12/31/2005 28,976.07 24,747.26
1/31/2006 31,099.45 26,511.50
2/28/2006 31,164.79 26,178.73
3/31/2006 32,651.16 27,409.50
4/30/2006 34,006.86 28,685.27
5/31/2006 32,373.49 27,100.04
6/30/2006 31,770.84 26,440.10
7/31/2006 31,655.61 25,794.33
8/31/2006 32,462.23 26,548.51
9/30/2006 32,770.31 26,477.11
10/31/2006 34,207.31 27,528.30
11/30/2006 35,859.04 28,712.35
2007 12/31/2006 37,203.65 29,562.37
1/31/2007 38,195.27 30,165.41
2/28/2007 38,885.87 30,694.69
3/31/2007 40,575.46 31,712.11
4/30/2007 41,779.80 32,934.91
5/31/2007 42,576.78 33,421.63
6/30/2007 42,397.20 33,348.81
7/31/2007 42,289.91 33,143.54
8/31/2007 40,555.40 31,395.61
9/30/2007 41,399.29 32,104.61
10/31/2007 43,030.87 34,272.26
11/30/2007 39,534.62 31,454.54
2008 12/31/2007 38,299.58 30,532.88
1/31/2008 35,773.69 27,573.14
2/29/2008 36,556.91 28,882.57
3/31/2008 36,896.70 28,563.67
4/30/2008 37,524.39 29,258.70
5/31/2008 38,348.24 29,849.74
6/30/2008 34,998.28 27,544.85
7/31/2008 33,442.80 26,155.91
8/31/2008 32,365.93 25,188.75
9/30/2008 27,707.86 20,758.01
10/31/2008 21,677.45 15,633.84
11/30/2008 20,475.37 14,876.27
2009 12/31/2008 22,337.07 15,868.29
1/31/2009 20,453.71 14,946.71
2/28/2009 18,205.83 13,581.48
3/31/2009 19,393.60 14,453.64
4/30/2009 22,537.96 16,681.70
5/31/2009 25,641.75 19,150.28
6/30/2009 25,556.78 19,380.32
7/31/2009 27,936.07 20,937.71
8/31/2009 30,356.37 22,551.53
9/30/2009 31,786.64 23,819.00
10/31/2009 30,636.00 23,451.56
11/30/2009 30,800.37 23,634.35
2010 12/31/2009 31,162.02 23,933.21
1/31/2010 30,563.15 23,617.85
2/28/2010 30,274.04 23,482.65
3/31/2010 32,731.48 25,228.40
4/30/2010 33,144.50 25,726.95
5/31/2010 28,683.93 22,635.77
6/30/2010 28,107.31 22,423.39
7/31/2010 30,840.84 24,346.48
8/31/2010 29,401.04 23,713.92
9/30/2010 32,702.41 26,404.59
10/31/2010 33,725.01 27,492.88
11/30/2010 32,765.02 26,772.19
2011 12/31/2010 36,802.66 29,798.98
1/31/2011 37,572.94 29,955.31
2/28/2011 38,664.18 30,807.03
3/31/2011 38,856.76 30,778.57
4/30/2011 40,525.71 32,304.59
5/31/2011 39,134.92 31,410.01
6/30/2011 38,281.28 30,730.42
7/31/2011 37,545.52 30,562.75
8/31/2011 33,974.90 28,148.42
9/30/2011 29,966.27 24,916.75
10/11 10/31/2011 32,246.31 26,939.66
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
-4.39% -1.17% 12.42%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
INTERNATIONAL VECTOR EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 14, 2008-OCTOBER 31, 2011
GROWTH OF $10,000
8/14/2008
International MSCI
Vector WORLD EX
ROUNDED Equity USA INDEX
DVEC - 423 Portfolio (NET DIV.)
---------- ------------- ----------
08/08 8/14/2008 10,000.00 10,000.00
8/31/2008 10,050.00 10,052.07
9/30/2008 8,750.00 8,600.77
10/31/2008 6,740.00 6,811.64
11/30/2008 6,340.00 6,442.25
12/31/2008 6,797.59 6,781.85
1/31/2009 6,064.61 6,149.06
2/28/2009 5,391.88 5,526.58
3/31/2009 5,902.99 5,890.75
4/30/2009 6,918.67 6,650.42
5/31/2009 7,984.62 7,491.47
6/30/2009 7,931.87 7,413.89
7/31/2009 8,714.89 8,110.04
8/31/2009 9,274.18 8,498.72
9/30/2009 9,740.44 8,849.36
10/31/2009 9,403.86 8,707.30
11/30/2009 9,607.85 8,922.74
2010 12/31/2009 9,715.33 9,064.98
1/31/2010 9,377.49 8,640.06
2/28/2010 9,357.02 8,631.40
3/31/2010 10,099.40 9,187.04
4/30/2010 10,119.88 9,050.06
5/31/2010 8,870.26 8,051.38
6/30/2010 8,736.26 7,934.91
7/31/2010 9,658.59 8,668.30
8/31/2010 9,254.43 8,409.20
9/30/2010 10,289.42 9,215.87
10/31/2010 10,684.37 9,544.18
11/30/2010 10,299.81 9,139.99
2011 12/31/2010 11,396.56 9,875.96
1/31/2011 11,659.88 10,088.70
2/28/2011 12,049.59 10,462.79
3/31/2011 11,880.96 10,253.19
4/30/2011 12,482.39 10,811.60
5/31/2011 12,070.88 10,491.09
6/30/2011 11,822.75 10,341.68
7/31/2011 11,544.82 10,171.08
8/31/2011 10,518.61 9,311.19
9/30/2011 9,259.56 8,376.13
10/11 10/31/2011 10,044.64 9,190.74
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 8/14/2008
-------------- ----- ---------
-5.99% 0.14%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
WORLD EX U.S. VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 23, 2010-OCTOBER 31, 2011
GROWTH OF $10,000
8/23/2010
MSCI ALL
COUNTRY
World Ex WORLD EX
ROUNDED U.S. Value USA INDEX
GOBL - 510 Portfolio (NET DIV.)
---------- ---------- ----------
08/10 8/23/2010 10,000.00 10,000.00
8/31/2010 9,890.00 9,919.64
9/30/2010 10,980.00 10,906.45
10/31/2010 11,350.00 11,277.97
11/30/2010 10,850.00 10,842.76
12/31/2010 11,859.03 11,691.82
1/31/2011 12,122.12 11,806.90
2/28/2011 12,385.20 12,117.90
3/31/2011 12,311.32 12,090.04
4/30/2011 12,899.02 12,680.69
5/31/2011 12,432.92 12,315.00
6/30/2011 12,237.66 12,136.31
7/31/2011 11,919.93 11,970.72
8/31/2011 10,669.51 10,944.85
9/30/2011 9,313.53 9,727.23
10/11 10/31/2011 10,261.37 10,751.94
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 8/23/2010
-------------- ----- ---------
-9.59% 2.19%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
10/31/2001 $ 48,216 $ 47,319
Emerging Markets MSCI EMERGING
ROUNDED Portfolio- MARKETS INDEX
EMGO - 56 Institutional Class (NET DIV.)
---------- ------------------- -------------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 11,093.95 11,043.27
12/31/2001 11,961.39 11,919.10
1/31/2002 12,626.64 12,321.28
2/28/2002 12,457.07 12,521.02
3/31/2002 12,978.83 13,270.30
4/30/2002 13,109.27 13,355.36
5/31/2002 12,783.17 13,139.34
6/30/2002 11,804.87 12,150.05
7/31/2002 11,230.93 11,221.22
8/31/2002 11,270.06 11,392.69
9/30/2002 10,083.05 10,163.15
10/31/2002 10,500.46 10,823.45
11/30/2002 11,283.10 11,568.33
2003 12/31/2002 10,831.35 11,183.53
1/31/2003 10,818.12 11,134.20
2/28/2003 10,646.20 10,821.37
3/31/2003 10,474.27 10,512.33
4/30/2003 11,876.13 11,447.16
5/31/2003 12,748.99 12,265.59
6/30/2003 13,238.31 12,960.90
7/31/2003 13,502.82 13,766.84
8/31/2003 14,111.17 14,688.09
9/30/2003 14,732.75 14,795.06
10/31/2003 15,856.88 16,053.85
11/30/2003 15,698.18 16,249.19
2004 12/31/2003 17,348.34 17,425.74
1/31/2004 17,669.60 18,034.27
2/29/2004 18,445.99 18,861.27
3/31/2004 18,566.47 19,097.00
4/30/2004 17,388.50 17,533.32
5/31/2004 17,174.32 17,183.53
6/30/2004 17,484.27 17,256.72
7/31/2004 17,470.77 16,940.82
8/31/2004 17,956.82 17,643.35
9/30/2004 18,959.43 18,661.28
10/31/2004 19,488.72 19,107.15
11/30/2004 21,185.16 20,875.96
2005 12/31/2004 22,541.38 21,878.59
1/31/2005 22,718.98 21,934.15
2/28/2005 24,413.00 23,847.87
3/31/2005 22,733.92 22,271.83
4/30/2005 22,186.78 21,673.95
5/31/2005 22,843.35 22,428.37
6/30/2005 23,521.90 23,190.38
7/31/2005 25,029.18 24,811.33
8/31/2005 25,181.29 25,023.81
9/30/2005 27,176.77 27,353.90
10/31/2005 25,813.06 25,566.00
11/30/2005 27,677.72 27,680.93
2006 12/31/2005 29,271.48 29,317.06
1/31/2006 32,057.90 32,591.52
2/28/2006 31,959.39 32,552.84
3/31/2006 32,393.99 32,839.73
4/30/2006 34,323.55 35,178.14
5/31/2006 30,351.76 31,492.44
6/30/2006 30,304.72 31,415.46
7/31/2006 30,858.29 31,865.25
8/31/2006 31,823.50 32,677.19
9/30/2006 32,251.57 32,949.27
10/31/2006 34,168.92 34,513.80
11/30/2006 36,343.83 37,079.37
2007 12/31/2006 37,808.71 38,748.91
1/31/2007 38,358.34 38,331.68
2/28/2007 37,750.85 38,104.17
3/31/2007 39,471.27 39,621.55
4/30/2007 41,974.40 41,455.91
5/31/2007 44,781.37 43,509.21
6/30/2007 45,509.80 45,548.75
7/31/2007 46,588.16 47,952.05
8/31/2007 45,772.10 46,932.97
9/30/2007 49,805.56 52,115.94
10/31/2007 55,243.43 57,927.95
11/30/2007 51,637.73 53,821.63
2008 12/31/2007 51,426.30 54,010.37
1/31/2008 46,932.44 47,270.20
2/29/2008 48,420.17 50,759.33
3/31/2008 46,908.75 48,073.18
4/30/2008 50,242.91 51,974.50
5/31/2008 50,534.84 52,938.69
6/30/2008 45,334.03 47,658.72
7/31/2008 44,729.99 45,861.03
8/31/2008 42,066.01 42,197.96
9/30/2008 36,197.13 34,813.18
10/31/2008 26,659.23 25,285.56
11/30/2008 24,235.66 23,382.14
2009 12/31/2008 26,124.79 25,205.85
1/31/2009 24,127.49 23,578.05
2/28/2009 22,545.62 22,247.96
3/31/2009 25,804.27 25,445.15
4/30/2009 29,616.45 29,679.48
5/31/2009 34,661.97 34,750.69
6/30/2009 34,356.93 34,282.58
7/31/2009 38,274.69 38,137.59
8/31/2009 38,403.67 38,001.05
9/30/2009 41,768.69 41,450.42
10/31/2009 40,893.44 41,501.69
11/30/2009 43,324.68 43,284.42
2010 12/31/2009 44,874.49 44,993.77
1/31/2010 42,416.30 42,484.38
2/28/2010 42,927.73 42,633.91
3/31/2010 46,508.30 46,075.86
4/30/2010 46,772.74 46,634.07
5/31/2010 42,409.49 42,532.30
6/30/2010 42,474.25 42,219.64
7/31/2010 46,203.86 45,735.49
8/31/2010 45,121.61 44,847.26
9/30/2010 50,237.34 49,831.12
10/31/2010 51,744.46 51,278.04
11/30/2010 50,572.25 49,924.41
2011 12/31/2010 54,664.62 53,486.99
1/31/2011 53,238.28 52,035.83
2/28/2011 52,846.03 51,550.58
3/31/2011 55,770.04 54,581.43
4/30/2011 57,713.43 56,274.56
5/31/2011 56,108.79 54,798.52
6/30/2011 55,425.22 53,955.51
7/31/2011 54,976.94 53,715.88
8/31/2011 50,512.08 48,915.60
9/30/2011 42,866.36 41,783.97
10/11 10/31/2011 48,215.62 47,318.56
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
-6.82% 7.13% 17.04%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
10/31/2001
Emerging Markets
Small Cap MSCI EMERGING
ROUNDED Portfolio- MARKETS INDEX
EMGS - 90 Institutional Class (NET DIV.)
---------- ------------------- -------------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 11,058.09 11,043.27
12/31/2001 11,902.99 11,919.10
1/31/2002 12,821.82 12,321.28
2/28/2002 12,696.52 12,521.02
3/31/2002 13,490.06 13,270.30
4/30/2002 13,865.94 13,355.36
5/31/2002 13,740.65 13,139.34
6/30/2002 12,842.70 12,150.05
7/31/2002 12,237.11 11,221.22
8/31/2002 12,383.29 11,392.69
9/30/2002 10,963.28 10,163.15
10/31/2002 11,422.69 10,823.45
11/30/2002 12,299.76 11,568.33
2003 12/31/2002 11,881.08 11,183.53
1/31/2003 12,094.77 11,134.20
2/28/2003 11,966.55 10,821.37
3/31/2003 11,859.71 10,512.33
4/30/2003 13,398.27 11,447.16
5/31/2003 14,402.60 12,265.59
6/30/2003 15,022.30 12,960.90
7/31/2003 15,321.46 13,766.84
8/31/2003 16,240.32 14,688.09
9/30/2003 16,860.02 14,795.06
10/31/2003 18,313.10 16,053.85
11/30/2003 18,676.37 16,249.19
2004 12/31/2003 20,530.76 17,425.74
1/31/2004 21,139.72 18,034.27
2/29/2004 22,031.42 18,861.27
3/31/2004 22,401.15 19,097.00
4/30/2004 21,139.72 17,533.32
5/31/2004 20,248.03 17,183.53
6/30/2004 20,416.04 17,256.72
7/31/2004 20,547.19 16,940.82
8/31/2004 21,224.81 17,643.35
9/30/2004 22,405.91 18,661.28
10/31/2004 22,955.08 19,107.15
11/30/2004 25,129.77 20,875.96
2005 12/31/2004 26,460.70 21,878.59
1/31/2005 27,195.72 21,934.15
2/28/2005 28,918.42 23,847.87
3/31/2005 26,901.39 22,271.83
4/30/2005 25,911.86 21,673.95
5/31/2005 26,418.14 22,428.37
6/30/2005 27,087.64 23,190.38
7/31/2005 28,571.90 24,811.33
8/31/2005 28,757.43 25,023.81
9/30/2005 30,643.86 27,353.90
10/31/2005 29,149.04 25,566.00
11/30/2005 31,227.78 27,680.93
2006 12/31/2005 33,274.00 29,317.06
1/31/2006 36,486.33 32,591.52
2/28/2006 36,869.89 32,552.84
3/31/2006 37,543.40 32,839.73
4/30/2006 40,592.01 35,178.14
5/31/2006 36,319.16 31,492.44
6/30/2006 34,716.14 31,415.46
7/31/2006 35,514.49 31,865.25
8/31/2006 36,748.31 32,677.19
9/30/2006 37,765.64 32,949.27
10/31/2006 40,612.66 34,513.80
11/30/2006 43,703.02 37,079.37
2007 12/31/2006 45,687.89 38,748.91
1/31/2007 46,546.48 38,331.68
2/28/2007 46,962.78 38,104.17
3/31/2007 49,044.23 39,621.55
4/30/2007 52,790.84 41,455.91
5/31/2007 56,979.77 43,509.21
6/30/2007 58,681.90 45,548.75
7/31/2007 61,533.58 47,952.05
8/31/2007 58,969.68 46,932.97
9/30/2007 63,021.90 52,115.94
10/31/2007 67,746.57 57,927.95
11/30/2007 62,313.20 53,821.63
2008 12/31/2007 63,056.81 54,010.37
1/31/2008 55,452.82 47,270.20
2/29/2008 57,058.11 50,759.33
3/31/2008 54,354.82 48,073.18
4/30/2008 57,679.79 51,974.50
5/31/2008 57,313.48 52,938.69
6/30/2008 50,709.75 47,658.72
7/31/2008 49,913.41 45,861.03
8/31/2008 46,898.70 42,197.96
9/30/2008 38,426.82 34,813.18
10/31/2008 26,766.66 25,285.56
11/30/2008 25,129.65 23,382.14
2009 12/31/2008 28,668.92 25,205.85
1/31/2009 26,463.62 23,578.05
2/28/2009 24,838.66 22,247.96
3/31/2009 28,256.49 25,445.15
4/30/2009 33,977.48 29,679.48
5/31/2009 41,760.36 34,750.69
6/30/2009 41,553.43 34,282.58
7/31/2009 46,824.47 38,137.59
8/31/2009 47,380.86 38,001.05
9/30/2009 51,332.64 41,450.42
10/31/2009 51,273.88 41,501.69
11/30/2009 54,270.97 43,284.42
2010 12/31/2009 57,262.50 44,993.77
1/31/2010 54,726.67 42,484.38
2/28/2010 55,670.24 42,633.91
3/31/2010 60,424.43 46,075.86
4/30/2010 61,398.07 46,634.07
5/31/2010 55,202.20 42,532.30
6/30/2010 56,662.30 42,219.64
7/31/2010 61,862.04 45,735.49
8/31/2010 62,159.17 44,847.26
9/30/2010 69,687.49 49,831.12
10/31/2010 72,465.43 51,278.04
11/30/2010 70,493.99 49,924.41
2011 12/31/2010 74,546.80 53,486.99
1/31/2011 71,386.46 52,035.83
2/28/2011 69,279.57 51,550.58
3/31/2011 73,121.55 54,581.43
4/30/2011 76,963.53 56,274.56
5/31/2011 75,197.46 54,798.52
6/30/2011 74,588.07 53,955.51
7/31/2011 75,429.99 53,715.88
8/31/2011 68,258.06 48,915.60
9/30/2011 56,117.74 41,783.97
10/11 10/31/2011 62,300.74 47,318.56
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ------ ----- -----
-14.03% 8.93% 20.07%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
EMERGING MARKETS VALUE PORTFOLIO CLASS R2 VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
JANUARY 29, 2008-OCTOBER 31, 2011
GROWTH OF $10,000
1/29/2008 $ 9,701 $ 9,881
Emerging Markets MSCI EMERGING
ROUNDED Value Portfolio - MARKETS INDEX
EMKT - 526 Class R2 (NET DIV.)
---------- ----------------- -------------
2008 1/29/2008 10000 10000
1/31/2008 10,050.00 9870.58027
2/29/2008 10,450.00 10599.15142
3/31/2008 10,097.25 10038.25207
4/30/2008 10,871.65 10852.89349
5/31/2008 10,962.16 11054.22933
6/30/2008 9,676.85 9951.708695
7/31/2008 9,488.75 9576.329254
8/31/2008 8,673.64 8811.436588
9/30/2008 7,173.75 7269.405686
10/31/2008 4,948.91 5279.926857
11/30/2008 4,569.06 4882.469938
2009 12/31/2008 5,120.19 5263.282373
1/31/2009 4,674.95 4923.376446
2/28/2009 4,261.52 4645.638757
3/31/2009 5,001.60 5313.24974
4/30/2009 5,995.51 6197.428705
5/31/2009 7,342.09 7256.357709
6/30/2009 7,240.74 7158.611225
7/31/2009 8,197.07 7963.581949
8/31/2009 8,265.38 7935.072512
9/30/2009 9,034.99 8655.340231
10/31/2009 8,823.23 8666.046642
11/30/2009 9,387.92 9038.301585
2010 12/31/2009 9,846.64 9395.234966
1/31/2010 9,296.82 8871.243377
2/28/2010 9,346.81 8902.467765
3/31/2010 10,146.53 9621.187789
4/30/2010 10,246.50 9737.748454
5/31/2010 9,146.88 8881.249686
6/30/2010 9,198.59 8815.963772
7/31/2010 10,085.20 9550.114665
8/31/2010 9,863.54 9364.642471
9/30/2010 11,031.37 10405.33035
10/31/2010 11,444.31 10707.46493
11/30/2010 11,031.37 10424.81085
2011 12/31/2010 11,960.04 11168.72023
1/31/2011 11,583.09 10865.70006
2/28/2011 11,391.30 10764.3747
3/31/2011 12,042.71 11397.25281
4/30/2011 12,465.95 11750.79802
5/31/2011 11,989.80 11442.58284
6/30/2011 11,738.47 11266.55355
7/31/2011 11,638.91 11216.51417
8/31/2011 10,454.11 10214.1596
9/30/2011 8,577.42 8724.991068
10/11 10/31/2011 9,700.58 9880.678991
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 1/29/2008
-------------- ------ ---------
-15.24% -0.81%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EMERGING MARKETS VALUE PORTFOLIO INSTITUTIONAL CLASS VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
10/31/2001
Emerging Markets MSCI EMERGING
ROUNDED Value Portfolio- MARKETS INDEX
EMKT - 95 Institutional Class (NET DIV.)
---------- ------------------- -------------
10/01 10/31/2001 10,000.00 10,000.00
11/30/2001 11,210.11 11,043.27
12/31/2001 11,981.03 11,919.10
1/31/2002 12,932.59 12,321.28
2/28/2002 12,759.58 12,521.02
3/31/2002 13,523.71 13,270.30
4/30/2002 13,898.57 13,355.36
5/31/2002 13,725.56 13,139.34
6/30/2002 12,745.16 12,150.05
7/31/2002 12,240.55 11,221.22
8/31/2002 12,269.38 11,392.69
9/30/2002 10,798.79 10,163.15
10/31/2002 11,260.15 10,823.45
11/30/2002 12,139.62 11,568.33
2003 12/31/2002 11,777.35 11,183.53
1/31/2003 11,954.90 11,134.20
2/28/2003 11,851.33 10,821.37
3/31/2003 11,585.01 10,512.33
4/30/2003 13,108.97 11,447.16
5/31/2003 14,085.48 12,265.59
6/30/2003 14,706.90 12,960.90
7/31/2003 15,047.20 13,766.84
8/31/2003 16,038.51 14,688.09
9/30/2003 16,822.68 14,795.06
10/31/2003 18,317.04 16,053.85
11/30/2003 18,524.18 16,249.19
2004 12/31/2003 20,753.10 17,425.74
1/31/2004 21,322.91 18,034.27
2/29/2004 22,702.45 18,861.27
3/31/2004 22,987.36 19,097.00
4/30/2004 21,367.90 17,533.32
5/31/2004 20,738.11 17,183.53
6/30/2004 21,115.97 17,256.72
7/31/2004 21,387.46 16,940.82
8/31/2004 22,337.68 17,643.35
9/30/2004 23,809.16 18,661.28
10/31/2004 24,552.72 19,107.15
11/30/2004 27,208.30 20,875.96
2005 12/31/2004 28,957.22 21,878.59
1/31/2005 29,432.43 21,934.15
2/28/2005 32,115.07 23,847.87
3/31/2005 29,767.18 22,271.83
4/30/2005 28,707.90 21,673.95
5/31/2005 29,122.40 22,428.37
6/30/2005 30,079.29 23,190.38
7/31/2005 32,267.72 24,811.33
8/31/2005 32,779.90 25,023.81
9/30/2005 35,410.13 27,353.90
10/31/2005 33,195.04 25,566.00
11/30/2005 35,644.11 27,680.93
2006 12/31/2005 37,880.21 29,317.06
1/31/2006 41,499.95 32,591.52
2/28/2006 41,658.71 32,552.84
3/31/2006 43,066.02 32,839.73
4/30/2006 46,821.96 35,178.14
5/31/2006 41,745.07 31,492.44
6/30/2006 41,365.72 31,415.46
7/31/2006 42,342.98 31,865.25
8/31/2006 43,111.98 32,677.19
9/30/2006 43,986.14 32,949.27
10/31/2006 47,038.05 34,513.80
11/30/2006 50,477.49 37,079.37
2007 12/31/2006 52,247.13 38,748.91
1/31/2007 53,050.68 38,331.68
2/28/2007 53,345.87 38,104.17
3/31/2007 56,123.08 39,621.55
4/30/2007 60,594.51 41,455.91
5/31/2007 65,197.46 43,509.21
6/30/2007 67,048.88 45,548.75
7/31/2007 70,225.14 47,952.05
8/31/2007 67,958.74 46,932.97
9/30/2007 74,083.28 52,115.94
10/31/2007 82,211.33 57,927.95
11/30/2007 76,210.87 53,821.63
2008 12/31/2007 76,091.38 54,010.37
1/31/2008 68,514.74 47,270.20
2/29/2008 71,251.22 50,759.33
3/31/2008 68,853.80 48,073.18
4/30/2008 74,163.42 51,974.50
5/31/2008 74,797.15 52,938.69
6/30/2008 66,095.79 47,658.72
7/31/2008 64,798.78 45,861.03
8/31/2008 59,247.56 42,197.96
9/30/2008 49,026.34 34,813.18
10/31/2008 33,801.64 25,285.56
11/30/2008 31,235.09 23,382.14
2009 12/31/2008 35,047.60 25,205.85
1/31/2009 31,884.01 23,578.05
2/28/2009 29,175.32 22,247.96
3/31/2009 34,222.18 25,445.15
4/30/2009 40,950.68 29,679.48
5/31/2009 50,163.55 34,750.69
6/30/2009 49,545.57 34,282.58
7/31/2009 56,189.13 38,137.59
8/31/2009 56,605.66 38,001.05
9/30/2009 61,827.93 41,450.42
10/31/2009 60,365.78 41,501.69
11/30/2009 64,209.14 43,284.42
2010 12/31/2009 67,389.61 44,993.77
1/31/2010 63,552.86 42,484.38
2/28/2010 64,045.85 42,633.91
3/31/2010 69,683.09 46,075.86
4/30/2010 70,133.21 46,634.07
5/31/2010 62,781.22 42,532.30
6/30/2010 63,173.06 42,219.64
7/31/2010 69,018.02 45,735.49
8/31/2010 67,767.07 44,847.26
9/30/2010 75,902.81 49,831.12
10/31/2010 78,500.00 51,278.04
11/30/2010 75,946.10 49,924.41
2011 12/31/2010 82,254.19 53,486.99
1/31/2011 79,683.74 52,035.83
2/28/2011 78,341.65 51,550.58
3/31/2011 82,845.61 54,581.43
4/30/2011 85,802.76 56,274.56
5/31/2011 82,527.15 54,798.52
6/30/2011 80,836.92 53,955.51
7/31/2011 80,151.28 53,715.88
8/31/2011 72,015.02 48,915.60
9/30/2011 59,086.07 41,783.97
10/11 10/31/2011 66,849.04 47,318.56
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ------ ----- -----
-14.84% 7.28% 20.92%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
EMERGING MARKETS CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
APRIL 5, 2005-OCTOBER 31, 2011
GROWTH OF $10,000
4/5/2005
Emerging Markets
Core Equity MSCI EMERGING
ROUNDED Portfolio- MARKETS INDEX
EMGC - 272 Institutional Class (NET DIV.)
---------- ------------------- -------------
04/05 4/5/2005 10,000.00 10,000.00
4/30/2005 9,580.00 9,681.98
5/31/2005 9,720.00 10,018.98
6/30/2005 9,980.46 10,359.38
7/31/2005 10,652.51 11,083.48
8/31/2005 10,762.85 11,178.39
9/30/2005 11,511.37 12,219.27
10/31/2005 10,897.56 11,420.59
11/30/2005 11,611.99 12,365.35
2006 12/31/2005 12,295.12 13,096.23
1/31/2006 13,395.42 14,558.97
2/28/2006 13,415.61 14,541.69
3/31/2006 13,684.43 14,669.84
4/30/2006 14,623.65 15,714.44
5/31/2006 12,987.58 14,068.00
6/30/2006 12,774.97 14,033.61
7/31/2006 13,018.69 14,234.53
8/31/2006 13,333.50 14,597.24
9/30/2006 13,597.96 14,718.78
10/31/2006 14,487.45 15,417.67
11/30/2006 15,489.82 16,563.74
2007 12/31/2006 16,100.27 17,309.54
1/31/2007 16,327.47 17,123.16
2/28/2007 16,203.54 17,021.52
3/31/2007 16,905.80 17,699.35
4/30/2007 18,041.81 18,518.78
5/31/2007 19,353.37 19,436.01
6/30/2007 19,810.95 20,347.09
7/31/2007 20,485.49 21,420.67
8/31/2007 19,956.23 20,965.44
9/30/2007 21,671.05 23,280.73
10/31/2007 23,923.67 25,877.01
11/30/2007 22,181.20 24,042.67
2008 12/31/2007 22,135.55 24,126.99
1/31/2008 19,968.29 21,116.08
2/29/2008 20,620.57 22,674.71
3/31/2008 19,871.14 21,474.78
4/30/2008 21,377.81 23,217.54
5/31/2008 21,472.63 23,648.26
6/30/2008 19,078.76 21,289.64
7/31/2008 18,876.93 20,486.59
8/31/2008 17,623.42 18,850.26
9/30/2008 14,860.95 15,551.40
10/31/2008 10,661.50 11,295.32
11/30/2008 9,949.29 10,445.04
2009 12/31/2008 10,921.92 11,259.71
1/31/2009 9,947.71 10,532.55
2/28/2009 9,276.59 9,938.39
3/31/2009 10,740.54 11,366.61
4/30/2009 12,702.24 13,258.13
5/31/2009 15,205.84 15,523.49
6/30/2009 15,058.12 15,314.38
7/31/2009 16,880.38 17,036.45
8/31/2009 16,945.85 16,975.46
9/30/2009 18,407.63 18,516.33
10/31/2009 18,067.97 18,539.23
11/30/2009 19,174.62 19,335.59
2010 12/31/2009 20,050.08 20,099.18
1/31/2010 18,950.24 18,978.21
2/28/2010 19,159.21 19,045.00
3/31/2010 20,811.52 20,582.56
4/30/2010 21,009.62 20,831.92
5/31/2010 18,973.59 18,999.61
6/30/2010 19,134.07 18,859.95
7/31/2010 20,862.46 20,430.51
8/31/2010 20,585.47 20,033.73
9/30/2010 23,044.98 22,260.07
10/31/2010 23,724.09 22,906.43
11/30/2010 23,089.51 22,301.75
2011 12/31/2010 24,785.44 23,893.19
1/31/2011 24,002.51 23,244.94
2/28/2011 23,588.67 23,028.17
3/31/2011 24,930.85 24,382.09
4/30/2011 25,915.11 25,138.42
5/31/2011 25,199.28 24,479.06
6/30/2011 24,848.79 24,102.48
7/31/2011 24,792.57 23,995.43
8/31/2011 22,555.05 21,851.10
9/30/2011 18,823.01 18,665.33
10/11 10/31/2011 21,212.69 21,137.69
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 4/5/2005
-------------- ------ ----- --------
-10.59% 7.92% 12.12%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
12
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011
The year ending October 31, 2011, was a relatively volatile period for U.S.
equities. Broad market returns were positive with the Russell 3000(R) Index
returning 7.90%. Small cap stocks, represented by the Russell 2000(R) Index,
underperformed large cap stocks, represented by the Russell 1000(R) Index.
Small cap value stocks, represented by the Russell 2000(R) Value Index,
underperformed small cap growth stocks, represented by the Russell 2000(R)
Growth Index. Large cap value stocks, represented by the Russell 1000(R) Value
Index, underperformed large cap growth stocks, represented by the Russell
1000(R) Growth Index
The broad market, as represented by the Russell 3000(R) Index, had a
positive return in each of the six months through April 2011. Monthly
performance turned negative in May and continued through the third quarter,
although total returns remained positive through August largely due to gains
over the first half of the period. Sharp declines through September brought
calendar year to date total returns across all market segments into negative
territory. Double-digit gains in October helped all the market segments post
positive total returns for the twelve-month period.
Among the most important factors explaining differences in the behavior of
diversified equity portfolios are the company size and company value/growth
characteristics of the portfolios' holdings. Size is measured by market
capitalization and value classification is a function of stock price relative
to one or more fundamental characteristics. Compared to other stocks, value
stocks often have lower market value relative to their earnings, dividends, and
book value.
Dividing the market into micro cap, small cap, and large cap segments shows
how these segments affected the broad market return.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011
Russell 3000(R) Index........................ 7.90%
Russell Microcap(R) Index (micro cap stocks). 2.11%
Russell 2000(R) Index (small cap stocks)..... 6.71%
Russell 1000(R) Index (large cap stocks)..... 8.01%
Further dividing small cap and large cap into value and growth segments
shows additional detail in the performance differences over the period.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011
Russell 2000(R) Value Index (small cap value stocks)... 3.54%
Russell 2000(R) Growth Index (small cap growth stocks). 9.84%
Russell 1000(R) Value Index (large cap value stocks)... 6.16%
Russell 1000(R) Growth Index (large cap growth stocks). 9.92%
--------
Source: Russell data copyright (C) Russell Investment Group 1995-2011, all
rights reserved.
Differences in returns for the various Dimensional U.S. equity funds over
the 12 months ended October 31, 2011 were attributable primarily to differences
in value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios, except for the DFA Real Estate
Securities Portfolio and the U.S. Large Company Portfolio. Moreover, the
portfolio construction approach used by Dimensional Fund Advisors LP (the
"Advisor" or "Dimensional") generally resulted in portfolios with greater
emphasis on value or small company characteristics relative to widely used
index benchmarks.
13
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
ENHANCED U.S. LARGE COMPANY PORTFOLIO
The Enhanced U.S. Large Company Portfolio seeks to outperform the total
return of the S&P 500(R) Index. This strategy combines investment in
high-grade, short-term fixed income instruments with an overlay of S&P 500(R)
Index futures contracts, swaps, and/or ETFs. For the 12 months ended
October 31, 2011, approximately 97% of the equity exposure consisted of S&P
500(R) Index futures contracts. ETFs accounted for the remaining exposure. The
behavior of S&P 500(R) Index futures contracts and ETFs linked to the S&P
500(R) Index is determined principally by the performance of the S&P 500(R)
Index.
For the 12 months ended October 31, 2011, the total return was 8.41% for the
Portfolio and 8.09% for the S&P 500(R) Index. Relative to the Index, the
Portfolio's outperformance was primarily due to the fixed income component of
the Portfolio exceeding the interest rate embedded in the Portfolio's S&P
500(R) futures contracts. The Portfolio's concentration in government agency
and corporate fixed income securities with maturities between one and two years
had the most significant contribution to the outperformance. As interest rates
declined during the period, these securities generated a positive return,
adding to the positive return of the S&P 500(R) Index.
U.S. LARGE CAP VALUE PORTFOLIO
The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S.
large company value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund that invests in such stocks. The investment strategy is
process driven, emphasizing broad diversification and consistent exposure to
large cap value stocks, and does not attempt to closely track a specific equity
index. As of October 31, 2011, the Master Fund held approximately 220
securities and was mostly invested in equities throughout the year. The average
cash level for the period was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2011, total returns were 5.53% for the
Portfolio and 6.16% for the Russell 1000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market rather than
the behavior of a limited number of stocks. As indicated by the Russell
benchmarks, growth stocks outperformed value stocks in the U.S. during the
year. The Master Fund's higher allocation to the deepest value stocks, which
significantly underperformed, was a contributor to its relative
underperformance compared to the Index. Dimensional's U.S. value strategies
exclude REITS and highly regulated utilities, two sectors that performed well
during this period. In addition to the higher allocation to the deepest value
stocks, these exclusions were drivers of underperformance relative to the
Russell 1000(R) Value Index.
U.S. TARGETED VALUE PORTFOLIO
The U.S. Targeted Value Portfolio seeks to capture the returns of U.S.
small- and mid-capitalization value stocks. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to small and mid cap value
stocks, and does not attempt to closely track a specific equity index. As of
October 31, 2011, the Portfolio held approximately 1,500 securities, and was
mostly invested in equities throughout the year. The average cash level for the
period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were 4.69% for the
Portfolio's Class R1 shares, 4.50% for the Portfolio's Class R2 shares, 4.76%
for the Portfolio's Institutional Class shares, and 3.54% for the Russell
2000(R) Value Index. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad structural trends in
the U.S. equity market, rather than the behavior of a limited number of stocks.
As indicated by the Russell benchmarks, over the period large cap stocks
outperformed small cap stocks in the U.S. and growth stocks outperformed value
stocks in the U.S. The Portfolio had a greater allocation than
14
the Index to mid cap stocks and a lower allocation to micro cap stocks. The
Portfolio also had a greater allocation than the Index to deep value stocks
which performed well compared to the overall Index. These differences were the
primary drivers of relative outperformance. Dimensional's U.S. value strategies
exclude REITS and highly regulated utilities. REITs were among the lower
performing sectors in small cap stocks, and their exclusion from the Portfolio
contributed to the outperformance.
U.S. SMALL CAP VALUE PORTFOLIO
The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S.
small company value stocks, as measured primarily by book-to-market ratio. The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure to small company and value stocks, and does not attempt to
closely track a specific index. As of October 31, 2011, the Portfolio held
approximately 1,400 securities and was mostly invested in equities throughout
the year. The average cash level for the period was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were 5.13% for the
Portfolio and 3.54% for the Russell 2000(R) Value Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. As indicated by the Russell
benchmarks, growth stocks outperformed value stocks in the U.S. over the
period. The Portfolio had a slightly lower allocation than the Index to larger
small cap stocks and a slightly higher allocation to micro cap stocks which
created differences in the specific mix and weighting of those stocks compared
to the Index. The Portfolio had a greater allocation than the Index to deep
value stocks which performed relatively well compared to the overall Index.
These differences were the primary drivers of relative outperformance.
Dimensional's U.S. value strategies exclude REITS and highly regulated
utilities. REITs were among the lower performing sectors in small cap stocks,
and their exclusion from the Portfolio contributed to the outperformance.
U.S. CORE EQUITY 1 PORTFOLIO
The U.S. Core Equity 1 Portfolio seeks to capture the returns of the total
U.S. market universe, with increased exposure to smaller company stocks and
stocks with deeper value characteristics, than the U.S. market as a whole. The
investment strategy is process driven, emphasizing broad diversification and
comprehensive exposure to U.S. stocks, and does not attempt to closely track a
specific equity index. As of October 31, 2011, the Portfolio held approximately
3,200 securities and was mostly invested in equities throughout the year. The
average cash level for the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were 7.47% for the
Portfolio and 7.90% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. As indicated by the Russell
benchmarks, over the period growth stocks outperformed value stocks in the U.S.
and large cap stocks outperformed small cap stocks in the U.S. The Portfolio
had a lower allocation than the Index to growth stocks and a greater allocation
to the deepest value stocks. The Portfolio also had a lower allocation than the
Index to large cap stocks, which created differences in the specific mix and
weighting of those stocks compared to the Index. These differences were the
primary drivers of relative underperformance as compared to the Index.
Dimensional's U.S. core equity strategies exclude REITs, a sector that
performed well over the period. This exclusion also contributed to
underperformance relative to the Index.
U.S. CORE EQUITY 2 PORTFOLIO
The U.S. Core Equity 2 Portfolio seeks to capture the returns of the total
U.S. market universe, with increased exposure to smaller company stocks and
stocks with deeper value characteristics, than the U.S. Core Equity 1 Portfolio
and the U.S. market as a whole. The investment strategy is process driven,
emphasizing broad diversification and comprehensive exposure to U.S. stocks,
and does not attempt to closely track a specific equity index. As of
October 31, 2011, the Portfolio held approximately 3,300 securities and was
mostly invested in equities throughout the year. The average cash level for the
period was less than 1% of the Portfolio's assets.
15
For the 12 months ended October 31, 2011, total returns were 6.98% for the
Portfolio and 7.90% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. As indicated by the Russell
benchmarks, over the period growth stocks outperformed value stocks in the U.S.
and large cap stocks outperformed small cap stocks in the U.S. The Portfolio
had a lower allocation than the Index to growth stocks and a greater allocation
to the deepest value stocks. The Portfolio also had a lower allocation than the
Index to large cap stocks, which created differences in the specific mix and
weighting of those stocks compared to the Index. These differences were the
primary drivers of relative underperformance as compared to the Index.
Dimensional's U.S. core equity strategies exclude REITs, a sector that
performed well over the period. This exclusion also contributed to
underperformance relative to the Index.
U.S. VECTOR EQUITY PORTFOLIO
The U.S. Vector Equity Portfolio seeks to capture the returns of a broadly
diversified basket of U.S. stocks with increased exposure to smaller company
stocks and stocks with deeper value characteristics. The investment strategy is
process driven, emphasizing broad diversification, and does not attempt to
closely track a specific equity index. As of October 31, 2011, the Portfolio
held approximately 3,100 securities and was mostly invested in equities
throughout the year. The average cash level for the period was less than 1% of
the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were 5.86% for the
Portfolio and 7.97% for the Russell 2500(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. As indicated by the Russell
benchmarks, over the period growth stocks outperformed value stocks in the U.S.
and large cap stocks outperformed small cap stocks in the U.S. The Portfolio's
lower allocation than the Index to growth stocks and greater allocation to the
deepest value stocks were the primary drivers of relative underperformance. The
Portfolio excludes REITs, a sector that performed well over the period. This
exclusion also contributed to underperformance relative to the Index.
U.S. SMALL CAP PORTFOLIO
The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small
company stocks. The investment strategy is process driven, emphasizing broad
diversification and consistent exposure to small company stocks, and does not
attempt to closely track a specific equity index. As of October 31, 2011, the
Portfolio held approximately 2,500 securities and was mostly invested in
equities throughout the year. The average cash level for the period was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were 8.76% for the
Portfolio and 6.71% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had a greater
allocation than the Index to micro cap stocks which created differences in the
specific mix and weighting of stocks compared to the Index. These differences
were the primary drivers of relative outperformance. Dimensional's small cap
strategies exclude REITs which were among the lower performing sectors in small
cap stocks. This exclusion also contributed to the outperformance as compared
to the Index.
U.S. MICRO CAP PORTFOLIO
The U.S. Micro Cap Portfolio seeks to capture the returns of very small U.S.
company stocks. The investment strategy is process driven, emphasizing broad
diversification and consistent exposure to very small company stocks, and does
not attempt to closely track a specific equity index. As of October 31, 2011,
the Portfolio held approximately 2,150 securities and was mostly invested in
equities throughout the year. The average cash level for the period was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were 8.85% for the
Portfolio and 6.71% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. As indicated by the Russell
benchmarks, large cap stocks outperformed small cap stocks in the U.S over the
16
period. The Portfolio had a much greater allocation than the Index to micro cap
stocks which created differences in the specific mix and weighting of those
stocks compared to the Index. These differences were the primary drivers of
relative outperformance as compared to the Index. Dimensional's micro cap
strategies exclude REITs which were among the lower performing sectors in micro
cap stocks. This exclusion also contributed to the outperformance as compared
to the Index.
DFA REAL ESTATE SECURITIES PORTFOLIO
The DFA Real Estate Securities Portfolio is designed to capture the returns
of a broadly diversified portfolio of real estate securities (e.g., REITs), but
does not attempt to closely track a specific index. As of October 31, 2011, the
Portfolio held approximately 115 REITs and was mostly invested in equities
throughout the year. The average cash level for the period was less than 1% of
the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were 11.09% for the
Portfolio, 11.67% for the Dow Jones U.S. Select REIT Index/SM/, and 8.09% for
the S&P 500(R) Index. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad structural trends in
the U.S. real estate securities market rather than the behavior of a limited
number of stocks. The Portfolio's greater allocation to smaller REITs than the
Dow Jones U.S. Select REIT IndexSM contributed to the underperformance. Small
REITs generally underperformed the broader Index.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011
The one-year period ending October 31, 2011, was characterized by levels of
volatility in non-US developed markets not seen since 2008-09.
While broad market returns were positive through April 2011, stocks dropped
for five out of the next six months to end the period in negative territory,
with stocks represented by the MSCI World ex USA Index (net dividends)
returning -3.70% overall. The slide in August and September, accompanied by
poor US economic data and European debt worries among other factors, produced
some of the lowest monthly returns since 2008. October's rally produced some of
the best monthly returns since early 2009. As measured by the MSCI indices
below, growth stocks outperformed their value counterparts, while small cap
stocks outperformed large caps.
12 MONTHS ENDED OCTOBER 31, 2011
U.S.
DOLLAR
RETURN
------
MSCI World ex USA Index................. -3.70%
MSCI World ex USA Small Cap Index....... -2.01%
MSCI World ex USA Value Index........... -4.74%
MSCI World ex USA Growth Index.......... -2.73%
--------
The US dollar (USD) generally depreciated against other major developed markets
currencies during the period. While the USD's value remained relatively
constant against the euro and British pound, it fell significantly against the
Swiss franc and Australian dollar, and to a lesser extent, against the Japanese
yen.
12 MONTHS ENDED OCTOBER 31, 2011
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP RETURN RETURN
--------------------------------------------------- -------- -----------
United Kingdom......................................... 1.14% 2.10%
Japan.................................................. -5.45% -2.33%
Canada................................................. -2.57% -0.18%
France................................................. -11.83% -11.52%
Australia.............................................. -4.39% 3.49%
Switzerland............................................ -9.66% 2.03%
17
12 MONTHS ENDED OCTOBER 31, 2011
LOCAL
CURRENCY U.S. DOLLAR
Ten Largest Foreign Developed Markets by Market Cap RETURN RETURN
--------------------------------------------------- -------- -----------
Germany................................................ -7.39% -7.07%
Spain.................................................. -15.21% -14.91%
Sweden................................................. -7.75% -4.35%
Hong Kong.............................................. -8.67% -8.82%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2011, all rights reserved.
Losses in emerging markets were higher on average than in developed markets,
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2011, returns in USD were -7.72% for
the MSCI Emerging Markets Index (net dividends) versus -3.70% for the MSCI
World ex USA Index (net dividends). As measured by the MSCI indices, emerging
markets growth stocks underperformed their value counterparts, while emerging
markets small cap stocks underperformed large caps.
12 MONTHS ENDED OCTOBER 31, 2011
U.S. DOLLAR
RETURN
-----------
MSCI Emerging Markets Index........... -7.72%
MSCI Emerging Markets Small Cap Index. -16.70%
MSCI Emerging Markets Value Index..... -6.99%
MSCI Emerging Markets Growth Index.... -8.45%
The US dollar (USD) generally appreciated against most major emerging
markets currencies during the period.
12 MONTHS ENDED OCTOBER 31, 2011
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN
------------------------------------------ -------- -----------
China............................................. -15.62% -15.76%
Brazil............................................ -12.71% -12.57%
South Korea....................................... 4.63% 6.24%
Taiwan............................................ -5.30% -3.07%
South Africa...................................... 10.15% -2.95%
India............................................. -12.30% -19.99%
Russia............................................ -1.24% 0.22%
Mexico............................................ 5.26% -1.38%
Malaysia.......................................... 2.08% 3.53%
Indonesia......................................... 3.92% 4.92%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2011, all rights reserved.
GLOBAL REIT MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011
The publicly-traded global REIT market experienced significant levels of
volatility during the one-year period ended October 31, 2011. While the REIT
market generally rose through July 2011, it fell substantially in August and
September, culminating in its lows of the period at the end of September. The
market then turned sharply higher in October and generally rose throughout the
month.
18
Over the course of the period, there was a wide degree of dispersion in
country-level returns within the S&P Global REIT Index. REITs in continental
Europe significantly underperformed amid concerns over European debt,
particularly in Greece and Italy. On the other hand, REITs in Canada, the US
and Australia outperformed. On a sector basis, residential REITs significantly
outperformed the index, while diversified, office and industrial REITs were
relative underperformers.
12 MONTHS ENDED OCTOBER 31, 2011
U.S.
DOLLAR
RETURN
------
S&P Global ex U.S. REIT Index (net dividends). -0.08%
S&P Global REIT Index (net dividends)......... 5.31%
--------
Source: Standard and Poor's. Copyright S&P, 2011. All rights reserved.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called a "Master Fund." The Master Funds, in turn, purchase
stocks and/or other securities.
LARGE CAP INTERNATIONAL PORTFOLIO
The Large Cap International Portfolio seeks to capture the returns of a
broadly diversified basket of international large company stocks. The
investment strategy is process driven, emphasizing broad diversification, and
does not attempt to track a specific equity index. As of October 31, 2011, the
Portfolio held approximately 1,350 securities in 23 developed markets. In
general, the Portfolio was mostly invested in equities throughout the year. The
average cash level for the period was less than 1% of the Portfolio's assets.
As a result of the Portfolio's diversified investment approach, performance
was determined principally by broad structural trends in the international
equity markets rather than by the behavior of a limited number of stocks. For
the 12 months ended October 31, 2011, total returns were -4.86% for the
Portfolio and -3.70% for the MSCI World ex USA Index (net dividends). The
majority of the Portfolio's relative underperformance was attributable to
differences in the valuation timing and methodology between the Portfolio and
the Index. The Portfolio prices foreign exchange rates at the closing of the
U.S. markets, while the Index uses rates at 4 pm London time. The Portfolio
utilizes fair value pricing to price portfolio securities at the closing of the
U.S. markets, while the Index uses local market closing prices.
INTERNATIONAL CORE EQUITY PORTFOLIO
The International Core Equity Portfolio seeks to capture the returns of a
broadly diversified basket of international stocks, with increased exposure to
smaller company stocks and those with deeper value characteristics. The
investment strategy is process driven, emphasizing broad diversification, and
does not attempt to track a specific equity index. As of October 31, 2011, the
Portfolio held approximately 5,300 securities in 23 developed markets. In
general, the Portfolio was mostly invested in equities throughout the year. The
average cash level for the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were -5.49% for the
Portfolio and -3.70% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in the international equity
markets rather than by the behavior of a limited number of stocks. The MSCI
Standard benchmarks indicate that on the whole, growth stocks outperformed
value stocks in international developed markets during the period. In
particular, there was an extremely wide performance difference between deep
value stocks and extreme growth stocks. The Portfolio's higher allocation than
the Index to deep value stocks was the primary source of the Portfolio's
relative underperformance. The time of valuation of currency and fair valuation
adjustments can create differences between the performance of the Portfolio and
the Index.
19
INTERNATIONAL SMALL COMPANY PORTFOLIO
The International Small Company Portfolio seeks to capture the returns of
international small company stocks by purchasing shares of five Master Funds
that invest individually in Canada, the United Kingdom, Continental Europe
(including Israel and excluding the U.K.), Japan, and the Asia Pacific. The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure to small company stocks, and does not attempt to track a
specific equity index. As of October 31, 2011, the Master Funds collectively
held approximately 4,800 securities in 23 developed market countries. In
general, the Portfolio was mostly invested in the Master Funds throughout the
year. The combined average cash level for the period was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were -2.92% for the
Portfolio and -2.01% for the MSCI World ex USA Small Cap Index (net dividends).
As a result of each Master Fund's diversified investment approach, the
Portfolio's performance was determined principally by broad structural trends
in international equity markets rather than the behavior of a limited number of
stocks. In general, international small cap stocks outperformed international
mid cap and large cap stocks over the period. The Portfolio's relative
underperformance as compared to the Index, was primarily attributable to
differences in the valuation timing and methodology between the Master Funds
(other than the Master Fund for Canadian small cap securities) and the Index.
The Master Funds price foreign exchange rates at the closing of the U.S.
markets while the Index uses rates at 4 pm London time. The Master Funds (other
than the Master Fund for Canadian small cap securities) also utilize fair value
pricing to price portfolio securities at the closing of the U.S. markets while
the Index uses local market closing prices.
JAPANESE SMALL COMPANY PORTFOLIO
The Japanese Small Company Portfolio seeks to capture the returns of
Japanese small company stocks by purchasing shares of The Japanese Small
Company Series, a Master Fund that invests in such securities. The investment
strategy is process driven, emphasizing broad diversification and consistent
exposure to small company stocks, and does not attempt to track a specific
equity index. As of October 31, 2011, the Master Fund held approximately 1,400
securities. In general, the Master Fund was mostly invested in equities
throughout the year. The average cash level for the period was less than 1% of
the Master Fund's assets.
For the 12 months ended October 31, 2011, total returns were 9.57% for the
Portfolio and 9.17% for the MSCI Japan Small Cap Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
determined principally by broad structural trends in the Japanese equity
market, rather than the behavior of a limited number of stocks. In general,
Japanese small cap stocks significantly outperformed Japanese mid cap and large
cap stocks over the period. In particular, the smallest Japanese stocks
outperformed all other market capitalizations. The series has a higher
allocation to the smallest market capitalization segment than the Index, which
contributed significantly to the Portfolio's relative outperformance. The
positive contribution from size allocation differences was partially offset by
differences in the valuation timing and methodology between the Master Fund and
the Index. The Master Fund prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Master Fund
utilizes fair value pricing to price portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
ASIA PACIFIC SMALL COMPANY PORTFOLIO
The Asia Pacific Small Company Portfolio seeks to capture the returns of
small company stocks in Australia, Hong Kong, New Zealand, and Singapore, by
purchasing shares of The Asia Pacific Small Company Series, a Master Fund that
invests in such securities. The investment strategy is process driven,
emphasizing broad diversification and consistent exposure to small company
stocks, and does not attempt to track a specific equity index. As of
October 31, 2011, the Master Fund held approximately 1,100 securities across
the eligible countries. In general, the Master Fund was mostly invested in
equities during the period. The average cash level for the period was less than
1% of the Master Fund's assets.
For the 12 months ended October 31, 2011, total returns were -5.59% for the
Portfolio and -3.65% for the MSCI Pacific ex Japan Small Cap Index (net
dividends). As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in Asia
Pacific equity markets rather
20
than the behavior of a limited number of stocks. In general, Asia Pacific small
cap stocks underperformed Asia Pacific mid cap and large cap stocks over the
period. In particular, micro cap stocks in Hong Kong and Singapore did
especially poorly. Relative to the Index, the Master Fund's greater allocation
to the smallest stocks had a significant negative impact on the Portfolio's
relative performance. The Portfolio's relative underperformance was also
affected by differences in the valuation timing and methodology between the
Master Fund and the Index. The Master Fund prices foreign exchange rates at the
closing of the U.S. markets while the Index uses rates at 4 pm London time. The
Master Fund utilizes fair value pricing to price portfolio securities at the
closing of the U.S. markets while the Index uses local market closing prices.
UNITED KINGDOM SMALL COMPANY PORTFOLIO
The United Kingdom Small Company Portfolio seeks to capture the returns of
U.K. small company stocks by purchasing shares of The United Kingdom Small
Company Series, a Master Fund that invests in such securities. The investment
strategy is process driven, emphasizing broad diversification and consistent
exposure to small company stocks, and does not attempt to track a specific
equity index. As of October 31, 2011, the Master Fund held approximately 375
securities. In general, the Master Fund was mostly invested in equities
throughout the year. The average cash level for the period was less than 1% of
the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the U.K.
equity market, rather than the behavior of a limited number of stocks. For the
12 months ended October 31, 2011, total returns were -0.28% for the Portfolio
and -0.22% for the MSCI UK Small Cap Index (net dividends). One of the primary
contributors to the Portfolio's performance relative to the Index was the
Master Fund's exclusion of securities traded on the AIM segment of the London
Stock Exchange. The Index includes these securities, which significantly
underperformed, contributing to the Portfolio's relative performance. The
impact of the foregoing contributors to relative performance was offset by
differences in the valuation timing and methodology between the Master Fund and
the Index. The Master Fund prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Master Fund
utilizes fair value pricing to price portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
CONTINENTAL SMALL COMPANY PORTFOLIO
The Continental Small Company Portfolio seeks to capture the returns of
small company stocks in developed markets of Europe (excluding the U.K.) and
Israel, by purchasing shares of The Continental Small Company Series, a Master
Fund that invests in such securities. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to small
company stocks, and does not attempt to track a specific equity index. As of
October 31, 2011, the Master Fund held approximately 1,500 securities in 15
developed continental European countries and Israel. Country allocations
generally reflect the approximate weights of individual securities within a
universe of continental European and Israeli small company stocks constructed
by the Advisor. In general, the Master Fund was mostly invested in equities
throughout the year. The average cash level for the period was less than 1% of
the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the
continental European (excluding the U.K.) and Israeli equity markets, rather
than the behavior of a limited number of stocks. For the 12 months ended
October 31, 2011, total returns were -11.09% for the Portfolio and -10.54% for
the MSCI Europe ex UK Small Cap Index (net dividends). The Portfolio's
underperformance was primarily attributable to differences in the valuation
timing and methodology between the Master Fund and the Index. The Master Fund
prices foreign exchange rates at the closing of the U.S. markets while the
Index uses rates at 4 pm London time. The Master Fund utilizes fair value
pricing to price portfolio securities at the closing of the U.S. markets while
the Index uses local market closing prices.
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
The DFA International Real Estate Securities Portfolio is designed to
capture the returns of a broadly diversified portfolio of real estate
securities in international markets, but does not attempt to track a specific
index. As of
21
October 31, 2011, the Portfolio held approximately 200 securities in 19
developed and emerging market countries. In general, the Portfolio was mostly
invested in equities throughout the year. The average cash level for the period
was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were -0.43% for the
Portfolio and -0.08% for the S&P Global ex US REIT Index (net dividends). As a
result of the Portfolio's diversified approach, performance was determined
principally by structural trends in international real estate securities
markets rather than the behavior of a limited number of stocks. Relative to the
Index, the vast majority of the Portfolio's relative underperformance was
attributable to differences in the valuation timing and methodology between the
Portfolio and the Index. The Portfolio prices foreign exchange rates at the
closing of the U.S. markets while the Index uses rates at 4 pm London time. The
Portfolio utilizes fair value pricing to price portfolio securities at the
closing of the U.S. markets while the Index uses local market closing prices.
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
The DFA Global Real Estate Securities Portfolio, a fund of funds, is
designed to capture the returns of a broadly diversified portfolio of real
estate securities in U.S. and international markets, but does not attempt to
track a specific index. As of October 31, 2011, the Portfolio invested in the
DFA International Real Estate Securities Portfolio and the DFA Real Estate
Securities Portfolio. As of October 31, 2011, the Portfolio held approximately
310 securities, through its underlying funds, in 20 developed and emerging
markets countries. In general, the Portfolio was mostly invested in equities
throughout the year. The average cash level for the period was less than 1% of
the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were 6.17% for the
Portfolio and 5.31% for the S&P Global REIT Index (net dividends). As a result
of the Portfolio's diversified approach, performance was principally determined
by structural trends in global real estate securities markets rather than the
behavior of a limited number of stocks. Relative to the Index, most of the
Portfolio's relative outperformance was attributable to differences between the
Index's assumed withholding tax rates and the Portfolio's actual withholding
tax rates as the Index assumes a higher witholding tax rate than is actually
applied to the Portfolio. The time of valuation of currency and fair valuation
adjustments can create differences between the performance of the Portfolio and
the Index.
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
The DFA International Small Cap Value Portfolio seeks to capture the returns
of international small company value stocks. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to small
company value stocks, and does not attempt to track a specific equity index. As
of October 31, 2011, the Portfolio held approximately 2,200 securities in 23
developed market countries. In general, the Portfolio was mostly invested in
equities throughout the year. The average cash level for the period was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were -4.39% for the
Portfolio and -2.01% for the MSCI World ex USA Small Cap Index (net dividends).
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in international equity
markets rather than the behavior of a limited number of stocks. In general,
international small cap growth stocks outperformed international small cap
value stocks over the period. The Portfolio's larger allocation to
international small cap value stocks, which underperformed, and significantly
lower allocation to international small cap growth stocks, which outperformed,
were the primary contributors to the Portfolio's relative underperformance as
compared to the Index. The Portfolio's relative underperformance was also
affected by differences in the valuation timing and methodology between the
Portfolio and the Index. The Portfolio prices foreign exchange rates at the
closing of the U.S. markets while the Index uses rates at 4 pm London time. The
Portfolio utilizes fair value pricing to price portfolio securities at the
closing of the U.S. markets while the Index uses local market closing prices.
INTERNATIONAL VECTOR EQUITY PORTFOLIO
The International Vector Equity Portfolio seeks to capture the returns of a
broadly diversified basket of international stocks, with increased exposure to
smaller company stocks and those with deeper value characteristics
22
than the International Core Equity Portfolio. The investment strategy is
process driven, emphasizing broad diversification, and does not attempt to
track a specific equity index. As of October 31, 2011, the Portfolio held
approximately 4,000 securities in 23 developed markets. In general, the
Portfolio was mostly invested in equities throughout the year. The average cash
level for the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were -5.99% for the
Portfolio and -3.70% for the MSCI World ex US Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in the international equity
markets rather than by the behavior of a limited number of stocks. The MSCI
Standard benchmarks indicate that on the whole, growth stocks outperformed
value stocks in international developed markets during the period. In
particular, there was an extremely wide performance difference between deep
value stocks and extreme growth stocks. The Portfolio's higher allocation than
the Index to deep value stocks was the primary source of the Portfolio's
relative underperformance. The time of valuation of currency and fair valuation
adjustments can create differences between the performance of the Portfolio and
the Index.
WORLD EX U.S. VALUE PORTFOLIO
The World ex US Value Portfolio seeks to capture the returns of value stocks
across all market capitalizations in international developed and emerging
markets by purchasing shares of three funds managed by Dimensional Fund
Advisors LP: The DFA International Value Series, DFA International Small Cap
Value Portfolio, and Dimensional Emerging Markets Value Fund (the "Underlying
Funds"). The investment strategy is process driven, emphasizing broad
diversification and consistent exposure to value stocks, and does not attempt
to track a specific equity index. As of October 31, 2011, the Underlying Funds
collectively held approximately 4,800 securities. In general, the Portfolio was
mostly invested in equities. The average cash level for the period was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, total returns were -9.59% for the
Portfolio and -4.66% for the MSCI All Country World ex USA Index (net
dividends). As a result of the Underlying Funds' diversified investment
approach, performance was determined principally by broad structural trends in
the international and emerging equity markets rather than the behavior of a
limited number of stocks. The MSCI Standard benchmarks indicate that on the
whole, growth stocks outperformed value stocks outside the US during the
period. In particular, there was an extremely wide performance difference
between deep value stocks and extreme growth stocks. The Underlying Funds'
higher allocation than the Index to deep value stocks was the primary source of
the Portfolio's relative underperformance. The time of valuation of currency
and fair valuation adjustments can create differences between the performance
of the Portfolio and the Index.
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio seeks to capture the returns of large cap
stocks in selected emerging markets countries by purchasing shares of The
Emerging Markets Series, a Master Fund that invests in such securities. The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure to large cap emerging markets stocks, and does not attempt
to track a specific equity index. As of October 31, 2011, the Master Fund held
approximately 850 securities across 20 emerging markets. In general, the
Portfolio was mostly invested in equities throughout the year. The average cash
level for the period was less than 1% of the Portfolio's assets. The Master
Fund's country weights were capped at 15% of assets associated with any one
country at the time of purchase by the manager to limit single-country risk
exposure.
For the 12 months ended October 31, 2011, total returns were -6.82% for the
Portfolio and -7.72% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Portfolio's relative outperformance was
primarily due to differences in country weight allocations and in the
composition of the Master Fund's holdings relative to the Index. In particular,
the Master Fund's lower weight in China, which underperformed, contributed
significantly to the Portfolio's relative outperformance. The time of valuation
of currency and fair valuation adjustments can create differences between the
performance of the Portfolio and the Index.
23
EMERGING MARKETS SMALL CAP PORTFOLIO
The Emerging Markets Small Cap Portfolio seeks to capture the returns of
small company stocks in selected emerging markets by purchasing shares of the
Emerging Markets Small Cap Series, a Master Fund that invests in such
securities. The Master Fund's investment strategy is process driven,
emphasizing broad diversification and consistent exposure to small company
stocks in selected emerging markets, and does not attempt to track a specific
equity index. As of October 31, 2011, the Master Fund held approximately 2,550
securities across 15 emerging markets. In general, the Master Fund was mostly
invested in equities throughout the year. The average cash level for the period
was less than 1% of the Master Fund's assets. The Master Fund's country weights
were capped at 15% of assets associated with any one country upon purchase by
the manager to limit single-country risk exposure.
For the 12 months ended October 31, 2011, total returns were -14.03% for the
Portfolio and -7.72% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Portfolio's underperformance was primarily due
to emerging markets small cap stocks underperforming their large cap
counterparts during the period. The Master Fund holds primarily small cap
stocks, whereas the Index generally holds large cap and midcap stocks. To a
lesser extent, an additional component of the Portfolio's performance was due
to differences in valuation timing and methodology between the Master Fund and
the Index. The Master Fund prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Master Fund
utilizes fair value pricing to price portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
EMERGING MARKETS VALUE PORTFOLIO
The Emerging Markets Value Portfolio seeks to capture the returns of large
and small cap value stocks in selected emerging markets countries by purchasing
shares of the Dimensional Emerging Markets Value Fund, a Master Fund that
invests in such securities. The investment strategy is process driven,
emphasizing broad diversification and consistent exposure to emerging markets
value stocks, and does not attempt to track a specific equity index. As of
October 31, 2011, the Master Fund held approximately 2,150 securities across 17
emerging markets. In general, the Portfolio was mostly invested in equities
throughout the year. The average cash level for the period was less than 1% of
the Portfolio's assets. The Master Fund's country weights were capped at 15% of
assets associated with any one country at the time of purchase by the manager
to limit single-country risk exposure.
For the 12 months ended October 31, 2011, total returns were -15.24% for the
Portfolio's Class R2 shares, -14.84% for the Portfolio's Institutional Class
shares, and -7.72% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
generally determined by broad structural trends in emerging markets rather than
the behavior of a limited number of stocks. The Master Fund's relative
underperformance as compared to the Index, was primarily due to its higher
allocation than the Index to small cap and value stocks, both of which
underperformed, and a lower allocation than the Index to large cap and growth
stocks, respectively, each of which outperformed. To a lesser extent, an
additional component of the Master Fund's performance was due to differences in
valuation timing and methodology between the Master Fund and the Index. The
Master Fund prices foreign exchange rates at the closing of the US markets
while the Index uses rates at 4 pm London time. The Master Fund utilizes fair
value pricing to price portfolio securities at the closing of the U.S. markets
while the Index uses local market closing prices.
EMERGING MARKETS CORE EQUITY PORTFOLIO
The Emerging Markets Core Equity Portfolio seeks to capture the returns of a
broad universe of emerging markets stocks with increased exposure to smaller
company stocks and those stocks with deeper value characteristics. The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure to selected emerging markets countries, and does not
attempt to track a specific equity index. As of October 31, 2011, the Portfolio
held approximately 3,400 securities across 20 emerging markets. In general, the
Portfolio was mostly invested in equities throughout the year. The average cash
level for the period was less than 1% of the
24
Portfolio's assets. The Portfolio's country weights were capped at 15% of
assets associated with any one country at the time of purchase by the manager
to limit single-country risk exposure.
For the 12 months ended October 31, 2011, total returns were -10.59% for the
Portfolio and -7.72% for the MSCI Emerging Markets Index (net dividends). As a
result of the Portfolio's diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. In general, emerging markets small cap stocks
significantly underperformed emerging markets mid cap and large cap stocks over
the period. The Portfolio's higher allocation than the Index to small cap
stocks and its lower allocation to large stocks had a negative impact on the
Portfolio's relative performance. The Portfolio's higher allocation to deep
value names, which significantly underperformed, and its lower allocation to
extreme growth names, which outperformed, also had a negative impact on the
Portfolio's relative performance. To a lesser extent, an additional component
of the Portfolio's performance was due to differences in valuation timing and
methodology between the Portfolio and the Index. The Portfolio prices foreign
exchange rates at the closing of the US markets while the Index uses rates at 4
pm London time. The Portfolio utilizes fair value pricing to price portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
25
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 OCTOBER 31, 2011
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Actual Fund Return
Institutional Class Shares........... $1,000.00 $ 931.43 0.25% $1.22
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,023.95 0.25% $1.28
26
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP VALUE PORTFOLIO**
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 865.02 0.27% $1.27
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,023.84 0.27% $1.38
U.S. TARGETED VALUE PORTFOLIO
Actual Fund Return
Class R1 Shares..................... $1,000.00 $ 839.03 0.48% $2.22
Class R2 Shares..................... $1,000.00 $ 839.05 0.63% $2.92
Institutional Class Shares.......... $1,000.00 $ 839.81 0.38% $1.76
Hypothetical 5% Annual Return
Class R1 Shares..................... $1,000.00 $1,022.79 0.48% $2.45
Class R2 Shares..................... $1,000.00 $1,022.03 0.63% $3.21
Institutional Class Shares.......... $1,000.00 $1,023.29 0.38% $1.94
U.S. SMALL CAP VALUE PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 836.53 0.52% $2.41
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.58 0.52% $2.65
U.S. CORE EQUITY 1 PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 898.19 0.20% $0.96
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,024.20 0.20% $1.02
U.S. CORE EQUITY 2 PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 885.16 0.22% $1.05
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,024.10 0.22% $1.12
U.S. VECTOR EQUITY PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 861.26 0.33% $1.55
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,023.54 0.33% $1.68
U.S. SMALL CAP PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 868.24 0.37% $1.74
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,023.34 0.37% $1.89
27
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. MICRO CAP PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 877.88 0.52% $2.46
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.58 0.52% $2.65
DFA REAL ESTATE SECURITIES PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 960.16 0.32% $1.58
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,023.59 0.32% $1.63
LARGE CAP INTERNATIONAL PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 838.94 0.30% $1.39
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,023.69 0.30% $1.53
INTERNATIONAL CORE EQUITY PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 818.22 0.40% $1.83
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,023.19 0.40% $2.04
INTERNATIONAL SMALL COMPANY PORTFOLIO***
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 825.23 0.56% $2.58
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.38 0.56% $2.85
JAPANESE SMALL COMPANY PORTFOLIO**
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 981.58 0.56% $2.80
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.38 0.56% $2.85
ASIA PACIFIC SMALL COMPANY PORTFOLIO**
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 832.56 0.60% $2.77
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.18 0.60% $3.06
28
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
UNITED KINGDOM SMALL COMPANY
PORTFOLIO**
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 854.04 0.60% $2.80
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.18 0.60% $3.06
CONTINENTAL SMALL COMPANY PORTFOLIO**
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 740.30 0.58% $2.54
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.28 0.58% $2.96
DFA INTERNATIONAL REAL ESTATE
SECURITIES PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 876.57 0.42% $1.99
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,023.09 0.42% $2.14
DFA GLOBAL REAL ESTATE SECURITIES
PORTFOLIO***
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 924.55 0.41% $1.99
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,023.14 0.41% $2.09
DFA INTERNATIONAL SMALL CAP VALUE
PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 795.69 0.70% $3.17
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,021.68 0.70% $3.57
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 804.71 0.55% $2.50
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.43 0.55% $2.80
WORLD EX U.S. VALUE PORTFOLIO***
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 795.52 0.60% $2.72
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.18 0.60% $3.06
EMERGING MARKETS PORTFOLIO**
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 835.46 0.63% $2.91
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.03 0.63% $3.21
29
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
EMERGING MARKETS SMALL CAP PORTFOLIO**
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 809.48 0.82% $3.74
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,021.07 0.82% $4.18
EMERGING MARKETS VALUE PORTFOLIO**
Actual Fund Return
Class R2 Shares..................... $1,000.00 $ 778.14 0.88% $3.94
Institutional Class Shares.......... $1,000.00 $ 779.10 0.63% $2.83
Hypothetical 5% Annual Return
Class R2 Shares..................... $1,000.00 $1,020.77 0.88% $4.48
Institutional Class Shares.......... $1,000.00 $1,022.03 0.63% $3.21
EMERGING MARKETS CORE EQUITY PORTFOLIO
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 818.54 0.70% $3.21
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,021.68 0.70% $3.57
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
** The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
*** The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of
Funds' portion of the expenses of its Master Funds (Affiliated Investment
Companies).
30
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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%
31
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
FIXED INCOME PORTFOLIO
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Corporate.......................... 31.8%
Government......................... 11.8%
Foreign Corporate.................. 21.1%
Foreign Government................. 27.8%
Supranational...................... 7.5%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary............. 16.7%
Consumer Staples................... 4.7%
Energy............................. 10.7%
Financials......................... 23.0%
Health Care........................ 7.6%
Industrials........................ 15.1%
Information Technology............. 12.3%
Materials.......................... 8.5%
Other.............................. --
Telecommunication Services......... 1.0%
Utilities.......................... 0.4%
-----
100.0%
U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary............. 14.0%
Consumer Staples................... 6.7%
Energy............................. 12.1%
Financials......................... 17.7%
Health Care........................ 10.9%
Industrials........................ 13.8%
Information Technology............. 13.8%
Materials.......................... 5.2%
Other.............................. --
Real Estate Investment Trusts...... --
Telecommunication Services......... 3.2%
Utilities.......................... 2.6%
-----
100.0%
U.S. MICRO CAP PORTFOLIO
Consumer Discretionary............. 16.5%
Consumer Staples................... 5.3%
Energy............................. 4.3%
Financials......................... 15.0%
Health Care........................ 12.4%
Industrials........................ 18.0%
Information Technology............. 20.0%
Materials.......................... 5.1%
Other.............................. --
Telecommunication Services......... 1.4%
Utilities.......................... 2.0%
-----
100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Consumer Discretionary............. 18.4%
Consumer Staples................... 3.8%
Energy............................. 10.1%
Financials......................... 21.3%
Health Care........................ 6.5%
Industrials........................ 18.9%
Information Technology............. 13.2%
Materials.......................... 7.4%
Other.............................. --
Real Estate Investment Trusts...... --
Telecommunication Services......... 0.3%
Utilities.......................... 0.1%
-----
100.0%
U.S. VECTOR EQUITY PORTFOLIO
Consumer Discretionary............. 15.1%
Consumer Staples................... 5.9%
Energy............................. 10.6%
Financials......................... 23.3%
Health Care........................ 8.8%
Industrials........................ 13.9%
Information Technology............. 12.4%
Materials.......................... 5.6%
Other.............................. --
Telecommunication Services......... 2.7%
Utilities.......................... 1.7%
-----
100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO
Real Estate Investment Trusts...... 100.0%
-----
100.0%
U.S. CORE EQUITY 1 PORTFOLIO
Consumer Discretionary............. 13.6%
Consumer Staples................... 8.3%
Energy............................. 11.0%
Financials......................... 15.1%
Health Care........................ 11.1%
Industrials........................ 12.7%
Information Technology............. 16.9%
Materials.......................... 4.9%
Other.............................. --
Telecommunication Services......... 2.6%
Utilities.......................... 3.8%
-----
100.0%
U.S. SMALL CAP PORTFOLIO
Consumer Discretionary............. 17.4%
Consumer Staples................... 4.7%
Energy............................. 5.9%
Financials......................... 14.4%
Health Care........................ 11.2%
Industrials........................ 17.6%
Information Technology............. 19.2%
Materials.......................... 5.4%
Other.............................. --
Telecommunication Services......... 0.9%
Utilities.......................... 3.3%
-----
100.0%
LARGE CAP INTERNATIONAL PORTFOLIO
Consumer Discretionary............. 9.8%
Consumer Staples................... 10.2%
Energy............................. 10.7%
Financials......................... 22.4%
Health Care........................ 8.4%
Industrials........................ 11.9%
Information Technology............. 4.5%
Materials.......................... 12.3%
Other.............................. --
Telecommunication Services......... 5.7%
Utilities.......................... 4.1%
-----
100.0%
32
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
INTERNATIONAL CORE EQUITY PORTFOLIO
Consumer Discretionary............. 12.7%
Consumer Staples................... 7.2%
Energy............................. 10.4%
Financials......................... 23.6%
Health Care........................ 4.9%
Industrials........................ 16.1%
Information Technology............. 5.6%
Materials.......................... 12.8%
Other.............................. --
Telecommunication Services......... 3.5%
Utilities.......................... 3.2%
-----
100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Consumer Discretionary............. 14.4%
Consumer Staples................... 5.9%
Energy............................. 9.4%
Financials......................... 22.4%
Health Care........................ 4.1%
Industrials........................ 18.5%
Information Technology............. 6.4%
Materials.......................... 14.0%
Other.............................. --
Real Estate Investment Trusts...... --
Telecommunication Services......... 2.8%
Utilities.......................... 2.1%
-----
100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Financials......................... 0.2%
Other.............................. 0.2%
Real Estate Investment Trusts...... 99.6%
-----
100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Consumer Discretionary............. 10.3%
Consumer Staples................... 7.9%
Energy............................. 11.1%
Financials......................... 23.2%
Health Care........................ 1.8%
Industrials........................ 10.7%
Information Technology............. 10.9%
Materials.......................... 15.0%
Other.............................. --
Real Estate Investment Trusts...... --
Telecommunication Services......... 5.5%
Utilities.......................... 3.6%
-----
100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Consumer Discretionary............. 19.5%
Consumer Staples................... 5.1%
Energy............................. 6.9%
Financials......................... 17.7%
Health Care........................ 2.0%
Industrials........................ 24.6%
Information Technology............. 5.0%
Materials.......................... 18.4%
Other.............................. --
Telecommunication Services......... 0.4%
Utilities.......................... 0.4%
-----
100.0%
33
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2011
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (76.9%)
AUSTRALIA -- (0.4%)
BHP Billiton Finance USA, Ltd.
(u) 4.800%, 04/15/13....................................... 600 $ 636,217
-----------
AUSTRIA -- (3.4%)
Asfinag AG
(u) 2.000%, 10/22/12....................................... 3,650 3,700,312
Oesterreichische Volksbanken AG
(e) 3.000%, 02/09/12....................................... 1,600 2,225,404
-----------
TOTAL AUSTRIA.............................................. 5,925,716
-----------
CANADA -- (10.8%)
Bank of Nova Scotia
(u) 2.250%, 01/22/13....................................... 1,300 1,324,387
British Columbia, Province of Canada
5.500%, 04/24/13....................................... 2,000 2,130,725
Canadian Imperial Bank of Commerce
(u) 1.450%, 09/13/13....................................... 600 603,391
Canadian National Railway Co.
(u) 4.400%, 03/15/13....................................... 600 628,438
Canadian Natural Resources, Ltd.
(u) 5.150%, 02/01/13....................................... 600 631,231
Encana Corp.
(u) 4.750%, 10/15/13....................................... 800 846,408
Ontario Electricity Financial Corp.
(u) 7.450%, 03/31/13....................................... 3,200 3,486,509
Ontario, Province of Canada
5.500%, 04/17/13....................................... 4,000 4,251,927
Toronto-Dominion Bank (The)
4.854%, 02/13/13....................................... 4,000 4,184,359
TransCanada PipeLines, Ltd.
(u) 4.000%, 06/15/13....................................... 685 721,135
-----------
TOTAL CANADA............................................... 18,808,510
-----------
DENMARK -- (3.9%)
FIH Erhvervsbank A.S.
(u) 2.450%, 08/17/12....................................... 2,800 2,839,136
Kommunekredit A.S.
(u) 1.250%, 09/03/13....................................... 4,000 4,038,232
-----------
TOTAL DENMARK.............................................. 6,877,368
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FINLAND -- (0.3%)
Nordea Bank Finland P.L.C. Floating Rate Note
(r)(u)0.749%, 02/07/13..................................... 500 $ 500,872
-----------
FRANCE -- (5.6%)
Caisse d'Amortissement de la Dette Sociale SA
(u) 2.250%, 07/06/12....................................... 3,500 3,536,564
(u) 5.375%, 07/17/12....................................... 500 516,041
Societe Financement del'Economie Francaise SA
(u) 2.250%, 06/11/12....................................... 1,500 1,515,025
Total Capital SA
(g) 5.500%, 01/29/13....................................... 2,500 4,223,233
-----------
TOTAL FRANCE............................................... 9,790,863
-----------
GERMANY -- (6.9%)
Deutsche Bank AG
(u) 2.375%, 01/11/13....................................... 600 599,452
Kreditanstalt fuer Wiederaufbau
(u) 4.000%, 10/15/13....................................... 3,000 3,199,101
Landeskreditbank Baden-Wuerttemberg
Foerderbank
(u) 2.000%, 10/01/12....................................... 4,000 4,050,708
Landwirtschaftliche Rentenbank
(u) 4.125%, 07/15/13....................................... 4,000 4,234,644
-----------
TOTAL GERMANY.............................................. 12,083,905
-----------
NETHERLANDS -- (7.7%)
Bank Nederlandse Gemeenten NV
(g) 5.750%, 03/07/12....................................... 521 850,970
(u) 1.875%, 03/01/13....................................... 3,000 3,050,808
Diageo Finance BV
(u) 5.500%, 04/01/13....................................... 600 639,820
Rabobank Nederland NV
(u) 3.000%, 09/18/12....................................... 1,700 1,729,806
(u) 3.375%, 02/19/13....................................... 2,500 2,568,230
Shell International Finance BV
(u) 1.875%, 03/25/13....................................... 4,500 4,594,608
-----------
TOTAL NETHERLANDS.......................................... 13,434,242
-----------
34
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NORWAY -- (1.8%)
Eksportfinans ASA
(u) 1.875%, 04/02/13....................................... 3,000 $ 3,048,990
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.9%)
African Development Bank
(c) 4.850%, 07/24/12....................................... 4,000 4,122,800
Eurofima
(u) 5.125%, 08/02/12....................................... 1,000 1,033,638
(c) 4.875%, 12/04/12....................................... 2,500 2,596,208
European Investment Bank
(u) 5.250%, 05/15/13....................................... 4,000 4,286,488
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 12,039,134
-----------
SWEDEN -- (1.5%)
Kommuninvest I Sverige AB
(u) 5.375%, 07/03/12....................................... 2,600 2,682,069
-----------
SWITZERLAND -- (0.4%)
Credit Suisse New York AG
(u) 5.000%, 05/15/13....................................... 600 624,431
-----------
UNITED KINGDOM -- (1.8%)
Barclays Bank P.L.C.
(u) 5.450%, 09/12/12....................................... 3,000 3,084,474
-----------
UNITED STATES -- (25.5%)
Allstate Corp. (The)
7.500%, 06/15/13....................................... $ 489 534,751
American Express Bank FSB
5.550%, 10/17/12....................................... 600 625,325
Anheuser-Busch Cos., Inc.
4.375%, 01/15/13....................................... 700 726,949
Apache Corp.
5.250%, 04/15/13....................................... 700 746,794
AT&T, Inc.
4.950%, 01/15/13....................................... 600 629,212
Avery Dennison Corp.
4.875%, 01/15/13....................................... 600 622,796
Bank of New York Mellon Corp. (The)
4.500%, 04/01/13....................................... 3,000 3,157,515
Baxter International, Inc.
1.800%, 03/15/13....................................... 800 811,814
FACE
AMOUNT VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
BB&T Corp.
3.375%, 09/25/13....................................... $ 600 $ 623,195
BlackRock, Inc.
2.250%, 12/10/12....................................... 600 608,720
Burlington Northern Santa Fe LLC
4.300%, 07/01/13....................................... 600 631,306
Campbell Soup Co.
4.875%, 10/01/13....................................... 251 270,299
Caterpillar Financial Services Corp.
2.000%, 04/05/13....................................... 650 660,803
CenterPoint Energy Resources Corp.
7.875%, 04/01/13....................................... 600 652,649
Citigroup, Inc.
5.300%, 10/17/12....................................... 1,400 1,437,841
Comcast Cable Communications Holdings, Inc.
8.375%, 03/15/13....................................... 600 658,670
Computer Sciences Corp.
5.000%, 02/15/13....................................... 600 623,750
Consolidated Edison Co. of New York, Inc.
3.850%, 06/15/13....................................... 250 261,140
Dell, Inc.
1.400%, 09/10/13....................................... 600 605,919
Dominion Resources, Inc.
5.000%, 03/15/13....................................... 600 631,546
Dow Chemical Co. (The)
6.000%, 10/01/12....................................... 385 401,660
Enterprise Products Operating LLC
6.375%, 02/01/13....................................... 664 702,009
Fifth Third Bancorp
6.250%, 05/01/13....................................... 600 636,518
General Electric Capital Corp.
6.000%, 06/15/12....................................... 800 825,572
2.800%, 01/08/13....................................... 2,000 2,040,180
General Electric Co.
5.000%, 02/01/13....................................... 1,500 1,573,000
Georgia Power Co.
1.300%, 09/15/13....................................... 700 705,013
Goldman Sachs Group, Inc.(The)
5.450%, 11/01/12....................................... 1,360 1,398,230
Hewlett-Packard Co.
4.500%, 03/01/13....................................... 600 624,438
Historic TW, Inc.
9.125%, 01/15/13....................................... 600 652,654
35
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------------
(000)
UNITED STATES -- (Continued)
HSBC Finance Corp.
6.375%, 11/27/12....................................... $ 600 $ 623,512
International Business Machines Corp.
2.100%, 05/06/13....................................... 700 716,148
John Deere Capital Corp.
4.500%, 04/03/13....................................... 700 738,020
Johnson & Johnson
0.700%, 05/15/13....................................... 2,000 2,007,264
JPMorgan Chase & Co.
5.375%, 10/01/12....................................... 800 834,163
Kimberly-Clark Corp.
5.000%, 08/15/13....................................... 600 641,953
Kroger Co. (The)
5.500%, 02/01/13....................................... 600 629,513
MetLife, Inc.
5.375%, 12/15/12....................................... 1,000 1,043,171
Nisource Finance Corp.
6.150%, 03/01/13....................................... 600 636,019
Paccar Financial Corp.
2.050%, 06/17/13....................................... 600 611,358
PepsiCo, Inc.
4.650%, 02/15/13....................................... 600 630,680
Philip Morris International, Inc.
4.875%, 05/16/13....................................... 600 635,712
Pitney Bowes, Inc.
4.625%, 10/01/12....................................... 600 618,990
Prudential Financial, Inc.
5.150%, 01/15/13....................................... 600 626,599
Reynolds American, Inc.
7.250%, 06/01/13....................................... 600 651,988
SunTrust Banks, Inc.
5.250%, 11/05/12....................................... 500 515,460
Target Corp.
4.000%, 06/15/13....................................... 977 1,029,745
TD Ameritrade Holding Corp.
2.950%, 12/01/12....................................... 700 714,122
Time Warner Cable, Inc.
6.200%, 07/01/13....................................... 1,000 1,081,244
Travelers Property Casualty Corp.
5.000%, 03/15/13....................................... 700 734,647
UnitedHealth Group, Inc.
5.500%, 11/15/12....................................... 250 261,676
4.875%, 04/01/13....................................... 600 629,834
Verizon Communications, Inc.
4.350%, 02/15/13....................................... 600 627,040
Wal-Mart Stores, Inc.
4.250%, 04/15/13....................................... 1,595 1,679,825
FACE
AMOUNT VALUE+
------ ------------
(000)
UNITED STATES -- (Continued)
Wells Fargo Bank & Co.
4.375%, 01/31/13....................................... $ 500 $ 519,992
------------
TOTAL UNITED STATES........................................ 44,518,943
------------
TOTAL BONDS................................................ 134,055,734
------------
AGENCY OBLIGATIONS -- (11.1%)
Federal Home Loan Bank
3.625%, 10/18/13....................................... 3,000 3,185,139
Federal Home Loan Mortgage Corporation
4.125%, 09/27/13....................................... 3,000 3,211,818
Federal Home Loan Mortgage Corporation Discount Note
(y)^^ 0.054%, 12/12/11..................................... 4,000 3,999,910
Federal National Mortgage Association Discount Note
(y)^^ 0.040%, 12/09/11..................................... 9,000 8,999,812
------------
TOTAL AGENCY OBLIGATIONS. ................................. 19,396,679
------------
COMMERCIAL PAPER -- (5.1%)
Caisse Cent Desjardins Du Quebec
0.300%, 01/04/12....................................... 3,000 2,998,538
Caisse des Depots Et Consignations
0.572%, 03/19/12....................................... 1,000 998,289
Electricite de France
0.582%, 03/13/12....................................... 1,000 998,429
Sheffield Receivables Corp.
0.360%, 01/04/12....................................... 3,000 2,998,630
0.350%, 01/11/12....................................... 1,000 999,456
------------
TOTAL COMMERCIAL PAPER..................................... 8,993,342
------------
36
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
EXCHANGE-TRADED FUND -- (3.2%)
UNITED STATES -- (3.2%)
SPDR Trust Series I................................. 44,100 $ 5,532,345
------------
TEMPORARY CASH INVESTMENTS -- (3.7%)
BlackRock Liquidity Funds TempCash Portfolio -
Institutional Shares.............................. 6,434,385 6,434,385
------------
VALUE+
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $172,868,110).................................. $174,412,485
============
Summary of inputs used to value the Portfolio's investments as of October 31,
2011 is as follows (See Security Valuation Note):
VALUATION INPUTS
----------------------------------------------
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Bonds........................ -- $134,055,734 -- $134,055,734
Agency Obligations........... -- 19,396,679 -- 19,396,679
Commercial Paper............. -- 8,993,342 -- 8,993,342
Exchange-Traded Fund......... $ 5,532,345 -- -- 5,532,345
Temporary Cash Investments... 6,434,385 -- -- 6,434,385
Forward Currency Contracts**. -- (300,884) -- (300,884)
Futures Contracts**.......... 9,411,800 -- -- 9,411,800
----------- ------------ -- ------------
TOTAL........................ $21,378,530 $162,144,871 -- $183,523,401
=========== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
37
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2011
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company..................................... $7,341,489,724
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,970,300,490)..................................... $7,341,489,724
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of October 31, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
38
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (84.6%)
Consumer Discretionary -- (14.1%)
#Dillard's, Inc. Class A....................... 240,649 $ 12,400,643 0.5%
Foot Locker, Inc.............................. 476,481 10,415,875 0.4%
#*GameStop Corp. Class A........................ 573,361 14,660,841 0.6%
#Lennar Corp. Class A.......................... 638,026 10,552,950 0.4%
*Liberty Media Corp. - Liberty Capital Class A. 139,435 10,711,397 0.4%
*Mohawk Industries, Inc........................ 290,366 15,287,770 0.6%
#Rent-A-Center, Inc............................ 265,181 9,055,931 0.4%
#*Toll Brothers, Inc............................ 798,600 13,927,584 0.5%
Other Securities.............................. 326,124,938 12.8%
------------ ----
Total Consumer Discretionary..................... 423,137,929 16.6%
------------ ----
Consumer Staples -- (4.0%)
*Constellation Brands, Inc. Class A............ 572,827 11,582,562 0.5%
*Ralcorp Holdings, Inc......................... 166,665 13,473,199 0.5%
#*Smithfield Foods, Inc......................... 767,800 17,551,908 0.7%
Other Securities.............................. 76,352,076 3.0%
------------ ----
Total Consumer Staples........................... 118,959,745 4.7%
------------ ----
Energy -- (9.0%)
*Bill Barrett Corp............................. 221,991 9,234,826 0.4%
*Helix Energy Solutions Group, Inc............. 494,307 8,927,184 0.4%
HollyFrontier Corp............................ 292,434 8,974,799 0.4%
Patterson-UTI Energy, Inc..................... 442,089 8,983,248 0.4%
*Plains Exploration & Production Co............ 584,772 18,420,318 0.7%
*Rowan Cos., Inc............................... 522,259 18,012,713 0.7%
#Sunoco, Inc................................... 442,604 16,478,147 0.6%
*Tesoro Corp................................... 728,585 18,899,495 0.7%
#Tidewater, Inc................................ 228,570 11,252,501 0.4%
Other Securities.............................. 151,190,000 5.9%
------------ ----
Total Energy..................................... 270,373,231 10.6%
------------ ----
Financials -- (19.5%)
American Financial Group, Inc................. 406,455 14,563,283 0.6%
Assurant, Inc................................. 387,206 14,922,919 0.6%
Axis Capital Holdings, Ltd.................... 478,366 14,996,774 0.6%
Everest Re Group, Ltd......................... 105,755 9,509,490 0.4%
#Legg Mason, Inc............................... 477,247 13,124,292 0.5%
*NASDAQ OMX Group, Inc. (The).................. 660,615 16,548,406 0.6%
*PartnerRe, Ltd................................ 152,798 9,507,092 0.4%
People's United Financial, Inc................ 729,874 9,305,894 0.4%
Reinsurance Group of America, Inc............. 304,455 15,901,685 0.6%
Transatlantic Holdings, Inc................... 204,165 10,624,747 0.4%
Validus Holdings, Ltd......................... 413,328 11,308,654 0.4%
White Mountains Insurance Group, Ltd.......... 22,083 9,274,860 0.4%
Other Securities.............................. 434,292,750 17.1%
------------ ----
Total Financials................................. 583,880,846 23.0%
------------ ----
Health Care -- (6.5%)
*Coventry Health Care, Inc..................... 467,075 14,857,656 0.6%
*Healthspring, Inc............................. 245,340 13,233,640 0.5%
*Hologic, Inc.................................. 854,084 13,767,834 0.5%
#Omnicare, Inc................................. 522,804 15,590,015 0.6%
Other Securities.............................. 136,145,359 5.4%
------------ ----
Total Health Care................................ 193,594,504 7.6%
------------ ----
39
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (12.7%)
*Owens Corning, Inc............................................. 354,345 $ 10,056,311 0.4%
*Quanta Services, Inc........................................... 506,883 10,588,786 0.4%
#Ryder System, Inc.............................................. 219,950 11,204,253 0.4%
Other Securities............................................... 350,478,107 13.8%
-------------- ----
Total Industrials................................................. 382,327,457 15.0%
-------------- ----
Information Technology -- (10.4%)
*Arrow Electronics, Inc......................................... 414,359 14,937,642 0.6%
*IAC/InterActiveCorp............................................ 329,849 13,467,735 0.5%
*Ingram Micro, Inc. Class A..................................... 529,613 9,469,480 0.4%
*Tech Data Corp................................................. 261,278 12,849,652 0.5%
Other Securities............................................... 262,468,297 10.3%
-------------- ----
Total Information Technology...................................... 313,192,806 12.3%
-------------- ----
Materials -- (7.2%)
Ashland, Inc................................................... 329,404 17,445,236 0.7%
*Coeur d'Alene Mines Corp....................................... 421,417 10,775,633 0.4%
#Cytec Industries, Inc.......................................... 201,520 9,001,898 0.4%
#Domtar Corp.................................................... 162,773 13,332,736 0.5%
MeadWestavco Corp.............................................. 423,735 11,826,444 0.5%
Reliance Steel & Aluminum Co................................... 212,025 9,369,385 0.4%
Rock-Tenn Co. Class A.......................................... 208,098 12,317,321 0.5%
Other Securities............................................... 131,056,566 5.1%
-------------- ----
Total Materials................................................... 215,125,219 8.5%
-------------- ----
Other -- (0.0%)
Other Securities............................................... -- 0.0%
-------------- ----
Telecommunication Services -- (0.8%)
Other Securities............................................... 25,513,924 1.0%
-------------- ----
Utilities -- (0.4%)
Other Securities............................................... 10,985,644 0.4%
-------------- ----
TOTAL COMMON STOCKS............................................... 2,537,091,305 99.7%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................... 1,491 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.0%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional
Shares....................................................... 809,741 809,741 0.0%
-------------- ----
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (15.4%)
(S)@DFA Short Term Investment Fund................................ 461,537,179 461,537,179 18.1%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/11 (Collateralized by $1,174,891 FHLMC, rates ranging
from 4.500% to 6.000%, maturities ranging from 07/01/30 to
10/01/36 & FNMA, rates ranging from 4.000% to 5.000%,
maturities ranging from 06/01/26 to 06/01/41, valued at
$1,179,114) to be repurchased at $1,140,675.................. $ 1,141 1,140,671 0.1%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL............................... 462,677,850 18.2%
-------------- ----
40
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,747,568,366)....................... $3,000,580,387 117.9%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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... $ 423,137,929 -- -- $ 423,137,929
Consumer Staples......... 118,932,853 $ 26,892 -- 118,959,745
Energy................... 270,373,231 -- -- 270,373,231
Financials............... 583,547,807 333,039 -- 583,880,846
Health Care.............. 193,594,504 -- -- 193,594,504
Industrials.............. 382,261,997 65,460 -- 382,327,457
Information Technology... 313,192,806 -- -- 313,192,806
Materials................ 215,125,219 -- -- 215,125,219
Other.................... -- -- -- --
Telecommunication
Services............... 25,513,924 -- -- 25,513,924
Utilities................ 10,985,644 -- -- 10,985,644
Rights/Warrants............. 1,491 -- -- 1,491
Temporary Cash Investments.. 809,741 -- -- 809,741
Securities Lending
Collateral................ -- 462,677,850 -- 462,677,850
-------------- ------------ -- --------------
TOTAL....................... $2,537,477,146 $463,103,241 -- $3,000,580,387
============== ============ == ==============
See accompanying Notes to Financial Statements.
41
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
COMMON STOCKS -- (85.1%)
Consumer Discretionary -- (15.7%)
Bob Evans Farms, Inc.............. 958,265 $ 31,526,919 0.5%
#*Cabela's, Inc..................... 1,410,635 35,153,024 0.5%
#Dillard's, Inc. Class A........... 1,637,833 84,397,534 1.3%
#Group 1 Automotive, Inc........... 692,454 31,548,204 0.5%
#*Iconix Brand Group, Inc........... 1,808,160 32,456,472 0.5%
#Penske Automotive Group, Inc...... 1,702,549 34,714,974 0.5%
#Rent-A-Center, Inc................ 1,554,059 53,071,115 0.8%
#*Saks, Inc......................... 3,415,558 36,102,448 0.6%
#Scholastic Corp................... 1,528,917 41,051,421 0.6%
Other Securities.................. 816,364,443 12.5%
-------------- ----
Total Consumer Discretionary......... 1,196,386,554 18.3%
-------------- ----
Consumer Staples -- (3.2%)
Fresh Del Monte Produce, Inc...... 1,373,299 34,964,193 0.5%
*Hain Celestial Group, Inc. (The).. 1,248,931 41,914,124 0.7%
#Universal Corp.................... 707,351 30,288,770 0.5%
Other Securities.................. 138,519,464 2.1%
-------------- ----
Total Consumer Staples............... 245,686,551 3.8%
-------------- ----
Energy -- (8.6%)
*Bill Barrett Corp................. 781,488 32,509,901 0.5%
Bristow Group, Inc................ 1,094,569 54,487,645 0.8%
#*Complete Production Services, Inc. 1,359,909 44,605,015 0.7%
*Helix Energy Solutions Group, Inc. 3,199,360 57,780,442 0.9%
HollyFrontier Corp................ 1,130,678 34,700,508 0.5%
SEACOR Holdings, Inc.............. 371,968 31,673,075 0.5%
#*Western Refining, Inc............. 1,898,570 30,339,149 0.5%
Other Securities.................. 367,601,614 5.6%
-------------- ----
Total Energy......................... 653,697,349 10.0%
-------------- ----
Financials -- (18.1%)
#*American Capital, Ltd............. 4,448,154 34,562,157 0.5%
#*CNO Financial Group, Inc.......... 8,156,999 50,981,244 0.8%
#Delphi Financial Group, Inc.
Class A.......................... 1,362,859 36,088,506 0.5%
Harleysville Group, Inc........... 512,744 30,128,837 0.5%
Kemper Corp....................... 1,407,792 37,855,527 0.6%
#*MBIA, Inc......................... 3,882,727 34,167,998 0.5%
Montpelier Re Holdings, Ltd....... 2,084,607 36,480,623 0.6%
*PHH Corp.......................... 1,845,253 34,044,918 0.5%
#Umpqua Holdings Corp.............. 3,119,312 35,716,122 0.5%
#Webster Financial Corp............ 1,871,431 36,754,905 0.6%
#Wintrust Financial Corp........... 1,050,018 30,324,520 0.5%
Other Securities.................. 987,077,775 15.1%
-------------- ----
Total Financials..................... 1,384,183,132 21.2%
-------------- ----
Health Care -- (5.5%)
Cooper Cos., Inc. (The)........... 613,518 42,516,797 0.7%
#*Healthspring, Inc................. 882,626 47,608,846 0.7%
#*LifePoint Hospitals, Inc.......... 1,784,701 68,996,541 1.1%
*Viropharma, Inc................... 1,980,889 40,093,193 0.6%
Other Securities.................. 224,136,923 3.4%
-------------- ----
Total Health Care.................... 423,352,300 6.5%
-------------- ----
Industrials -- (16.1%)
#Alexander & Baldwin, Inc.......... 1,205,757 50,050,973 0.8%
#*Avis Budget Group, Inc............ 3,121,273 44,009,949 0.7%
42
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
#*Esterline Technologies Corp....... 1,045,473 $ 58,441,941 0.9%
#GATX Corp......................... 1,559,790 59,240,824 0.9%
Seaboard Corp..................... 18,588 40,856,424 0.6%
#Trinity Industries, Inc........... 1,796,783 48,998,272 0.7%
#Triumph Group, Inc................ 664,017 38,579,388 0.6%
Other Securities.................. 883,966,620 13.5%
-------------- ----
Total Industrials.................... 1,224,144,391 18.7%
-------------- ----
Information Technology -- (11.2%)
#*Benchmark Electronics, Inc........ 2,338,129 32,125,892 0.5%
#*CACI International, Inc. Class A.. 569,627 31,266,826 0.4%
*Coherent, Inc..................... 783,871 39,953,905 0.6%
*Convergys Corp.................... 3,064,682 32,792,097 0.5%
#*Fairchild Semiconductor
International, Inc................ 3,113,394 46,607,508 0.7%
MKS Instruments, Inc.............. 1,677,240 44,681,674 0.7%
#*Vishay Intertechnology, Inc....... 2,938,669 31,590,692 0.5%
Other Securities.................. 594,642,481 9.1%
-------------- ----
Total Information Technology......... 853,661,075 13.0%
-------------- ----
Materials -- (6.3%)
*Coeur d'Alene Mines Corp.......... 1,822,519 46,601,811 0.7%
#Westlake Chemical Corp............ 1,576,358 64,961,713 1.0%
Other Securities.................. 366,139,330 5.6%
-------------- ----
Total Materials...................... 477,702,854 7.3%
-------------- ----
Other -- (0.0%)
Other Securities.................. 740,208 0.0%
-------------- ----
Real Estate Investment
Trusts -- (0.0%)
Other Securities.................. 1,166 0.0%
-------------- ----
Telecommunication Services -- (0.3%)
Other Securities.................. 20,070,867 0.3%
-------------- ----
Utilities -- (0.1%)
Other Securities.................. 9,793,296 0.1%
-------------- ----
TOTAL COMMON STOCKS.................. 6,489,419,743 99.2%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................. 12,439 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.7%)
BlackRock Liquidity Funds
TempCash Portfolio -
Institutional Shares............ 54,349,024 54,349,024 0.8%
-------------- ----
43
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
-------------- -------------- ---------------
(000)
SECURITIES LENDING COLLATERAL -- (14.2%)
(S)@DFA Short Term Investment Fund...... 1,076,914,745 $1,076,914,745 16.5%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.12%, 11/01/11
(Collateralized by $2,071,998
FHLMC, rates ranging from 4.500%
to 6.000%, maturities ranging from
07/01/30 to 10/01/36 & FNMA, rates
ranging from 4.000% to 5.000%,
maturities ranging from 06/01/26
to 06/01/41, valued at $2,079,445)
to be repurchased at $2,011,656.... $ 2,012 2,011,649 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL..... 1,078,926,394 16.5%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,359,639,212)................. $7,622,707,600 116.5%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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. $1,196,386,554 -- -- $1,196,386,554
Consumer Staples....... 245,211,528 $ 475,023 -- 245,686,551
Energy................. 653,697,349 -- -- 653,697,349
Financials............. 1,381,123,223 3,059,909 -- 1,384,183,132
Health Care............ 423,331,307 20,993 -- 423,352,300
Industrials............ 1,223,770,149 374,242 -- 1,224,144,391
Information Technology. 853,661,075 -- -- 853,661,075
Materials.............. 477,702,854 -- -- 477,702,854
Other.................. -- 740,208 -- 740,208
Real Estate
Investment Trusts.... 1,166 -- -- 1,166
Telecommunication
Services............. 20,070,867 -- -- 20,070,867
Utilities.............. 9,793,296 -- -- 9,793,296
Rights/Warrants........... 12,439 -- -- 12,439
Temporary Cash
Investments............. 54,349,024 -- -- 54,349,024
Securities Lending
Collateral.............. -- 1,078,926,394 -- 1,078,926,394
Futures Contracts**....... 536,023 -- -- 536,023
-------------- -------------- -- --------------
TOTAL..................... $6,539,646,854 $1,083,596,769 -- $7,623,243,623
============== ============== == ==============
** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the
unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
44
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (87.8%)
Consumer Discretionary -- (12.0%)
*Amazon.com, Inc.................. 59,387 $ 12,679,718 0.3%
Comcast Corp. Class A............ 508,494 11,924,184 0.3%
#Home Depot, Inc.................. 251,163 8,991,635 0.3%
McDonald's Corp.................. 160,072 14,862,685 0.4%
#Time Warner, Inc................. 253,277 8,862,162 0.2%
#Walt Disney Co. (The)............ 412,943 14,403,452 0.4%
Other Securities................. 435,260,643 11.7%
------------ ----
Total Consumer Discretionary........ 506,984,479 13.6%
------------ ----
Consumer Staples -- (7.3%)
#Altria Group, Inc................ 320,618 8,833,026 0.3%
Coca-Cola Co. (The).............. 333,834 22,807,539 0.6%
CVS Caremark Corp................ 320,731 11,642,535 0.3%
Kraft Foods, Inc. Class A........ 386,181 13,585,848 0.4%
PepsiCo, Inc..................... 253,522 15,959,210 0.4%
Philip Morris International, Inc. 277,118 19,362,235 0.5%
Procter & Gamble Co. (The)....... 429,326 27,472,571 0.7%
#Wal-Mart Stores, Inc............. 499,081 28,307,874 0.8%
Other Securities................. 161,810,097 4.3%
------------ ----
Total Consumer Staples.............. 309,780,935 8.3%
------------ ----
Energy -- (9.7%)
Anadarko Petroleum Corp.......... 117,743 9,242,826 0.3%
#Chevron Corp..................... 477,372 50,147,929 1.3%
ConocoPhillips................... 318,241 22,165,486 0.6%
Exxon Mobil Corp................. 896,367 69,997,299 1.9%
Occidental Petroleum Corp........ 173,726 16,146,094 0.4%
Schlumberger, Ltd................ 211,589 15,545,444 0.4%
Other Securities................. 226,991,149 6.1%
------------ ----
Total Energy........................ 410,236,227 11.0%
------------ ----
Financials -- (13.2%)
American Express Co.............. 176,383 8,928,507 0.2%
Bank of America Corp............. 1,928,676 13,172,857 0.4%
*Berkshire Hathaway, Inc.......... 290,501 22,618,408 0.6%
Citigroup, Inc................... 600,766 18,978,198 0.5%
Goldman Sachs Group, Inc. (The).. 103,629 11,352,557 0.3%
JPMorgan Chase & Co.............. 962,661 33,462,096 0.9%
U.S. Bancorp..................... 443,086 11,338,571 0.3%
Wells Fargo & Co................. 1,201,867 31,140,374 0.8%
Other Securities................. 409,941,471 11.0%
------------ ----
Total Financials.................... 560,933,039 15.0%
------------ ----
Health Care -- (9.7%)
#Abbott Laboratories.............. 244,235 13,156,939 0.4%
Amgen, Inc....................... 198,736 11,381,611 0.3%
Johnson & Johnson................ 435,957 28,071,271 0.7%
Merck & Co., Inc................. 709,740 24,486,030 0.7%
Pfizer, Inc...................... 1,820,669 35,066,085 0.9%
UnitedHealth Group, Inc.......... 245,508 11,781,929 0.3%
Other Securities................. 287,020,078 7.7%
------------ ----
Total Health Care................... 410,963,943 11.0%
------------ ----
Industrials -- (11.1%)
Caterpillar, Inc................. 104,739 9,893,646 0.3%
General Electric Co.............. 2,447,102 40,891,074 1.1%
45
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (Continued)
Union Pacific Corp............................................. 112,188 $ 11,170,559 0.3%
United Technologies Corp....................................... 142,425 11,106,302 0.3%
Other Securities............................................... 399,083,572 10.7%
-------------- ----
Total Industrials................................................. 472,145,153 12.7%
-------------- ----
Information Technology -- (14.8%)
*Apple, Inc..................................................... 150,843 61,058,230 1.6%
Cisco Sytems, Inc.............................................. 798,867 14,803,006 0.4%
*Google, Inc.................................................... 40,661 24,097,335 0.7%
Hewlett-Packard Co............................................. 447,680 11,912,765 0.3%
#Intel Corp..................................................... 963,439 23,642,793 0.6%
International Business Machines Corp........................... 190,180 35,112,933 0.9%
Microsoft Corp................................................. 1,228,039 32,702,679 0.9%
Oracle Corp.................................................... 628,672 20,601,581 0.6%
QUALCOMM, Inc.................................................. 272,315 14,051,454 0.4%
#Visa, Inc...................................................... 114,676 10,694,684 0.3%
Other Securities............................................... 377,845,655 10.1%
-------------- ----
Total Information Technology...................................... 626,523,115 16.8%
-------------- ----
Materials -- (4.4%)
Other Securities............................................... 183,944,352 4.9%
-------------- ----
Other -- (0.0%)
Other Securities............................................... 26,516 0.0%
-------------- ----
Telecommunication Services -- (2.3%)
AT&T, Inc...................................................... 1,371,909 40,210,653 1.1%
Verizon Communications, Inc.................................... 650,968 24,072,797 0.6%
Other Securities............................................... 33,735,138 0.9%
-------------- ----
Total Telecommunication Services.................................. 98,018,588 2.6%
-------------- ----
Utilities -- (3.3%)
Other Securities............................................... 139,394,990 3.8%
-------------- ----
TOTAL COMMON STOCKS............................................... 3,718,951,337 99.7%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................... 26,716 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds TempCash
Portfolio - Institutional Shares............................. 10,048,770 10,048,770 0.3%
-------------- ----
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (12.0%)
(S)@DFA Short Term Investment Fund................................ 508,332,045 508,332,045 13.6%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/11 (Collateralized by $1,113,627 FHLMC, rates ranging
from 4.500% to 6.000%, maturities ranging from 07/01/30 to
10/01/36 & FNMA, rates ranging from 4.000% to 5.000%,
maturities ranging from 06/01/26 to 06/01/41, valued at
$1,117,629) to be repurchased at $1,081,195.................. $ 1,081 1,081,191 0.0%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL............................... 509,413,236 13.6%
-------------- ----
46
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,944,426,687)...................... $4,238,440,059 113.6%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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... $ 506,984,479 -- -- $ 506,984,479
Consumer Staples......... 309,773,118 $ 7,817 -- 309,780,935
Energy................... 410,236,227 -- -- 410,236,227
Financials............... 560,846,965 86,074 -- 560,933,039
Health Care.............. 410,963,943 -- -- 410,963,943
Industrials.............. 472,135,073 10,080 -- 472,145,153
Information Technology... 626,523,115 -- -- 626,523,115
Materials................ 183,944,352 -- -- 183,944,352
Other.................... -- 26,516 -- 26,516
Telecommunication
Services............... 98,018,588 -- -- 98,018,588
Utilities................ 139,394,990 -- -- 139,394,990
Rights/Warrants............. 26,716 -- -- 26,716
Temporary Cash Investments.. 10,048,770 -- -- 10,048,770
Securities Lending
Collateral................ -- 509,413,236 -- 509,413,236
-------------- ------------ -- --------------
TOTAL....................... $3,728,896,336 $509,543,723 -- $4,238,440,059
============== ============ == ==============
See accompanying Notes to Financial Statements.
47
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
COMMON STOCKS -- (84.4%)
Consumer Discretionary -- (11.8%)
#Comcast Corp. Class A............. 980,689 $ 22,997,157 0.4%
Lowe's Cos., Inc.................. 606,612 12,750,984 0.2%
#News Corp. Class A................ 837,149 14,666,850 0.2%
#Time Warner, Inc.................. 505,637 17,692,239 0.3%
#Walt Disney Co. (The)............. 823,524 28,724,517 0.5%
Other Securities.................. 719,773,468 12.4%
-------------- ----
Total Consumer Discretionary......... 816,605,215 14.0%
-------------- ----
Consumer Staples -- (5.7%)
Coca-Cola Co. (The)............... 219,621 15,004,507 0.2%
#CVS Caremark Corp................. 621,786 22,570,832 0.4%
Kraft Foods, Inc. Class A......... 765,796 26,940,703 0.4%
Procter & Gamble Co. (The)........ 610,480 39,064,615 0.7%
Wal-Mart Stores, Inc.............. 387,774 21,994,541 0.4%
Other Securities.................. 266,242,594 4.6%
-------------- ----
Total Consumer Staples............... 391,817,792 6.7%
-------------- ----
Energy -- (10.2%)
Anadarko Petroleum Corp........... 228,215 17,914,878 0.3%
#Apache Corp....................... 180,816 18,014,698 0.3%
#Chevron Corp...................... 960,977 100,950,634 1.7%
ConocoPhillips.................... 621,821 43,309,833 0.8%
Devon Energy Corp................. 189,302 12,295,165 0.2%
Exxon Mobil Corp.................. 1,268,253 99,037,877 1.7%
National Oilwell Varco, Inc....... 194,038 13,840,731 0.3%
Occidental Petroleum Corp......... 270,857 25,173,450 0.4%
Schlumberger, Ltd................. 177,195 13,018,517 0.2%
Other Securities.................. 360,895,030 6.2%
-------------- ----
Total Energy......................... 704,450,813 12.1%
-------------- ----
Financials -- (14.9%)
Bank of America Corp.............. 4,072,969 27,818,378 0.5%
*Berkshire Hathaway, Inc........... 192,106 14,957,373 0.3%
Citigroup, Inc.................... 627,059 19,808,794 0.3%
Goldman Sachs Group, Inc. (The)... 215,233 23,578,775 0.4%
JPMorgan Chase & Co............... 1,841,003 63,993,264 1.1%
*MetLife, Inc...................... 467,142 16,424,713 0.3%
PNC Financial Services Group, Inc. 246,884 13,260,140 0.2%
#*Prudential Financial, Inc......... 228,856 12,403,995 0.2%
Travelers Cos., Inc. (The)........ 235,445 13,738,216 0.2%
#U.S. Bancorp...................... 883,601 22,611,350 0.4%
Wells Fargo & Co.................. 2,348,255 60,843,287 1.1%
Other Securities.................. 739,340,382 12.7%
-------------- ----
Total Financials..................... 1,028,778,667 17.7%
-------------- ----
Health Care -- (9.2%)
Amgen, Inc........................ 275,807 15,795,467 0.3%
Johnson & Johnson................. 349,581 22,509,521 0.4%
Merck & Co., Inc.................. 1,428,149 49,271,140 0.8%
Pfizer, Inc....................... 3,659,190 70,475,999 1.2%
UnitedHealth Group, Inc........... 453,978 21,786,404 0.4%
WellPoint, Inc.................... 203,028 13,988,629 0.2%
Other Securities.................. 437,036,920 7.5%
-------------- ----
Total Health Care.................... 630,864,080 10.8%
-------------- ----
48
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
-------------- -------------- ---------------
Industrials -- (11.6%)
General Electric Co............................................ 4,935,281 $ 82,468,546 1.4%
Union Pacific Corp............................................. 223,752 22,278,987 0.4%
Other Securities............................................... 698,161,647 12.0%
-------------- -----
Total Industrials................................................. 802,909,180 13.8%
-------------- -----
Information Technology -- (11.7%)
*Apple, Inc..................................................... 89,996 36,428,581 0.6%
*Google, Inc.................................................... 24,471 14,502,493 0.3%
Hewlett-Packard Co............................................. 667,594 17,764,676 0.3%
Intel Corp..................................................... 1,282,072 31,462,047 0.5%
International Business Machines Corp........................... 103,955 19,193,212 0.3%
Microsoft Corp................................................. 781,806 20,819,494 0.4%
Oracle Corp.................................................... 517,147 16,946,907 0.3%
#Visa, Inc...................................................... 232,750 21,706,265 0.4%
Other Securities............................................... 624,341,675 10.7%
-------------- -----
Total Information Technology...................................... 803,165,350 13.8%
-------------- -----
Materials -- (4.4%)
Dow Chemical Co. (The)......................................... 547,213 15,256,298 0.3%
Newmont Mining Corp............................................ 203,051 13,569,898 0.2%
Other Securities............................................... 271,841,644 4.7%
-------------- -----
Total Materials................................................... 300,667,840 5.2%
-------------- -----
Other -- (0.0%)
Other Securities............................................... 71,467 0.0%
-------------- -----
Real Estate Investment Trusts -- (0.0%)
Other Securities............................................... 180 0.0%
-------------- -----
Telecommunication Services -- (2.7%)
AT&T, Inc...................................................... 2,765,425 81,054,607 1.4%
Verizon Communications, Inc.................................... 1,309,782 48,435,738 0.8%
Other Securities............................................... 56,302,411 1.0%
-------------- -----
Total Telecommunication Services.................................. 185,792,756 3.2%
-------------- -----
Utilities -- (2.2%)
Other Securities............................................... 153,685,657 2.7%
-------------- -----
TOTAL COMMON STOCKS............................................... 5,818,808,997 100.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................... 32,842 0.0%
-------------- -----
SHARES/
FACE
AMOUNT
--------------
(000)
SECURITIES LENDING COLLATERAL -- (15.6%)
(S)@DFA Short Term Investment Fund................................ 1,077,291,303 1,077,291,303 18.5%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/11 (Collateralized by $1,362,130 FHLMC, rates ranging
from 4.500% to 6.000%, maturities ranging from 07/01/30 to
10/01/36 & FNMA, rates ranging from 4.000% to 5.000%,
maturities ranging from 06/01/26 to 06/01/41, valued at
$1,367,026) to be repurchased at $1,322,460.................. $ 1,322 1,322,456 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL............................... 1,078,613,759 18.5%
-------------- -----
49
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,598,533,431)........................ $6,897,455,598 118.5%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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. $ 816,605,215 -- -- $ 816,605,215
Consumer Staples....... 391,799,669 $ 18,123 -- 391,817,792
Energy................. 704,450,813 -- -- 704,450,813
Financials............. 1,028,611,399 167,268 -- 1,028,778,667
Health Care............ 630,864,080 -- -- 630,864,080
Industrials............ 802,883,848 25,332 -- 802,909,180
Information Technology. 803,165,350 -- -- 803,165,350
Materials.............. 300,667,840 -- -- 300,667,840
Other.................. -- 71,467 -- 71,467
Real Estate Investment
Trusts............... 180 -- -- 180
Telecommunication
Services............. 185,792,756 -- -- 185,792,756
Utilities.............. 153,685,657 -- -- 153,685,657
Rights/Warrants........... 32,842 -- -- 32,842
Securities Lending
Collateral.............. -- 1,078,613,759 -- 1,078,613,759
-------------- -------------- -- --------------
TOTAL..................... $5,818,559,649 $1,078,895,949 -- $6,897,455,598
============== ============== == ==============
See accompanying Notes to Financial Statements.
50
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (84.6%)
Consumer Discretionary -- (12.8%)
CBS Corp. Class B................. 210,809 $ 5,440,980 0.3%
Comcast Corp. Class A............. 298,194 6,992,649 0.4%
#J.C. Penney Co., Inc.............. 113,950 3,655,516 0.2%
*Liberty Interactive Corp. Class A. 295,208 4,850,267 0.3%
*Liberty Media Corp. - Liberty
Capital Class A.................. 48,389 3,717,243 0.2%
#News Corp. Class A................ 247,749 4,340,562 0.2%
#Time Warner, Inc.................. 198,927 6,960,456 0.4%
*Walt Disney Co. (The)............. 126,878 4,425,505 0.2%
Other Securities.................. 238,180,526 12.8%
------------ ----
Total Consumer Discretionary......... 278,563,704 15.0%
------------ ----
Consumer Staples -- (5.0%)
Bunge, Ltd........................ 76,528 4,727,135 0.3%
CVS Caremark Corp................. 183,826 6,672,884 0.4%
J.M. Smucker Co................... 58,872 4,534,321 0.2%
Kraft Foods, Inc. Class A......... 226,307 7,961,480 0.4%
Procter & Gamble Co. (The)........ 97,417 6,233,714 0.3%
Wal-Mart Stores, Inc.............. 67,078 3,804,664 0.2%
Other Securities.................. 75,012,758 4.1%
------------ ----
Total Consumer Staples............... 108,946,956 5.9%
------------ ----
Energy -- (9.0%)
Anadarko Petroleum Corp........... 68,323 5,363,356 0.3%
#Chevron Corp...................... 140,737 14,784,422 0.8%
ConocoPhillips.................... 197,546 13,759,079 0.7%
Exxon Mobil Corp.................. 184,915 14,440,012 0.8%
HollyFrontier Corp................ 137,868 4,231,169 0.2%
Murphy Oil Corp................... 99,687 5,519,669 0.3%
National Oilwell Varco, Inc....... 52,347 3,733,912 0.2%
Other Securities.................. 134,400,828 7.3%
------------ ----
Total Energy......................... 196,232,447 10.6%
------------ ----
Financials -- (19.7%)
American Financial Group, Inc..... 129,237 4,630,562 0.2%
Bank of America Corp.............. 1,252,365 8,553,653 0.5%
Citigroup, Inc.................... 176,896 5,588,145 0.3%
Goldman Sachs Group, Inc. (The)... 43,159 4,728,068 0.3%
Invesco, Ltd...................... 224,753 4,510,793 0.2%
JPMorgan Chase & Co............... 570,669 19,836,454 1.1%
*MetLife, Inc...................... 141,103 4,961,181 0.3%
#PNC Financial Services Group, Inc. 73,036 3,922,764 0.2%
*Principal Financial Group, Inc.... 159,037 4,099,974 0.2%
*Prudential Financial, Inc......... 67,351 3,650,424 0.2%
Travelers Cos., Inc. (The)........ 73,100 4,265,385 0.2%
#Unum Group........................ 203,475 4,850,844 0.3%
Wells Fargo & Co.................. 512,244 13,272,242 0.7%
XL Group P.L.C.................... 167,597 3,643,559 0.2%
Other Securities.................. 340,307,478 18.4%
------------ ----
Total Financials..................... 430,821,526 23.3%
------------ ----
Health Care -- (7.5%)
#*Boston Scientific Corp............ 789,051 4,647,510 0.3%
Merck & Co., Inc.................. 156,737 5,407,426 0.3%
Pfizer, Inc....................... 572,241 11,021,362 0.6%
UnitedHealth Group, Inc........... 79,287 3,804,983 0.2%
WellPoint, Inc.................... 62,400 4,299,360 0.2%
51
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Health Care -- (Continued)
Other Securities.................................................... $ 133,717,915 7.2%
-------------- ----
Total Health Care...................................................... 162,898,556 8.8%
-------------- ----
Industrials -- (11.7%)
General Electric Co................................................. 741,934 12,397,717 0.6%
L-3 Communications Holdings, Inc.................................... 54,307 3,680,928 0.2%
Union Pacific Corp.................................................. 38,880 3,871,282 0.2%
Other Securities.................................................... 236,641,666 12.8%
-------------- ----
Total Industrials...................................................... 256,591,593 13.8%
-------------- ----
Information Technology -- (10.5%)
Fidelity National Information Services, Inc......................... 157,698 4,128,534 0.2%
*IAC/InterActiveCorp................................................. 143,044 5,840,487 0.3%
#Intel Corp.......................................................... 202,420 4,967,387 0.3%
Other Securities.................................................... 214,926,468 11.6%
-------------- ----
Total Information Technology........................................... 229,862,876 12.4%
-------------- ----
Materials -- (4.7%)
MeadWestavco Corp................................................... 151,161 4,218,904 0.2%
Other Securities.................................................... 99,109,833 5.4%
-------------- ----
Total Materials........................................................ 103,328,737 5.6%
-------------- ----
Other -- (0.0%)
Other Securities.................................................... 24,012 0.0%
-------------- ----
Telecommunication Services -- (2.3%)
AT&T, Inc........................................................... 802,858 23,531,768 1.3%
Verizon Communications, Inc......................................... 205,994 7,617,658 0.4%
Other Securities.................................................... 18,894,974 1.0%
-------------- ----
Total Telecommunication Services....................................... 50,044,400 2.7%
-------------- ----
Utilities -- (1.4%)
*AES Corp............................................................ 393,220 4,411,928 0.3%
Other Securities.................................................... 26,318,080 1.4%
-------------- ----
Total Utilities........................................................ 30,730,008 1.7%
-------------- ----
TOTAL COMMON STOCKS.................................................... 1,848,044,815 99.8%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................................................... 9,390 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares. 6,829,482 6,829,482 0.4%
-------------- ----
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (15.1%)
(S)@DFA Short Term Investment Fund..................................... 328,663,098 328,663,098 17.7%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/11 (Collateralized by $354,554 FHLMC, rates ranging
from 4.500% to 6.000%, maturities ranging from 07/01/30 to
10/01/36 & FNMA, rates ranging from 4.000% to 5.000%,
maturities ranging from 06/01/26 to 06/01/41, valued at
$355,828) to be repurchased at $344,228........................... $ 344 344,227 0.0%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL.................................... 329,007,325 17.7%
-------------- ----
52
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,137,196,177)........................ $2,183,891,012 117.9%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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... $ 278,563,704 -- -- $ 278,563,704
Consumer Staples......... 108,939,001 $ 7,955 -- 108,946,956
Energy................... 196,232,447 -- -- 196,232,447
Financials............... 430,715,577 105,949 -- 430,821,526
Health Care.............. 162,898,556 -- -- 162,898,556
Industrials.............. 256,572,491 19,102 -- 256,591,593
Information Technology... 229,862,876 -- -- 229,862,876
Materials................ 103,328,737 -- -- 103,328,737
Other.................... -- 24,012 -- 24,012
Telecommunication
Services............... 50,044,400 -- -- 50,044,400
Utilities................ 30,730,008 -- -- 30,730,008
Rights/Warrants............. 9,390 -- -- 9,390
Temporary Cash Investments.. 6,829,482 -- -- 6,829,482
Securities Lending
Collateral................ -- 329,007,325 -- 329,007,325
-------------- ------------ -- --------------
TOTAL....................... $1,854,726,669 $329,164,343 -- $2,183,891,012
============== ============ == ==============
See accompanying Notes to Financial Statements.
53
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (78.0%)
Consumer Discretionary -- (13.5%)
#Aaron's, Inc.......................... 265,037 $ 7,092,390 0.2%
#Brinker International, Inc............ 322,412 7,383,235 0.2%
#Buckle, Inc........................... 166,850 7,434,836 0.2%
#*Carter's, Inc......................... 215,859 8,222,069 0.2%
#Dillard's, Inc. Class A............... 175,813 9,059,644 0.2%
*Domino's Pizza, Inc................... 270,452 8,662,578 0.2%
#DSW, Inc. Class A..................... 136,560 7,147,550 0.2%
*Express, Inc.......................... 310,412 7,012,207 0.2%
*HSN, Inc.............................. 206,075 7,350,695 0.2%
Penske Automotive Group, Inc.......... 331,438 6,758,021 0.2%
#*Pier 1 Imports, Inc................... 641,193 8,021,324 0.2%
#Rent-A-Center, Inc.................... 213,778 7,300,519 0.2%
#*Ulta Salon Cosmetics & Fragrance, Inc. 159,558 10,736,658 0.3%
Other Securities...................... 551,203,433 14.6%
------------ ----
Total Consumer Discretionary............. 653,385,159 17.3%
------------ ----
Consumer Staples -- (3.6%)
#Casey's General Stores, Inc........... 142,377 7,054,780 0.2%
#Nu Skin Enterprises, Inc. Class A..... 281,324 14,215,302 0.4%
#PriceSmart, Inc....................... 104,676 7,959,563 0.2%
#Ruddick Corp.......................... 156,784 6,853,029 0.2%
*TreeHouse Foods, Inc.................. 110,760 6,794,018 0.2%
Other Securities...................... 133,062,071 3.5%
------------ ----
Total Consumer Staples................... 175,938,763 4.7%
------------ ----
Energy -- (4.6%)
*Bill Barrett Corp..................... 159,102 6,618,643 0.2%
#*CVR Energy, Inc....................... 308,530 7,639,203 0.2%
*Helix Energy Solutions Group, Inc..... 386,146 6,973,797 0.2%
HollyFrontier Corp.................... 544,140 16,699,657 0.4%
#*Rosetta Resources, Inc................ 159,447 7,069,880 0.2%
Other Securities...................... 177,688,715 4.7%
------------ ----
Total Energy............................. 222,689,895 5.9%
------------ ----
Financials -- (11.3%)
Other Securities...................... 543,995,659 14.4%
------------ ----
Health Care -- (8.7%)
#*Cubist Pharmaceuticals, Inc........... 183,698 6,945,621 0.2%
*Healthspring, Inc..................... 198,223 10,692,149 0.3%
#*LifePoint Hospitals, Inc.............. 175,186 6,772,691 0.2%
#Medicis Pharmaceutical Corp. Class A.. 202,645 7,759,277 0.2%
*Myriad Genetics, Inc.................. 308,621 6,567,455 0.2%
#*Questcor Pharmaceuticals, Inc......... 231,036 9,382,372 0.3%
*Thoratec Corp......................... 190,303 6,947,963 0.2%
*WellCare Health Plans, Inc............ 185,381 9,085,523 0.2%
Other Securities...................... 356,052,249 9.4%
------------ ----
Total Health Care........................ 420,205,300 11.2%
------------ ----
Industrials -- (13.8%)
*Acacia Research - Acacia Technologies. 168,983 6,732,283 0.2%
*Alaska Air Group, Inc................. 105,107 6,992,769 0.2%
#*Hexcel Corp........................... 334,881 8,274,910 0.2%
*MasTec, Inc........................... 304,881 6,591,527 0.1%
*Old Dominion Freight Line, Inc........ 191,772 7,013,102 0.2%
Robbins & Myers, Inc.................. 153,211 6,847,000 0.2%
*Teledyne Technologies, Inc............ 128,230 6,984,688 0.2%
54
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
-------------- -------------- ---------------
Industrials -- (Continued)
Other Securities....................................................... $ 614,888,794 16.3%
-------------- ----
Total Industrials......................................................... 664,325,073 17.6%
-------------- ----
Information Technology -- (15.0%)
*Anixter International, Inc............................................. 128,352 7,532,979 0.2%
#*CommVault Systems, Inc................................................. 159,126 6,775,585 0.2%
*Fairchild Semiconductor International, Inc............................. 459,629 6,880,646 0.2%
*Loral Space & Communications, Inc...................................... 120,478 7,288,919 0.2%
*NeuStar, Inc........................................................... 253,413 8,055,999 0.2%
#*RF Micro Devices, Inc.................................................. 991,023 7,274,109 0.2%
*SolarWinds, Inc........................................................ 262,245 7,568,391 0.2%
*Zebra Technologies Corp. Class A....................................... 188,468 6,735,846 0.1%
Other Securities....................................................... 663,230,127 17.6%
-------------- ----
Total Information Technology.............................................. 721,342,601 19.1%
-------------- ----
Materials -- (4.2%)
#Carpenter Technology Corp.............................................. 154,907 8,786,325 0.2%
#NewMarket Corp......................................................... 40,900 7,940,326 0.2%
Other Securities....................................................... 186,722,077 5.0%
-------------- ----
Total Materials........................................................... 203,448,728 5.4%
-------------- ----
Other -- (0.0%)
Other Securities....................................................... 146,504 0.0%
-------------- ----
Telecommunication Services -- (0.7%)
Other Securities....................................................... 35,198,179 0.9%
-------------- ----
Utilities -- (2.6%)
#IDACORP, Inc........................................................... 169,060 6,826,643 0.2%
#New Jersey Resources Corp.............................................. 140,020 6,583,740 0.2%
Other Securities....................................................... 112,372,211 3.0%
-------------- ----
Total Utilities........................................................... 125,782,594 3.4%
-------------- ----
TOTAL COMMON STOCKS....................................................... 3,766,458,455 99.9%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities....................................................... 13,006 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.1%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.... 3,579,149 3,579,149 0.1%
-------------- ----
SHARES/
FACE
AMOUNT
--------------
(000)
SECURITIES LENDING COLLATERAL -- (21.9%)
(S)@DFA Short Term Investment Fund........................................ 1,052,294,913 1,052,294,913 27.9%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11
(Collateralized by $4,271,584 FHLMC, rates ranging from 4.500% to
6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates
ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to
06/01/41, valued at $4,286,937) to be repurchased at $4,147,183...... $ 4,147 4,147,169 0.1%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL....................................... 1,056,442,082 28.0%
-------------- ----
55
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,405,664,193)......................... $4,826,492,692 128.0%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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. $ 653,385,159 -- -- $ 653,385,159
Consumer Staples....... 175,883,921 $ 54,842 -- 175,938,763
Energy................. 222,689,895 -- -- 222,689,895
Financials............. 543,649,803 345,856 -- 543,995,659
Health Care............ 420,205,300 -- -- 420,205,300
Industrials............ 664,138,990 186,083 -- 664,325,073
Information Technology. 721,342,601 -- -- 721,342,601
Materials.............. 203,448,728 -- -- 203,448,728
Other.................. -- 146,504 -- 146,504
Telecommunication
Services............. 35,198,179 -- -- 35,198,179
Utilities.............. 125,782,594 -- -- 125,782,594
Rights/Warrants........... 13,006 -- -- 13,006
Temporary Cash
Investments............. 3,579,149 -- -- 3,579,149
Securities Lending
Collateral.............. -- 1,056,442,082 -- 1,056,442,082
-------------- -------------- -- --------------
TOTAL..................... $3,769,317,325 $1,057,175,367 -- $4,826,492,692
============== ============== == ==============
See accompanying Notes to Financial Statements.
56
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (82.6%)
Consumer Discretionary -- (13.7%)
#*BJ's Restaurants, Inc................. 218,820 $ 11,582,143 0.4%
#*Buffalo Wild Wings, Inc............... 149,089 9,872,674 0.3%
*Domino's Pizza, Inc................... 242,198 7,757,602 0.2%
Finish Line, Inc. Class A (The)....... 400,378 8,047,598 0.2%
*Genesco, Inc.......................... 140,800 8,298,752 0.3%
#*Hibbett Sporting Goods, Inc........... 213,043 8,775,241 0.3%
#Monro Muffler Brake, Inc.............. 271,069 10,053,949 0.3%
*Papa John's International, Inc........ 217,901 7,356,338 0.2%
#*Peet's Coffee & Tea, Inc.............. 131,536 8,381,474 0.3%
*True Religion Apparel, Inc............ 210,027 7,124,116 0.2%
Other Securities...................... 450,818,741 13.8%
------------ ----
Total Consumer Discretionary............. 538,068,628 16.5%
------------ ----
Consumer Staples -- (4.4%)
#*Darling International, Inc............ 576,631 8,084,367 0.2%
*Elizabeth Arden, Inc.................. 261,981 8,980,709 0.3%
#J & J Snack Foods Corp................ 180,997 9,334,015 0.3%
#PriceSmart, Inc....................... 271,252 20,626,002 0.6%
#WD-40 Co.............................. 165,082 7,266,910 0.2%
Other Securities...................... 119,332,147 3.7%
------------ ----
Total Consumer Staples................... 173,624,150 5.3%
------------ ----
Energy -- (3.5%)
#*Clayton Williams Energy, Inc.......... 110,880 7,244,899 0.2%
*Newpark Resources, Inc................ 798,676 7,132,177 0.2%
Other Securities...................... 123,857,189 3.8%
------------ ----
Total Energy............................. 138,234,265 4.2%
------------ ----
Financials -- (12.4%)
#Bank of the Ozarks, Inc............... 312,184 7,764,016 0.2%
#FBL Financial Group, Inc. Class A..... 289,468 9,451,130 0.3%
#*First Cash Financial Services, Inc.... 268,598 11,146,817 0.3%
Infinity Property & Casualty Corp..... 144,597 8,380,842 0.3%
#*World Acceptance Corp................. 156,911 10,615,029 0.3%
Other Securities...................... 439,307,038 13.5%
------------ ----
Total Financials......................... 486,664,872 14.9%
------------ ----
Health Care -- (10.3%)
#*Air Methods Corp...................... 115,182 9,309,009 0.3%
*Amsurg Corp........................... 295,558 7,486,484 0.2%
#*Ariad Pharmaceuticals, Inc............ 887,486 10,321,462 0.3%
#*Neogen Corp........................... 189,637 7,329,470 0.2%
#*Questcor Pharmaceuticals, Inc......... 357,716 14,526,847 0.5%
Other Securities...................... 355,472,269 10.9%
------------ ----
Total Health Care........................ 404,445,541 12.4%
------------ ----
Industrials -- (14.8%)
*Acacia Research - Acacia Technologies. 346,464 13,803,126 0.4%
#*Dollar Thrifty Automotive Group, Inc.. 133,851 8,170,265 0.3%
Kaman Corp............................ 236,632 7,868,014 0.3%
#Raven Industries, Inc................. 178,996 10,741,550 0.3%
#Titan International, Inc.............. 319,702 7,193,295 0.2%
Other Securities...................... 536,930,809 16.5%
------------ ----
Total Industrials........................ 584,707,059 18.0%
------------ ----
57
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Information Technology -- (16.6%)
#*Cabot Microelectronics Corp............................................ 230,045 $ 8,861,333 0.3%
*Entegris, Inc.......................................................... 822,588 7,370,388 0.2%
#*Forrester Research, Inc................................................ 256,389 9,181,290 0.3%
#*iGATE Corp............................................................. 521,424 7,028,796 0.2%
#*IPG Photonics Corp..................................................... 319,989 16,914,619 0.5%
*Loral Space & Communications, Inc...................................... 139,336 8,429,828 0.3%
#*Manhattan Associates, Inc.............................................. 238,948 10,119,448 0.3%
#*NIC, Inc............................................................... 605,136 8,356,928 0.3%
#OPNET Technologies, Inc................................................ 203,834 8,915,699 0.3%
#*RightNow Technologies, Inc............................................. 176,488 7,590,749 0.2%
#*ScanSource, Inc........................................................ 236,107 8,207,079 0.2%
#*Tyler Technologies, Inc................................................ 364,519 11,507,865 0.3%
Other Securities....................................................... 539,406,472 16.6%
-------------- ----
Total Information Technology.............................................. 651,890,494 20.0%
-------------- ----
Materials -- (4.2%)
#AMCOL International Corp............................................... 263,102 7,943,049 0.2%
#*Balchem Corp........................................................... 233,875 8,622,971 0.3%
Buckeye Technologies, Inc.............................................. 257,175 7,776,972 0.2%
Deltic Timber Corp..................................................... 120,402 8,150,011 0.3%
Other Securities....................................................... 134,061,335 4.1%
-------------- ----
Total Materials........................................................... 166,554,338 5.1%
-------------- ----
Other -- (0.0%)
Other Securities....................................................... 225,640 0.0%
-------------- ----
Telecommunication Services -- (1.1%)
Other Securities....................................................... 44,030,118 1.4%
-------------- ----
Utilities -- (1.6%)
CH Energy Group, Inc................................................... 129,612 7,155,879 0.2%
#MGE Energy, Inc........................................................ 196,967 8,595,640 0.3%
Other Securities....................................................... 48,169,935 1.5%
-------------- ----
Total Utilities........................................................... 63,921,454 2.0%
-------------- ----
TOTAL COMMON STOCKS....................................................... 3,252,366,559 99.8%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities....................................................... 3,054 0.0%
-------------- ----
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (17.4%)
(S)@DFA Short Term Investment Fund........................................ 683,522,579 683,522,579 21.0%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11
(Collateralized by $1,971,795 FHLMC, rates ranging from 4.500% to
6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates
ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to
06/01/41, valued at $1,978,882) to be repurchased at $1,914,370...... $ 1,914 1,914,364 0.1%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL....................................... 685,436,943 21.1%
-------------- ----
58
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,600,655,911)........................ $3,937,806,556 120.9%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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... $ 538,068,628 -- -- $ 538,068,628
Consumer Staples......... 173,274,180 $ 349,970 -- 173,624,150
Energy................... 138,234,265 -- -- 138,234,265
Financials............... 486,398,580 266,292 -- 486,664,872
Health Care.............. 404,445,321 220 -- 404,445,541
Industrials.............. 584,543,448 163,611 -- 584,707,059
Information Technology... 651,890,494 -- -- 651,890,494
Materials................ 166,554,338 -- -- 166,554,338
Other.................... -- 225,640 -- 225,640
Telecommunication
Services............... 44,030,118 -- -- 44,030,118
Utilities................ 63,921,454 -- -- 63,921,454
Rights/Warrants............. 3,054 -- -- 3,054
Securities Lending
Collateral................ -- 685,436,943 -- 685,436,943
-------------- ------------ -- --------------
TOTAL....................... $3,251,363,880 $686,442,676 -- $3,937,806,556
============== ============ == ==============
See accompanying Notes to Financial Statements.
59
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
COMMON STOCKS -- (78.3%)
Real Estate Investment
Trusts -- (78.3%)
#Alexander's, Inc.................. 48,481 $ 21,026,210 0.7%
#Alexandria Real Estate Equities,
Inc.............................. 521,795 34,485,432 1.1%
#American Campus Communities, Inc.. 591,013 23,008,136 0.7%
#Apartment Investment & Management
Co. Class A...................... 1,070,880 26,418,610 0.9%
#AvalonBay Communities, Inc........ 799,309 106,859,620 3.4%
#BioMed Realty Trust, Inc.......... 1,115,710 20,205,508 0.7%
#Boston Properties, Inc............ 1,282,000 126,905,180 4.1%
#BRE Properties, Inc............... 604,452 30,295,134 1.0%
Camden Property Trust............. 616,784 37,401,782 1.2%
#CBL & Associates Properties, Inc.. 1,200,256 18,459,937 0.6%
#DDR Corp.......................... 2,169,519 27,791,538 0.9%
#Digital Realty Trust, Inc......... 820,928 51,168,442 1.6%
#Douglas Emmett, Inc............... 1,030,607 20,096,837 0.6%
#Duke Realty Corp.................. 2,155,660 26,471,505 0.9%
#Entertainment Properties Trust.... 398,314 17,844,467 0.6%
#Equity Lifestyle Properties, Inc.. 305,149 20,179,503 0.6%
#Equity Residential................ 2,602,656 152,723,854 4.9%
#Essex Property Trust, Inc......... 278,971 39,825,900 1.3%
#Extra Space Storage, Inc.......... 761,021 17,145,803 0.6%
#Federal Realty Investment Trust... 562,878 49,961,051 1.6%
#General Growth Properties, Inc.... 3,768,676 55,399,537 1.8%
#HCP, Inc.......................... 3,359,192 133,863,801 4.3%
#Health Care REIT, Inc............. 1,480,401 78,002,329 2.5%
#Highwoods Properties, Inc......... 655,670 20,312,657 0.7%
#Home Properties, Inc.............. 394,411 23,230,808 0.7%
#Hospitality Properties Trust...... 1,129,465 27,141,044 0.9%
#Host Hotels & Resorts, Inc........ 6,093,286 86,951,191 2.8%
#Kilroy Realty Corp................ 482,302 17,695,660 0.6%
#Kimco Realty Corp................. 3,688,342 64,435,335 2.1%
#LaSalle Hotel Properties.......... 701,968 16,784,055 0.5%
#Liberty Property Trust............ 1,044,979 33,439,328 1.1%
#Macerich Co. (The)................ 1,112,431 55,354,567 1.8%
#Mack-Cali Realty Corp............. 740,084 20,766,757 0.7%
#Mid-America Apartment
Communities, Inc................. 306,430 19,121,232 0.6%
#National Retail Properties, Inc... 776,932 21,171,397 0.7%
#Piedmont Office Realty Trust, Inc. 1,425,836 24,210,695 0.8%
#Post Properties, Inc.............. 446,316 18,334,661 0.6%
#ProLogis, Inc..................... 3,786,798 112,695,108 3.6%
#Public Storage.................... 1,324,670 170,948,664 5.5%
#Realty Income Corp................ 1,097,070 36,653,109 1.2%
#Regency Centers Corp.............. 750,677 30,747,730 1.0%
Senior Housing Properties Trust... 1,254,419 28,149,162 0.9%
#Simon Property Group, Inc......... 2,680,150 344,238,466 11.1%
#SL Green Realty Corp.............. 733,470 50,602,095 1.6%
#Tanger Factory Outlet Centers, Inc 740,796 20,860,815 0.7%
Taubman Centers, Inc.............. 501,718 30,720,193 1.0%
UDR, Inc.......................... 1,759,117 43,854,787 1.4%
#Ventas, Inc....................... 2,279,264 126,749,871 4.1%
#Vornado Realty Trust.............. 1,508,390 124,909,776 4.0%
Weingarten Realty Investors....... 1,049,531 24,359,615 0.8%
Other Securities.................. 350,923,872 11.3%
-------------- ----
TOTAL COMMON STOCKS.................. 3,080,902,766 99.4%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds
TempCash Portfolio -
Institutional Shares............ 16,634,679 16,634,679 0.6%
-------------- ----
60
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS*
------------ -------------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (21.3%)
(S)@DFA Short Term Investment Fund........... 831,111,524 $ 831,111,524 26.8%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.12%, 11/01/11
(Collateralized by $5,834,067 FHLMC,
rates ranging from 4.500% to 6.000%,
maturities ranging from 07/01/30
to 10/01/36 & FNMA, rates ranging from
4.000% to 5.000%, maturities ranging
from 06/01/26 to 06/01/41, valued
at $5,855,036) to be repurchased at
$5,664,162.............................. $ 5,664 5,664,143 0.2%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......... 836,775,667 27.0%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,212,200,140)...................... $3,934,313,112 127.0%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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................ $3,080,902,766 -- -- $3,080,902,766
Temporary Cash Investments. 16,634,679 -- -- 16,634,679
Securities Lending
Collateral............... -- $836,775,667 -- 836,775,667
-------------- ------------ -- --------------
TOTAL...................... $3,097,537,445 $836,775,667 -- $3,934,313,112
============== ============ == ==============
See accompanying Notes to Financial Statements.
61
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (88.3%)
AUSTRALIA -- (7.0%)
Australia & New Zealand Banking Group,
Ltd.................................. 404,534 $ 9,140,990 0.5%
BHP Billiton, Ltd...................... 294,474 11,527,036 0.7%
#BHP Billiton, Ltd. Sponsored ADR....... 94,000 7,339,520 0.4%
#Commonwealth Bank of Australia NL...... 226,423 11,631,325 0.7%
#National Australia Bank, Ltd........... 351,947 9,400,269 0.6%
#Westpac Banking Corp................... 370,419 8,596,005 0.5%
Other Securities....................... 77,236,078 4.5%
------------ ----
TOTAL AUSTRALIA........................... 134,871,223 7.9%
------------ ----
AUSTRIA -- (0.2%)
Other Securities....................... 3,978,127 0.2%
------------ ----
BELGIUM -- (0.7%)
Other Securities....................... 12,956,128 0.8%
------------ ----
CANADA -- (9.9%)
#Bank of Montreal....................... 100,316 5,926,872 0.3%
Bank of Nova Scotia.................... 154,227 8,127,960 0.5%
#Barrick Gold Corp...................... 148,900 7,351,261 0.4%
*Canadian National Resources, Ltd....... 168,536 5,945,047 0.4%
Goldcorp, Inc.......................... 119,317 5,805,743 0.3%
Potash Corp. of Saskatchewan, Inc...... 127,800 6,049,264 0.4%
#Royal Bank of Canada................... 214,980 10,486,408 0.6%
Suncor Energy, Inc..................... 245,579 7,822,557 0.5%
#Toronto Dominion Bank.................. 138,484 10,452,121 0.6%
Other Securities....................... 121,117,122 7.1%
------------ ----
TOTAL CANADA.............................. 189,084,355 11.1%
------------ ----
DENMARK -- (0.8%)
Other Securities....................... 15,934,929 0.9%
------------ ----
FINLAND -- (0.7%)
Other Securities....................... 13,200,582 0.8%
------------ ----
FRANCE -- (7.5%)
BNP Paribas SA......................... 151,842 6,780,487 0.4%
LVMH Moet Hennessy Louis Vuitton SA.... 37,300 6,182,256 0.4%
*Sanofi SA.............................. 125,482 8,976,861 0.5%
Total SA............................... 188,167 9,818,035 0.6%
#Total SA Sponsored ADR................. 144,707 7,568,176 0.4%
Other Securities....................... 103,592,222 6.1%
------------ ----
TOTAL FRANCE.............................. 142,918,037 8.4%
------------ ----
GERMANY -- (6.2%)
BASF SE................................ 127,327 9,294,343 0.6%
Daimler AG............................. 144,927 7,360,712 0.4%
Siemens AG Sponsored ADR............... 67,650 7,101,220 0.4%
Other Securities....................... 94,484,616 5.5%
------------ ----
TOTAL GERMANY............................. 118,240,891 6.9%
------------ ----
GREECE -- (0.1%)
Other Securities....................... 1,332,587 0.1%
------------ ----
HONG KONG -- (2.1%)
Other Securities....................... 40,213,065 2.4%
------------ ----
62
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
IRELAND -- (0.2%)
Other Securities..................... $ 3,979,740 0.2%
------------ ----
ISRAEL -- (0.5%)
Other Securities..................... 8,892,145 0.5%
------------ ----
ITALY -- (1.8%)
Other Securities..................... 35,071,228 2.1%
------------ ----
JAPAN -- (16.5%)
Mitsubishi UFJ Financial Group, Inc.
ADR................................ 1,455,897 6,304,034 0.4%
Sumitomo Mitsui Financial Group, Inc. 206,840 5,781,494 0.3%
Toyota Motor Corp.................... 237,000 7,868,585 0.5%
Other Securities..................... 296,612,690 17.4%
------------ ----
TOTAL JAPAN............................. 316,566,803 18.6%
------------ ----
NETHERLANDS -- (2.1%)
Unilever NV.......................... 232,801 8,037,144 0.5%
Other Securities..................... 32,286,432 1.9%
------------ ----
TOTAL NETHERLANDS....................... 40,323,576 2.4%
------------ ----
NEW ZEALAND -- (0.1%)
Other Securities..................... 1,751,488 0.1%
------------ ----
NORWAY -- (0.9%)
Other Securities..................... 17,778,919 1.0%
------------ ----
PORTUGAL -- (0.2%)
Other Securities..................... 3,684,379 0.2%
------------ ----
SINGAPORE -- (1.3%)
Other Securities..................... 25,916,519 1.5%
------------ ----
SPAIN -- (2.7%)
Banco Santander SA Sponsored ADR..... 884,386 7,570,344 0.5%
#Telefonica SA Sponsored ADR.......... 387,489 8,280,640 0.5%
Other Securities..................... 36,360,995 2.1%
------------ ----
TOTAL SPAIN............................. 52,211,979 3.1%
------------ ----
SWEDEN -- (2.4%)
Other Securities..................... 46,769,874 2.7%
------------ ----
SWITZERLAND -- (6.5%)
Nestle SA............................ 489,910 28,335,266 1.7%
Novartis AG.......................... 193,385 10,894,398 0.6%
Novartis AG ADR...................... 147,100 8,306,737 0.5%
Roche Holding AG Genusschein......... 104,748 17,185,942 1.0%
*UBS AG............................... 532,753 6,733,044 0.4%
Other Securities..................... 52,297,281 3.1%
------------ ----
TOTAL SWITZERLAND....................... 123,752,668 7.3%
------------ ----
UNITED KINGDOM -- (17.9%)
Anglo American P.L.C................. 211,958 7,770,474 0.5%
AstraZeneca P.L.C.................... 123,555 5,931,765 0.4%
BG Group P.L.C....................... 453,969 9,843,858 0.6%
#BHP Billiton P.L.C. ADR.............. 113,263 7,132,171 0.4%
BP P.L.C. Sponsored ADR.............. 415,018 18,335,495 1.1%
British American Tobacco P.L.C....... 252,906 11,595,806 0.7%
GlaxoSmithKline P.L.C................ 478,323 10,734,683 0.6%
GlaxoSmithKline P.L.C. Sponsored ADR. 154,591 6,924,131 0.4%
HSBC Holdings P.L.C.................. 1,206,879 10,735,807 0.6%
HSBC Holdings P.L.C. Sponsored ADR... 309,839 13,527,571 0.8%
63
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
UNITED KINGDOM -- (Continued)
Rio Tinto P.L.C................................................. 168,948 $ 9,139,891 0.5%
Royal Dutch Shell P.L.C. ADR.................................... 267,024 19,172,323 1.1%
Standard Chartered P.L.C........................................ 389,134 9,080,168 0.5%
Tesco P.L.C..................................................... 1,280,146 8,253,622 0.5%
Vodafone Group P.L.C............................................ 3,189,133 8,855,210 0.5%
Vodafone Group P.L.C. Sponsored ADR............................. 541,850 15,085,104 0.9%
Other Securities................................................ 170,367,996 10.0%
-------------- -----
TOTAL UNITED KINGDOM............................................... 342,486,075 20.1%
-------------- -----
TOTAL COMMON STOCKS................................................ 1,691,915,317 99.3%
-------------- -----
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.0%)..................................................
Other Securities................................................ 1,122,401 0.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
Other Securities................................................ -- 0.0%
-------------- -----
FRANCE -- (0.0%)
Other Securities................................................ 16 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities................................................ 77,534 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS.............................................. 77,550 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (11.6%)
(S)@DFA Short Term Investment Fund................................. 222,462,799 222,462,799 13.0%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%,
11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at
$141,447) to be repurchased at $138,674....................... $ 139 138,674 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL................................ 222,601,473 13.0%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,823,498,825)............................................ $1,915,716,741 112.4%
============== =====
64
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of October 31,
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................ $ 9,980,721 $ 124,890,502 -- $ 134,871,223
Austria.................. 55,100 3,923,027 -- 3,978,127
Belgium.................. 2,331,061 10,625,067 -- 12,956,128
Canada................... 189,084,355 -- -- 189,084,355
Denmark.................. 2,820,245 13,114,684 -- 15,934,929
Finland.................. 1,693,594 11,506,988 -- 13,200,582
France................... 14,835,591 128,082,446 -- 142,918,037
Germany.................. 24,107,837 94,133,054 -- 118,240,891
Greece................... 77,427 1,255,160 -- 1,332,587
Hong Kong................ -- 40,213,065 -- 40,213,065
Ireland.................. 1,798,065 2,181,675 -- 3,979,740
Israel................... 5,353,646 3,538,499 -- 8,892,145
Italy.................... 5,246,571 29,824,657 -- 35,071,228
Japan.................... 31,659,499 284,907,304 -- 316,566,803
Netherlands.............. 3,878,230 36,445,346 -- 40,323,576
New Zealand.............. -- 1,751,488 -- 1,751,488
Norway................... 1,219,272 16,559,647 -- 17,778,919
Portugal................. 145,957 3,538,422 -- 3,684,379
Singapore................ -- 25,916,519 -- 25,916,519
Spain.................... 23,212,665 28,999,314 -- 52,211,979
Sweden................... 658,225 46,111,649 -- 46,769,874
Switzerland.............. 16,266,191 107,486,477 -- 123,752,668
United Kingdom........... 116,652,327 225,833,748 -- 342,486,075
Preferred Stocks
Germany.................. -- 1,122,401 -- 1,122,401
Rights/Warrants
Belgium.................. -- -- -- --
France................... -- 16 -- 16
Hong Kong................ -- 77,534 -- 77,534
Securities Lending
Collateral................ -- 222,601,473 -- 222,601,473
------------ -------------- -- --------------
TOTAL....................... $451,076,579 $1,464,640,162 -- $1,915,716,741
============ ============== == ==============
See accompanying Notes to Financial Statements.
65
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (87.5%)
AUSTRALIA -- (6.6%)
Australia & New Zealand Banking
Group, Ltd.......................... 762,059 $ 17,219,748 0.3%
#Commonwealth Bank of Australia NL..... 298,377 15,327,594 0.3%
#National Australia Bank, Ltd.......... 955,683 25,525,653 0.5%
#Origin Energy, Ltd.................... 776,727 11,704,787 0.2%
Wesfarmers, Ltd....................... 396,275 13,444,988 0.2%
Westpac Banking Corp.................. 623,513 14,469,347 0.3%
Other Securities...................... 309,219,313 5.7%
------------ ----
TOTAL AUSTRALIA.......................... 406,911,430 7.5%
------------ ----
AUSTRIA -- (0.4%)
Other Securities...................... 25,447,567 0.5%
------------ ----
BELGIUM -- (1.0%)
Other Securities...................... 60,007,292 1.1%
------------ ----
CANADA -- (10.6%)
#Bank of Montreal...................... 247,373 14,615,296 0.3%
*Canadian National Resources, Ltd...... 379,150 13,374,381 0.2%
#Royal Bank of Canada.................. 276,787 13,501,263 0.3%
Suncor Energy, Inc.................... 627,329 19,982,639 0.4%
#Toronto Dominion Bank................. 309,560 23,364,132 0.4%
Other Securities...................... 562,244,210 10.4%
------------ ----
TOTAL CANADA............................. 647,081,921 12.0%
------------ ----
DENMARK -- (0.7%)
Other Securities...................... 44,413,166 0.8%
------------ ----
FINLAND -- (1.3%)
Other Securities...................... 81,249,610 1.5%
------------ ----
FRANCE -- (6.2%)
BNP Paribas SA........................ 344,447 15,381,240 0.3%
#GDF Suez SA........................... 494,347 13,927,097 0.2%
Sanofi SA ADR......................... 562,231 20,099,758 0.4%
#Total SA Sponsored ADR................ 497,184 26,002,723 0.5%
Other Securities...................... 305,307,825 5.6%
------------ ----
TOTAL FRANCE............................. 380,718,643 7.0%
------------ ----
GERMANY -- (5.2%)
Bayerische Motoren Werke AG........... 146,243 11,879,923 0.2%
Daimler AG............................ 366,977 18,638,432 0.4%
E.ON AG............................... 478,966 11,550,258 0.2%
Munchener
Rueckversicherungs-Gesellschaft AG.. 86,672 11,607,062 0.2%
Siemens AG Sponsored ADR.............. 125,474 13,171,006 0.2%
Other Securities...................... 253,078,460 4.7%
------------ ----
TOTAL GERMANY............................ 319,925,141 5.9%
------------ ----
GREECE -- (0.3%)
Other Securities...................... 18,826,874 0.3%
------------ ----
HONG KONG -- (2.2%)
Other Securities...................... 132,897,281 2.5%
------------ ----
IRELAND -- (0.5%)
Other Securities...................... 30,027,936 0.6%
------------ ----
ISRAEL -- (0.7%)
Teva Pharmaceutical Industries,
Ltd. Sponsored ADR.................. 368,163 15,039,459 0.3%
66
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
ISRAEL -- (Continued)
Other Securities.................. $ 26,411,514 0.5%
-------------- ----
TOTAL ISRAEL......................... 41,450,973 0.8%
-------------- ----
ITALY -- (1.9%)
Other Securities.................. 116,054,265 2.1%
-------------- ----
JAPAN -- (17.3%)
Honda Motor Co., Ltd. Sponsored
ADR............................. 409,732 12,250,987 0.2%
Mitsubishi UFJ Financial Group,
Inc............................. 2,788,400 12,118,212 0.2%
Sumitomo Mitsui Financial Group,
Inc............................. 490,370 13,706,590 0.3%
Toyota Motor Corp. Sponsored ADR.. 345,041 23,017,685 0.4%
Other Securities.................. 999,914,033 18.6%
-------------- ----
TOTAL JAPAN.......................... 1,061,007,507 19.7%
-------------- ----
NETHERLANDS -- (2.1%)
#*ING Groep NV Sponsored ADR........ 1,565,969 13,529,972 0.3%
Other Securities.................. 115,741,461 2.1%
-------------- ----
TOTAL NETHERLANDS.................... 129,271,433 2.4%
-------------- ----
NEW ZEALAND -- (0.2%)
Other Securities.................. 13,882,567 0.3%
-------------- ----
NORWAY -- (1.0%)
Other Securities.................. 60,195,839 1.1%
-------------- ----
PORTUGAL -- (0.3%)
Other Securities.................. 18,244,747 0.3%
-------------- ----
SINGAPORE -- (1.5%)
Other Securities.................. 88,492,413 1.6%
-------------- ----
SPAIN -- (2.2%)
#Banco Santander SA Sponsored ADR.. 2,229,277 19,082,611 0.4%
Other Securities.................. 114,790,363 2.1%
-------------- ----
TOTAL SPAIN.......................... 133,872,974 2.5%
-------------- ----
SWEDEN -- (2.6%)
Other Securities.................. 159,572,780 3.0%
-------------- ----
SWITZERLAND -- (5.7%)
Compagnie Financiere Richemont
SA Series A..................... 232,579 13,248,772 0.2%
#Credit Suisse Group AG Sponsored
ADR.............................. 411,180 11,911,885 0.2%
Holcim, Ltd....................... 196,366 12,435,091 0.2%
Nestle SA......................... 634,067 36,672,975 0.7%
#Novartis AG ADR................... 565,326 31,923,959 0.6%
Roche Holding AG Genusschein...... 82,873 13,596,924 0.3%
*Swiss Re, Ltd..................... 260,224 14,207,841 0.3%
*UBS AG............................ 1,369,056 17,302,415 0.3%
Zurich Financial Services AG...... 94,275 21,725,069 0.4%
Other Securities.................. 176,474,572 3.3%
-------------- ----
TOTAL SWITZERLAND.................... 349,499,503 6.5%
-------------- ----
UNITED KINGDOM -- (17.0%)
Anglo American P.L.C.............. 536,326 19,661,949 0.4%
#Barclays P.L.C. Sponsored ADR..... 1,018,495 12,741,372 0.2%
BG Group P.L.C.................... 693,711 15,042,420 0.3%
BP P.L.C. Sponsored ADR........... 1,242,359 54,887,421 1.0%
HSBC Holdings P.L.C. Sponsored
ADR............................. 1,411,211 61,613,472 1.2%
Imperial Tobacco Group P.L.C...... 400,030 14,571,837 0.3%
#Prudential P.L.C. ADR............. 624,941 12,917,530 0.2%
67
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
UNITED KINGDOM -- (Continued)
#Rio Tinto P.L.C. Sponsored ADR.... 257,107 $ 13,899,204 0.3%
#Royal Dutch Shell P.L.C. ADR...... 1,170,652 84,052,814 1.6%
SABmiller P.L.C................... 396,880 14,454,433 0.3%
Standard Chartered P.L.C.......... 973,934 22,726,066 0.4%
Tesco P.L.C....................... 2,009,224 12,954,285 0.2%
Vodafone Group P.L.C. Sponsored
ADR............................. 2,013,800 56,064,192 1.0%
Xstrata P.L.C..................... 782,713 13,037,282 0.2%
Other Securities.................. 633,167,848 11.7%
-------------- ----
TOTAL UNITED KINGDOM................. 1,041,792,125 19.3%
-------------- ----
UNITED STATES -- (0.0%)
Other Securities.................. 167,511 0.0%
-------------- ----
TOTAL COMMON STOCKS.................. 5,361,011,498 99.3%
-------------- ----
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities.................. 3,248,479 0.1%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................. 2,000 0.0%
-------------- ----
BELGIUM -- (0.0%)
Other Securities.................. 912 0.0%
-------------- ----
CANADA -- (0.0%)
Other Securities.................. 6,085 0.0%
-------------- ----
HONG KONG -- (0.0%)
Other Securities.................. 310,327 0.0%
-------------- ----
ITALY -- (0.0%)
Other Securities.................. 491,375 0.0%
-------------- ----
JAPAN -- (0.0%)
Other Securities.................. -- 0.0%
-------------- ----
NORWAY -- (0.0%)
Other Securities.................. -- 0.0%
-------------- ----
SINGAPORE -- (0.0%)
Other Securities.................. 44,515 0.0%
-------------- ----
SPAIN -- (0.0%)
Other Securities.................. -- 0.0%
-------------- ----
UNITED KINGDOM -- (0.0%)
Other Securities.................. 2,125 0.0%
-------------- ----
TOTAL RIGHTS/WARRANTS................ 857,339 0.0%
-------------- ----
68
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------------ -------------- ---------------
(000)
SECURITIES LENDING COLLATERAL -- (12.4%)
(S)@DFA Short Term Investment Fund...... 758,998,178 $ 758,998,178 14.1%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.11%, 11/01/11
(Collateralized by FNMA 3.500%,
11/01/31, valued at $1,652,385) to
be repurchased at $1,619,990....... $ 1,620 1,619,985 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL..... 760,618,163 14.1%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,593,025,409)................. $6,125,735,479 113.5%
============== =====
69
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of October 31,
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.............. $ 24,248,905 $ 382,662,525 -- $ 406,911,430
Austria................ 146,543 25,301,024 -- 25,447,567
Belgium................ 9,198,475 50,808,817 -- 60,007,292
Canada................. 646,764,266 317,655 -- 647,081,921
Denmark................ 2,509,874 41,903,292 -- 44,413,166
Finland................ 3,078,828 78,170,782 -- 81,249,610
France................. 73,789,463 306,929,180 -- 380,718,643
Germany................ 54,910,512 265,014,629 -- 319,925,141
Greece................. 1,839,599 16,987,275 -- 18,826,874
Hong Kong.............. 396,611 132,500,670 -- 132,897,281
Ireland................ 8,472,364 21,555,572 -- 30,027,936
Israel................. 17,762,504 23,688,469 -- 41,450,973
Italy.................. 13,894,968 102,159,297 -- 116,054,265
Japan.................. 80,483,024 980,524,483 -- 1,061,007,507
Netherlands............ 28,196,809 101,074,624 -- 129,271,433
New Zealand............ 536,955 13,345,612 -- 13,882,567
Norway................. 8,085,874 52,109,965 -- 60,195,839
Portugal............... 255,204 17,989,543 -- 18,244,747
Singapore.............. 11,008 88,481,405 -- 88,492,413
Spain.................. 40,201,932 93,671,042 -- 133,872,974
Sweden................. 8,151,868 151,420,912 -- 159,572,780
Switzerland............ 60,490,055 289,009,448 -- 349,499,503
United Kingdom......... 376,698,536 665,093,589 -- 1,041,792,125
United States.......... 167,511 -- -- 167,511
Preferred Stocks
Germany................ -- 3,248,479 -- 3,248,479
Rights/Warrants
Australia.............. 848 1,152 -- 2,000
Belgium................ 93 819 -- 912
Canada................. 5,504 581 -- 6,085
Hong Kong.............. 9,600 300,727 -- 310,327
Italy.................. 491,375 -- -- 491,375
Japan.................. -- -- -- --
Norway................. -- -- -- --
Singapore.............. 44,515 -- -- 44,515
Spain.................. -- -- -- --
United Kingdom......... -- 2,125 -- 2,125
Securities Lending
Collateral.............. -- 760,618,163 -- 760,618,163
-------------- -------------- -- --------------
TOTAL..................... $1,460,843,623 $4,664,891,856 -- $6,125,735,479
============== ============== == ==============
See accompanying Notes to Financial Statements.
70
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2011
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company.............................. $1,884,274,386
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company.............................. 1,339,627,823
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company.............................. 1,099,968,620
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company.............................. 767,432,021
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company.............................. 736,260,868
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $5,863,291,899)...................................... 5,827,563,718
==============
TOTAL INVESTMENTS - (100.0%)
(Cost $5,863,291,899).................................. $5,827,563,718
==============
Summary of inputs used to value the Portfolio's investments as of October 31,
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.. $5,827,563,718 -- -- $5,827,563,718
-------------- -- -- --------------
TOTAL............................ $5,827,563,718 -- -- $5,827,563,718
============== == == ==============
See accompanying Notes to Financial Statements.
71
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2011
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company............................... $163,185,370
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $225,979,160)......................................... $163,185,370
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of October 31, 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............................... $139,306,320
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $133,473,171)......................................... $139,306,320
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of October 31, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
72
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2011
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company........................................ $33,875,590
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $32,443,321)........................................... $33,875,590
===========
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of October 31, 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....................................... $117,494,809
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $120,697,761)......................................... $117,494,809
============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of October 31, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
73
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (90.0%)
AUSTRALIA -- (25.2%)
CFS Retail Property Trust.......... 9,495,471 $ 18,101,106 1.7%
#Charter Hall Office REIT........... 2,059,687 7,308,705 0.7%
#Commonwealth Property Office Fund.. 11,268,571 10,992,235 1.0%
Dexus Property Group............... 22,645,933 20,144,876 1.9%
Goodman Group...................... 34,562,666 22,460,174 2.1%
GPT Group.......................... 8,259,929 27,260,137 2.6%
Investa Office Fund................ 12,013,956 7,854,072 0.7%
Stockland Trust Group.............. 11,211,135 37,021,381 3.5%
Westfield Group.................... 10,752,623 86,562,454 8.2%
Westfield Retail Trust............. 13,665,264 36,417,759 3.4%
Other Securities................... 20,785,916 2.0%
------------ ----
TOTAL AUSTRALIA....................... 294,908,815 27.8%
------------ ----
BELGIUM -- (1.5%)
Cofinimmo SA....................... 57,381 6,995,067 0.7%
Other Securities................... 10,552,543 1.0%
------------ ----
TOTAL BELGIUM......................... 17,547,610 1.7%
------------ ----
CANADA -- (6.9%)
#Boardwalk REIT..................... 107,425 5,246,500 0.5%
#Calloway REIT...................... 235,054 6,202,077 0.6%
#Canadian REIT...................... 154,493 5,499,284 0.5%
#H&R REIT........................... 626,246 13,677,828 1.3%
#RioCan REIT........................ 598,284 15,179,937 1.4%
Other Securities................... 35,058,436 3.3%
------------ ----
TOTAL CANADA.......................... 80,864,062 7.6%
------------ ----
CHINA -- (0.1%)
Other Securities................... 1,433,235 0.1%
------------ ----
FRANCE -- (12.4%)
Fonciere des Regions SA............ 127,922 9,427,170 0.9%
Gecina SA.......................... 99,820 9,871,461 0.9%
ICADE SA........................... 105,620 9,452,734 0.9%
Klepierre SA....................... 477,925 14,896,760 1.4%
Societe Immobiliere de Location
pour l'Industrie et le Commerce
SA............................... 60,179 6,316,891 0.6%
Unibail-Rodamco SE................. 430,171 85,522,033 8.1%
Other Securities................... 9,177,687 0.9%
------------ ----
TOTAL FRANCE.......................... 144,664,736 13.7%
------------ ----
GERMANY -- (0.2%)
Other Securities................... 2,302,835 0.2%
------------ ----
GREECE -- (0.0%)
Other Securities................... 289,306 0.0%
------------ ----
HONG KONG -- (3.8%)
Link REIT (The).................... 10,491,447 36,030,162 3.4%
Other Securities................... 8,303,569 0.8%
------------ ----
TOTAL HONG KONG....................... 44,333,731 4.2%
------------ ----
ISRAEL -- (0.1%)
Other Securities................... 471,711 0.0%
------------ ----
ITALY -- (0.2%)
Other Securities................... 2,651,637 0.3%
------------ ----
74
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
JAPAN -- (13.7%)
Advance Residence Investment Corp.. 4,506 $ 8,536,227 0.8%
#Frontier Real Estate Investment
Corp.............................. 803 6,963,253 0.7%
Japan Logistics Fund, Inc.......... 661 5,696,505 0.5%
Japan Prime Realty Investment Corp. 3,087 7,392,731 0.7%
Japan Real Estate Investment Corp.. 2,202 18,782,409 1.8%
Japan Retail Fund Investment Corp.. 7,473 11,568,004 1.1%
MORI TRUST Sogo REIT, Inc.......... 777 6,841,086 0.6%
Nippon Accommodations Fund, Inc.... 832 5,513,194 0.5%
Nippon Building Fund, Inc.......... 2,568 24,798,429 2.3%
Nomura Real Estate Office Fund,
Inc.............................. 1,270 6,776,619 0.6%
ORIX JREIT, Inc.................... 1,258 5,176,684 0.5%
United Urban Investment Corp....... 7,991 9,010,985 0.9%
Other Securities................... 43,483,118 4.1%
-------------- ----
TOTAL JAPAN........................... 160,539,244 15.1%
-------------- ----
MALAYSIA -- (0.1%)
Other Securities................... 1,184,708 0.1%
-------------- ----
NETHERLANDS -- (3.2%)
#Corio NV........................... 296,540 15,069,675 1.4%
Eurocommercial Properties NV....... 173,143 7,384,821 0.7%
Wereldhave NV...................... 98,279 7,692,752 0.8%
Other Securities................... 7,671,696 0.7%
-------------- ----
TOTAL NETHERLANDS..................... 37,818,944 3.6%
-------------- ----
NEW ZEALAND -- (0.7%)
Other Securities................... 8,046,881 0.8%
-------------- ----
SINGAPORE -- (6.6%)
Ascendas REIT...................... 8,614,000 14,014,500 1.3%
#CapitaCommercial Trust............. 9,608,000 8,583,035 0.8%
#CapitaMall Trust................... 9,947,300 14,779,478 1.4%
#Suntec REIT........................ 9,576,000 9,409,317 0.9%
Other Securities................... 29,927,633 2.8%
-------------- ----
TOTAL SINGAPORE....................... 76,713,963 7.2%
-------------- ----
SOUTH AFRICA -- (1.3%)
Other Securities................... 15,033,826 1.4%
-------------- ----
TAIWAN -- (0.5%)
Other Securities................... 5,555,880 0.5%
-------------- ----
TURKEY -- (0.2%)
Other Securities................... 2,750,181 0.3%
-------------- ----
UNITED KINGDOM -- (13.3%)
British Land Co. P.L.C............. 3,992,823 32,665,745 3.1%
Capital Shopping Centres Group
P.L.C............................ 2,470,132 13,037,702 1.2%
Derwent London P.L.C............... 424,026 11,541,706 1.1%
Great Portland Estates P.L.C....... 1,344,878 8,039,765 0.8%
Hammerson P.L.C.................... 3,244,216 21,194,780 2.0%
Land Securities Group P.L.C........ 3,670,740 40,174,032 3.8%
Segro P.L.C........................ 3,278,015 12,818,268 1.2%
Shaftesbury P.L.C.................. 964,902 7,797,207 0.7%
Other Securities................... 8,319,981 0.8%
-------------- ----
TOTAL UNITED KINGDOM.................. 155,589,186 14.7%
-------------- ----
TOTAL COMMON STOCKS................... 1,052,700,491 99.3%
-------------- ----
75
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
NETHERLANDS -- (0.0%)
Other Securities................ $ -- 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (10.0%)
(S)@DFA Short Term Investment Fund. 117,429,095 117,429,095 11.1%
@Repurchase Agreement, Deutsche
Bank Securities, Inc. 0.11%,
11/01/11 (Collateralized by
FNMA 3.500%, 11/01/31, valued
at $145,433) to be
repurchased at $142,581....... $ 143 142,581 0.0%
-------------- -----
TOTAL SECURITIES LENDING
COLLATERAL....................... 117,571,676 11.1%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,236,416,496) $1,170,272,167 110.4%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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................. -- $ 294,908,815 -- $ 294,908,815
Belgium................... -- 17,547,610 -- 17,547,610
Canada.................... $80,864,062 -- -- 80,864,062
China..................... -- 1,433,235 -- 1,433,235
France.................... -- 144,664,736 -- 144,664,736
Germany................... -- 2,302,835 -- 2,302,835
Greece.................... -- 289,306 -- 289,306
Hong Kong................. -- 44,333,731 -- 44,333,731
Israel.................... -- 471,711 -- 471,711
Italy..................... -- 2,651,637 -- 2,651,637
Japan..................... -- 160,539,244 -- 160,539,244
Malaysia.................. -- 1,184,708 -- 1,184,708
Netherlands............... -- 37,818,944 -- 37,818,944
New Zealand............... -- 8,046,881 -- 8,046,881
Singapore................. -- 76,713,963 -- 76,713,963
South Africa.............. -- 15,033,826 -- 15,033,826
Taiwan.................... -- 5,555,880 -- 5,555,880
Turkey.................... -- 2,750,181 -- 2,750,181
United Kingdom............ -- 155,589,186 -- 155,589,186
Rights/Warrants
Netherlands............... -- -- -- --
Securities Lending Collateral -- 117,571,676 -- 117,571,676
----------- -------------- -- --------------
TOTAL........................ $80,864,062 $1,089,408,105 -- $1,170,272,167
=========== ============== == ==============
See accompanying Notes to Financial Statements.
76
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2011
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................. 22,408,191 $520,990,441
Investment in DFA International Real Estate
Securities Portfolio of DFA Investment Dimensions
Group Inc........................................... 70,803,906 346,939,139
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES
(Cost $700,209,803).............................. 867,929,580
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
BlackRock Liquidity Funds TempCash
Portfolio-Institutional Shares
(Cost $1,082,738)................................ 1,082,738 1,082,738
------------
TOTAL INVESTMENTS - (100.0%)
(Cost $701,292,541).............................. $869,012,318
============
Summary of inputs used to value the Portfolio's investments as of October 31,
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..... $867,929,580 -- -- $867,929,580
Temporary Cash Investments.......... 1,082,738 -- -- 1,082,738
------------ -- -- ------------
TOTAL............................... $869,012,318 -- -- $869,012,318
============ == == ============
See accompanying Notes to Financial Statements.
77
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (92.0%)
AUSTRALIA -- (6.7%)
#Beach Energy, Ltd.................. 21,611,159 $ 26,560,150 0.4%
GrainCorp, Ltd..................... 2,965,452 24,427,557 0.3%
#Iluka Resources, Ltd............... 1,985,804 33,013,289 0.4%
#Primary Health Care, Ltd........... 10,019,264 34,872,372 0.5%
Other Securities................... 416,236,086 5.6%
------------ ----
TOTAL AUSTRALIA....................... 535,109,454 7.2%
------------ ----
AUSTRIA -- (0.9%)
Wienerberger AG.................... 2,176,620 26,298,707 0.3%
Other Securities................... 41,990,462 0.6%
------------ ----
TOTAL AUSTRIA......................... 68,289,169 0.9%
------------ ----
BELGIUM -- (1.0%)
Other Securities................... 77,750,194 1.1%
------------ ----
CANADA -- (12.1%)
#*Canfor Corp........................ 2,910,053 29,428,978 0.4%
*Celestica, Inc..................... 4,421,197 36,682,517 0.5%
Groupe Aeroplan, Inc............... 3,926,331 45,221,249 0.6%
#HudBay Minerals, Inc............... 3,022,752 33,116,079 0.5%
#Laurentian Bank of Canada.......... 707,853 32,653,204 0.4%
*Precision Drilling Corp............ 2,895,326 33,579,101 0.5%
#*Quadra FNX Mining, Ltd............. 3,463,804 39,963,628 0.5%
RONA, Inc.......................... 3,059,000 29,462,152 0.4%
Sherritt International Corp........ 6,421,483 36,915,072 0.5%
West Fraser Timber Co., Ltd........ 753,923 32,524,393 0.4%
Other Securities................... 607,306,890 8.1%
------------ ----
TOTAL CANADA.......................... 956,853,263 12.8%
------------ ----
DENMARK -- (0.6%)
Other Securities................... 48,342,975 0.7%
------------ ----
FINLAND -- (2.4%)
#Kemira Oyj......................... 1,855,442 25,412,220 0.4%
Pohjola Bank P.L.C. Series A....... 3,275,771 37,666,126 0.5%
Other Securities................... 128,141,304 1.7%
------------ ----
TOTAL FINLAND......................... 191,219,650 2.6%
------------ ----
FRANCE -- (4.5%)
*Arkema SA.......................... 960,744 65,291,306 0.9%
Havas SA........................... 7,563,593 32,560,928 0.4%
Nexans SA.......................... 580,149 36,492,869 0.5%
Valeo SA........................... 610,644 30,651,472 0.4%
Other Securities................... 195,565,702 2.6%
------------ ----
TOTAL FRANCE.......................... 360,562,277 4.8%
------------ ----
GERMANY -- (5.2%)
Aurubis AG......................... 1,045,010 58,960,862 0.8%
#Bilfinger Berger SE................ 956,696 85,393,357 1.1%
Other Securities................... 268,964,029 3.6%
------------ ----
TOTAL GERMANY......................... 413,318,248 5.5%
------------ ----
GREECE -- (0.2%)
Other Securities................... 17,931,280 0.2%
------------ ----
78
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
HONG KONG -- (2.2%)
Other Securities............... $ 174,201,851 2.3%
-------------- ----
IRELAND -- (0.2%)
Other Securities............... 17,645,637 0.2%
-------------- ----
ISRAEL -- (0.7%)
Other Securities............... 57,978,847 0.8%
-------------- ----
ITALY -- (2.1%)
Other Securities............... 168,859,590 2.3%
-------------- ----
JAPAN -- (22.7%)
#Sumitomo Osaka Cement Co., Ltd. 9,901,000 29,994,015 0.4%
Other Securities............... 1,772,264,168 23.8%
-------------- ----
TOTAL JAPAN....................... 1,802,258,183 24.2%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities............... -- 0.0%
-------------- ----
NETHERLANDS -- (1.5%)
Nutreco NV..................... 391,496 26,010,687 0.3%
Other Securities............... 94,689,595 1.3%
-------------- ----
TOTAL NETHERLANDS................. 120,700,282 1.6%
-------------- ----
NEW ZEALAND -- (0.4%)
Other Securities............... 31,535,579 0.4%
-------------- ----
NORWAY -- (1.1%)
Other Securities............... 83,920,912 1.1%
-------------- ----
PORTUGAL -- (0.3%)
Other Securities............... 18,919,692 0.3%
-------------- ----
SINGAPORE -- (1.2%)
Other Securities............... 94,664,056 1.3%
-------------- ----
SPAIN -- (1.8%)
#Bankinter SA................... 5,008,248 30,575,631 0.4%
Other Securities............... 114,377,921 1.6%
-------------- ----
TOTAL SPAIN....................... 144,953,552 2.0%
-------------- ----
SWEDEN -- (2.7%)
#Holmen AB Series B............. 1,134,730 32,106,688 0.4%
Trelleborg AB Series B......... 6,786,568 57,449,216 0.8%
Other Securities............... 124,949,633 1.7%
-------------- ----
TOTAL SWEDEN...................... 214,505,537 2.9%
-------------- ----
SWITZERLAND -- (4.4%)
*Clariant AG.................... 3,074,973 33,299,125 0.5%
Helvetia Holding AG............ 109,790 40,115,063 0.5%
Other Securities............... 277,667,837 3.7%
-------------- ----
TOTAL SWITZERLAND................. 351,082,025 4.7%
-------------- ----
UNITED KINGDOM -- (17.1%)
Amlin P.L.C.................... 10,497,744 48,419,217 0.6%
Ashtead Group P.L.C............ 12,335,561 30,695,832 0.4%
*Barratt Developments P.L.C..... 18,155,287 25,867,847 0.3%
Beazley P.L.C.................. 12,306,390 24,825,067 0.3%
Bellway P.L.C.................. 3,448,205 39,236,872 0.5%
Bovis Homes Group P.L.C........ 3,834,315 28,935,636 0.4%
79
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
UNITED KINGDOM -- (Continued)
Catlin Group, Ltd............... 8,969,846 $ 57,058,371 0.8%
Cookson Group P.L.C............. 5,510,187 42,354,187 0.6%
DS Smith P.L.C.................. 12,267,878 41,912,701 0.6%
Elementis P.L.C................. 10,519,973 24,285,483 0.3%
Greene King P.L.C............... 4,908,532 35,393,600 0.5%
Hiscox, Ltd..................... 10,648,017 65,075,913 0.9%
Inchcape P.L.C.................. 6,722,252 35,842,255 0.5%
Logica P.L.C.................... 22,349,788 33,536,882 0.4%
Meggitt P.L.C................... 12,257,000 75,645,229 1.0%
Millennium & Copthorne Hotels
P.L.C......................... 4,813,561 34,415,255 0.5%
Mondi P.L.C..................... 7,958,099 60,526,536 0.8%
Persimmon P.L.C................. 7,337,098 58,510,689 0.8%
*Taylor Wimpey P.L.C............. 64,796,706 38,351,361 0.5%
Travis Perkins P.L.C............ 4,769,109 67,455,417 0.9%
Other Securities................ 491,922,240 6.6%
-------------- -----
TOTAL UNITED KINGDOM............... 1,360,266,590 18.2%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities................ 1,904,557 0.0%
-------------- -----
TOTAL COMMON STOCKS................ 7,312,773,400 98.1%
-------------- -----
RIGHTS/WARRANTS -- (0.1%)
AUSTRALIA -- (0.0%)
Other Securities................ 1,396 0.0%
-------------- -----
BELGIUM -- (0.0%)
Other Securities................ 5,624 0.0%
-------------- -----
CANADA -- (0.0%)
Other Securities................ 165,730 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities................ 130,785 0.0%
-------------- -----
ITALY -- (0.1%)
Other Securities................ 9,173,480 0.1%
-------------- -----
NORWAY -- (0.0%)
Other Securities................ -- 0.0%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities................ 23,819 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS.............. 9,500,834 0.1%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (7.9%)
(S)@DFA Short Term Investment Fund. 626,905,225 626,905,225 8.4%
@Repurchase Agreement, Deutsche
Bank Securities, Inc. 0.11%,
11/01/11 (Collateralized by
FNMA 3.500%, 11/01/31, valued
at $90,837) to be repurchased
at $89,056.................... $ 89 89,056 0.0%
-------------- -----
TOTAL SECURITIES LENDING
COLLATERAL....................... 626,994,281 8.4%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,857,612,612)............ $7,949,268,515 106.6%
============== =====
80
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of October 31,
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................ $ 7,341,399 $ 527,768,055 -- $ 535,109,454
Austria.................. 234,581 68,054,588 -- 68,289,169
Belgium.................. 10,666 77,739,528 -- 77,750,194
Canada................... 956,853,263 -- -- 956,853,263
Denmark.................. 304,116 48,038,859 -- 48,342,975
Finland.................. -- 191,219,650 -- 191,219,650
France................... -- 360,562,277 -- 360,562,277
Germany.................. 986,959 412,331,289 -- 413,318,248
Greece................... 2,994 17,928,286 -- 17,931,280
Hong Kong................ 1,320,577 172,881,274 -- 174,201,851
Ireland.................. 253,795 17,391,842 -- 17,645,637
Israel................... 4,655 57,974,192 -- 57,978,847
Italy.................... -- 168,859,590 -- 168,859,590
Japan.................... 2,683,890 1,799,574,293 -- 1,802,258,183
Malaysia................. -- -- -- --
Netherlands.............. 152,163 120,548,119 -- 120,700,282
New Zealand.............. -- 31,535,579 -- 31,535,579
Norway................... 204,338 83,716,574 -- 83,920,912
Portugal................. 411,087 18,508,605 -- 18,919,692
Singapore................ 39,029 94,625,027 -- 94,664,056
Spain.................... 50,613 144,902,939 -- 144,953,552
Sweden................... 4,843,661 209,661,876 -- 214,505,537
Switzerland.............. 102,112 350,979,913 -- 351,082,025
United Kingdom........... 7,129,266 1,353,137,324 -- 1,360,266,590
United States............ 1,904,557 -- -- 1,904,557
Rights/Warrants
Australia................ 1,396 -- -- 1,396
Belgium.................. -- 5,624 -- 5,624
Canada................... 165,730 -- -- 165,730
Hong Kong................ 130,785 -- -- 130,785
Italy.................... 9,173,480 -- -- 9,173,480
Norway................... -- -- -- --
United Kingdom........... -- 23,819 -- 23,819
Securities Lending
Collateral................ -- 626,994,281 -- 626,994,281
------------ -------------- -- --------------
TOTAL....................... $994,305,112 $6,954,963,403 -- $7,949,268,515
============ ============== == ==============
See accompanying Notes to Financial Statements.
81
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ----------- ---------------
COMMON STOCKS -- (90.6%)
AUSTRALIA -- (6.4%)
Australia & New Zealand Banking Group,
Ltd................................... 30,566 $ 690,680 0.2%
National Australia Bank, Ltd............ 44,894 1,199,089 0.3%
#Origin Energy, Ltd...................... 65,486 986,833 0.2%
Santos, Ltd............................. 52,226 705,342 0.2%
Suncorp Group, Ltd...................... 83,085 745,678 0.2%
Other Securities........................ 24,476,572 5.9%
----------- ----
TOTAL AUSTRALIA............................ 28,804,194 7.0%
----------- ----
AUSTRIA -- (0.5%)
Other Securities........................ 2,158,236 0.5%
----------- ----
BELGIUM -- (1.2%)
Other Securities........................ 5,638,856 1.4%
----------- ----
CANADA -- (10.4%)
#Bank of Montreal........................ 13,100 773,974 0.2%
Magna International, Inc................ 18,560 708,138 0.2%
Suncor Energy, Inc...................... 34,672 1,104,425 0.2%
#Toronto Dominion Bank................... 15,429 1,164,508 0.3%
Other Securities........................ 42,986,572 10.5%
----------- ----
TOTAL CANADA............................... 46,737,617 11.4%
----------- ----
DENMARK -- (0.9%)
Other Securities........................ 4,030,428 1.0%
----------- ----
FINLAND -- (1.6%)
UPM-Kymmene Oyj......................... 61,081 714,229 0.2%
Other Securities........................ 6,528,806 1.6%
----------- ----
TOTAL FINLAND.............................. 7,243,035 1.8%
----------- ----
FRANCE -- (5.7%)
BNP Paribas SA.......................... 18,185 812,049 0.2%
Cie de Saint-Gobain SA.................. 15,324 708,237 0.2%
*Sanofi SA............................... 20,001 1,430,852 0.3%
Total SA Sponsored ADR.................. 15,900 831,570 0.2%
Other Securities........................ 21,815,946 5.3%
----------- ----
TOTAL FRANCE............................... 25,598,654 6.2%
----------- ----
GERMANY -- (4.9%)
Allianz SE.............................. 6,494 722,536 0.2%
Bayerische Motoren Werke AG............. 8,606 699,101 0.1%
Daimler AG.............................. 17,410 884,238 0.2%
#Deutsche Bank AG........................ 29,192 1,208,841 0.3%
Deutsche Post AG........................ 47,190 715,802 0.2%
E.ON AG................................. 34,364 828,687 0.2%
Other Securities........................ 17,216,296 4.2%
----------- ----
TOTAL GERMANY.............................. 22,275,501 5.4%
----------- ----
GREECE -- (0.4%)
Other Securities........................ 1,969,136 0.5%
----------- ----
HONG KONG -- (2.2%)
Other Securities........................ 9,717,726 2.4%
----------- ----
IRELAND -- (0.7%)
Other Securities........................ 3,281,144 0.8%
----------- ----
82
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
ISRAEL -- (0.6%)
Other Securities..................... $ 2,661,701 0.7%
----------- ----
ITALY -- (2.1%)
Other Securities..................... 9,399,033 2.3%
----------- ----
JAPAN -- (20.3%)
Mitsubishi UFJ Financial Group, Inc.. 224,300 974,794 0.2%
Sumitomo Mitsui Financial Group, Inc. 26,841 750,247 0.2%
Toyota Motor Corp. Sponsored ADR..... 11,600 773,836 0.2%
Other Securities..................... 88,785,857 21.6%
----------- ----
TOTAL JAPAN............................. 91,284,734 22.2%
----------- ----
NETHERLANDS -- (2.1%)
Akzo Nobel NV........................ 17,072 897,681 0.2%
Other Securities..................... 8,632,367 2.1%
----------- ----
TOTAL NETHERLANDS....................... 9,530,048 2.3%
----------- ----
NEW ZEALAND -- (0.3%)
Other Securities..................... 1,235,763 0.3%
----------- ----
NORWAY -- (1.1%)
Other Securities..................... 5,000,308 1.2%
----------- ----
PORTUGAL -- (0.3%)
Other Securities..................... 1,265,966 0.3%
----------- ----
SINGAPORE -- (1.4%)
Other Securities..................... 6,536,362 1.6%
----------- ----
SPAIN -- (1.9%)
Banco Santander SA................... 114,518 969,265 0.2%
Other Securities..................... 7,704,384 1.9%
----------- ----
TOTAL SPAIN............................. 8,673,649 2.1%
----------- ----
SWEDEN -- (2.5%)
Other Securities..................... 11,053,056 2.7%
----------- ----
SWITZERLAND -- (5.4%)
*Aryzta AG............................ 14,609 704,420 0.2%
Holcim, Ltd.......................... 21,970 1,391,274 0.3%
Julius Baer Group, Ltd............... 27,417 1,030,189 0.3%
Novartis AG ADR...................... 13,137 741,846 0.2%
*Swiss Re, Ltd........................ 23,898 1,304,795 0.3%
Zurich Financial Services AG......... 7,485 1,724,870 0.4%
Other Securities..................... 17,375,834 4.2%
----------- ----
TOTAL SWITZERLAND....................... 24,273,228 5.9%
----------- ----
UNITED KINGDOM -- (17.7%)
Anglo American P.L.C................. 48,414 1,774,879 0.4%
Aviva P.L.C.......................... 128,562 701,377 0.2%
BG Group P.L.C....................... 36,356 788,343 0.2%
BP P.L.C. Sponsored ADR.............. 66,425 2,934,656 0.7%
HSBC Holdings P.L.C. Sponsored ADR... 71,003 3,099,991 0.8%
International Power P.L.C............ 155,255 842,209 0.2%
Kingfisher P.L.C..................... 232,192 961,992 0.2%
Legal & General Group P.L.C.......... 594,171 1,046,697 0.3%
Old Mutual P.L.C..................... 503,063 884,450 0.2%
Prudential P.L.C..................... 68,348 705,973 0.2%
Resolution, Ltd...................... 202,437 890,902 0.2%
Royal Dutch Shell P.L.C. ADR......... 88,550 6,357,890 1.6%
83
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
UNITED KINGDOM -- (Continued)
RSA Insurance Group P.L.C......... 512,455 $ 915,168 0.2%
Standard Chartered P.L.C.......... 36,935 861,852 0.2%
Standard Life P.L.C............... 262,373 905,022 0.2%
Vodafone Group P.L.C. Sponsored
ADR............................. 165,738 4,614,146 1.1%
William Morrison Supermarkets
P.L.C........................... 144,442 700,460 0.2%
Wolseley P.L.C.................... 25,895 746,709 0.2%
Xstrata P.L.C..................... 77,287 1,287,333 0.3%
Other Securities.................. 48,849,515 11.9%
------------ -----
TOTAL UNITED KINGDOM................. 79,869,564 19.5%
------------ -----
TOTAL COMMON STOCKS.................. 408,237,939 99.5%
------------ -----
PREFERRED STOCKS -- (0.0%)
GERMANY -- (0.0%)
Other Securities.................. 117,734 0.0%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................. 135 0.0%
------------ -----
BELGIUM -- (0.0%)
Other Securities.................. 68 0.0%
------------ -----
CANADA -- (0.0%)
Other Securities.................. 1,354 0.0%
------------ -----
HONG KONG -- (0.0%)
Other Securities.................. 30,745 0.0%
------------ -----
ITALY -- (0.0%)
Other Securities.................. 49,374 0.0%
------------ -----
NORWAY -- (0.0%)
Other Securities.................. -- 0.0%
------------ -----
SINGAPORE -- (0.0%)
Other Securities.................. 1,530 0.0%
------------ -----
UNITED KINGDOM -- (0.0%)
Other Securities.................. 233 0.0%
------------ -----
TOTAL RIGHTS/WARRANTS................ 83,439 0.0%
------------ -----
SHARES/
FACE
AMOUNT VALUE+
----------- ------------
(000)
SECURITIES LENDING COLLATERAL -- (9.4%)
(S)@DFA Short Term Investment Fund... 37,180,863 37,180,863 9.1%
@Repurchase Agreement, Deutsche
Bank Securities, Inc. 0.11%,
11/01/11 (Collateralized by
FNMA 3.500%, 11/01/31, valued
at $5,110,426) to be
repurchased at $5,010,237....... $ 5,010 5,010,222 1.2%
------------ -----
TOTAL SECURITIES LENDING COLLATERAL.. 42,191,085 10.3%
------------ -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $414,944,025)................ $450,630,197 109.8%
============ =====
84
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of October 31,
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.................. $ 838,884 $ 27,965,310 -- $ 28,804,194
Austria.................... 3,397 2,154,839 -- 2,158,236
Belgium.................... 501,082 5,137,774 -- 5,638,856
Canada..................... 46,699,667 37,950 -- 46,737,617
Denmark.................... -- 4,030,428 -- 4,030,428
Finland.................... -- 7,243,035 -- 7,243,035
France..................... 1,712,720 23,885,934 -- 25,598,654
Germany.................... 2,277,734 19,997,767 -- 22,275,501
Greece..................... 66,432 1,902,704 -- 1,969,136
Hong Kong.................. 7,708 9,710,018 -- 9,717,726
Ireland.................... 689,561 2,591,583 -- 3,281,144
Israel..................... 647,536 2,014,165 -- 2,661,701
Italy...................... 957,480 8,441,553 -- 9,399,033
Japan...................... 2,731,897 88,552,837 -- 91,284,734
Netherlands................ 1,861,493 7,668,555 -- 9,530,048
New Zealand................ 23,685 1,212,078 -- 1,235,763
Norway..................... 491,086 4,509,222 -- 5,000,308
Portugal................... 3,838 1,262,128 -- 1,265,966
Singapore.................. -- 6,536,362 -- 6,536,362
Spain...................... 1,000,215 7,673,434 -- 8,673,649
Sweden..................... 69,555 10,983,501 -- 11,053,056
Switzerland................ 1,526,384 22,746,844 -- 24,273,228
United Kingdom............. 19,348,616 60,520,948 -- 79,869,564
Preferred Stocks
Germany.................... -- 117,734 -- 117,734
Rights/Warrants
Australia.................. -- 135 -- 135
Belgium.................... 16 52 -- 68
Canada..................... 924 430 -- 1,354
Hong Kong.................. 2,177 28,568 -- 30,745
Italy...................... 49,374 -- -- 49,374
Norway..................... -- -- -- --
Singapore.................. -- 1,530 -- 1,530
United Kingdom............. -- 233 -- 233
Securities Lending Collateral. -- 42,191,085 -- 42,191,085
----------- ------------ -- ------------
TOTAL......................... $81,511,461 $369,118,736 -- $450,630,197
=========== ============ == ============
See accompanying Notes to Financial Statements.
85
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2011
SHARES VALUE+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (99.8%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company...................... $32,864,447
Investment in Dimensional Emerging Markets Value Fund... 10,254,501
Investment in DFA International Small Cap Value
Portfolio of DFA Investment Dimensions Group Inc...... 250,782 3,724,113
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $45,361,586)................................. 46,843,061
-----------
TEMPORARY CASH INVESTMENTS -- (0.2%)
Citibank-US Dollars on Deposit in Custody Account
(Cost $74,471)..................................... 74,471 74,471
-----------
TOTAL INVESTMENTS - (100.0%)
(Cost $45,436,057)................................. $46,917,532
===========
Summary of inputs used to value the Portfolio's investments as of October 31,
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.. $46,843,061 -- -- $46,843,061
Temporary Cash Investments....... 74,471 -- -- 74,471
----------- -- -- -----------
TOTAL............................ $46,917,532 -- -- $46,917,532
=========== == == ===========
See accompanying Notes to Financial Statements.
86
EMERGING MARKETS PORTFOLIO
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2011
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $2,313,873,983
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,350,904,480).................................. $2,313,873,983
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of October 31, 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.............................. $1,833,468,496
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,534,538,184).................................. $1,833,468,496
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of October 31, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
87
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2011
VALUE+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund $13,813,506,817
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $13,579,010,327)................................... $13,813,506,817
===============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of October 31, 2011 located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
88
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (84.8%)
BRAZIL -- (7.3%)
Banco Bradesco SA.................................... 1,175,090 $ 17,145,356 0.3%
Banco do Brasil SA................................... 1,031,580 15,742,433 0.3%
Banco Santander Brasil SA ADR........................ 1,950,363 17,748,303 0.3%
BM&F Bovespa SA...................................... 3,324,623 20,003,702 0.4%
#BRF - Brasil Foods SA ADR............................ 909,480 19,144,554 0.3%
Petroleo Brasileiro SA ADR........................... 1,754,339 47,384,696 0.9%
Vale SA Sponsored ADR................................ 1,400,390 35,583,910 0.7%
Other Securities..................................... 262,158,265 4.9%
------------ ----
TOTAL BRAZIL............................................ 434,911,219 8.1%
------------ ----
CHILE -- (1.8%)
Other Securities..................................... 107,727,375 2.0%
------------ ----
CHINA -- (13.6%)
Bank of China, Ltd. Series H......................... 74,756,702 26,606,577 0.5%
China Construction Bank Corp. Series H............... 52,067,302 38,255,683 0.7%
China Mobile, Ltd. Sponsored ADR..................... 1,114,051 52,984,266 1.0%
China Petroleum & Chemical Corp. ADR................. 176,059 16,619,970 0.3%
#China Unicom Hong Kong, Ltd. ADR..................... 884,817 17,793,670 0.3%
#CNOOC, Ltd. ADR...................................... 148,376 27,985,197 0.5%
Industrial & Commercial Bank of China, Ltd. Series H. 65,771,725 40,988,883 0.8%
#PetroChina Co., Ltd. ADR............................. 216,874 28,109,039 0.5%
Tencent Holdings, Ltd................................ 598,600 13,776,120 0.3%
Other Securities..................................... 542,632,724 10.1%
------------ ----
TOTAL CHINA............................................. 805,752,129 15.0%
------------ ----
COLOMBIA -- (0.2%)
Other Securities..................................... 13,855,945 0.3%
------------ ----
CZECH REPUBLIC -- (0.3%)
Other Securities..................................... 20,556,152 0.4%
------------ ----
EGYPT -- (0.1%)
Other Securities..................................... 4,661,748 0.1%
------------ ----
HUNGARY -- (0.3%)
Other Securities..................................... 20,151,986 0.4%
------------ ----
INDIA -- (8.2%)
#ICICI Bank, Ltd. Sponsored ADR....................... 610,734 22,694,875 0.4%
Infosys, Ltd......................................... 225,217 13,164,523 0.2%
Reliance Industries, Ltd............................. 1,734,304 31,056,647 0.6%
Other Securities..................................... 416,737,491 7.8%
------------ ----
TOTAL INDIA............................................. 483,653,536 9.0%
------------ ----
INDONESIA -- (3.3%)
PT Astra International Tbk........................... 2,085,000 16,076,981 0.3%
Other Securities..................................... 182,267,240 3.4%
------------ ----
TOTAL INDONESIA......................................... 198,344,221 3.7%
------------ ----
ISRAEL -- (0.0%)
Other Securities..................................... 306,545 0.0%
------------ ----
MALAYSIA -- (3.4%)
Other Securities..................................... 200,386,856 3.7%
------------ ----
MEXICO -- (4.1%)
#America Movil S.A.B. de C.V. Series L ADR............ 1,214,537 30,873,531 0.6%
89
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
MEXICO -- (Continued)
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR.. 331,293 $ 22,213,196 0.4%
#Grupo Mexico S.A.B. de C.V. Series B..................... 4,804,019 13,326,674 0.3%
#Grupo Televisa S.A.B. Sponsored ADR...................... 617,890 13,179,594 0.2%
Other Securities......................................... 162,160,825 3.0%
-------------- ----
TOTAL MEXICO................................................ 241,753,820 4.5%
-------------- ----
PERU -- (0.2%)
Other Securities......................................... 11,867,965 0.2%
-------------- ----
PHILIPPINES -- (1.2%)
Other Securities......................................... 69,510,009 1.3%
-------------- ----
POLAND -- (1.4%)
Other Securities......................................... 83,551,664 1.6%
-------------- ----
RUSSIA -- (3.5%)
Gazprom OAO Sponsored ADR................................ 6,598,961 76,497,543 1.4%
Lukoil OAO Sponsored ADR................................. 728,785 42,212,084 0.8%
Other Securities......................................... 87,068,864 1.6%
-------------- ----
TOTAL RUSSIA................................................ 205,778,491 3.8%
-------------- ----
SOUTH AFRICA -- (7.3%)
Gold Fields, Ltd. Sponsored ADR.......................... 1,511,177 26,339,815 0.5%
Impala Platinum Holdings, Ltd............................ 701,181 16,038,408 0.3%
MTN Group, Ltd........................................... 1,317,250 23,074,097 0.4%
Naspers, Ltd. Series N................................... 358,511 17,328,356 0.3%
Sanlam, Ltd.............................................. 4,330,404 16,159,912 0.3%
Sasol, Ltd. Sponsored ADR................................ 615,418 27,841,510 0.5%
Standard Bank Group, Ltd................................. 1,461,213 18,085,389 0.4%
Other Securities......................................... 285,468,241 5.3%
-------------- ----
TOTAL SOUTH AFRICA.......................................... 430,335,728 8.0%
-------------- ----
SOUTH KOREA -- (13.7%)
Hana Financial Group, Inc................................ 431,842 15,426,860 0.3%
#Hynix Semiconductor, Inc................................. 697,881 14,123,216 0.3%
Hyundai Motor Co., Ltd................................... 178,654 35,978,852 0.7%
#*KB Financial Group, Inc. ADR............................. 398,197 15,549,593 0.3%
Kia Motors Corp.......................................... 218,671 14,019,409 0.2%
*POSCO ADR................................................ 318,823 27,393,272 0.5%
Samsung C&T Corp......................................... 211,963 13,105,582 0.2%
Samsung Electronics Co., Ltd............................. 125,655 108,171,516 2.0%
Shinhan Financial Group Co., Ltd. ADR.................... 189,351 15,072,340 0.3%
Other Securities......................................... 552,520,289 10.3%
-------------- ----
TOTAL SOUTH KOREA........................................... 811,360,929 15.1%
-------------- ----
TAIWAN -- (11.2%)
#Hon Hai Precision Industry Co., Ltd...................... 11,515,887 31,569,393 0.6%
Taiwan Semiconductor Manufacturing Co., Ltd.............. 15,178,652 36,988,502 0.7%
Other Securities......................................... 596,105,733 11.1%
-------------- ----
TOTAL TAIWAN................................................ 664,663,628 12.4%
-------------- ----
THAILAND -- (2.1%)
PTT PCL (Foreign)........................................ 1,352,380 13,457,830 0.3%
Other Securities......................................... 113,170,545 2.1%
-------------- ----
TOTAL THAILAND.............................................. 126,628,375 2.4%
-------------- ----
TURKEY -- (1.6%)
Other Securities......................................... 93,018,037 1.7%
-------------- ----
TOTAL COMMON STOCKS......................................... 5,028,776,358 93.7%
-------------- ----
90
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
PREFERRED STOCKS -- (5.5%)
BRAZIL -- (5.5%)
Banco Bradesco SA Sponsored ADR................................. 2,639,163 $ 48,032,767 0.9%
Gerdau SA Sponsored ADR......................................... 1,649,675 14,880,068 0.3%
Itau Unibanco Holding SA ADR.................................... 2,052,691 39,247,452 0.7%
#Petroleo Brasileiro SA ADR...................................... 2,409,950 60,947,636 1.1%
#Vale SA Sponsored ADR........................................... 1,909,586 45,066,230 0.9%
Other Securities................................................ 119,084,967 2.2%
-------------- -----
TOTAL BRAZIL....................................................... 327,259,120 6.1%
-------------- -----
CHILE -- (0.0%)
Other Securities................................................ 1,172,881 0.0%
-------------- -----
INDIA -- (0.0%)
Other Securities................................................ 8,230 0.0%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities................................................ 113,451 0.0%
-------------- -----
TOTAL PREFERRED STOCKS............................................. 328,553,682 6.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
Other Securities................................................ -- 0.0%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities................................................ 9,841 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities................................................ 490,922 0.0%
-------------- -----
TAIWAN -- (0.0%)
Other Securities................................................ 54,103 0.0%
-------------- -----
THAILAND -- (0.0%)
Other Securities................................................ 27,019 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS.............................................. 581,885 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (9.7%)
(S)@DFA Short Term Investment Fund................................. 570,330,893 570,330,893 10.6%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%,
11/01/11 (Collateralized by FNMA 3.500%, 11/01/31, valued at
$2,559,154) to be repurchased at $2,508,982................... $ 2,509 2,508,974 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL................................ 572,839,867 10.7%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,410,576,029)............................................ $5,930,751,792 110.5%
============== =====
91
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of October 31,
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................ $ 434,911,219 -- -- $ 434,911,219
Chile................. 107,727,375 -- -- 107,727,375
China................. 176,406,876 $ 629,345,253 -- 805,752,129
Colombia.............. 13,855,945 -- -- 13,855,945
Czech Republic........ -- 20,556,152 -- 20,556,152
Egypt................. -- 4,661,748 -- 4,661,748
Hungary............... 450,137 19,701,849 -- 20,151,986
India................. 36,016,183 447,637,353 -- 483,653,536
Indonesia............. 6,073,288 192,270,933 -- 198,344,221
Israel................ -- 306,545 -- 306,545
Malaysia.............. 1,091,538 199,295,318 -- 200,386,856
Mexico................ 241,753,820 -- -- 241,753,820
Peru.................. 11,867,965 -- -- 11,867,965
Philippines........... 2,127,182 67,382,827 -- 69,510,009
Poland................ 54,385 83,497,279 -- 83,551,664
Russia................ 9,915,513 195,862,978 -- 205,778,491
South Africa.......... 78,436,977 351,898,751 -- 430,335,728
South Korea........... 83,729,370 727,631,559 -- 811,360,929
Taiwan................ 20,197,944 644,465,684 -- 664,663,628
Thailand.............. 126,622,102 6,273 -- 126,628,375
Turkey................ 1,529,380 91,488,657 -- 93,018,037
Preferred Stocks
Brazil................ 327,259,120 -- -- 327,259,120
Chile................. 1,172,881 -- -- 1,172,881
India................. -- 8,230 -- 8,230
Malaysia.............. -- 113,451 -- 113,451
Rights/Warrants
China................. -- -- -- --
Malaysia.............. 9,841 -- -- 9,841
South Korea........... -- 490,922 -- 490,922
Taiwan................ -- 54,103 -- 54,103
Thailand.............. 27,019 -- -- 27,019
Securities Lending
Collateral............. -- 572,839,867 -- 572,839,867
-------------- -------------- -- --------------
TOTAL.................... $1,681,236,060 $4,249,515,732 -- $5,930,751,792
============== ============== == ==============
See accompanying Notes to Financial Statements.
92
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ENHANCED U.S. U.S.
U.S. LARGE LARGE CAP U.S. SMALL CAP
COMPANY VALUE TARGETED VALUE
PORTFOLIO PORTFOLIO VALUE PORTFOLIO PORTFOLIO
------------ -------------- --------------- --------------
ASSETS:
Investments in Affiliated Investment Company at Value............ -- $ 7,341,490 -- --
Investments at Value (including $0, $0, $449,985 and $1,043,902
of securities on loan, respectively)........................... $ 167,978 -- $ 2,537,093 $ 6,489,432
Temporary Cash Investments at Value & Cost....................... 6,434 -- 810 54,349
Collateral Received from Securities on Loan at Value & Cost...... -- -- 1,141 2,011
Affiliated Collateral Received from Securities on Loan at
Value & Cost................................................... -- -- 461,537 1,076,915
Cash............................................................. -- -- -- 8,601
Receivables:
Investment Securities/Affiliated Investment Company
Sold........................................................ -- 13,622 1,811 21,714
Dividends and Interest........................................ 1,609 -- 711 2,121
Securities Lending Income..................................... -- -- 255 876
Fund Shares Sold.............................................. 95 4,515 5,574 3,505
Unrealized Gain on Forward Currency Contracts.................... 2 -- -- --
Prepaid Expenses and Other Assets................................ 20 46 44 46
------------ -------------- ------------ --------------
Total Assets.............................................. 176,138 7,359,673 3,008,976 7,659,570
------------ -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. -- -- 462,678 1,078,926
Investment Securities/Affiliated Investment Company
Purchased................................................... 272 -- 119 19,778
Fund Shares Redeemed.......................................... 221 18,137 1,337 16,133
Due to Advisor................................................ 28 871 694 2,559
Futures Margin Variation...................................... 4,171 -- -- 933
Unrealized Loss on Forward Currency Contracts.................... 303 -- -- --
Accrued Expenses and Other Liabilities........................... 15 321 169 378
------------ -------------- ------------ --------------
Total Liabilities......................................... 5,010 19,329 464,997 1,118,707
------------ -------------- ------------ --------------
NET ASSETS....................................................... $ 171,128 $ 7,340,344 $ 2,543,979 $ 6,540,863
============ ============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $45,132 and $0
and shares outstanding of 0; 0; 2,945,072 and 0,
respectively................................................... N/A N/A $ 15.32 N/A
============ ============== ============ ==============
NUMBER OF SHARES AUTHORIZED...................................... N/A N/A 100,000,000 N/A
============ ============== ============ ==============
Class R2 Shares -- based on net assets of $0; $0; $10,918 and $0
and shares outstanding of 0; 0; 713,089 and 0, respectively.... N/A N/A $ 15.31 N/A
============ ============== ============ ==============
NUMBER OF SHARES AUTHORIZED...................................... N/A N/A 100,000,000 N/A
============ ============== ============ ==============
Institutional Class Shares -- based on net assets of $171,128;
$7,340,344; $2,487,929 and $6,540,863 and shares outstanding
of 21,000,579; 380,475,929; 162,371,599 and 278,359,194,
respectively................................................... $ 8.15 $ 19.29 $ 15.32 $ 23.50
============ ============== ============ ==============
NUMBER OF SHARES AUTHORIZED...................................... 300,000,000 2,000,000,000 700,000,000 1,700,000,000
============ ============== ============ ==============
Investments in Affiliated Investment Company at Cost............. $ -- $ 5,970,301 $ -- $ --
------------ -------------- ------------ --------------
Investments at Cost.............................................. $ 166,434 $ -- $ 2,284,081 $ 6,226,364
============ ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 239,068 $ 7,599,550 $ 2,270,031 $ 6,196,086
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 1,903 20,676 1,385 858
Accumulated Net Realized Gain (Loss)............................. (80,493) (1,651,071) 19,551 80,315
Net Unrealized Foreign Exchange Gain (Loss)...................... (306) -- -- --
Net Unrealized Appreciation (Depreciation)....................... 10,956 1,371,189 253,012 263,604
------------ -------------- ------------ --------------
NET ASSETS....................................................... $ 171,128 $ 7,340,344 $ 2,543,979 $ 6,540,863
============ ============== ============ ==============
See accompanying Notes to Financial Statements.
93
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. U.S. U.S. U.S.
CORE CORE VECTOR SMALL
EQUITY 1 EQUITY 2 EQUITY CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $496,197,
$1,049,799, $320,082 and $1,023,988 of
securities on loan, respectively)............... $ 3,718,978 $ 5,818,842 $ 1,848,054 $ 3,766,472
Temporary Cash Investments at Value & Cost........ 10,049 -- 6,830 3,579
Collateral Received from Securities on Loan at
Value & Cost.................................... 1,081 1,322 344 4,147
Affiliated Collateral Received from Securities on
Loan at Value & Cost............................ 508,332 1,077,291 328,663 1,052,295
Cash.............................................. 394 -- 1 30
Receivables:
Investment Securities Sold..................... 170 5,486 267 1,191
Dividends and Interest......................... 3,055 4,930 1,263 979
Securities Lending Income...................... 247 450 216 641
Fund Shares Sold............................... 7,193 7,465 2,421 2,529
Prepaid Expenses and Other Assets................. 82 79 37 51
-------------- -------------- -------------- --------------
Total Assets............................... 4,249,581 6,915,865 2,188,096 4,831,914
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... 509,413 1,078,613 329,007 1,056,442
Investment Securities Purchased................ 5,883 5,297 5,063 671
Fund Shares Redeemed........................... 2,130 8,680 1,570 3,234
Due to Advisor................................. 501 921 435 1,034
Loan Payable................................... -- 2,097 -- --
Accrued Expenses and Other Liabilities............ 243 351 126 210
-------------- -------------- -------------- --------------
Total Liabilities.......................... 518,170 1,095,959 336,201 1,061,591
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 3,731,411 $ 5,819,906 $ 1,851,895 $ 3,770,323
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets
of $3,731,411; $5,819,906; $1,851,895 and
$3,770,323 and shares outstanding of
346,042,019; 548,777,341; 180,126,241 and
183,498,696, respectively....................... $ 10.78 $ 10.61 $ 10.28 $ 20.55
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... 1,500,000,000 2,300,000,000 1,000,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost............................... $ 3,424,965 $ 5,519,920 $ 1,801,359 $ 3,345,643
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 3,478,765 $ 5,531,385 $ 1,838,615 $ 3,372,263
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)......................................... 8,359 7,601 3,557 1,483
Accumulated Net Realized Gain (Loss).............. (49,726) (18,002) (36,972) (24,252)
Net Unrealized Appreciation (Depreciation)........ 294,013 298,922 46,695 420,829
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 3,731,411 $ 5,819,906 $ 1,851,895 $ 3,770,323
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
94
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. DFA LARGE INTERNATIONAL
MICRO REAL ESTATE CAP CORE
CAP SECURITIES INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ ------------- --------------
ASSETS:
Investments at Value (including $663,162, $816,381, $211,940
and $713,693 of securities on loan, respectively).............. $ 3,252,370 $ 3,080,903 $ 1,693,115 $ 5,365,117
Temporary Cash Investments at Value & Cost....................... -- 16,635 -- --
Collateral Received from Securities on Loan at Value & Cost...... 1,914 5,664 139 1,620
Affiliated Collateral Received from Securities on Loan at
Value & Cost................................................... 683,523 831,111 222,463 758,998
Foreign Currencies at Value...................................... -- -- 1,751 6,146
Cash............................................................. 3,326 -- 5,161 8,298
Receivables:
Investment Securities Sold.................................... 5,060 -- -- 51
Dividends, Interest and Tax Reclaims.......................... 850 2,606 4,338 14,205
Securities Lending Income..................................... 638 100 132 623
Fund Shares Sold.............................................. 902 1,831 1,676 8,878
Prepaid Expenses and Other Assets................................ 22 27 21 89
-------------- ------------ ------------ --------------
Total Assets.............................................. 3,948,605 3,938,877 1,928,796 6,164,025
-------------- ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. 685,437 836,775 222,602 760,618
Investment Securities Purchased............................... 1,693 -- 962 3,656
Fund Shares Redeemed.......................................... 2,284 2,577 582 1,838
Due to Advisor................................................ 1,275 706 343 1,518
Unrealized Loss on Foreign Currency Contracts.................... -- -- 2 27
Accrued Expenses and Other Liabilities........................... 197 172 156 484
-------------- ------------ ------------ --------------
Total Liabilities......................................... 690,886 840,230 224,647 768,141
-------------- ------------ ------------ --------------
NET ASSETS....................................................... $ 3,257,719 $ 3,098,647 $ 1,704,149 $ 5,395,884
============== ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $3,257,719;
$3,098,647; $1,704,149 and $5,395,884 and shares outstanding
of 246,129,760; 133,273,662; 95,156,480 and 545,496,112,
respectively................................................... $ 13.24 $ 23.25 $ 17.91 $ 9.89
============== ============ ============ ==============
NUMBER OF SHARES AUTHORIZED...................................... 1,500,000,000 700,000,000 500,000,000 2,000,000,000
============== ============ ============ ==============
Investments at Cost.............................................. $ 2,915,219 $ 2,358,790 $ 1,600,897 $ 5,832,407
============== ============ ============ ==============
Foreign Currencies at Cost....................................... $ -- $ -- $ 1,722 $ 5,909
============== ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 2,956,788 $ 2,633,638 $ 1,806,934 $ 5,903,243
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 3,199 14,529 5,725 13,366
Accumulated Net Realized Gain (Loss)............................. (39,419) (271,633) (200,727) (53,571)
Net Unrealized Foreign Exchange Gain (Loss)...................... -- -- (30) (101)
Net Unrealized Appreciation (Depreciation)....................... 337,151 722,113 92,247 (467,053)
-------------- ------------ ------------ --------------
NET ASSETS....................................................... $ 3,257,719 $ 3,098,647 $ 1,704,149 $ 5,395,884
============== ============ ============ ==============
See accompanying Notes to Financial Statements.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(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.......... $ 5,827,564 $ 163,185 $ 139,306 $ 33,875
Receivables:
Affiliated Investment Companies Sold.......................... 12,000 -- 33 1
Fund Shares Sold.............................................. 14,962 2,077 7 --
Prepaid Expenses and Other Assets................................ 47 9 12 8
-------------- ------------ ------------ ------------
Total Assets.............................................. 5,854,573 165,271 139,358 33,884
-------------- ------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased..................... 12,000 2,055 -- --
Fund Shares Redeemed.......................................... 3,730 22 40 1
Due to Advisor................................................ 1,887 57 43 11
Loan Payable.................................................. 2,643 -- -- --
Accrued Expenses and Other Liabilities........................... 298 17 13 3
-------------- ------------ ------------ ------------
Total Liabilities......................................... 20,558 2,151 96 15
-------------- ------------ ------------ ------------
NET ASSETS....................................................... $ 5,834,015 $ 163,120 $ 139,262 $ 33,869
============== ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $5,834,015;
$163,120; $139,262 and $33,869 and shares outstanding of
383,664,864; 10,703,299; 6,045,248 and 1,444,937,
respectively................................................... $ 15.21 $ 15.24 $ 23.04 $ 23.44
============== ============ ============ ============
NUMBER OF SHARES AUTHORIZED...................................... 1,500,000,000 100,000,000 100,000,000 100,000,000
============== ============ ============ ============
Investments in Affiliated Investment Companies at Cost........... $ 5,863,292 $ 225,979 $ 133,473 $ 32,443
============== ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 5,763,382 $ 299,580 $ 159,837 $ 34,193
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 6,376 1,041 1,047 279
Accumulated Net Realized Gain (Loss)............................. 99,876 (74,693) (27,471) (2,041)
Net Unrealized Foreign Exchange Gain (Loss)...................... 109 (14) 16 6
Net Unrealized Appreciation (Depreciation)....................... (35,728) (62,794) 5,833 1,432
-------------- ------------ ------------ ------------
NET ASSETS....................................................... $ 5,834,015 $ 163,120 $ 139,262 $ 33,869
============== ============ ============ ============
See accompanying Notes to Financial Statements.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA DFA DFA
CONTINENTAL INTERNATIONAL GLOBAL INTERNATIONAL
SMALL REAL ESTATE REAL ESTATE SMALL CAP
COMPANY SECURITIES SECURITIES VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- ------------ --------------
ASSETS:
Investments in Affiliated Investment Companies at Value........... $ 117,495 -- $ 867,930 --
Investments at Value (including $0, $109,763, $0 and $574,702 of
securities on loan, respectively)............................... -- $ 1,052,700 -- $ 7,322,274
Temporary Cash Investments at Value & Cost........................ -- -- 1,083 --
Collateral Received from Securities on Loan at Value & Cost....... -- 143 -- 89
Affiliated Collateral Received from Securities on Loan at Value &
Cost............................................................ -- 117,429 -- 626,905
Foreign Currencies at Value....................................... -- 1,162 -- 20,662
Cash.............................................................. -- 3,869 -- 120,829
Receivables:
Investment Securities/Affiliated Investment Companies
Sold......................................................... 19 -- -- 3,301
Dividends, Interest and Tax Reclaims........................... -- 4,225 -- 20,020
Securities Lending Income...................................... -- 59 -- 921
Fund Shares Sold............................................... -- 1,056 975 4,750
Prepaid Expenses and Other Assets................................. 8 172 11 67
------------ ------------ ------------ --------------
Total Assets................................................. 117,522 1,180,815 869,999 8,119,818
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................... -- 117,572 -- 626,994
Investment Securities/Affiliated Investment Companies
Purchased.................................................... -- 2,080 -- 24,508
Fund Shares Redeemed........................................... 19 583 587 4,248
Due to Advisor................................................. 38 299 20 3,925
Unrealized Loss on Foreign Currency Contracts..................... -- 18 -- 356
Accrued Expenses and Other Liabilities............................ 13 107 44 643
------------ ------------ ------------ --------------
Total Liabilities............................................ 70 120,659 651 660,674
------------ ------------ ------------ --------------
NET ASSETS........................................................ $ 117,452 $ 1,060,156 $ 869,348 $ 7,459,144
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Cass Shares -- based on net assets of $117,452;
$1,060,156; $869,348 and $7,459,144 and shares outstanding of
8,014,115; 216,206,594; 105,892,319 and 502,440,091,
respectively.................................................... $ 14.66 $ 4.90 $ 8.21 $ 14.85
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED....................................... 100,000,000 700,000,000 500,000,000 2,300,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at Cost............ $ 120,698 $ -- $ 700,210 $ --
------------ ------------ ------------ --------------
Investments at Cost............................................... $ -- $ 1,118,844 $ -- $ 8,230,618
============ ============ ============ ==============
Foreign Currencies at Cost........................................ $ -- $ 1,054 $ -- $ 20,645
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 146,677 $ 1,359,232 $ 728,584 $ 8,211,538
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income).......................................... 27 (53,267) 1,177 21,874
Accumulated Net Realized Gain (Loss).............................. (26,099) (179,765) (28,133) 134,206
Net Unrealized Foreign Exchange Gain (Loss)....................... 50 (8) -- (147)
Net Unrealized Appreciation (Depreciation)........................ (3,203) (66,036) 167,720 (908,327)
------------ ------------ ------------ --------------
NET ASSETS........................................................ $ 117,452 $ 1,060,156 $ 869,348 $ 7,459,144
============ ============ ============ ==============
See accompanying Notes to Financial Statements.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL
VECTOR WORLD EX EMERGING
EQUITY U.S. VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------
ASSETS:
Investments in Affiliated Investment Companies at Value........................ $ -- $ 46,843 $ 2,313,874
Investments at Value (including $39,509, $0 and $0 of securities on loan,
respectively)................................................................ 408,439 -- --
Temporary Cash Investments at Value & Cost..................................... -- 74 --
Collateral Received from Securities on Loan at Value & Cost.................... 5,010 -- --
Affiliated Collateral Received from Securities on Loan at Value & Cost......... 37,181 -- --
Foreign Currencies at Value.................................................... 1,427 -- --
Cash........................................................................... 946 -- --
Receivables:
Investment Securities/Affiliated Investment Companies Sold.................. 228 6,675 --
Dividends, and Tax Reclaims................................................. 1,184 -- --
Securities Lending Income................................................... 44 -- --
Fund Shares Sold............................................................ 308 2 1,546
Prepaid Expenses and Other Assets.............................................. 12 14 20
------------ ------------ ------------
Total Assets............................................................ 454,779 53,608 2,315,440
------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................ 42,191 -- --
Investment Securities/Affiliated Investment Companies Purchased............. 1,034 -- 610
Fund Shares Redeemed........................................................ 773 6,430 936
Due to Advisor.............................................................. 149 8 720
Unrealized Loss on Foreign Currency Contracts.................................. 2 -- --
Accrued Expenses and Other Liabilities......................................... 50 5 139
------------ ------------ ------------
Total Liabilities....................................................... 44,199 6,443 2,405
------------ ------------ ------------
NET ASSETS..................................................................... $ 410,580 $ 47,165 $ 2,313,035
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $410,580; $47,165 and
$2,313,035 and shares outstanding of 43,960,327; 4,735,190 and 86,708,116,
respectively................................................................. $ 9.34 $ 9.96 $ 26.68
============ ============ ============
NUMBER OF SHARES AUTHORIZED.................................................... 500,000,000 100,000,000 500,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost......................... $ -- $ 45,361 $ 1,350,905
------------ ------------ ------------
Investments at Cost............................................................ $ 372,753 $ -- $ --
============ ============ ============
Foreign Currencies at Cost..................................................... $ 1,424 $ -- $ --
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................ $ 368,439 $ 51,634 $ 1,254,594
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)...................................................................... 782 168 6,113
Accumulated Net Realized Gain (Loss)........................................... 5,666 (6,103) 89,410
Net Unrealized Foreign Exchange Gain (Loss).................................... 4 (16) (51)
Net Unrealized Appreciation (Depreciation)..................................... 35,689 1,482 962,969
------------ ------------ ------------
NET ASSETS..................................................................... $ 410,580 $ 47,165 $ 2,313,035
============ ============ ============
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING EMERGING EMERGING
MARKETS MARKETS MARKETS
SMALL CAP VALUE CORE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO*
------------ -------------- --------------
ASSETS:
Investments in Affiliated Investment Company
at Value................................... $ 1,833,468 $ 13,813,507 --
Investments at Value (including $0, $0 and
$661,404 of securities on loan,
respectively).............................. -- -- $ 5,357,912
Collateral Received from Securities on Loan
at Value & Cost............................ -- -- 2,509
Affiliated Collateral Received from
Securities on Loan at Value & Cost......... -- -- 570,331
Foreign Currencies at Value.................. -- -- 9,564
Cash......................................... -- -- 31,438
Receivables:
Dividends, Interest and Tax Reclaims...... -- -- 6,417
Securities Lending Income................. -- -- 854
Fund Shares Sold.......................... 3,090 49,615 9,270
Unrealized Gain on Foreign Currency Contracts -- -- 6
Prepaid Expenses and Other Assets............ 26 82 48
------------ -------------- --------------
Total Assets.......................... 1,836,584 13,863,204 5,988,349
------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......... -- -- 572,840
Investment Securities/Affiliated
Investment Company Purchased............ 2,630 44,423 42,635
Fund Shares Redeemed...................... 460 5,192 1,841
Due to Advisor............................ 647 4,264 2,277
Unrealized Loss on Foreign Currency Contracts -- -- 54
Accrued Expenses and Other Liabilities....... 102 955 1,229
------------ -------------- --------------
Total Liabilities..................... 3,839 54,834 620,876
------------ -------------- --------------
NET ASSETS................................... $ 1,832,745 $ 13,808,370 $ 5,367,473
============ ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R2 Shares -- based on net assets of
$0; $78,157 and $0 and shares outstanding
of 0; 2,693,271 and 0, respectively........ N/A $ 29.02 N/A
============ ============== ==============
NUMBER OF SHARES AUTHORIZED.................. N/A 100,000,000 N/A
============ ============== ==============
Institutional Class Shares -- based on net
assets of $1,832,745; $13,730,213 and
$5,367,473 and shares outstanding of
92,323,664; 473,115,325 and 286,504,352,
respectively............................... $ 19.85 $ 29.02 $ 18.73
============ ============== ==============
NUMBER OF SHARES AUTHORIZED.................. 500,000,000 1,500,000,000 1,000,000,000
============ ============== ==============
Investments in Affiliated Investment Company
at Cost.................................... $ 1,534,538 $ 13,579,011 $ --
------------ -------------- --------------
Investments at Cost.......................... $ -- $ -- $ 4,837,736
============ ============== ==============
Foreign Currencies at Cost................... $ -- $ -- $ 9,627
============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.............................. $ 1,508,677 $ 13,364,578 $ 4,866,799
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).................................... 1,396 33,870 15,280
Accumulated Net Realized Gain (Loss)......... 23,770 175,232 (34,801)
Net Unrealized Foreign Exchange Gain (Loss).. (28) 194 82
Net Unrealized Appreciation (Depreciation)... 298,930 234,496 520,113
------------ -------------- --------------
NET ASSETS................................... $ 1,832,745 $ 13,808,370 $ 5,367,473
============ ============== ==============
--------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(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..................................... $ 108 $135,110 $26,432 $ 72,718
Interest...................................... 1,754 20 14 27
Income from Securities Lending................ -- 5,530 2,389 8,523
Expenses Allocated from Affiliated
Investment Company.......................... -- (8,588) -- --
------- -------- ------- --------
Total Investment Income................ 1,862 132,072 28,835 81,268
------- -------- ------- --------
EXPENSES
Investment Advisory Services Fees............. 83 -- 2,659 14,236
Administrative Services Fees.................. 251 11,072 6,649 21,354
Accounting & Transfer Agent Fees.............. 39 99 301 769
S&P 500(R) Fees............................... 8 -- -- --
Shareholder Servicing Fees --
Class R1 Shares........................... -- -- 48 --
Class R2 Shares........................... -- -- 21 --
Custodian Fees................................ 14 -- 57 126
Filing Fees................................... 24 148 122 70
Shareholders' Reports......................... 5 212 115 186
Directors'/Trustees' Fees & Expenses.......... 1 65 23 65
Professional Fees............................. 4 70 65 169
Other......................................... 3 63 41 96
------- -------- ------- --------
Total Expenses......................... 432 11,729 10,101 37,071
------- -------- ------- --------
NET INVESTMENT INCOME (LOSS).................. 1,430 120,343 18,734 44,197
------- -------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold................ 380 301,933 20,083 215,171
Futures................................... 12,791 (9,927) 1,751 (825)
Foreign Currency Transactions............. 412 -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities..................... (472) (67,687) 53,386 112,710
Futures................................... (995) -- -- 536
Translation of Foreign Currency
Denominated Amounts..................... (174) -- -- --
------- -------- ------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)....... 11,942 224,319 75,220 327,592
------- -------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS...................... $13,372 $344,662 $93,954 $371,789
======= ======== ======= ========
--------
* 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.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(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........................... $ 56,951 $ 89,078 $24,647 $ 40,299
Interest............................ 19 23 9 20
Income from Securities
Lending........................... 1,842 3,963 1,618 7,494
-------- -------- ------- --------
Total Investment
Income..................... 58,812 93,064 26,274 47,813
-------- -------- ------- --------
EXPENSES
Investment Advisory Services
Fees.............................. 5,911 11,363 5,469 1,186
Administrative Services Fees........ -- -- -- 12,649
Accounting & Transfer Agent
Fees.............................. 382 613 211 434
Custodian Fees...................... 97 108 56 114
Filing Fees......................... 215 180 83 79
Shareholders' Reports............... 60 117 54 107
Directors'/Trustees' Fees &
Expenses.......................... 29 49 16 34
Professional Fees................... 79 137 44 89
Other............................... 48 76 32 54
-------- -------- ------- --------
Total Expenses............... 6,821 12,643 5,965 14,746
-------- -------- ------- --------
NET INVESTMENT INCOME (LOSS)........ 51,991 80,421 20,309 33,067
-------- -------- ------- --------
REALIZED AND UNREALIZED GAIN
(LOSS)
Net Realized Gain (Loss) on:
Investment Securities
Sold.......................... 31,974 69,078 46,999 211,228
Futures......................... -- -- -- 929
In-Kind Redemptions............. -- -- -- 126,527*
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities........... 116,761 192,966 18,243 (60,488)
-------- -------- ------- --------
NET REALIZED AND UNREALIZED
GAIN (LOSS)....................... 148,735 262,044 65,242 278,196
-------- -------- ------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS........................... $200,726 $342,465 $85,551 $311,263
======== ======== ======= ========
--------
* See Note M in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(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 $2, $0, $4,960 and
$13,644, respectively)................. $ 34,767 $ 59,625 $ 57,728 $ 172,269
Interest................................. 13 14 10 31
Income from Securities Lending........... 6,716 915 2,823 10,438
-------- -------- --------- ---------
Total Investment Income........... 41,496 60,554 60,561 182,738
-------- -------- --------- ---------
EXPENSES
Investment Advisory Services Fees........ 3,419 8,704 4,343 19,064
Administrative Services Fees............. 13,675 -- -- --
Accounting & Transfer Agent Fees......... 381 325 208 593
Custodian Fees........................... 77 31 367 1,355
Filing Fees.............................. 44 93 66 254
Shareholders' Reports.................... 97 125 84 139
Directors'/Trustees' Fees & Expenses..... 31 25 15 47
Professional Fees........................ 80 69 52 175
Other.................................... 71 36 36 105
-------- -------- --------- ---------
Total Expenses.................... 17,875 9,408 5,171 21,732
-------- -------- --------- ---------
Fees Paid Indirectly..................... -- -- (2) (5)
-------- -------- --------- ---------
Net Expenses............................. 17,875 9,408 5,169 21,727
-------- -------- --------- ---------
NET INVESTMENT INCOME (LOSS)............. 23,621 51,146 55,392 161,011
-------- -------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received
from Investment Securities............. -- 13,117 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold........... 234,404 (39,946) (12,846) 28,431
Foreign Currency Transactions........ -- -- 187 (191)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................... 32,818 277,359 (133,116) (525,986)
Translation of Foreign Currency
Denominated Amounts................ -- -- (205) (476)
-------- -------- --------- ---------
NET REALIZED AND UNREALIZED GAIN
(LOSS)................................. 267,222 250,530 (145,980) (498,222)
-------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................. $290,843 $301,676 $ (90,588) $(337,211)
======== ======== ========= =========
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS)
UNITED
INTERNATIONAL JAPANESE ASIA PACIFIC KINGDOM
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
------------- ---------- ------------ ----------
INVESTMENT INCOME
Net Investment Income Received from Affiliated
Investment Companies:
Dividends (Net of Foreign Taxes Withheld of
$12,592, $249, $143, and $0, respectively).......... $ 166,353 $ 3,315 $ 5,339 $ 1,348
Interest.............................................. 41 45 -- --
Income from Securities Lending........................ 14,413 208 372 8
Expenses Allocated from Affiliated Investment
Companies .......................................... (8,917) (214) (237) (44)
--------- ------- -------- -------
Total Net Investment Income Received
from Affiliated Investment Companies......... 171,890 3,354 5,474 1,312
--------- ------- -------- -------
FUND INVESTMENT INCOME
Interest.............................................. 13 -- -- --
--------- ------- -------- -------
Total Fund Investment Income................... 13 -- -- --
--------- ------- -------- -------
FUND EXPENSES
Administrative Services Fees.......................... 24,741 619 581 141
Accounting & Transfer Agent Fees...................... 85 15 15 13
Filing Fees........................................... 160 23 28 16
Shareholders' Reports................................. 171 1 2 1
Directors'/Trustees' Fees & Expenses.................. 53 1 1 --
Audit Fees............................................ 12 1 1 1
Legal Fees............................................ 53 -- -- --
Other................................................. 51 1 1 1
--------- ------- -------- -------
Total Expenses................................. 25,326 661 629 173
--------- ------- -------- -------
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by Advisor
(Note C)............................................ -- -- -- (7)
--------- ------- -------- -------
Net Expenses.......................................... 25,326 661 629 166
--------- ------- -------- -------
NET INVESTMENT INCOME (LOSS).......................... 146,577 2,693 4,845 1,146
--------- ------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold........................ 205,897 (5,587) 8,959 1,011
Futures........................................... (271) -- -- --
Foreign Currency Transactions..................... (103) 14 85 1
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency........ (571,803) 13,164 (21,184) (2,107)
Translation of Foreign Currency
Denominated Amounts ............................ (340) (61) 18 2
--------- ------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)............... (366,620) 7,530 (12,122) (1,093)
--------- ------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $(220,043) $10,223 $ (7,277) $ 53
========= ======= ======== =======
--------
* 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.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS)
DFA DFA
CONTINENTAL INTERNATIONAL DFA GLOBAL INTERNATIONAL
SMALL REAL ESTATE REAL ESTATE SMALL CAP
COMPANY SECURITIES SECURITIES VALUE
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------- ----------- -------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated
Investment Company:
Dividends (Net of Foreign Taxes Withheld of
$467, $0, $0 and $0, respectively).................. $ 3,318 -- -- --
Income Distributions Received from Affiliated
Investment Company.................................. -- -- $38,292 --
Interest.............................................. 1 -- -- --
Income from Securities Lending........................ 487 -- -- --
Expenses Allocated from Affiliated Investment
Company ............................................ (202) -- -- --
-------- -------- ------- ---------
Total Net Investment Income Received
from Affiliated Investment Company........... 3,604 -- 38,292 --
-------- -------- ------- ---------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$0, $4,252, $0 and $17,167, respectively)........... -- $ 61,042 -- $ 212,101
Interest.............................................. -- 6 2 41
Income from Securities Lending........................ -- 1,583 -- 14,358
-------- -------- ------- ---------
Total Fund Investment Income................... -- 62,631 2 226,500
-------- -------- ------- ---------
FUND EXPENSES
Investment Advisory Services Fees..................... -- 3,562 2,652 53,621
Administrative Services Fees.......................... 538 -- -- --
Accounting & Transfer Agent Fees...................... 15 132 21 892
Custodian Fees........................................ -- 252 -- 2,144
Filing Fees........................................... 20 72 52 167
Shareholders' Reports................................. 2 59 27 232
Directors'/Trustees' Fees & Expenses.................. 1 8 6 74
Audit Fees............................................ 1 25 6 192
Legal Fees............................................ -- 8 6 81
Other................................................. 1 167 9 162
-------- -------- ------- ---------
Total Expenses................................. 578 4,285 2,779 57,565
-------- -------- ------- ---------
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by Advisor
(Note C)............................................ -- -- (2,433) --
Fees Paid Indirectly.................................. -- (1) -- (10)
-------- -------- ------- ---------
Net Expenses.......................................... 578 4,284 346 57,555
-------- -------- ------- ---------
NET INVESTMENT INCOME (LOSS).......................... 3,026 58,347 37,948 168,945
-------- -------- ------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold........................ 3,433 (74,845) (4,706) 146,129
Futures........................................... (16) -- -- --
Foreign Currency Transactions..................... (34) 223 -- 115
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency........ (21,048) 3,153 1,312 (659,162)
Translation of Foreign Currency
Denominated Amounts............................. 3 (99) -- (833)
-------- -------- ------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)............... (17,662) (71,568) (3,394) (513,751)
-------- -------- ------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $(14,636) $(13,221) $34,554 $(344,806)
======== ======== ======= =========
--------
* 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.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS)
INTERNATIONAL
VECTOR WORLD EX EMERGING
EQUITY U.S. VALUE MARKETS
PORTFOLIO PORTFOLIO*** PORTFOLIO*
------------- ------------ ----------
INVESTMENT INCOME
Net Investment Income Received from
Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld
of $0, $109 and $7,318, respectively) ...... -- $ 1,224 $ 61,504
Income Distributions Received from
Affiliated Investment Companies............. -- 80 --
Interest...................................... -- -- 11
Income from Securities Lending................ -- 56 2,626
Expenses Allocated from Affiliated
Investment Companies........................ -- (87) (4,837)
-------- ------- ---------
Total Investment Income................ -- 1,273 59,304
-------- ------- ---------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $954, $0 and $0, respectively)........... $ 13,007 -- --
Interest...................................... 3 -- --
Income from Securities Lending................ 842 -- --
-------- ------- ---------
Total Fund Investment Income........... 13,852 -- --
-------- ------- ---------
FUND EXPENSES
Investment Advisory Services Fees............. 1,908 201 --
Administrative Services Fees.................. -- -- 9,541
Accounting & Transfer Agent Fees.............. 69 13 42
Custodian Fees................................ 232 -- --
Filing Fees................................... 36 26 70
Shareholders' Reports......................... 12 5 104
Directors'/Trustees' Fees & Expenses.......... 4 -- 22
Professional Fees............................. 9 14 25
Organizational & Offering Costs............... -- 17 --
Other......................................... 14 1 20
-------- ------- ---------
Total Expenses......................... 2,284 277 9,824
-------- ------- ---------
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by
Advisor (Note C)............................ -- (135) --
Fees Paid Indirectly.......................... -- -- --
-------- ------- ---------
Net Expenses.................................. 2,284 142 9,824
-------- ------- ---------
NET INVESTMENT INCOME (LOSS).................. 11,568 1,131 49,480
-------- ------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from
Affiliated Investment Companies............. -- 48 --
Net Realized Gain (Loss) on:
Investment Securities Sold................ 6,572 (6,148) 94,878
Foreign Currency Transactions**........... 126 (4) (1,059)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ (47,642) (1,774) (309,714)
Translation of Foreign Currency
Denominated Amounts..................... (27) (13) (109)
Change in Deferred Thailand Capital Gains
Tax......................................... -- 3 4,215
-------- ------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)....... (40,971) (7,888) (211,789)
-------- ------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS...................... $(29,403) $(6,757) $(162,309)
======== ======= =========
--------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
** Net of foreign capital gain taxes withheld of $0, $1, and $851,
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.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(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 $4,970, $41,245 and
$15,378, respectively)................. $ 47,775 $ 332,333 $ 126,884
Interest................................. 12 116 31
Income from Securities Lending........... 3,723 11,202 7,114
Expenses Allocated from Affiliated
Investment Company..................... (6,408) (27,575) --
--------- ----------- ---------
Total Investment Income........... 45,102 316,076 134,029
--------- ----------- ---------
EXPENSES
Investment Advisory Services Fees........ -- -- 27,105
Administrative Services Fees............. 8,734 55,102 --
Accounting & Transfer Agent Fees......... 36 173 539
Shareholder Servicing Fees --
Class R2 Shares...................... -- 100 --
Custodian Fees........................... -- -- 4,668
Filing Fees.............................. 99 799 328
Shareholders' Reports.................... 53 253 164
Directors'/Trustees' Fees & Expenses..... 17 113 40
Professional Fees........................ 22 142 351
Other.................................... 14 94 87
--------- ----------- ---------
Total Expenses.................... 8,975 56,776 33,282
--------- ----------- ---------
Fees Paid Indirectly..................... -- -- (9)
--------- ----------- ---------
Net Expenses............................. 8,975 56,776 33,273
--------- ----------- ---------
NET INVESTMENT INCOME (LOSS)............. 36,127 259,300 100,756
--------- ----------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold........... 27,050 193,129 20,186
Foreign Currency Transactions**...... (1,258) (3,612) (4,049)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................... (354,184) (2,865,375) (717,993)
Translation of Foreign Currency
Denominated Amounts................ (31) (5) 25
Change in Deferred Thailand Capital
Gains Tax.............................. 3,533 16,079 5,965
--------- ----------- ---------
NET REALIZED AND UNREALIZED GAIN
(LOSS)................................. (324,890) (2,659,784) (695,866)
--------- ----------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................. $(288,763) $(2,400,484) $(595,110)
========= =========== =========
--------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
** Net of foreign capital gain taxes withheld of $637, $1,682 and $2,994,
respectively.
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE
U.S. LARGE COMPANY CAP VALUE U.S. TARGETED
PORTFOLIO PORTFOLIO VALUE PORTFOLIO
------------------ ------------------------ ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
-------- -------- ----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............. $ 1,430 $ 1,547 $ 120,343 $ 120,445 $ 18,734 $ 13,743
Net Realized Gain (Loss) on:
Investment Securities Sold............ 380 1,013 301,933 498,315 20,083 87,567
Futures............................... 12,791 15,127 (9,927) -- 1,751 (256)
Foreign Currency Transactions......... 412 (51) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities................. (472) 143 (67,687) 533,400 53,386 298,035
Futures............................... (995) 8,702 -- -- -- --
Translation of Foreign
Currency Denominated Amounts........ (174) (171) -- -- -- --
-------- -------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations....................... 13,372 26,310 344,662 1,152,160 93,954 399,089
-------- -------- ----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Class R1 Shares....................... -- -- -- -- (275) (312)
Class R2 Shares....................... -- -- -- -- (43) (29)
Institutional Class Shares............ (270) (1,589) (117,051) (116,599) (17,989) (12,213)
Net Long-Term Gains:
Class R1 Shares....................... -- -- -- -- (87) --
Class R2 Shares....................... -- -- -- -- (14) --
Institutional Class Shares............ -- -- -- -- (4,668) --
-------- -------- ----------- ----------- ---------- ----------
Total Distributions................ (270) (1,589) (117,051) (116,599) (23,076) (12,554)
-------- -------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................. 42,165 15,684 2,027,913 1,304,022 924,360 911,104
Shares Issued in Lieu of Cash
Distributions........................... 259 1,525 109,293 108,979 21,388 11,528
Shares Redeemed........................... (42,128) (49,431) (1,945,509) (1,391,178) (743,912) (521,662)
-------- -------- ----------- ----------- ---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions..................... 296 (32,222) 191,697 21,823 201,836 400,970
-------- -------- ----------- ----------- ---------- ----------
Total Increase (Decrease)
in Net Assets.................... 13,398 (7,501) 419,308 1,057,384 272,714 787,505
NET ASSETS
Beginning of Period....................... 157,730 165,231 6,921,036 5,863,652 2,271,265 1,483,760
-------- -------- ----------- ----------- ---------- ----------
End of Period............................. $171,128 $157,730 $ 7,340,344 $ 6,921,036 $2,543,979 $2,271,265
======== ======== =========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 5,163 2,221 100,905 74,182 56,950 65,207
Shares Issued in Lieu of Cash
Distributions........................... 33 224 5,526 6,369 1,349 900
Shares Redeemed........................... (5,148) (6,983) (98,393) (79,010) (46,106) (38,952)
Shares Reduced by Reverse Stock
Split (Note G).......................... -- -- -- -- (9) (1,473)
-------- -------- ----------- ----------- ---------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed......................... 48 (4,538) 8,038 1,541 12,184 25,682
======== ======== =========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 1,903 $ 228 $ 20,676 $ 17,386 $ 1,385 $ 2,297
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. SMALL U.S. CORE U.S. CORE
CAP VALUE PORTFOLIO EQUITY 1 PORTFOLIO EQUITY 2 PORTFOLIO
------------------------ ---------------------- -----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
----------- ----------- ---------- ---------- ----------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ 44,197 $ 26,885 $ 51,991 $ 37,162 $ 80,421 $ 65,265
Net Realized Gain (Loss) on:..................
Investment Securities Sold................ 215,171 464,145 31,974 848 69,078 9,966
Futures................................... (825) -- -- -- -- --
In-Kind Redemptions....................... -- 56,505* -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:..........................
Investment Securities..................... 112,710 929,717 116,761 406,078 192,966 767,061
Futures................................... 536 -- -- -- -- --
----------- ----------- ---------- ---------- ----------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................... 371,789 1,477,252 200,726 444,088 342,465 842,292
----------- ----------- ---------- ---------- ----------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................ (41,924) (25,747) (49,822) (31,326) (78,869) (53,941)
----------- ----------- ---------- ---------- ----------- ----------
Total Distributions.................... (41,924) (25,747) (49,822) (31,326) (78,869) (53,941)
----------- ----------- ---------- ---------- ----------- ----------
Capital Share Transactions (1):
Shares Issued................................. 1,194,011 1,005,684 1,193,672 935,366 1,575,775 1,032,528
Shares Issued in Lieu of Cash
Distributions............................... 39,640 24,638 45,486 28,011 76,923 52,914
Shares Redeemed............................... (1,577,930) (1,596,209)* (556,060) (468,313) (1,086,755) (687,751)
----------- ----------- ---------- ---------- ----------- ----------
Net Increase (Decrease) from
Capital Share Transactions........... (344,279) (565,887) 683,098 495,064 565,943 397,691
----------- ----------- ---------- ---------- ----------- ----------
Total Increase (Decrease) in
Net Assets........................... (14,414) 885,618 834,002 907,826 829,539 1,186,042
NET ASSETS
Beginning of Period........................... 6,555,277 5,669,659 2,897,409 1,989,583 4,990,367 3,804,325
----------- ----------- ---------- ---------- ----------- ----------
End of Period................................. $ 6,540,863 $ 6,555,277 $3,731,411 $2,897,409 $ 5,819,906 $4,990,367
=========== =========== ========== ========== =========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................. 48,190 48,187 108,434 97,948 144,791 110,280
Shares Issued in Lieu of Cash
Distributions............................... 1,639 1,272 4,215 3,032 7,192 5,795
Shares Redeemed............................... (62,955) (78,455) (51,146) (49,368) (99,493) (73,302)
----------- ----------- ---------- ---------- ----------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed........... (13,126) (28,996) 61,503 51,612 52,490 42,773
=========== =========== ========== ========== =========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................. $ 858 $ 3,668 $ 8,359 $ 6,193 $ 7,601 $ 11,980
--------
* See Note M in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. VECTOR U.S. SMALL U.S. MICRO
EQUITY PORTFOLIO CAP PORTFOLIO CAP PORTFOLIO
---------------------- ------------------------ ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
---------- ---------- ----------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 20,309 $ 15,896 $ 33,067 $ 22,549 $ 23,621 $ 17,911
Net Realized Gain (Loss) on:
Investment Securities Sold......... 46,999 11,302 211,228 186,403 234,404 246,080
Futures............................ -- -- 929 -- -- --
In-Kind Redemptions................ -- -- 126,527* -- -- --
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities.............. 18,243 260,530 (60,488) 519,280 32,818 507,946
---------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... 85,551 287,728 311,263 728,232 290,843 771,937
---------- ---------- ----------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (19,719) (14,799) (32,796) (21,528) (23,667) (17,526)
---------- ---------- ----------- ---------- ---------- ----------
Total Distributions............. (19,719) (14,799) (32,796) (21,528) (23,667) (17,526)
---------- ---------- ----------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued.......................... 551,321 375,571 1,118,116 754,050 509,041 291,712
Shares Issued in Lieu of Cash
Distributions........................ 19,400 14,588 30,271 20,104 22,542 16,858
Shares Redeemed........................ (343,081) (282,779) (1,047,988)* (611,402) (719,326) (703,060)
---------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions.................. 227,640 107,380 100,399 162,752 (187,743) (394,490)
---------- ---------- ----------- ---------- ---------- ----------
Total Increase
(Decrease) in Net
Assets........................ 293,472 380,309 378,866 869,456 79,433 359,921
NET ASSETS
Beginning of Period.................... 1,558,423 1,178,114 3,391,457 2,522,001 3,178,286 2,818,365
---------- ---------- ----------- ---------- ---------- ----------
End of Period.......................... $1,851,895 $1,558,423 $ 3,770,323 $3,391,457 $3,257,719 $3,178,286
========== ========== =========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 51,309 41,113 52,474 42,652 37,458 26,534
Shares Issued in Lieu of Cash
Distributions........................ 1,845 1,659 1,457 1,220 1,695 1,594
Shares Redeemed........................ (31,749) (30,825) (48,404) (35,288) (52,370) (63,240)
---------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed...................... 21,405 11,947 5,527 8,584 (13,217) (35,112)
========== ========== =========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)............... $ 3,557 $ 2,968 $ 1,483 $ 4,657 $ 3,199 $ 3,227
--------
* See Note M in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA REAL ESTATE LARGE CAP INTERNATIONAL
SECURITIES INTERNATIONAL CORE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............. $ 51,146 $ 75,701 $ 55,392 $ 38,398 $ 161,011 $ 96,219
Capital Gain Distributions
Received from Investment
Securities.............................. 13,117 3,056 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold............ (39,946) (57,195) (12,846) (16,990) 28,431 19,341
Foreign Currency Transactions......... -- -- 187 383 (191) 299
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.................... 277,359 825,263 (133,116) 134,897 (525,986) 410,019
Translation of Foreign
Currency Denominated Amounts........ -- -- (205) 134 (476) 333
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations....................... 301,676 846,825 (90,588) 156,822 (337,211) 526,211
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares............ (40,246) (70,908) (54,107) (40,390) (161,285) (83,173)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions................ (40,246) (70,908) (54,107) (40,390) (161,285) (83,173)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................. 685,272 469,431 463,836 380,265 1,663,723 1,275,823
Shares Issued in Lieu of Cash
Distributions........................... 38,998 68,782 51,857 39,047 154,934 79,558
Shares Redeemed........................... (576,605) (643,137) (283,535) (283,409) (791,266) (631,272)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions..................... 147,665 (104,924) 232,158 135,903 1,027,391 724,109
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease)
in Net Assets.................... 409,095 670,993 87,463 252,335 528,895 1,167,147
NET ASSETS
Beginning of Period....................... 2,689,552 2,018,559 1,616,686 1,364,351 4,866,989 3,699,842
---------- ---------- ---------- ---------- ---------- ----------
End of Period............................. $3,098,647 $2,689,552 $1,704,149 $1,616,686 $5,395,884 $4,866,989
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 30,656 25,336 23,919 20,917 153,758 128,031
Shares Issued in Lieu of Cash
Distributions........................... 1,817 3,862 2,658 2,285 14,162 8,624
Shares Redeemed........................... (25,853) (34,560) (14,657) (15,664) (73,947) (63,215)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed......................... 6,620 (5,362) 11,920 7,538 93,973 73,440
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 14,529 $ 12,994 $ 5,725 $ 3,984 $ 13,366 $ 16,165
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL JAPANESE ASIA PACIFIC
SMALL COMPANY SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ------------------ ------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
---------- ---------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 146,577 $ 90,630 $ 2,693 $ 1,730 $ 4,845 $ 3,468
Net Realized Gain (Loss) on:
Investment Securities Sold.............. 205,897 157,743 (5,587) (12,297) 8,959 5,129
Futures................................. (271) -- -- -- -- --
Foreign Currency Transactions........... (103) 1,622 14 76 85 (4)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency...................... (571,803) 551,254 13,164 10,741 (21,184) 19,235
Translation of Foreign Currency
Denominated Amounts................... (340) 210 (61) 31 18 (12)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... (220,043) 801,459 10,223 281 (7,277) 27,816
---------- ---------- -------- -------- -------- --------
Distributions From:
Net Investment Income:......................
Institutional Class Shares.............. (179,486) (84,604) (2,305) (1,845) (6,964) (3,162)
---------- ---------- -------- -------- -------- --------
Total Distributions.................. (179,486) (84,604) (2,305) (1,845) (6,964) (3,162)
---------- ---------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued............................... 1,380,524 1,099,327 74,211 11,290 54,555 28,331
Shares Issued in Lieu of Cash
Distributions............................. 171,227 80,737 2,020 1,609 6,350 2,788
Shares Redeemed............................. (829,801) (655,189) (35,962) (10,460) (38,913) (26,115)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from
Capital Share Transactions......... 721,950 524,875 40,269 2,439 21,992 5,004
---------- ---------- -------- -------- -------- --------
Total Increase (Decrease) in
Net Assets......................... 322,421 1,241,730 48,187 875 7,751 29,658
NET ASSETS
Beginning of Period......................... 5,511,594 4,269,864 114,933 114,058 131,511 101,853
---------- ---------- -------- -------- -------- --------
End of Period............................... $5,834,015 $5,511,594 $163,120 $114,933 $139,262 $131,511
========== ========== ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 81,929 75,592 4,725 793 2,200 1,254
Shares Issued in Lieu of Cash
Distributions............................. 10,276 5,955 133 116 249 135
Shares Redeemed............................. (50,113) (45,123) (2,288) (742) (1,533) (1,206)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from
Shares Issued and Redeemed......... 42,092 36,424 2,570 167 916 183
========== ========== ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)........................... $ 6,376 $ 31,973 $ 1,041 $ 631 $ 1,047 $ 652
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
UNITED KINGDOM CONTINENTAL DFA INTERNATIONAL
SMALL COMPANY SMALL COMPANY REAL ESTATE SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ------------------ ---------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
-------- -------- -------- -------- ---------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................... $ 1,146 $ 693 $ 3,026 $ 1,996 $ 58,347 $ 51,453
Net Realized Gain (Loss) on:
Investment Securities Sold................................. 1,011 86 3,433 (5,002) (74,845) (52,532)
Futures.................................................... -- -- (16) -- -- --
Foreign Currency Transactions.............................. 1 3 (34) 51 223 253
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. (2,107) 6,121 (21,048) 19,653 3,153 149,959
Translation of Foreign Currency Denominated
Amounts.................................................. 2 (1) 3 1 (99) (8)
------- ------- -------- -------- ---------- ---------
Net Increase (Decrease) in Net Assets Resulting
from Operations....................................... 53 6,902 (14,636) 16,699 (13,221) 149,125
------- ------- -------- -------- ---------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares................................. (1,071) (694) (3,562) (1,863) (107,338) (78,863)
------- ------- -------- -------- ---------- ---------
Total Distributions..................................... (1,071) (694) (3,562) (1,863) (107,338) (78,863)
------- ------- -------- -------- ---------- ---------
Capital Share Transactions (1):
Shares Issued.................................................. 3,802 2,343 18,358 15,385 322,549 236,837
Shares Issued in Lieu of Cash Distributions.................... 818 537 2,856 1,577 106,188 78,275
Shares Redeemed................................................ (3,484) (3,200) (13,670) (14,618) (206,576) (169,149)
------- ------- -------- -------- ---------- ---------
Net Increase (Decrease) from Capital Share
Transactions.......................................... 1,136 (320) 7,544 2,344 222,161 145,963
------- ------- -------- -------- ---------- ---------
Total Increase (Decrease) in Net Assets................. 118 5,888 (10,654) 17,180 101,602 216,225
NET ASSETS
Beginning of Period............................................ 33,751 27,863 128,106 110,926 958,554 742,329
------- ------- -------- -------- ---------- ---------
End of Period.................................................. $33,869 $33,751 $117,452 $128,106 $1,060,156 $ 958,554
======= ======= ======== ======== ========== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................................. 158 115 1,086 1,040 62,870 48,350
Shares Issued in Lieu of Cash Distributions.................... 33 27 164 118 21,940 16,761
Shares Redeemed................................................ (138) (155) (801) (978) (40,236) (35,159)
------- ------- -------- -------- ---------- ---------
Net Increase (Decrease) from Shares Issued and
Redeemed.............................................. 53 (13) 449 180 44,574 29,952
======= ======= ======== ======== ========== =========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME)................................ $ 279 $ 203 $ 27 $ 597 $ (53,267) $ (2,542)
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA GLOBAL DFA INTERNATIONAL INTERNATIONAL
REAL ESTATE SECURITIES SMALL CAP VALUE VECTOR EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- ------------------------ ------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
--------- --------- ----------- ----------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 37,948 $ 31,064 $ 168,945 $ 111,256 $ 11,568 $ 5,813
Net Realized Gain (Loss) on:
Investment Securities Sold....................... (4,706) (16,221) 146,129 198,099 6,572 5,866
Foreign Currency Transactions.................... -- -- 115 2,837 126 77
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign
Currency....................................... 1,312 134,183 (659,162) 395,701 (47,642) 28,748
Translation of Foreign Currency Denominated
Amounts........................................ -- -- (833) 688 (27) 27
--------- --------- ----------- ----------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 34,554 149,026 (344,806) 708,581 (29,403) 40,531
--------- --------- ----------- ----------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares....................... (41,423) (30,870) (182,741) (101,689) (11,774) (5,380)
Net Long-Term Gains:
Institutional Class Shares....................... -- -- (138,537) -- (2,419) --
--------- --------- ----------- ----------- -------- --------
Total Distributions........................... (41,423) (30,870) (321,278) (101,689) (14,193) (5,380)
--------- --------- ----------- ----------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................ 372,793 291,090 1,422,232 1,457,097 139,795 109,333
Shares Issued in Lieu of Cash Distributions.......... 40,672 30,424 303,336 94,455 13,500 5,137
Shares Redeemed...................................... (232,709) (176,711) (1,255,658) (1,363,083) (62,242) (49,042)
--------- --------- ----------- ----------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions.......................... 180,756 144,803 469,910 188,469 91,053 65,428
--------- --------- ----------- ----------- -------- --------
Total Increase (Decrease) in Net
Assets...................................... 173,887 262,959 (196,174) 795,361 47,457 100,579
NET ASSETS
Beginning of Period.................................. 695,461 432,502 7,655,318 6,859,957 363,123 262,544
--------- --------- ----------- ----------- -------- --------
End of Period........................................ $ 869,348 $ 695,461 $ 7,459,144 $ 7,655,318 $410,580 $363,123
========= ========= =========== =========== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 45,423 40,187 86,184 96,841 13,326 11,526
Shares Issued in Lieu of Cash Distributions.......... 5,345 4,617 18,285 6,841 1,293 590
Shares Redeemed...................................... (28,834) (24,880) (75,870) (89,769) (5,988) (5,261)
--------- --------- ----------- ----------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... 21,934 19,924 28,599 13,913 8,631 6,855
========= ========= =========== =========== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS
IN EXCESS OF NET INVESTMENT INCOME)................... $ 1,177 $ 5,011 $ 21,874 $ 37,940 $ 782 $ 1,086
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS
WORLD EX U.S. EMERGING MARKETS SMALL CAP
VALUE PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ---------------------- ----------------------
FOR THE PERIOD
YEAR AUG. 23, YEAR YEAR YEAR YEAR
ENDED 2010(a) TO ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
-------- -------------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 1,131 $ 40 $ 49,480 $ 37,045 $ 36,127 $ 23,479
Capital Gain Distributions Received from
Affiliated Investment Companies.................... 48 -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold....................... (6,148) 212 94,878 148,805 27,050 97,897
Foreign Currency Transactions*................... (4) 2 (1,059) 506 (1,258) 76
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................................... (1,774) 3,256 (309,714) 317,270 (354,184) 373,644
Translation of Foreign Currency
Denominated Amounts............................ (13) (3) (109) (6) (31) (72)
Change in Deferred Thailand Capital Gains
Tax................................................ 3 (3) 4,215 (2,143) 3,533 (2,963)
------- ------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... (6,757) 3,504 (162,309) 501,477 (288,763) 492,061
------- ------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares....................... (1,006) -- (42,779) (34,414) (33,950) (22,294)
Net Short-Term Gains:
Institutional Class Shares....................... (19) -- (77) (2,485) -- --
Net Long-Term Gains:
Institutional Class Shares....................... (195) -- (136,141) (29,814) (58,359) --
------- ------- ---------- ---------- ---------- ----------
Total Distributions........................... (1,220) -- (178,997) (66,713) (92,309) (22,294)
------- ------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................................ 32,244 28,812 668,299 464,965 694,159 468,984
Shares Issued in Lieu of Cash Distributions.......... 1,211 -- 164,271 60,045 74,466 18,296
Shares Redeemed...................................... (7,929) (2,700) (550,727) (553,564) (387,846) (257,967)
------- ------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions.......................... 25,526 26,112 281,843 (28,554) 380,779 229,313
------- ------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets...................................... 17,549 29,616 (59,463) 406,210 (293) 699,080
NET ASSETS
Beginning of Period.................................. 29,616 -- 2,372,498 1,966,288 1,833,038 1,133,958
------- ------- ---------- ---------- ---------- ----------
End of Period........................................ $47,165 $29,616 $2,313,035 $2,372,498 $1,832,745 $1,833,038
======= ======= ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 2,801 2,860 22,995 16,688 31,956 22,700
Shares Issued in Lieu of Cash Distributions.......... 108 -- 5,590 2,260 3,241 933
Shares Redeemed...................................... (782) (252) (18,667) (20,100) (18,437) (13,059)
------- ------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... 2,127 2,608 9,918 (1,152) 16,760 10,574
======= ======= ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................... $ 168 $ 46 $ 6,113 $ 3,270 $ 1,396 $ 3,213
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $1, $0, $851, $0, $637 and
$179, respectively.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS
EMERGING MARKETS CORE EQUITY
VALUE PORTFOLIO PORTFOLIO
------------------------ ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010
----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 259,300 $ 125,933 $ 100,756 $ 51,443
Net Realized Gain (Loss) on:
Investment Securities Sold........................................ 193,129 577,480 20,186 35,721
Foreign Currency Transactions*.................................... (3,612) (3,090) (4,049) (776)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (2,865,375) 1,724,116 (717,993) 789,087
Translation of Foreign Currency Denominated Amounts............... (5) 2 25 (19)
Change in Deferred Thailand Capital Gains Tax......................... 16,079 (9,879) 5,965 (4,133)
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... (2,400,484) 2,414,562 (595,110) 871,323
----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares................................................... (532) (5,375) -- --
Institutional Class Shares........................................ (223,890) (109,197) (86,292) (48,768)
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............................................ (771,699) (297,079) (86,292) (48,768)
----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................................................... 6,491,870 3,348,220 2,524,065 1,458,158
Shares Issued in Lieu of Cash Distributions........................... 711,366 272,770 77,358 43,732
Shares Redeemed....................................................... (1,805,221) (1,562,283) (732,430) (599,598)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital Share Transactions........ 5,398,015 2,058,707 1,868,993 902,292
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets........................ 2,225,832 4,176,190 1,187,591 1,724,847
NET ASSETS
Beginning of Period................................................... 11,582,538 7,406,348 4,179,882 2,455,035
----------- ----------- ---------- ----------
End of Period......................................................... $13,808,370 $11,582,538 $5,367,473 $4,179,882
=========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 190,904 121,548 122,538 77,138
Shares Issued in Lieu of Cash Distributions........................... 20,921 12,712 3,743 2,449
Shares Redeemed....................................................... (55,156) (53,662) (35,958) (32,331)
Shares Reduced by Conversion of Shares (Note G)....................... (19,608) -- -- --
----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed..................................................... 137,061 80,598 90,323 47,256
=========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 33,870 $ 12,814 $ 15,280 $ 8,563
--------
* Net of foreign capital gain taxes withheld of $1,682, $1,720, $2,994 and
$982, respectively.
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO
---------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of
Period ......................... $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 $ 9.82
-------- -------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income
(Loss)(A).................... 0.07 0.07 0.05 0.39 0.30 0.12
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.56 1.05 0.61 (3.74) 0.45 1.19
-------- -------- -------- -------- -------- --------
Total From Investment
Operations............... 0.63 1.12 0.66 (3.35) 0.75 1.31
-------- -------- -------- -------- -------- --------
Less Distributions
Net Investment Income.......... (0.01) (0.07) (0.59) (0.36) (0.36) (0.18)
Net Realized Gains............. -- -- (0.06) (0.73) (0.43) --
-------- -------- -------- -------- -------- --------
Total Distributions........ (0.01) (0.07) (0.65) (1.09) (0.79) (0.18)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of
Period.......................... $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95
======== ======== ======== ======== ======== ========
Total Return...................... 8.41% 17.40% 12.23% (33.89)%(C) 7.13% 13.52%
-------- -------- -------- -------- -------- --------
Net Assets, End of Period
(thousands)..................... $171,128 $157,730 $165,231 $200,331 $337,050 $347,216
Ratio of Expenses to Average
Net Assets...................... 0.26% 0.26% 0.29%** 0.25%(B)(D) 0.25%(D) 0.26%(D)
Ratio of Net Investment
Income to Average Net Assets.... 0.86% 0.98% 0.86% 4.74%(B) 2.67% 1.19%
Portfolio Turnover Rate........... 140% 78% 46%* N/A N/A N/A
U.S. LARGE CAP VALUE PORTFOLIO
----------------------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period ......................... $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40 $ 21.93
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income
(Loss)(A).................... 0.33 0.33 0.31 0.36 0.33 0.38
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.70 2.76 1.28 (8.83) (0.43) 3.50
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations............... 1.03 3.09 1.59 (8.47) (0.10) 3.88
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.......... (0.32) (0.32) (0.34) (0.35) (0.32) (0.35)
Net Realized Gains............. -- -- (0.02) (1.04) (0.54) (0.06)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.32) (0.32) (0.36) (1.39) (0.86) (0.41)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period.......................... $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40
========== ========== ========== ========== ========== ==========
Total Return...................... 5.53% 19.72% 11.76% (36.63)%(C) (0.49)% 17.97%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $7,340,344 $6,921,036 $5,863,652 $5,330,448 $7,535,552 $6,410,086
Ratio of Expenses to Average
Net Assets...................... 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D) 0.28%(D)
Ratio of Net Investment
Income to Average Net Assets.... 1.63% 1.86% 2.26% 1.86%(B) 1.28% 1.64%
Portfolio Turnover Rate........... N/A N/A N/A N/A N/A N/A
--------
* For the period February 28, 2009 through October 31, 2009. Effective
February 28, 2009, Enhanced U.S. Large Company Portfolio invests directly in
securities rather than through the Series.
** Represents the combined ratios for the respective portfolio and for the
period November 1, 2008 through February 27, 2009, its respective pro-rata
share of its Master Fund Series.
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES+
----------------------------------------------
PERIOD
YEAR YEAR YEAR JAN. 31,
ENDED ENDED ENDED 2008(a)
OCT. 31, OCT. 31, OCT. 31, TO OCT. 31,
2011 2010 2009 2008
-------- -------- -------- -----------
Net Asset Value, Beginning of Period.............. $ 14.75 $ 11.73 $ 10.92 $ 14.69
------- ------- ------- -------
Income From Investment Operations
Net Investment Income (Loss)(A)................ 0.10 0.07 0.12 0.13
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 0.60 3.07 0.87 (3.76)
------- ------- ------- -------
Total From Investment Operations........... 0.70 3.14 0.99 (3.63)
------- ------- ------- -------
Less Distributions
Net Investment Income.......................... (0.10) (0.12) (0.18) (0.14)
Net Realized Gains............................. (0.03) -- -- --
------- ------- ------- -------
Total Distributions........................ (0.13) (0.12) (0.18) (0.14)
------- ------- ------- -------
Net Asset Value, End of Period.................... $ 15.32 $ 14.75 $ 11.73 $ 10.92
======= ======= ======= =======
Total Return...................................... 4.69% 26.93% 9.36% (24.96)%(C)
------- ------- ------- -------
Net Assets, End of Period (thousands)............. $45,132 $41,316 $31,393 $25,599
Ratio of Expenses to Average Net Assets........... 0.48% 0.49% 0.52% 0.50%(B)(E)
Ratio of Net Investment Income to Average Net
Assets.......................................... 0.61% 0.59% 1.12% 1.24%(B)(E)
Portfolio Turnover Rate........................... 23% 20% 17% 20%(C)
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES+
----------------------------------------------
PERIOD
YEAR YEAR YEAR JUNE 30,
ENDED ENDED ENDED 2008(a)
OCT. 31, OCT. 31, OCT. 31, TO OCT. 31,
2011 2010 2009 2008
-------- -------- -------- -----------
Net Asset Value, Beginning of Period.............. $ 14.76 $11.74 $10.91 $ 13.94
------- ------ ------ -------
Income From Investment Operations
Net Investment Income (Loss)(A)................ 0.07 0.05 0.10 0.05
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 0.60 3.07 0.88 (3.02)
------- ------ ------ -------
Total From Investment Operations........... 0.67 3.12 0.98 (2.97)
------- ------ ------ -------
Less Distributions
Net Investment Income.......................... (0.09) (0.10) (0.15) (0.06)
Net Realized Gains............................. (0.03) -- -- --
------- ------ ------ -------
Total Distributions........................ (0.12) (0.10) (0.15) (0.06)
------- ------ ------ -------
Net Asset Value, End of Period.................... $ 15.31 $14.76 $11.74 $ 10.91
======= ====== ====== =======
Total Return...................................... 4.50% 26.66% 9.23% (21.40)%(C)
------- ------ ------ -------
Net Assets, End of Period (thousands)............. $10,918 $5,967 $2,930 $ 1,715
Ratio of Expenses to Average Net Assets........... 0.63% 0.64% 0.67% 0.66%(B)(E)
Ratio of Net Investment Income to Average Net
Assets.......................................... 0.42% 0.44% 0.91% 1.35%(B)(E)
Portfolio Turnover Rate........................... 23% 20% 17% 20%(C)
--------
+ All per share amounts and net assets values prior to November 19, 2010, 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.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
-------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- -------- -------- --------
Net Asset Value, Beginning of Period ....... $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 $ 17.33
---------- ---------- ---------- -------- -------- --------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.12 0.09 0.12 0.18 0.20 0.21
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.59 3.06 0.88 (4.68) (1.32) 2.84
---------- ---------- ---------- -------- -------- --------
Total From Investment Operations..... 0.71 3.15 1.00 (4.50) (1.12) 3.05
---------- ---------- ---------- -------- -------- --------
Less Distributions
Net Investment Income.................... (0.12) (0.09) (0.14) (0.15) (0.20) (0.25)
Net Realized Gains....................... (0.03) -- -- (0.40) (1.48) (1.44)
---------- ---------- ---------- -------- -------- --------
Total Distributions.................. (0.15) (0.09) (0.14) (0.55) (1.68) (1.69)
---------- ---------- ---------- -------- -------- --------
Net Asset Value, End of Period.............. $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69
========== ========== ========== ======== ======== ========
Total Return................................ 4.76% 27.02% 9.47% (29.27)%(C) (6.59)% 19.48%
---------- ---------- ---------- -------- -------- --------
Net Assets, End of Period (thousands)....... $2,487,929 $2,223,982 $1,449,437 $855,448 $554,805 $215,338
Ratio of Expenses to Average Net Assets..... 0.38% 0.38% 0.41% 0.40%(B) 0.41%(D)** 0.46%(D)
Ratio of Net Investment Income to
Average Net Assets........................ 0.71% 0.69% 1.19% 1.39%(B) 1.12% 1.19%
Portfolio Turnover Rate..................... 23% 20% 17% 20%(C) 9%(C)* N/A
U.S. SMALL CAP VALUE PORTFOLIO
---------------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period .............................. $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 $ 28.74
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A)..... 0.16 0.09 0.04 0.18 0.30 0.28
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 1.00 4.79 1.54 (7.86) (2.72) 5.06
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.................... 1.16 4.88 1.58 (7.68) (2.42) 5.34
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income............... (0.15) (0.08) (0.21) (0.22) (0.28) (0.23)
Net Realized Gains.................. -- -- -- (2.27) (2.40) (2.26)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............. (0.15) (0.08) (0.21) (2.49) (2.68) (2.49)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period......... $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59
========== ========== ========== ========== ========== ==========
Total Return........................... 5.13% 27.69% 9.97% (31.80)%(C) (8.41)% 20.29%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands).......................... $6,540,863 $6,555,277 $5,669,659 $5,503,945 $8,802,846 $8,738,278
Ratio of Expenses to Average Net
Assets............................... 0.52% 0.52% 0.54%++ 0.52%(B)(D) 0.52%(D) 0.53%(D)
Ratio of Net Investment Income to
Average Net Assets................... 0.62% 0.43% 0.27% 0.86%(B) 0.98% 0.94%
Portfolio Turnover Rate................ 14% 19% 21%+ 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.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO
------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, Beginning of Period ....... $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 $ 10.22
---------- ---------- ---------- ---------- ---------- --------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.17 0.15 0.15 0.17 0.19 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.59 1.61 0.73 (4.03) 0.35 1.28
---------- ---------- ---------- ---------- ---------- --------
Total From Investment Operations..... 0.76 1.76 0.88 (3.86) 0.54 1.45
---------- ---------- ---------- ---------- ---------- --------
Less Distributions
Net Investment Income.................... (0.16) (0.12) (0.15) (0.16) (0.18) (0.17)
Net Realized Gains....................... -- -- -- -- (0.03) --
---------- ---------- ---------- ---------- ---------- --------
Total Distributions.................. (0.16) (0.12) (0.15) (0.16) (0.21) (0.17)
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period.............. $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50
========== ========== ========== ========== ========== ========
Total Return................................ 7.47% 20.80% 11.64% (32.85)%(C) 4.68% 14.35%
========== ========== ========== ========== ========== ========
Net Assets, End of Period (thousands)....... $3,731,411 $2,897,409 $1,989,583 $1,320,562 $1,210,031 $652,270
Ratio of Expenses to Average Net Assets..... 0.20% 0.20% 0.22% 0.20%(B) 0.20% 0.23%
Ratio of Net Investment Income to
Average Net Assets........................ 1.49% 1.53% 2.02% 1.78%(B) 1.53% 1.52%
Portfolio Turnover Rate..................... 5% 4% 7% 5%(C) 10% 6%
U.S. CORE EQUITY 2 PORTFOLIO
--------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period ....... $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 $ 10.24
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.16 0.14 0.14 0.17 0.19 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.54 1.64 0.66 (4.04) 0.13 1.40
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations..... 0.70 1.78 0.80 (3.87) 0.32 1.57
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.................... (0.15) (0.11) (0.14) (0.17) (0.17) (0.16)
Net Realized Gains....................... -- -- -- -- (0.03) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.15) (0.11) (0.14) (0.17) (0.20) (0.16)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............. $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65
========== ========== ========== ========== ========== ==========
Total Return................................ 6.98% 21.41% 10.66% (33.16)%(C) 2.78% 15.50%
========== ========== ========== ========== ========== ==========
Net Assets, End of Period (thousands)....... $5,819,906 $4,990,367 $3,804,325 $2,501,028 $2,939,420 $1,216,310
Ratio of Expenses to Average Net Assets..... 0.22% 0.23% 0.24% 0.23%(B) 0.23% 0.26%
Ratio of Net Investment Income to
Average Net Assets........................ 1.42% 1.47% 1.89% 1.77%(B) 1.55% 1.55%
Portfolio Turnover Rate..................... 9% 7% 4% 8%(C) 7% 5%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO
----------------------------------------------------------------------
PERIOD PERIOD
YEAR YEAR YEAR DEC. 1, YEAR DEC. 30,
ENDED ENDED ENDED 2007 TO ENDED 2005(a) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- -------- -------- ----------
Net Asset Value, Beginning of
Period............................... $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 $ 10.00
---------- ---------- ---------- -------- -------- --------
Income From Investment Operations
Net Investment Income (Loss)(A)..... 0.12 0.10 0.11 0.15 0.16 0.13
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 0.46 1.79 0.57 (3.89) (0.25) 1.73
---------- ---------- ---------- -------- -------- --------
Total From Investment
Operations.................... 0.58 1.89 0.68 (3.74) (0.09) 1.86
---------- ---------- ---------- -------- -------- --------
Less Distributions
Net Investment Income............... (0.12) (0.10) (0.13) (0.16) (0.14) (0.07)
Net Realized Gains.................. -- -- -- -- (0.18) --
---------- ---------- ---------- -------- -------- --------
Total Distributions.................... (0.12) (0.10) (0.13) (0.16) (0.32) (0.07)
---------- ---------- ---------- -------- -------- --------
Net Asset Value, End of Period......... $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79
========== ========== ========== ======== ======== ========
Total Return........................... 5.86% 23.65% 9.47% (33.29)%(C) (0.87)% 18.65%(C)
========== ========== ========== ======== ======== ========
Net Assets, End of Period
(thousands).......................... $1,851,895 $1,558,423 $1,178,114 $850,623 $959,742 $403,312
Ratio of Expenses to Average Net
Assets............................... 0.33% 0.33% 0.35% 0.34%(B) 0.34% 0.36%(B)(E)
---------- ---------- ---------- -------- -------- --------
Ratio of Expenses to Average Net
Assets (Excluding Waiversand
Assumption of Expenses and/or
Recovery of Previously Waived
Fees)................................ 0.33% 0.33% 0.35% 0.34%(B) 0.33% 0.39%(B)(E)
Ratio of Net Investment Income to
Average Net Assets................... 1.11% 1.13% 1.60% 1.66%(B) 1.29% 1.24%(B)(E)
Portfolio Turnover Rate................ 10% 11% 11% 11%(C) 14% 24%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO
---------------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period ............................. $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 $ 20.75
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A).... 0.18 0.13 0.06 0.14 0.21 0.17
Net Gains (Losses) on
Securities (Realized and
Unrealized)...................... 1.49 4.17 1.65 (6.08) (0.66) 2.84
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................... 1.67 4.30 1.71 (5.94) (0.45) 3.01
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.............. (0.18) (0.13) (0.17) (0.17) (0.21) (0.13)
Net Realized Gains................. -- -- -- (1.18) (1.16) (1.17)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.18) (0.13) (0.17) (1.35) (1.37) (1.30)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period........ $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46
========== ========== ========== ========== ========== ==========
Total Return.......................... 8.76% 28.99% 13.08% (30.67)%(C) (2.17)% 15.49%
========== ========== ========== ========== ========== ==========
Net Assets, End of Period
(thousands)......................... $3,770,323 $3,391,457 $2,522,001 $2,066,849 $3,285,093 $3,297,199
Ratio of Expenses to Average Net
Assets.............................. 0.37% 0.37% 0.40%** 0.38%(B)(D) 0.38%(D) 0.38%(D)
Ratio of Net Investment Income to
Average Net Assets.................. 0.84% 0.76% 0.50% 0.86%(B) 0.95% 0.82%
Portfolio Turnover Rate............... 23% 19% 17%* N/A N/A N/A
U.S. MICRO CAP PORTFOLIO
---------------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 30, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period ............................. $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 $ 15.91
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A).... 0.09 0.06 0.03 0.10 0.14 0.10
Net Gains (Losses) on
Securities (Realized and
Unrealized)...................... 0.99 2.68 0.54 (4.32) (0.69) 2.04
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................... 1.08 2.74 0.57 (4.22) (0.55) 2.14
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.............. (0.09) (0.06) (0.19) (0.13) (0.13) (0.08)
Net Realized Gains................. -- -- -- (1.26) (1.35) (1.14)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.09) (0.06) (0.19) (1.39) (1.48) (1.22)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period........ $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83
========== ========== ========== ========== ========== ==========
Total Return.......................... 8.85% 28.77% 6.61% (31.33)%(C) (3.63)% 14.52%
========== ========== ========== ========== ========== ==========
Net Assets, End of Period
(thousands)......................... $3,257,719 $3,178,286 $2,818,365 $2,924,225 $4,700,371 $4,824,003
Ratio of Expenses to Average Net
Assets.............................. 0.52% 0.52% 0.54%** 0.53%(B)(D) 0.52%(D) 0.53%(D)
Ratio of Net Investment Income to
Average Net Assets.................. 0.69% 0.58% 0.38% 0.91%(B) 0.89% 0.64%
Portfolio Turnover Rate............... 14% 9% 12%* 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.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO
---------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period..... $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 $ 25.75
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A)....... 0.40 0.58 0.58 0.64 0.62 0.64
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 1.93 5.92 (0.62) (9.28) (5.64) 8.84
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations...................... 2.33 6.50 (0.04) (8.64) (5.02) 9.48
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income................. (0.32) (0.55) (0.83) (0.30) (0.70) (1.02)
Net Realized Gains.................... -- -- -- (2.10) (0.88) (0.41)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............... (0.32) (0.55) (0.83) (2.40) (1.58) (1.43)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period........... $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80
========== ========== ========== ========== ========== ==========
Total Return............................. 11.09% 43.21% 0.98% (34.46)%(C) (15.45)% 38.23%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands).... $3,098,647 $2,689,552 $2,018,559 $1,746,961 $2,671,457 $2,837,026
Ratio of Expenses to Average Net
Assets................................. 0.32% 0.33% 0.36% 0.33%(B) 0.33% 0.33%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)............................ 0.32% 0.33% 0.36% 0.33%(B) 0.33% 0.33%
Ratio of Net Investment Income to
Average Net Assets..................... 1.76% 3.13% 4.54% 3.01%(B) 1.99% 2.25%
Portfolio Turnover Rate.................. 3% 2% 2% 13%(C) 17% 10%
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period..... $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 $ 19.00
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A)....... 0.63 0.48 0.48 0.68 0.68 0.55
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (1.53) 1.43 3.16 (12.06) 3.57 4.68
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations...................... (0.90) 1.91 3.64 (11.38) 4.25 5.23
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income................. (0.61) (0.51) (0.43) (0.64) (0.67) (0.63)
Net Realized Gains.................... -- -- -- (0.35) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............... (0.61) (0.51) (0.43) (0.99) (0.67) (0.63)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period........... $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60
========== ========== ========== ========== ========== ==========
Total Return............................. (4.86)% 10.99% 25.20% (43.14)%(C) 18.18% 28.00%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands).... $1,704,149 $1,616,686 $1,364,351 $1,206,860 $2,224,180 $1,673,239
Ratio of Expenses to Average Net
Assets................................. 0.30% 0.30% 0.32% 0.29%(B) 0.29% 0.29%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)............................ 0.30% 0.30% 0.32% 0.29%(B) 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets..................... 3.19% 2.65% 3.14% 3.18%(B) 2.62% 2.56%
Portfolio Turnover Rate.................. 3% 7% 12% 12%(C) 5% 4%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO
-------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, Beginning of Period............... $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 $ 10.07
---------- ---------- ---------- ---------- ---------- --------
Income From Investment Operations
Net Investment Income (Loss)(A)................. 0.33 0.23 0.23 0.37 0.35 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... (0.89) 0.96 2.32 (6.76) 1.54 2.71
---------- ---------- ---------- ---------- ---------- --------
Total From Investment Operations............ (0.56) 1.19 2.55 (6.39) 1.89 2.99
---------- ---------- ---------- ---------- ---------- --------
Less Distributions
Net Investment Income........................... (0.33) (0.20) (0.22) (0.35) (0.32) (0.24)
Net Realized Gains.............................. -- -- -- (0.15) (0.04) --
---------- ---------- ---------- ---------- ---------- --------
Total Distributions......................... (0.33) (0.20) (0.22) (0.50) (0.36) (0.24)
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period..................... $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82
========== ========== ========== ========== ========== ========
Total Return....................................... (5.49)% 12.48% 34.81% (45.76)%(C) 14.83% 30.06%
---------- ---------- ---------- ---------- ---------- --------
Net Assets, End of Period (thousands).............. $5,395,884 $4,866,989 $3,699,842 $1,981,049 $2,342,187 $851,077
Ratio of Expenses to Average Net Assets............ 0.40% 0.40% 0.41% 0.41%(B) 0.41% 0.48%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or
Recovery of Previously...........................
Waived Fees and Fees Paid Indirectly).............. 0.40% 0.40% 0.41% 0.41%(B) 0.41% 0.46%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.96% 2.31% 2.84% 3.39%(B) 2.49% 2.35%
Portfolio Turnover Rate............................ 3% 2% 5% 4%(C) 4% 2%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO
---------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period........ $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 $ 16.19
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.40 0.28 0.28 0.44 0.43 0.36
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.83) 2.13 3.91 (9.55) 2.07 4.02
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations..... (0.43) 2.41 4.19 (9.11) 2.50 4.38
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.................... (0.50) (0.26) (0.27) (0.45) (0.46) (0.36)
Net Realized Gains....................... -- -- -- (1.17) (0.67) (0.78)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.50) (0.26) (0.27) (1.62) (1.13) (1.14)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............. $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43
========== ========== ========== ========== ========== ==========
Total Return................................ (2.92)% 17.61% 42.34% (47.13)%(C) 13.29% 28.51%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....... $5,834,015 $5,511,594 $4,269,864 $3,084,373 $5,597,209 $4,546,071
Ratio of Expenses to Average Net Assets
(D)....................................... 0.55% 0.56% 0.57% 0.55%(B) 0.55% 0.56%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees) (D)............... 0.55% 0.56% 0.57% 0.55%(B) 0.55% 0.56%
Ratio of Net Investment Income to
Average Net Assets........................ 2.37% 1.94% 2.48% 2.90%(B) 2.03% 2.04%
JAPANESE SMALL COMPANY PORTFOLIO
---------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period........ $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 $ 17.97
-------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.27 0.22 0.22 0.29 0.27 0.22
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 1.08 (0.18) 2.39 (4.78) (0.52) (0.73)
-------- -------- -------- -------- -------- --------
Total From Investment Operations..... 1.35 0.04 2.61 (4.49) (0.25) (0.51)
-------- -------- -------- -------- -------- --------
Less Distributions
Net Investment Income.................... (0.24) (0.23) (0.26) (0.29) (0.23) (0.23)
Net Realized Gains....................... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions.................. (0.24) (0.23) (0.26) (0.29) (0.23) (0.23)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period.............. $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23
======== ======== ======== ======== ======== ========
Total Return................................ 9.57% 0.33% 22.08% (27.16)%(C) (1.51)% (2.94)%
-------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands)....... $163,120 $114,933 $114,058 $133,373 $199,080 $168,957
Ratio of Expenses to Average Net Assets
(D)....................................... 0.56% 0.57% 0.59% 0.58%(B) 0.56% 0.61%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees) (D)............... 0.56% 0.57% 0.59% 0.58%(B) 0.56% 0.58%
Ratio of Net Investment Income to
Average Net Assets........................ 1.74% 1.52% 1.68% 2.18%(B) 1.51% 1.19%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ASIA PACIFIC SMALL COMPANY PORTFOLIO
-------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period .................. $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 $ 15.28
-------- -------- -------- ------- -------- -------
Income From Investment Operations
Net Investment Income (Loss)(A)..................... 0.85 0.69 0.50 0.83 0.79 0.64
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... (2.16) 4.99 8.95 (17.04) 8.43 4.92
-------- -------- -------- ------- -------- -------
Total From Investment Operations................ (1.31) 5.68 9.45 (16.21) 9.22 5.56
-------- -------- -------- ------- -------- -------
Less Distributions
Net Investment Income............................... (1.29) (0.63) (0.53) (0.85) (0.75) (0.58)
Net Realized Gains.................................. -- -- -- -- -- --
Return of Capital................................... -- -- -- -- -- --
-------- -------- -------- ------- -------- -------
Total Distributions............................. (1.29) (0.63) (0.53) (0.85) (0.75) (0.58)
-------- -------- -------- ------- -------- -------
Net Asset Value, End of Period......................... $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26
======== ======== ======== ======= ======== =======
Total Return........................................... (5.59)% 28.36% 84.11% (57.94)%(C) 46.55% 37.52%
-------- -------- -------- ------- -------- -------
Net Assets, End of Period (thousands).................. $139,262 $131,511 $101,853 $64,044 $146,307 $71,537
Ratio of Expenses to Average Net Assets(D)............. 0.60% 0.63% 0.65% 0.62%(B) 0.62% 0.64%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or Recovery
of Previously Waived Expenses)(D).................... 0.60% 0.61% 0.65% 0.61%(B) 0.59% 0.64%
Ratio of Net Investment Income to Average Net Assets... 3.34% 3.14% 3.53% 3.85%(B) 3.13% 3.68%
UNITED KINGDOM SMALL COMPANY PORTFOLIO
---------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period .................. $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 $ 24.65
------- ------- ------- ------- ------- -------
Income From Investment Operations
Net Investment Income (Loss)(A)..................... 0.82 0.50 0.55 0.77 0.78 0.61
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... (0.85) 4.41 5.44 (15.84) (0.08) 9.61
------- ------- ------- ------- ------- -------
Total From Investment Operations................ (0.03) 4.91 5.99 (15.07) 0.70 10.22
------- ------- ------- ------- ------- -------
Less Distributions
Net Investment Income............................... (0.77) (0.50) (0.43) (0.72) (1.03) (0.68)
Net Realized Gains.................................. -- -- -- (1.22) (1.35) (1.22)
Return of Capital................................... -- -- -- (0.01) -- --
------- ------- ------- ------- ------- -------
Total Distributions............................. (0.77) (0.50) (0.43) (1.95) (2.38) (1.90)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period......................... $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97
======= ======= ======= ======= ======= =======
Total Return........................................... (0.28)% 25.37% 42.81% (50.97)%(C) 1.94% 44.15%
------- ------- ------- ------- ------- -------
Net Assets, End of Period (thousands).................. $33,869 $33,751 $27,863 $25,883 $37,139 $31,808
Ratio of Expenses to Average Net Assets(D)............. 0.60% 0.60% 0.61% 0.59%(B) 0.59% 0.60%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or Recovery
of Previously Waived Expenses)(D).................... 0.62% 0.64% 0.70% 0.65%(B) 0.62% 0.67%
Ratio of Net Investment Income to Average Net Assets... 3.26% 2.39% 3.62% 3.41%(B) 2.28% 2.20%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CONTINENTAL SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period......... $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 $ 15.78
-------- -------- -------- ------- -------- -------
Income From Investment Operations
Net Investment Income (Loss)(A)............ 0.39 0.27 0.28 0.52 0.40 0.31
Net Gains (Losses) on Securities (Realized
and Unrealized)........................... (2.20) 1.89 4.29 (11.32) 3.00 6.28
-------- -------- -------- ------- -------- -------
Total From Investment Operations........ (1.81) 2.16 4.57 (10.80) 3.40 6.59
-------- -------- -------- ------- -------- -------
Less Distributions
Net Investment Income...................... (0.46) (0.25) (0.28) (0.45) (0.38) (0.34)
Net Realized Gains......................... -- -- -- (0.96) (0.54) (1.56)
Return of Capital.......................... -- -- -- (0.01) -- --
-------- -------- -------- ------- -------- -------
Total Distributions..................... (0.46) (0.25) (0.28) (1.42) (0.92) (1.90)
-------- -------- -------- ------- -------- -------
Net Asset Value, End of Period............... $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47
======== ======== ======== ======= ======== =======
Total Return................................. (11.09)% 14.85% 43.12% (49.89)%(C) 16.99% 46.33%
-------- -------- -------- ------- -------- -------
Net Assets, End of Period (thousands)........ $117,452 $128,106 $110,926 $93,988 $170,909 $90,261
Ratio of Expenses to Average Net Assets...... 0.58%(D) 0.59%(D) 0.62%(D) 0.59%(B)(D) 0.61%(D) 0.62%(D)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)...... 0.58%(D) 0.59%(D) 0.61%(D) 0.59%(B)(D) 0.57%(D) 0.61%(D)
Ratio of Net Investment Income (Loss) to
Average Net Assets......................... 2.25% 1.78% 2.39% 3.04%(B) 1.70% 1.78%
Portfolio Turnover Rate...................... N/A N/A N/A N/A N/A N/A
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, PERIOD
ENDED ENDED ENDED 2007 TO MARCH 1, 2007(a)
OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO
2011 2010 2009 2008 NOV. 30, 2007
---------- -------- -------- -------- ----------------
Net Asset Value, Beginning of Period........ $ 5.58 $ 5.24 $ 4.18 $ 9.35 $ 10.00
---------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.30 0.31 0.26 0.34 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.33) 0.58 0.91 (5.08) (0.76)
---------- -------- -------- -------- --------
Total From Investment Operations..... (0.03) 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.............. $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35
========== ======== ======== ======== ========
Total Return................................ (0.43)% 18.96% 29.25% (52.85)%(C) (5.38)%(C)
---------- -------- -------- -------- --------
Net Assets, End of Period (thousands)....... $1,060,156 $958,554 $742,329 $394,480 $336,840
Ratio of Expenses to Average Net Assets..... 0.42% 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 and Fees Paid
Indirectly)............................... 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E)
Ratio of Net Investment Income (Loss)
to Average Net Assets..................... 5.73% 6.42% 6.40% 5.20%(B) 3.50%(B)(E)
Portfolio Turnover Rate..................... 7% 6% 5% 1%(C) 2%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------
PERIOD
YEAR YEAR YEAR JUNE 4,
ENDED ENDED ENDED 2008(a) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2009 2008
-------- -------- -------- ----------
Net Asset Value, Beginning of Period........ $ 8.28 $ 6.75 $ 6.04 $ 10.00
-------- -------- -------- -------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.41 0.40 0.19 --
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.06 1.60 0.62 (3.96)
-------- -------- -------- -------
Total From Investment Operations..... 0.47 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.............. $ 8.21 $ 8.28 $ 6.75 $ 6.04
======== ======== ======== =======
Total Return................................ 6.17% 31.38% 13.81% (39.60)%(C)
-------- -------- -------- -------
Net Assets, End of Period (thousands)....... $869,348 $695,461 $432,502 $90,672
Ratio of Expenses to Average Net Assets..... 0.41%(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 and Fees Paid
Indirectly)............................... 0.73%(D) 0.73%(D) 0.79%(D) 0.86%(B)(D)(E)
Ratio of Net Investment Income to
Average Net Assets........................ 5.01% 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
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period........ $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 $ 17.57
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.34 0.24 0.26 0.52 0.46 0.36
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.98) 1.22 4.14 (9.60) 1.66 4.95
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations..... (0.64) 1.46 4.40 (9.08) 2.12 5.31
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.................... (0.38) (0.22) (0.24) (0.58) (0.53) (0.38)
Net Realized Gains....................... (0.29) -- (0.06) (1.57) (1.25) (0.79)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.67) (0.22) (0.30) (2.15) (1.78) (1.17)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............. $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71
========== ========== ========== ========== ========== ==========
Total Return................................ (4.39)% 10.01% 41.42% (45.17)%(C) 10.25% 31.73%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....... $7,459,144 $7,655,318 $6,859,957 $4,799,748 $8,180,859 $6,733,067
Ratio of Expenses to Average Net Assets..... 0.70% 0.70% 0.71% 0.69%(B) 0.69% 0.70%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees and Fees Paid
Indirectly)............................... 0.70% 0.70% 0.71% 0.69%(B) 0.69% 0.70%
Ratio of Net Investment Income to
Average Net Assets........................ 2.05% 1.57% 2.19% 3.22%(B) 2.03% 1.85%
Portfolio Turnover Rate..................... 16% 18% 22% 16%(C) 18% 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL VECTOR EQUITY PORTFOLIO
---------------------------------------
PERIOD
YEAR YEAR YEAR AUGUST 14,
ENDED ENDED ENDED 2008(a) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2009 2008
-------- -------- -------- ----------
Net Asset Value, Beginning of Period........ $ 10.28 $ 9.22 $ 6.74 $ 10.00
-------- -------- -------- -------
Income From Investment Operations
Net Investment Income (Loss) (A)......... 0.29 0.18 0.17 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.87) 1.05 2.46 (3.32)
-------- -------- -------- -------
Total From Investment Operations..... (0.58) 1.23 2.63 (3.26)
-------- -------- -------- -------
Less Distributions
Net Investment Income.................... (0.29) (0.17) (0.15) --
Net Realized Gains....................... (0.07) -- -- --
-------- -------- -------- -------
Total Distributions.................. (0.36) (0.17) (0.15) --
-------- -------- -------- -------
Net Asset Value, End of Period.............. $ 9.34 $ 10.28 $ 9.22 $ 6.74
======== ======== ======== =======
Total Return................................ (5.99)% 13.62% 39.52% (32.60)%(C)
-------- -------- -------- -------
Net Assets, End of Period (thousands)....... $410,580 $363,123 $262,544 $66,774
Ratio of Expenses to Average Net Assets..... 0.54% 0.54% 0.60% 0.60%(B)(E)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees and Fees Paid
Indirectly)............................... 0.54% 0.53% 0.59% 1.15%(B)(E)
Ratio of Net Investment Income to
Average Net Assets........................ 2.73% 1.91% 2.31% 3.01%(B)(E)
Portfolio Turnover Rate..................... 10% 5% 8% 0%(C)
WORLD EX U.S. VALUE PORTFOLIO
---------------------------------
YEAR PERIOD
ENDED AUG. 23, 2010(a)
OCT. 31, TO
2011 OCT. 31, 2010
Net Asset Value, Beginning of Period........ $ 11.35 $ 10.00
------- -------
Income From Investment Operations
Net Investment Income (Loss) (A)......... 0.30 0.02
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (1.35) 1.33
------- -------
Total From Investment Operations..... (1.05) 1.35
------- -------
Less Distributions
Net Investment Income.................... (0.26) --
Net Realized Gains....................... (0.08) --
------- -------
Total Distributions.................. (0.34) --
------- -------
Net Asset Value, End of Period.............. $ 9.96 $ 11.35
======= =======
Total Return................................ (9.59)% 13.50%(C)
------- -------
Net Assets, End of Period (thousands)....... $47,165 $29,616
Ratio of Expenses to Average Net Assets..... 0.60%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 and Fees Paid
Indirectly)............................... 0.91%(D) 1.37%(B)(D)(E)
Ratio of Net Investment Income to
Average Net Assets........................ 2.64% 0.76%(B)(E)
Portfolio Turnover Rate..................... N/A N/A
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO
---------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period ....... $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 $ 19.89
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.61 0.48 0.42 0.70 0.64 0.48
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (2.53) 6.07 8.42 (16.85) 9.88 5.61
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations..... (1.92) 6.55 8.84 (16.15) 10.52 6.09
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.................... (0.53) (0.46) (0.41) (0.69) (0.53) (0.58)
Net Realized Gains....................... (1.77) (0.42) (0.25) (1.34) (0.16) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (2.30) (0.88) (0.66) (2.03) (0.69) (0.58)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............. $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40
========== ========== ========== ========== ========== ==========
Total Return................................ (6.82)% 26.53% 53.39% (48.37)%(C) 42.08% 31.31%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....... $2,313,035 $2,372,498 $1,966,288 $1,508,260 $3,388,442 $2,344,990
Ratio of Expenses to Average Net
Assets(D)................................. 0.61% 0.60% 0.62% 0.60%(B) 0.60% 0.61%
Ratio of Net Investment Income to
Average Net Assets........................ 2.07% 1.76% 2.15% 2.59%(B) 2.12% 2.13%
EMERGING MARKETS SMALL CAP PORTFOLIO
-----------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- -------- ---------- --------
Net Asset Value, Beginning of Period ....... $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 $ 13.37
---------- ---------- ---------- -------- ---------- --------
Income From Investment Operations
Net Investment Income (Loss)(A).......... 0.42 0.34 0.26 0.44 0.31 0.30
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (3.67) 6.79 8.14 (12.95) 6.86 4.86
---------- ---------- ---------- -------- ---------- --------
Total From Investment Operations..... (3.25) 7.13 8.40 (12.51) 7.17 5.16
---------- ---------- ---------- -------- ---------- --------
Less Distributions
Net Investment Income.................... (0.40) (0.32) (0.28) (0.41) (0.26) (0.26)
Net Realized Gains....................... (0.76) -- -- (1.49) (1.13) (0.31)
---------- ---------- ---------- -------- ---------- --------
Total Distributions.................. (1.16) (0.32) (0.28) (1.90) (1.39) (0.57)
---------- ---------- ---------- -------- ---------- --------
Net Asset Value, End of Period.............. $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96
========== ========== ========== ======== ========== ========
Total Return................................ (14.03)% 41.33% 91.35% (57.00)%(C) 42.58% 39.95%
---------- ---------- ---------- -------- ---------- --------
Net Assets, End of Period (thousands)....... $1,832,745 $1,833,038 $1,133,958 $547,329 $1,458,152 $838,948
Ratio of Expenses to Average Net
Assets(D)................................. 0.79% 0.78% 0.80% 0.77%(B) 0.78% 0.81%
Ratio of Net Investment Income to
Average Net Assets........................ 1.86% 1.70% 2.05% 2.61%(B) 1.48% 1.92%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES +
-------------------------------------------------
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED JAN. 29, 2008(a)
OCT. 31, OCT. 31, OCT. 31, TO
2011 2010 2009 OCT. 31, 2008
-------- -------- -------- ----------------
Net Asset Value, Beginning of Period........ $ 36.35 $ 46.84 $ 85.43 $187.35
------- ------- ------- -------
Income from Investment Operations
Net Investment Income (Loss)(A).......... 0.20 0.56 0.56 3.93
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (5.45) 9.18 21.36 (92.36)
------- ------- ------- -------
Total from Investment Operations..... (5.25) 9.74 21.92 (88.43)
------- ------- ------- -------
Less Distributions
Net Investment Income.................... (0.45) (7.12) (6.00) (13.49)
Net Realized Gains....................... (1.63) (13.11) (54.52) --
------- ------- ------- -------
Total Distributions.................. (2.08) (20.23) (60.52) (13.49)
------- ------- ------- -------
Net Asset Value, End of Period.............. $ 29.02 $ 36.35 $ 46.83 $ 85.43
======= ======= ======= =======
Total Return................................ (15.24)% 29.71% 78.29% (50.51)%(C)
------- ------- ------- -------
Net Assets, End of Period (thousands)....... $78,157 $39,668 $ 5,082 $ 1,799
Ratio of Expenses to Average Net Assets
(D)....................................... 0.86% 0.86% 0.90% 0.92%(B)(E)
Ratio of Net Investment Income to
Average Net Assets........................ 1.56% 1.39% 1.39% 3.35%(B)(E)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
------------------------------------------------------------------------------
YEAR YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30,
2011 2010 2009 OCT. 31, 2008 2007 2006
----------- ----------- ---------- ------------- ---------- ----------
Net Asset Value, Beginning of Period........ $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 $ 22.86
----------- ----------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net Investment Income (Loss)(A).......... 0.64 0.45 0.38 0.98 0.78 0.60
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (5.72) 8.01 12.41 (25.48) 14.82 8.65
----------- ----------- ---------- ---------- ---------- ----------
Total from Investment Operations..... (5.08) 8.46 12.79 (24.50) 15.60 9.25
----------- ----------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.................... (0.54) (0.39) (0.34) (1.00) (0.63) (0.60)
Net Realized Gains....................... (1.63) (0.70) (2.91) (0.99) (0.38) (0.25)
----------- ----------- ---------- ---------- ---------- ----------
Total Distributions.................. (2.17) (1.09) (3.25) (1.99) (1.01) (0.85)
----------- ----------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............. $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26
=========== =========== ========== ========== ========== ==========
Total Return................................ (14.84)% 30.04% 78.59% (55.65)%(C) 50.98% 41.55%
----------- ----------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....... $13,730,213 $11,542,870 $7,401,266 $3,735,580 $7,485,802 $4,283,696
Ratio of Expenses to Average Net Assets
(D)....................................... 0.61% 0.60% 0.62% 0.60%(B) 0.60% 0.63%
Ratio of Net Investment Income to
Average Net Assets........................ 1.88% 1.40% 1.76% 2.82%(B) 2.00% 2.22%
--------
+ 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.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO
-------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, Beginning of Period............... $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 $ 11.54
---------- ---------- ---------- ---------- ---------- --------
Income From Investment Operations
Net Investment Income (Loss)(A)................. 0.43 0.30 0.25 0.43 0.35 0.27
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... (2.65) 4.81 6.56 (11.27) 6.10 3.54
---------- ---------- ---------- ---------- ---------- --------
Total From Investment Operations............ (2.22) 5.11 6.81 (10.84) 6.45 3.81
---------- ---------- ---------- ---------- ---------- --------
Less Distributions
Net Investment Income........................... (0.36) (0.29) (0.20) (0.40) (0.32) (0.22)
Net Realized Gains.............................. -- -- -- (0.08) (0.06) --
---------- ---------- ---------- ---------- ---------- --------
Total Distributions......................... (0.36) (0.29) (0.20) (0.48) (0.38) (0.22)
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period..................... $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13
========== ========== ========== ========== ========== ========
Total Return....................................... (10.59)% 31.30% 69.47% (51.93)%(C) 43.20% 33.39%
---------- ---------- ---------- ---------- ---------- --------
Net Assets, End of Period (thousands).............. $5,367,473 $4,179,882 $2,455,035 $1,155,526 $1,829,466 $822,136
Ratio of Expenses to Average Net Assets............ 0.67% 0.65% 0.67% 0.65%(B) 0.65% 0.74%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or
Recovery of Previously Waived Fees and Fees Paid
Indirectly)...................................... 0.68% 0.65% 0.67% 0.65%(B) 0.65% 0.72%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.04% 1.63% 2.03% 2.62%(B) 1.87% 2.02%
Portfolio Turnover Rate............................ 1% 4% 6% 3%(C) 2% 6%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, 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 section of the report and the remaining thirty-four are presented in
separate reports.
Of the Portfolios, seven 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 10/31/11
------------ ------------ -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 79%
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 95%
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 17%
DFA International Real Estate Securities Portfolio 33%
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --
DFA International Small Cap Value Portfolio --
The DFA International Value Series --
Amounts designated as -- are less than 1%.
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.
132
Prior to March 30, 2007, U.S.Targeted Value Portfolio invested substantially
all of its assets in shares of The U.S. Targeted Value Series. At the close of
business on March 29, 2007, U.S. Targeted Value Portfolio received its pro-rata
share of cash and securities from The U.S. Targeted Value Series in a complete
liquidation of its interest in the Series. Effective March 30, 2007, U.S.
Targeted Value Portfolio invests directly in securities rather than through the
Series and maintains the same investment objective.
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
133
Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
the Domestic Equity Portfolios and International Equity Portfolios value the
securities at the mean of the most recent quoted bid and asked prices. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Generally, securities issued by open-end investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. These securities are generally categorized as
Level 2 in the hierarchy. Fair value pricing may also be used if events that
have a significant effect on the value of an investment (as determined in the
discretion of the Investment Committee of the Advisor) occur before the net
asset value is calculated. When fair value pricing is used, the prices of
securities used by the Domestic Equity Portfolios and International Equity
Portfolios may differ from the quoted or published prices for the same
securities on their primary markets or exchanges.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is
fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the Fund have determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Equity Portfolios utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). When an
International Equity Portfolio uses fair value pricing, the values assigned to
the International Equity Portfolio's foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Debt Securities held by Enhanced U.S. Large Company Portfolio, (the "Fixed
Income Portfolio"), are valued on the basis of bid 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 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.
134
A summary of inputs used to value the Portfolios' investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings/Schedule of Investments. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the year ended October 31, 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 Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: 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 October 31, 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
135
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities and 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 Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities
utilizing the effective interest method. Expenses directly attributable to a
Portfolio are directly charged. Common expenses of the Fund or Portfolios are
allocated using methods approved by the Board of Directors/Trustees, generally
based on average net assets.
Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal
rights to assets and earnings of the Portfolio. Income, gains and losses, and
common expenses of the Portfolio are allocated to each class of shares based on
its relative net assets. Each class will bear its own class-specific expenses,
if any.
U.S. Large Cap Value Portfolio, International Small Company Portfolio,
Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United
Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging
Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value
Portfolio and World ex U.S. 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, Emerging Markets Portfolio, Emerging
Markets Small Cap Portfolio and Emerging Markets Value Portfolio are 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 recognized when the capital gains are
earned.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to all Portfolios. The Advisor receives no
additional compensation for the investment advisory services it provides to the
Feeder Funds. The Advisor provides administrative services to the Feeder Funds,
including supervision of services provided by others, providing information to
shareholders and the Board of Directors/Trustees, and other administrative
services.
For the year ended October 31, 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%
136
International Core Equity Portfolio.......... 0.35%
DFA International Real Estate Securities
Portfolio.................................. 0.35%
DFA Global Real Estate Securities Portfolio.. 0.35%
DFA International Small Cap Value Portfolio.. 0.65%
International Vector Equity Portfolio........ 0.45%
World ex U.S. Value Portfolio................ 0.47%
Emerging Markets Core Equity Portfolio....... 0.55%
For the year ended October 31, 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 year ended October 31, 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.
137
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% -- --
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% -- $ 42
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% -- 4,924
International Vector Equity Portfolio (2).............. 0.60% -- --
World ex U.S. Value Portfolio (8)...................... 0.60% -- 159
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,
138
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.
(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
139
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.
EARNED INCOME CREDIT:
In addition, the Portfolios have entered into arrangements with its
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolios' custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
During the year ended October 31, 2011, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
Large Cap International Portfolio.............. $ 2
International Core Equity Portfolio............ 5
DFA International Real Estate Securities
Portfolio.................................... 1
DFA International Small Cap Value Portfolio.... 10
International Vector Equity Portfolio.......... --
Emerging Markets Core Equity Portfolio......... 9
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2011, the total
related amounts paid by the Fund to the CCO were $221 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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............. $ 5
U.S. Large Cap Value Portfolio.................... 177
U.S. Targeted Value Portfolio..................... 43
U.S. Small Cap Value Portfolio.................... 175
U.S. Core Equity 1 Portfolio...................... 57
U.S. Core Equity 2 Portfolio...................... 106
U.S. Vector Equity Portfolio...................... 34
U.S. Small Cap Portfolio.......................... 75
U.S. Micro Cap Portfolio.......................... 89
DFA Real Estate Securities Portfolio.............. 56
Large Cap International Portfolio................. 40
International Core Equity Portfolio............... 100
International Small Company Portfolio............. 120
Japanese Small Company Portfolio.................. 4
Asia Pacific Small Company Portfolio.............. 3
United Kingdom Small Company Portfolio............ 1
Continental Small Company Portfolio............... 3
DFA International Real Estate Securities Portfolio 18
DFA Global Real Estate Securities Portfolio....... 9
140
DFA International Small Cap Value Portfolio. $192
International Vector Equity Portfolio....... 7
World ex U.S. Value Portfolio............... --
Emerging Markets Portfolio.................. 56
Emerging Markets Small Cap Portfolio........ 29
Emerging Markets Value Portfolio............ 191
Emerging Markets Core Equity Portfolio...... 67
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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.. $74,684 $90,741 $ 143,799 $ 123,188
U.S. Targeted Value Portfolio.......... -- -- 796,675 602,756
U.S. Small Cap Value Portfolio......... -- -- 1,020,457 1,408,030
U.S. Core Equity 1 Portfolio........... -- -- 833,527 158,473
U.S. Core Equity 2 Portfolio........... -- -- 1,048,284 482,452
U.S. Vector Equity Portfolio........... -- -- 409,464 186,551
U.S. Small Cap Portfolio............... -- -- 1,020,273 921,078
U.S. Micro Cap Portfolio............... -- -- 490,594 681,852
DFA Real Estate Securities Portfolio... -- -- 274,872 84,248
Large Cap International Portfolio...... -- -- 275,848 50,963
International Core Equity Portfolio.... -- -- 1,173,778 175,343
DFA International Real Estate
Securities Portfolio................. -- -- 232,301 75,020
DFA International Small Cap Value
Portfolio............................ -- -- 1,523,493 1,337,433
International Vector Equity Portfolio.. -- -- 129,781 42,491
Emerging Markets Core Equity Portfolio. -- -- 1,950,271 60,533
For the year ended October 31, 2011, the Fund of Funds made the following
purchases and sales of Affiliated Investment Companies (amounts in thousands):
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
---------------------------------------------------------------------
DISTRIBUTIONS
BALANCE AT BALANCE AT OF REALIZED
AFFILIATED INVESTMENT COMPANIES 10/31/2010 10/31/2011 PURCHASES SALES DIVIDEND INCOME GAINS
------------------------------- ---------- ---------- --------- ------- --------------- -------------
DFA Real Estate Securities Portfolio.. $386,385 $520,990 $149,965 $51,387 $32,576 $--
DFA International Real Estate
Securities Portfolio................ 307,758 346,939 121,578 42,976 5,716 --
WORLD EX U.S. VALUE PORTFOLIO
---------------------------------------------------------------------
DISTRIBUTIONS
BALANCE AT BALANCE AT OF REALIZED
AFFILIATED INVESTMENT COMPANY 10/31/2010 10/31/2011 PURCHASES SALES DIVIDEND INCOME GAINS
----------------------------- ---------- ---------- --------- ------- --------------- -------------
DFA International Small Cap Value
Portfolio........................... $ 2,692 $ 3,724 $ 2,463 $ 889 $ 80 $48
141
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, 2011, primarily attributable to realized gains on
securities considered to be "passive foreign investment companies",
non-deductible expenses, net foreign currency gains/losses, 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, gains
on securities distributed in-kind to redeeming shareholders, expiration of
capital loss carryovers 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.............. $ (1) $ 515 $ (514)
U.S. Large Cap Value Portfolio..................... -- (2) 2
U.S. Targeted Value Portfolio...................... 2,688 (1,339) (1,349)
U.S. Small Cap Value Portfolio..................... 17,012 (5,083) (11,929)
U.S. Core Equity 1 Portfolio....................... -- (3) 3
U.S. Core Equity 2 Portfolio....................... 5,929 (5,931) 2
U.S. Vector Equity Portfolio....................... -- (1) 1
U.S. Small Cap Portfolio........................... 133,007 (3,445) (129,562)
U.S. Micro Cap Portfolio........................... (16) 18 (2)
DFA Real Estate Securities Portfolio............... 8,423 (9,365) 942
Large Cap International Portfolio.................. -- 456 (456)
International Core Equity Portfolio................ 4,661 (2,525) (2,136)
International Small Company Portfolio.............. 14,910 7,312 (22,222)
Japanese Small Company Portfolio................... (19,912) 22 19,890
Asia Pacific Small Company Portfolio............... -- 2,514 (2,514)
United Kingdom Small Company Portfolio............. -- 1 (1)
Continental Small Company Portfolio................ -- (34) 34
DFA International Real Estate Securities Portfolio. 3,681 (1,734) (1,947)
DFA Global Real Estate Securities Portfolio........ 359 (359) --
DFA International Small Cap Value Portfolio........ 13,407 (2,270) (11,137)
International Vector Equity Portfolio.............. 690 (98) (592)
World ex U.S. Value Portfolio...................... -- (3) 3
Emerging Markets Portfolio......................... 8,187 (3,858) (4,329)
Emerging Markets Small Cap Portfolio............... 5,540 (3,994) (1,546)
Emerging Markets Value Portfolio................... 17,436 (13,822) (3,614)
Emerging Markets Core Equity Portfolio............. 3,697 (7,747) 4,050
142
The tax character of dividends and distributions declared and paid during
the year ended October 31, 2010 and the year ended October 31, 2011 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
2010..................................... $ 1,589 -- $ 1,589
2011..................................... 270 -- 270
U.S. Large Cap Value Portfolio
2010..................................... 116,599 -- 116,599
2011..................................... 117,051 -- 117,051
U.S. Targeted Value Portfolio
2010..................................... 12,576 $ 7 12,583
2011..................................... 19,648 6,119 25,767
U.S. Small Cap Value Portfolio
2010..................................... 25,747 -- 25,747
2011..................................... 47,016 11,920 58,936
U.S. Core Equity 1 Portfolio
2010..................................... 31,326 -- 31,326
2011..................................... 49,822 -- 49,822
U.S. Core Equity 2 Portfolio
2010..................................... 53,941 -- 53,941
2011..................................... 84,798 -- 84,798
U.S. Vector Equity Portfolio
2010..................................... 14,799 -- 14,799
2011..................................... 19,719 -- 19,719
U.S. Small Cap Portfolio
2010..................................... 21,528 -- 21,528
2011..................................... 36,302 2,974 39,276
U.S. Micro Cap Portfolio
2010..................................... 17,526 -- 17,526
2011..................................... 23,667 -- 23,667
DFA Real Estate Securities Portfolio
2010..................................... 70,908 -- 70,908
2011..................................... 40,246 -- 40,246
Large Cap International Portfolio
2010..................................... 40,390 -- 40,390
2011..................................... 54,107 -- 54,107
International Core Equity Portfolio
2010..................................... 83,173 -- 83,173
2011..................................... 165,946 -- 165,946
143
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
International Small Company Portfolio
2010.................................... $ 84,604 -- $ 84,604
2011.................................... 188,546 $ 5,851 194,397
Japanese Small Company Portfolio
2010.................................... 1,845 -- 1,845
2011.................................... 2,305 -- 2,305
Asia Pacific Small Company Portfolio
2010.................................... 3,162 -- 3,162
2011.................................... 6,964 -- 6,964
United Kingdom Small Company Portfolio
2010.................................... 694 -- 694
2011.................................... 1,071 -- 1,071
Continental Small Company Portfolio
2010.................................... 1,863 -- 1,863
2011.................................... 3,562 -- 3,562
DFA International Real Estate
Securities Portfolio
2010.................................... 79,025 -- 79,025
2011.................................... 107,338 -- 107,338
DFA Global Real Estate Securities
Portfolio
2010.................................... 30,971 -- 30,971
2011.................................... 41,782 -- 41,782
DFA International Small Cap Value
Portfolio
2010.................................... 108,095 6,990 115,085
2011.................................... 190,869 143,816 334,685
International Vector Equity Portfolio
2010.................................... 5,534 54 5,588
2011.................................... 12,224 2,659 14,883
World ex U.S. Value Portfolio
2010.................................... -- -- --
2011.................................... 1,025 195 1,220
Emerging Markets Portfolio
2010.................................... 40,081 42,220 82,301
2011.................................... 45,589 141,595 187,184
Emerging Markets Small Cap Portfolio
2010.................................... 22,951 1,637 24,588
2011.................................... 36,754 61,095 97,849
144
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
Emerging Markets Value Portfolio
2010................................... $190,697 $142,234 $332,931
2011................................... 302,552 486,583 789,135
Emerging Markets Core Equity Portfolio
2010................................... 48,768 -- 48,768
2011................................... 89,989 -- 89,989
At October 31, 2011, 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............. $ 1,341 $ 1,350 $ 2,691
U.S. Small Cap Value Portfolio............ 5,092 11,920 17,012
U.S. Core Equity 2 Portfolio.............. 5,929 -- 5,929
U.S. Small Cap Portfolio.................. 3,506 2,974 6,480
International Core Equity Portfolio....... 4,661 -- 4,661
International Small Company Portfolio..... 9,060 5,851 14,911
DFA Global Real Estate Securities
Portfolio............................... 359 -- 359
DFA International Small Cap Value
Portfolio............................... 8,128 5,279 13,407
International Vector Equity Portfolio..... 450 240 690
Emerging Markets Portfolio................ 2,733 5,454 8,187
Emerging Markets Small Cap Portfolio...... 2,804 2,736 5,540
Emerging Markets Value Portfolio.......... 10,139 7,297 17,436
Emerging Markets Core Equity Portfolio.... 3,697 -- 3,697
At October 31, 2011, 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. $ 1,607 -- $ (71,081) $ (69,474)
U.S. Large Cap Value Portfolio........ 20,925 -- (1,650,834) (1,629,909)
U.S. Targeted Value Portfolio......... 3,325 $19,803 -- 23,128
U.S. Small Cap Value Portfolio........ 6,678 89,307 -- 95,985
U.S. Core Equity 1 Portfolio.......... 8,624 -- (49,208) (40,584)
U.S. Core Equity 2 Portfolio.......... 8,232 -- (15,761) (7,529)
U.S. Vector Equity Portfolio.......... 3,841 -- (36,502) (32,661)
U.S. Small Cap Portfolio.............. 2,512 -- -- 2,512
U.S. Micro Cap Portfolio.............. 4,373 -- (34,914) (30,541)
DFA Real Estate Securities Portfolio.. 14,586 -- (212,742) (198,156)
Large Cap International Portfolio..... 8,108 -- (181,257) (173,149)
145
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS
SHORT-TERM LONG-TERM LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
International Core Equity Portfolio................ $26,139 -- $ (53,177) $ (27,038)
International Small Company Portfolio.............. 50,896 $108,303 -- 159,199
Japanese Small Company Portfolio................... 1,390 -- (72,071) (70,681)
Asia Pacific Small Company Portfolio............... 4,771 -- (26,779) (22,008)
United Kingdom Small Company Portfolio............. 376 -- (1,867) (1,491)
Continental Small Company Portfolio................ 261 -- (26,020) (25,759)
DFA International Real Estate Securities Portfolio. 42,778 -- (156,223) (113,445)
DFA Global Real Estate Securities Portfolio........ 1,187 -- (1,091) 96
DFA International Small Cap Value Portfolio........ 61,105 126,205 -- 187,310
International Vector Equity Portfolio.............. 2,376 6,466 -- 8,842
World ex U.S. Value Portfolio...................... 211 -- (5,989) (5,778)
Emerging Markets Portfolio......................... 6,198 90,266 -- 96,464
Emerging Markets Small Cap Portfolio............... 7,896 37,075 -- 44,971
Emerging Markets Value Portfolio................... 52,913 189,045 -- 241,958
Emerging Markets Core Equity Portfolio............. 18,379 -- (33,524) (15,145)
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, 2011, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
2012 2013 2014 2015 2016 2017 2018 2019 TOTAL
------ ------ ------ ------ ------- ---------- ------- ------- ----------
Enhanced U.S. Large Company
Portfolio....................... -- -- -- -- $71,081 -- -- -- $ 71,081
U.S. Large Cap Value Portfolio.... -- -- -- -- -- $1,650,834 -- -- 1,650,834
U.S. Core Equity 1 Portfolio...... -- -- -- -- -- 49,208 -- -- 49,208
U.S. Core Equity 2 Portfolio...... -- -- -- -- -- 15,761 -- -- 15,761
U.S. Vector Equity Portfolio...... -- -- -- -- -- 36,502 -- -- 36,502
U.S. Micro Cap Portfolio.......... -- -- -- -- -- 34,914 -- -- 34,914
DFA Real Estate Securities
Portfolio....................... -- -- -- -- 82,044 62,969 $44,388 $23,341 212,742
Large Cap International Portfolio. -- -- -- -- 19,004 135,393 14,311 12,549 181,257
International Core Equity
Portfolio....................... -- -- -- -- -- 53,176 -- -- 53,176
Japanese Small Company
Portfolio....................... $3,801 $3,055 $2,451 $8,004 23,057 13,952 12,208 5,543 72,071
Asia Pacific Small Company
Portfolio....................... -- -- -- -- 18,518 8,261 -- -- 26,779
United Kingdom Small Company
Portfolio....................... -- -- -- -- -- 1,867 -- -- 1,867
Continental Small Company
Portfolio....................... -- -- -- -- 13,544 7,224 5,252 -- 26,020
DFA International Real Estate
Securities Portfolio............ -- -- -- 46 13,446 34,576 38,689 69,466 156,223
DFA Global Real Estate Securities
Portfolio....................... -- -- -- -- -- -- 1,091 -- 1,091
World ex U.S. Value Portfolio..... -- -- -- -- -- -- -- 5,989 5,989
Emerging Markets Core Equity
Portfolio....................... -- -- -- -- 7,080 26,445 -- -- 33,525
During the year ended October 31, 2011, 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. $ 12,074
U.S. Large Cap Value Portfolio........ 292,231
U.S. Small Cap Value Portfolio........ 111,515
U.S. Core Equity 1 Portfolio.......... 31,942
U.S. Core Equity 2 Portfolio.......... 69,082
U.S. Vector Equity Portfolio.......... 47,040
146
U.S. Small Cap Portfolio.................... $202,569
U.S. Micro Cap Portfolio.................... 234,276
International Core Equity Portfolio......... 26,375
International Small Company Portfolio....... 75,782
Asia Pacific Small Company Portfolio........ 6,585
United Kingdom Small Company Portfolio...... 1,012
Continental Small Company Portfolio......... 3,415
DFA Global Real Estate Securities Portfolio. 1,664
Emerging Markets Core Equity Portfolio...... 20,133
For the year ended October 31, 2011, Japanese Small Company Portfolio had
capital loss carryforward expirations of $19,912 (in thousands).
At October 31, 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....... $ 172,868 $ 1,695 $ (151) $ 1,544
U.S. Large Cap Value Portfolio.............. 5,970,538 1,710,653 (339,701) 1,370,952
U.S. Targeted Value Portfolio............... 2,749,718 459,698 (208,835) 250,863
U.S. Small Cap Value Portfolio.............. 7,373,740 1,540,016 (1,291,049) 248,967
U.S. Core Equity 1 Portfolio................ 3,945,152 645,470 (352,182) 293,288
U.S. Core Equity 2 Portfolio................ 6,601,298 1,065,896 (769,739) 296,157
U.S. Vector Equity Portfolio................ 2,137,916 336,665 (290,690) 45,975
U.S. Small Cap Portfolio.................... 4,430,869 929,661 (534,037) 395,624
U.S. Micro Cap Portfolio.................... 3,606,245 1,035,410 (703,848) 331,562
DFA Real Estate Securities Portfolio........ 3,271,091 945,600 (282,378) 663,222
Large Cap International Portfolio........... 1,845,312 352,176 (281,771) 70,405
International Core Equity Portfolio......... 6,606,103 661,747 (1,142,115) (480,368)
International Small Company Portfolio....... 5,916,085 1,047,515 (1,136,036) (88,521)
Japanese Small Company Portfolio............ 228,944 72,142 (137,901) (65,759)
Asia Pacific Small Company Portfolio........ 137,887 69,704 (68,285) 1,419
United Kingdom Small Company Portfolio...... 32,713 62,603 (61,441) 1,162
Continental Small Company Portfolio......... 121,007 78,934 (82,446) (3,512)
DFA International Real Estate Securities
Portfolio.................................. 1,355,986 (15,623) (170,091) (185,714)
DFA Global Real Estate Securities Portfolio. 728,335 140,678 -- 140,678
DFA International Small Cap Value Portfolio. 8,888,974 1,160,025 (2,099,731) (939,706)
International Vector Equity Portfolio....... 417,330 77,153 (43,853) 33,300
World ex U.S. Value Portfolio............... 45,578 1,450 (111) 1,339
Emerging Markets Portfolio.................. 1,351,774 1,064,291 (102,191) 962,100
Emerging Markets Small Cap Portfolio........ 1,554,300 454,185 (175,017) 279,168
Emerging Markets Value Portfolio............ 13,611,504 2,312,639 (2,110,636) 202,003
Emerging Markets Core Equity Portfolio...... 5,414,914 1,068,217 (552,379) 515,838
147
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and on investments in passive foreign investment companies.
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 more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each of the Portfolios' federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
On October 22, 2008, The U.S. Micro Cap Series and The U.S. Small Cap Value
Series and on October 25, 2008 The U.S. Small Cap Series, each a master fund in
a RIC/RIC master-feeder structure, each with a RIC feeder ("the Portfolios"),
having 100% investment in their respective master fund, have each made a
"Check-the-box" election for federal income tax purposes pursuant to Treasury
Regulation (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 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.
148
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.
149
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR YEAR
ENDED ENDED
OCT. 31, 2011 OCT. 31, 2010
-------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- -------
U.S. TARGETED VALUE PORTFOLIO
Class R1 Shares
Shares Issued...................................... $ 9,612 586 $ 7,401 778
Shares Issued in Lieu of Cash Distributions........ 362 23 312 35
Shares Redeemed.................................... (7,533) (462) (5,936) (632)
Shares Reduced by Reverse Stock Split.............. -- (2) -- (1,314)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R1 Shares............ $ 2,441 145 $ 1,777 (1,133)
=========== ======= =========== =======
Class R2 Shares
Shares Issued...................................... $ 9,524 636 $ 5,859 572
Shares Issued in Lieu of Cash Distributions........ 56 4 29 3
Shares Redeemed.................................... (5,191) (324) (3,559) (360)
Shares Reduced by Reverse Stock Split.............. -- (7) -- (159)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 4,389 309 $ 2,329 56
=========== ======= =========== =======
Institutional Class Shares
Shares Issued...................................... $ 905,224 55,728 $ 897,844 63,857
Shares Issued in Lieu of Cash Distributions........ 20,970 1,322 11,187 862
Shares Redeemed.................................... (731,188) (45,320) (512,167) (37,960)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 195,006 11,730 $ 396,864 26,759
=========== ======= =========== =======
EMERGING MARKETS VALUE PORTFOLIO
Class R2 Shares
Shares Issued...................................... $ 95,176 3,360 $ 34,637 18,214
Shares Issued in Lieu of Cash Distributions........ 2,336 68 6,798 3,947
Shares Redeemed.................................... (50,507) (1,599) (6,985) (3,724)
Shares Reduced by Conversion of Shares............. -- (19,608) -- --
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 47,005 (17,779) $ 34,450 18,437
=========== ======= =========== =======
Institutional Class Shares
Shares Issued...................................... $ 6,396,694 187,544 $ 3,313,583 103,334
Shares Issued in Lieu of Cash Distributions........ 709,030 20,853 265,972 8,765
Shares Redeemed.................................... (1,754,714) (53,557) (1,555,298) (49,938)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 5,351,010 154,840 $ 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
150
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 year ended
October 31, 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 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.
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.
151
At October 31, 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 OCTOBER 31, 2011 GAIN (LOSS)
---------- -------- ------------- -------- ---------------- -----------
11/22/11 (17,566) Canadian Dollars $(17,392) $(17,615) $(223)
11/22/11 (3,283) UK Pound Sterling (5,197) (5,277) (80)
11/22/11 (1,641) Euro (2,272) (2,270) 2
-------- -------- -----
$(24,861) $(25,162) $(301)
======== ======== =====
* During the year ended October 31, 2011, the Portfolio's average cost basis
contract amount of forward currency contracts was $(43,328) (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 and to gain exposure to the S&P 500 Index(R) 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 or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Portfolio could lose more
than the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At October 31, 2011, the following Portfolios 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) 12/16/2011 528 $164,908 $9,412
U.S. Small Cap Value Portfolio Russell 2000(R) Mini 12/16/2011 250 18,483 536
Securities have been segregated as collateral for open futures contracts.
* During the year ended October 31, 2011, Enhanced U.S. Large Company
Portfolio's average notional contract amount of outstanding futures contracts
was $158,696 (in thousands). During the year ended October 31, 2011, U.S.
Small Cap Value Portfolio had limited activity in futures contracts.
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period. The following is a summary of the Portfolios'
derivative instrument holdings for the year ended October 31, 2011.
152
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of October 31, 2011:
LOCATION ON THE STATEMENTS OF ASSETS AND
LIABILITIES
--------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------------ -----------------------
Foreign exchange Unrealized Gain on Unrealized Loss on
contracts Forward Currency Forward Currency
Contracts Contracts
Equity contracts Payables: Futures
Margin Variation
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2011 (amounts in
thousands):
ASSET DERIVATIVES VALUE
------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
OCT. 31, 2011 CONTRACTS CONTRACTS
------------- --------- ---------
Enhanced U.S. Large Company
Portfolio........................ $9,414 $2 $9,412*
U.S. Small Cap Value Portfolio..... 536 -- 536*
LIABILITY DERIVATIVES VALUE
---------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
OCT. 31, 2011 CONTRACTS CONTRACTS
------------- --------- ---------
Enhanced U.S. Large Company
Portfolio.......................... $(303) $(303) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings through the year ended October 31,
2011 (amounts in thousands):
LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED
DERIVATIVE TYPE 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
153
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2011 (amounts in
thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
RECOGNIZED IN INCOME
--------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio. $12,138 $(653) $12,791
U.S. Targeted Value Portfolio*........ 1,751 -- 1,751
U.S. Small Cap Value Portfolio........ (825) -- (825)
U.S. Small Cap Portfolio*............. 929 -- 929
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES RECOGNIZED IN INCOME
--------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio. $(1,123) $(128) $ (995)
U.S. Small Cap Value Portfolio........ 536 -- 536
* As of October 31, 2011, there were no futures contracts outstanding. During
the year ended October 31, 2011, the Portfolio had limited activity in
futures contracts.
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $250 million unsecured discretionary line of credit effective June 22,
2011 with 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 22,
2012.
For the year ended October 31, 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 year ended October 31, 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 October 31, 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
154
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. The Fund, together with other
Dimensional-advised portfolios, expects to enter into a new line of credit with
substantially the same terms as its existing line of credit prior to its
expiration.
For the year ended October 31, 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...................... 0.84% $ 7,444 31 $ 5 $28,441
U.S. Small Cap Value Portfolio..................... 0.87% 4,930 12 1 32,648
U.S. Core Equity 1 Portfolio....................... 0.83% 9,112 2 -- 10,178
U.S. Core Equity 2 Portfolio....................... 0.91% 3,840 6 1 7,690
U.S. Vector Equity Portfolio....................... 0.90% 8,110 1 -- 8,110
U.S. Small Cap Portfolio........................... 0.88% 4,034 12 1 11,611
U.S. Micro Cap Portfolio........................... 0.86% 5,967 17 2 15,925
DFA Real Estate Securities Portfolio............... 0.91% 3,458 12 1 14,265
Large Cap International Portfolio.................. 0.87% 1,966 11 1 3,454
International Core Equity Portfolio................ 0.84% 5,682 7 1 9,358
International Small Company Portfolio.............. 0.87% 6,458 32 5 18,979
DFA International Real Estate Securities Portfolio. 0.93% 11,492 11 3 19,502
DFA Global Real Estate Securities Portfolio........ 0.94% 5,275 19 3 32,769
DFA International Small Cap Value Portfolio........ 0.90% 3,280 28 2 13,459
International Vector Equity Portfolio.............. 0.85% 1,172 14 -- 2,275
World ex U.S. Value Portfolio...................... 0.85% 47 5 -- 134
Emerging Markets Core Equity Portfolio............. 0.89% 4,819 16 2 10,646
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2011 that each Portfolio's available line
of credit was utilized.
At October 31, 2011, U.S. Core Equity 2 Portfolio and International Small
Company Portfolio had loans outstanding in the amounts of $2,097 and $2,643 (in
thousands), respectively.
J. SECURITIES LENDING:
As of October 31, 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
consisting of short and/or long term U.S. Treasury securities with a market
value of $141,140 (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
155
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities.
Subject to their stated investment policies, each Portfolio will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Each Portfolio also may invest the cash collateral received for the
loaned securities in securities of the U.S. government or its agencies,
repuchase agreements collateralized by securities of the U.S. government or its
agencies, and affiliated and unaffiliated registered and unregistered money
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, each Portfolio
will be able to terminate the loan at any time and will receive reasonable
interest on the loan, as well as amounts equal to any dividends, interest or
other distributions on the loaned securities. However, dividend income received
from loaned securities may not be eligible to be taxed at qualified dividend
income rates.
K. SHAREHOLDER SERVICING FEES:
The Class R1 Shares pay a shareholder servicing fee in the amount of 0.10%
and Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of
their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and
Emerging Markets Value Portfolio Class R2 Shares.
L. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
M. IN-KIND REDEMPTIONS:
In accordance with guidelines described in the Portfolios' prospectus, the
Portfolios 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).
During the year ended October 31, 2011, U.S. Small Cap Portfolio realized
net gains of in-kind redemptions in the amount of $126,527 (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.
156
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.
Under the recently enacted Regulated Investment Company Modernization Act of
2010, Funds will be permitted to carry forward capital losses incurred in
taxable years beginning after December 22, 2010 for an unlimited period.
However, any losses incurred during those future taxable years will be required
to be utilized prior to the losses incurred in pre-enactment taxable years. As
a result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital losses that
are carried forward will retain their character as either short-term or
long-term capital losses rather than being considered all short-term as under
previous law.
O. OTHER:
At October 31, 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 67%
U.S. Large Cap Value Portfolio -- Institutional
Class Shares.................................... 3 76%
U.S. Targeted Value Portfolio -- Class R1 Shares.. 1 94%
U.S. Targeted Value Portfolio -- Class R2 Shares.. 3 81%
U.S. Targeted Value Portfolio -- Institutional
Class Shares.................................... 2 58%
U.S. Small Cap Value Portfolio -- Institutional
Class Shares.................................... 2 52%
U.S. Core Equity 1 Portfolio -- Institutional
Class Shares.................................... 3 66%
U.S. Core Equity 2 Portfolio -- Institutional
Class Shares.................................... 3 64%
U.S. Vector Equity Portfolio -- Institutional
Class Shares.................................... 4 87%
U.S. Small Cap Portfolio -- Institutional Class
Shares.......................................... 3 53%
U.S. Micro Cap Portfolio -- Institutional Class
Shares.......................................... 2 56%
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...................... 2 60%
International Small Company Portfolio --
Institutional Class Shares...................... 2 46%
Japanese Small Company Portfolio -- Institutional
Class Shares.................................... 4 71%
Asia Pacific Small Company Portfolio --
Institutional Class Shares...................... 3 79%
United Kingdom Small Company Portfolio --
Institutional Class Shares...................... 2 86%
Continental Small Company Portfolio --
Institutional Class Shares...................... 4 88%
DFA International Real Estate Securities
Portfolio -- Institutional Class Shares ........ 3 82%
DFA Global Real Estate Securities Portfolio --
Institutional Class Shares...................... 3 92%
DFA International Small Cap Value Portfolio --
Institutional Class Shares...................... 2 48%
International Vector Equity Portfolio --
Institutional Class Shares...................... 3 85%
157
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
World ex U.S. Value Portfolio -- Institutional
Class Shares.................................... 4 89%
Emerging Markets Portfolio -- Institutional Class
Shares.......................................... 3 67%
Emerging Markets Small Cap Portfolio --
Institutional Class Shares...................... 2 38%
Emerging Markets Value Portfolio -- Class R2
Shares.......................................... 1 70%
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.
On November 1, 2010 a class action complaint was filed in Bankruptcy Court
in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in
this action include mutual funds, individuals, institutional investors and
others who owned shares in Tribune at the time of the 2007 leveraged buyout
transaction (the "LBO") and sold their shares for $34 per share in cash, such
as The U.S. Large Cap Value Series. Thereafter, two additional and
substantially similar class actions were filed and are pending in United States
District Courts (with the Bankruptcy Court action, collectively referred to as
the "Lawsuits"). The Lawsuits seek to recover, for the benefit of Tribune's
bankruptcy estate or various creditors, payments to shareholders in the LBO.
The Lawsuits allege that Tribune's payment for those shares violated the rights
of creditors, as set forth in the Bankruptcy Code's and various states'
fraudulent transfer laws. However, the Lawsuits proceed on different legal
theories: the Bankruptcy Court action pleads an intentionally fraudulent
transfer; the District Court actions plead constructively fraudulent transfers.
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.
158
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments/ summary schedules of portfolio
holdings, and the related statements of operations and of changes in net assets
and the financial highlights present fairly, in all material respects, the
financial position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap
Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio,
U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity
Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate
Securities Portfolio, Large Cap International Portfolio, International Core
Equity Portfolio, International Small Company Portfolio, Japanese Small Company
Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company
Portfolio, Continental Small Company Portfolio, DFA International Real Estate
Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA
International Small Cap Value Portfolio, International Vector Equity Portfolio,
Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging
Markets Value Portfolio, Emerging Markets Core Equity Portfolio and World ex
U.S. Value Portfolio (constituting portfolios within DFA Investment Dimensions
Group Inc., hereafter referred to as the "Portfolios") at October 31, 2011, the
results of each of their operations, the changes in each of their net assets
and the financial highlights for each of the periods indicated, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2011 by
correspondence with the custodians, brokers, and the transfer agent of the
investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2011
159
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHART
DFA COMMODITY STRATEGY PORTFOLIO VS.
DOW JONES-UBS COMMODITY INDEX TOTAL RETURN
NOVEMBER 9, 2010-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
DOW JONES-
DFA UBS
COMMODITY COMMODITY
STRATEGY INDEX TOTAL
PORTFOLIO RETURN
--------- -----------
11/9/2010 10,000.00 10,000.00
11/30/2010 9,480.00 9,414.11
12/31/2010 10,464.22 10,420.39
1/31/2011 10,584.27 10,524.91
2/28/2011 10,804.36 10,663.61
3/31/2011 11,009.50 10,883.77
4/30/2011 11,439.87 11,260.68
5/31/2011 10,889.40 10,691.09
6/30/2011 10,337.47 10,151.81
7/31/2011 10,678.04 10,452.48
8/31/2011 10,788.23 10,556.86
9/30/2011 9,186.71 9,001.31
10/31/2011 9,798.49 9,597.04
FROM
TOTAL RETURN 11/9/2010
------------ ---------
-2.02%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Dow Jones data provided by Dow Jones Indexes.
160
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011
During the period from the Portfolio's inception on November 9, 2010,
through fiscal year end, October 31, 2011, commodities initially experienced a
period of strong growth erased by sharp drops at both the end of April and
September. The commodities market suffered from a troubled Eurozone, a Japanese
earthquake, and a series of poor U.S. economic reports. The energy sector,
driven by a distressed natural gas market, ended the period slightly negative.
The precious metals sector overcame shocks from increases in initial margin
requirements on futures contracts to end the period with positive double-digit
returns. Wheat dropped dramatically as the global supply levels recovered from
a Russian drought and cotton fell from record highs as supplies grew on lowered
demand from Chinese manufacturers. The livestock sector produced single digit
positive returns.
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Commodity Strategy Portfolio seeks total return consisting of
capital appreciation and current income. The Portfolio generally invests in a
universe of allowable commodity-linked derivative instruments and fixed income
investments. The Portfolio gains exposure to commodities markets by investing
in derivative instruments, swap agreements, and other commodity-linked
instruments.The portfolio pursues commodity exposure based on sector weights of
the Dow Jones-UBS Commodity Index Total Return (DJ-UBSCI). In pursuing the
fixed income portion of the Portfolio's investment strategy, Dimensional
identifies a broadly-diversified universe of eligible U.S. and foreign fixed
income securities with precisely-defined maturity ranges and credit quality
characteristics then seeks to purchase a broad and diverse portfolio of
securities meeting these credit quality standards. In making these purchase
decisions, if the anticipated maturity risk premium is greater for longer-term
securities in the eligible maturity range, Dimensional will focus investment in
that longer-term area; otherwise, the Portfolio will focus investment in the
short-term range of the eligible maturity range.
From the Portfolio's inception on November 9, 2010, through October 31,
2011, the total return for the Portfolio was -2.02% and -4.03% for the Dow
Jones-UBS Commodity Index Total Return. The Portfolio gained exposure to
commodities primarily through the use of commodity swap contracts. To a lesser
extent, the Portfolio gained exposure to commodities through the use of
commodity futures. The Portfolio's commodity swaps provided exposure to the 19
commodities found in the Dow Jones-UBS Commodity Index Total Return whose
returns for the period range from -31% (wheat) to +26% (unleaded gas). While
the Portfolio has derivative exposure to commodities, the majority of the
assets were invested in fixed income securities. The fixed income component had
a duration of 1.67 years at October 31, 2011. Starting with the first full
month the average allocation during the period of the Portfolio was
approximately 71% in U.S. and foreign corporate securities, 16% in U.S.
government and U.S. government agency securities, 10% in foreign government
securities and 3% in supranational securities. The Portfolio's outperformance
was primarily due to the structure of the swap contracts in combination with
the duration of the fixed income assets. The time of valuation of currency can
create differences between the performance of the Portfolio and the Index.
161
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED 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.
SIX MONTHS ENDED OCTOBER 31, 2011
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
Actual Fund Return............ $1,000.00 $ 856.53 0.42% $1.97
Hypothetical 5% Annual Return. $1,000.00 $1,023.09 0.42% $2.14
--------
* DFA Commodity Strategy Portfolio commenced operations on November 9, 2010.
The Portfolio wholly owns Dimensional Cayman Commodity Fund I, LTD. The
expenses shown reflect the combined expenses of Dimensional Cayman Commodity
Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses are equal to the
fund's annualized expense ratio for the six-month period, multiplied by the
average account value over the period, multiplied by the number of days in
the most recent six-month period (184), then divided by the number of days in
the year (365) to reflect the six-month period.
162
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 September 28, 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.......................... 47.3%
Government......................... 10.9%
Foreign Corporate.................. 22.3%
Foreign Government................. 16.5%
Supranational...................... 3.0%
-----
100.0%
163
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
OCTOBER 31, 2011
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (84.7%)
AUSTRALIA -- (2.2%)
BHP Billiton Finance USA, Ltd.
(u) 5.125%, 03/29/12....................................... 525 $ 534,730
(u) 5.500%, 04/01/14....................................... 960 1,064,914
Telstra Corp., Ltd.
(u) 6.375%, 04/01/12....................................... 1,250 1,276,694
Westpac Banking Corp., Ltd.
(u) 2.250%, 11/19/12....................................... 2,000 2,029,342
-----------
TOTAL AUSTRALIA............................................ 4,905,680
-----------
AUSTRIA -- (0.9%)
Oesterreichische Kontrollbank AG
(u) 1.375%, 01/21/14....................................... 2,000 2,028,118
-----------
CANADA -- (9.7%)
Bank of Nova Scotia
(u) 2.375%, 12/17/13....................................... 2,000 2,064,346
Canadian National Railway Co.
(u) 4.400%, 03/15/13....................................... 1,150 1,204,506
Canadian Natural Resources, Ltd.
(u) 5.150%, 02/01/13....................................... 625 657,532
Encana Corp.
(u) 4.750%, 10/15/13....................................... 1,415 1,497,084
Export Development Canada
(u) 2.375%, 03/19/12....................................... 1,000 1,007,271
Manitoba, Province of Canada
(u) 2.125%, 04/22/13....................................... 1,500 1,534,872
Ontario, Province of Canada
(u) 1.875%, 11/19/12....................................... 1,000 1,013,667
(u) 4.375%, 02/15/13....................................... 600 628,225
(u) 1.375%, 01/27/14....................................... 1,300 1,314,282
(u) 4.100%, 06/16/14....................................... 1,500 1,624,920
Petro-Canada
(u) 4.000%, 07/15/13....................................... 200 208,420
Royal Bank of Canada
(u) 2.250%, 03/15/13....................................... 1,400 1,432,768
(u) 1.125%, 01/15/14....................................... 1,000 1,001,906
Saskatchewan, Province of Canada
(u) 7.375%, 07/15/13....................................... 1,800 1,993,558
Total Capital Canada, Ltd.
(u) 1.625%, 01/28/14....................................... 3,000 3,061,653
TransCanada PipeLines, Ltd.
(u) 4.000%, 06/15/13....................................... 1,525 1,605,447
-----------
TOTAL CANADA............................................... 21,850,457
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FRANCE -- (3.4%)
Agence Francaise de
Developpement
(u) 1.250%, 06/09/14....................................... 2,500 $ 2,500,000
BNP Paribas SA
(u) 2.125%, 12/21/12....................................... 1,500 1,483,610
France Telecom SA
(u) 4.375%, 07/08/14....................................... 1,500 1,616,276
Total Capital SA
(u) 5.000%, 05/22/12....................................... 1,500 1,535,252
Veolia Environnement SA
(u) 5.250%, 06/03/13....................................... 425 448,725
-----------
TOTAL FRANCE............................................... 7,583,863
-----------
GERMANY -- (3.0%)
Deutsche Bank AG
(u) 4.875%, 05/20/13....................................... 1,475 1,527,550
(u) 3.875%, 08/18/14....................................... 250 258,406
Kreditanstalt fuer Wiederaufbau
(u) 1.375%, 07/15/13....................................... 1,700 1,725,087
(u) 4.125%, 10/15/14....................................... 2,000 2,186,244
Landwirtschaftliche Rentenbank AG
(u) 1.875%, 09/24/12....................................... 1,000 1,012,706
-----------
TOTAL GERMANY.............................................. 6,709,993
-----------
JAPAN -- (1.4%)
Japan Finance Corp.
(u) 2.125%, 11/05/12....................................... 3,000 3,051,018
-----------
NETHERLANDS -- (1.9%)
Bank Nederlandse Gemeenten NV
(u) 5.000%, 05/16/14....................................... 2,000 2,199,086
Deutsche Telekom International
Finance BV
(u) 5.250%, 07/22/13....................................... 525 554,946
Diageo Finance BV
(u) 5.500%, 04/01/13....................................... 500 533,183
Nederlandse Waterschapsbank NV
(u) 5.375%, 09/04/12....................................... 1,000 1,039,594
-----------
TOTAL NETHERLANDS.......................................... 4,326,809
-----------
164
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
NORWAY -- (1.3%)
Eksportfinans ASA
(u) 1.875%, 04/02/13....................................... 2,800 $2,845,724
----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (2.9%)
Asian Development Bank
(u) 1.625%, 07/15/13....................................... 1,200 1,223,286
European Investment Bank
(u) 2.625%, 11/15/11....................................... 1,000 1,000,668
(u) 1.125%, 08/15/14....................................... 1,000 1,009,837
Inter-American Development Bank
(u) 1.750%, 10/22/12....................................... 1,300 1,317,001
International Bank for Reconstruction & Development
(u) 2.000%, 04/02/12....................................... 1,000 1,007,816
Nordic Investment Bank
(u) 1.625%, 01/28/13....................................... 1,000 1,012,819
----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS............... 6,571,427
----------
SWEDEN -- (2.0%)
Svensk Exportkredit AB
(u) 3.250%, 09/16/14....................................... 4,200 4,460,845
----------
SWITZERLAND -- (1.5%)
Credit Suisse AG
(u) 5.000%, 05/15/13....................................... 1,275 1,326,917
(u) 5.500%, 05/01/14....................................... 250 266,608
UBS AG
(u) 2.250%, 08/12/13....................................... 1,685 1,680,546
----------
TOTAL SWITZERLAND.......................................... 3,274,071
----------
UNITED KINGDOM -- (3.2%)
Barclays Bank P.L.C.
(u) 5.450%, 09/12/12....................................... 1,000 1,028,158
BP Capital Markets P.L.C.
(u) 5.250%, 11/07/13....................................... 1,700 1,838,455
Diageo Capital P.L.C.
(u) 5.200%, 01/30/13....................................... 1,175 1,238,855
Network Rail Infrastructure Finance P.L.C.
(u) 1.500%, 01/13/14....................................... 3,000 3,050,028
----------
TOTAL UNITED KINGDOM....................................... 7,155,496
----------
FACE
AMOUNT VALUE+
------- ----------
(000)
UNITED STATES -- (51.3%)
3M Co.
4.375%, 08/15/13....................................... $3,000 $3,207,516
ACE INA Holdings, Inc.
5.875%, 06/15/14....................................... 1,250 1,382,409
Air Products & Chemicals, Inc.
4.150%, 02/01/13....................................... 500 521,894
American Express Credit Corp.
5.875%, 05/02/13....................................... 850 903,913
Anheuser-Busch InBev Worldwide, Inc.
2.500%, 03/26/13....................................... 650 665,301
Archer-Daniels-Midland Co.
7.125%, 03/01/13....................................... 325 350,589
Arrow Electronics, Inc.
6.875%, 07/01/13....................................... 350 376,162
AT&T, Inc.
4.950%, 01/15/13....................................... 900 943,818
6.700%, 11/15/13....................................... 755 838,776
Avery Dennison Corp.
4.875%, 01/15/13....................................... 200 207,599
Baltimore Gas & Electric Co.
6.125%, 07/01/13....................................... 500 537,684
Bank of New York Mellon Corp. (The)
4.500%, 04/01/13....................................... 1,000 1,052,505
5.125%, 08/27/13....................................... 2,150 2,310,773
Baxter International, Inc.
1.800%, 03/15/13....................................... 1,490 1,512,004
BB&T Corp.
3.850%, 07/27/12....................................... 1,100 1,125,104
3.375%, 09/25/13....................................... 750 778,993
BlackRock, Inc.
2.250%, 12/10/12....................................... 1,400 1,420,346
Boeing Capital Corp.
5.800%, 01/15/13....................................... 950 1,008,827
Boeing Co. (The)
1.875%, 11/20/12....................................... 550 558,109
Bristol-Myers Squibb Co.
5.250%, 08/15/13....................................... 1,175 1,266,633
Burlington Northern Santa Fe LLC
4.300%, 07/01/13....................................... 1,200 1,262,612
Campbell Soup Co.
5.000%, 12/03/12....................................... 350 365,776
4.875%, 10/01/13....................................... 270 290,759
Capital One Financial Corp.
4.800%, 02/21/12....................................... 350 353,246
6.250%, 11/15/13....................................... 150 161,634
165
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ----------
(000)
UNITED STATES -- (Continued)
Caterpillar Financial Services Corp.
2.000%, 04/05/13........................................ $ 400 $ 406,648
6.200%, 09/30/13........................................ 1,250 1,370,496
CenterPoint Energy Resources Corp.
7.875%, 04/01/13........................................ 425 462,293
Charles Schwab Corp. (The)
4.950%, 06/01/14........................................ 1,550 1,703,869
Chubb Corp. (The)
5.200%, 04/01/13........................................ 525 552,530
Cisco Systems, Inc.
1.625%, 03/14/14........................................ 1,850 1,884,921
Citigroup, Inc.
6.500%, 08/19/13........................................ 625 662,091
6.375%, 08/12/14........................................ 250 269,886
Coca-Cola Co. (The)
0.750%, 11/15/13........................................ 1,075 1,077,993
Coca-Cola Refreshments USA, Inc.
3.750%, 03/01/12........................................ 450 454,344
Comcast Cable Communications Holdings, Inc.
8.375%, 03/15/13........................................ 775 850,782
Computer Sciences Corp.
5.000%, 02/15/13........................................ 850 883,646
ConocoPhillips
4.750%, 10/15/12........................................ 1,450 1,504,628
Consolidated Edison Co. of New York, Inc.
4.875%, 02/01/13........................................ 350 367,120
COX Communications, Inc.
7.125%, 10/01/12........................................ 800 843,483
CSX Corp.
5.500%, 08/01/13........................................ 425 454,823
Daimler Finance North America LLC
6.500%, 11/15/13........................................ 1,300 1,425,227
Dell, Inc.
4.700%, 04/15/13........................................ 1,140 1,202,908
2.100%, 04/01/14........................................ 500 512,875
Dominion Resources, Inc.
5.000%, 03/15/13........................................ 425 447,345
Dow Chemical Co. (The)
6.000%, 10/01/12........................................ 325 339,064
Dr. Pepper Snapple Group, Inc.
2.350%, 12/21/12........................................ 600 609,095
FACE
AMOUNT VALUE+
------ ----------
(000)
UNITED STATES -- (Continued)
Duke Energy Ohio, Inc.
5.700%, 09/15/12........................................ $ 425 $ 442,900
E.I. Du Pont de Nemours & Co.
4.750%, 11/15/12........................................ 350 364,710
eBay, Inc.
0.875%, 10/15/13........................................ 1,435 1,439,520
Emerson Electric Co.
5.625%, 11/15/13........................................ 1,200 1,309,511
Energy Transfer Partners LP
6.000%, 07/01/13........................................ 425 452,179
Enterprise Products Operating LLC
7.625%, 02/15/12........................................ 650 660,684
5.600%, 10/15/14........................................ 666 734,202
EOG Resources, Inc.
6.125%, 10/01/13........................................ 1,410 1,546,097
Exelon Generation Co. LLC
5.350%, 01/15/14........................................ 1,100 1,176,014
Express Scripts, Inc.
5.250%, 06/15/12........................................ 425 435,689
Fifth Third Bancorp
6.250%, 05/01/13........................................ 875 928,256
General Dynamics Corp.
4.250%, 05/15/13........................................ 920 970,274
General Electric Capital Corp.
2.800%, 01/08/13........................................ 2,000 2,040,180
2.100%, 01/07/14........................................ 600 606,815
General Electric Co.
5.000%, 02/01/13........................................ 1,000 1,048,667
General Mills, Inc.
6.000%, 02/15/12........................................ 425 431,265
Georgia Power Co.
6.000%, 11/01/13........................................ 825 906,047
GlaxoSmithKline Capital, Inc.
4.850%, 05/15/13........................................ 1,300 1,384,985
Goldman Sachs Group, Inc.(The)
5.250%, 10/15/13........................................ 1,500 1,563,090
Hess Corp.
7.000%, 02/15/14........................................ 175 195,713
Hewlett-Packard Co.
1.250%, 09/13/13........................................ 1,500 1,506,561
HSBC Finance Corp.
4.750%, 07/15/13........................................ 1,775 1,850,528
International Business Machines Corp.
2.100%, 05/06/13........................................ 1,270 1,299,296
John Deere Capital Corp.
1.875%, 06/17/13........................................ 1,525 1,561,283
166
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ----------
(000)
UNITED STATES -- (Continued)
KeyCorp
6.500%, 05/14/13............................. $1,000 $1,069,500
Kimberly-Clark Corp.
5.000%, 08/15/13............................. 1,000 1,069,921
Kinder Morgan Energy Partners LP
7.125%, 03/15/12............................. 425 433,620
5.850%, 09/15/12............................. 1,000 1,035,432
Kraft Foods, Inc.
6.250%, 06/01/12............................. 555 572,522
Kroger Co. (The)
5.500%, 02/01/13............................. 640 671,480
MetLife, Inc.
5.375%, 12/15/12............................. 1,125 1,173,568
2.375%, 02/06/14............................. 420 430,845
Microsoft Corp.
0.875%, 09/27/13............................. 1,300 1,313,358
National Rural Utilities Cooperative Finance
Corp.
7.250%, 03/01/12............................. 283 289,187
Nestle Holdings, Inc.
2.000%, 01/28/13............................. 2,000 2,036,752
NextEra Energy Capital Holdings, Inc.
2.550%, 11/15/13............................. 750 765,529
Northern Trust Corp.
5.500%, 08/15/13............................. 1,343 1,456,731
Nucor Corp.
4.875%, 10/01/12............................. 440 455,172
Occidental Petroleum Corp.
1.450%, 12/13/13............................. 1,000 1,018,608
Paccar Financial Corp.
2.050%, 06/17/13............................. 300 305,679
Packaging Corp. of America
5.750%, 08/01/13............................. 525 563,149
PepsiCo, Inc.
0.875%, 10/25/13............................. 1,685 1,686,088
Philip Morris International, Inc.
4.875%, 05/16/13............................. 1,425 1,509,816
6.875%, 03/17/14............................. 100 113,821
Pitney Bowes, Inc.
3.875%, 06/15/13............................. 450 465,961
PNC Funding Corp.
5.400%, 06/10/14............................. 1,600 1,757,079
Praxair, Inc.
6.375%, 04/01/12............................. 425 435,076
2.125%, 06/14/13............................. 1,000 1,022,356
FACE
AMOUNT VALUE+
------ ----------
(000)
UNITED STATES -- (Continued)
Principal Financial Group, Inc.
7.875%, 05/15/14............................. $1,158 $1,316,991
Prudential Financial, Inc.
5.800%, 06/15/12............................. 350 358,483
3.625%, 09/17/12............................. 300 306,658
4.500%, 07/15/13............................. 100 104,994
Reynolds American, Inc.
7.250%, 06/01/13............................. 900 977,982
Ryder System, Inc.
5.000%, 06/15/12............................. 525 537,509
Safeway, Inc.
5.800%, 08/15/12............................. 425 439,908
Sara Lee Corp.
3.875%, 06/15/13............................. 650 673,371
Spectra Energy Capital LLC
5.668%, 08/15/14............................. 380 415,840
St. Jude Medical, Inc.
2.200%, 09/15/13............................. 425 433,308
State Street Corp.
4.300%, 05/30/14............................. 1,400 1,512,792
SunTrust Banks, Inc.
5.250%, 11/05/12............................. 525 541,233
Target Corp.
4.000%, 06/15/13............................. 1,200 1,264,784
Texas Instruments, Inc.
0.875%, 05/15/13............................. 700 702,075
Time Warner Cable, Inc.
6.200%, 07/01/13............................. 425 459,528
Toyota Motor Credit Corp.
1.375%, 08/12/13............................. 2,900 2,936,418
Travelers Property Casualty Corp.
5.000%, 03/15/13............................. 1,400 1,469,295
Unilever Capital Corp.
3.650%, 02/15/14............................. 1,275 1,357,433
Union Bank NA
2.125%, 12/16/13............................. 1,400 1,419,292
United Technologies Corp.
6.100%, 05/15/12............................. 250 257,091
UnitedHealth Group, Inc.
5.000%, 08/15/14............................. 1,170 1,278,371
Valero Energy Corp.
6.875%, 04/15/12............................. 875 897,776
Verizon Communications, Inc.
4.350%, 02/15/13............................. 750 783,800
5.250%, 04/15/13............................. 775 824,476
Wal-Mart Stores, Inc.
1.625%, 04/15/14............................. 4,300 4,409,469
167
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
----------- ------------
(000)
UNITED STATES -- (Continued)
Walt Disney Co. (The)
4.700%, 12/01/12................................... $ 725 $ 758,638
Waste Management, Inc.
6.375%, 11/15/12................................... 425 448,783
------------
TOTAL UNITED STATES.................................... 115,081,063
------------
TOTAL BONDS............................................ 189,844,564
------------
AGENCY OBLIGATIONS -- (4.5%)
Federal Home Loan Bank
0.875%, 12/27/13................................... 1,500 1,512,556
Federal Home Loan Mortgage Corporation
1.375%, 02/25/14................................... 2,000 2,039,352
Federal National Mortgage Association
2.750%, 03/13/14................................... 3,700 3,897,436
Tennessee Valley Authority
6.000%, 03/15/13................................... 2,400 2,584,291
------------
TOTAL AGENCY OBLIGATIONS............................... 10,033,635
------------
U.S. TREASURY OBLIGATIONS -- (5.9%)
U.S. Treasury Note
^^@@ 0.625%, 12/31/12................................. 13,200 13,267,030
------------
SHARES/
FACE
AMOUNT
-----------
(000)
TEMPORARY CASH INVESTMENTS -- (4.9%)
Citibank-US Dollars on Deposit in Custody Account...... 11,001,450 11,001,450
------------
VALUE+
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $223,287,867).................................. $224,146,679
============
168
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Summary of inputs used to value the Portfolio's investments as of October 31,
2011 is as follows (See Security Valuation Note):
VALUATION INPUTS
----------------------------------------------
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Bonds.......................... -- $189,844,564 -- $189,844,564
Agency Obligations............. -- 10,033,635 -- 10,033,635
U.S. Treasury Obligations...... -- 13,267,030 -- 13,267,030
Temporary Cash Investments..... $11,001,450 -- -- 11,001,450
Swap Agreements**.............. (2,069,150) -- (2,069,150)
Futures Contracts**............ 37,476 -- -- 37,476
----------- ------------ -- ------------
TOTAL.......................... $11,038,926 $211,076,079 -- $222,115,005
=========== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Schedules of Investments.
169
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investments at Value............................................. $ 213,145
Temporary Cash Investments at Value & Cost....................... 11,002
Cash............................................................. 2,557
Receivables:
Investment Securities Sold.................................... 792
Due From Broker............................................... 2,583
Interest...................................................... 1,927
Fund Shares Sold.............................................. 1,085
Prepaid Expenses and Other Assets................................ 13
Deferred Offering Costs.......................................... 1
------------
Total Assets.............................................. 233,105
------------
LIABILITIES:
Payables:
Fund Shares Redeemed.......................................... 153
Due to Advisor................................................ 55
Futures Margin Variation...................................... 10
Unrealized Loss on Swap Contracts................................ 2,069
Accrued Expenses and Other Liabilities........................... 37
------------
Total Liabilities......................................... 2,324
------------
NET ASSETS....................................................... $ 230,781
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 23,612,416
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 9.77
============
Investments at Cost.............................................. $ 212,286
------------
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 231,579
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 231
Accumulated Net Realized Gain (Loss)............................. 144
Net Unrealized Appreciation (Depreciation)....................... (1,173)
------------
NET ASSETS....................................................... $ 230,781
============
(1) NUMBER OF SHARES AUTHORIZED.................................. 100,000,000
============
See accompanying Notes to Financial Statements.
170
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE PERIOD NOVEMBER 9, 2010(a) TO OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Interest.......................................................... $ 1,921
--------
Total Investment Income.................................... 1,921
--------
EXPENSES
Investment Advisory Services Fees................................. 625
Accounting & Transfer Agent Fees.................................. 47
Custodian Fees.................................................... 7
Filing Fees....................................................... 31
Shareholders' Reports............................................. 9
Directors'/Trustees' Fees & Expenses.............................. 1
Professional Fees................................................. 10
Organizational & Offering Costs................................... 189
Other............................................................. 1
--------
Total Expenses............................................. 920
--------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note D)................................... (104)
Fees Paid Indirectly.............................................. (1)
--------
Net Expenses...................................................... 815
--------
NET INVESTMENT INCOME (LOSS)...................................... 1,106
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................... 227
Futures....................................................... (1,328)
Swap Contracts................................................ (10,020)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities......................................... 859
Futures....................................................... 37
Swap Contracts................................................ (2,069)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... (12,294)
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...... $(11,188)
========
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
171
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
PERIOD
NOVEMBER 9, 2010(a)
TO OCTOBER 31, 2011
-------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............................ $ 1,106
Net Realized Gain (Loss) on:
Investment Securities Sold.......................... 227
Futures............................................. (1,328)
Swap Contracts...................................... (10,020)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities............................... 859
Futures............................................. 37
Swap Contracts...................................... (2,069)
--------
Net Increase (Decrease) in Net Assets
Resulting from Operations...................... (11,188)
--------
Distributions From:
Net Investment Income:
Institutional Shares................................ (574)
--------
Total Distributions.............................. (574)
--------
Capital Share Transactions (1):
Shares Issued........................................... 278,288
Shares Issued in Lieu of Cash Distributions............. 559
Shares Redeemed......................................... (36,304)
--------
Net Increase (Decrease) from Capital Share
Transactions...................................... 242,543
--------
Total Increase (Decrease) in Net Assets............. 230,781
NET ASSETS
Beginning of Period..................................... --
--------
End of Period........................................... $230,781
========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 27,085
Shares Issued in Lieu of Cash Distributions............. 52
Shares Redeemed......................................... (3,525)
--------
Net Increase (Decrease) from Shares
Issued and Redeemed............................ 23,612
========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS
IN EXCESS OF NET INVESTMENT INCOME)...................... $ 231
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
172
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
PERIOD
NOVEMBER 9, 2010(a)
TO
OCT. 31, 2011
-------------------
Net Asset Value, Beginning of Period................... $ 10.00
--------
Income from Investment Operations
Net Investment Income (Loss)(A)..................... 0.07
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... (0.27)
--------
Total from Investment Operations................ (0.20)
--------
Less Distributions
Net Investment Income............................... (0.03)
--------
Total Distributions............................. (0.03)
--------
Net Asset Value, End of Period......................... $ 9.77
========
Total Return........................................... (2.02)%(C)
--------
Net Assets, End of Period (thousands).................. $230,781
Ratio of Expenses to Average Net Assets................ 0.47%(B)(E)(D)
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or Recovery
of Previously Waived Fees and Fees Paid Indirectly).. 0.53%(B)(E)(D)
Ratio of Net Investment Income to Average Net Assets... 0.64%(B)(E)(D)
Portfolio Turnover Rate................................ 50%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
173
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, 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. 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
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.
174
The Portfolio did not have any significant transfers between Level 1 and
Level 2 during the period ended October 31, 2011.
2. Deferred Compensation Plan: Each eligible Director of the Fund may elect
participation in The Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: 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 October 31, 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
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. BASIS FOR CONSOLIDATION:
The Subsidiary commenced operations on November 9, 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 October 31, 2011, the Portfolio held $43,496,161 in the Subsidiary,
representing 18.66% of the Portfolio's total assets. The accompanying
consolidated financial statements include all assets, liabilities, revenues and
expenses
175
of the Portfolio and its wholly-owned Subsidiary. The accompanying consolidated
financial statements include the accounts of the Subsidiary. Intercompany
balances and transactions have been eliminated in consolidation.
D. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolio. For the period ended October 31,
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 October 31,
2011, there were no previously waived fees subjected to future recovery by the
Advisor.
The Subsidiary has entered into a separate contract with the Advisor whereby
the Advisor or its affiliates provide investment advisory and other services to
the Subsidiary. For the investment advisory services it provides, the Advisor
is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's
average net assets on an annualized basis; however, pursuant to a contractual
agreement, the Advisor has agreed to waive the management fee of the Subsidiary.
For the period ended October 31, 2011, approximately $104 (in thousands) of
the Subsidiary management fees was waived pursuant to the Subsidiary fee waiver
agreement.
EARNED INCOME CREDIT:
In addition, the Portfolio has entered into arrangements with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
During the period ended October 31, 2011, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Commodity Strategy Portfolio. $1
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 period ended October 31, 2011, the total
related amounts paid by the Fund to the CCO were $221 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
176
E. DEFERRED COMPENSATION:
At October 31, 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 October 31, 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
--------- ------- --------- -------
$193,041. $56,939 $42,797 $29,550
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
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, 2011, primarily attributable to adjustments
between financial and tax reporting related to the Subsidiary, the utilization
of accumulated earnings and profits distributed to shareholders on redemptions
of shares as part of the dividends paid deduction for tax purposes and
non-deductible offering costs, 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 Commodity Strategy Portfolio. $(10,964) $(301) $11,265
The Portfolio commenced operations on November 9, 2010 and did not pay any
distributions for the period ended October 31, 2010.
The tax character of dividends and distributions declared and paid during
the period ended October 31, 2011 was as follows (amounts in thousands):
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
DFA Commodity Strategy Portfolio 2011....... $636 -- $636
177
At October 31, 2011, 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
-------------- ------------- -----
DFA Commodity Strategy Portfolio............ $62 -- $62
At October 31, 2011 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)
-------------- ------------- ------------ -------------
DFA Commodity Strategy
Portfolio............ $503 -- -- $503
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, 2011, the Portfolio did not have any capital loss
carryforwards.
At October 31, 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)
-------- ------------ -------------- --------------
$223,288 $1,001 $(142) $859
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 more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve 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. 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.
178
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.
2. 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.
3. 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
179
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.
4. 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.
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.
5. 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.
180
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.
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.
6. 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 October 31, 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)
---------------------------------- ---------- ---------- -------- -----------
CBT Wheat Futures 03/16/12 4 $133 $(1)
Copper Futures 03/30/12 2 183 (2)
Corn Futures 03/16/12 7 231 --
Gold 100oz Futures 02/29/12 2 345 (2)
Live Cattle Futures 03/09/12 3 146 (1)
LME Prime Aluminum Futures 12/21/11 2 111 --
Natural Gas Futures 01/31/12 8 324 7
181
EXPIRATION NUMBER OF CONTRACT UNREALIZED
DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS)
----------- ---------- ---------- -------- -----------
Soybean Futures 01/18/12 4 $ 243 $ 7
WTI Crude Oil Futures 01/31/12 4 372 29
------ ---
$2,088 $37
====== ===
Dimensional Cayman Commodity Fund I, LTD. securities have been segregated as
collateral for open futures contracts.
* During the period ended October 31, 2011 the Dimensional Cayman Commodity
Fund I, LTD.'s average notional contract amount of outstanding futures
contracts was $3,700 (in thousands).
At October 31, 2011, Dimensional Cayman Commodity Fund I, LTD. had the
following outstanding commodity index total return swaps (dollar amounts in
thousands):
UNREALIZED
EXPIRATION NOTIONAL APPRECIATION
COUNTERPARTY DATE AMOUNT* (DEPRECIATION)
------------ ---------- --- -------- --------------
Citibank, N.A. 11/28/11 USD $ 91,741 $ (828)
Deutsche Bank AG, London Branch 11/28/11 USD 80,137 (725)
UBS AG 11/28/11 USD 57,040 (516)
-------- -------
$228,918 $(2,069)
======== =======
* During the period ended October 31, 2011 the Portfolio's average notional
value of outstanding swap contracts was $172,187 (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 October 31, 2011.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of October 31, 2011:
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
-----------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------ - ---------------------
Commodity contracts Payables: Futures
Margin Variation
Other contracts Unrealized Loss
on Swap Contracts
182
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2011 (amounts in
thousands):
ASSET DERIVATIVES VALUE LIABILITY DERIVATIVES VALUE
----------------------- ---------------------------
TOTAL VALUE
AT COMMODITY OTHER
OCT. 31, 2011 CONTRACTS CONTRACTS
------------- ----------------------- ---------------------------
Dimensional Cayman Commodity
Fund I, LTD................. $(2,032) $37* $(2,069)
* 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 October 31,
2011 (amounts in thousands):
LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED
DERIVATIVE TYPE IN INCOME
--------------- --------------------------------------------------
Commodity contracts Net Realized Gain (Loss) on: Futures Change in
Unrealized Appreciation (Depreciation) of: Futures
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 October 31, 2011 (amounts in
thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
RECOGNIZED IN INCOME
-------------------------------
COMMODITY OTHER
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD... $(11,348) $(1,328) $(10,020)
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES RECOGNIZED IN INCOME
-------------------------------
COMMODITY OTHER
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD... $ (2,032) $ 37 $ (2,069)
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $250 million unsecured discretionary line of credit effective June 22,
2011 with 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 22,
2012. There were no borrowings by the Portfolio under this line of credit
during the period ended October 31, 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
183
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. The Fund, together with other Dimensional-advised portfolios, expects to
enter into a new line of credit with substantially the same terms as its
existing line of credit prior to its expiration. There were no borrowings by
the Portfolio under this line of credit during the period ended October 31,
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
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.
Under the recently enacted Regulated Investment Company Modernization Act of
2010, Funds will be permitted to carry forward capital losses incurred in
taxable years beginning after December 22, 2010 for an unlimited period.
However, any losses incurred during those future taxable years will be required
to be utilized prior to the losses incurred in pre-enactment taxable years. As
a result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post enactment capital losses that
are carried forward will retain their character as either short-term or
long-term capital losses rather than being considered all short-term as under
previous law.
L. OTHER:
At October 31, 2011, two shareholders held 84% 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.
DFA Commodity Strategy 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
184
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.
185
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF DFA COMMODITY STRATEGY PORTFOLIO AND ITS SUBSIDIARY AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.:
In our opinion, the accompanying consolidated statement of assets and
liabilities, including the consolidated schedule of investments, and the
related consolidated statements of operations and of changes in net assets and
the consolidated financial highlights present fairly, in all material respects,
the financial position of DFA Commodity Strategy Portfolio and its subsidiary
(one of the portfolios constituting DFA Investment Dimensions Group Inc.,
hereafter referred to as the "Portfolio") at October 31, 2011, the results of
its operations, the changes in its net assets and the financial highlights for
each of the periods indicated, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Portfolio's management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with the
standards of the Public Company Accounting Oversight Board (United States).
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audit, which included confirmation of securities at October 31, 2011 by
correspondence with the custodian and brokers, provides a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2011
186
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
DFA INTERNATIONAL VALUE PORTFOLIO CLASS R2 VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
APRIL 30, 2008-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
DFA
INTERNATIONAL MSCI
VALUE WORLD EX
PORTFOLIO--CLASS USA INDEX
R2 (NET DIV.)
---------------- ----------
4/30/2008 10,000.00 10,000.00
5/31/2008 10,000.00 10,151.75
6/30/2008 9,005.63 9,362.32
7/31/2008 8,751.65 9,029.15
8/31/2008 8,381.27 8,679.97
9/30/2008 7,404.32 7,426.77
10/31/2008 5,537.15 5,881.85
11/30/2008 5,193.76 5,562.88
12/31/2008 5,593.53 5,856.13
1/31/2009 4,819.37 5,309.71
2/28/2009 4,219.68 4,772.20
3/31/2009 4,685.54 5,086.67
4/30/2009 5,539.45 5,742.64
5/31/2009 6,360.51 6,468.89
6/30/2009 6,268.44 6,401.90
7/31/2009 7,006.57 7,003.02
8/31/2009 7,404.03 7,338.64
9/30/2009 7,788.56 7,641.43
10/31/2009 7,467.38 7,518.76
11/30/2009 7,685.32 7,704.79
12/31/2009 7,769.19 7,827.61
1/31/2010 7,316.28 7,460.70
2/28/2010 7,339.51 7,453.22
3/31/2010 7,920.50 7,933.01
4/30/2010 7,780.93 7,814.73
5/31/2010 6,873.74 6,952.37
6/30/2010 6,750.52 6,851.80
7/31/2010 7,583.77 7,485.08
8/31/2010 7,209.41 7,261.35
9/30/2010 7,990.20 7,957.91
10/31/2010 8,258.57 8,241.40
11/30/2010 7,836.12 7,892.38
12/31/2010 8,567.30 8,527.89
1/31/2011 8,930.68 8,711.60
2/28/2011 9,224.18 9,034.62
3/31/2011 8,966.26 8,853.63
4/30/2011 9,442.59 9,335.82
5/31/2011 9,097.02 9,059.06
6/30/2011 8,968.49 8,930.04
7/31/2011 8,679.03 8,782.73
8/31/2011 7,744.22 8,040.21
9/30/2011 6,896.00 7,232.79
10/31/2011 7,554.58 7,936.21
ONE FROM
AVERAGE ANNUAL TOTAL RETURN YEAR 4/30/2008
--------------------------- ----- ---------
-8.53% -7.69%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved
DFA INTERNATIONAL VALUE PORTFOLIO INSTITUTIONAL CLASS VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
DFA
INTERNATIONAL
VALUE MSCI
PORTFOLIO- WORLD EX
INSTITUTIONAL USA INDEX
CLASS (NET DIV.)
------------- ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 10,362.17 10,393.05
12/31/2001 10,405.52 10,459.69
1/31/2002 10,175.21 9,927.67
2/28/2002 10,290.36 9,988.19
3/31/2002 10,928.93 10,519.13
4/30/2002 11,295.32 10,581.25
5/31/2002 11,672.18 10,719.90
6/30/2002 11,344.01 10,283.85
7/31/2002 10,181.06 9,261.52
8/31/2002 10,170.49 9,247.14
9/30/2002 8,961.37 8,266.41
10/31/2002 9,216.50 8,700.64
11/30/2002 9,769.28 9,101.20
12/31/2002 9,518.51 8,807.06
1/31/2003 9,198.02 8,471.49
2/28/2003 9,016.41 8,304.50
3/31/2003 8,794.46 8,144.45
4/30/2003 9,757.35 8,926.06
5/31/2003 10,495.57 9,479.67
6/30/2003 10,833.22 9,709.96
7/31/2003 11,321.21 9,932.72
8/31/2003 11,614.00 10,188.84
9/30/2003 12,059.61 10,494.52
10/31/2003 13,006.52 11,151.70
11/30/2003 13,278.63 11,404.48
12/31/2003 14,270.65 12,278.97
1/31/2004 14,632.07 12,449.94
2/29/2004 15,070.15 12,736.28
3/31/2004 15,304.54 12,800.04
4/30/2004 14,844.42 12,464.99
5/31/2004 14,986.84 12,523.26
6/30/2004 15,606.98 12,812.46
7/31/2004 15,031.41 12,421.74
8/31/2004 15,219.58 12,473.38
9/30/2004 15,705.82 12,836.97
10/31/2004 16,306.89 13,298.30
11/30/2004 17,509.04 14,182.70
12/31/2004 18,380.42 14,781.87
1/31/2005 18,189.54 14,490.86
2/28/2005 18,908.14 15,135.50
3/31/2005 18,435.37 14,791.94
4/30/2005 17,873.66 14,414.77
5/31/2005 17,896.13 14,441.06
6/30/2005 18,178.02 14,677.11
7/31/2005 18,986.18 15,151.11
8/31/2005 19,612.23 15,569.39
9/30/2005 20,159.53 16,279.93
10/31/2005 19,850.79 15,753.88
11/30/2005 20,205.27 16,171.07
12/31/2005 21,187.12 16,920.86
1/31/2006 22,630.90 17,991.10
2/28/2006 22,842.18 17,930.68
3/31/2006 23,804.70 18,499.33
4/30/2006 25,001.98 19,383.92
5/31/2006 23,992.51 18,647.48
6/30/2006 23,828.07 18,623.47
7/31/2006 24,197.22 18,797.96
8/31/2006 25,018.88 19,332.22
9/30/2006 25,369.06 19,316.65
10/31/2006 26,489.34 20,080.04
11/30/2006 27,356.66 20,678.14
12/31/2006 28,421.80 21,271.04
1/31/2007 28,950.17 21,400.80
2/28/2007 28,925.60 21,572.00
3/31/2007 29,852.73 22,124.75
4/30/2007 31,352.74 23,131.37
5/31/2007 32,422.42 23,645.05
6/30/2007 32,185.65 23,668.78
7/31/2007 31,286.40 23,341.60
8/31/2007 30,924.20 23,003.73
9/30/2007 32,533.65 24,310.66
10/31/2007 34,103.20 25,367.46
11/30/2007 32,031.39 24,375.45
12/31/2007 31,333.30 23,917.24
1/31/2008 28,795.20 21,760.83
2/29/2008 28,421.57 22,155.18
3/31/2008 28,763.38 21,838.92
4/30/2008 30,040.32 23,052.85
5/31/2008 30,053.22 23,402.67
6/30/2008 27,069.62 21,582.81
7/31/2008 26,303.37 20,814.76
8/31/2008 25,193.64 20,009.79
9/30/2008 22,253.20 17,120.81
10/31/2008 16,669.96 13,559.35
11/30/2008 15,646.36 12,824.03
12/31/2008 16,816.00 13,500.05
1/31/2009 14,499.79 12,240.40
2/28/2009 12,719.11 11,001.28
3/31/2009 14,100.57 11,726.22
4/30/2009 16,689.93 13,238.41
5/31/2009 19,171.95 14,912.63
6/30/2009 18,884.57 14,758.20
7/31/2009 21,119.10 16,143.96
8/31/2009 22,318.12 16,917.67
9/30/2009 23,466.32 17,615.66
10/31/2009 22,522.19 17,332.88
11/30/2009 23,178.97 17,761.74
12/31/2009 23,450.30 18,044.88
1/31/2010 22,088.67 17,199.03
2/28/2010 22,157.44 17,181.80
3/31/2010 23,923.99 18,287.85
4/30/2010 23,511.03 18,015.17
5/31/2010 20,744.22 16,027.20
6/30/2010 20,383.76 15,795.35
7/31/2010 22,926.49 17,255.24
8/31/2010 21,794.84 16,739.48
9/30/2010 24,129.10 18,345.25
10/31/2010 24,984.84 18,998.78
11/30/2010 23,708.25 18,194.20
12/31/2010 25,929.39 19,659.22
1/31/2011 27,029.77 20,082.72
2/28/2011 27,918.54 20,827.38
3/31/2011 27,148.65 20,410.15
4/30/2011 28,591.67 21,521.72
5/31/2011 27,558.92 20,883.72
6/30/2011 27,174.46 20,586.29
7/31/2011 26,296.93 20,246.71
8/31/2011 23,477.35 18,534.99
9/30/2011 20,907.88 16,673.65
10/31/2011 22,920.48 18,295.22
ONE FIVE TEN
AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS
--------------------------- ----- ----- -----
-8.26% -2.85% 8.65%
Past performance is not predictive of future performance
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(R) INDEX
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
U.S. LARGE
COMPANY S&P 500
PORTFOLIO INDEX
---------- ---------
10/31/2001 10,000.00 10,000.00
11/30/2001 10,771.08 10,767.06
12/31/2001 10,860.75 10,861.39
1/31/2002 10,703.52 10,702.88
2/28/2002 10,497.92 10,496.48
3/31/2002 10,884.59 10,891.24
4/30/2002 10,217.94 10,230.93
5/31/2002 10,145.22 10,155.55
6/30/2002 9,423.98 9,432.08
7/31/2002 8,694.38 8,696.90
8/31/2002 8,743.02 8,754.00
9/30/2002 7,798.60 7,802.62
10/31/2002 8,482.05 8,489.37
11/30/2002 8,982.43 8,989.05
12/31/2002 8,446.22 8,460.85
1/31/2003 8,225.24 8,239.18
2/28/2003 8,102.47 8,115.59
3/31/2003 8,177.38 8,194.39
4/30/2003 8,854.72 8,869.36
5/31/2003 9,322.70 9,336.69
6/30/2003 9,444.30 9,456.20
7/31/2003 9,605.00 9,622.91
8/31/2003 9,790.43 9,810.56
9/30/2003 9,679.40 9,706.37
10/31/2003 10,237.83 10,255.46
11/30/2003 10,324.70 10,345.71
12/31/2003 10,855.60 10,888.24
1/31/2004 11,055.25 11,088.09
2/29/2004 11,204.98 11,242.21
3/31/2004 11,042.49 11,072.57
4/30/2004 10,867.41 10,898.73
5/31/2004 11,017.48 11,048.26
6/30/2004 11,233.83 11,263.03
7/31/2004 10,857.27 10,890.23
8/31/2004 10,894.93 10,934.12
9/30/2004 11,014.12 11,052.53
10/31/2004 11,177.95 11,221.41
11/30/2004 11,631.62 11,675.43
12/31/2004 12,025.07 12,072.75
1/31/2005 11,732.71 11,778.48
2/28/2005 11,986.94 12,026.29
3/31/2005 11,770.56 11,813.31
4/30/2005 11,554.00 11,589.21
5/31/2005 11,910.69 11,957.98
6/30/2005 11,932.24 11,974.96
7/31/2005 12,379.86 12,420.43
8/31/2005 12,264.76 12,307.15
9/30/2005 12,363.17 12,406.84
10/31/2005 12,157.55 12,200.02
11/30/2005 12,620.20 12,661.42
12/31/2005 12,623.40 12,665.86
1/31/2006 12,959.68 13,001.25
2/28/2006 12,985.55 13,036.48
3/31/2006 13,148.95 13,198.78
4/30/2006 13,330.49 13,376.04
5/31/2006 12,941.47 12,991.08
6/30/2006 12,966.82 13,008.75
7/31/2006 13,045.01 13,089.01
8/31/2006 13,357.78 13,400.44
9/30/2006 13,694.51 13,745.77
10/31/2006 14,139.65 14,193.75
11/30/2006 14,401.49 14,463.71
12/31/2006 14,608.19 14,666.60
1/31/2007 14,832.12 14,888.41
2/28/2007 14,542.33 14,597.21
3/31/2007 14,695.78 14,760.48
4/30/2007 15,356.56 15,414.30
5/31/2007 15,885.18 15,952.18
6/30/2007 15,628.67 15,687.17
7/31/2007 15,137.37 15,200.79
8/31/2007 15,363.11 15,428.65
9/30/2007 15,938.92 16,005.68
10/31/2007 16,192.34 16,260.33
11/30/2007 15,512.10 15,580.49
12/31/2007 15,414.56 15,472.36
1/31/2008 14,488.08 14,544.02
2/29/2008 14,018.12 14,071.48
3/31/2008 13,965.17 14,010.69
4/30/2008 14,639.17 14,693.01
5/31/2008 14,827.89 14,884.02
6/30/2008 13,583.93 13,629.30
7/31/2008 13,475.59 13,514.68
8/31/2008 13,665.19 13,710.10
9/30/2008 12,461.90 12,488.39
10/31/2008 10,378.11 10,390.97
11/30/2008 9,642.65 9,645.41
12/31/2008 9,748.12 9,748.04
1/31/2009 8,935.77 8,926.41
2/28/2009 7,985.75 7,975.93
3/31/2009 8,686.34 8,674.58
4/30/2009 9,517.57 9,504.83
5/31/2009 10,057.87 10,036.43
6/30/2009 10,070.45 10,056.30
7/31/2009 10,836.53 10,816.94
8/31/2009 11,226.54 11,207.43
9/30/2009 11,647.20 11,625.69
10/31/2009 11,423.21 11,409.72
11/30/2009 12,109.16 12,094.07
12/31/2009 12,343.01 12,327.73
1/31/2010 11,906.21 11,884.30
2/28/2010 12,272.56 12,252.44
3/31/2010 13,016.13 12,991.80
4/30/2010 13,213.98 13,196.90
5/31/2010 12,154.04 12,143.13
6/30/2010 11,518.63 11,507.46
7/31/2010 12,326.21 12,313.71
8/31/2010 11,773.66 11,757.82
9/30/2010 12,820.46 12,807.13
10/31/2010 13,304.79 13,294.43
11/30/2010 13,304.79 13,296.13
12/31/2010 14,194.10 14,184.73
1/31/2011 14,538.20 14,520.92
2/28/2011 15,025.67 15,018.39
3/31/2011 15,043.10 15,024.36
4/30/2011 15,474.54 15,469.30
5/31/2011 15,301.97 15,294.21
6/30/2011 15,042.48 15,039.27
7/31/2011 14,739.03 14,733.46
8/31/2011 13,944.28 13,933.12
9/30/2011 12,957.05 12,953.65
10/31/2011 14,380.58 14,369.39
ONE FIVE TEN
AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS
--------------------------- ---- ----- -----
8.09% 0.34% 3.70%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
The S&P data are provided by Standard & Poor's Index Services Group.
187
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011
The one-year period ending October 31, 2011, was characterized by levels of
volatility in non-US developed markets not seen since 2008-09.
While broad market returns were positive through April 2011, stocks dropped
for five out of the next six months to end the period in negative territory,
with stocks represented by the MSCI World ex USA Index (net dividends)
returning -3.70% overall. The slide in August and September, accompanied by
poor US economic data and European debt worries among other factors, produced
some of the lowest monthly returns since 2008. October's rally produced some of
the best monthly returns since early 2009. As measured by the MSCI indices
below, growth stocks outperformed their value counterparts, while small cap
stocks outperformed large caps.
12 MONTHS ENDED OCTOBER 31, 2011
U.S. DOLLAR
RETURN
-----------
MSCI World ex USA Index........................... -3.70%
MSCI World ex USA Small Cap Index................. -2.01%
MSCI World ex USA Value Index..................... -4.74%
MSCI World ex USA Growth Index.................... -2.73%
--------
The US dollar (USD) generally depreciated against other major developed
markets currencies during the period. While the USD's value remained relatively
constant against the euro and British pound, it fell significantly against the
Swiss franc and Australian dollar, and to a lesser extent, against the Japanese
yen.
12 MONTHS ENDED OCTOBER 31, 2011
LOCAL
TEN LARGEST FOREIGN DEVELOPED MARKETS CURRENCY U.S. DOLLAR
BY MARKET CAP RETURN RETURN
------------------------------------- -------- -----------
United Kingdom.................................... 1.14% 2.10%
Japan............................................. -5.45% -2.33%
Canada............................................ -2.57% -0.18%
France............................................ -11.83% -11.52%
Australia......................................... -4.39% 3.49%
Switzerland....................................... -9.66% 2.03%
Germany........................................... -7.39% -7.07%
Spain............................................. -15.21% -14.91%
Sweden............................................ -7.75% -4.35%
Hong Kong......................................... -8.67% -8.82%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2011, all rights reserved.
Losses in emerging markets were higher on average than in developed markets,
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2011, returns in USD were -7.72% for
the MSCI Emerging Markets Index (net dividends) versus -3.70% for the MSCI
World ex USA Index (net dividends). As measured by the MSCI indices, emerging
markets growth stocks underperformed their value counterparts, while emerging
markets small cap stocks underperformed large caps.
188
12 MONTHS ENDED OCTOBER 31, 2011
U.S. DOLLAR
RETURN
-----------
MSCI Emerging Markets Index....................... -7.72%
MSCI Emerging Markets Small Cap Index............. -16.70%
MSCI Emerging Markets Value Index................. -6.99%
MSCI Emerging Markets Growth Index................ -8.45%
--------
The US dollar (USD) generally appreciated against most major emerging
markets currencies during the period.
12 MONTHS ENDED OCTOBER 31, 2011
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN
------------------------------------------ -------- -----------
China............................................. -15.62% -15.76%
Brazil............................................ -12.71% -12.57%
South Korea....................................... 4.63% 6.24%
Taiwan............................................ -5.30% -3.07%
South Africa...................................... 10.15% -2.95%
India............................................. -12.30% -19.99%
Russia............................................ -1.24% 0.22%
Mexico............................................ 5.26% -1.38%
Malaysia.......................................... 2.08% 3.53%
Indonesia......................................... 3.92% 4.92%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2011, all rights reserved.
MASTER-FEEDER STRUCTURE
The Portfolio described below, called a "Feeder Fund," does not buy
individual securities directly; instead, the Portfolio invests in a
corresponding fund called a "Master Fund." The Master Fund, in turn, purchases
stocks and/or other securities.
INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW
DFA INTERNATIONAL VALUE PORTFOLIO
The DFA International Value Portfolio seeks to capture the returns of
international large company value stocks by purchasing shares of The DFA
International Value Series, a Master Fund that invests in such stocks. The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure to large cap value stocks, and does not attempt to track a
specific equity index. As of October 31, 2011, the Master Fund held
approximately 530 securities in 23 developed countries. In general, the Master
Fund was mostly invested in equities throughout the year. The average cash
level for the period was less than 1% of the Master Fund's assets.
For the 12 months ending October 31, 2011, total returns were -8.53% for the
Portfolio's Class R2 shares, -8.26% for the Portfolio's Institutional Class
shares, and -3.70% for the MSCI World ex USA Index (net dividends). The MSCI
Standard benchmarks indicate that on the whole, growth stocks outperformed
value stocks in international developed markets during the period. In
particular, there was an extremely wide performance difference between deep
value stocks and extreme growth stocks. The Master Fund's larger allocation to
deep value stocks, which underperformed, and significantly lower allocation to
extreme growth stocks, which outperformed, was the primary contributor to the
Portfolio's relative underperformance as compared to the Index. An additional
component of the Portfolio's relative performance was due to differences in
valuation timing and methodology between
189
the Master Fund and the Index. The Master Fund prices foreign exchange rates at
the closing of the U.S. markets while the Index uses rates at 4 pm London time.
The Master Fund utilizes fair value pricing to price portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011
The year ending October 31, 2011, was a relatively volatile period for U.S.
equities. Broad market returns were positive with the Russell 3000(R) Index
returning 7.90%. Small cap stocks, represented by the Russell 2000(R) Index,
underperformed large cap stocks, represented by the Russell 1000(R) Index.
Small cap value stocks, represented by the Russell 2000(R) Value Index,
underperformed small cap growth stocks, represented by the Russell 2000(R)
Growth Index. Large cap value stocks, represented by the Russell 1000(R) Value
Index, underperformed large cap growth stocks, represented by the Russell
1000(R) Growth Index.
The broad market, as represented by the Russell 3000(R) Index, had a
positive return in each of the six months through April 2011. Monthly
performance turned negative in May and continued through the third quarter,
although total returns remained positive through August largely due to gains
over the first half of the period. Sharp declines through September brought
calendar year to date total returns across all market segments into negative
territory. Double-digit gains in October helped all the market segments post
positive total returns for the twelve-month period.
Among the most important factors explaining differences in the behavior of
diversified equity portfolios are the company size and company value/growth
characteristics of the portfolio's holdings. Size is measured by market
capitalization and value classification is a function of stock price relative
to one or more fundamental characteristics. Compared to other stocks, value
stocks often have lower market value relative to their earnings, dividends, and
book value.
Dividing the market into micro cap, small cap, and large cap segments shows
how these segments affected the broad market return.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011
Russell 3000(R) Index............................. 7.90%
Russell Microcap(R) Index (micro cap stocks)...... 2.11%
Russell 2000(R) Index (small cap stocks).......... 6.71%
Russell 1000(R) Index (large cap stocks).......... 8.01%
Further dividing small cap and large cap into value and growth segments
shows additional detail in the performance differences over the period.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011
Russell 2000(R) Value Index (small cap value
stocks)......................................... 3.54%
Russell 2000(R) Growth Index (small cap growth
stocks)......................................... 9.84%
Russell 1000(R) Value Index (large cap value
stocks)......................................... 6.16%
Russell 1000(R) Growth Index (large cap growth
stocks)......................................... 9.92%
--------
Source: Russell data copyright (C) Russell Investment Group 1995-2011, all
rights reserved.
Differences in returns for the various Dimensional U.S. equity funds over
the 12 months ended October 31, 2011 were attributable primarily to differences
in value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios, except for the DFA Real Estate
Securities Portfolio and the U.S. Large Company Portfolio. Moreover, the
portfolio construction approach used by Dimensional Fund Advisors LP (the
"Advisor" or "Dimensional") generally resulted in portfolios with greater
emphasis on value or small company characteristics relative to widely used
index benchmarks.
190
DOMESTIC EQUITY PORTFOLIO PERFORMANCE OVERVIEW
U.S. LARGE COMPANY PORTFOLIO
The U.S. Large Company Portfolio seeks to approximate the returns of the S&P
500(R) Index by investing in S&P 500(R) Index securities in approximately the
same proportions as they are represented in the Index. In addition to
individual stocks, the Portfolio utilizes futures to gain market exposure for
uninvested cash. The Portfolio was mostly invested in equities or equivalents
throughout the year. The average unequitized cash level for the period was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2011, the total return was 8.09% for the
Portfolio and 8.09% for the S&P(R) 500 Index. The Portfolio's return is net of
fees and expenses.
191
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 OCTOBER 31, 2011
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO**
Actual Fund Return
Class R2 Shares..................... $1,000.00 $ 800.06 0.71% $3.22
Institutional Class Shares.......... $1,000.00 $ 801.65 0.45% $2.04
Hypothetical 5% Annual Return
Class R2 Shares..................... $1,000.00 $1,021.63 0.71% $3.62
Institutional Class Shares.......... $1,000.00 $1,022.94 0.45% $2.29
192
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE COMPANY PORTFOLIO
Actual Fund Return $1,000.00 $ 929.30 0.10% $0.49
Hypothetical 5% Annual Return $1,000.00 $1,024.70 0.10% $0.51
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
** The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
193
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 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....................... 10.7%
Consumer Staples............................. 11.1%
Energy....................................... 12.3%
Financials................................... 12.2%
Health Care.................................. 11.5%
Industrials.................................. 10.6%
Information Technology....................... 19.6%
Materials.................................... 3.6%
Real Estate Investment Trusts................ 1.7%
Telecommunication Services................... 3.0%
Utilities.................................... 3.7%
-----
100.0%
194
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2011
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company............................ $5,294,550,274
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$4,935,484,114).......................................... $5,294,550,274
==============
See the summary of inputs used to value the Portfolio's Master Fund's
investments as of October 31, 2011 located within this report (See Security
Valuation Note):
See accompanying Notes to Financial Statements.
195
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (87.4%)
Consumer Discretionary -- (9.3%)
*Amazon.com, Inc.................. 118,016 $ 25,197,596 0.7%
Comcast Corp. Class A............ 893,415 20,950,582 0.5%
#Home Depot, Inc.................. 508,367 18,199,539 0.5%
McDonald's Corp.................. 335,301 31,132,698 0.8%
#*Walt Disney Co. (The)............ 603,169 21,038,535 0.6%
Other Securities................. 278,986,770 7.4%
------------ ----
Total Consumer Discretionary........ 395,505,720 10.5%
------------ ----
Consumer Staples -- (9.7%)
Altria Group, Inc................ 673,116 18,544,346 0.5%
Coca-Cola Co. (The).............. 746,192 50,979,837 1.3%
CVS Caremark Corp................ 437,050 15,864,915 0.4%
Kraft Foods, Inc. Class A........ 573,955 20,191,737 0.5%
PepsiCo, Inc..................... 514,319 32,376,381 0.9%
Philip Morris International, Inc. 570,832 39,884,032 1.1%
Procter & Gamble Co. (The)....... 892,978 57,141,662 1.5%
Wal-Mart Stores, Inc............. 571,250 32,401,300 0.9%
Other Securities................. 142,732,628 3.8%
------------ ----
Total Consumer Staples.............. 410,116,838 10.9%
------------ ----
Energy -- (10.7%)
Chevron Corp..................... 650,935 68,380,722 1.8%
ConocoPhillips................... 446,209 31,078,457 0.8%
Exxon Mobil Corp................. 1,580,105 123,390,399 3.3%
Occidental Petroleum Corp........ 264,136 24,548,800 0.6%
Schlumberger, Ltd................ 438,521 32,218,138 0.9%
Other Securities................. 175,759,383 4.7%
------------ ----
Total Energy........................ 455,375,899 12.1%
------------ ----
Financials -- (10.7%)
American Express Co.............. 337,518 17,085,161 0.4%
Bank of America Corp............. 3,293,475 22,494,434 0.6%
#*Berkshire Hathaway, Inc.......... 571,520 44,498,547 1.2%
Citigroup, Inc................... 948,284 29,956,292 0.8%
Goldman Sachs Group, Inc. (The).. 164,374 18,007,172 0.5%
JPMorgan Chase & Co.............. 1,267,125 44,045,265 1.2%
#U.S. Bancorp..................... 624,267 15,974,993 0.4%
Wells Fargo & Co................. 1,715,859 44,457,907 1.2%
Other Securities................. 217,596,517 5.8%
------------ ----
Total Financials.................... 454,116,288 12.1%
------------ ----
Health Care -- (10.1%)
#Abbott Laboratories.............. 505,860 27,250,678 0.7%
Amgen, Inc....................... 300,313 17,198,926 0.5%
#Bristol-Myers Squibb Co.......... 554,312 17,510,716 0.5%
Johnson & Johnson................ 890,568 57,343,674 1.5%
Merck & Co., Inc................. 1,001,207 34,541,642 0.9%
Pfizer, Inc...................... 2,535,560 48,834,886 1.3%
#UnitedHealth Group, Inc.......... 349,732 16,783,639 0.4%
Other Securities................. 207,608,489 5.5%
------------ ----
Total Health Care................... 427,072,650 11.3%
------------ ----
Industrials -- (9.2%)
3M Co............................ 230,587 18,220,985 0.5%
Caterpillar, Inc................. 209,960 19,832,822 0.5%
General Electric Co.............. 3,444,931 57,564,797 1.5%
196
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
United Parcel Service, Inc.............................. 318,739 $ 22,388,227 0.6%
United Technologies Corp................................ 295,316 23,028,742 0.6%
Other Securities........................................ 250,740,230 6.7%
-------------- ----
Total Industrials.......................................... 391,775,803 10.4%
-------------- ----
Information Technology -- (17.1%)
*Apple, Inc.............................................. 301,288 121,955,357 3.2%
Cisco Sytems, Inc....................................... 1,787,467 33,121,764 0.9%
#*EMC Corp................................................ 671,072 16,447,975 0.4%
*Google, Inc............................................. 81,847 48,505,806 1.3%
Hewlett-Packard Co...................................... 674,065 17,936,870 0.5%
Intel Corp.............................................. 1,706,487 41,877,191 1.1%
International Business Machines Corp.................... 388,120 71,658,596 1.9%
Microsoft Corp.......................................... 2,423,288 64,532,159 1.7%
Oracle Corp............................................. 1,284,041 42,078,024 1.1%
QUALCOMM, Inc........................................... 545,886 28,167,718 0.8%
Other Securities........................................ 238,955,466 6.4%
-------------- ----
Total Information Technology............................... 725,236,926 19.3%
-------------- ----
Materials -- (3.2%)
Other Securities........................................ 135,360,651 3.6%
-------------- ----
Real Estate Investment Trusts -- (1.5%)
Other Securities........................................ 62,132,070 1.6%
-------------- ----
Telecommunication Services -- (2.6%)
AT&T, Inc............................................... 1,925,850 56,446,663 1.5%
Verizon Communications, Inc............................. 919,890 34,017,532 0.9%
Other Securities........................................ 21,502,747 0.6%
-------------- ----
Total Telecommunication Services........................... 111,966,942 3.0%
-------------- ----
Utilities -- (3.3%)
Other Securities........................................ 137,456,106 3.7%
-------------- ----
TOTAL COMMON STOCKS........................................ 3,706,115,893 98.5%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (1.2%)
BlackRock Liquidity Funds TempCash Portfolio -
Institutional Shares.................................. 50,002,804 50,002,804 1.3%
-------------- ----
197
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------------ -------------- ---------------
(000)
SECURITIES LENDING COLLATERAL -- (11.4%)
(S)@DFA Short Term Investment Fund...... 482,655,415 $ 482,655,415 12.9%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.12%, 11/01/11
(Collateralized by $745,251 FHLMC,
rates ranging from 4.500% to
6.000%, maturities ranging from
07/01/30 to 10/01/36 & FNMA, rates
ranging from 4.000% to 5.000%,
maturities ranging from 06/01/26
to 06/01/41, valued at $747,930)
to be repurchased at $723,547...... $ 724 723,545 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL..... 483,378,960 12.9%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,089,181,381)................. $4,239,497,657 112.7%
============== =====
Summary of inputs used to value the Portfolio's investments as of October 31,
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... $ 395,505,720 -- -- $ 395,505,720
Consumer Staples......... 410,116,838 -- -- 410,116,838
Energy................... 455,375,899 -- -- 455,375,899
Financials............... 454,116,288 -- -- 454,116,288
Health Care.............. 427,072,650 -- -- 427,072,650
Industrials.............. 391,775,803 -- -- 391,775,803
Information Technology... 725,236,926 -- -- 725,236,926
Materials................ 135,360,651 -- -- 135,360,651
Real Estate Investment
Trusts................. 62,132,070 -- -- 62,132,070
Telecommunication
Services............... 111,966,942 -- -- 111,966,942
Utilities................ 137,456,106 -- -- 137,456,106
Temporary Cash Investments.. 50,002,804 -- -- 50,002,804
Securities Lending
Collateral................ -- $483,378,960 -- 483,378,960
Futures Contracts**......... 3,744,105 -- -- 3,744,105
-------------- ------------ -- --------------
TOTAL....................... $3,759,862,802 $483,378,960 -- $4,243,241,762
============== ============ == ==============
** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the
unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
198
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(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......................................... $ 5,294,550 --
Investments at Value (including $0 and $471,717
of securities on loan, respectively).......... -- $ 3,706,116
Temporary Cash Investments at Value & Cost...... -- 50,003
Collateral Received from Securities on Loan at
Value & Cost.................................. -- 724
Affiliated Collateral Received from Securities
on Loan at Value & Cost....................... -- 482,655
Cash............................................ -- 3,360
Receivables:
Dividends and Interest....................... -- 4,231
Securities Lending Income.................... -- 79
Fund Shares Sold............................. 17,886 2,769
Prepaid Expenses and Other Assets............... 50 62
-------------- ------------
Total Assets............................. 5,312,486 4,249,999
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............. -- 483,379
Affiliated Investment Company Purchased...... 16,059 --
Fund Shares Redeemed......................... 1,827 2,618
Due to Advisor............................... 853 236
Futures Margin Variation..................... -- 1,341
Accrued Expenses and Other Liabilities.......... 322 412
-------------- ------------
Total Liabilities........................ 19,061 487,986
-------------- ------------
NET ASSETS...................................... $ 5,293,425 $ 3,762,013
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of
$6,102 and $0 and shares outstanding of
385,441 and 0, respectively................... $ 15.83 N/A
============== ============
NUMBER OF SHARES AUTHORIZED..................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net
assets of $5,287,323 and $3,762,013 and
shares outstanding of 334,106,318 and
380,153,718, respectively..................... $ 15.83 $ 9.90
============== ============
NUMBER OF SHARES AUTHORIZED..................... 1,500,000,000 900,000,000
============== ============
Investment in Affiliated Investment Company at
Cost.......................................... $ 4,935,484 $ --
-------------- ------------
Investments at Cost............................. $ -- $ 2,555,800
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital................................. $ 5,893,047 $ 3,268,088
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)....................................... 22,345 10,511
Accumulated Net Realized Gain (Loss)............ (981,194) (670,646)
Net Unrealized Foreign Exchange Gain (Loss)..... 161 --
Net Unrealized Appreciation (Depreciation)...... 359,066 1,154,060
-------------- ------------
NET ASSETS...................................... $ 5,293,425 $ 3,762,013
============== ============
See accompanying Notes to Financial Statements.
199
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS)
DFA
INTERNATIONAL U.S. LARGE
VALUE COMPANY
PORTFOLIO* PORTFOLIO
------------- ----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$15,502 and $0, respectively)................... $ 194,514 $ 78,648
Interest.......................................... 23 28
Income from Securities Lending.................... 9,588 589
Expenses Allocated from Affiliated Investment
Company......................................... (12,868) --
--------- --------
Total Investment Income.................... 191,257 79,265
--------- --------
EXPENSES
Investment Advisory Services Fees................. -- 968
Administrative Services Fees...................... 11,024 1,936
Accounting & Transfer Agent Fees.................. 80 426
Shareholder Servicing Fees -- Class R2 Shares..... 15 --
S&P 500(R) Fees................................... -- 98
Custodian Fees.................................... -- 50
Filing Fees....................................... 173 70
Shareholders' Reports............................. 148 110
Directors'/Trustees' Fees & Expenses.............. 49 35
Professional Fees................................. 139 119
Other............................................. 47 37
--------- --------
Total Expenses............................. 11,675 3,849
--------- --------
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by Advisor
(Note C)........................................ -- 22
--------- --------
Net Expenses...................................... 11,675 3,871
--------- --------
NET INVESTMENT INCOME (LOSS)...................... 179,582 75,394
--------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold.................... 112,233 (44,142)
Futures....................................... -- 2,851
Foreign Currency Transactions................. 364 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................... (767,465) 251,680
Futures....................................... -- 2,298
Translation of Foreign Currency
Denominated Amounts......................... (353) --
--------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)........... (655,221) 212,687
--------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................... $(475,639) $288,081
========= ========
--------
* 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.
200
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL U.S. LARGE
VALUE PORTFOLIO COMPANY PORTFOLIO
---------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010
---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 179,582 $ 108,980 $ 75,394 $ 43,125
Capital Gain Distributions Received from
Investment..........................................
Securities............................................ -- -- -- 81
Net Realized Gain (Loss) on:
Investment Securities Sold........................ 112,233 255,538 (44,142) (88,214)
Futures........................................... -- -- 2,851 76
Foreign Currency Transactions..................... 364 (99) -- --
Change in Unrealized Appreciation
(Depreciation) of:................................
Investment Securities and Foreign Currency........ (767,465) 138,488 251,680 688,388
Futures........................................... -- -- 2,298 (3,735)
Translation of Foreign Currency
Denominated Amounts............................. (353) 342 -- --
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... (475,639) 503,249 288,081 639,721
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares................................... (172) (249) -- --
Institutional Class Shares........................ (172,488) (107,160) (74,515) (35,473)
---------- ---------- ---------- ----------
Total Distributions............................ (172,660) (107,409) (74,515) (35,473)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................................... 1,450,393 1,032,364 651,122 3,071,799
Shares Issued in Lieu of Cash Distributions........... 162,689 101,479 62,748 30,048
Shares Redeemed....................................... (834,167) (808,163) (878,396) (778,811)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions........................... 778,915 325,680 (164,526) 2,323,036
---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets........ 130,616 721,520 49,040 2,927,284
NET ASSETS
Beginning of Period................................... 5,162,809 4,441,289 3,712,973 785,689
---------- ---------- ---------- ----------
End of Period......................................... $5,293,425 $5,162,809 $3,762,013 $3,712,973
========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 82,666 62,742 65,475 350,368
Shares Issued in Lieu of Cash Distributions........... 9,157 6,675 6,398 3,492
Shares Redeemed....................................... (47,291) (49,142) (89,099) (52,726)
Shares Reduced by Reverse Stock Split (Note G)........ (2) (453) -- --
---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed.......................... 44,530 19,822 (17,226) 301,134
========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 22,345 $ 14,433 $ 10,511 $ 9,631
See accompanying Notes to Financial Statements.
201
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-
CLASS R2 SHARES+
---------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED PERIOD APRIL 30,
OCT. 31, OCT. 31, OCT. 31, 2008(a) TO
2011 2010 2009 OCT. 31, 2008
Net Asset Value, Beginning of Period.......................... $17.82 $17.13 $13.58 $ 26.31
------ ------ ------ -------
Income from Investment Operations
Net Investment Income (Loss) (A)........................... 0.53 0.37 0.42 0.66
Net Gains (Losses) on Securities (Realized and Unrealized). (2.00) 1.29 4.10 (11.73)
------ ------ ------ -------
Total from Investment Operations....................... (1.47) 1.66 4.52 (11.07)
------ ------ ------ -------
Less Distributions
Net Investment Income...................................... (0.52) (0.97) (0.97) (1.66)
Net Realized Gains......................................... -- -- -- --
------ ------ ------ -------
Total Distributions.................................... (0.52) (0.97) (0.97) (1.66)
------ ------ ------ -------
Net Asset Value, End of Period................................ $15.83 $17.82 $17.13 $ 13.58
====== ====== ====== =======
Total Return.................................................. (8.53)% 10.60% 34.86% (44.63)%(C)
------ ------ ------ -------
Net Assets, End of Period (thousands)......................... $6,102 $4,952 $3,443 $ 3,372
Ratio of Expenses to Average Net Assets (D)................... 0.71% 0.72% 0.74% 0.73%(B)(E)
Ratio of Net Investment Income to Average Net Assets.......... 2.97% 2.11% 2.96% 7.47%(B)(E)
DFA INTERNATIONAL VALUE PORTFOLIO-
INSTITUTIONAL CLASS SHARES
---------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
Net Asset Value, Beginning of Period.............. $ 17.81 $ 16.46 $ 12.54 $ 25.51 $ 22.71 $ 17.67
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net Investment Income (Loss) (A)............... 0.58 0.39 0.40 0.74 0.72 0.66
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (1.99) 1.34 3.92 (12.44) 3.09 5.37
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... (1.41) 1.73 4.32 (11.70) 3.81 6.03
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.......................... (0.57) (0.38) (0.40) (0.78) (0.63) (0.65)
Net Realized Gains............................. -- -- -- (0.49) (0.38) (0.34)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.57) (0.38) (0.40) (1.27) (1.01) (0.99)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.................... $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51 $ 22.71
========== ========== ========== ========== ========== ==========
Total Return...................................... (8.26)% 10.94% 35.11% (47.96)%(C) 17.09% 35.39%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $5,287,323 $5,157,857 $4,437,846 $3,350,073 $6,262,069 $4,456,059
Ratio of Expenses to Average Net Assets (D)....... 0.45% 0.45% 0.46% 0.44%(B) 0.44% 0.44%
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.26% 2.34% 3.00% 3.86%(B) 2.89% 3.25%
+ All per share amounts and net assets values prior to November 19, 2010 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.
202
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO
--------------------------------------------------------------------------------
YEAR YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30,
2011 2010 2009 OCT. 31, 2008 2007 2006
---------- ---------- -------- ------------- ---------- --------
Net Asset Value, Beginning of Period........ $ 9.34 $ 8.16 $ 7.62 $ 11.63 $ 11.00 $ 9.82
---------- ---------- -------- -------- ---------- --------
Income from Investment Operations
Net Investment Income (Loss) (A)......... 0.19 0.18 0.18 0.20 0.22 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.56 1.15 0.55 (3.99) 0.62 1.18
---------- ---------- -------- -------- ---------- --------
Total from Investment Operations..... 0.75 1.33 0.73 (3.79) 0.84 1.37
---------- ---------- -------- -------- ---------- --------
Less Distributions
Net Investment Income.................... (0.19) (0.15) (0.19) (0.22) (0.21) (0.19)
---------- ---------- -------- -------- ---------- --------
Total Distributions.................. (0.19) (0.15) (0.19) (0.22) (0.21) (0.19)
---------- ---------- -------- -------- ---------- --------
Net Asset Value, End of Period.............. $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63 $ 11.00
========== ========== ======== ======== ========== ========
Total Return................................ 8.09% 16.47% 10.07% (33.10)%(C) 7.71% 14.11%
---------- ---------- -------- -------- ---------- --------
Net Assets, End of Period (thousands)....... $3,762,013 $3,712,973 $785,689 $729,218 $1,002,142 $877,405
Ratio of Expenses to Average Net Assets..... 0.10% 0.10%** 0.10%(D) 0.10%(B)(D) 0.10%(D) 0.10%(D)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees)................... 0.10% 0.11%** 0.13%(D) 0.11%(B)(D) 0.11%(D) 0.11%(D)
Ratio of Net Investment Income to
Average Net Assets........................ 1.95% 1.99% 2.53% 2.10%(B) 1.90% 1.90%
Portfolio Turnover Rate..................... 4% 1%* N/A N/A N/A N/A
* For the period September 10, 2010 through October 31, 2010. Effective
September 10, 2010, the Portfolio directly invests in securities rather than
through The U.S. Large Company Series.
** Represents the combined ratios for the portfolio and for the period
November 1, 2009 through September 9, 2010, its respective pro-rata share of
The U.S. Large Company Series.
See Page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
203
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, of which DFA International Value Portfolio and U.S. Large Company
Portfolio (the "Portfolios") are presented in this section of the report. The
remaining portfolios are presented in separate reports.
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
Series of The DFA Investment Trust Company. At October 31, 2011, DFA
International Value Portfolio owned 76% 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 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.
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 Company
U.S. Large Company Portfolio 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
204
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 Institutional Index
Portfolio $2,731,987 $315,984 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 Investement 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.
205
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 year ended October 31, 2011.
2. Deferred Compensation Plan: Each eligible Director of the Fund may elect
participation in The Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: 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 October 31, 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
206
directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors/Trustees, generally based on average net
assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of the Feeder Fund. Income, gains and losses, and common expenses
of the Feeder Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolios, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Portfolios and the Series. The Advisor
receives no additional compensation for the investment advisory services it
provides to the Feeder Fund. For the year ended October 31, 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 year ended October 31, 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 year ended October 31, 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% $22 $598
(1) The Advisor has contractually agreed to assume the Portfolio's direct
expenses (excluding administration fees and custodian fees) to the extent
necessary to reduce the ordinary operating 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
207
expenses previously assumed to the extent that such recovery will not cause the
Portfolio's annualized expenses to exceed the applicable percentage of average
net assets on an annualized basis, as listed above.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2011, the total
related amounts paid by the Fund to the CCO were $32 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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. $126
U.S. Large Company Portfolio...... 199
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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...................... $142,632
Sales.......................... 310,102
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, 2011, primarily attributable
to net foreign currency gains/losses, realized gains on securities considered
to be "passive foreign investment companies", 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 -- $990 $ (990)
U.S. Large Company Portfolio..... $(11,723) 1 11,722
208
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2010 and October 31, 2011 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
DFA International Value Portfolio.
2010.............................. $107,409 -- $107,409
2011.............................. 172,660 -- 172,660
U.S. Large Company Portfolio......
2010.............................. 35,473 -- 35,473
2011.............................. 74,515 -- 74,515
At October 31, 2011, 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..... $24,411 -- $(981,047) $(956,636)
U.S. Large Company
Portfolio........... 10,710 -- (416,033) (405,323)
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, 2011, 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,
-------------------------------------------------------------- --------
2012 2013 2014 2015 2016 2017 2018 2019 TOTAL
------ ------- ------ ------- -------- ------- ------- ------- --------
DFA International Value Portfolio. -- -- -- -- $981,047 -- -- -- $981,047
U.S. Large Company Portfolio...... $5,486 $10,569 $1,944 $86,015 100,024 $87,500 $80,822 $43,673 416,033
For the year ended October 31, 2011, DFA International Value Portfolio had
utilized capital loss carryforwards to offset realized capital gains for
federal income tax purposes of $111,607 (in thousands).
For the year ended October 31, 2011, U.S. Large Company Portfolio had
capital loss carryforward expirations of $13,997 (in thousands).
At October 31, 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.............. $4,937,524 $ 797,758 $(440,732) $357,026
U.S. Large Company
Portfolio.............. 3,340,050 1,412,052 (512,604) 899,448
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and on investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no provision for income tax is required in
the Portfolios' financial statements. The Portfolios are not aware of any tax
positions for which it is more likely than not that the total
209
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remains subject to examination by the Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (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):
YEAR YEAR
ENDED ENDED
OCT. 31, 2011 OCT. 31, 2010
------------------- -------------------
AMOUNT SHARES AMOUNT SHARES
---------- ------- ---------- -------
DFA INTERNATIONAL VALUE PORTFOLIO
Class R2 Shares
Shares Issued.................... $ 4,366 246 $ 2,443 375
Shares Issued in Lieu of Cash
Distributions.................. 172 9 249 43
Shares Redeemed.................. (2,617) (146) (1,361) (215)
Shares Reduced by Reverse Stock
Split.......................... -- (2) -- (453)
---------- ------- ---------- -------
Net Increase (Decrease) -- Class R2
Shares $ 1,921 107 $ 1,331 (250)
========== ======= ========== =======
Institutional Class Shares
Shares Issued.................... $1,446,027 82,420 $1,029,921 62,367
Shares Issued in Lieu of Cash
Distributions.................. 162,517 9,148 101,230 6,632
Shares Redeemed.................. (831,550) (47,145) (806,802) (48,927)
---------- ------- ---------- -------
Net Increase (Decrease) --
Institutional Class Shares........ $ 776,994 44,423 $ 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
210
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.
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 U.S. Large Company 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.
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 October 31, 2011, U.S. Large Company Portfolio had outstanding futures
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 12/16/2011 173 $54,032 $3,744 $3,360
* During the year ended October 31, 2011, U.S. Large Company Portfolio's
average notional contract amount of outstanding futures contracts was $51,173
(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
211
Statements of Operations and the realized and change in unrealized gain or loss
over the reporting period. The following is a summary of U.S. Large Company
Portfolio's derivative instrument holdings for the year ended October 31, 2011.
The following is a summary of U.S. Large Company Portfolio's location and
value of derivative instrument holdings on U.S. Large Company Portfolio's
Statements of Assets and Liabilities categorized by primary risk exposure as of
October 31, 2011 (amounts in thousands):
ASSET DERIVATIVES VALUE
-----------------------
LOCATION ON THE STATEMENTS
OF ASSETS AND EQUITY
LIABILITIES CONTRACTS
-------------------------- -----------------------
Payables: Futures
U.S. Large Company Portfolio. Margin Variation $3,744*
* 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 the Portfolio's derivative instrument holdings through the year
ended October 31, 2011:
LOCATION OF GAIN (LOSS)
ON DERIVATIVES
DERIVATIVE TYPE 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 year ended
October 31, 2011 (amounts in thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
RECOGNIZED IN INCOME
--------------------------------
EQUITY
CONTRACTS
--------------------------------
U.S. Large Company Portfolio. $2,851
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES RECOGNIZED IN INCOME
--------------------------------
EQUITY
CONTRACTS
--------------------------------
U.S. Large Company Portfolio. $2,298
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $250 million unsecured discretionary line of credit effective June 22,
2011 with 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
212
scheduled to expire on June 22, 2012. There were no borrowings by the
Portfolios under this line of credit during the year ended October 31, 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. The Fund, together with other Dimensional-advised portfolios,
expects to enter into a new line of credit with substantially the same terms as
its existing line of credit prior to its expiration.
For the year ended October 31, 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... 0.87% $10,549 4 $1 $13,712
* Number of Days Outstanding represents the total of single or consecutive days
during the year 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 October 31, 2011.
J. SECURITIES LENDING:
As of October 31, 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.
213
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.
Under the recently enacted Regulated Investment Company Modernization Act of
2010, Funds will be permitted to carry forward capital losses incurred in
taxable years beginning after December 22, 2010 for an unlimited period.
However, any losses incurred during those future taxable years will be required
to be utilized prior to the losses incurred in pre-enactment taxable years. As
a result of this ordering rule, pre-enactment capital loss carryforwards may be
more likely to expire unused. Additionally, post-enactment capital losses that
are carried forward will retain their character as either short-term or
long-term capital losses rather than being considered all short-term as under
previous law.
N. OTHER:
At October 31, 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 65%
DFA International Value Portfolio -- Institutional
Class Shares...................................... 2 45%
U.S. Large Company Portfolio........................ 2 67%
214
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.
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.
215
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DIMENSIONAL INVESTMENT GROUP INC.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments/ summary schedules of portfolio holdings
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of DFA International Value Portfolio and U.S. Large Company Portfolio
(constituting portfolios within Dimensional Investment Group Inc., hereafter
referred to as the "Portfolios") at October 31, 2011, the results of each of
their operations for the year then ended, the changes in each of their net
assets and the financial highlights for each of the periods indicated, in
conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the
Portfolios' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at October 31, 2011 by correspondence with the custodian,
brokers, and the transfer agent of the investee fund, provide a reasonable
basis for our opinion
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2011
216
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
U.S. LARGE RUSSELL
CAP VALUE 1000 VALUE
SERIES INDEX
---------- ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 10,943.95 10,581.00
12/31/2001 11,201.62 10,830.71
1/31/2002 11,323.13 10,747.32
2/28/2002 11,467.42 10,764.51
3/31/2002 11,944.31 11,273.67
4/30/2002 11,837.80 10,886.99
5/31/2002 11,913.88 10,941.42
6/30/2002 11,191.23 10,313.38
7/31/2002 9,946.91 9,354.24
8/31/2002 10,107.22 9,424.39
9/30/2002 8,987.27 8,376.40
10/31/2002 9,339.71 8,997.09
11/30/2002 9,998.25 9,563.91
12/31/2002 9,548.86 9,148.84
1/31/2003 9,325.36 8,927.43
2/28/2003 9,055.62 8,689.07
3/31/2003 9,012.87 8,703.84
4/30/2003 9,847.68 9,469.78
5/31/2003 10,504.71 10,081.53
6/30/2003 10,617.26 10,207.55
7/31/2003 10,888.70 10,359.64
8/31/2003 11,276.47 10,521.25
9/30/2003 11,028.61 10,418.14
10/31/2003 11,768.00 11,055.73
11/30/2003 12,031.56 11,206.09
12/31/2003 12,858.14 11,896.39
1/31/2004 13,077.27 12,105.76
2/29/2004 13,413.79 12,364.83
3/31/2004 13,359.72 12,256.02
4/30/2004 13,140.19 11,956.97
5/31/2004 13,210.75 12,078.93
6/30/2004 13,610.20 12,363.99
7/31/2004 13,169.63 12,189.66
8/31/2004 13,169.63 12,362.75
9/30/2004 13,573.99 12,554.38
10/31/2004 13,739.71 12,762.78
11/30/2004 14,639.39 13,408.58
12/31/2004 15,226.33 13,857.76
1/31/2005 14,845.27 13,611.10
2/28/2005 15,297.78 14,061.62
3/31/2005 15,256.09 13,868.98
4/30/2005 14,739.34 13,620.72
5/31/2005 15,367.39 13,948.73
6/30/2005 15,684.56 14,101.26
7/31/2005 16,466.00 14,509.24
8/31/2005 16,330.44 14,446.19
9/30/2005 16,581.97 14,649.02
10/31/2005 16,142.02 14,276.97
11/30/2005 16,786.57 14,743.83
12/31/2005 16,809.40 14,831.90
1/31/2006 17,610.24 15,407.84
2/28/2006 17,551.85 15,501.93
3/31/2006 17,863.99 15,711.91
4/30/2006 18,365.56 16,111.25
5/31/2006 18,031.18 15,704.27
6/30/2006 18,184.95 15,804.62
7/31/2006 17,924.69 16,188.89
8/31/2006 18,218.54 16,459.82
9/30/2006 18,723.40 16,787.77
10/31/2006 19,464.92 17,337.39
11/30/2006 19,835.14 17,733.15
12/31/2006 20,233.10 18,131.24
1/31/2007 20,823.45 18,363.12
2/28/2007 20,510.39 18,076.84
3/31/2007 20,653.25 18,356.32
4/30/2007 21,531.73 19,034.63
5/31/2007 22,419.17 19,721.20
6/30/2007 22,058.59 19,260.39
7/31/2007 20,691.73 18,369.72
8/31/2007 20,296.06 18,575.56
9/30/2007 20,825.43 19,213.59
10/31/2007 20,942.73 19,215.71
11/30/2007 19,772.61 18,276.56
12/31/2007 19,706.79 18,099.83
1/31/2008 18,953.37 17,374.87
2/29/2008 18,372.43 16,646.90
3/31/2008 18,200.96 16,522.05
4/30/2008 19,348.20 17,327.43
5/31/2008 19,812.56 17,299.93
6/30/2008 17,640.96 15,643.96
7/31/2008 17,448.91 15,587.48
8/31/2008 17,787.28 15,852.47
9/30/2008 16,189.34 14,687.77
10/31/2008 12,549.67 12,145.13
11/30/2008 11,318.77 11,274.22
12/31/2008 11,687.03 11,430.71
1/31/2009 10,299.49 10,116.29
2/28/2009 8,856.07 8,764.65
3/31/2009 9,731.44 9,514.06
4/30/2009 11,305.23 10,533.88
5/31/2009 12,171.28 11,185.26
6/30/2009 12,022.28 11,102.66
7/31/2009 13,167.70 12,011.43
8/31/2009 14,061.69 12,639.69
9/30/2009 14,676.31 13,128.03
10/31/2009 14,043.07 12,726.25
11/30/2009 14,834.62 13,443.54
12/31/2009 15,244.36 13,681.45
1/31/2010 14,890.49 13,296.67
2/28/2010 15,533.05 13,716.38
3/31/2010 16,743.66 14,609.32
4/30/2010 17,274.46 14,987.35
5/31/2010 15,793.79 13,755.45
6/30/2010 14,601.81 12,981.10
7/31/2010 15,747.23 13,859.89
8/31/2010 14,797.37 13,266.83
9/30/2010 16,240.79 14,296.12
10/31/2010 16,846.09 14,725.09
11/30/2010 16,715.72 14,647.16
12/31/2010 18,345.39 15,802.89
1/31/2011 18,932.07 16,160.37
2/28/2011 19,956.43 16,756.44
3/31/2011 20,049.55 16,822.99
4/30/2011 20,561.73 17,270.96
5/31/2011 20,263.74 17,088.49
6/30/2011 19,909.87 16,738.11
7/31/2011 18,997.25 16,182.92
8/31/2011 17,395.52 15,173.01
9/30/2011 15,635.48 14,026.33
10/31/2011 17,805.27 15,632.24
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---- ----- -----
5.69% -1.77% 5.94%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2011, all rights
reserved.
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
MSCI
DFA WORLD EX
INTERNATIONAL USA INDEX
VALUE SERIES (NET DIV.)
------------- ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 10,366.45 10,393.05
12/31/2001 10,409.11 10,459.69
1/31/2002 10,183.27 9,927.67
2/28/2002 10,296.19 9,988.19
3/31/2002 10,942.91 10,519.13
4/30/2002 11,312.46 10,581.25
5/31/2002 11,692.28 10,719.90
6/30/2002 11,364.25 10,283.85
7/31/2002 10,201.88 9,261.52
8/31/2002 10,191.50 9,247.14
9/30/2002 8,980.01 8,266.41
10/31/2002 9,241.06 8,700.64
11/30/2002 9,793.32 9,101.20
12/31/2002 9,544.58 8,807.06
1/31/2003 9,229.23 8,471.49
2/28/2003 9,040.02 8,304.50
3/31/2003 8,825.93 8,144.45
4/30/2003 9,794.89 8,926.06
5/31/2003 10,532.14 9,479.67
6/30/2003 10,871.88 9,709.96
7/31/2003 11,363.15 9,932.72
8/31/2003 11,662.18 10,188.84
9/30/2003 12,108.49 10,494.52
10/31/2003 13,063.02 11,151.70
11/30/2003 13,342.64 11,404.48
12/31/2003 14,343.90 12,278.97
1/31/2004 14,711.14 12,449.94
2/29/2004 15,153.99 12,736.28
3/31/2004 15,390.55 12,800.04
4/30/2004 14,925.81 12,464.99
5/31/2004 15,077.12 12,523.26
6/30/2004 15,699.97 12,812.46
7/31/2004 15,120.91 12,421.74
8/31/2004 15,317.57 12,473.38
9/30/2004 15,807.56 12,836.97
10/31/2004 16,412.16 13,298.30
11/30/2004 17,632.35 14,182.70
12/31/2004 18,510.44 14,781.87
1/31/2005 18,326.26 14,490.86
2/28/2005 19,051.48 15,135.50
3/31/2005 18,581.17 14,791.94
4/30/2005 18,016.70 14,414.77
5/31/2005 18,039.74 14,441.06
6/30/2005 18,328.87 14,677.11
7/31/2005 19,146.60 15,151.11
8/31/2005 19,777.42 15,569.39
9/30/2005 20,333.48 16,279.93
10/31/2005 20,028.07 15,753.88
11/30/2005 20,384.62 16,171.07
12/31/2005 21,382.98 16,920.86
1/31/2006 22,843.40 17,991.10
2/28/2006 23,062.46 17,930.68
3/31/2006 24,036.07 18,499.33
4/30/2006 25,253.09 19,383.92
5/31/2006 24,230.80 18,647.48
6/30/2006 24,078.31 18,623.47
7/31/2006 24,449.12 18,797.96
8/31/2006 25,289.64 19,332.22
9/30/2006 25,639.80 19,316.65
10/31/2006 26,778.52 20,080.04
11/30/2006 27,668.30 20,678.14
12/31/2006 28,747.31 21,271.04
1/31/2007 29,289.47 21,400.80
2/28/2007 29,263.65 21,572.00
3/31/2007 30,209.59 22,124.75
4/30/2007 31,734.28 23,131.37
5/31/2007 32,819.65 23,645.05
6/30/2007 32,579.84 23,668.78
7/31/2007 31,673.75 23,341.60
8/31/2007 31,319.19 23,003.73
9/30/2007 32,954.25 24,310.66
10/31/2007 34,552.43 25,367.46
11/30/2007 32,459.31 24,375.45
12/31/2007 31,760.16 23,917.24
1/31/2008 29,187.33 21,760.83
2/29/2008 28,815.70 22,155.18
3/31/2008 29,161.07 21,838.92
4/30/2008 30,463.80 23,052.85
5/31/2008 30,478.12 23,402.67
6/30/2008 27,464.21 21,582.81
7/31/2008 26,686.64 20,814.76
8/31/2008 25,571.64 20,009.79
9/30/2008 22,584.98 17,120.81
10/31/2008 16,921.43 13,559.35
11/30/2008 15,883.30 12,824.03
12/31/2008 17,084.56 13,500.05
1/31/2009 14,726.53 12,240.40
2/28/2009 12,917.23 11,001.28
3/31/2009 14,326.12 11,726.22
4/30/2009 16,965.92 13,238.41
5/31/2009 19,487.08 14,912.63
6/30/2009 19,190.47 14,758.20
7/31/2009 21,474.34 16,143.96
8/31/2009 22,705.26 16,917.67
9/30/2009 23,862.03 17,615.66
10/31/2009 22,912.89 17,332.88
11/30/2009 23,595.08 17,761.74
12/31/2009 23,862.03 18,044.88
1/31/2010 22,482.81 17,199.03
2/28/2010 22,571.79 17,181.80
3/31/2010 24,351.43 18,287.85
4/30/2010 23,936.18 18,015.17
5/31/2010 21,133.24 16,027.20
6/30/2010 20,762.49 15,795.35
7/31/2010 23,357.80 17,255.24
8/31/2010 22,215.86 16,739.48
9/30/2010 24,603.55 18,345.25
10/31/2010 25,463.71 18,998.78
11/30/2010 24,188.30 18,194.20
12/31/2010 26,442.51 19,659.22
1/31/2011 27,569.62 20,082.72
2/28/2011 28,489.10 20,827.38
3/31/2011 27,703.09 20,410.15
4/30/2011 29,186.12 21,521.72
5/31/2011 28,133.17 20,883.72
6/30/2011 27,747.58 20,586.29
7/31/2011 26,857.76 20,246.71
8/31/2011 23,980.67 18,534.99
9/30/2011 21,355.70 16,673.65
10/31/2011 23,417.12 18,295.22
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
-8.04% -2.65% 8.88%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
MSCI
JAPANESE JAPAN
SMALL SMALL CAP
COMPANY INDEX (NET
SERIES DIV.)
--------- ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 9,327.35 9,612.18
12/31/2001 8,273.54 8,450.66
1/31/2002 7,825.11 7,877.64
2/28/2002 8,452.91 8,289.40
3/31/2002 8,901.35 8,875.95
4/30/2002 9,260.09 9,462.07
5/31/2002 10,179.37 10,453.56
6/30/2002 9,730.94 9,993.50
7/31/2002 9,618.83 9,677.48
8/31/2002 9,484.30 9,452.00
9/30/2002 9,215.25 9,074.03
10/31/2002 8,497.76 8,135.29
11/30/2002 8,430.49 8,196.37
12/31/2002 8,363.23 8,013.23
1/31/2003 8,385.65 7,966.77
2/28/2003 8,991.03 8,370.73
3/31/2003 9,080.72 8,235.14
4/30/2003 9,484.30 8,492.03
5/31/2003 10,089.69 8,880.07
6/30/2003 10,896.86 9,876.75
7/31/2003 11,031.39 9,992.74
8/31/2003 11,995.52 11,252.49
9/30/2003 12,780.27 12,071.13
10/31/2003 13,295.96 12,965.80
11/30/2003 12,466.37 12,074.92
12/31/2003 13,206.28 12,938.18
1/31/2004 13,856.50 13,409.29
2/29/2004 13,946.19 13,374.63
3/31/2004 16,793.72 15,826.55
4/30/2004 16,233.18 15,323.06
5/31/2004 15,448.43 14,562.03
6/30/2004 16,950.67 16,093.72
7/31/2004 15,874.44 14,774.84
8/31/2004 16,121.08 14,929.06
9/30/2004 15,739.91 14,478.43
10/31/2004 16,053.81 14,746.14
11/30/2004 16,547.09 15,387.82
12/31/2004 17,354.26 16,132.71
1/31/2005 18,071.75 16,681.47
2/28/2005 18,744.39 17,000.41
3/31/2005 18,856.50 16,960.77
4/30/2005 18,340.81 16,822.91
5/31/2005 18,026.91 16,513.06
6/30/2005 18,363.23 16,736.48
7/31/2005 18,744.39 17,210.51
8/31/2005 19,798.21 17,801.18
9/30/2005 20,605.38 18,913.75
10/31/2005 21,255.61 19,291.61
11/30/2005 21,681.61 20,116.10
12/31/2005 24,125.56 22,836.49
1/31/2006 25,156.95 23,564.37
2/28/2006 23,654.71 22,029.98
3/31/2006 24,708.52 23,018.22
4/30/2006 25,201.79 23,132.47
5/31/2006 23,430.49 21,276.86
6/30/2006 22,533.63 20,610.49
7/31/2006 21,457.40 19,247.96
8/31/2006 21,816.14 19,759.90
9/30/2006 21,479.82 19,327.46
10/31/2006 21,322.87 19,203.45
11/30/2006 21,188.34 19,041.76
12/31/2006 21,367.71 19,152.66
1/31/2007 21,816.14 19,525.00
2/28/2007 22,690.58 20,295.43
3/31/2007 22,533.63 20,108.45
4/30/2007 22,219.73 19,764.20
5/31/2007 21,771.30 19,293.11
6/30/2007 22,130.04 19,419.79
7/31/2007 22,264.57 19,414.82
8/31/2007 21,322.87 18,232.06
9/30/2007 21,300.45 18,121.39
10/31/2007 21,434.98 18,776.67
11/30/2007 20,941.70 17,987.27
12/31/2007 19,641.26 16,911.13
1/31/2008 19,080.72 16,080.52
2/29/2008 18,946.19 16,256.79
3/31/2008 19,327.35 16,262.06
4/30/2008 19,461.88 16,463.98
5/31/2008 20,179.37 16,971.30
6/30/2008 19,237.67 15,929.21
7/31/2008 18,699.55 15,407.85
8/31/2008 17,668.16 14,727.10
9/30/2008 16,524.66 13,289.05
10/31/2008 15,313.90 11,886.37
11/30/2008 15,717.49 12,371.81
12/31/2008 17,331.84 13,335.23
1/31/2009 16,143.50 12,636.29
2/28/2009 14,058.30 10,974.99
3/31/2009 14,686.10 11,362.30
4/30/2009 15,291.48 11,943.61
5/31/2009 17,174.89 13,405.20
6/30/2009 18,318.39 14,257.97
7/31/2009 18,699.55 14,614.88
8/31/2009 19,686.10 15,434.15
9/30/2009 19,484.30 15,373.22
10/31/2009 18,789.24 14,810.53
11/30/2009 18,026.91 14,281.12
12/31/2009 17,959.64 14,014.45
1/31/2010 18,206.28 14,316.74
2/28/2010 18,565.02 14,588.56
3/31/2010 19,506.73 15,252.36
4/30/2010 20,089.69 15,665.44
5/31/2010 18,408.07 14,578.75
6/30/2010 18,699.55 14,643.15
7/31/2010 19,035.87 14,820.66
8/31/2010 18,520.18 14,506.95
9/30/2010 19,327.35 15,100.17
10/31/2010 18,923.77 14,976.12
11/30/2010 19,394.62 15,267.84
12/31/2010 21,188.34 16,808.33
1/31/2011 21,681.61 17,008.22
2/28/2011 22,690.58 17,692.38
3/31/2011 21,278.03 16,600.65
4/30/2011 21,165.92 16,615.70
5/31/2011 20,807.17 16,368.73
6/30/2011 21,860.99 16,978.44
7/31/2011 22,668.16 17,683.68
8/31/2011 22,062.78 16,960.86
9/30/2011 21,950.67 16,976.25
10/31/2011 20,829.60 16,350.07
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
10.07% -0.47% 7.61%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
217
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
THE ASIA PACIFIC SMALL COMPANY SERIES VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
MSCI
PACIFIC EX
ASIA PACIFIC JAPAN
SMALL SMALL CAP
COMPANY INDEX
SERIES (NET DIV.)
------------ ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 10,569.23 10,540.34
12/31/2001 10,707.69 10,696.29
1/31/2002 11,230.77 11,048.01
2/28/2002 11,338.46 11,116.83
3/31/2002 11,830.77 11,635.32
4/30/2002 11,907.69 11,658.69
5/31/2002 12,584.62 12,522.73
6/30/2002 12,184.62 12,105.21
7/31/2002 11,461.54 11,327.86
8/31/2002 11,676.92 11,600.69
9/30/2002 10,892.31 10,932.32
10/31/2002 11,230.77 11,188.80
11/30/2002 11,338.46 11,438.25
12/31/2002 11,492.31 11,624.82
1/31/2003 11,861.54 12,055.00
2/28/2003 11,938.46 11,866.69
3/31/2003 11,692.31 11,838.56
4/30/2003 12,030.77 12,491.67
5/31/2003 13,261.54 13,379.83
6/30/2003 13,876.92 14,093.87
7/31/2003 14,830.77 14,415.18
8/31/2003 15,892.31 15,115.04
9/30/2003 17,169.23 16,317.91
10/31/2003 18,169.23 17,665.90
11/30/2003 18,307.69 17,587.77
12/31/2003 19,123.08 18,740.21
1/31/2004 20,323.08 19,507.16
2/29/2004 20,953.85 20,096.75
3/31/2004 20,292.31 20,136.47
4/30/2004 18,815.38 18,997.55
5/31/2004 18,676.92 18,911.52
6/30/2004 18,753.85 18,933.81
7/31/2004 19,092.31 19,648.28
8/31/2004 19,553.85 20,295.55
9/30/2004 20,753.85 21,507.08
10/31/2004 21,738.46 22,883.75
11/30/2004 23,323.08 24,644.82
12/31/2004 23,861.54 25,686.55
1/31/2005 24,400.00 25,910.67
2/28/2005 25,107.69 26,735.96
3/31/2005 24,261.54 25,975.82
4/30/2005 23,446.15 25,553.33
5/31/2005 22,923.08 25,881.67
6/30/2005 23,953.85 27,296.65
7/31/2005 24,769.23 28,433.08
8/31/2005 25,415.38 28,410.57
9/30/2005 26,353.85 29,843.62
10/31/2005 24,876.92 28,090.23
11/30/2005 25,492.31 29,155.56
12/31/2005 25,892.31 29,727.83
1/31/2006 27,646.15 31,429.05
2/28/2006 28,046.15 31,744.73
3/31/2006 29,476.92 33,088.83
4/30/2006 31,169.23 35,223.04
5/31/2006 29,400.00 33,424.53
6/30/2006 29,215.38 33,017.40
7/31/2006 29,784.62 33,356.24
8/31/2006 30,523.08 34,444.29
9/30/2006 30,846.15 35,013.74
10/31/2006 33,384.62 37,454.98
11/30/2006 35,246.15 39,731.51
12/31/2006 36,261.54 41,214.77
1/31/2007 37,200.00 42,261.59
2/28/2007 38,200.00 43,067.41
3/31/2007 40,200.00 45,289.34
4/30/2007 43,015.38 48,429.84
5/31/2007 46,707.69 50,331.04
6/30/2007 48,630.77 51,639.92
7/31/2007 49,400.00 51,626.14
8/31/2007 45,723.08 48,303.77
9/30/2007 51,076.92 52,590.28
10/31/2007 55,553.85 56,185.13
11/30/2007 51,892.31 51,671.82
12/31/2007 51,015.38 50,960.73
1/31/2008 45,892.31 44,132.03
2/29/2008 47,307.69 46,753.63
3/31/2008 45,015.38 43,804.20
4/30/2008 48,169.23 46,734.65
5/31/2008 50,276.92 47,238.82
6/30/2008 45,338.46 41,953.90
7/31/2008 42,676.92 40,024.66
8/31/2008 39,692.31 36,773.53
9/30/2008 32,876.92 29,594.72
10/31/2008 21,953.85 19,141.79
11/30/2008 19,846.15 17,052.75
12/31/2008 22,015.38 19,034.03
1/31/2009 19,307.69 16,938.03
2/28/2009 18,246.15 15,886.23
3/31/2009 21,076.92 18,163.07
4/30/2009 24,230.77 21,414.23
5/31/2009 30,492.31 26,548.71
6/30/2009 30,738.46 27,296.09
7/31/2009 35,184.62 31,237.80
8/31/2009 36,784.62 32,843.12
9/30/2009 39,661.54 35,594.15
10/31/2009 40,553.85 36,447.47
11/30/2009 42,446.15 37,495.39
12/31/2009 43,569.23 38,993.74
1/31/2010 41,215.38 36,500.35
2/28/2010 41,953.85 36,957.83
3/31/2010 45,415.38 40,003.60
4/30/2010 46,046.15 41,122.24
5/31/2010 39,676.92 34,913.27
6/30/2010 39,200.00 34,714.24
7/31/2010 43,553.85 38,246.22
8/31/2010 43,507.69 38,161.09
9/30/2010 50,107.69 43,890.56
10/31/2010 52,276.92 45,838.85
11/30/2010 51,584.62 45,226.66
12/31/2010 56,646.15 49,791.31
1/31/2011 55,446.15 48,343.35
2/28/2011 55,800.00 48,608.02
3/31/2011 56,984.62 50,100.04
4/30/2011 59,415.38 52,126.61
5/31/2011 57,661.54 50,933.42
6/30/2011 55,723.08 49,122.18
7/31/2011 56,646.15 49,846.74
8/31/2011 52,707.69 46,379.74
9/30/2011 42,876.92 37,947.11
10/31/2011 49,584.62 44,164.23
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
-5.15% 8.23% 17.36%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
UNITED
KINGDOM MSCI UK
SMALL SMALL CAP
COMPANY INDEX
SERIES (NET DIV.)
--------- ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 10,672.76 10,936.71
12/31/2001 11,112.96 11,303.48
1/31/2002 10,813.95 10,713.26
2/28/2002 10,921.93 10,717.24
3/31/2002 11,470.10 11,515.80
4/30/2002 11,976.74 11,944.79
5/31/2002 12,109.63 11,810.27
6/30/2002 11,627.91 11,087.75
7/31/2002 10,789.04 9,862.08
8/31/2002 10,805.65 9,944.34
9/30/2002 9,892.03 9,255.93
10/31/2002 9,842.19 9,267.18
11/30/2002 10,174.42 9,438.37
12/31/2002 10,149.50 9,165.00
1/31/2003 9,908.64 8,476.23
2/28/2003 9,576.41 8,230.16
3/31/2003 9,493.36 8,220.08
4/30/2003 10,390.37 9,320.73
5/31/2003 11,636.21 10,677.75
6/30/2003 12,300.66 11,029.52
7/31/2003 12,790.70 11,727.54
8/31/2003 13,330.56 12,285.65
9/30/2003 13,853.82 12,608.01
10/31/2003 14,642.86 13,630.49
11/30/2003 14,717.61 13,744.04
12/31/2003 15,539.87 14,514.71
1/31/2004 16,694.35 15,744.72
2/29/2004 17,666.11 16,811.38
3/31/2004 17,425.25 16,747.28
4/30/2004 16,802.33 16,164.56
5/31/2004 16,827.24 16,155.31
6/30/2004 17,400.33 16,715.76
7/31/2004 16,760.80 15,959.27
8/31/2004 16,644.52 15,740.85
9/30/2004 17,117.94 16,258.19
10/31/2004 17,657.81 16,876.88
11/30/2004 19,086.38 18,241.41
12/31/2004 19,875.42 19,293.66
1/31/2005 20,440.20 19,726.86
2/28/2005 21,137.87 20,193.81
3/31/2005 20,664.45 19,941.65
4/30/2005 19,966.78 19,040.32
5/31/2005 19,576.41 18,871.47
6/30/2005 19,950.17 19,161.83
7/31/2005 20,340.53 19,730.96
8/31/2005 21,486.71 20,685.84
9/30/2005 21,245.85 20,721.81
10/31/2005 20,647.84 20,090.81
11/30/2005 21,544.85 21,093.61
12/31/2005 22,491.69 22,005.02
1/31/2006 24,252.49 23,797.00
2/28/2006 24,584.72 24,170.09
3/31/2006 24,991.69 24,659.07
4/30/2006 26,254.15 25,964.07
5/31/2006 25,722.59 25,387.80
6/30/2006 25,714.29 25,172.31
7/31/2006 25,897.01 24,976.62
8/31/2006 26,985.05 25,875.37
9/30/2006 27,774.09 26,633.97
10/31/2006 29,352.16 28,159.38
11/30/2006 31,196.01 29,984.30
12/31/2006 32,898.67 31,391.24
1/31/2007 33,131.23 31,318.01
2/28/2007 33,122.92 31,415.74
3/31/2007 34,684.39 32,715.16
4/30/2007 35,880.40 34,339.00
5/31/2007 36,362.13 34,559.59
6/30/2007 35,033.22 33,553.76
7/31/2007 34,850.50 33,365.13
8/31/2007 34,651.16 32,142.02
9/30/2007 33,455.15 30,320.58
10/31/2007 36,129.57 33,652.34
11/30/2007 31,951.83 29,758.35
12/31/2007 30,265.78 28,264.30
1/31/2008 28,230.90 25,990.00
2/29/2008 28,646.18 26,870.55
3/31/2008 28,538.21 26,532.84
4/30/2008 29,019.93 27,026.34
5/31/2008 29,102.99 27,154.23
6/30/2008 26,785.71 25,297.80
7/31/2008 25,847.18 24,288.46
8/31/2008 25,431.89 23,652.70
9/30/2008 21,503.32 19,303.37
10/31/2008 15,730.90 13,947.23
11/30/2008 14,617.94 12,653.82
12/31/2008 14,294.02 12,332.82
1/31/2009 13,945.18 12,265.18
2/28/2009 13,372.09 11,858.58
3/31/2009 13,953.49 12,546.32
4/30/2009 16,877.08 15,428.40
5/31/2009 18,604.65 17,057.98
6/30/2009 18,696.01 17,178.38
7/31/2009 20,315.61 18,759.16
8/31/2009 21,901.99 20,567.85
9/30/2009 22,541.53 21,042.33
10/31/2009 22,574.75 21,072.79
11/30/2009 22,508.31 20,853.53
12/31/2009 22,981.73 21,368.65
1/31/2010 22,757.48 21,269.47
2/28/2010 21,976.74 20,316.81
3/31/2010 23,820.60 22,107.47
4/30/2010 24,701.00 22,989.86
5/31/2010 21,910.30 20,226.43
6/30/2010 22,325.58 20,313.81
7/31/2010 25,340.53 22,757.26
8/31/2010 24,410.30 22,139.12
9/30/2010 27,018.27 24,578.39
10/31/2010 28,430.23 25,626.08
11/30/2010 27,034.88 24,558.85
12/31/2010 29,800.66 27,128.52
1/31/2011 30,232.56 27,390.91
2/28/2011 31,146.18 28,113.28
3/31/2011 30,573.09 27,628.21
4/30/2011 33,280.73 30,160.70
5/31/2011 33,081.40 29,778.97
6/30/2011 32,026.58 28,775.86
7/31/2011 31,818.94 28,696.23
8/31/2011 28,646.18 25,768.96
9/30/2011 25,755.81 23,051.45
10/31/2011 28,488.37 25,570.45
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---- ----- -----
0.20% -0.60% 11.04%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
MSCI
CONTINENTAL EUROPE EX
SMALL UK SMALL
COMPANY CAP INDEX
SERIES (NET DIV.)
----------- ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 10,426.23 10,756.14
12/31/2001 10,516.39 10,854.44
1/31/2002 10,524.59 10,862.21
2/28/2002 10,680.33 10,914.49
3/31/2002 11,229.51 11,613.59
4/30/2002 11,680.33 11,931.29
5/31/2002 12,147.54 12,138.16
6/30/2002 12,147.54 11,861.08
7/31/2002 11,196.72 10,602.31
8/31/2002 11,049.18 10,326.98
9/30/2002 9,893.44 9,021.19
10/31/2002 10,196.72 9,563.57
11/30/2002 10,762.30 10,087.76
12/31/2002 10,959.02 9,850.93
1/31/2003 10,885.25 9,720.16
2/28/2003 10,565.57 9,292.75
3/31/2003 10,500.00 9,271.06
4/30/2003 11,811.48 10,633.78
5/31/2003 13,016.39 11,679.16
6/30/2003 13,229.51 11,852.81
7/31/2003 13,696.72 12,274.82
8/31/2003 14,000.00 12,628.64
9/30/2003 14,721.31 13,344.66
10/31/2003 15,631.15 14,459.38
11/30/2003 16,450.82 15,228.81
12/31/2003 17,475.41 16,025.45
1/31/2004 18,319.67 16,831.49
2/29/2004 18,934.43 17,399.32
3/31/2004 18,549.18 16,798.90
4/30/2004 18,327.87 16,534.35
5/31/2004 18,532.79 16,587.01
6/30/2004 19,090.16 17,178.66
7/31/2004 18,475.41 16,488.34
8/31/2004 18,590.16 16,540.62
9/30/2004 19,557.38 17,462.76
10/31/2004 20,295.08 18,202.98
11/30/2004 22,467.21 20,223.29
12/31/2004 23,631.15 21,234.33
1/31/2005 23,967.21 21,472.42
2/28/2005 25,508.20 22,976.81
3/31/2005 24,811.48 22,390.05
4/30/2005 24,155.74 21,731.32
5/31/2005 24,221.31 22,040.87
6/30/2005 24,877.05 22,746.24
7/31/2005 26,426.23 24,306.80
8/31/2005 27,319.67 24,996.99
9/30/2005 28,016.39 25,850.55
10/31/2005 26,631.15 24,066.45
11/30/2005 26,729.51 24,373.37
12/31/2005 28,114.75 25,785.86
1/31/2006 30,811.48 28,663.11
2/28/2006 31,704.92 29,472.42
3/31/2006 33,754.10 31,376.50
4/30/2006 36,081.97 33,599.80
5/31/2006 34,352.46 31,872.74
6/30/2006 33,713.11 31,146.44
7/31/2006 33,639.34 30,805.67
8/31/2006 34,532.79 31,530.47
9/30/2006 35,000.00 31,861.33
10/31/2006 36,762.30 33,564.19
11/30/2006 39,319.67 35,912.99
12/31/2006 41,196.72 37,607.07
1/31/2007 43,106.56 38,811.43
2/28/2007 43,180.33 38,977.52
3/31/2007 45,704.92 41,050.13
4/30/2007 48,114.75 43,534.46
5/31/2007 49,049.18 44,293.47
6/30/2007 48,516.39 43,870.15
7/31/2007 48,254.10 43,549.02
8/31/2007 46,540.98 41,578.04
9/30/2007 47,581.97 42,405.35
10/31/2007 49,877.05 44,942.91
11/30/2007 46,196.72 41,727.51
12/31/2007 45,311.48 40,882.27
1/31/2008 41,000.00 35,959.03
2/29/2008 42,762.30 38,135.17
3/31/2008 44,122.95 38,910.66
4/30/2008 44,655.74 39,575.33
5/31/2008 45,516.39 40,190.70
6/30/2008 41,680.33 36,476.45
7/31/2008 39,475.41 34,405.48
8/31/2008 38,401.64 33,465.93
9/30/2008 31,721.31 26,537.01
10/31/2008 23,254.10 19,070.42
11/30/2008 21,442.62 17,489.52
12/31/2008 23,680.33 19,105.69
1/31/2009 20,991.80 17,389.96
2/28/2009 19,180.33 15,858.85
3/31/2009 20,573.77 17,085.09
4/30/2009 23,942.62 20,641.43
5/31/2009 27,409.84 23,722.81
6/30/2009 27,073.77 23,418.72
7/31/2009 29,229.51 25,521.22
8/31/2009 31,680.33 28,140.39
9/30/2009 34,393.44 30,837.40
10/31/2009 33,434.43 29,995.79
11/30/2009 34,450.82 30,612.47
12/31/2009 34,344.26 30,750.49
1/31/2010 33,778.69 30,340.42
2/28/2010 33,065.57 29,476.79
3/31/2010 35,524.59 31,867.58
4/30/2010 35,188.52 31,666.40
5/31/2010 30,188.52 26,767.57
6/30/2010 30,000.00 26,367.41
7/31/2010 33,590.16 29,526.59
8/31/2010 32,057.38 28,123.38
9/30/2010 36,467.21 32,463.01
10/31/2010 38,590.16 34,545.61
11/30/2010 35,581.97 31,928.47
12/31/2010 40,196.72 36,398.58
1/31/2011 41,344.26 37,221.62
2/28/2011 42,057.38 37,852.76
3/31/2011 43,475.41 39,130.12
4/30/2011 46,418.03 41,863.46
5/31/2011 44,852.46 40,266.66
6/30/2011 43,409.84 38,966.49
7/31/2011 40,959.02 36,601.48
8/31/2011 36,754.10 32,777.62
9/30/2011 31,221.31 27,853.45
10/31/2011 34,426.23 30,905.90
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ------ ----- -----
-10.75% -1.30% 13.16%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
218
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
THE CANADIAN SMALL COMPANY SERIES VS.
MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS)
APRIL 2, 2007-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
MSCI
CANADIAN CANADA
SMALL SMALL CAP
COMPANY INDEX
SERIES (NET DIV.)
--------- ----------
4/2/2007 10,000.00 10,000.00
4/30/2007 10,710.00 10,486.77
5/31/2007 11,420.00 11,331.42
6/30/2007 11,370.00 11,305.55
7/31/2007 11,300.00 11,024.40
8/31/2007 10,560.00 10,339.57
9/30/2007 11,730.00 11,599.69
10/31/2007 13,000.00 12,851.68
11/30/2007 11,020.00 10,808.72
12/31/2007 11,430.00 11,109.21
1/31/2008 10,350.00 10,107.38
2/29/2008 11,160.00 11,071.35
3/31/2008 10,290.00 10,199.20
4/30/2008 10,540.00 10,554.53
5/31/2008 11,140.00 11,104.08
6/30/2008 10,620.00 10,724.58
7/31/2008 9,710.00 9,775.01
8/31/2008 9,310.00 9,529.52
9/30/2008 7,190.00 7,506.38
10/31/2008 4,800.00 5,011.50
11/30/2008 4,180.00 4,559.69
12/31/2008 4,500.00 4,785.31
1/31/2009 4,530.00 4,833.49
2/28/2009 4,120.00 4,453.87
3/31/2009 4,380.00 4,708.45
4/30/2009 5,300.00 5,465.62
5/31/2009 6,340.00 6,621.52
6/30/2009 5,950.00 6,220.34
7/31/2009 6,700.00 6,995.57
8/31/2009 6,920.00 7,259.67
9/30/2009 7,910.00 8,156.87
10/31/2009 7,760.00 8,210.75
11/30/2009 8,420.00 8,899.60
12/31/2009 8,960.00 9,422.87
1/31/2010 8,540.00 9,031.08
2/28/2010 9,050.00 9,631.72
3/31/2010 9,770.00 10,453.70
4/30/2010 10,120.00 10,889.81
5/31/2010 9,150.00 9,929.20
6/30/2010 8,730.00 9,463.81
7/31/2010 9,440.00 10,233.79
8/31/2010 9,330.00 10,202.01
9/30/2010 10,430.00 11,318.76
10/31/2010 11,110.00 12,004.31
11/30/2010 11,650.00 12,509.34
12/31/2010 12,840.00 13,659.88
1/31/2011 12,780.00 13,499.73
2/28/2011 13,660.00 14,392.30
3/31/2011 13,680.00 14,395.94
4/30/2011 13,940.00 14,832.50
5/31/2011 13,360.00 14,235.58
6/30/2011 12,620.00 13,509.82
7/31/2011 12,810.00 13,867.52
8/31/2011 11,840.00 13,042.67
9/30/2011 9,600.00 10,655.16
10/31/2011 11,140.00 12,174.41
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 4/2/2007
-------------- ---- --------
0.27% 2.38%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
MSCI
EMERGING
EMERGING MARKETS
MARKETS INDEX
SERIES (NET DIV.)
--------- ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 11,107.23 11,043.27
12/31/2001 11,969.70 11,919.10
1/31/2002 12,634.03 12,321.28
2/28/2002 12,470.86 12,521.02
3/31/2002 13,006.99 13,270.30
4/30/2002 13,146.85 13,355.36
5/31/2002 12,808.86 13,139.34
6/30/2002 11,841.49 12,150.05
7/31/2002 11,270.40 11,221.22
8/31/2002 11,305.36 11,392.69
9/30/2002 10,116.55 10,163.15
10/31/2002 10,536.13 10,823.45
11/30/2002 11,340.33 11,568.33
12/31/2002 10,885.78 11,183.53
1/31/2003 10,874.13 11,134.20
2/28/2003 10,710.96 10,821.37
3/31/2003 10,536.13 10,512.33
4/30/2003 11,958.04 11,447.16
5/31/2003 12,832.17 12,265.59
6/30/2003 13,333.33 12,960.90
7/31/2003 13,601.40 13,766.84
8/31/2003 14,219.11 14,688.09
9/30/2003 14,860.14 14,795.06
10/31/2003 15,990.68 16,053.85
11/30/2003 15,839.16 16,249.19
12/31/2003 17,505.83 17,425.74
1/31/2004 17,843.82 18,034.27
2/29/2004 18,636.36 18,861.27
3/31/2004 18,764.57 19,097.00
4/30/2004 17,575.76 17,533.32
5/31/2004 17,377.62 17,183.53
6/30/2004 17,692.31 17,256.72
7/31/2004 17,680.65 16,940.82
8/31/2004 18,170.16 17,643.35
9/30/2004 19,195.80 18,661.28
10/31/2004 19,731.93 19,107.15
11/30/2004 21,456.88 20,875.96
12/31/2004 22,855.48 21,878.59
1/31/2005 23,041.96 21,934.15
2/28/2005 24,755.24 23,847.87
3/31/2005 23,065.27 22,271.83
4/30/2005 22,517.48 21,673.95
5/31/2005 23,193.47 22,428.37
6/30/2005 23,892.77 23,190.38
7/31/2005 25,431.24 24,811.33
8/31/2005 25,594.41 25,023.81
9/30/2005 27,634.03 27,353.90
10/31/2005 26,258.74 25,566.00
11/30/2005 28,158.51 27,680.93
12/31/2005 29,790.21 29,317.06
1/31/2006 32,645.69 32,591.52
2/28/2006 32,552.45 32,552.84
3/31/2006 32,995.34 32,839.73
4/30/2006 34,976.69 35,178.14
5/31/2006 30,944.06 31,492.44
6/30/2006 30,909.09 31,415.46
7/31/2006 31,480.19 31,865.25
8/31/2006 32,470.86 32,677.19
9/30/2006 32,925.41 32,949.27
10/31/2006 34,895.10 34,513.80
11/30/2006 37,132.87 37,079.37
12/31/2006 38,636.36 38,748.91
1/31/2007 39,207.46 38,331.68
2/28/2007 38,613.05 38,104.17
3/31/2007 40,372.96 39,621.55
4/30/2007 42,960.37 41,455.91
5/31/2007 45,839.16 43,509.21
6/30/2007 46,596.74 45,548.75
7/31/2007 47,727.27 47,952.05
8/31/2007 46,911.42 46,932.97
9/30/2007 51,048.95 52,115.94
10/31/2007 56,655.01 57,927.95
11/30/2007 52,960.37 53,821.63
12/31/2007 52,773.89 54,010.37
1/31/2008 48,181.82 47,270.20
2/29/2008 49,720.28 50,759.33
3/31/2008 48,181.82 48,073.18
4/30/2008 51,631.70 51,974.50
5/31/2008 51,934.73 52,938.69
6/30/2008 46,608.39 47,658.72
7/31/2008 46,002.33 45,861.03
8/31/2008 43,275.06 42,197.96
9/30/2008 37,261.07 34,813.18
10/31/2008 27,447.55 25,285.56
11/30/2008 24,965.04 23,382.14
12/31/2008 26,923.08 25,205.85
1/31/2009 24,860.14 23,578.05
2/28/2009 23,251.75 22,247.96
3/31/2009 26,608.39 25,445.15
4/30/2009 30,559.44 29,679.48
5/31/2009 35,769.23 34,750.69
6/30/2009 35,466.20 34,282.58
7/31/2009 39,533.80 38,137.59
8/31/2009 39,673.66 38,001.05
9/30/2009 43,181.82 41,450.42
10/31/2009 42,272.73 41,501.69
11/30/2009 44,813.52 43,284.42
12/31/2009 46,433.57 44,993.77
1/31/2010 43,904.43 42,484.38
2/28/2010 44,440.56 42,633.91
3/31/2010 48,170.16 46,075.86
4/30/2010 48,461.54 46,634.07
5/31/2010 43,962.70 42,532.30
6/30/2010 44,032.63 42,219.64
7/31/2010 47,913.75 45,735.49
8/31/2010 46,806.53 44,847.26
9/30/2010 52,132.87 49,831.12
10/31/2010 53,717.95 51,278.04
11/30/2010 52,517.48 49,924.41
12/31/2010 56,794.87 53,486.99
1/31/2011 55,326.34 52,035.83
2/28/2011 54,941.72 51,550.58
3/31/2011 58,006.99 54,581.43
4/30/2011 60,034.97 56,274.56
5/31/2011 58,379.95 54,798.52
6/30/2011 57,692.31 53,955.51
7/31/2011 57,249.42 53,715.88
8/31/2011 52,622.38 48,915.60
9/30/2011 44,662.00 41,783.97
10/31/2011 50,256.41 47,318.56
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ----- ----- -----
-6.44% 7.57% 17.52%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
MSCI
EMERGING EMERGING
MARKETS MARKETS
SMALL CAP INDEX
SERIES (NET DIV.)
--------- ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 11,040.22 11,043.27
12/31/2001 11,900.14 11,919.10
1/31/2002 12,815.53 12,321.28
2/28/2002 12,676.84 12,521.02
3/31/2002 13,481.28 13,270.30
4/30/2002 13,855.76 13,355.36
5/31/2002 13,758.67 13,139.34
6/30/2002 12,857.14 12,150.05
7/31/2002 12,260.75 11,221.22
8/31/2002 12,413.31 11,392.69
9/30/2002 10,998.61 10,163.15
10/31/2002 11,456.31 10,823.45
11/30/2002 12,343.97 11,568.33
12/31/2002 11,941.75 11,183.53
1/31/2003 12,163.66 11,134.20
2/28/2003 12,024.97 10,821.37
3/31/2003 11,941.75 10,512.33
4/30/2003 13,481.28 11,447.16
5/31/2003 14,507.63 12,265.59
6/30/2003 15,131.76 12,960.90
7/31/2003 15,450.76 13,766.84
8/31/2003 16,380.03 14,688.09
9/30/2003 17,004.16 14,795.06
10/31/2003 18,488.21 16,053.85
11/30/2003 18,862.69 16,249.19
12/31/2003 20,748.96 17,425.74
1/31/2004 21,373.09 18,034.27
2/29/2004 22,274.62 18,861.27
3/31/2004 22,649.10 19,097.00
4/30/2004 21,400.83 17,533.32
5/31/2004 20,513.18 17,183.53
6/30/2004 20,679.61 17,256.72
7/31/2004 20,832.18 16,940.82
8/31/2004 21,525.66 17,643.35
9/30/2004 22,718.45 18,661.28
10/31/2004 23,300.97 19,107.15
11/30/2004 25,506.24 20,875.96
12/31/2004 26,865.46 21,878.59
1/31/2005 27,628.29 21,934.15
2/28/2005 29,375.87 23,847.87
3/31/2005 27,364.77 22,271.83
4/30/2005 26,366.16 21,673.95
5/31/2005 26,879.33 22,428.37
6/30/2005 27,558.95 23,190.38
7/31/2005 29,098.47 24,811.33
8/31/2005 29,292.65 25,023.81
9/30/2005 31,234.40 27,353.90
10/31/2005 29,722.61 25,566.00
11/30/2005 31,844.66 27,680.93
12/31/2005 33,938.97 29,317.06
1/31/2006 37,239.94 32,591.52
2/28/2006 37,656.03 32,552.84
3/31/2006 38,335.65 32,839.73
4/30/2006 41,484.05 35,178.14
5/31/2006 37,128.99 31,492.44
6/30/2006 35,506.24 31,415.46
7/31/2006 36,324.55 31,865.25
8/31/2006 37,600.55 32,677.19
9/30/2006 38,668.52 32,949.27
10/31/2006 41,595.01 34,513.80
11/30/2006 44,757.28 37,079.37
12/31/2006 46,823.86 38,748.91
1/31/2007 47,753.12 38,331.68
2/28/2007 48,155.34 38,104.17
3/31/2007 50,332.87 39,621.55
4/30/2007 54,188.63 41,455.91
5/31/2007 58,515.95 43,509.21
6/30/2007 60,277.39 45,548.75
7/31/2007 63,231.62 47,952.05
8/31/2007 60,624.13 46,932.97
9/30/2007 64,798.89 52,115.94
10/31/2007 69,708.74 57,927.95
11/30/2007 64,147.02 53,821.63
12/31/2007 64,895.98 54,010.37
1/31/2008 57,115.12 47,270.20
2/29/2008 58,765.60 50,759.33
3/31/2008 56,033.29 48,073.18
4/30/2008 59,445.22 51,974.50
5/31/2008 59,112.34 52,938.69
6/30/2008 52,302.36 47,658.72
7/31/2008 51,511.79 45,861.03
8/31/2008 48,404.99 42,197.96
9/30/2008 39,694.87 34,813.18
10/31/2008 27,669.90 25,285.56
11/30/2008 25,991.68 23,382.14
12/31/2008 29,681.00 25,205.85
1/31/2009 27,420.25 23,578.05
2/28/2009 25,742.03 22,247.96
3/31/2009 29,292.65 25,445.15
4/30/2009 35,228.85 29,679.48
5/31/2009 43,231.62 34,750.69
6/30/2009 43,023.58 34,282.58
7/31/2009 48,529.82 38,137.59
8/31/2009 49,112.34 38,001.05
9/30/2009 53,217.75 41,450.42
10/31/2009 53,176.14 41,501.69
11/30/2009 56,338.42 43,284.42
12/31/2009 59,445.22 44,993.77
1/31/2010 56,837.73 42,484.38
2/28/2010 57,822.47 42,633.91
3/31/2010 62,773.93 46,075.86
4/30/2010 63,814.15 46,634.07
5/31/2010 57,420.25 42,532.30
6/30/2010 58,959.78 42,219.64
7/31/2010 64,396.67 45,735.49
8/31/2010 64,715.67 44,847.26
9/30/2010 72,593.62 49,831.12
10/31/2010 75,492.37 51,278.04
11/30/2010 73,481.28 49,924.41
12/31/2010 77,711.51 53,486.99
1/31/2011 74,452.15 52,035.83
2/28/2011 72,288.49 51,550.58
3/31/2011 76,324.55 54,581.43
4/30/2011 80,360.61 56,274.56
5/31/2011 78,571.43 54,798.52
6/30/2011 78,557.56 53,955.51
7/31/2011 79,459.08 53,715.88
8/31/2011 71,941.75 48,915.60
9/30/2011 59,167.82 41,783.97
10/31/2011 65,728.16 47,318.56
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ------ ----- -----
-12.94% 9.58% 20.72%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
219
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011
The year ending October 31, 2011, was a relatively volatile period for U.S.
equities. Broad market returns were positive with the Russell 3000(R) Index
returning 7.90%. Small cap stocks, represented by the Russell 2000(R) Index,
underperformed large cap stocks, represented by the Russell 1000(R) Index.
Small cap value stocks, represented by the Russell 2000(R) Value Index,
underperformed small cap growth stocks, represented by the Russell 2000(R)
Growth Index. Large cap value stocks, represented by the Russell 1000(R) Value
Index, underperformed large cap growth stocks, represented by the Russell
1000(R) Growth Index.
The broad market, as represented by the Russell 3000(R) Index, had a
positive return in each of the six months through April 2011. Monthly
performance turned negative in May and continued through the third quarter,
although total returns remained positive through August largely due to gains
over the first half of the period. Sharp declines through September brought
calendar year to date total returns across all market segments into negative
territory. Double-digit gains in October helped all the market segments post
positive total returns for the twelve-month period.
Among the most important factors explaining differences in the behavior of
diversified equity portfolios are the company size and company value/growth
characteristics of the portfolio's holdings. Size is measured by market
capitalization and value classification is a function of stock price relative
to one or more fundamental characteristics. Compared to other stocks, value
stocks often have lower market value relative to their earnings, dividends, and
book value.
Dividing the market into micro cap, small cap, and large cap segments shows
how these segments affected the broad market return.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011
Russell 3000(R) Index.................................. 7.90%
Russell Microcap(R) Index (micro cap stocks)........... 2.11%
Russell 2000(R) Index (small cap stocks)............... 6.71%
Russell 1000(R) Index (large cap stocks)............... 8.01%
Further dividing small cap and large cap into value and growth segments
shows additional detail in the performance differences over the period.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2011
Russell 2000(R) Value Index (small cap value stocks)... 3.54%
Russell 2000(R) Growth Index (small cap growth stocks). 9.84%
Russell 1000(R) Value Index (large cap value stocks)... 6.16%
Russell 1000(R) Growth Index (large cap growth stocks). 9.92%
--------
Sources: Russell data copyright (C) Russell Investment Group 1995-2011, all
rights reserved.
Differences in returns for the various Dimensional U.S. equity funds over
the 12 months ended October 31, 2011 were attributable primarily to differences
in value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios, except for the DFA Real Estate
Securities Portfolio and the U.S. Large Company Portfolio. Moreover, the
portfolio construction approach used by Dimensional Fund Advisors LP (the
"Advisor" or "Dimensional") generally resulted in portfolios with greater
emphasis on value or small company characteristics relative to widely used
index benchmarks.
220
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
THE U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series seeks to capture the returns of U.S. large
company value stocks. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to large cap value stocks, and
does not attempt to closely track a specific equity index. As of October 31,
2011, the Series held approximately 220 securities and was mostly invested in
equities throughout the year. The average cash level for the period was less
than 1% of the Series' assets.
For the 12 months ended October 31, 2011, total returns were 5.69% for the
Series and 6.16% for the Russell 1000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad structural trends in the U.S. equity market rather than the behavior
of a limited number of stocks. As indicated by the Russell benchmarks, growth
stocks outperformed value stocks in the U.S. during the year. The Series'
higher allocation to the deepest value stocks, which significantly
underperformed, was a contributor to its relative underperformance as compared
to the Index. Dimensional's U.S. value strategies exclude REITS and highly
regulated utilities, two sectors that performed well during this period. In
addition to the higher allocation to the deepest value stocks, these exclusions
were drivers of underperformance relative to the Russell 1000(R) Value Index.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011
The one-year period ending October 31, 2011, was characterized by levels of
volatility in non-US developed markets not seen since 2008-09.
While broad market returns were positive through April 2011, stocks dropped
for five out of the next six months to end the period in negative territory,
with stocks represented by the MSCI World ex USA Index (net dividends)
returning -3.70% overall. The slide in August and September, accompanied by
poor US economic data and European debt worries among other factors, produced
some of the lowest monthly returns since 2008. October's rally produced some of
the best monthly returns since early 2009. As measured by the MSCI indices
below, growth stocks outperformed their value counterparts, while small cap
stocks outperformed large caps.
12 MONTHS ENDED OCTOBER 31, 2011
U.S. DOLLAR
RETURN
-----------
MSCI World ex USA Index........... -3.70%
MSCI World ex USA Small Cap Index. -2.01%
MSCI World ex USA Value Index..... -4.74%
MSCI World ex USA Growth Index.... -2.73%
--------
The US dollar (USD) generally depreciated against other major developed
markets currencies during the period. While the USD's value remained relatively
constant against the euro and British pound, it fell significantly against the
Swiss franc and Australian dollar, and to a lesser extent, against the Japanese
yen.
12 MONTHS ENDED OCTOBER 31, 2011
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP RETURN RETURN
--------------------------------------------------- -------- -----------
United Kingdom...................................... 1.14% 2.10%
Japan............................................... -5.45% -2.33%
Canada.............................................. -2.57% -0.18%
France.............................................. -11.83% -11.52%
Australia........................................... -4.39% 3.49%
221
12 MONTHS ENDED OCTOBER 31, 2011
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP RETURN RETURN
--------------------------------------------------- -------- -----------
Switzerland......................................... -9.66% 2.03%
Germany............................................. -7.39% -7.07%
Spain............................................... -15.21% -14.91%
Sweden.............................................. -7.75% -4.35%
Hong Kong........................................... -8.67% -8.82%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2011, all rights reserved.
Losses in emerging markets were higher on average than in developed markets,
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2011, returns in USD were -7.72% for
the MSCI Emerging Markets Index (net dividends) versus -3.70% for the MSCI
World ex USA Index (net dividends). As measured by the MSCI indices, emerging
markets growth stocks underperformed their value counterparts, while emerging
markets small cap stocks underperformed large caps.
12 MONTHS ENDED OCTOBER 31, 2011
U.S. DOLLAR
RETURN
-----------
MSCI Emerging Markets Index........... -7.72%
MSCI Emerging Markets Small Cap Index. -16.70%
MSCI Emerging Markets Value Index..... -6.99%
MSCI Emerging Markets Growth Index.... -8.45%
--------
The US dollar (USD) generally appreciated against most major emerging
markets currencies during the period.
12 MONTHS ENDED OCTOBER 31, 2011
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN
------------------------------------------ -------- -----------
China............................................... -15.62% -15.76%
Brazil.............................................. -12.71% -12.57%
South Korea......................................... 4.63% 6.24%
Taiwan.............................................. -5.30% -3.07%
South Africa........................................ 10.15% -2.95%
India............................................... -12.30% -19.99%
Russia.............................................. -1.24% 0.22%
Mexico.............................................. 5.26% -1.38%
Malaysia............................................ 2.08% 3.53%
Indonesia........................................... 3.92% 4.92%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2011, all rights reserved.
222
INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series seeks to capture the returns of
international large company value stocks. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to large cap
value stocks, and does not attempt to track any specific equity index. As of
October 31, 2011, the Series held approximately 530 securities in 23 developed
countries. In general, the Series was mostly invested in equities throughout
the year. The average cash level for the period was less than 1% of the Series'
assets.
For the 12 months ending October 31, 2011, total returns were -8.04% for the
Series and -3.70% for the MSCI World ex USA Index (net dividends). The MSCI
Standard benchmarks indicate that on the whole, growth stocks outperformed
value stocks in international developed markets during the period. In
particular, there was an extremely wide performance difference between deep
value stocks and extreme growth stocks. The Series' larger allocation to deep
value stocks, which underperformed, and significantly lower allocation to
extreme growth stocks, which outperformed, was the primary contributor to its
relative underperformance as compared to the Index. An additional component of
the Series' relative performance was due to differences in valuation timing and
methodology between the Series and the Index. The Series prices foreign
exchange rates at the closing of U.S. markets, while the Index uses rates at 4
pm London time. The Series utilizes fair value pricing to price portfolio
securities at the closing of the U.S. markets, while the Index uses local
market closing prices.
THE JAPANESE SMALL COMPANY SERIES
The Japanese Small Company Series seeks to capture the returns of Japanese
small company stocks. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to small company stocks, and does
not attempt to track a specific equity index. As of October 31, 2011, the
Series held approximately 1,400 securities. In general, the Series was mostly
invested in equities throughout the year. The average cash level for the period
was less than 1% of the Series' assets.
For the 12 months ended October 31, 2011, total returns were 10.07% for the
Series and 9.17% for the MSCI Japan Small Cap Index (net dividends). As a
result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in the Japanese equity market
rather than the behavior of a limited number of stocks. In general, Japanese
small cap stocks significantly outperformed Japanese mid cap and large cap
stocks over the period. In particular, the smallest Japanese stocks
outperformed all other market capitalizations. The Series has a higher
allocation to the smallest market capitalization segment than the Index, which
contributed significantly to the Series' relative outperformance. The positive
contribution from size allocation differences was partially offset by
differences in the valuation timing and methodology between the Portfolio and
the Index. The Portfolio prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Portfolio
utilizes fair value pricing to price portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
THE ASIA PACIFIC SMALL COMPANY SERIES
The Asia Pacific Small Company Series seeks to capture the returns of small
company stocks in Australia, Hong Kong, New Zealand, and Singapore. The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure to small company stocks, and does not attempt to track a
specific equity index. As of October 31, 2011, the Series held approximately
1,100 securities across the eligible countries. In general, the Series was
mostly invested in equities throughout the year. The average cash level for the
period was less than 1% of the Series' assets.
For the 12 months ended October 31, 2011, total returns were -5.15% for the
Series and -3.65% for the MSCI Pacific ex Japan Small Cap Index (net
dividends). As a result of the Series' diversified investment approach,
performance was determined principally by broad structural trends in Asia
Pacific equity markets rather than the behavior of a limited number of stocks.
In general, Asia Pacific small cap stocks underperformed Asia Pacific mid cap
and large cap stocks over the period. In particular, micro cap stocks in Hong
Kong and Singapore did especially poorly. Relative to the Index, the Series'
higher allocation to the smallest stocks had a significant negative
223
impact on the Series' relative performance. The Series' relative
underperformance was also affected by differences in the valuation timing and
methodology between the Series and the Index. The Series prices foreign
exchange rates at the closing of the U.S. markets while the Index uses rates at
4 pm London time. The Series utilizes fair value pricing to price portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
THE UNITED KINGDOM SMALL COMPANY SERIES
The United Kingdom Small Company Series seeks to capture the returns of U.K.
small company stocks. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to small company stocks, and does
not attempt to track a specific equity index. As of October 31, 2011, the
Series held approximately 375 securities. In general, the Series was mostly
invested in equities throughout the year. The average cash level for the period
was less than 1% of the Series' assets.
As a result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in the U.K. equity market,
rather than the behavior of a limited number of stocks. For the 12 months ended
October 31, 2011, total returns were 0.20% for the Series and -0.22% for the
MSCI UK Small Cap Index (net dividends). One of the primary contributors to the
Series' performance relative to the Index was the Series' exclusion of
securities traded on the AIM segment of the London Stock Exchange. The Index
includes these securities, which significantly underperformed, contributing to
the Series' relative outperformance. The positive impact of the foregoing
contributors to relative performance was partially offset by differences in the
valuation timing and methodology between the Series and the Index. The Series
prices foreign exchange rates at the closing of the U.S. markets while the
Index uses rates at 4 pm London time. The Series utilizes fair value pricing to
price portfolio securities at the closing of the U.S. markets while the Index
uses local market closing prices.
THE CONTINENTAL SMALL COMPANY SERIES
The Continental Small Company Series seeks to capture the returns of small
company stocks in developed markets of Europe (excluding the U.K.) and Israel,
by purchasing shares in such securities. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to small
company stocks, and does not attempt to track a specific equity index. As of
October 31, 2011, the Series held approximately 1,500 securities in 15
developed continental European countries and Israel. Country allocations
generally reflect the approximate weights of individual securities within a
universe of continental European and Israeli small company stocks constructed
by the Advisor. In general, the Series was mostly invested in equities
throughout the year. The average cash level for period was less than 1% of the
Series' assets.
As a result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in the continental European
(excluding the U.K.) and Israeli equity markets, rather than the behavior of a
limited number of stocks. For the 12 months ended October 31, 2011, total
returns were -10.75% for the Series and -10.54% for the MSCI Europe ex UK Small
Cap Index (net dividends). Overall, the Series' underperformance was primarily
attributable to differences in the valuation timing and methodology between the
Series and the Index. The Series prices foreign exchange rates at the closing
of the U.S. markets while the Index uses rates at 4 pm London time. The Series
utilizes fair value pricing to price portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
THE CANADIAN SMALL COMPANY SERIES
The Canadian Small Company Series seeks to capture the returns of Canadian
small company stocks. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to small company stocks, and does
not attempt to track a specific equity index. As of October 31, 2011, the
Series held approximately 450 securities. In general, the Series was mostly
invested in equities throughout the year. The average cash level for the period
was less than 1% of the Series' assets.
For the 12 months ended October 31, 2011, total returns were 0.27% for the
Series and 1.42% for the MSCI Canada Small Cap Index (net dividends). As a
result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in the Canadian equity market
rather than the behavior of a
224
limited number of stocks. Relative to the Index, the Series' underperformance
was primarily due to differences in construction methodology and the timing of
Index rebalancing. For example, two outperforming stocks in the materials
sector, New Gold and Equinox Minerals, moved outside Dimensional's small cap
universe during the period and were held at lower average weights in the Series
than in the Index. Yellow Media, the worst performing stock in Canada during
this period, was not added to the Index until August but was eligible for the
Series' earlier in the year. The combination of having lower weights in two
outperforming stocks and a higher weight in an underperforming stock led to the
Series' relative underperformance. The time of valuation of currency can create
differences between the performance of the Series and the Index.
THE EMERGING MARKETS SERIES
The Emerging Markets Series seeks to capture the returns of large cap stocks
in selected emerging markets countries. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to large cap
emerging markets stocks, and does not attempt to track a specific equity index.
As of October 31, 2011, the Series held approximately 850 securities across 20
emerging markets. In general, the Series was mostly invested in equities
throughout the year. The average cash level for the period was less than 1% of
the Series' assets. The Series' country weights were capped at 15% of assets
associated with any one country at the time of purchase by the manager to limit
single-country risk exposure.
For the 12 months ended October 31, 2011, total returns were -6.44% for the
Series and -7.72% for the MSCI Emerging Markets Index (net dividends). As a
result of the Series' diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Series' relative outperformance was primarily
due to differences in country weight allocations and in the composition of the
Series' holdings relative to the Index. In particular, the Series' lower weight
in China, which underperformed, contributed significantly to the Series'
relative outperformance. The time of valuation of currency and fair valuation
adjustments can create differences between the performance of the Series and
the Index.
THE EMERGING MARKETS SMALL CAP SERIES
The Emerging Markets Small Cap Series seeks to capture the returns of small
company stocks in selected emerging markets. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to small
company stocks in selected emerging markets, and does not attempt to track a
specific equity index. As of October 31, 2011, the Series held approximately
2,550 securities in 15 emerging markets. In general, the Series was mostly
invested in equities throughout the year. The average cash level for the period
was less than 1% of the Series' assets. The Series' country weights were capped
at 15% of assets associated with any one country upon purchase by the manager
to limit single-country risk exposure.
For the 12 months ended October 31, 2011, total returns were -12.94% for the
Series and -7.72% for the MSCI Emerging Markets Index (net dividends). As a
result of the Series' diversified approach, performance was principally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Series' underperformance was primarily due to
emerging markets small cap stocks significantly underperforming their large cap
counterparts during the period. The Series holds primarily small cap stocks,
whereas the Index holds primarily large cap and mid cap stocks. To a lesser
extent, an additional component of the Series' performance was due to
differences in valuation timing and methodology between the Series and the
Index. The Series prices foreign exchange rates at the closing of the U.S.
markets while the Index uses rates at 4 pm London time. The Series utilizes
fair value pricing to price portfolio securities at the closing of the U.S.
markets while the Index uses local market closing prices.
225
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 OCTOBER 31, 2011
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return..................... $1,000.00 $ 865.94 0.12% $0.56
Hypothetical 5% Annual Return.......... $1,000.00 $1,024.60 0.12% $0.61
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return..................... $1,000.00 $ 802.34 0.23% $1.04
Hypothetical 5% Annual Return.......... $1,000.00 $1,024.05 0.23% $1.17
226
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return...................... $1,000.00 $ 984.11 0.14% $0.70
Hypothetical 5% Annual Return........... $1,000.00 $1,024.50 0.14% $0.71
THE ASIA PACIFIC SMALL COMPANY SERIES
Actual Fund Return...................... $1,000.00 $ 834.53 0.17% $0.79
Hypothetical 5% Annual Return........... $1,000.00 $1,024.35 0.17% $0.87
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return...................... $1,000.00 $ 855.99 0.13% $0.61
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return...................... $1,000.00 $ 741.64 0.16% $0.70
Hypothetical 5% Annual Return........... $1,000.00 $1,024.40 0.16% $0.82
THE CANADIAN SMALL COMPANY SERIES
Actual Fund Return...................... $1,000.00 $ 799.14 0.15% $0.68
Hypothetical 5% Annual Return........... $1,000.00 $1,024.45 0.15% $0.77
THE EMERGING MARKETS SERIES
Actual Fund Return...................... $1,000.00 $ 837.13 0.22% $1.02
Hypothetical 5% Annual Return........... $1,000.00 $1,024.10 0.22% $1.12
THE EMERGING MARKETS SMALL CAP SERIES
Actual Fund Return...................... $1,000.00 $ 817.90 0.36% $1.65
Hypothetical 5% Annual Return........... $1,000.00 $1,023.39 0.36% $1.84
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
227
DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 28, 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............. 15.8%
Consumer Staples................... 9.1%
Energy............................. 17.8%
Financials......................... 18.0%
Health Care........................ 10.9%
Industrials........................ 14.3%
Information Technology............. 3.5%
Materials.......................... 2.7%
Telecommunication Services......... 6.4%
Utilities.......................... 1.5%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary............. 13.2%
Consumer Staples................... 5.8%
Energy............................. 13.8%
Financials......................... 27.8%
Health Care........................ 1.8%
Industrials........................ 9.9%
Information Technology............. 2.6%
Materials.......................... 12.3%
Other.............................. --
Telecommunication Services......... 9.1%
Utilities.......................... 3.7%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Consumer Discretionary............. 23.1%
Consumer Staples................... 10.1%
Energy............................. 1.0%
Financials......................... 11.4%
Health Care........................ 4.2%
Industrials........................ 27.0%
Information Technology............. 10.8%
Materials.......................... 11.8%
Utilities.......................... 0.6%
-----
100.0%
228
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
THE ASIA PACIFIC SMALL COMPANY SERIES
Consumer Discretionary............. 22.5%
Consumer Staples................... 3.8%
Energy............................. 6.8%
Financials......................... 11.0%
Health Care........................ 5.6%
Industrials........................ 22.7%
Information Technology............. 4.1%
Materials.......................... 17.2%
Other.............................. --
Telecommunication Services......... 2.2%
Utilities.......................... 4.1%
-----
100.0%
THE CANADIAN SMALL COMPANY SERIES
Consumer Discretionary............. 10.2%
Consumer Staples................... 3.1%
Energy............................. 25.6%
Financials......................... 7.3%
Health Care........................ 2.0%
Industrials........................ 9.0%
Information Technology............. 5.6%
Materials.......................... 34.3%
Telecommunication Services......... 0.3%
Utilities.......................... 2.6%
-----
100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
Consumer Discretionary............. 22.7%
Consumer Staples................... 4.1%
Energy............................. 4.7%
Financials......................... 13.5%
Health Care........................ 1.9%
Industrials........................ 30.7%
Information Technology............. 10.2%
Materials.......................... 7.3%
Other.............................. --
Telecommunication Services......... 2.3%
Utilities.......................... 2.6%
-----
100.0%
THE EMERGING MARKETS SERIES
Consumer Discretionary............. 8.4%
Consumer Staples................... 9.2%
Energy............................. 14.1%
Financials......................... 21.6%
Health Care........................ 1.0%
Industrials........................ 6.8%
Information Technology............. 13.1%
Materials.......................... 13.7%
Other.............................. --
Telecommunication Services......... 8.7%
Utilities.......................... 3.4%
-----
100.0%
THE CONTINENTAL SMALL COMPANY SERIES
Consumer Discretionary............. 13.7%
Consumer Staples................... 7.8%
Energy............................. 5.5%
Financials......................... 17.8%
Health Care........................ 8.8%
Industrials........................ 25.2%
Information Technology............. 9.7%
Materials.......................... 8.0%
Other.............................. --
Real Estate Investment Trusts...... --
Telecommunication Services......... 1.3%
Utilities.......................... 2.2%
-----
100.0%
THE EMERGING MARKETS SMALL CAP SERIES
Consumer Discretionary............. 18.5%
Consumer Staples................... 11.4%
Energy............................. 1.8%
Financials......................... 17.3%
Health Care........................ 4.8%
Industrials........................ 16.8%
Information Technology............. 9.2%
Materials.......................... 15.3%
Other.............................. 0.1%
Real Estate Investment Trusts...... --
Telecommunication Services......... 1.1%
Utilities.......................... 3.7%
-----
100.0%
229
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
COMMON STOCKS -- (92.6%)
Consumer Discretionary -- (14.6%)
Carnival Corp..................... 2,260,335 $ 79,586,395 0.9%
#CBS Corp. Class B................. 3,627,769 93,632,718 1.0%
#Comcast Corp. Class A............. 9,940,714 233,109,743 2.5%
Comcast Corp. Special Class A..... 3,843,964 88,411,172 0.9%
*Liberty Interactive Corp. Class A. 3,316,465 54,489,520 0.6%
#News Corp. Class A................ 9,024,175 158,103,546 1.7%
#News Corp. Class B................ 3,247,295 57,964,216 0.6%
#Time Warner Cable, Inc............ 2,004,056 127,638,327 1.4%
#Time Warner, Inc.................. 6,251,359 218,735,051 2.3%
Other Securities.................. 356,593,391 3.8%
-------------- ----
Total Consumer Discretionary......... 1,468,264,079 15.7%
-------------- ----
Consumer Staples -- (8.4%)
Archer-Daniels-Midland Co......... 3,072,555 88,919,742 0.9%
#CVS Caremark Corp................. 6,703,937 243,352,913 2.6%
Kraft Foods, Inc. Class A......... 6,937,764 244,070,538 2.6%
Other Securities.................. 269,707,477 2.9%
-------------- ----
Total Consumer Staples............... 846,050,670 9.0%
-------------- ----
Energy -- (16.5%)
Anadarko Petroleum Corp........... 2,511,298 197,136,893 2.1%
#Apache Corp....................... 722,673 71,999,911 0.8%
#Chesapeake Energy Corp............ 3,189,528 89,689,527 1.0%
#Chevron Corp...................... 1,013,563 106,474,793 1.1%
ConocoPhillips.................... 5,710,341 397,725,251 4.3%
Devon Energy Corp................. 734,202 47,686,420 0.5%
Hess Corp......................... 1,462,821 91,514,082 1.0%
Marathon Oil Corp................. 3,514,978 91,494,877 1.0%
Marathon Petroleum Corp........... 1,757,489 63,093,855 0.7%
#National Oilwell Varco, Inc....... 1,891,996 134,956,075 1.4%
Valero Energy Corp................ 2,742,854 67,474,208 0.7%
Other Securities.................. 302,245,745 3.2%
-------------- ----
Total Energy......................... 1,661,491,637 17.8%
-------------- ----
Financials -- (16.7%)
Bank of America Corp.............. 23,609,592 161,253,513 1.7%
#Capital One Financial Corp........ 2,343,277 106,994,028 1.1%
Citigroup, Inc.................... 7,841,714 247,719,745 2.7%
CME Group, Inc.................... 315,128 86,836,672 0.9%
Loews Corp........................ 2,340,216 92,906,575 1.0%
#*MetLife, Inc...................... 4,759,859 167,356,642 1.8%
Morgan Stanley.................... 3,076,864 54,275,881 0.6%
#*Prudential Financial, Inc......... 2,326,280 126,084,376 1.4%
SunTrust Banks, Inc............... 2,564,707 50,601,669 0.5%
Other Securities.................. 584,543,271 6.3%
-------------- ----
Total Financials..................... 1,678,572,372 18.0%
-------------- ----
Health Care -- (10.1%)
Aetna, Inc........................ 1,938,699 77,082,672 0.8%
Humana, Inc....................... 712,843 60,513,242 0.7%
Pfizer, Inc....................... 17,575,216 338,498,660 3.6%
*Thermo Fisher Scientific, Inc..... 1,994,284 100,252,657 1.1%
UnitedHealth Group, Inc........... 2,296,880 110,227,271 1.2%
WellPoint, Inc.................... 2,580,122 177,770,406 1.9%
Other Securities.................. 149,779,340 1.6%
-------------- ----
Total Health Care.................... 1,014,124,248 10.9%
-------------- ----
230
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ --------------- ---------------
Industrials -- (13.3%)
CSX Corp............................................................... 6,342,908 $ 140,875,987 1.5%
General Electric Co.................................................... 21,437,880 358,226,975 3.8%
Norfolk Southern Corp.................................................. 2,045,548 151,350,097 1.6%
#Northrop Grumman Corp.................................................. 1,627,982 94,015,960 1.0%
Tyco International, Ltd................................................ 1,426,599 64,981,584 0.7%
Union Pacific Corp..................................................... 2,590,289 257,915,076 2.8%
Other Securities....................................................... 269,921,810 2.9%
--------------- -----
Total Industrials......................................................... 1,337,287,489 14.3%
--------------- -----
Information Technology -- (3.2%)
Other Securities....................................................... 324,040,085 3.5%
--------------- -----
Materials -- (2.5%)
#Alcoa, Inc............................................................. 5,357,434 57,645,990 0.6%
International Paper Co................................................. 2,299,481 63,695,624 0.7%
Other Securities....................................................... 129,095,337 1.4%
--------------- -----
Total Materials........................................................... 250,436,951 2.7%
--------------- -----
Telecommunication Services -- (5.9%)
AT&T, Inc.............................................................. 13,044,608 382,337,460 4.1%
#CenturyLink, Inc....................................................... 1,882,865 66,389,820 0.7%
Verizon Communications, Inc............................................ 1,811,751 66,998,552 0.7%
Other Securities....................................................... 84,468,354 0.9%
--------------- -----
Total Telecommunication Services.......................................... 600,194,186 6.4%
--------------- -----
Utilities -- (1.4%)
Public Service Enterprise Group, Inc................................... 1,895,147 63,866,454 0.7%
Other Securities....................................................... 73,820,471 0.8%
--------------- -----
Total Utilities........................................................... 137,686,925 1.5%
--------------- -----
TOTAL COMMON STOCKS....................................................... 9,318,148,642 99.8%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.... 15,006,327 15,006,327 0.1%
--------------- -----
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (7.2%)
(S)@DFA Short Term Investment Fund........................................ 724,867,696 724,867,696 7.8%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/11
(Collateralized by $284,470 FHLMC, rates ranging from 4.500% to
6.000%, maturities ranging from 07/01/30 to 10/01/36 & FNMA, rates
ranging from 4.000% to 5.000%, maturities ranging from 06/01/26 to
06/01/41, valued at $285,492) to be repurchased at $276,185.......... $ 276 276,184 0.0%
--------------- -----
TOTAL SECURITIES LENDING COLLATERAL....................................... 725,143,880 7.8%
--------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,292,882,883).................................................... $10,058,298,849 107.7%
=============== =====
231
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of October 31, 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.. $1,468,264,079 -- -- $ 1,468,264,079
Consumer Staples........ 846,050,670 -- -- 846,050,670
Energy.................. 1,661,491,637 -- -- 1,661,491,637
Financials.............. 1,678,572,372 -- -- 1,678,572,372
Health Care............. 1,014,124,248 -- -- 1,014,124,248
Industrials............. 1,337,287,489 -- -- 1,337,287,489
Information Technology.. 324,040,085 -- -- 324,040,085
Materials............... 250,436,951 -- -- 250,436,951
Telecommunication
Services.............. 600,194,186 -- -- 600,194,186
Utilities............... 137,686,925 -- -- 137,686,925
Temporary Cash Investments. 15,006,327 -- -- 15,006,327
Securities Lending
Collateral............... -- $725,143,880 -- 725,143,880
-------------- ------------ -- ---------------
TOTAL...................... $9,333,154,969 $725,143,880 -- $10,058,298,849
============== ============ == ===============
See accompanying Notes to Financial Statements.
232
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (90.3%)
AUSTRALIA -- (5.1%)
National Australia Bank, Ltd......... 1,758,678 $ 46,973,112 0.7%
Wesfarmers, Ltd...................... 2,539,298 86,154,389 1.2%
Other Securities..................... 254,775,155 3.7%
------------ ----
TOTAL AUSTRALIA......................... 387,902,656 5.6%
------------ ----
AUSTRIA -- (0.3%)
Other Securities..................... 20,634,227 0.3%
------------ ----
BELGIUM -- (0.8%)
Other Securities..................... 59,337,610 0.9%
------------ ----
CANADA -- (12.2%)
#Encana Corp.......................... 2,051,015 44,487,529 0.6%
Goldcorp, Inc........................ 952,168 46,330,723 0.7%
Kinross Gold Corp.................... 2,678,826 38,190,236 0.5%
#Manulife Financial Corp.............. 4,206,497 55,537,999 0.8%
#Sun Life Financial, Inc.............. 1,513,735 38,209,754 0.5%
Suncor Energy, Inc................... 3,046,286 97,034,944 1.4%
#Teck Resources, Ltd. Class B......... 1,483,730 59,483,171 0.9%
#Thomson Reuters Corp................. 1,832,184 54,207,280 0.8%
#TransCanada Corp..................... 1,901,357 80,823,171 1.2%
Other Securities..................... 418,371,148 6.0%
------------ ----
TOTAL CANADA............................ 932,675,955 13.4%
------------ ----
DENMARK -- (1.0%)
Other Securities..................... 78,190,915 1.1%
------------ ----
FINLAND -- (0.5%)
Other Securities..................... 38,755,297 0.6%
------------ ----
FRANCE -- (8.1%)
AXA SA............................... 4,058,877 65,282,762 0.9%
Cie de Saint-Gobain SA............... 1,039,077 48,023,542 0.7%
GDF Suez SA.......................... 2,974,295 83,793,967 1.2%
Societe Generale SA.................. 1,383,654 39,616,437 0.6%
Vivendi SA........................... 3,567,218 79,714,572 1.2%
Other Securities..................... 301,029,827 4.3%
------------ ----
TOTAL FRANCE............................ 617,461,107 8.9%
------------ ----
GERMANY -- (7.6%)
Allianz SE........................... 409,076 45,514,671 0.7%
Bayerische Motoren Werke AG.......... 915,762 74,391,132 1.1%
Daimler AG........................... 2,088,586 106,077,407 1.5%
Deutsche Bank AG..................... 1,039,440 42,979,349 0.6%
Deutsche Telekom AG.................. 2,852,483 36,238,329 0.5%
#Deutsche Telekom AG Sponsored ADR.... 3,099,741 39,366,711 0.6%
E.ON AG.............................. 2,426,569 58,516,673 0.8%
Munchener
Rueckversicherungs-Gesellschaft AG. 400,624 53,651,325 0.8%
Other Securities..................... 124,509,792 1.8%
------------ ----
TOTAL GERMANY........................... 581,245,389 8.4%
------------ ----
GREECE -- (0.1%)
Other Securities..................... 4,894,561 0.1%
------------ ----
HONG KONG -- (1.4%)
Hutchison Whampoa, Ltd............... 5,618,000 51,349,161 0.7%
233
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
HONG KONG -- (Continued)
Other Securities................. $ 55,518,530 0.8%
-------------- ----
TOTAL HONG KONG..................... 106,867,691 1.5%
-------------- ----
IRELAND -- (0.2%)
Other Securities................. 15,199,876 0.2%
-------------- ----
ISRAEL -- (0.5%)
Other Securities................. 38,329,881 0.5%
-------------- ----
ITALY -- (1.2%)
Other Securities................. 89,164,763 1.3%
-------------- ----
JAPAN -- (19.3%)
Mitsubishi Heavy Industries, Ltd. 9,007,000 36,699,293 0.5%
#Mitsubishi UFJ Financial Group,
Inc............................. 15,413,706 66,987,001 1.0%
Nissan Motor Co., Ltd............ 4,503,100 41,404,872 0.6%
#Sony Corp. Sponsored ADR......... 1,801,665 37,780,915 0.5%
Sumitomo Corp.................... 3,241,900 40,138,454 0.6%
#Toyota Motor Corp. Sponsored ADR. 673,198 44,909,039 0.7%
Other Securities................. 1,205,111,310 17.3%
-------------- ----
TOTAL JAPAN......................... 1,473,030,884 21.2%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities................. -- 0.0%
-------------- ----
NETHERLANDS -- (2.8%)
#ArcelorMittal NV................. 2,446,831 50,730,198 0.7%
*ING Groep NV..................... 4,345,626 37,463,546 0.5%
Koninklijke Philips Electronics
NV............................. 1,939,039 40,364,410 0.6%
Other Securities................. 87,853,051 1.3%
-------------- ----
TOTAL NETHERLANDS................... 216,411,205 3.1%
-------------- ----
NEW ZEALAND -- (0.1%)
Other Securities................. 6,099,517 0.1%
-------------- ----
NORWAY -- (1.0%)
Other Securities................. 72,663,534 1.0%
-------------- ----
PORTUGAL -- (0.1%)
Other Securities................. 5,744,115 0.1%
-------------- ----
SINGAPORE -- (1.0%)
Other Securities................. 78,508,852 1.1%
-------------- ----
SPAIN -- (2.8%)
Banco Santander SA............... 4,170,537 35,298,849 0.5%
Repsol YPF SA Sponsored ADR...... 1,432,181 43,208,901 0.6%
Other Securities................. 131,339,944 1.9%
-------------- ----
TOTAL SPAIN......................... 209,847,694 3.0%
-------------- ----
SWEDEN -- (2.2%)
Nordea Bank AB................... 4,070,233 36,961,282 0.5%
Other Securities................. 133,018,079 1.9%
-------------- ----
TOTAL SWEDEN........................ 169,979,361 2.4%
-------------- ----
SWITZERLAND -- (4.9%)
Holcim, Ltd...................... 886,165 56,117,367 0.8%
*Swiss Re, Ltd.................... 1,108,107 60,500,983 0.9%
*UBS AG........................... 3,071,652 38,820,179 0.5%
Zurich Financial Services AG..... 322,634 74,348,937 1.1%
234
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
SWITZERLAND -- (Continued)
Other Securities.......................... $ 140,256,396 2.0%
-------------- -----
TOTAL SWITZERLAND............................ 370,043,862 5.3%
-------------- -----
UNITED KINGDOM -- (17.1%)
Aviva P.L.C............................... 7,470,381 40,755,092 0.6%
#Barclays P.L.C. Sponsored ADR............. 4,308,754 53,902,513 0.8%
BP P.L.C. Sponsored ADR................... 2,525,358 111,570,316 1.6%
Kingfisher P.L.C.......................... 10,285,817 42,615,041 0.6%
Royal Dutch Shell P.L.C. ADR.............. 3,323,210 238,606,478 3.4%
Vodafone Group P.L.C...................... 34,976,333 97,118,175 1.4%
Vodafone Group P.L.C. Sponsored ADR....... 8,700,738 242,228,546 3.5%
William Morrison Supermarkets P.L.C....... 8,127,143 39,411,911 0.6%
Xstrata P.L.C............................. 4,186,332 69,729,764 1.0%
Other Securities.......................... 370,447,348 5.3%
-------------- -----
TOTAL UNITED KINGDOM......................... 1,306,385,184 18.8%
-------------- -----
TOTAL COMMON STOCKS.......................... 6,879,374,136 98.9%
-------------- -----
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities.......................... 19,462,153 0.3%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities.......................... 1,391,631 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (9.4%)
(S)@DFA Short Term Investment Fund........... 715,664,286 715,664,286 10.3%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.11%, 11/01/11
(Collateralized by FNMA 3.500%,
11/01/31, valued at $2,921,919) to be
repurchased at $2,864,635............... $ 2,865 2,864,626 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......... 718,528,912 10.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,061,653,062)...................... $7,618,756,832 109.5%
============== =====
235
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of October 31, 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............. $ 6,629,134 $ 381,273,522 -- $ 387,902,656
Austria............... -- 20,634,227 -- 20,634,227
Belgium............... 3,455,957 55,881,653 -- 59,337,610
Canada................ 932,675,955 -- -- 932,675,955
Denmark............... -- 78,190,915 -- 78,190,915
Finland............... 1,388,619 37,366,678 -- 38,755,297
France................ 28,654,193 588,806,914 -- 617,461,107
Germany............... 88,531,841 492,713,548 -- 581,245,389
Greece................ 335,251 4,559,310 -- 4,894,561
Hong Kong............. -- 106,867,691 -- 106,867,691
Ireland............... 4,784,538 10,415,338 -- 15,199,876
Israel................ 5,756,752 32,573,129 -- 38,329,881
Italy................. 23,300,035 65,864,728 -- 89,164,763
Japan................. 117,374,320 1,355,656,564 -- 1,473,030,884
Malaysia.............. -- -- -- --
Netherlands........... 13,867,890 202,543,315 -- 216,411,205
New Zealand........... -- 6,099,517 -- 6,099,517
Norway................ 311,480 72,352,054 -- 72,663,534
Portugal.............. -- 5,744,115 -- 5,744,115
Singapore............. -- 78,508,852 -- 78,508,852
Spain................. 55,061,813 154,785,881 -- 209,847,694
Sweden................ 9,912,006 160,067,355 -- 169,979,361
Switzerland........... 52,276,796 317,767,066 -- 370,043,862
United Kingdom........ 701,196,382 605,188,802 -- 1,306,385,184
Preferred Stocks
Germany............... -- 19,462,153 -- 19,462,153
Rights/Warrants
Hong Kong............. -- 1,391,631 -- 1,391,631
Securities Lending
Collateral............. -- 718,528,912 -- 718,528,912
-------------- -------------- -- --------------
TOTAL.................... $2,045,512,962 $5,573,243,870 -- $7,618,756,832
============== ============== == ==============
See accompanying Notes to Financial Statements.
236
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (89.2%)
Consumer Discretionary -- (20.6%)
Aoyama Trading Co., Ltd......... 250,500 $ 3,957,036 0.3%
Autobacs Seven Co., Ltd......... 97,200 4,450,886 0.3%
*Haseko Corp..................... 5,986,000 3,763,301 0.2%
Komeri Co., Ltd................. 121,500 3,827,963 0.3%
#Nifco, Inc...................... 191,700 4,999,788 0.3%
#*Pioneer Electronic Corp......... 981,300 3,934,768 0.3%
Ryohin Keikaku Co., Ltd......... 94,300 4,475,211 0.3%
Shimachu Co., Ltd............... 187,000 4,033,239 0.3%
SKY Perfect JSAT Holdings, Inc.. 7,630 3,708,231 0.2%
Sumitomo Forestry Co., Ltd...... 436,666 3,778,511 0.3%
Toyobo Co., Ltd................. 3,218,000 4,570,007 0.3%
#Zensho Co., Ltd................. 298,400 3,723,858 0.2%
Other Securities................ 293,744,594 19.5%
------------ ----
Total Consumer Discretionary....... 342,967,393 22.8%
------------ ----
Consumer Staples -- (9.0%)
Fuji Oil Co., Ltd............... 258,900 3,674,846 0.2%
#Megmilk Snow Brand Co., Ltd..... 194,300 3,735,258 0.3%
Nichirei Corp................... 1,019,000 4,522,962 0.3%
Takara Holdings, Inc............ 714,000 4,219,127 0.3%
Other Securities................ 134,068,275 8.9%
------------ ----
Total Consumer Staples............. 150,220,468 10.0%
------------ ----
Energy -- (0.9%)
Other Securities................ 15,515,236 1.0%
------------ ----
Financials -- (10.1%)
Bank of Okinawa, Ltd. (The)..... 92,500 3,692,807 0.2%
Century Tokyo Leasing Corp...... 223,890 4,476,323 0.3%
Daishi Bank, Ltd. (The)......... 1,398,000 4,448,525 0.3%
Hyakugo Bank, Ltd. (The)........ 1,045,609 4,066,286 0.3%
Hyakujishi Bank, Ltd. (The)..... 1,022,000 3,913,596 0.2%
Juroku Bank, Ltd................ 1,331,000 3,980,608 0.3%
Kiyo Holdings, Inc.............. 2,635,900 3,720,995 0.2%
Musashino Bank, Ltd............. 130,300 4,143,571 0.3%
Ogaki Kyoritsu Bank, Ltd. (The). 1,315,000 4,076,621 0.3%
San-in Godo Bank, Ltd. (The).... 592,000 4,303,496 0.3%
Tokyo Tatemono Co., Ltd......... 1,552,000 4,870,859 0.3%
Other Securities................ 123,207,469 8.2%
------------ ----
Total Financials................... 168,901,156 11.2%
------------ ----
Health Care -- (3.8%)
Kaken Pharmaceutical Co., Ltd... 353,000 4,430,753 0.3%
KYORIN Holdings, Inc............ 205,000 3,772,136 0.3%
#Nihon Kohden Corp............... 159,200 3,716,689 0.2%
Rohto Pharmaceutical Co., Ltd... 360,000 4,147,178 0.3%
#Sawai Pharmaceutical Co., Ltd... 50,500 4,723,834 0.3%
Other Securities................ 42,255,491 2.8%
------------ ----
Total Health Care.................. 63,046,081 4.2%
------------ ----
Industrials -- (24.1%)
Duskin Co., Ltd................. 212,500 4,129,397 0.3%
Hitachi Zosen Corp.............. 2,951,000 3,989,842 0.3%
#Miura Co., Ltd.................. 137,600 3,691,708 0.2%
Nachi-Fujikoshi Corp............ 663,000 3,674,507 0.2%
OKUMA Corp...................... 517,000 3,805,376 0.3%
OSG Corp........................ 289,400 3,708,430 0.2%
237
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (Continued)
Sankyu, Inc.......................... 969,000 $ 3,836,727 0.3%
Other Securities..................... 374,966,815 24.9%
-------------- -----
Total Industrials....................... 401,802,802 26.7%
-------------- -----
Information Technology -- (9.6%)
#Anritsu Corp......................... 458,000 5,178,398 0.4%
Capcom Co., Ltd...................... 205,600 5,378,552 0.4%
Horiba, Ltd.......................... 160,950 5,105,623 0.3%
IT Holdings Corp..................... 357,401 3,671,509 0.3%
Net One Systems Co., Ltd............. 1,984 5,160,385 0.3%
Other Securities..................... 135,587,936 9.0%
-------------- -----
Total Information Technology............ 160,082,403 10.7%
-------------- -----
Materials -- (10.6%)
FP Corp.............................. 61,200 3,896,208 0.3%
#Hokuetsu Kishu Paper Co., Ltd........ 862,199 5,674,954 0.4%
#Sumitomo Osaka Cement Co., Ltd....... 1,640,000 4,968,204 0.3%
Taiheiyo Cement Corp................. 2,664,000 5,175,243 0.3%
Toagosei Co., Ltd.................... 1,096,000 4,895,489 0.3%
Tokai Carbon Co., Ltd................ 825,000 4,092,463 0.3%
Other Securities..................... 147,158,740 9.8%
-------------- -----
Total Materials......................... 175,861,301 11.7%
-------------- -----
Utilities -- (0.5%)
Other Securities..................... 8,117,479 0.6%
-------------- -----
TOTAL COMMON STOCKS..................... 1,486,514,319 98.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities..................... -- 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (10.8%)
(S)@DFA Short Term Investment Fund...... 179,334,778 179,334,778 12.0%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.11%, 11/01/11
(Collateralized by FNMA 3.500%,
11/01/31, valued at $383,050) to
be repurchased at $375,540......... $ 376 375,539 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL..... 179,710,317 12.0%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,814,743,819)................. $1,666,224,636 110.9%
============== =====
238
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of October 31, 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..... $1,942,492 $ 341,024,901 -- $ 342,967,393
Consumer Staples........... 323,805 149,896,663 -- 150,220,468
Energy..................... -- 15,515,236 -- 15,515,236
Financials................. -- 168,901,156 -- 168,901,156
Health Care................ -- 63,046,081 -- 63,046,081
Industrials................ 134,689 401,668,113 -- 401,802,802
Information Technology..... -- 160,082,403 -- 160,082,403
Materials.................. -- 175,861,301 -- 175,861,301
Utilities.................. -- 8,117,479 -- 8,117,479
Rights/Warrants............... -- -- -- --
Securities Lending Collateral. -- 179,710,317 -- 179,710,317
---------- -------------- -- --------------
TOTAL......................... $2,400,986 $1,663,823,650 -- $1,666,224,636
========== ============== == ==============
See accompanying Notes to Financial Statements.
239
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (82.0%)
AUSTRALIA -- (51.7%)
Adelaide Brighton, Ltd................ 1,927,272 $ 5,766,974 0.6%
Ansell, Ltd........................... 503,479 7,363,989 0.8%
#APA Group, Ltd........................ 1,403,768 6,401,846 0.7%
#Aristocrat Leisure, Ltd............... 1,611,890 3,816,054 0.4%
#Australian Infrastructure Fund NL..... 3,159,690 6,272,817 0.7%
Beach Energy, Ltd..................... 4,828,492 5,934,225 0.7%
Boart Longyear Group.................. 1,792,094 6,100,440 0.7%
Bradken, Ltd.......................... 708,039 5,710,618 0.6%
Campbell Brothers, Ltd................ 261,443 12,585,834 1.4%
#carsales.com, Ltd..................... 809,574 4,185,086 0.5%
Challenger, Ltd....................... 1,063,324 5,069,014 0.6%
CSR, Ltd.............................. 2,025,158 5,158,339 0.6%
#David Jones, Ltd...................... 1,783,074 6,294,519 0.7%
#*Downer EDI, Ltd....................... 1,591,674 5,054,618 0.6%
DUET Group, Ltd....................... 4,437,176 7,732,961 0.9%
#Flight Centre, Ltd.................... 192,954 4,006,413 0.4%
#Goodman Fielder, Ltd.................. 8,233,537 4,788,349 0.5%
GrainCorp, Ltd........................ 693,457 5,712,269 0.6%
Iluka Resources, Ltd.................. 573,137 9,528,200 1.0%
#Independence Group NL................. 892,724 4,935,443 0.5%
#Invocare, Ltd......................... 572,622 4,172,041 0.5%
#IOOF Holdings, Ltd.................... 989,055 6,550,695 0.7%
#JB Hi-Fi, Ltd......................... 407,557 6,726,320 0.7%
#Kingsgate Consolidated, Ltd........... 560,879 4,421,985 0.5%
#Medusa Mining, Ltd.................... 579,085 4,070,719 0.4%
Mineral Resources, Ltd................ 419,678 4,920,651 0.5%
#Monadelphous Group, Ltd............... 318,887 6,064,967 0.7%
#Mount Gibson Iron, Ltd................ 2,962,399 4,738,207 0.5%
#Myer Holdings, Ltd.................... 2,456,107 6,703,584 0.7%
#Navitas, Ltd.......................... 1,157,537 5,013,315 0.6%
*PanAust, Ltd.......................... 1,780,618 6,016,882 0.7%
#Perpetual Trustees Australia, Ltd..... 167,142 3,950,909 0.4%
#*Perseus Mining, Ltd................... 1,605,654 5,309,539 0.6%
#Primary Health Care, Ltd.............. 1,866,288 6,495,676 0.7%
Reece Australia, Ltd.................. 238,457 4,689,436 0.5%
#SAI Global, Ltd....................... 1,064,331 5,301,870 0.6%
#Seek, Ltd............................. 666,916 4,323,680 0.5%
Seven Group Holdings, Ltd............. 641,345 5,152,442 0.6%
#Seven West Media, Ltd................. 1,335,509 5,003,193 0.6%
Spark Infrastructure Group, Ltd....... 4,783,165 6,094,155 0.7%
#*Sundance Resources, Ltd............... 8,756,539 3,955,560 0.4%
#Super Retail Group, Ltd............... 909,056 5,150,189 0.6%
#Transfield Services, Ltd.............. 1,784,320 4,258,408 0.5%
UGL, Ltd.............................. 332,576 4,601,399 0.5%
Other Securities...................... 315,932,663 34.8%
------------ ----
TOTAL AUSTRALIA.......................... 562,036,493 62.0%
------------ ----
HONG KONG -- (15.4%)
Giordano International, Ltd........... 7,162,000 5,374,945 0.6%
Other Securities...................... 162,745,971 17.9%
------------ ----
TOTAL HONG KONG.......................... 168,120,916 18.5%
------------ ----
MALAYSIA -- (0.0%)
Other Securities...................... 4,205 0.0%
------------ ----
NEW ZEALAND -- (5.5%)
Fisher & Paykel Healthcare Corp., Ltd. 2,659,497 4,946,589 0.5%
240
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
NEW ZEALAND -- (Continued)
Port of Tauranga, Ltd................ 528,322 $ 4,135,066 0.5%
Sky City Entertainment Group, Ltd.... 2,938,887 8,361,441 0.9%
Sky Network Television, Ltd.......... 940,466 4,163,442 0.5%
Other Securities..................... 38,013,153 4.2%
-------------- -----
TOTAL NEW ZEALAND....................... 59,619,691 6.6%
-------------- -----
SINGAPORE -- (9.4%)
*Biosensors International Group, Ltd.. 3,419,237 3,811,638 0.4%
Other Securities..................... 98,349,063 10.9%
-------------- -----
TOTAL SINGAPORE......................... 102,160,701 11.3%
-------------- -----
TOTAL COMMON STOCKS..................... 891,942,006 98.4%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities..................... 3,864 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities..................... 40,990 0.0%
-------------- -----
SINGAPORE -- (0.0%)
Other Securities..................... 79,161 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS................... 124,015 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (18.0%)
(S)@DFA Short Term Investment Fund...... 194,946,384 194,946,384 21.5%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.11%, 11/01/11
(Collateralized by FNMA 3.500%,
11/01/31, valued at $507,060) to
be repurchased at $497,120......... $ 497 497,118 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL..... 195,443,502 21.5%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,048,582,657)................. $1,087,509,523 119.9%
============== =====
241
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of October 31, 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................. $ 9,745,378 $ 552,291,115 -- $ 562,036,493
Hong Kong................. 431,272 167,689,644 -- 168,120,916
Malaysia.................. -- 4,205 -- 4,205
New Zealand............... 84,538 59,535,153 -- 59,619,691
Singapore................. 184,430 101,976,271 -- 102,160,701
Rights/Warrants
Australia................. 22 3,842 -- 3,864
Hong Kong................. 40,990 -- -- 40,990
Singapore................. 62,935 16,226 -- 79,161
Securities Lending Collateral -- 195,443,502 -- 195,443,502
----------- -------------- -- --------------
TOTAL........................ $10,549,565 $1,076,959,958 -- $1,087,509,523
=========== ============== == ==============
See accompanying Notes to Financial Statements.
242
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (99.5%)
Consumer Discretionary -- (22.6%)
*Berkeley Group Holdings P.L.C. (The). 511,780 $ 10,262,607 0.9%
GKN P.L.C............................ 3,414,280 10,379,451 0.9%
Greene King P.L.C.................... 1,421,372 10,248,985 0.9%
Inchcape P.L.C....................... 1,915,975 10,215,753 0.9%
Informa P.L.C........................ 2,227,041 12,932,542 1.1%
*ITV P.L.C............................ 8,448,636 8,656,619 0.8%
Ladbrokes P.L.C...................... 3,578,739 7,926,071 0.7%
Millennium & Copthorne Hotels P.L.C.. 1,048,561 7,496,839 0.7%
Persimmon P.L.C...................... 1,135,393 9,054,346 0.8%
Rightmove P.L.C...................... 378,372 7,916,679 0.7%
UBM P.L.C............................ 917,439 7,467,863 0.6%
William Hill P.L.C................... 2,873,883 9,975,029 0.9%
Other Securities..................... 142,912,801 12.6%
------------ ----
Total Consumer Discretionary............ 255,445,585 22.5%
------------ ----
Consumer Staples -- (4.1%)
PZ Cussons P.L.C..................... 1,287,639 7,603,992 0.7%
Tate & Lyle P.L.C.................... 1,074,000 11,236,585 1.0%
Other Securities..................... 27,383,039 2.4%
------------ ----
Total Consumer Staples.................. 46,223,616 4.1%
------------ ----
Energy -- (4.7%)
John Wood Group P.L.C................ 1,034,385 10,241,235 0.9%
*Premier Oil P.L.C.................... 1,778,192 10,468,183 0.9%
Other Securities..................... 32,447,704 2.9%
------------ ----
Total Energy............................ 53,157,122 4.7%
------------ ----
Financials -- (13.4%)
Aberdeen Asset Management P.L.C...... 2,820,342 8,684,151 0.8%
Amlin P.L.C.......................... 1,905,352 8,788,141 0.8%
Catlin Group, Ltd.................... 1,357,851 8,637,469 0.8%
Henderson Group P.L.C................ 3,838,880 7,392,054 0.7%
Hiscox, Ltd.......................... 1,562,751 9,550,834 0.8%
IG Group Holdings P.L.C.............. 1,317,769 9,826,558 0.9%
Jardine Lloyd Thompson Group P.L.C... 638,821 7,365,218 0.6%
London Stock Exchange Group P.L.C.... 579,642 8,368,165 0.7%
Provident Financial P.L.C............ 541,018 9,615,833 0.8%
Other Securities..................... 73,851,452 6.5%
------------ ----
Total Financials........................ 152,079,875 13.4%
------------ ----
Health Care -- (1.9%)
Other Securities..................... 21,928,906 1.9%
------------ ----
Industrials -- (30.5%)
Babcock International Group P.L.C.... 1,446,405 16,346,634 1.4%
Balfour Beatty P.L.C................. 2,828,972 11,412,635 1.0%
BBA Aviation P.L.C................... 2,792,163 7,949,170 0.7%
Carillion P.L.C...................... 1,773,138 9,848,482 0.9%
Charter International P.L.C.......... 664,438 9,570,201 0.8%
Cookson Group P.L.C.................. 1,135,834 8,730,616 0.8%
Firstgroup P.L.C..................... 1,763,210 9,443,194 0.8%
IMI P.L.C............................ 1,053,765 13,887,888 1.2%
Intertek Group P.L.C................. 506,207 16,690,015 1.5%
Invensys P.L.C....................... 2,110,010 7,633,539 0.7%
Meggitt P.L.C........................ 2,465,596 15,216,658 1.3%
Melrose P.L.C........................ 1,583,124 8,361,271 0.7%
Michael Page International P.L.C..... 1,310,832 8,438,432 0.8%
243
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
*Rentokil Initial P.L.C............ 6,753,492 $ 7,788,542 0.7%
Rotork P.L.C...................... 366,679 9,890,187 0.9%
Spirax-Sarco Engineering P.L.C.... 319,520 9,815,375 0.9%
Travis Perkins P.L.C.............. 922,110 13,042,544 1.2%
Other Securities.................. 161,405,297 14.2%
-------------- ----
Total Industrials.................... 345,470,680 30.5%
-------------- ----
Information Technology -- (10.1%)
Halma P.L.C....................... 1,541,075 8,281,224 0.7%
Logica P.L.C...................... 6,339,968 9,513,413 0.8%
*Misys P.L.C....................... 1,604,251 7,512,729 0.7%
Spectris P.L.C.................... 515,234 10,526,946 0.9%
Other Securities.................. 78,876,227 7.0%
-------------- ----
Total Information Technology......... 114,710,539 10.1%
-------------- ----
Materials -- (7.3%)
Croda International P.L.C......... 520,183 14,624,049 1.3%
Mondi P.L.C....................... 1,078,021 8,199,053 0.7%
Other Securities.................. 59,734,196 5.3%
-------------- ----
Total Materials...................... 82,557,298 7.3%
-------------- ----
Telecommunication Services -- (2.3%)
Other Securities.................. 25,819,992 2.3%
-------------- ----
Utilities -- (2.6%)
Drax Group P.L.C.................. 1,479,700 12,880,863 1.2%
Pennon Group P.L.C................ 1,445,401 16,146,166 1.4%
Other Securities.................. 240,136 0.0%
-------------- ----
Total Utilities...................... 29,267,165 2.6%
-------------- ----
TOTAL COMMON STOCKS.................. 1,126,660,778 99.4%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Consumer Staples -- (0.0%)
Other Securities.................. 9,625 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................. 9,536 0.0%
-------------- ----
SHARES/
FACE
AMOUNT VALUE+
---------- --------------
(000)
SECURITIES LENDING COLLATERAL --
(0.5%)
(S)@DFA Short Term Investment Fund... 3,124,051 3,124,051 0.3%
@Repurchase Agreement, Deutsche
Bank Securities, Inc. 0.11%,
11/01/11 (Collateralized by
FNMA 3.500%, 11/01/31, valued
at $2,571,372) to be
repurchased at $2,520,961........ $ 2,521 2,520,953 0.2%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL.. 5,645,004 0.5%
-------------- ----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,103,961,462).............. $1,132,324,943 99.9%
============== ====
244
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of October 31, 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..... $2,307,852 $ 253,137,733 -- $ 255,445,585
Consumer Staples........... 291,174 45,932,442 -- 46,223,616
Energy..................... -- 53,157,122 -- 53,157,122
Financials................. 3,845 152,076,030 -- 152,079,875
Health Care................ -- 21,928,906 -- 21,928,906
Industrials................ -- 345,470,680 -- 345,470,680
Information Technology..... -- 114,710,539 -- 114,710,539
Materials.................. -- 82,557,298 -- 82,557,298
Telecommunication Services. -- 25,819,992 -- 25,819,992
Utilities.................. -- 29,267,165 -- 29,267,165
Preferred Stocks
Consumer Staples........... -- 9,625 -- 9,625
Rights/Warrants............... -- 9,536 -- 9,536
Securities Lending Collateral. -- 5,645,004 -- 5,645,004
---------- -------------- -- --------------
TOTAL......................... $2,602,871 $1,129,722,072 -- $1,132,324,943
========== ============== == ==============
See accompanying Notes to Financial Statements.
245
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (86.7%)
AUSTRIA -- (2.1%)
Other Securities..................... $ 49,235,911 2.5%
------------ ----
BELGIUM -- (2.9%)
Ackermans & van Haaren NV............ 87,214 7,026,076 0.4%
*D'ieteren SA......................... 129,060 7,344,614 0.4%
Other Securities..................... 52,870,924 2.6%
------------ ----
TOTAL BELGIUM........................... 67,241,614 3.4%
------------ ----
DENMARK -- (2.6%)
*Topdanmark A.S....................... 53,386 8,789,962 0.5%
Other Securities..................... 50,816,373 2.5%
------------ ----
TOTAL DENMARK........................... 59,606,335 3.0%
------------ ----
FINLAND -- (5.8%)
#Elisa Oyj............................ 494,801 10,431,808 0.5%
Orion Oyj Series B................... 337,043 7,013,846 0.4%
Other Securities..................... 115,966,780 5.8%
------------ ----
TOTAL FINLAND........................... 133,412,434 6.7%
------------ ----
FRANCE -- (10.1%)
*Arkema SA............................ 139,427 9,475,335 0.5%
#Neopost SA........................... 91,985 6,996,144 0.4%
#Nexans SA............................ 131,823 8,292,007 0.4%
Remy Cointreau SA.................... 82,777 6,781,256 0.3%
Valeo SA............................. 229,231 11,506,324 0.6%
Zodiac Aerospace SA.................. 89,170 6,991,700 0.3%
Other Securities..................... 183,063,235 9.1%
------------ ----
TOTAL FRANCE............................ 233,106,001 11.6%
------------ ----
GERMANY -- (12.8%)
*Aareal Bank AG....................... 423,110 8,478,484 0.4%
Aurubis AG........................... 152,783 8,620,221 0.4%
Bilfinger Berger SE.................. 162,980 14,547,368 0.7%
MTU Aero Engines Holding AG.......... 176,697 11,832,506 0.6%
Rheinmetall AG....................... 126,352 6,700,932 0.4%
Rhoen-Klinikum AG.................... 406,308 8,107,235 0.4%
#*SGL Carbon SE........................ 229,387 14,257,094 0.7%
Software AG.......................... 192,899 7,988,782 0.4%
Symrise AG........................... 330,233 8,548,072 0.4%
Other Securities..................... 204,125,996 10.2%
------------ ----
TOTAL GERMANY........................... 293,206,690 14.6%
------------ ----
GREECE -- (1.9%)
Other Securities..................... 43,085,344 2.2%
------------ ----
IRELAND -- (2.9%)
DCC P.L.C............................ 308,989 8,564,908 0.4%
Dragon Oil P.L.C..................... 1,339,680 12,083,896 0.6%
Paddy Power P.L.C.................... 180,573 9,997,277 0.5%
Other Securities..................... 35,360,315 1.8%
------------ ----
TOTAL IRELAND........................... 66,006,396 3.3%
------------ ----
ISRAEL -- (2.4%)
Other Securities..................... 53,990,503 2.7%
------------ ----
246
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- -------------- ---------------
ITALY -- (7.1%)
#Banca Popolare di Sondrio Scarl...... 922,722 $ 7,039,189 0.4%
Davide Campari - Milano SpA.......... 990,609 7,652,926 0.4%
Prysmian SpA......................... 653,038 9,872,100 0.5%
Other Securities..................... 139,095,655 6.9%
-------------- ----
TOTAL ITALY............................. 163,659,870 8.2%
-------------- ----
NETHERLANDS -- (4.6%)
Aalberts Industries NV............... 384,012 6,753,750 0.3%
#Imtech NV............................ 272,621 8,053,728 0.4%
Nutreco NV........................... 145,366 9,658,003 0.5%
SBM Offshore NV...................... 563,703 12,385,902 0.6%
Other Securities..................... 69,399,633 3.5%
-------------- ----
TOTAL NETHERLANDS....................... 106,251,016 5.3%
-------------- ----
NORWAY -- (2.8%)
Other Securities..................... 64,920,076 3.2%
-------------- ----
PORTUGAL -- (0.9%)
Other Securities..................... 20,190,809 1.0%
-------------- ----
SPAIN -- (5.4%)
#Bolsas y Mercados Espanoles SA....... 236,082 6,761,301 0.3%
Ebro Foods SA........................ 340,839 6,906,928 0.4%
#*Grifols SA.......................... 457,616 8,508,217 0.4%
Viscofan SA.......................... 183,430 7,043,085 0.4%
Other Securities..................... 94,355,215 4.7%
-------------- ----
TOTAL SPAIN............................. 123,574,746 6.2%
-------------- ----
SWEDEN -- (8.3%)
*Castellum AB......................... 548,218 7,421,699 0.4%
Elekta AB Series B................... 255,842 10,216,832 0.5%
*Lundin Petroleum AB.................. 439,229 10,719,305 0.5%
*Meda AB Series A..................... 750,311 7,635,753 0.4%
Trelleborg AB Series B............... 928,357 7,858,668 0.4%
Other Securities..................... 146,210,677 7.3%
-------------- ----
TOTAL SWEDEN............................ 190,062,934 9.5%
-------------- ----
SWITZERLAND -- (14.1%)
*Aryzta AG............................ 289,931 13,979,948 0.7%
Bank Sarasin & Cie AG Series B....... 182,505 6,937,974 0.3%
*Clariant AG.......................... 699,758 7,577,735 0.4%
*Dufry AG............................. 65,162 6,975,452 0.3%
#Galenica Holding AG.................. 18,828 10,906,687 0.5%
GAM Holding AG....................... 780,910 9,336,078 0.5%
Helvetia Holding AG.................. 22,754 8,313,855 0.4%
Lonza Group AG....................... 140,493 9,345,357 0.5%
*PSP Swiss Property AG................ 148,327 13,494,819 0.7%
*Sulzer AG............................ 64,067 7,466,988 0.4%
Swiss Life Holding AG................ 93,938 11,537,216 0.6%
Other Securities..................... 219,321,241 10.9%
-------------- ----
TOTAL SWITZERLAND....................... 325,193,350 16.2%
-------------- ----
TOTAL COMMON STOCKS..................... 1,992,744,029 99.6%
-------------- ----
RIGHTS/WARRANTS -- (0.1%)
BELGIUM -- (0.0%)
Other Securities..................... 1,402 0.0%
-------------- ----
ITALY -- (0.1%)
Other Securities..................... 1,667,926 0.1%
-------------- ----
247
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
NORWAY -- (0.0%)
Other Securities......................................................... $ -- 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS....................................................... 1,669,328 0.1%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (13.2%)
(S)@DFA Short Term Investment Fund.......................................... 303,408,660 303,408,660 15.1%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.11%, 11/01/11
(Collateralized by FNMA 3.500%, 11/01/31, valued at $1,237,089) to be
repurchased at $1,212,836.............................................. $ 1,213 1,212,832 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL......................................... 304,621,492 15.2%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,351,668,120)..................................................... $2,299,034,849 114.9%
============== =====
248
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of October 31, 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................... $ 391,925 $ 48,843,986 -- $ 49,235,911
Belgium................... 518,454 66,723,160 -- 67,241,614
Denmark................... 263,563 59,342,772 -- 59,606,335
Finland................... -- 133,412,434 -- 133,412,434
France.................... 592,920 232,513,081 -- 233,106,001
Germany................... 2,803,490 290,403,200 -- 293,206,690
Greece.................... 140,819 42,944,525 -- 43,085,344
Ireland................... 38,612 65,967,784 -- 66,006,396
Israel.................... 2,399,465 51,591,038 -- 53,990,503
Italy..................... -- 163,659,870 -- 163,659,870
Netherlands............... 309,421 105,941,595 -- 106,251,016
Norway.................... 901,048 64,019,028 -- 64,920,076
Portugal.................. 492,951 19,697,858 -- 20,190,809
Spain..................... 181,193 123,393,553 -- 123,574,746
Sweden.................... 2,260,761 187,802,173 -- 190,062,934
Switzerland............... 339,294 324,854,056 -- 325,193,350
Rights/Warrants
Belgium................... 355 1,047 -- 1,402
Italy..................... 1,667,926 -- -- 1,667,926
Norway.................... -- -- -- --
Securities Lending Collateral -- 304,621,492 -- 304,621,492
----------- -------------- -- --------------
TOTAL........................ $13,302,197 $2,285,732,652 -- $2,299,034,849
=========== ============== == ==============
See accompanying Notes to Financial Statements.
249
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (77.5%)
Consumer Discretionary -- (7.9%)
Astral Media, Inc. Class A........... 195,947 $ 6,727,170 0.9%
#Cineplex, Inc........................ 191,278 5,079,637 0.7%
#Corus Entertainment, Inc. Class B.... 295,300 5,655,658 0.8%
#Dollarama, Inc....................... 197,346 7,428,565 1.0%
Groupe Aeroplan, Inc................. 696,151 8,017,872 1.1%
RONA, Inc............................ 677,175 6,522,077 0.9%
Other Securities..................... 34,910,751 4.7%
------------ ----
Total Consumer Discretionary............ 74,341,730 10.1%
------------ ----
Consumer Staples -- (2.4%)
Jean Coutu Group PJC, Inc. Class A
(The).............................. 400,161 5,118,688 0.7%
Other Securities..................... 17,452,446 2.4%
------------ ----
Total Consumer Staples.................. 22,571,134 3.1%
------------ ----
Energy -- (19.8%)
*Advantage Oil & Gas, Ltd............. 1,098,231 5,828,585 0.8%
#AltaGas, Ltd......................... 276,864 8,169,120 1.1%
#*Bankers Petroleum, Ltd............... 810,182 4,307,965 0.6%
#*Birchcliff Energy, Ltd............... 355,600 5,394,203 0.7%
*BlackPearl Resources, Inc............ 954,830 4,550,231 0.6%
*Celtic Exploration, Ltd.............. 269,000 6,663,266 0.9%
#Daylight Energy, Ltd................. 739,288 7,305,730 1.0%
*Gran Tierra Energy, Inc.............. 969,291 5,941,678 0.8%
#Keyera Corp.......................... 92,651 4,226,577 0.6%
#Mullen Group, Ltd.................... 274,057 5,507,260 0.7%
#NAL Energy Corp...................... 517,913 4,588,083 0.6%
*Paramount Resources, Ltd. Class A.... 136,127 4,953,425 0.7%
ShawCor, Ltd. Class A................ 222,500 5,323,928 0.7%
#Trilogy Energy Corp.................. 191,610 6,528,293 0.9%
Other Securities..................... 108,079,045 14.7%
------------ ----
Total Energy............................ 187,367,389 25.4%
------------ ----
Financials -- (5.6%)
#AGF Management, Ltd. Class B......... 330,879 5,304,687 0.7%
Canadian Western Bank................ 255,372 7,301,833 1.0%
Home Capital Group, Inc.............. 120,600 5,454,375 0.7%
Laurentian Bank of Canada............ 92,400 4,262,405 0.6%
TMX Group, Inc....................... 231,476 10,171,707 1.4%
Other Securities..................... 20,797,284 2.8%
------------ ----
Total Financials........................ 53,292,291 7.2%
------------ ----
Health Care -- (1.6%)
Other Securities..................... 14,813,008 2.0%
------------ ----
Industrials -- (7.0%)
Progressive Waste Solutions, Ltd..... 209,167 4,406,829 0.6%
#Ritchie Brothers Auctioneers, Inc.... 244,637 4,869,424 0.7%
Russel Metals, Inc................... 243,400 5,601,802 0.8%
Toromont Industries, Ltd............. 282,567 5,301,232 0.7%
#*Westport Innovations, Inc............ 189,501 5,718,776 0.8%
Other Securities..................... 40,046,544 5.4%
------------ ----
Total Industrials....................... 65,944,607 9.0%
------------ ----
Information Technology -- (4.3%)
*Celestica, Inc....................... 847,607 7,032,566 0.9%
MacDonald Dettweiler & Associates,
Ltd................................ 111,753 5,023,980 0.7%
250
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ ------------ ---------------
Information Technology -- (Continued)
*Open Text Corp....................... 107,738 $ 6,594,528 0.9%
Wi-Lan, Inc.......................... 666,819 4,963,930 0.7%
Other Securities..................... 17,427,010 2.4%
------------ -----
Total Information Technology............ 41,042,014 5.6%
------------ -----
Materials -- (26.6%)
Alamos Gold, Inc..................... 423,220 7,833,869 1.1%
#*AuRico Gold, Inc..................... 967,320 9,365,074 1.3%
*Detour Gold Corp..................... 237,256 7,854,977 1.1%
*Euro Goldfields, Ltd................. 521,960 5,875,487 0.8%
*First Majestic Silver Corp........... 350,583 5,954,723 0.8%
#HudBay Minerals, Inc................. 611,960 6,704,392 0.9%
Major Drilling Group International,
Inc................................ 319,200 4,268,810 0.6%
#Methanex Corp........................ 289,704 7,469,669 1.0%
#*NovaGold Resources, Inc.............. 612,655 5,624,071 0.8%
*Quadra FNX Mining, Ltd............... 408,502 4,713,091 0.6%
#*SEMAFO, Inc.......................... 905,185 6,947,244 0.9%
Sherritt International Corp.......... 1,571,926 9,036,505 1.2%
#Silvercorp Metals, Inc............... 620,630 5,771,999 0.8%
West Fraser Timber Co., Ltd.......... 131,316 5,664,999 0.8%
Other Securities..................... 157,883,063 21.4%
------------ -----
Total Materials......................... 250,967,973 34.1%
------------ -----
Telecommunication Services -- (0.3%)
Other Securities..................... 2,467,484 0.3%
------------ -----
Utilities -- (2.0%)
#Just Energy Group, Inc............... 467,883 5,050,836 0.7%
Other Securities..................... 13,927,682 1.9%
------------ -----
Total Utilities......................... 18,978,518 2.6%
------------ -----
TOTAL COMMON STOCKS..................... 731,786,148 99.4%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities...................... 43,371 0.0%
------------ -----
SHARES/
FACE
AMOUNT VALUE+
------------ ------------
(000)
SECURITIES LENDING COLLATERAL -- (22.5%)
(S)@DFA Short Term Investment Fund...... 210,374,890 210,374,890 28.6%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.11%, 11/01/11
(Collateralized by FNMA 3.500%,
11/01/31, valued at $2,366,389) to
be repurchased at $2,319,996....... $ 2,320 2,319,989 0.3%
------------ -----
TOTAL SECURITIES LENDING COLLATERAL..... 212,694,879 28.9%
------------ -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $970,256,943)................... $944,524,398 128.3%
============ =====
251
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of October 31, 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....... $ 74,341,730 -- -- $ 74,341,730
Consumer Staples............. 22,571,134 -- -- 22,571,134
Energy....................... 187,367,389 -- -- 187,367,389
Financials................... 53,292,291 -- -- 53,292,291
Health Care.................. 14,813,008 -- -- 14,813,008
Industrials.................. 65,944,607 -- -- 65,944,607
Information Technology....... 41,042,014 -- -- 41,042,014
Materials.................... 250,967,973 -- -- 250,967,973
Telecommunication Services... 2,467,484 -- -- 2,467,484
Utilities.................... 18,978,518 -- -- 18,978,518
Rights/Warrants................. 32,434 $ 10,937 -- 43,371
Securities Lending Collateral... -- 212,694,879 -- 212,694,879
------------ ------------ -- ------------
TOTAL........................... $731,818,582 $212,705,816 -- $944,524,398
============ ============ == ============
See accompanying Notes to Financial Statements.
252
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (84.3%)
BRAZIL -- (5.1%)
#BRF - Brasil Foods SA ADR........... 590,060 $ 12,420,763 0.5%
Petroleo Brasilerio SA ADR.......... 825,839 22,305,911 0.9%
#Vale SA Sponsored ADR............... 517,614 13,152,572 0.6%
Other Securities.................... 85,465,200 3.5%
------------ ----
TOTAL BRAZIL........................... 133,344,446 5.5%
------------ ----
CHILE -- (1.9%)
Other Securities.................... 51,064,584 2.1%
------------ ----
CHINA -- (12.4%)
Bank of China, Ltd. Series H........ 48,700,100 17,332,800 0.7%
China Construction Bank Corp.
Series H.......................... 28,362,590 20,838,995 0.9%
#China Life Insurance Co., Ltd. ADR.. 305,704 11,846,030 0.5%
China Mobile, Ltd. Sponsored ADR.... 729,872 34,712,712 1.4%
#China Petroleum & Chemical Corp.
ADR................................ 106,449 10,048,786 0.4%
#CNOOC, Ltd. ADR..................... 100,270 18,911,925 0.8%
Industrial & Commercial Bank of
China, Ltd. Series H.............. 36,966,185 23,037,295 0.9%
#PetroChina Co., Ltd. ADR............ 141,210 18,302,228 0.7%
Tencent Holdings, Ltd............... 700,600 16,123,538 0.7%
Other Securities.................... 154,657,110 6.3%
------------ ----
TOTAL CHINA............................ 325,811,419 13.3%
------------ ----
COLOMBIA -- (0.4%)
Other Securities.................... 9,639,683 0.4%
------------ ----
CZECH REPUBLIC -- (0.5%)
Other Securities.................... 13,611,179 0.6%
------------ ----
EGYPT -- (0.1%)
Other Securities.................... 3,004,529 0.1%
------------ ----
HUNGARY -- (0.4%)
Other Securities.................... 10,049,799 0.4%
------------ ----
INDIA -- (8.6%)
HDFC Bank, Ltd...................... 1,530,370 15,228,014 0.6%
ICICI Bank, Ltd. Sponsored ADR...... 306,356 11,384,189 0.5%
Infosys, Ltd........................ 250,829 14,661,612 0.6%
#Infosys, Ltd. Sponsored ADR......... 188,659 11,053,531 0.4%
Reliance Industries, Ltd............ 1,475,013 26,413,453 1.1%
Tata Consultancy Services, Ltd...... 481,215 10,927,517 0.4%
Other Securities.................... 136,085,923 5.6%
------------ ----
TOTAL INDIA............................ 225,754,239 9.2%
------------ ----
INDONESIA -- (2.8%)
PT Astra International Tbk.......... 2,078,561 16,027,331 0.7%
Other Securities.................... 59,037,568 2.4%
------------ ----
TOTAL INDONESIA........................ 75,064,899 3.1%
------------ ----
ISRAEL -- (0.0%)
Other Securities.................... 19 0.0%
------------ ----
MALAYSIA -- (3.7%)
Other Securities.................... 96,938,566 4.0%
------------ ----
MEXICO -- (5.7%)
#America Movil S.A.B. de C.V.
Series L........................... 33,690,314 42,823,885 1.8%
#Fomento Economico Mexicano S.A.B.
de C.V............................. 2,109,900 14,153,602 0.6%
253
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
MEXICO -- (Continued)
Grupo Mexico S.A.B. de C.V.
Series B........................ 3,928,317 $ 10,897,417 0.4%
#Wal-Mart de Mexico S.A.B. de C.V.
Series V......................... 6,300,780 16,263,738 0.7%
Other Securities.................. 66,144,096 2.7%
-------------- ----
TOTAL MEXICO......................... 150,282,738 6.2%
-------------- ----
PERU -- (0.5%)
Other Securities.................. 11,960,082 0.5%
-------------- ----
PHILIPPINES -- (0.8%)
Other Securities.................. 20,249,894 0.8%
-------------- ----
POLAND -- (1.2%)
Other Securities.................. 31,373,697 1.3%
-------------- ----
RUSSIA -- (4.6%)
Gazprom OAO Sponsored ADR......... 4,226,507 48,995,198 2.0%
Lukoil OAO Sponsored ADR.......... 354,178 20,514,406 0.8%
MMC Norilsk Nickel JSC ADR........ 597,703 11,655,726 0.5%
Rosneft Oil Co. GDR............... 1,491,147 10,565,684 0.4%
Other Securities.................. 30,529,004 1.3%
-------------- ----
TOTAL RUSSIA......................... 122,260,018 5.0%
-------------- ----
SOUTH AFRICA -- (7.8%)
Impala Platinum Holdings, Ltd..... 478,692 10,949,323 0.5%
MTN Group, Ltd.................... 1,659,950 29,077,128 1.2%
Naspers, Ltd. Series N............ 324,237 15,671,748 0.6%
Sasol, Ltd. Sponsored ADR......... 691,887 31,300,968 1.3%
Standard Bank Group, Ltd.......... 863,345 10,685,595 0.4%
Other Securities.................. 107,096,309 4.4%
-------------- ----
TOTAL SOUTH AFRICA................... 204,781,071 8.4%
-------------- ----
SOUTH KOREA -- (13.8%)
Hyundai Heavy Industries Co., Ltd. 39,020 10,424,738 0.4%
Hyundai Mobis..................... 53,070 15,188,178 0.6%
#Hyundai Motor Co., Ltd............ 96,847 19,503,867 0.8%
Kia Motors Corp................... 225,130 14,433,507 0.6%
LG Chemical, Ltd.................. 32,392 10,452,445 0.4%
POSCO............................. 46,060 15,959,255 0.7%
Samsung Electronics Co., Ltd...... 69,482 59,814,359 2.4%
Samsung Electronics Co., Ltd. GDR. 49,372 21,160,746 0.9%
Other Securities.................. 197,575,151 8.1%
-------------- ----
TOTAL SOUTH KOREA.................... 364,512,246 14.9%
-------------- ----
TAIWAN -- (10.5%)
Formosa Plastics Corp............. 4,070,648 11,972,150 0.5%
Hon Hai Precision Industry Co.,
Ltd............................. 6,066,096 16,629,459 0.7%
#HTC Corp.......................... 581,235 13,062,416 0.5%
Nan Ya Plastic Corp............... 5,377,564 12,097,508 0.5%
Taiwan Semiconductor
Manufacturing Co., Ltd.......... 19,090,808 46,521,944 1.9%
Other Securities.................. 175,552,816 7.2%
-------------- ----
TOTAL TAIWAN......................... 275,836,293 11.3%
-------------- ----
THAILAND -- (2.0%)
Other Securities.................. 53,870,863 2.2%
-------------- ----
TURKEY -- (1.5%)
Other Securities.................. 40,343,682 1.7%
-------------- ----
TOTAL COMMON STOCKS.................. 2,219,753,946 91.0%
-------------- ----
254
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
PREFERRED STOCKS -- (8.0%)
BRAZIL -- (8.0%)
Banco Bradesco SA.............. 1,656,632 $ 30,009,177 1.2%
Cia de Bebidas das Americas SA
ADR.......................... 661,939 22,320,583 0.9%
Itau Unibanco Holding SA....... 1,765,755 33,909,161 1.4%
#Petroleo Brasilerio SA ADR..... 1,376,550 34,812,950 1.4%
Vale SA Series A............... 1,412,691 33,612,970 1.4%
Other Securities............... 55,872,895 2.3%
-------------- -----
TOTAL BRAZIL...................... 210,537,736 8.6%
-------------- -----
TOTAL PREFERRED STOCKS............ 210,537,736 8.6%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
SOUTH KOREA -- (0.0%)
Other Securities............... 44,763 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL --
(7.7%)..........................
(S)@DFA Short Term Investment Fund 198,287,107 198,287,107 8.1%
@Repurchase Agreement,
Deutsche Bank Securities,
Inc. 0.11%, 11/01/11
(Collateralized by FNMA
3.500%, 11/01/31, valued at
$3,330,993) to be
repurchased at $3,265,689.... $ 3,266 3,265,679 0.2%
-------------- -----
TOTAL SECURITIES LENDING
COLLATERAL...................... 201,552,786 8.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,590,413,944)........... $2,631,889,231 107.9%
============== =====
255
THE EMERGING MARKETS SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of October 31, 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.................. $133,344,446 -- -- $ 133,344,446
Chile................... 51,064,584 -- -- 51,064,584
China................... 111,877,546 $ 213,933,873 -- 325,811,419
Colombia................ 9,639,683 -- -- 9,639,683
Czech Republic.......... -- 13,611,179 -- 13,611,179
Egypt................... -- 3,004,529 -- 3,004,529
Hungary................. -- 10,049,799 -- 10,049,799
India................... 31,223,348 194,530,891 -- 225,754,239
Indonesia............... 18,078 75,046,821 -- 75,064,899
Israel.................. -- 19 -- 19
Malaysia................ -- 96,938,566 -- 96,938,566
Mexico.................. 150,275,025 7,713 -- 150,282,738
Peru.................... 11,960,082 -- -- 11,960,082
Philippines............. -- 20,249,894 -- 20,249,894
Poland.................. -- 31,373,697 -- 31,373,697
Russia.................. 1,649,511 120,610,507 -- 122,260,018
South Africa............ 54,788,205 149,992,866 -- 204,781,071
South Korea............. 12,119,450 352,392,796 -- 364,512,246
Taiwan.................. 7,697,143 268,139,150 -- 275,836,293
Thailand................ 53,870,863 -- -- 53,870,863
Turkey.................. 287,635 40,056,047 -- 40,343,682
Preferred Stocks
Brazil.................. 210,537,736 -- -- 210,537,736
Rights/Warrants
South Korea............. -- 44,763 -- 44,763
Securities Lending
Collateral............... -- 201,552,786 -- 201,552,786
------------ -------------- -- --------------
TOTAL...................... $840,353,335 $1,791,535,896 -- $2,631,889,231
============ ============== == ==============
See accompanying Notes to Financial Statements.
256
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (89.0%)
ARGENTINA -- (0.0%)
Other Securities................... $ -- 0.0%
------------ ----
BRAZIL -- (8.3%)
Anhanguera Educacional
Participacoes SA................. 343,345 5,101,629 0.3%
BR Malls Participacoes SA.......... 567,258 6,162,077 0.3%
*CETIP SA........................... 307,059 4,204,769 0.2%
*Cia Hering SA...................... 340,090 7,616,542 0.4%
*Diagnosticos Da America SA......... 574,800 4,633,621 0.3%
Duratex SA......................... 749,354 4,115,915 0.2%
#Gafisa SA ADR...................... 642,131 4,777,455 0.3%
*Localiza Rent a Car SA............. 293,302 4,402,477 0.2%
Lojas Renner SA.................... 273,700 8,321,717 0.4%
M. Dias Branco SA.................. 164,941 4,274,238 0.2%
Multiplan Empreendimentos
Imobiliarios SA.................. 200,046 4,039,721 0.2%
*Totvs SA........................... 288,020 4,797,957 0.3%
Other Securities................... 106,844,083 5.7%
------------ ----
TOTAL BRAZIL.......................... 169,292,201 9.0%
------------ ----
CHILE -- (1.5%)
Other Securities................... 30,306,458 1.6%
------------ ----
CHINA -- (13.2%)
#*Brilliance China Automotive
Holdings, Ltd...................... 7,248,000 7,815,955 0.4%
ENN Energy Holdings, Ltd........... 2,178,000 7,870,265 0.4%
*Semiconductor Manufacturing
International Corp................ 93,483,000 5,010,191 0.3%
Shougang Fushan Resources Group,
Ltd.............................. 10,944,000 4,459,400 0.2%
#Sino-Ocean Land Holdings, Ltd...... 11,976,054 5,358,877 0.3%
Other Securities................... 238,475,680 12.7%
------------ ----
TOTAL CHINA........................... 268,990,368 14.3%
------------ ----
HUNGARY -- (0.1%)
Other Securities................... 2,422,355 0.1%
------------ ----
INDIA -- (9.2%)
Other Securities................... 187,159,793 10.0%
------------ ----
INDONESIA -- (4.4%)
*PT Charoen Pokphand Indonesia Tbk.. 19,232,500 5,727,240 0.3%
PT Lippo Karawaci Tbk.............. 59,407,812 4,259,280 0.2%
Other Securities................... 79,892,392 4.3%
------------ ----
TOTAL INDONESIA....................... 89,878,912 4.8%
------------ ----
ISRAEL -- (0.0%)
Other Securities................... 539,578 0.0%
------------ ----
MALAYSIA -- (5.5%)
*Dialog Group Berhad................ 6,956,692 5,402,167 0.3%
Other Securities................... 106,658,903 5.7%
------------ ----
TOTAL MALAYSIA........................ 112,061,070 6.0%
------------ ----
MEXICO -- (3.5%)
Arca Continental S.A.B. de C.V..... 4,727,621 22,437,310 1.2%
Other Securities................... 48,658,336 2.6%
------------ ----
TOTAL MEXICO.......................... 71,095,646 3.8%
------------ ----
PHILIPPINES -- (2.0%)
Other Securities................... 40,703,369 2.2%
------------ ----
257
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
POLAND -- (1.7%)
Other Securities.......... $ 34,641,829 1.8%
SOUTH AFRICA -- (8.1%)
Adcock Ingram Holdings,
Ltd..................... 565,230 4,434,618 0.2%
AECI, Ltd................. 459,895 4,409,638 0.2%
Aveng, Ltd................ 1,069,332 4,967,592 0.3%
AVI, Ltd.................. 1,007,184 4,408,388 0.2%
Clicks Group, Ltd......... 970,964 5,067,687 0.3%
*Foschini Group, Ltd. (The) 349,032 4,382,932 0.2%
JD Group, Ltd............. 983,807 5,506,388 0.3%
Mediclinic International,
Ltd..................... 913,800 4,000,607 0.2%
Mr. Price Group, Ltd...... 693,186 6,646,662 0.4%
PSG Group, Ltd............ 742,484 4,634,305 0.3%
Reunert, Ltd.............. 689,181 5,444,736 0.3%
*Spar Group, Ltd. (The).... 622,477 7,589,595 0.4%
Tongaat-Hulett, Ltd....... 629,016 7,244,639 0.4%
Woolworths Holdings, Ltd.. 1,230,163 6,273,575 0.3%
Other Securities.......... 89,671,716 4.8%
-------------- ----
TOTAL SOUTH AFRICA........... 164,683,078 8.8%
-------------- ----
SOUTH KOREA -- (13.4%)
*BS Financial Group, Inc... 409,510 4,507,079 0.3%
Cheil Worldwide, Inc...... 264,015 4,322,997 0.2%
CJ Cheiljedang Corp....... 22,343 6,165,900 0.3%
*DGB Financial Group, Inc.. 367,913 4,631,282 0.3%
Dongbu Insurance Co., Ltd. 97,230 4,093,322 0.2%
*Hanwha Corp............... 116,950 4,104,538 0.2%
Hyosung Corp.............. 70,064 4,040,869 0.2%
*Hyundai Marine & Fire
Insurance Co., Ltd....... 154,140 4,463,250 0.3%
Korea Investment Holdings
Co., Ltd................ 120,780 4,011,991 0.2%
LG Uplus Corp............. 720,590 4,291,412 0.2%
*ORION Corp................ 10,218 5,481,798 0.3%
Woongjin Coway Co., Ltd... 143,810 4,954,100 0.3%
Other Securities.......... 217,778,751 11.6%
-------------- ----
TOTAL SOUTH KOREA............ 272,847,289 14.6%
-------------- ----
TAIWAN -- (12.5%)
Other Securities.......... 255,093,611 13.6%
-------------- ----
THAILAND -- (3.1%)
Other Securities.......... 62,101,112 3.3%
-------------- ----
TURKEY -- (2.5%)
Other Securities.......... 49,659,130 2.7%
-------------- ----
TOTAL COMMON STOCKS.......... 1,811,475,799 96.6%
-------------- ----
PREFERRED STOCKS -- (2.3%)
BRAZIL -- (2.3%)
Banco do Estado do Rio
Grande do Sul SA........ 402,747 4,250,677 0.2%
Eletropaulo Metropolitana
Eletricidade de Sao
Paulo SA................ 368,000 6,644,727 0.3%
*Klabin SA................. 1,412,700 5,192,147 0.3%
Other Securities.......... 29,342,615 1.6%
-------------- ----
TOTAL BRAZIL................. 45,430,166 2.4%
-------------- ----
CHILE -- (0.0%)
Other Securities.......... 534,244 0.1%
-------------- ----
INDIA -- (0.0%)
Other Securities.......... 52,585 0.0%
-------------- ----
258
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
MALAYSIA -- (0.0%)
Other Securities.................... $ 265,785 0.0%
-------------- -----
PHILIPPINES -- (0.0%)
Other Securities.................... 9,743 0.0%
-------------- -----
TOTAL PREFERRED STOCKS................. 46,292,523 2.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
Other Securities.................... -- 0.0%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities.................... 77,219 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities.................... 399,948 0.0%
-------------- -----
TAIWAN -- (0.0%)
Other Securities.................... 69,858 0.0%
-------------- -----
THAILAND -- (0.0%)
Other Securities.................... 47,521 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS.................. 594,546 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (8.7%)
(S)@DFA Short Term Investment Fund..... 173,497,753 173,497,753 9.3%
@Repurchase Agreement, Deutsche
Bank Securities, Inc. 0.11%,
11/01/11 (Collateralized by
FNMA 3.500%, 11/01/31, valued
at $3,508,923) to be
repurchased at $3,440,132......... $ 3,440 3,440,121 0.2%
-------------- -----
TOTAL SECURITIES LENDING
COLLATERAL........................... 176,937,874 9.5%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,723,730,227)................ $2,035,300,742 108.6%
============== =====
259
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of inputs used to value the Series' investments as of October 31, 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............... -- -- -- --
Brazil.................. $169,292,201 -- -- $ 169,292,201
Chile................... 30,306,458 -- -- 30,306,458
China................... 380,480 $ 268,609,888 -- 268,990,368
Hungary................. -- 2,422,355 -- 2,422,355
India................... 1,803,073 185,356,720 -- 187,159,793
Indonesia............... 12,614 89,866,298 -- 89,878,912
Israel.................. -- 539,578 -- 539,578
Malaysia................ 1,477,730 110,583,340 -- 112,061,070
Mexico.................. 70,808,805 286,841 -- 71,095,646
Philippines............. 24,160 40,679,209 -- 40,703,369
Poland.................. 27,375 34,614,454 -- 34,641,829
South Africa............ 237,044 164,446,034 -- 164,683,078
South Korea............. 4,631,282 268,216,007 -- 272,847,289
Taiwan.................. -- 255,093,611 -- 255,093,611
Thailand................ 62,000,974 100,138 -- 62,101,112
Turkey.................. -- 49,659,130 -- 49,659,130
Preferred Stocks
Brazil.................. 45,394,648 35,518 -- 45,430,166
Chile................... 534,244 -- -- 534,244
India................... -- 52,585 -- 52,585
Malaysia................ 9,517 256,268 -- 265,785
Philippines............. 9,743 -- -- 9,743
Rights/Warrants
China................... -- -- -- --
Malaysia................ 77,219 -- -- 77,219
South Korea............. -- 399,948 -- 399,948
Taiwan.................. -- 69,858 -- 69,858
Thailand................ 47,521 -- -- 47,521
Securities Lending
Collateral............... -- 176,937,874 -- 176,937,874
------------ -------------- -- --------------
TOTAL...................... $387,075,088 $1,648,225,654 -- $2,035,300,742
============ ============== == ==============
See accompanying Notes to Financial Statements.
260
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(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
$705,167, $659,265, $168,689 and
$171,355 of securities on loan,
respectively)......................... $ 9,318,149 $6,900,228 $1,486,514 $ 892,066
Temporary Cash Investments at Value &
Cost.................................. 15,006 -- -- --
Collateral Received from Securities on
Loan at Value & Cost.................. 276 2,865 375 497
Affiliated Collateral Received from
Securities on Loan at Value & Cost.... 724,868 715,664 179,335 194,946
Foreign Currencies at Value............. -- 5,055 113 10,013
Cash.................................... -- 7,998 416 545
Receivables:
Investment Securities Sold........... 16,470 10,461 -- 24
Dividends, Interest and Tax Reclaims. 12,523 22,583 10,774 1,914
Securities Lending Income............ 882 392 168 213
Fund Shares Sold..................... -- 16,059 5,055 3,000
----------- ---------- ---------- ----------
Total Assets..................... 10,088,174 7,681,305 1,682,750 1,103,218
----------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned..... 725,144 718,529 179,710 195,443
Investment Securities Purchased...... 11,357 -- -- 848
Fund Shares Redeemed................. 15,399 5,329 -- 33
Due to Advisor....................... 738 1,124 129 71
Unrealized Loss on Foreign Currency
Contracts............................. -- -- -- 12
Accrued Expenses and Other Liabilities.. 429 416 96 77
----------- ---------- ---------- ----------
Total Liabilities................ 753,067 725,398 179,935 196,484
----------- ---------- ---------- ----------
NET ASSETS.............................. $ 9,335,107 $6,955,907 $1,502,815 $ 906,734
=========== ========== ========== ==========
Investments at Cost..................... $ 7,552,733 $6,343,124 $1,635,033 $ 853,139
=========== ========== ========== ==========
Foreign Currencies at Cost.............. $ -- $ 5,106 $ 115 $ 9,776
=========== ========== ========== ==========
See accompanying Notes to Financial Statements.
261
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(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 $5,273,
$284,106, $201,676, $242,548 and
$153,944 of securities on loan,
respectively)......................... $1,126,680 $1,994,413 $731,829 $2,430,336 $1,858,363
Collateral Received from Securities on
Loan at Value & Cost.................. 2,521 1,213 2,320 3,266 3,440
Affiliated Collateral Received from
Securities on Loan at Value & Cost.... 3,124 303,409 210,375 198,287 173,498
Foreign Currencies at Value............. 15,561 180 101 4,293 4,899
Cash.................................... 198 851 692 1,802 11,034
Receivables:
Investment Securities Sold........... -- 339 67 1,249 6,511
Dividends and Tax Reclaims........... 3,539 3,302 517 2,602 1,657
Securities Lending Income............ 13 472 184 257 314
Fund Shares Sold..................... -- 3,000 3,000 610 2,630
---------- ---------- -------- ---------- ----------
Total Assets..................... 1,151,636 2,307,179 949,085 2,642,702 2,062,346
---------- ---------- -------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned..... 5,645 304,622 212,695 201,553 176,938
Investment Securities Purchased...... -- 459 25 432 9,843
Fund Shares Redeemed................. 12,001 19 -- 152 --
Due to Advisor....................... 90 161 57 190 294
Unrealized Loss on Foreign Currency
Contracts............................. -- -- -- -- 5
Accrued Expenses and Other Liabilities.. 55 155 46 394 340
---------- ---------- -------- ---------- ----------
Total Liabilities................ 17,791 305,416 212,823 202,721 187,420
---------- ---------- -------- ---------- ----------
NET ASSETS.............................. $1,133,845 $2,001,763 $736,262 $2,439,981 $1,874,926
========== ========== ======== ========== ==========
Investments at Cost..................... $1,098,317 $2,047,047 $757,562 $1,388,861 $1,546,792
========== ========== ======== ========== ==========
Foreign Currencies at Cost.............. $ 15,576 $ 181 $ 100 $ 4,262 $ 4,884
========== ========== ======== ========== ==========
--------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
262
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS)
THE ASIA
THE U.S. THE JAPANESE PACIFIC
LARGE THE DFA SMALL SMALL
CAP VALUE INTERNATIONAL COMPANY COMPANY
SERIES VALUE SERIES SERIES SERIES
--------- ------------- ------------ ---------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $0, $20,604, $2,246
and $971, respectively)................. $172,743 $ 258,493 $ 29,941 $ 36,085
Interest.................................. 25 30 5 2
Income from Securities Lending............ 7,066 12,747 1,938 2,502
-------- ----------- -------- ---------
Total Investment Income............... 179,834 271,270 31,884 38,589
-------- ----------- -------- ---------
EXPENSES
Investment Advisory Services Fees......... 9,440 14,647 1,442 979
Accounting & Transfer Agent Fees.......... 900 708 159 116
Custodian Fees............................ 103 1,317 316 454
Shareholders' Reports..................... 52 41 8 6
Directors'/Trustees' Fees & Expenses...... 83 66 12 9
Professional Fees......................... 328 238 33 24
Other..................................... 76 87 19 14
-------- ----------- -------- ---------
Total Expenses........................ 10,982 17,104 1,989 1,602
-------- ----------- -------- ---------
Fees Paid Indirectly...................... -- (7) (1) --
-------- ----------- -------- ---------
Net Expenses.............................. 10,982 17,097 1,988 1,602
-------- ----------- -------- ---------
NET INVESTMENT INCOME (LOSS).............. 168,852 254,173 29,896 36,987
-------- ----------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:..............
Investment Securities Sold............ 387,017 161,341 17,637 71,818
Futures............................... (12,646) -- -- --
Foreign Currency Transactions......... -- 506 93 521
Change in Unrealized
Appreciation (Depreciation) of:.....
Investment Securities and
Foreign Currency.................... (74,679) (1,021,735) 66,983 (158,023)
Translation of Foreign Currency
Denominated Amounts................. -- (517) (598) 109
-------- ----------- -------- ---------
NET REALIZED AND UNREALIZED GAIN
(LOSS).................................. 299,692 (860,405) 84,115 (85,575)
-------- ----------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.................. $468,544 $ (606,232) $114,011 $ (48,588)
======== =========== ======== =========
See accompanying Notes to Financial Statements.
263
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(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 $13, $8,010, $2,212,
$7,771 and $5,088, respectively)....... $ 44,170 $ 56,938 $ 12,539 $ 65,327 $ 48,912
Interest................................. 3 28 5 11 12
Income from Securities Lending........... 246 8,288 2,514 2,791 3,812
-------- --------- -------- --------- ---------
Total Investment Income........... 44,419 65,254 15,058 68,129 52,736
-------- --------- -------- --------- ---------
EXPENSES
Investment Advisory Services Fees........ 1,142 2,274 810 2,535 3,976
Accounting & Transfer Agent Fees......... 131 237 100 262 210
Custodian Fees........................... 106 779 222 1,912 2,177
Shareholders' Reports.................... 6 13 4 14 11
Directors'/Trustees' Fees & Expenses..... 10 20 7 23 17
Audit Fees............................... 16 50 11 328 119
Legal Fees............................... 11 22 8 26 20
Other.................................... 14 28 6 41 33
-------- --------- -------- --------- ---------
Total Expenses.................... 1,436 3,423 1,168 5,141 6,563
-------- --------- -------- --------- ---------
Fees Paid Indirectly..................... (1) (1) -- (1) (2)
-------- --------- -------- --------- ---------
Net Expenses............................. 1,435 3,422 1,168 5,140 6,561
-------- --------- -------- --------- ---------
NET INVESTMENT INCOME (LOSS)............. 42,984 61,832 13,890 62,989 46,175
-------- --------- -------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold........... 18,980 66,872 38,405 103,456 29,751
Futures.............................. -- (287) -- -- --
Foreign Currency Transactions........ 33 (576) (110) (1,120)** (1,286)**
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................... (66,130) (377,057) (68,747) (330,512) (364,541)
Translation of Foreign Currency
Denominated Amounts................ 53 52 4 (115) (32)
Change in Deferred Thailand Capital
Gains Tax.............................. -- -- -- 4,428 3,997
-------- --------- -------- --------- ---------
NET REALIZED AND UNREALIZED GAIN
(LOSS)................................. (47,064) (310,996) (30,448) (223,863) (332,111)
-------- --------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................. $ (4,080) $(249,164) $(16,558) $(160,874) $(285,936)
======== ========= ======== ========= =========
--------
** Net of foreign capital gain taxes withheld of $903 and $652, respectively.
See accompanying Notes to Financial Statements.
264
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA THE JAPANESE
LARGE CAP VALUE INTERNATIONAL VALUE SMALL COMPANY
SERIES SERIES SERIES
----------------------- ----------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
----------- ---------- ----------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 168,852 $ 167,346 $ 254,173 $ 164,482 $ 29,896 $ 23,032
Net Realized Gain (Loss) on:
Investment Securities Sold.............. 387,017 638,095 161,341 360,748 17,637 (15,709)
Futures................................. (12,646) -- -- -- -- --
Foreign Currency Transactions........... -- -- 506 (156) 93 792
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency...................... (74,679) 678,724 (1,021,735) 182,952 66,983 (460)
Translation of Foreign Currency
Denominated Amounts................... -- -- (517) 537 (598) 315
----------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 468,544 1,484,165 (606,232) 708,563 114,011 7,970
----------- ---------- ----------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 1,230,772 512,765 900,473 611,794 212,545 61,990
Withdrawals............................. (1,180,609) (688,930) (257,967) (592,688) (35,341) (41,396)
----------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... 50,163 (176,165) 642,506 19,106 177,204 20,594
----------- ---------- ----------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 518,707 1,308,000 36,274 727,669 291,215 28,564
NET ASSETS
Beginning of Period......................... 8,816,400 7,508,400 6,919,633 6,191,964 1,211,600 1,183,036
----------- ---------- ----------- ---------- ---------- ----------
End of Period............................... $ 9,335,107 $8,816,400 $ 6,955,907 $6,919,633 $1,502,815 $1,211,600
=========== ========== =========== ========== ========== ==========
See accompanying Notes to Financial Statements.
265
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE ASIA PACIFIC THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY SMALL COMPANY
SERIES SERIES SERIES
------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
--------- -------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 36,987 $ 28,020 $ 42,984 $ 24,392 $ 61,832 $ 38,583
Net Realized Gain (Loss) on:
Investment Securities Sold.............. 71,818 46,684 18,980 35,525 66,872 72,573
Futures................................. -- -- -- -- (287) --
Foreign Currency Transactions........... 521 (20) 33 126 (576) 811
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency...................... (158,023) 129,509 (66,130) 152,112 (377,057) 156,901
Translation of Foreign Currency
Denominated Amounts................... 109 (75) 53 (30) 52 30
--------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... (48,588) 204,118 (4,080) 212,125 (249,164) 268,898
--------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions............................... 80,765 85,604 125,970 59,131 225,654 199,653
Withdrawals................................. (60,581) (35,581) (24,739) (5,034) (47,211) (26,959)
--------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... 20,184 50,023 101,231 54,097 178,443 172,694
--------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... (28,404) 254,141 97,151 266,222 (70,721) 441,592
NET ASSETS
Beginning of Period......................... 935,138 680,997 1,036,694 770,472 2,072,484 1,630,892
--------- -------- ---------- ---------- ---------- ----------
End of Period............................... $ 906,734 $935,138 $1,133,845 $1,036,694 $2,001,763 $2,072,484
========= ======== ========== ========== ========== ==========
See accompanying Notes to Financial Statements.
266
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE CANADIAN THE EMERGING
SMALL COMPANY THE EMERGING MARKETS SMALL CAP
SERIES MARKETS SERIES SERIES
------------------ ------------------------ ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2011 2010 2011 2010 2011 2010
-------- -------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 13,890 $ 5,240 $ 62,989 $ 48,891 $ 46,175 $ 30,699
Net Realized Gain (Loss) on:
Investment Securities Sold....................... 38,405 6,585 103,456 160,587 29,751 102,089
Foreign Currency Transactions.................... (110) 40 (1,120)** 541 (1,286)** 77**
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign
Currency....................................... (68,747) 168,950 (330,512) 337,045 (364,541) 382,774
Translation of Foreign Currency
Denominated Amounts............................ 4 (11) (115) (5) (32) (76)
Change in Deferred Thailand Capital Gains Tax........ -- -- 4,428 (2,275) 3,997 (3,052)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... (16,558) 180,804 (160,874) 544,784 (285,936) 512,511
-------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................................ 130,949 117,737 341,207 199,169 472,662 344,585
Withdrawals.......................................... (41,851) -- (269,845) (323,776) (193,156) (143,713)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest.................... 89,098 117,737 71,362 (124,607) 279,506 200,872
-------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets...................................... 72,540 298,541 (89,512) 420,177 (6,430) 713,383
NET ASSETS
Beginning of Period.................................. 663,722 365,181 2,529,493 2,109,316 1,881,356 1,167,973
-------- -------- ---------- ---------- ---------- ----------
End of Period........................................ $736,262 $663,722 $2,439,981 $2,529,493 $1,874,926 $1,881,356
======== ======== ========== ========== ========== ==========
--------
** Net of foreign capital gain taxes withheld of $903, $652 and $184,
respectively.
See accompanying Notes to Financial Statements.
267
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES+
----------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ----------- ----------
Total Return...................................... 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% 18.16%
---------- ---------- ---------- ---------- ----------- ----------
Net Assets, End of Period (thousands)............. $9,335,107 $8,816,400 $7,508,400 $6,739,363 $10,159,322 $8,866,306
Ratio of Expenses to Average Net Assets........... 0.12% 0.12% 0.13% 0.11%(B) 0.11% 0.12%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.79% 2.02% 2.42% 1.97%(B) 1.44% 1.68%
Portfolio Turnover Rate........................... 14% 28% 29% 19%(C) 9% 13%
THE DFA INTERNATIONAL VALUE SERIES+
---------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Total Return...................................... (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% 35.73%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $6,955,907 $6,919,633 $6,191,964 $4,700,337 $9,638,721 $7,457,252
Ratio of Expenses to Average Net Assets........... 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23%
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.47% 2.55% 3.22% 4.15%(B) 3.04% 3.29%
Portfolio Turnover Rate........................... 9% 20% 18% 16%(C) 16% 8%
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.
268
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Total Return...................................... 10.07% 0.72% 22.69% (26.87)%(C) (1.16)% (2.28)%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $1,502,815 $1,211,600 $1,183,036 $1,062,964 $1,504,821 $1,385,722
Ratio of Expenses to Average Net Assets........... 0.14% 0.14% 0.15% 0.13%(B) 0.13% 0.14%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.14% 0.14% 0.15% 0.13%(B) 0.13% 0.14%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.07% 1.95% 2.15% 2.64%(B) 1.94% 1.68%
Portfolio Turnover Rate........................... 5% 10% 7% 10%(C) 9% 9%
THE ASIA PACIFIC SMALL COMPANY SERIES
----------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Total Return...................................... (5.15)% 28.91% 84.98% (57.75)%(C) 47.23% 38.26%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $ 906,734 $ 935,138 $ 680,997 $ 441,237 $1,205,154 $ 749,627
Ratio of Expenses to Average Net Assets........... 0.16% 0.17% 0.18% 0.15%(B) 0.15% 0.17%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.16% 0.17% 0.18% 0.15%(B) 0.15% 0.17%
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.78% 3.64% 4.00% 4.33%(B) 3.58% 4.19%
Portfolio Turnover Rate........................... 17% 18% 23% 20%(C) 25% 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
269
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES
-------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Total Return...................................... 0.20% 25.94% 43.51% (50.77)%(C) 2.42% 44.80%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $1,133,845 $1,036,694 $ 770,472 $ 555,390 $1,158,580 $1,117,826
Ratio of Expenses to Average Net Assets........... 0.13% 0.13% 0.14% 0.12%(B) 0.12% 0.13%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.13% 0.13% 0.14% 0.12%(B) 0.12% 0.13%
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.76% 2.86% 4.02% 3.79%(B) 2.72% 2.70%
Portfolio Turnover Rate........................... 7% 15% 10% 25%(C) 12% 8%
THE CONTINENTAL SMALL COMPANY SERIES
-------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Total Return...................................... (10.75)% 15.37% 43.78% (49.66)%(C) 17.49% 47.10%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $2,001,763 $2,072,484 $1,630,892 $1,111,585 $2,256,122 $1,875,194
Ratio of Expenses to Average Net Assets........... 0.15% 0.15% 0.16% 0.14%(B) 0.14% 0.15%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.15% 0.15% 0.16% 0.14%(B) 0.14% 0.15%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.72% 2.24% 2.93% 3.49%(B) 2.16% 2.27%
Portfolio Turnover Rate........................... 10% 12% 7% 18%(C) 12% 7%
See accompanying Notes to Financial Statements.
270
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES
-------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, PERIOD
ENDED ENDED ENDED 2007 TO APRIL 2, 2007(a)
OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO
2011 2010 2009 2008 NOV. 30, 2007
-------- -------- -------- -------- ----------------
Total Return........................................... 0.27% 43.17% 61.67% (56.44)%(C) 10.20%(C)
-------- -------- -------- -------- --------
Net Assets, End of Period (thousands).................. $736,262 $663,722 $365,181 $232,873 $213,529
Ratio of Expenses to Average Net Assets................ 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E)
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)................................ 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E)
Ratio of Net Investment Income to Average Net
Assets................................................. 1.72% 1.05% 1.37% 0.97%(B) 0.47%(B)(E)
Portfolio Turnover Rate................................ 24% 10% 23% 21%(C) 6%(C)
THE EMERGING MARKETS SERIES
---------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- ---------- ---------- ----------
Total Return.................................. (6.44)% 27.04% 53.99% (48.15)%(C) 42.62% 31.87%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $2,439,981 $2,529,493 $2,109,316 $1,624,524 $3,707,790 $2,414,971
Ratio of Expenses to Average Net Assets....... 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............ 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20%
Ratio of Net Investment Income to Average Net
Assets...................................... 2.48% 2.18% 2.57% 3.00%(B) 2.52% 2.54%
Portfolio Turnover Rate....................... 16% 12% 14% 19%(C) 7% 11%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
271
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES
-----------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED 2007 TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2011 2010 2009 2008 2007 2006
---------- ---------- ---------- -------- ---------- --------
Total Return....................................... (12.94)% 41.96% 92.08% (56.84)%(C) 43.32% 40.55%
---------- ---------- ---------- -------- ---------- --------
Net Assets, End of Period (thousands).............. $1,874,926 $1,881,356 $1,167,973 $566,379 $1,525,571 $903,529
Ratio of Expenses to Average Net Assets............ 0.33% 0.32% 0.33% 0.30%(B) 0.31% 0.34%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................ 0.33% 0.32% 0.33% 0.30%(B) 0.31% 0.34%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.32% 2.16% 2.52% 3.07%(B) 1.94% 2.39%
Portfolio Turnover Rate............................ 18% 15% 13% 19%(C) 16% 18%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
272
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust 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)
273
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.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Series did not have any significant transfers between Level 1 and
Level 2 during the year ended October 31, 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.
274
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 Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: 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 October 31, 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 are
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 recognized when the capital gains are
earned.
275
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the year ended October 31, 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%
EARNED INCOME CREDIT:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the year
ended October 31, 2011, expenses reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series...... $ 7
The Japanese Small Company Series....... 1
The Asia Pacific Small Company Series... --
The United Kingdom Small Company Series. 1
The Continental Small Company Series.... 1
The Canadian Small Company Series....... --
The Emerging Markets Series............. 1
The Emerging Markets Small Cap Series... 2
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the year ended October 31, 2011, the total
related amounts paid by the Trust to the CCO were $84 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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................ $226
The DFA International Value Series............. 176
The Japanese Small Company Series.............. 37
The Asia Pacific Small Company Series.......... 18
The United Kingdom Small Company Series........ 21
The Continental Small Company Series........... 44
276
The Canadian Small Company Series..... $10
The Emerging Markets Series........... 60
The Emerging Markets Small Cap Series. 30
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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........................ $1,527,597 $1,330,587
The DFA International Value Series..................... 1,526,295 660,584
The Japanese Small Company Series...................... 269,316 69,415
The Asia Pacific Small Company Series.................. 208,234 167,484
The United Kingdom Small Company Series................ 223,610 82,231
The Continental Small Company Series................... 456,167 215,427
The Canadian Small Company Series...................... 280,913 195,028
The Emerging Markets Series............................ 529,036 398,877
The Emerging Markets Small Cap Series.................. 665,282 352,620
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 October 31, 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......... $8,293,184 $2,196,901 $(431,786) $1,765,115
The DFA International
Value Series......... 7,064,348 1,142,717 (588,308) 554,409
The Japanese Small
Company Series....... 1,819,229 164,477 (317,482) (153,005)
The Asia Pacific Small
Company Series....... 1,076,850 214,050 (203,391) 10,659
The United Kingdom
Small Company Series. 1,111,769 242,578 (222,022) 20,556
The Continental Small
Company Series....... 2,356,891 455,824 (513,680) (57,856)
The Canadian Small
Company Series....... 984,551 118,412 (158,439) (40,027)
The Emerging Markets
Series............... 1,592,448 1,085,985 (46,544) 1,039,441
The Emerging Markets
Small Cap Series..... 1,743,947 499,690 (208,336) 291,354
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and on investments in passive foreign investment companies.
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 more likely than not that the total amounts of unrecognized tax
277
benefits will significantly change in the next twelve months. Each of the
Series' federal tax returns for the prior three fiscal years remains subject to
examination by the Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (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.
2. Foreign Markets Risks: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities by the Series may be inhibited.
278
DERIVATIVE FINANCIAL INSTRUMENTS:
Disclosures on derivative instruments and hedging activities are intended to
improve financial reporting for derivative instruments by enabling investors to
understand how and why a fund uses derivatives, how derivatives are accounted
for and how derivative instruments affect a fund's results of operations and
financial position. Summarized below are the specific types of derivative
instruments used by the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Series deposits cash or pledges U.S. Government securities to a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Series as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Series record a realized gain or
loss, which is presented in the Statements of Operations as a net realized gain
or loss on futures, equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, 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 year ended October 31, 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 $(12,646)
The Continental Small Company Series*... Net Realized Gain (Loss)
on Futures (287)
* As of October 31, 2011, there were no futures contracts outstanding. During
the year ended October 31, 2011, the Series had limited activity in futures
contracts.
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $250 million unsecured discretionary line of credit effective June 22,
2011 with 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 22,
2012. There were no borrowings by the Series under this line of credit during
the year ended October 31, 2011.
279
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. The Trust, together with other Dimensional-advised
portfolios, expects to enter into a new line of credit with substantially the
same terms as its existing line of credit prior to its expiration.
For the year ended October 31, 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....... 0.87% $6,501 33 $ 5 $15,367
The DFA
International
Value Series. 0.86% 2,623 14 1 12,532
The Japanese
Small
Company
Series....... 0.88% 625 16 -- 4,628
The Asia
Pacific
Small
Company
Series....... 0.85% 446 51 1 2,968
The United
Kingdom
Small
Company
Series....... 0.91% 117 19 -- 1,227
The
Continental
Small
Company
Series....... 0.83% 574 11 -- 2,038
The Emerging
Markets
Series....... 0.90% 4,082 42 4 15,798
The Emerging
Markets
Small Cap
Series....... 0.85% 3,345 41 3 16,110
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended that each Series' available line of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of October 31, 2011.
I. SECURITIES LENDING:
As of October 31, 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 consisting of short and/or long term U.S. Treasury
securities with a market value of $56,173 and $306, 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
280
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, each Series will
be able to terminate the loan at any time and will receive reasonable interest
on the loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
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 Bankruptcy Court
in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in
this action include mutual funds, individuals, institutional investors and
others who owned shares in Tribune at the time of the 2007 leveraged buyout
transaction (the "LBO") and sold their shares for $34 per share in cash, such
as The U.S. Large Cap Value Series. Thereafter, two additional and
substantially similar class actions were filed and are pending in United States
District Courts (with the Bankruptcy Court action, collectively referred to as
the "Lawsuits"). The Lawsuits seek to recover, for the benefit of Tribune's
bankruptcy estate or various creditors, payments to shareholders in the LBO.
The Lawsuits allege that Tribune's payment for those shares violated the rights
of creditors, as set forth in the Bankruptcy Code's and various states'
fraudulent transfer laws. However, the Lawsuits proceed on different legal
theories: the Bankruptcy Court action pleads an intentionally fraudulent
transfer; the District Court actions plead constructively fraudulent transfers.
281
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.
282
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series, The DFA International Value Series, The
Japanese Small Company Series, The Asia Pacific Small Company Series, The
United Kingdom Small Company Series, The Continental Small Company Series, The
Canadian Small Company Series, The Emerging Market Series and The Emerging
Markets Small Cap Series (constituting portfolios within The DFA Investment
Trust Company, hereafter referred to as the "Series") at October 31, 2011, the
results of each of their operations for the year then ended, the changes in
each of their net assets and the financial highlights for each of the periods
indicated, in conformity with accounting principles generally accepted in the
United States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Series' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at October 31, 2011 by correspondence with the custodians,
brokers, and the transfer agent of the investee fund, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2011
283
DIMENSIONAL EMERGING MARKETS VALUE FUND
PERFORMANCE CHART
DIMENSIONAL EMERGING MARKETS VALUE FUND VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2001-OCTOBER 31, 2011
GROWTH OF $10,000
[CHART]
MSCI
DIMENSIONAL EMERGING
EMERGING MARKETS
MARKETS INDEX
VALUE FUND (NET DIV.)
----------- ----------
10/31/2001 10,000.00 10,000.00
11/30/2001 11,214.77 11,043.27
12/31/2001 11,982.44 11,919.10
1/31/2002 12,949.67 12,321.28
2/28/2002 12,780.64 12,521.02
3/31/2002 13,550.67 13,270.30
4/30/2002 13,926.29 13,355.36
5/31/2002 13,757.26 13,139.34
6/30/2002 12,780.64 12,150.05
7/31/2002 12,282.94 11,221.22
8/31/2002 12,311.11 11,392.69
9/30/2002 10,846.17 10,163.15
10/31/2002 11,306.31 10,823.45
11/30/2002 12,200.02 11,568.33
12/31/2002 11,838.85 11,183.53
1/31/2003 12,020.99 11,134.20
2/28/2003 11,915.54 10,821.37
3/31/2003 11,656.72 10,512.33
4/30/2003 13,190.49 11,447.16
5/31/2003 14,187.45 12,265.59
6/30/2003 14,820.13 12,960.90
7/31/2003 15,155.65 13,766.84
8/31/2003 16,162.19 14,688.09
9/30/2003 16,957.84 14,795.06
10/31/2003 18,482.03 16,053.85
11/30/2003 18,692.66 16,249.19
12/31/2003 20,954.80 17,425.74
1/31/2004 21,526.21 18,034.27
2/29/2004 22,935.02 18,861.27
3/31/2004 23,220.72 19,097.00
4/30/2004 21,605.02 17,533.32
5/31/2004 20,964.66 17,183.53
6/30/2004 21,364.80 17,256.72
7/31/2004 21,632.85 16,940.82
8/31/2004 22,615.71 17,643.35
9/30/2004 24,104.29 18,661.28
10/31/2004 24,874.11 19,107.15
11/30/2004 27,563.47 20,875.96
12/31/2004 29,351.15 21,878.59
1/31/2005 29,844.45 21,934.15
2/28/2005 32,567.86 23,847.87
3/31/2005 30,201.04 22,271.83
4/30/2005 29,130.52 21,673.95
5/31/2005 29,573.14 22,428.37
6/30/2005 30,556.89 23,190.38
7/31/2005 32,775.99 24,811.33
8/31/2005 33,317.74 25,023.81
9/30/2005 35,999.11 27,353.90
10/31/2005 33,755.72 25,566.00
11/30/2005 36,261.53 27,680.93
12/31/2005 38,550.24 29,317.06
1/31/2006 42,250.54 32,591.52
2/28/2006 42,423.66 32,552.84
3/31/2006 43,875.52 32,839.73
4/30/2006 47,707.31 35,178.14
5/31/2006 42,562.08 31,492.44
6/30/2006 42,182.94 31,415.46
7/31/2006 43,200.32 31,865.25
8/31/2006 43,987.96 32,677.19
9/30/2006 44,897.37 32,949.27
10/31/2006 48,032.57 34,513.80
11/30/2006 51,556.32 37,079.37
12/31/2006 53,381.29 38,748.91
1/31/2007 54,223.49 38,331.68
2/28/2007 54,546.52 38,104.17
3/31/2007 57,403.66 39,621.55
4/30/2007 61,998.27 41,455.91
5/31/2007 66,731.76 43,509.21
6/30/2007 68,647.67 45,548.75
7/31/2007 71,923.27 47,952.05
8/31/2007 69,626.86 46,932.97
9/30/2007 75,912.85 52,115.94
10/31/2007 84,272.06 57,927.95
11/30/2007 78,155.93 53,821.63
12/31/2007 78,056.80 54,010.37
1/31/2008 70,317.97 47,270.20
2/29/2008 73,146.11 50,759.33
3/31/2008 70,702.82 48,073.18
4/30/2008 76,177.17 51,974.50
5/31/2008 76,859.85 52,938.69
6/30/2008 67,943.80 47,658.72
7/31/2008 66,628.93 45,861.03
8/31/2008 60,952.84 42,197.96
9/30/2008 50,443.83 34,813.18
10/31/2008 34,793.71 25,285.56
11/30/2008 32,168.27 23,382.14
12/31/2008 36,137.87 25,205.85
1/31/2009 32,890.12 23,578.05
2/28/2009 30,094.92 22,247.96
3/31/2009 35,319.91 25,445.15
4/30/2009 42,269.19 29,679.48
5/31/2009 51,806.10 34,750.69
6/30/2009 51,175.82 34,282.58
7/31/2009 58,064.62 38,137.59
8/31/2009 58,521.19 38,001.05
9/30/2009 63,940.69 41,450.42
10/31/2009 62,439.29 41,501.69
11/30/2009 66,443.39 43,284.42
12/31/2009 69,764.19 44,993.77
1/31/2010 65,814.76 42,484.38
2/28/2010 66,347.73 42,633.91
3/31/2010 72,196.71 46,075.86
4/30/2010 72,688.68 46,634.07
5/31/2010 65,104.14 42,532.30
6/30/2010 65,514.11 42,219.64
7/31/2010 71,609.08 45,735.49
8/31/2010 70,324.49 44,847.26
9/30/2010 78,797.32 49,831.12
10/31/2010 81,516.83 51,278.04
11/30/2010 78,906.65 49,924.41
12/31/2010 85,493.59 53,486.99
1/31/2011 82,828.75 52,035.83
2/28/2011 81,489.50 51,550.58
3/31/2011 86,190.55 54,581.43
4/30/2011 89,292.70 56,274.56
5/31/2011 85,917.23 54,798.52
6/30/2011 84,168.00 53,955.51
7/31/2011 83,498.38 53,715.88
8/31/2011 75,052.88 48,915.60
9/30/2011 61,605.68 41,783.97
10/31/2011 69,723.19 47,318.56
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ------ ----- -----
-14.47% 7.74% 21.43%
Past performance is not predictive of future performance.
Reimbursement fees applicable to purchases of shares prior to April 2002 are
not reflected in the graph and table.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2011, all rights reserved.
284
DIMENSIONAL EMERGING MARKETS VALUE FUND
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2011
Losses in emerging markets were higher on average than in developed markets,
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2011, returns in USD were -7.72% for
the MSCI Emerging Markets Index (net dividends) versus -3.70% for the MSCI
World ex USA Index (net dividends). As measured by the MSCI indices, emerging
markets growth stocks underperformed their value counterparts, while emerging
markets small cap stocks underperformed large caps.
12 MONTHS ENDED OCTOBER 31, 2011
U.S. DOLLAR
RETURN
-----------
MSCI Emerging Markets Index........... -7.72%
MSCI Emerging Markets Small Cap Index. -16.70%
MSCI Emerging Markets Value Index..... -6.99%
MSCI Emerging Markets Growth Index.... -8.45%
--------
The US dollar (USD) generally appreciated against most major emerging
markets currencies during the period.
12 MONTHS ENDED OCTOBER 31, 2011
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN
------------------------------------------ -------- -----------
China.................................................. -15.62% -15.76%
Brazil................................................. -12.71% -12.57%
South Korea............................................ 4.63% 6.24%
Taiwan................................................. -5.30% -3.07%
South Africa........................................... 10.15% -2.95%
India.................................................. -12.30% -19.99%
Russia................................................. -1.24% 0.22%
Mexico................................................. 5.26% -1.38%
Malaysia............................................... 2.08% 3.53%
Indonesia.............................................. 3.92% 4.92%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2011, all rights reserved.
INTERNATIONAL EQUITY FUND PERFORMANCE OVERVIEW
DIMENSIONAL EMERGING MARKETS VALUE FUND
The Dimensional Emerging Markets Value Fund seeks to capture the returns of
large and small cap value stocks in selected emerging markets. The investment
strategy is process driven, emphasizing broad diversification and consistent
exposure to emerging markets value stocks, and does not attempt to track a
specific equity index. As of October 31, 2011, the Fund held approximately
2,150 securities across 17 emerging markets. In general, the Fund was mostly
invested in equities throughout the year. The average cash level for the period
was less than 1% of the Fund's assets. The Fund's country weights were capped
at 15% of assets associated with any one country at the time of purchase by the
manager to limit single-country risk exposure.
285
For the 12 months ended October 31, 2011, total returns were -14.47% for the
Fund and -7.72% for the MSCI Emerging Markets Index (net dividends). As a
result of the Fund's diversified investment approach, performance was generally
determined by broad structural trends in emerging markets rather than the
behavior of a limited number of stocks. The Fund's relative underperformance as
compared to the Index was primarily due to its higher allocation than the Index
to small cap and value stocks, both of which underperformed, and a lower
allocation than the Index to large cap and growth stocks, respectively, each of
which outperformed. To a lesser extent, an additional component of the Fund's
performance was due to differences in valuation timing and methodology between
the Fund and the Index. The Fund prices foreign exchange rates at the closing
of the U.S. markets while the Index uses rates at 4 pm London time. The Fund
utilizes fair value pricing to price portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
286
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 OCTOBER 31, 2011
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/11 10/31/11 RATIO* PERIOD*
--------- --------- ---------- --------
Actual Fund Return............ $1,000.00 $ 780.86 0.22% $0.99
Hypothetical 5% Annual Return. $1,000.00 $1,024.10 0.22% $1.12
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
287
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Emerging Markets Value Fund, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. Dimensional Emerging Markets Value Fund filed its most
recent Form N-Q with the SEC on September 28, 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....................... 7.4%
Consumer Staples............................. 6.5%
Energy....................................... 17.4%
Financials................................... 30.6%
Health Care.................................. 0.6%
Industrials.................................. 10.5%
Information Technology....................... 6.3%
Materials.................................... 16.8%
Other........................................ --
Telecommunication Services................... 2.3%
Utilities.................................... 1.6%
-----
100.0%
288
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2011
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
COMMON STOCKS -- (88.5%)
BRAZIL -- (7.6%)
#Banco Santander Brasil SA ADR... 13,875,608 $ 126,268,033 0.9%
BM&F Bovespa SA................. 30,436,745 183,132,816 1.3%
BR Malls Participacoes SA....... 4,338,270 47,126,269 0.3%
Petroleo Brasileiro SA ADR...... 10,788,313 291,392,334 2.1%
Other Securities................ 484,469,038 3.5%
-------------- ----
TOTAL BRAZIL....................... 1,132,388,490 8.1%
-------------- ----
CHILE -- (1.8%)
Empresas CMPC SA................ 15,763,090 65,487,845 0.5%
#Enersis SA Sponsored ADR........ 3,046,239 59,797,672 0.4%
Other Securities................ 144,299,147 1.0%
-------------- ----
TOTAL CHILE........................ 269,584,664 1.9%
-------------- ----
CHINA -- (13.6%)
#Bank of China, Ltd. Series H.... 803,391,331 285,934,139 2.0%
#Bank of Communications Co.,
Ltd. Series H.................. 95,161,574 65,402,021 0.5%
#*China Citic Bank Corp., Ltd.
Series H........................ 95,111,716 50,856,739 0.4%
China Coal Energy Co., Ltd.
Series H...................... 41,470,000 51,652,075 0.4%
China Communications
Construction Co., Ltd. Series
H............................. 65,744,327 49,588,080 0.3%
China Construction Bank Corp.
Series H...................... 153,591,940 112,849,414 0.8%
#China Petroleum & Chemical
Corp. ADR...................... 993,796 93,814,342 0.7%
China Petroleum & Chemical
Corp. Series H................ 116,064,289 109,617,984 0.8%
#China Unicom Hong Kong, Ltd.
ADR............................ 7,272,462 146,249,211 1.0%
Other Securities................ 1,060,281,770 7.6%
-------------- ----
TOTAL CHINA........................ 2,026,245,775 14.5%
-------------- ----
CZECH REPUBLIC -- (0.3%)
Other Securities................ 47,098,177 0.3%
-------------- ----
HUNGARY -- (0.5%)
Other Securities................ 73,482,477 0.5%
-------------- ----
INDIA -- (8.7%)
#ICICI Bank, Ltd. Sponsored ADR.. 3,343,138 124,231,008 0.9%
Reliance Industries, Ltd........ 15,874,574 284,270,252 2.0%
Tata Steel, Ltd................. 5,110,167 50,322,064 0.4%
Other Securities................ 838,988,289 6.0%
-------------- ----
TOTAL INDIA........................ 1,297,811,613 9.3%
-------------- ----
INDONESIA -- (3.4%)
PT Bumi Resources Tbk........... 275,669,000 72,003,897 0.5%
Other Securities................ 424,948,346 3.1%
-------------- ----
TOTAL INDONESIA.................... 496,952,243 3.6%
-------------- ----
ISRAEL -- (0.0%)
Other Securities................ 1,614,106 0.0%
-------------- ----
MALAYSIA -- (3.2%)
Other Securities................ 471,605,118 3.4%
-------------- ----
MEXICO -- (4.7%)
#Alfa S.A.B. de C.V. Series A.... 4,281,493 49,429,768 0.4%
Fomento Economico Mexicano
S.A.B. de C.V. Sponsored ADR.. 2,134,064 143,088,991 1.0%
#Grupo Financiero Banorte S.A.B.
de C.V. Series O............... 14,274,417 48,681,042 0.3%
Grupo Mexico S.A.B. de C.V.
Series B...................... 24,138,837 66,962,768 0.5%
289
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- --------------- ---------------
MEXICO -- (Continued)
Other Securities................ $ 389,833,877 2.8%
--------------- ----
TOTAL MEXICO....................... 697,996,446 5.0%
--------------- ----
PHILIPPINES -- (0.9%)
Other Securities................ 128,360,276 0.9%
--------------- ----
POLAND -- (1.6%)
*Polski Koncern Naftowy Orlen SA. 5,310,008 65,568,714 0.5%
Other Securities................ 171,779,219 1.2%
--------------- ----
TOTAL POLAND....................... 237,347,933 1.7%
--------------- ----
RUSSIA -- (5.2%)
Gazprom OAO Sponsored ADR....... 50,745,478 588,259,941 4.2%
Lukoil OAO Sponsored ADR........ 2,457,775 142,357,217 1.0%
Other Securities................ 47,186,142 0.4%
--------------- ----
TOTAL RUSSIA....................... 777,803,300 5.6%
--------------- ----
SOUTH AFRICA -- (7.9%)
ABSA Group, Ltd................. 4,420,483 79,295,598 0.6%
Gold Fields, Ltd. Sponsored ADR. 10,210,601 177,970,775 1.3%
Nedbank Group, Ltd.............. 3,060,140 54,140,695 0.4%
Sanlam, Ltd..................... 28,905,406 107,867,260 0.8%
Standard Bank Group, Ltd........ 10,800,550 133,678,079 0.9%
#Steinhoff International
Holdings, Ltd.................. 16,661,875 50,383,723 0.3%
Other Securities................ 576,621,237 4.1%
--------------- ----
TOTAL SOUTH AFRICA................. 1,179,957,367 8.4%
--------------- ----
SOUTH KOREA -- (13.7%)
Hana Financial Group, Inc....... 2,545,984 90,951,178 0.7%
Hyundai Motor Co., Ltd.......... 695,176 140,000,418 1.0%
#*KB Financial Group, Inc. ADR.... 3,116,900 121,714,945 0.9%
#LG Electronics, Inc............. 1,144,074 75,740,020 0.5%
POSCO........................... 366,870 127,116,197 0.9%
#*POSCO ADR....................... 1,529,671 131,429,332 0.9%
Samsung C&T Corp................ 1,105,770 68,369,291 0.5%
#Samsung SDI Co., Ltd............ 384,336 46,296,900 0.3%
Shinhan Financial Group Co.,
Ltd........................... 3,676,399 146,457,204 1.1%
#Shinhan Financial Group Co.,
Ltd. ADR....................... 818,794 65,176,002 0.5%
SK Holdings Co., Ltd............ 349,657 46,548,698 0.3%
Other Securities................ 978,264,186 7.0%
--------------- ----
TOTAL SOUTH KOREA.................. 2,038,064,371 14.6%
--------------- ----
TAIWAN -- (11.4%)
First Financial Holding Co.,
Ltd........................... 72,788,356 48,316,420 0.4%
Fubon Financial Holding Co.,
Ltd........................... 48,047,063 56,332,130 0.4%
#Mega Financial Holding Co., Ltd. 95,728,765 73,586,438 0.5%
#United Microelectronics Corp.... 166,249,681 72,995,607 0.5%
Other Securities................ 1,448,397,285 10.3%
--------------- ----
TOTAL TAIWAN....................... 1,699,627,880 12.1%
--------------- ----
THAILAND -- (2.2%)
Other Securities................ 326,723,327 2.3%
--------------- ----
TURKEY -- (1.8%)
Other Securities................ 258,818,491 1.8%
--------------- ----
TOTAL COMMON STOCKS................ 13,161,482,054 94.0%
--------------- ----
290
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ --------------- ---------------
PREFERRED STOCKS -- (4.9%)
BRAZIL -- (4.9%)
#Gerdau SA Sponsored ADR............. 6,582,102 $ 59,370,560 0.4%
#Petroleo Brasileiro SA ADR.......... 14,314,698 362,018,712 2.6%
Usinas Siderurgicas de Minas
Gerais SA Perferred Series A...... 8,735,599 61,108,742 0.4%
Other Securities.................... 249,018,808 1.8%
--------------- -----
TOTAL BRAZIL........................... 731,516,822 5.2%
--------------- -----
INDIA -- (0.0%)
Other Securities.................... 124,022 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities.................... 823,203 0.0%
--------------- -----
TOTAL PREFERRED STOCKS................. 732,464,047 5.2%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
Other Securities.................... -- 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities.................... 167 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Securities.................... 1,665,450 0.0%
--------------- -----
THAILAND -- (0.0%)
Other Securities.................... 14,739 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS.................. 1,680,356 0.0%
--------------- -----
SHARES/
FACE
AMOUNT
(000) VALUE+
------------ ---------------
SECURITIES LENDING COLLATERAL -- (6.6%)
(S)@DFA Short Term Investment Fund..... 975,164,009 975,164,009 7.0%
@Repurchase Agreement,
Deutsche Bank Securities,
Inc. 0.11%, 11/01/11
(Collateralized by FNMA
3.500%, 11/01/31, valued at
$615,910) to be repurchased
at $603,835....................... $ 604 603,833 0.0%
--------------- -----
TOTAL SECURITIES LENDING
COLLATERAL........................... 975,767,842 7.0%
--------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $14,542,174,907)............... $14,871,394,299 106.2%
=============== =====
291
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of inputs used to value the Fund's investments as of October 31, 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.............. $1,132,388,490 -- -- $ 1,132,388,490
Chile............... 269,584,664 -- -- 269,584,664
China............... 259,284,178 $ 1,766,961,597 -- 2,026,245,775
Czech Republic...... -- 47,098,177 -- 47,098,177
Hungary............. -- 73,482,477 -- 73,482,477
India............... 170,449,761 1,127,361,852 -- 1,297,811,613
Indonesia........... 360,979 496,591,264 -- 496,952,243
Israel.............. 29,523 1,584,583 -- 1,614,106
Malaysia............ 6,339,852 465,265,266 -- 471,605,118
Mexico.............. 697,363,905 632,541 -- 697,996,446
Philippines......... -- 128,360,276 -- 128,360,276
Poland.............. -- 237,347,933 -- 237,347,933
Russia.............. 90,326 777,712,974 -- 777,803,300
South Africa........ 256,013,737 923,943,630 -- 1,179,957,367
South Korea......... 370,900,652 1,667,163,719 -- 2,038,064,371
Taiwan.............. 33,736,378 1,665,891,502 -- 1,699,627,880
Thailand............ 326,723,327 -- -- 326,723,327
Turkey.............. -- 258,818,491 -- 258,818,491
Preferred Stocks
Brazil.............. 731,516,822 -- -- 731,516,822
India............... -- 124,022 -- 124,022
Malaysia............ 82,073 741,130 -- 823,203
Rights/Warrants
China............... -- -- -- --
Malaysia............ 167 -- -- 167
South Korea......... -- 1,665,450 -- 1,665,450
Thailand............ 14,739 -- -- 14,739
Securities Lending
Collateral........... -- 975,767,842 -- 975,767,842
-------------- --------------- -- ---------------
TOTAL.................. $4,254,879,573 $10,616,514,726 -- $14,871,394,299
============== =============== == ===============
See accompanying Notes to Financial Statements.
292
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $1,084,631 of securities on loan)*. $13,895,627
Collateral Received from Securities on Loan at Value & Cost........ 604
Affiliated Collateral Received from Securities on Loan at Value &
Cost............................................................. 975,164
Foreign Currencies at Value........................................ 23,423
Cash............................................................... 75,404
Receivables:
Investment Securities Sold...................................... 7,107
Dividends, Interest and Tax Reclaims............................ 8,268
Fund Shares Sold................................................ 44,423
Securities Lending Income....................................... 1,206
-----------
Total Assets................................................ 15,031,226
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 975,768
Investment Securities Purchased................................. 46,500
Fund Shares Redeemed............................................ 2,165
Due to Advisor.................................................. 1,081
Unrealized Loss on Foreign Currency Contracts...................... 66
Accrued Expenses and Other Liabilities............................. 2,067
-----------
Total Liabilities........................................... 1,027,647
-----------
NET ASSETS......................................................... $14,003,579
===========
Investments at Cost................................................ $13,566,407
===========
Foreign Currencies at Cost......................................... $ 23,378
===========
--------
* See Note H in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
293
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2011
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $41,813)......... $ 337,342
Interest..................................................... 118
Income from Securities Lending............................... 11,381
-----------
Total Investment Income............................... 348,841
-----------
EXPENSES
Investment Advisory Services Fees............................ 14,009
Accounting & Transfer Agent Fees............................. 1,329
Custodian Fees............................................... 11,494
Shareholders' Reports........................................ 73
Directors'/Trustees' Fees & Expenses......................... 116
Professional Fees............................................ 753
Other........................................................ 263
-----------
Total Expenses........................................ 28,037
-----------
Fees Paid Indirectly......................................... (13)
-----------
Net Expenses................................................. 28,024
-----------
NET INVESTMENT INCOME (LOSS)................................. 320,817
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold............................... 201,891
Foreign Currency Transactions............................ (3,672)**
Change in Unrealized Appreciation (Depreciation) of:.........
Investment Securities and Foreign Currency............... (2,901,288)
Translation of Foreign Currency Denominated Amounts...... (7)
Change in Deferred Thailand Capital Gains Tax................ 16,303
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... (2,686,773)
-----------
Net Increase (Decrease) in Net Assets Resulting from Operations. $(2,365,956)
===========
--------
** Net of foreign capital gain taxes withheld of $1,707.
See accompanying Notes to Financial Statements.
294
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2011 2010
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ 320,817 $ 171,366
Net Realized Gain (Loss) on:
Investment Securities Sold................ 201,891 591,224
Foreign Currency Transactions............. (3,672)** (3,254)**
Change in Unrealized Appreciation
(Depreciation) of:..........................
Investment Securities and Foreign
Currency................................ (2,901,288) 1,841,702
Translation of Foreign Currency
Denominated Amounts..................... (7) (154)
Change in Deferred Thailand Capital
Gains Tax................................... 16,303 (10,266)
----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................... (2,365,956) 2,590,618
----------- -----------
Transactions in Interest:
Contributions................................. 5,059,674 2,372,583
Withdrawals................................... (608,094) (1,010,371)
----------- -----------
Net Increase (Decrease) from
Transactions in Interest............. 4,451,580 1,362,212
----------- -----------
Total Increase (Decrease) in
Net Assets........................... 2,085,624 3,952,830
NET ASSETS
Beginning of Period........................... 11,917,955 7,965,125
----------- -----------
End of Period................................. $14,003,579 $11,917,955
=========== ===========
--------
** Net of foreign capital gain taxes withheld of $1,707 and $1,806,
respectively.
See accompanying Notes to Financial Statements.
295
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED DEC. 1, 2007 YEAR ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30,
2011 2010 2009 OCT. 31, 2008 2007 2006
----------- ----------- ---------- ------------- ---------- ----------
Total Return.................................. (14.47)% 30.55% 79.39% (55.47)%(C) 51.59% 42.14%
----------- ----------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $14,003,579 $11,917,955 $7,965,125 $4,048,404 $8,188,710 $4,837,912
Ratio of Expenses to Average Net Assets....... 0.20% 0.19% 0.21% 0.19%(B) 0.19% 0.22%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............ 0.20% 0.19% 0.21% 0.19%(B) 0.19% 0.22%
Ratio of Net Investment Income to Average Net
Assets...................................... 2.29% 1.81% 2.17% 3.19%(B) 2.50% 2.57%
Portfolio Turnover Rate....................... 5% 15% 20% 14%(C) 14% 9%
--------
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.
296
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
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.
297
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. These securities are generally categorized as Level 2 in the
hierarchy.
Futures contracts held by the Fund are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund's investments by each major
security type, industry and/or country is disclosed at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Fund did not have any significant transfers between Level 1 and Level 2
during the year ended October 31, 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 Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: 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;
298
DFA International Value Portfolio; International Core Equity Portfolio;
Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA
Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and
the change in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses. At October 31, 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
$205 (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 October 31, 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 is 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 recognized when the
capital gains are earned.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Fund. For the year ended October 31, 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.
EARNED INCOME CREDIT:
In addition, the Fund has entered into arrangements with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Fund's custody expense. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the year
ended October 31, 2011, expenses reduced were as follows (amount in thousands):
299
FEES PAID
INDIRECTLY
----------
Dimensional Emerging Markets Value Fund...... $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 year ended October 31, 2011, the total
related amounts paid by the Fund to the CCO were $24 (in thousands). The total
related amounts paid by the Fund are included in Other Expenses on the
Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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.................................... $5,467,684
Sales........................................ 754,501
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.
At October 31, 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)
-------- ------------ -------------- --------------
$14,574,908 $2,389,582 $(2,093,095) $296,487
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and on investments in passive foreign investment companies.
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 more likely than not that the total amounts of unrecognized tax
benefits will significantly change in the next twelve months. The Fund federal
tax returns for the prior three fiscal years remain subject to examination by
the Internal Revenue Service.
Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM
II"), a master fund in a master-feeder structure with one RIC feeder and other
direct client investors has made a "Check-the-Box" election for federal income
tax purposes pursuant to Treasury Regulation (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
300
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 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 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.
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.
301
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Fund could lose more than
the initial margin requirements. The Fund entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
Additional disclosure on derivative instruments is required showing a
summary by primary risk exposure of the derivatives instruments' (i) location
in the balance sheet and fair value at period end and (ii) the location in the
Statement of Operations and the realized and change in unrealized gain or loss
over the reporting period.
At October 31, 2011, the Fund had no outstanding futures contracts.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $250 million unsecured discretionary line of credit effective June 22,
2011 with 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 22,
2012. There were no borrowings by the Fund under this line of credit during the
year ended October 31, 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. The Fund, together with other Dimensional-advised portfolios,
expects to enter into a new line of credit with substantially the same terms as
its existing line of credit prior to its expiration.
For the year ended October 31, 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
------------- ------------ ------------ -------- ---------------
0.91% $32,673 41 $34 $124,315
* Number of Days Outstanding represents the total of single or consecutive days
during the year 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 October 31, 2011.
H. SECURITIES LENDING:
As of October 31, 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 consisting of short and/or long term U.S. Treasury
securities with a market value of $204,631 (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
302
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 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
303
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.
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.
304
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF DIMENSIONAL EMERGING MARKETS
VALUE FUND:
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statement of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Dimensional
Emerging Markets Value Fund (the "Fund") at October 31, 2011, the results of
its operations for the year then ended, the changes in its net assets and the
financial highlights for each of the periods indicated, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2011 by
correspondence with the custodian, broker and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2011
305
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors of The DFA Investment Trust Company Inc.
("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional
Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund
("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for
establishing the Funds' policies and for overseeing the management of the
Funds. The Trustees/Directors of the Funds, including all of the disinterested
Trustees/Directors, have adopted written procedures to monitor potential
conflicts of interest that might develop between portfolios of the Funds (the
"Feeder Portfolios") that invest in certain series of DFAITC or DEM (the
"Master Funds").
Each Board has four standing committees, an Audit Committee, a Nominating
Committee, a Portfolio Performance and Service Review Committee (the
"Performance Committee") and an Independent Review Committee (the "Review
Committee"). The Audit Committee is comprised of George M. Constantinides,
Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a
disinterested Trustee/Director. The Audit Committee oversees the Fund's
accounting and financial reporting policies and practices, the Fund's internal
controls, the Fund's financial statements and the independent audits thereof
and performs other oversight functions as requested by the Board. The Audit
Committee recommends the appointment of each Fund's independent registered
certified public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2011.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. There was one Nominating Committee meeting
held for each Fund during the fiscal year ended October 31, 2011.
Each Board's Performance Committee is comprised of George M. Constantinides,
Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S.
Scholes. Each member of the Performance Committee is a disinterested
Trustee/Director. The Performance Committee regularly reviews and monitors the
investment performance of the Fund's series and reviews the performance of the
Fund's service providers. There were six Performance Committee meetings held
during the fiscal year ended October 31, 2011.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2011.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds
include additional information about each Trustee/Director. You may obtain
copies of the SAI and prospectus of each Fund advised by Dimensional Fund
Advisors LP by calling collect (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746. Prospectuses are also available at www.dimensional.com.
306
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5
WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ YEARS AND OTHER DIRECTORSHIPS OF PUBLIC
ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN COMPANIES HELD
--------------- -------------------- --------------------- ---------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
--------------------------------
George M. Constantinides DFAITC - since 1993 94 portfolios in 4 Leo Melamed Professor of Finance, The
Director of DFAIDG and DIG. DFAIDG - since 1983 investment companies University of Chicago Booth School of
Trustee of DFAITC and DEM. DIG - since 1993 Business.
The University of Chicago DEM - since 1993
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
Age: 64
John P. Gould DFAITC - since 1993 94 portfolios in 4 Steven G. Rothmeier Distinguished
Director of DFAIDG and DIG. DFAIDG - since 1986 investment companies Service Professor of Economics, The
Trustee of DFAITC and DEM. DIG - since 1993 University of Chicago Booth School of
The University of Chicago DEM - since 1993 Business (since 1965). Member and
Booth School of Business Chair, Competitive Markets Advisory
5807 S. Woodlawn Avenue Committee, Chicago Mercantile Exchange
Chicago, IL 60637 (futures trading exchange) (since
Age: 72 2004). Formerly, Director of UNext,
Inc. (1999-2006). Trustee, Harbor Fund
(registered investment company) (30
Portfolios) (since 1994). Formerly,
Member of the Board of Milwaukee Mutal
Insurance Company (1997-2010).
Roger G. Ibbotson DFAITC - since 1993 94 portfolios in 4 Professor in Practice of Finance, Yale
Director of DFAIDG and DIG. DFAIDG - since 1981 investment companies School of Management (since 1984).
Trustee of DFAITC and DEM. DIG - since 1993 Chairman, CIO and Partner, Zebra
Yale School of Management DEM - since 1993 Capital Management, LLC (hedge fund
135 Prospect Street manager) (since 2001). Consultant to
New Haven, CT Morningstar, Inc. (since 2006).
06520-8200 Formerly, Chairman, Ibbotson
Age: 68 Associates, Inc., Chicago, IL (software
data publishing and consulting)
(1977-2006). Formerly, Director, BIRR
Portfolio Analysis, Inc. (software
products) (1990-2010).
307
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
--------------- -------------------- --------------------- -----------------------------------------------
Edward P. Lazear DFAITC - since 2010 94 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG. DFAIDG - since 2010 investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM. DIG - since 2010 Professor of Human Resources Management
Stanford University DEM - since 2010 and Economics, Graduate School of
Graduate School of Business Business, Stanford University (since 1995).
518 Memorial Way Cornerstone Research (expert testimony and
Stanford, CA 94305-5015 economic and financial analysis) (since
Age: 63 2009). Formerly, Chairman of the President
George W. Bush's Council of Economic
Advisers (2006-2009). Formerly, Council of
Economic Advisors, State of California
(2005-2006). Formerly, Commissioner,
White House Panel on Tax Reform (2005).
Myron S. Scholes DFAITC - since 1993 94 portfolios in 4 Frank E. Buck Professor Emeritus of
Director of DFAIDG and DIG. DFAIDG - since 1981 investment companies Finance, Stanford University (since 1981).
Trustee of DFAITC and DEM. DIG - since 1993 Formerly, Chairman, Platinum Grove Asset
c/o Dimensional Fund DEM - since 1993 Management, L.P. (hedge fund) (formerly,
Advisors, L.P. Oak Hill Platinum Partners) (1999-2009).
6300 Bee Cave Road Formerly, Managing Partner, Oak Hill
Building 1 Capital Management (private equity firm)
Austin, TX 78746 (until 2004). Director, American Century
Age: 70 Fund Complex (registered investment
companies) (40 Portfolios) (since 1980).
Formerly, Director, Chicago Mercantile
Exchange (2001-2008).
Abbie J. Smith DFAITC - since 2000 94 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. DFAIDG - since 2000 investment companies Professor of Accounting, The University of
Trustee of DFAITC and DEM. DIG - since 2000 Chicago Booth School of Business (since
The University of Chicago DEM - since 2000 1980). Co-Director Investment Research,
Booth School of Business Fundamental Investment Advisors (hedge
5807 S. Woodlawn fund) (since 2008). Director, HNI
Avenue Corporation (formerly known as HON
Chicago, IL 60637 Industries Inc.) (office furniture) (since
Age: 58 2000). Director, Ryder System Inc.
(transportation, logistics and supply-chain
management) (since 2003). Trustee, UBS
Funds (3 investment companies within the
fund complex) (52 portfolios) (since 2009).
308
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
--------------- -------------------- --------------------- -----------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
David G. Booth DFAITC - since 1993 94 portfolios in 4 Chairman, Director/Trustee, President,
Chairman, Director, DFAIDG - since 1981 investment companies and Co-Chief Executive Officer (since
Co-Chief Executive Officer DIG - since 1992 January 2010) of Dimensional Holdings
and President of DFAIDG DEM - since 1993 Inc., Dimensional Fund Advisors LP, DFA
and DIG. Chairman, Securities LLC, Dimensional Emerging
Trustee, Co-Chief Markets Value Fund, DFAIDG, Dimensional
Executive Officer and Investment Group Inc. and The DFA
President of DFAITC and Investment Trust Company. Director of
DEM. Dimensional Fund Advisors Ltd.,
6300 Bee Cave Road, Dimensional Funds PLC, Dimensional
Building One Funds II PLC, DFA Australia Limited and
Austin, Texas 78746 Dimensional Cayman Commodity Fund I
Age: 64 Ltd. Chairman and President of
Dimensional SmartNest LLC and
Dimensional SmartNest (US) LLC.
Chairman, Director and Co-Chief
Executive Officer of Dimensional Fund
Advisors Canada ULC. Limited Partner,
Oak Hill Partners (since 2001) and VSC
Investors, LLC (since 2007). Trustee,
The University of Chicago. Trustee,
University of Kansas Endowment
Association. Formerly, Chief Executive
Officer (until 2010) and Chief
Investment Officer (2003-2007) of
Dimensional Fund Advisors LP, DFA
Securities LLC, Dimensional Emerging
Markets Value Fund, DFAIDG, Dimensional
Investment Group Inc., The DFA
Investment Trust Company and
Dimensional Holdings Inc. Formerly,
Chief Investment Officer of Dimensional
Fund Advisors Ltd. Formerly, President
and Chief Investment Officer of DFA
Australia Limited. Formerly, Director,
SA Funds (registered investment
company).
Eduardo A. Repetto DFAITC - since 2009 94 portfolios in 4 Co-Chief Executive Officer (since
Director, Co-Chief DFAIDG - since 2009 investment companies January 2010), Chief Investment Officer
Executive Officer and DIG - since 2009 (since March 2007) and Director/Trustee
Chief Investment Officer of DEM - since 2009 of Dimensional Holdings Inc.,
DFAIDG and DIG. Dimensional Fund Advisors LP, DFA
Trustee, Co-Chief Securities LLC, Dimensional Emerging
Executive Officer and Markets Value Fund, DFAIDG, Dimensional
Chief Investment Officer of Investment Group Inc., The DFA
DFAITC and DEM. Investment Trust Company and
6300 Bee Cave Road, Dimensional Cayman Commodity Fund I
Building One Ltd. Co-Chief Executive Officer,
Austin, TX 78746 President and Chief Investment Officer
Age: 44 of Dimensional Fund Advisors Canada
ULC. Chief Investment Officer, Vice
President and Director of DFA Australia
Limited. Director of Dimensional Fund
Advisors Ltd., Dimensional Funds PLC
and Dimensional Funds II PLC. Co-Chief
Executive Officer of Dimensional
SmartNest LLC and Dimensional SmartNest
(US) LLC. Formerly, Vice President of
Dimensional Holdings Inc., Dimensional
Fund Advisors LP, DFA Securities LLC,
Dimensional Emerging Markets Value
Fund, DFAIDG, Dimensional Investment
Group Inc., The DFA Investment Trust
Company and Dimensional Fund Advisors
Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which
includes the Funds.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with Dimensional
Fund Advisors LP.
309
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors LP (prior to November 3, 2006,
Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities Inc., DFAIDG,
DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each
officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One,
Austin, Texas 78746, unless otherwise indicated.
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------- ---------------- -------------------------------------------
OFFICERS
April A. Aandal Since 2008 Vice President, Global Business
Vice President, Global Business Development of all the DFA Entities.
Development Chief Learning Officer of Dimensional
Age: 48 (September 2008-October 2011).
Formerly, Regional Director of
Dimensional (2004-2008).
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 45
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities.
Vice President Formerly, Vice President of DFA
Age: 55 Australia Limited and Dimensional Fund
Advisors Ltd.
John T. Blood Since 2011 Vice President of all the DFA Entities.
Vice President Regional Director for Dimensional
Age: 42 (2010). Formerly, Chief Market
Strategist at Commonwealth Financial
(2007-2010); Director of Research at
Commonwealth Financial (2000-2007).
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President Regional Director of Dimensional (since
Age: 42 November 1997).
Valerie A. Brown Since 2001 Vice President and Assistant Secretary
Vice President and Assistant of all the DFA Entities, DFA Australia
Secretary Limited, Dimensional Fund Advisors
Age: 44 Ltd., Dimensional Fund Advisors Canada
ULC (since 2003) and Dimensional Cayman
Commodity Fund I Ltd.
David P. Butler Since 2007 Vice President of all the DFA Entities.
Vice President Head of Global Financial Services of
Age: 47 Dimensional (since 2008). Formerly,
Regional Director of Dimensional
(January 1995 to January 2005).
James G. Charles Since 2011 Vice President of all the DFA Entities.
Vice President Regional Director for Dimensional
Age: 55 (2008-2010). Formerly, Vice President,
Client Portfolio Manager at American
Century Investments (2001-2008).
Joseph H. Chi Since 2009 Vice President of all the DFA Entities.
Vice President Portfolio Manager for Dimensional
Age: 45 (since October 2005).
Stephen A. Clark Since 2004 Vice President of all the DFA Entities,
Vice President DFA Australia Limited and Dimensional
Age: 39 Fund Advisors Canada ULC.
Robert P. Cornell Since 2007 Vice President of all the DFA Entities.
Vice President Regional Director of Financial Services
Age: 62 Group of Dimensional (since August
1993).
George H. Crane Since 2010 Vice President of all the DFA Entities.
Vice President Formerly, Senior Vice President and
Age: 56 Managing Director at State Street Bank
& Trust Company (2007-2008). Managing
Director, Head of Investment
Administration and Operations at State
Street Research & Management Company
(2002-2005).
Christopher S. Crossan Since 2004 Vice President and Global Chief
Vice President and Global Chief Compliance Officer of all the DFA
Compliance Officer Entities, DFA Australia Limited,
Age: 45 Dimensional Fund Advisors Ltd.,
Dimensional SmartNest LLC and
Dimensional SmartNest (US) LLC. Chief
Compliance Officer of Dimensional Fund
Advisors Canada ULC.
310
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------- ---------------- -------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President Formerly, Vice President of DFA
Age: 54 Australia Limited and Dimensional Fund
Advisors Ltd.
Robert T. Deere Since 1994 Vice President of all the DFA Entities,
Vice President DFA Australia Limited and Dimensional
Age: 54 Fund Advisors Canada ULC.
Peter F. Dillard Since 2010 Vice President of all the DFA Entities.
Vice President Research Associate for Dimensional
Age: 39 (since August 2008). Formerly, Research
Assistant for Dimensional (April
2006-August 2008).
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities.
Vice President and Chief Chief Communications Officer of
Communications Officer Dimensional (since 2010).
Age: 41
Richard A. Eustice Since 1998 Vice President and Assistant Secretary
Vice President and Assistant of all the DFA Entities and DFA
Secretary Australia Limited. Chief Operating
Age: 46 Officer of Dimensional Fund Advisors
Ltd. (since July 2008). Formerly, Vice
President of Dimensional Fund Advisors
Ltd.
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 40
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities.
Vice President Portfolio Manager for Dimensional
Age: 37 (since September 2004).
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities.
Vice President Senior Technology Manager for
Age: 40 Dimensional (since June 2006).
Formerly, Principal at AIM
Investments/Amvescap PLC (now Invesco)
(June 1998-June 2006).
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities.
Vice President Regional Director of Dimensional.
Age: 44
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President Formerly, Vice President of DFA
Age: 44 Australia Limited.
John T. Gray Since 2007 Vice President of all the DFA Entities.
Vice President Formerly, Regional Director of
Age: 37 Dimensional (January 2005 to February
2007).
Joel H. Hefner Since 2007 Vice President of all the DFA Entities.
Vice President Regional Director of Dimensional (since
Age: 43 June 1998).
Julie C. Henderson Since 2005 Vice President and Fund Controller of
Vice President and Fund Controller all the DFA Entities and Dimensional
Age: 37 Cayman Commodity Fund I Ltd.
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 43
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 43
Michael C. Horvath Since 2011 Vice President of all the DFA Entities.
Vice President Formerly, Managing Director, Co-Head
Age: 51 Global Consultant Relations at
BlackRock (2004-2011).
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities
Vice President and Dimensional Cayman Commodity Fund I
Age: 37 Ltd.
311
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------- --------------------- -------------------------------------------
Patrick M. Keating Since 2003 Vice President of all the DFA Entities
Vice President and Chief Operating and Dimensional Cayman Commodity Fund I
Officer Ltd. and Chief Operating Officer of
Age: 56 Dimensional and Dimensional Cayman
Commodity Fund I Ltd. Director, Vice
President and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC.
Director of DFA Australia Limited.
David M. Kershner Since 2010 Vice President of all the DFA Entities.
Vice President Portfolio Manager for Dimensional
Age: 40 (since June 2004).
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities.
Vice President Head of Defined Contribution Sales for
Age: 40 Dimensional (since August 2010).
Formerly, Chief DC Strategist, Barclays
Global Investors (2005-2009).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 39
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities.
Vice President Regional Director for Dimensional
Age: 42 (2007-2010).
Michael F. Lane Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 44
Juliet Lee Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 40
Marlena I. Lee Since 2011 Vice President of all the DFA Entities.
Vice President Research Associate for Dimensional
Age: 30 (July 2008-2010).
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities.
Vice President Regional Director for Dimensional
Age: 42 (since February 2004).
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities
Vice President and Dimensional Cayman Commodity Fund I
Age: 38 Ltd. Counsel for Dimensional (since
September 2006). Formerly, Assistant
General Counsel at Castle & Cooke
(January 2004-September 2006).
Aaron M. Marcus Since 2008 Vice President and Head of Global Human
Vice President & Head of Global Resources of Dimensional. Formerly,
Human Resources Global Head of Recruiting and Vice
Age: 41 President of Goldman Sachs & Co. (June
2006 to January 2008), and Global
Co-Head of HR of the Equities & FICC
Division, and Vice President of Goldman
Sachs & Co. (May 2005 to May 2006).
David R. Martin Since 2007 Vice President, Chief Financial Officer
Vice President, Chief Financial and Treasurer of all the DFA Entities.
Officer and Treasurer Director, Vice President, Chief
Age: 54 Financial Officer and Treasurer of
Dimensional Fund Advisors Ltd. and DFA
Australia Limited. Chief Financial
Officer, Treasurer, and Vice President
of Dimensional Fund Advisors Canada
ULC, Dimensional SmartNest LLC,
Dimensional SmartNest (US) LLC and
Dimensional Cayman Commidity Fund I
Ltd. Director of Dimensional Funds PLC
and Dimensional Funds II PLC. Formerly,
Executive Vice President and Chief
Financial Officer of Janus Capital
Group Inc. (June 2005 to March 2007).
Catherine L. Newell Vice President since Vice President and Secretary of all the
Vice President and Secretary 1997 and Secretary DFA Entities. Director, Vice President
Age: 47 since 2000 and Secretary of DFA Australia Limited
and Dimensional Fund Advisors Ltd.
(since February 2002, April 1997 and
May 2002, respectively). Vice President
and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003),
Dimensional SmartNest LLC, Dimensional
SmartNest (US) LLC and Dimensional
Cayman Commodity Fund I Ltd. Director,
Dimensional Funds PLC and Dimensional
Funds II PLC (since 2002 and 2006,
respectively). Formerly, Assistant
Secretary of all DFA Entities, DFA
Australia Limited and Dimensional Fund
Advisors Ltd.
312
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------- ---------------- -------------------------------------------
Christian A. Newton Since 2009 Vice President of all DFA Entities. Web
Vice President Services Manager for Dimensional (since
Age: 36 January 2008). Formerly, Design Manager
of Dimensional (2005-2008).
Pamela B. Noble Since 2011 Vice President of all the DFA Entities.
Vice President Portfolio Manager for Dimensional
Age: 47 (2008-2010). Formerly, Vice President
and Portfolio Manager at USAA
Investment Management Company
(2001-2006).
Carolyn L. O Since 2010 Vice President of all the DFA Entities
Vice President and Dimensional Cayman Commodity Fund I
Age: 37 Ltd. Deputy General Counsel, Funds
(since 2011). Counsel for Dimensional
(2007-2011). Formerly, Associate at K&L
Gates LLP (January 2004-September 2007).
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities.
Vice President Formerly, Research Associate of
Age: 34 Dimensional (2004 to 2006).
Daniel C. Ong Since 2009 Vice President of all the DFA Entities.
Vice President Portfolio Manager for Dimensional
Age: 37 (since July 2005).
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities.
Vice President Senior Compliance Officer for
Age: 33 Dimensional (since January 2008).
Formerly, Compliance Officer (February
2006-December 2007) and Compliance
Analyst (August 2004-January 2006) for
Dimensional.
David A. Plecha Since 1993 Vice President of all the DFA Entities,
Vice President DFA Australia Limited, Dimensional Fund
Age: 50 Advisors Ltd. and Dimensional Fund
Advisors Canada ULC.
Allen Pu Since 2011 Vice President of all the DFA Entities.
Vice President Portfolio Manager for Dimensional (July
Age: 40 2006-2010).
Stephen A. Quance Since 2011 Vice President of all the DFA Entities.
Vice President Portfolio Manager for Dimensional
Age: 37 (October 2006-2010).
Theodore W. Randall Since 2008 Vice President of all the DFA Entities.
Vice President Formerly, Research Associate of
Age: 38 Dimensional (2006-2008). Systems
Developer of Dimensional (2001-2006).
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 40
Julie A. Saft Since 2010 Vice President of all the DFA Entities.
Vice President Client Systems Manager for Dimensional
Age: 52 (since July 2008). Formerly, Senior
Manager at Vanguard (November 1997-July
2008).
David E. Schneider Since 2001 Vice President of all the DFA Entities
Vice President and Dimensional Fund Advisors Canada
Age: 65 ULC. Head of Institutional Services of
Dimensional.
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities.
Vice President Regional Director for Dimensional
Age: 49 (since March 2006). Formerly, Senior
Director at Moody's KMV (1999-March
2006).
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities.
Vice President Investment Operations Manager for
Age: 46 Dimensional (since May 2007). Formerly,
Vice President Client and Fund
Reporting at Mellon Financial
(September 2005-May 2007).
Edward R. Simpson Since 2007 Vice President of all the DFA Entities.
Vice President Regional Director of Dimensional (since
Age: 43 December 2002).
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities.
Vice President Formerly, Regional Director of
Age: 36 Dimensional (December 1999 to January
2007).
313
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------- ---------------- -------------------------------------------
Andrew D. Smith Since 2011 Vice President of all the DFA Entities.
Vice President Project Manager for Dimensional
Age: 43 (2007-2010). Formerly, Business Analyst
Manager, National Instruments
(2003-2007).
Grady M. Smith Since 2004 Vice President of all the DFA Entities
Vice President and Dimensional Fund Advisors Canada
Age: 55 ULC.
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President Formerly, Vice President of DFA
Age: 48 Australia Limited.
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 63
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities
Vice President and Director and Vice President of
Age: 38 Dimensional Fund Advisors Canada ULC.
Robert C. Trotter Since 2009 Vice President of all the DFA Entities.
Vice President Senior Manager, Technology for
Age: 53 Dimensional (since March 2007).
Formerly, Director of Technology at
AMVESCAP (2002-2007).
Karen E. Umland Since 1997 Vice President of all the DFA Entities,
Vice President DFA Australia Limited, Dimensional Fund
Age: 45 Advisors Ltd., and Dimensional Fund
Advisors Canada ULC.
Brian J. Walsh Since 2009 Vice President of all the DFA Entities.
Vice President Portfolio Manager for Dimensional
Age: 41 (since 2004).
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President Formerly, Vice President of DFA
Age: 60 Australia Limited.
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities.
Vice President Senior Trader of Dimensional. Formerly,
Age: 35 Portfolio Manager (2006 to 2007) and
Trader (2001 to 2006) for Dimensional.
Paul E. Wise Since 2005 Vice President of all the DFA Entities.
Vice President Chief Technology Officer for
Age: 56 Dimensional (since 2004).
John S. Wotowicz Since 2010 Vice President of all the DFA Entities.
Vice President Formerly, Managing Director at Morgan
Age: 47 Stanley (1999-2007).
Joseph L. Young Since 2011 Vice President of all the DFA Entities.
Vice President Regional Director for Dimensional
Age: 33 (2005-2010).
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
314
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.
315
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2011 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2011 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2010 to October 31, 2011, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
NET
INVESTMENT SHORT-TERM LONG-TERM RETURN
INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS
------------------------------------ ------------- ------------- ------------- ------- ---------- -------------
Enhanced U.S. Large Company Portfolio........ 100% -- -- -- -- 100%
U.S. Large Cap Value Portfolio............... 100% -- -- -- -- 100%
U.S. Targeted Value Portfolio................ 76% -- 24% -- -- 100%
U.S. Small Cap Value Portfolio............... 80% -- 20% -- -- 100%
U.S. Core Equity 1 Portfolio................. 100% -- -- -- -- 100%
U.S. Core Equity 2 Portfolio................. 100% -- -- -- -- 100%
U.S. Vector Equity Portfolio................. 100% -- -- -- -- 100%
U. S Small Cap Portfolio..................... 92% -- 8% -- -- 100%
U.S. Micro Cap Portfolio..................... 100% -- -- -- -- 100%
DFA Real Estate Securities Portfolio......... 100% -- -- -- -- 100%
Large Cap International Portfolio............ 100% -- -- -- -- 100%
International Core Equity Portfolio.......... 100% -- -- -- -- 100%
International Small Company Portfolio........ 97% -- 3% -- -- 100%
Japanese Small Company Portfolio............. 100% -- -- -- -- 100%
Asia Pacific Small Company Portfolio......... 100% -- -- -- -- 100%
United Kingdom Small Company Portfolio....... 100% -- -- -- -- 100%
Continental Small Company Portfolio.......... 100% -- -- -- -- 100%
DFA International Real Estate Securities
Portfolio.................................. 100% -- -- -- -- 100%
DFA Global Real Estate Securities Portfolio.. 100% -- -- -- -- 100%
DFA International Small Cap Value Portfolio.. 57% -- 43% -- -- 100%
International Vector Equity Portfolio........ 82% -- 18% -- -- 100%
World ex U.S. Value Portfolio................ 83% 1% 16% -- -- 100%
Emerging Markets Portfolio................... 24% -- 76% -- -- 100%
Emerging Markets Small Cap Portfolio......... 38% -- 62% -- -- 100%
Emerging Markets Value Portfolio............. 29% 9% 62% -- -- 100%
Emerging Markets Core Equity Portfolio....... 100% -- -- -- -- 100%
DFA Commodity Strategy Portfolio............. 99% 1% -- -- -- 100%
DIMENSIONAL INVESTMENT GROUP INC.
DFA International Value Portfolio............ 100% -- -- -- -- 100%
U.S. Large Company Portfolio................. 100% -- -- -- -- 100%
QUALIFYING
FOR CORPORATE
DIVIDENDS QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING QUALIFYING
RECEIVED DIVIDEND GOVERNMENT TAX SOURCE INTEREST SHORT-TERM
DFA INVESTMENT DIMENSIONS GROUP INC. DEDUCTION(1) INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) CAPITAL GAIN(7)
------------------------------------ ------------- ---------- ----------- --------- --------- ---------- ---------------
Enhanced U.S. Large Company Portfolio........ -- -- 1% -- -- 100% 100%
U.S. Large Cap Value Portfolio............... 100% 100% -- -- -- 100% 100%
U.S. Targeted Value Portfolio................ 100% 100% -- -- -- 100% 100%
U.S. Small Cap Value Portfolio............... 100% 100% -- -- -- 100% 100%
U.S. Core Equity 1 Portfolio................. 100% 100% -- -- -- 100% 100%
U.S. Core Equity 2 Portfolio................. 100% 100% -- -- -- 100% 100%
U.S. Vector Equity Portfolio................. 100% 100% -- -- -- 100% 100%
U. S Small Cap Portfolio..................... 100% 100% -- -- -- 100% 100%
U.S. Micro Cap Portfolio..................... 100% 100% -- -- -- 100% 100%
DFA Real Estate Securities Portfolio......... 100% 100% -- -- -- 100% 100%
Large Cap International Portfolio............ 100% 100% -- 4% 95% 100% 100%
International Core Equity Portfolio.......... 100% 100% -- 3% 95% 100% 100%
International Small Company Portfolio........ 100% 100% -- 3% 93% 100% 100%
Japanese Small Company Portfolio............. 100% 100% -- 7% 93% 100% 100%
Asia Pacific Small Company Portfolio......... 100% 100% -- 1% 93% 100% 100%
United Kingdom Small Company Portfolio....... 100% 100% -- -- 100% 100% 100%
Continental Small Company Portfolio.......... 100% 100% -- 5% 89% 100% 100%
DFA International Real Estate Securities
Portfolio.................................. 100% 100% -- 2% 97% 100% 100%
DFA Global Real Estate Securities Portfolio.. 100% 100% -- -- -- 100% 100%
DFA International Small Cap Value Portfolio.. 100% 100% -- 3% 89% 100% 100%
International Vector Equity Portfolio........ 100% 100% -- 3% 93% 100% 100%
World ex U.S. Value Portfolio................ 100% 100% -- 2% 91% 100% 100%
Emerging Markets Portfolio................... 100% 100% -- 5% 98% 100% 100%
Emerging Markets Small Cap Portfolio......... 100% 100% -- 4% 96% 100% 100%
Emerging Markets Value Portfolio............. 100% 100% -- 5% 98% 100% 100%
Emerging Markets Core Equity Portfolio....... 100% 100% -- 5% 99% 100% 100%
DFA Commodity Strategy Portfolio............. -- -- -- -- -- 100% 100%
DIMENSIONAL INVESTMENT GROUP INC.
DFA International Value Portfolio............ 100% 100% -- 2% 95% 100% 100%
U.S. Large Company Portfolio................. 100% 100% -- -- -- 100% 100%
--------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
316
[logo] Recycled
Recyclable DFA103111-001A
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR/A (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that Abbie J. Smith possesses
the technical attributes to qualify as an "audit committee financial expert"
serving on the Registrant's Audit Committee and has designated Ms. Smith as the
"audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and
has taught Accounting at the graduate level since 1980. Ms. Smith's education
and career have provided her with an understanding of generally accepted
accounting principles and financial statements; the ability to assess the
general application of such principles in connection with the accounting for
estimates, accruals and reserves; and experience preparing, analyzing and
evaluating financial statements that present a breadth and level of complexity
of issues that can reasonably be expected to be raised by the Registrant's
financial statements. In addition, Ms. Smith has served on the boards of
directors and audit committees of entities other than the Registrant. Ms. Smith
is independent under the standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2011: $438,670
Fiscal Year Ended October 31, 2010: $415,897
(b) Audit-Related Fees
Fees for Registrant - Fiscal Year Ended October 31, 2011: $26,396
Fiscal Year Ended October 31, 2010: $27,315
For fiscal years ended October 31, 2010 and October 31, 2011,
Audited-Related Fees included fees for services related to limited
procedures performed in connection with the production of the
Registrant's semi-annual financial statements.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 2011: $160,000
Fiscal Year Ended October 31, 2010: $159,000
For the fiscal years ended October 31, 2011 and October 31, 2010,
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X included fees for services
rendered in connection with the issuance of a Type II SAS 70 over
controls at the Registrant's investment adviser.
(c) Tax Fees
Fees for Registrant - Fiscal Year Ended October 31, 2011: $110,635
Fiscal Year Ended October 31, 2010: $ 92,833
Tax Fees included, for the fiscal years ended October 31, 2010 and
October 31, 2011, fees for tax services in connection with the
Registrant's excise tax calculations, review of the Registrant's
applicable tax returns and capital gains tax services in India.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d) All Other Fees
Fees for Registrant - Fiscal Year Ended October 31, 2011: $0
Fiscal Year Ended October 31, 2010: $0
There were no "All Other Fees" required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years
indicated above.
(e)(1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC")
require that the Funds' Audit Committees (together, the "Committee")
pre-approve all audit services and non-audit services provided to the
Funds by their independent registered public accounting firm (the
"Auditor"). The Act and the Rules also require that the Committee
pre-approve all non-audit services provided by the Auditor to
Dimensional Fund Advisors LP ("Dimensional"), the Funds' investment
advisor, and to affiliates of Dimensional that provide ongoing services
to the Funds (with Dimensional, together the "Service Affiliates") if
the services directly impact the Funds' operations and financial
reporting.
The following policies and procedures govern the ways in which the
Committee will pre-approve audit and various types of non-audit services
that the Auditor provides to the Funds and to Service Affiliates. These
policies and procedures do not apply in the case of audit services that
the Auditor provides to Service Affiliates, nor do they apply to
services that an audit firm other than the Auditor provides to such
entities.
These policies and procedures comply with the requirements for
pre-approval, but also provide mechanisms by which management of the
Funds may request and secure pre-approval of audit and non-audit
services in an orderly manner with minimal disruption to normal business
operations. Pre-approval of non-audit services may be achieved through a
combination of the procedures described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the
period of the Auditor's engagement to provide audit services to
the Funds, if the non-audit services to the Service Affiliate
directly impact the Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an independent
registered public accounting firm to certify the Funds' financial
statements for each fiscal year (the "Engagement"). The approval
of the Engagement shall not be delegated to a Designated Member
(as that term is defined in Section D below). In approving the
Engagement, the Committee shall obtain, review and consider
sufficient information concerning the proposed Auditor to enable
the Committee to make a reasonable evaluation of the Auditor's
qualifications and independence. The Committee also shall
consider the Auditor's proposed fees for the Engagement, in light
of the scope and nature of the audit services that the Funds will
receive.
2. The Committee shall report to the Boards of Directors/Trustees of
the Funds (together, the "Board") regarding its approval of the
Engagement and of the proposed fees for the Engagement, and the
basis for such approval.
3. Unless otherwise in accordance with applicable law, the
Engagement, in any event, shall require that the Auditor be
selected by the vote, cast in person, of a majority of the
members of the Board who are not "interested persons" of the
Funds (as that term is defined in Section 2(a)(19) of the
Investment Company Act of 1940) (the "Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services
(including tax services) to the Funds and their Service
Affiliates pursuant to this Section C.
2. Annually, at such time as the Committee considers the Engagement
of the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration
and action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor
during the fiscal year; and (b) a list of those types of
non-audit services directly impacting the Funds' operations and
financial reporting that Service Affiliates may request from the
Auditor during the fiscal year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail (which may include a
range of tax services) and shall include an estimated budget (or
budgeted range) of fees, where possible, and such other
information as the Committee may request. If management and the
Auditor desire the Committee to preapprove the furnishing of a
range of tax services, the Auditor shall provide an estimated
range of fees for such tax services for the consideration and
approval by the Committee.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute
authorization for management of the Funds to utilize the Auditor
for the types of non-audit services so pre-approved, if needed or
desired during the fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners
of the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may
submit either to the Committee or to the Designated Member, as
provided in this Section D, for their consideration and action, a
pre-approval request identifying one or more non-audit service
projects. The request so submitted shall describe the project(s)
in reasonable detail and shall include an estimated budget (or
budgeted range) of fees and such other information as the
Committee or the Designated Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of
its members who are Independent Directors (each a "Designated
Member") to consider, on the Committee's behalf, any non-audit
services, whether to the Funds or to any Service Affiliate, that
have not been pre-approved by the Committee. The Designated
Member also shall review, on the Committee's behalf, any proposed
material change in the nature or extent of any non-audit services
previously approved. The Funds' management, in consultation with
the Auditor, shall explain why such non-audit services or
material change in non-audit services are necessary and
appropriate and the anticipated costs thereof.
4. The Designated Member will review the requested non-audit
services or proposed material change in such services and will
either:
(a)pre-approve, pre-approve subject to conditions, or disapprove
any such requested services, or any proposed material change
in services, whether to the Funds or to a Service Affiliate; or
(b)refer such matter to the full Committee for its consideration
and action.
In considering any requested non-audit services or proposed
material change in such services, the Designated Member's
authority shall be limited to approving non-audit services or
proposed material changes that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed
material change in services pursuant to this Section D shall
constitute authorization for the management of the Funds or the
Service Affiliate, as the case may be, to utilize the Auditor for
the non-audit services so pre-approved. Any action by the
Designated Member in approving a requested non-audit service
shall be presented for ratification by the Committee not later
than at its next scheduled meeting. If the Designated Member does
not approve the Auditor providing the requested non-audit
service, the matter may be presented to the full Committee for
its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made
by the Committee or by a Designated Member pursuant to these
procedures, together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant
to the de minimis exception provided in the Rules, a record shall
be made indicating that each of the conditions for this
exception, as set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of the fiscal year in which
the actions recorded were taken, for at least the first two years
in an easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by
the Registrant's Audit Committee but not pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the fiscal
year ended October 31, 2011 that were attributed to work performed by
persons other than the principal accountant's full time, permanent
employees was not greater than 50%.
(g) Aggregate Non-Audit Fees
Fiscal Year Ended October 31, 2011: $1,362,840
Fiscal Year Ended October 31, 2010: $ 631,221
(h) The Registrant's Audit Committee has considered whether the
provision of non-audit services that were rendered to the Registrant's
investment adviser, and any entity controlling, controlled by, or under
common control with the investment adviser that provides ongoing
services to the Registrant, that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) The complete schedule of investments for each Series of the Registrant that
provided a summary schedule of portfolio holdings in its report to stockholders
included under Item 1 in lieu of a complete schedule of investments is
contained in the Form N-CSR filed on January 9, 2012 (Accession Number
0001193125-12-006335) and is incorporated by reference into this Form N-CSR/A.
(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
Report, the Registrant's Principal Executive Officer and Principal
Financial Officer believe that the disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940,
as amended) are effectively designed to ensure that information required
to be disclosed by the Registrant in the Report is recorded, processed,
summarized and reported by the filing date, including ensuring that
information required to be disclosed in the Report is accumulated and
communicated to the Registrant's officers that are making certifications
in the Report, as appropriate, to allow timely decisions regarding
required disclosure. The Registrant's management, including the
Principal Executive Officer and the Principal Financial Officer,
recognizes that any set of controls and procedures, no matter how well
designed and operated, can provide only reasonable assurance of
achieving the desired control objectives.
(b)There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second fiscal
quarter of the period covered by this Report that have materially
affected, or are reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 12.EXHIBITS.
(a)(1) Code of Ethics is filed herewith.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
The DFA Investment Trust Company
By: /s/ David G. Booth
--------------------------------
David G. Booth
Chairman, Trustee, President and
Co-Chief Executive Officer
Date: March 16, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
--------------------------------
David G. Booth
Principal Executive Officer
The DFA Investment Trust Company
Date: March 16, 2012
By: /s/ David R. Martin
--------------------------------
David R. Martin
Principal Financial Officer
The DFA Investment Trust Company
Date: March 16, 2012