UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6067
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: November 1, 2011 - April 30, 2012
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO] DIMENSIONAL
SEMI-ANNUAL REPORT
six months ended: April 30, 2012 (Unaudited)
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
May 2012
Dear Fellow Shareholder,
At Dimensional, we believe the market force works for investors. This belief
has been at the core of our investment philosophy for more than 30 years.
Consistency is an important part of what makes Dimensional different. As we
continue expanding to pursue business opportunities globally, having a
consistent philosophy helps us stay focused on the things that have been key to
Dimensional's success. Most important is our goal to always act in the best
interests of our clients, and thereby earning and maintaining trust by striving
to do what we say we are going to do. It is Dimensional's goal to deliver an
opportunity for all our clients to have a good lifetime investment experience.
Sincerely,
/s/ David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................................ 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Disclosure of Fund Expenses............................................ 3
Disclosure of Portfolio Holdings....................................... 8
Schedules of Investments/Summary Schedules of Portfolio Holdings.......
Enhanced U.S. Large Company Portfolio.............................. 11
U.S. Large Cap Value Portfolio..................................... 15
U.S. Targeted Value Portfolio...................................... 16
U.S. Small Cap Value Portfolio..................................... 19
U.S. Core Equity 1 Portfolio....................................... 22
U.S. Core Equity 2 Portfolio....................................... 25
U.S. Vector Equity Portfolio....................................... 28
U.S. Small Cap Portfolio........................................... 31
U.S. Micro Cap Portfolio........................................... 34
DFA Real Estate Securities Portfolio............................... 37
Large Cap International Portfolio.................................. 39
International Core Equity Portfolio................................ 43
International Small Company Portfolio.............................. 48
Japanese Small Company Portfolio................................... 49
Asia Pacific Small Company Portfolio............................... 49
United Kingdom Small Company Portfolio............................. 50
Continental Small Company Portfolio................................ 50
DFA International Real Estate Securities Portfolio................. 51
DFA Global Real Estate Securities Portfolio........................ 54
DFA International Small Cap Value Portfolio........................ 55
International Vector Equity Portfolio.............................. 59
World ex U.S. Value Portfolio...................................... 64
Selectively Hedged Global Equity Portfolio......................... 65
Emerging Markets Portfolio......................................... 66
Emerging Markets Small Cap Portfolio............................... 66
Emerging Markets Value Portfolio................................... 67
Emerging Markets Core Equity Portfolio............................. 68
Statements of Assets and Liabilities................................... 72
Statements of Operations............................................... 79
Statements of Changes in Net Assets.................................... 86
Financial Highlights................................................... 95
Notes to Financial Statements.......................................... 112
i
TABLE OF CONTENTS
CONTINUED
PAGE
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DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO
Consolidated Disclosure of Fund Expenses............................... 140
Consolidated Disclosure of Portfolio Holdings.......................... 141
Consolidated Schedule of Investments................................... 142
Consolidated Statement of Assets and Liabilities....................... 148
Consolidated Statement of Operations................................... 149
Consolidated Statements of Changes in Net Assets....................... 150
Consolidated Financial Highlights...................................... 151
Consolidated Notes to Financial Statements............................. 152
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses............................................ 164
Disclosure of Portfolio Holdings....................................... 166
Schedule of Investments/Summary Schedule of Portfolio Holdings.........
DFA International Value Portfolio.................................. 167
U.S. Large Company Portfolio....................................... 168
Statements of Assets and Liabilities................................... 171
Statements of Operations............................................... 172
Statements of Changes in Net Assets.................................... 173
Financial Highlights................................................... 174
Notes to Financial Statements.......................................... 176
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses............................................ 187
Disclosure of Portfolio Holdings....................................... 189
Schedules of Investments/Summary Schedules of Portfolio Holdings.......
The U.S. Large Cap Value Series.................................... 191
The DFA International Value Series................................. 194
The Japanese Small Company Series.................................. 198
The Asia Pacific Small Company Series.............................. 201
The United Kingdom Small Company Series............................ 204
The Continental Small Company Series............................... 207
The Canadian Small Company Series.................................. 211
The Emerging Markets Series........................................ 214
The Emerging Markets Small Cap Series.............................. 218
Statements of Assets and Liabilities................................... 222
Statements of Operations............................................... 224
Statements of Changes in Net Assets.................................... 226
Financial Highlights................................................... 229
Notes to Financial Statements.......................................... 234
ii
TABLE OF CONTENTS
CONTINUED
PAGE
----
DIMENSIONAL EMERGING MARKETS VALUE FUND
Disclosure of Fund Expenses............................................ 244
Disclosure of Portfolio Holdings....................................... 245
Summary Schedule of Portfolio Holdings................................. 246
Statement of Assets and Liabilities.................................... 250
Statement of Operations................................................ 251
Statements of Changes in Net Assets.................................... 252
Financial Highlights................................................... 253
Notes to Financial Statements.......................................... 254
VOTING PROXIES ON FUND PORTFOLIO SECURITIES............................... 261
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS.......................... 262
This report is submitted for the information of the Funds' 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 Corporation
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
P.L.C. Public Limited Company
REIT Real Estate Investment Trust
SPDR Standard & Poor's Depository Receipts
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial
Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as
a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not represent more than 1.0% of the net assets of the Fund. Some of
the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Denominated in local currency or the Euro, unless otherwise noted.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2012.
(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.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets.This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund.You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,129.02 0.26% $1.38
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.57 0.26% $1.31
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP VALUE PORTFOLIO**
--------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,106.43 0.28% $1.47
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.47 0.28% $1.41
U.S. TARGETED VALUE PORTFOLIO
-----------------------------
Actual Fund Return
Class R1 Shares........................... $1,000.00 $1,115.74 0.48% $2.53
Class R2 Shares........................... $1,000.00 $1,114.67 0.63% $3.31
Institutional Class Shares................ $1,000.00 $1,116.29 0.38% $2.00
Hypothetical 5% Annual Return
Class R1 Shares........................... $1,000.00 $1,022.48 0.48% $2.41
Class R2 Shares........................... $1,000.00 $1,021.73 0.63% $3.17
Institutional Class Shares................ $1,000.00 $1,022.97 0.38% $1.91
U.S. SMALL CAP VALUE PORTFOLIO
------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,119.29 0.53% $2.79
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.23 0.53% $2.66
U.S. CORE EQUITY 1 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,122.50 0.20% $1.06
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.87 0.20% $1.01
U.S. CORE EQUITY 2 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,120.16 0.22% $1.16
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.77 0.22% $1.11
U.S. VECTOR EQUITY PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,118.36 0.33% $1.74
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.22 0.33% $1.66
U.S. SMALL CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,113.36 0.38% $2.00
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.97 0.38% $1.91
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. MICRO CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,109.39 0.53% $2.78
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.23 0.53% $2.66
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,144.95 0.27% $1.44
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.52 0.27% $1.36
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,036.76 0.30% $1.52
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.37 0.30% $1.51
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,042.78 0.40% $2.03
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.87 0.40% $2.01
INTERNATIONAL SMALL COMPANY PORTFOLIO***
----------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,063.32 0.56% $2.87
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.08 0.56% $2.82
JAPANESE SMALL COMPANY PORTFOLIO**
----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,083.15 0.56% $2.90
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.08 0.56% $2.82
ASIA PACIFIC SMALL COMPANY PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,066.17 0.60% $3.08
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,021.88 0.60% $3.02
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
UNITED KINGDOM SMALL COMPANY PORTFOLIO**
----------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,147.16 0.60% $3.20
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,021.88 0.60% $3.02
CONTINENTAL SMALL COMPANY PORTFOLIO**
-------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,021.25 0.60% $3.02
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,021.88 0.60% $3.02
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,078.85 0.41% $2.12
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,022.82 0.41% $2.06
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO***
----------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,118.00 0.37% $1.95
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.02 0.37% $1.86
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,068.91 0.71% $3.65
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,021.33 0.71% $3.57
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,046.76 0.54% $2.75
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,022.18 0.54% $2.72
WORLD EX U.S. VALUE PORTFOLIO***
--------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,017.06 0.60% $3.01
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,021.88 0.60% $3.02
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO****
----------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,093.91 0.40% $1.93
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,022.87 0.40% $2.01
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
EMERGING MARKETS PORTFOLIO**
----------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,044.65 0.60% $3.05
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,021.88 0.60% $3.02
EMERGING MARKETS SMALL CAP PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,059.35 0.79% $4.04
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,020.93 0.79% $3.97
EMERGING MARKETS VALUE PORTFOLIO**
----------------------------------
Actual Fund Return
Class R2 Shares........................... $1,000.00 $1,022.37 0.85% $4.27
Institutional Class Shares................ $1,000.00 $1,023.48 0.60% $3.02
Hypothetical 5% Annual Return
Class R2 Shares........................... $1,000.00 $1,020.64 0.85% $4.27
Institutional Class Shares................ $1,000.00 $1,021.88 0.60% $3.02
EMERGING MARKETS CORE EQUITY PORTFOLIO
--------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,043.37 0.65% $3.30
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,021.63 0.65% $3.27
--------
* 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 (182), then divided by the number of days in the year (366) 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).
**** The Selectively Hedged Global Equity 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). The Portfolio commenced
operations on November 14, 2011. Expenses are equal to the fund's
annualized expense ratio for the period, multiplied by the average
account value over the period, multiplied by the number of days since
inception (169), then divided by the number of days in the year (366) to
reflect the period. The "Ending Account Value" is derived from the fund's
share class actual return since inception. The "Hypothetical 5% Annual
Return" information reflects the 182 day period for the six months ended
April 30, 2012 to allow for comparability.
7
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 27, 2012. 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%
Selectively Hedged Global Equity Portfolio.. 100.0%
8
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
FIXED INCOME PORTFOLIO
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Corporate.......................... 26.7%
Government......................... 11.5%
Foreign Corporate.................. 27.4%
Foreign Government................. 29.1%
Supranational...................... 5.3%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary............. 16.4%
Consumer Staples................... 4.4%
Energy............................. 9.1%
Financials......................... 24.4%
Health Care........................ 7.0%
Industrials........................ 15.6%
Information Technology............. 13.1%
Materials.......................... 8.6%
Other.............................. --
Telecommunication Services......... 1.0%
Utilities.......................... 0.4%
-----
100.0%
U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary............. 14.2%
Consumer Staples................... 6.4%
Energy............................. 11.4%
Financials......................... 18.7%
Health Care........................ 10.5%
Industrials........................ 14.1%
Information Technology............. 14.0%
Materials.......................... 5.2%
Other.............................. --
Real Estate Investment Trusts...... --
Telecommunication Services......... 3.1%
Utilities.......................... 2.4%
-----
100.0%
U.S. MICRO CAP PORTFOLIO
Consumer Discretionary............. 18.0%
Consumer Staples................... 4.2%
Energy............................. 4.7%
Financials......................... 15.6%
Health Care........................ 11.5%
Industrials........................ 17.5%
Information Technology............. 19.7%
Materials.......................... 5.7%
Other.............................. --
Telecommunication Services......... 1.2%
Utilities.......................... 1.9%
-----
100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Consumer Discretionary............. 18.8%
Consumer Staples................... 3.8%
Energy............................. 9.1%
Financials......................... 23.3%
Health Care........................ 5.1%
Industrials........................ 18.3%
Information Technology............. 13.2%
Materials.......................... 7.9%
Other.............................. --
Telecommunication Services......... 0.4%
Utilities.......................... 0.1%
-----
100.0%
U.S. VECTOR EQUITY PORTFOLIO
Consumer Discretionary............. 15.4%
Consumer Staples................... 5.3%
Energy............................. 10.0%
Financials......................... 23.9%
Health Care........................ 8.5%
Industrials........................ 14.5%
Information Technology............. 12.8%
Materials.......................... 5.9%
Other.............................. --
Telecommunication Services......... 2.3%
Utilities.......................... 1.4%
-----
100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO
Real Estate Investment Trusts...... 100.0%
-----
100.0%
U.S. CORE EQUITY 1 PORTFOLIO
Consumer Discretionary............. 13.9%
Consumer Staples................... 8.0%
Energy............................. 10.4%
Financials......................... 15.8%
Health Care........................ 10.6%
Industrials........................ 13.0%
Information Technology............. 17.4%
Materials.......................... 5.0%
Other.............................. --
Real Estate Investment Trusts...... 0.1%
Telecommunication Services......... 2.5%
Utilities.......................... 3.3%
-----
100.0%
U.S. SMALL CAP PORTFOLIO
Consumer Discretionary............. 18.2%
Consumer Staples................... 4.5%
Energy............................. 5.0%
Financials......................... 15.3%
Health Care........................ 10.3%
Industrials........................ 18.5%
Information Technology............. 18.9%
Materials.......................... 5.3%
Other.............................. --
Telecommunication Services......... 0.8%
Utilities.......................... 3.2%
-----
100.0%
LARGE CAP INTERNATIONAL PORTFOLIO
Consumer Discretionary............. 10.4%
Consumer Staples................... 10.4%
Energy............................. 10.4%
Financials......................... 22.8%
Health Care........................ 8.7%
Industrials........................ 12.3%
Information Technology............. 4.4%
Materials.......................... 11.8%
Other.............................. --
Telecommunication Services......... 5.2%
Utilities.......................... 3.6%
-----
100.0%
9
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
INTERNATIONAL CORE EQUITY PORTFOLIO
Consumer Discretionary...................................... 13.1%
Consumer Staples............................................ 7.0%
Energy...................................................... 10.3%
Financials.................................................. 23.7%
Health Care................................................. 5.0%
Industrials................................................. 16.7%
Information Technology...................................... 5.6%
Materials................................................... 12.3%
Other....................................................... --
Telecommunication Services.................................. 3.3%
Utilities................................................... 3.0%
-----
100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Consumer Discretionary...................................... 14.7%
Consumer Staples............................................ 5.9%
Energy...................................................... 9.1%
Financials.................................................. 23.0%
Health Care................................................. 4.2%
Industrials................................................. 18.6%
Information Technology...................................... 6.4%
Materials................................................... 13.5%
Real Estate Investment Trusts............................... --
Telecommunication Services.................................. 2.7%
Utilities................................................... 1.9%
-----
100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Consumer Discretionary...................................... 0.2%
Financials.................................................. 0.2%
Real Estate Investment Trusts............................... 99.6%
-----
100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Consumer Discretionary...................................... 10.3%
Consumer Staples............................................ 7.9%
Energy...................................................... 10.6%
Financials.................................................. 24.0%
Health Care................................................. 1.8%
Industrials................................................. 11.1%
Information Technology...................................... 11.1%
Materials................................................... 14.2%
Real Estate Investment Trusts............................... --
Telecommunication Services.................................. 5.3%
Utilities................................................... 3.7%
-----
100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Consumer Discretionary...................................... 19.0%
Consumer Staples............................................ 4.8%
Energy...................................................... 6.5%
Financials.................................................. 18.6%
Health Care................................................. 2.0%
Industrials................................................. 25.7%
Information Technology...................................... 5.6%
Materials................................................... 16.9%
Other....................................................... --
Telecommunication Services.................................. 0.5%
Utilities................................................... 0.4%
-----
100.0%
10
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (83.0%)
AUSTRALIA -- (2.9%)
BHP Billiton Finance USA, Ltd.
(u) 4.800%, 04/15/13.................................... 600 $ 624,810
Westpac Banking Corp.
(e) 6.500%, 06/24/13.................................... 3,500 4,909,331
-----------
TOTAL AUSTRALIA.......................................... 5,534,141
-----------
CANADA -- (10.6%)
Bank of Nova Scotia
(u) 2.250%, 01/22/13.................................... 1,300 1,315,257
British Columbia, Province of Canada
5.500%, 04/24/13.................................... 2,000 2,102,141
Canada Housing Trust
2.200%, 03/15/14.................................... 5,000 5,131,042
Canadian Imperial Bank of Commerce
(u) 1.450%, 09/13/13.................................... 600 607,213
Canadian National Railway Co.
(u) 4.400%, 03/15/13.................................... 600 619,955
Canadian Natural Resources, Ltd.
(u) 5.150%, 02/01/13.................................... 600 620,095
Encana Corp.
(u) 4.750%, 10/15/13.................................... 800 839,962
Ontario, Province of Canada
5.500%, 04/17/13.................................... 4,000 4,198,767
Toronto-Dominion Bank (The)
4.854%, 02/13/13.................................... 4,000 4,154,558
TransCanada PipeLines, Ltd.
(u) 4.000%, 06/15/13.................................... 685 710,784
-----------
TOTAL CANADA............................................. 20,299,774
-----------
DENMARK -- (3.6%)
FIH Erhvervsbank A.S.
(u) 2.450%, 08/17/12.................................... 2,800 2,813,742
Kommunekredit A.S.
(u) 1.250%, 09/03/13.................................... 4,000 4,028,304
-----------
TOTAL DENMARK............................................ 6,842,046
-----------
FINLAND -- (0.3%)
Nordea Bank Finland P.L.C. Floating Rate Note
(r)(u)1.007%, 02/07/13................................... 500 500,560
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FRANCE -- (12.1%)
Caisse D'amortissement de la Dette Sociale SA
(u) 1.625%, 03/17/14.................................... 5,000 $ 5,036,640
French Treasury Note BTAN
2.500%, 01/12/14.................................... 3,500 4,786,998
Reseau Ferre de France
4.625%, 03/17/14.................................... 3,000 4,222,302
Societe Financement de L'economie Francaise SA
3.250%, 01/16/14.................................... 3,500 4,813,721
Total Capital SA
(g) 5.500%, 01/29/13.................................... 2,500 4,180,806
-----------
TOTAL FRANCE............................................. 23,040,467
-----------
GERMANY -- (6.3%)
Deutsche Bank AG
(u) 2.375%, 01/11/13.................................... 600 605,360
Kreditanstalt fur Wiederaufbau
(u) 4.000%, 10/15/13.................................... 3,000 3,152,700
Landeskreditbank Baden-Wuerttemberg Foerderbank
3.250%, 01/29/14.................................... 3,000 4,145,501
Landwirtschaftliche Rentenbank
(u) 4.125%, 07/15/13.................................... 4,000 4,169,164
-----------
TOTAL GERMANY............................................ 12,072,725
-----------
NETHERLANDS -- (8.1%)
Bank Nederlandse Gemeenten NV
3.750%, 03/14/14.................................... 3,000 4,185,847
Diageo Finance BV
(u) 5.500%, 04/01/13.................................... 600 627,155
Koninklijke Philips Electronics NV
(u) 7.250%, 08/15/13.................................... 1,000 1,080,768
Rabobank Nederland NV
(u) 2.500%, 12/12/13.................................... 2,000 2,031,880
4.375%, 01/22/14.................................... 2,000 2,783,520
SNS Bank NV
3.500%, 03/10/14.................................... 3,500 4,856,246
-----------
TOTAL NETHERLANDS........................................ 15,565,416
-----------
11
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
NORWAY -- (1.5%)
Eksportfinans ASA
(u) 1.875%, 04/02/13..................................... 3,000 $2,940,051
----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (4.9%)
Eurofima
(c) 4.875%, 12/04/12..................................... 2,500 2,570,327
(u) 4.250%, 02/04/14..................................... 2,500 2,637,750
European Investment Bank
(u) 5.250%, 05/15/13..................................... 4,000 4,193,464
----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS.............. 9,401,541
----------
SWEDEN -- (2.6%)
Svenska Handelsbanken AB
(e) 4.875%, 03/25/14..................................... 3,500 4,943,902
----------
SWITZERLAND -- (0.3%)
Credit Suisse New York AG
(u) 5.000%, 05/15/13..................................... 600 622,753
----------
UNITED KINGDOM -- (2.5%)
Barclays Bank P.L.C.
(u) 5.450%, 09/12/12..................................... 1,500 1,524,175
BP Capital Markets P.L.C.
(u) 5.250%, 11/07/13..................................... 1,250 1,330,185
Diageo Capital P.L.C.
(u) 7.375%, 01/15/14..................................... 800 889,609
Vodafone Group P.L.C.
(u) 5.000%, 12/16/13..................................... 1,000 1,066,395
----------
TOTAL UNITED KINGDOM...................................... 4,810,364
----------
UNITED STATES -- (27.3%)
Allstate Corp. (The)
7.500%, 06/15/13..................................... $ 489 525,331
American Express Bank FSB
5.550%, 10/17/12..................................... 600 613,435
American Express Credit Corp.
7.300%, 08/20/13..................................... 500 539,726
Anheuser-Busch Cos., Inc.
4.375%, 01/15/13..................................... 700 717,816
Apache Corp.
5.250%, 04/15/13..................................... 700 731,126
Assurant, Inc.
5.625%, 02/15/14..................................... 1,000 1,049,440
FACE
AMOUNT VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
AT&T, Inc.
4.950%, 01/15/13..................................... $ 600 $ 618,479
6.700%, 11/15/13..................................... 600 653,819
Avery Dennison Corp.
4.875%, 01/15/13..................................... 600 617,391
Bank of New York Mellon Corp. (The)
4.500%, 04/01/13..................................... 3,000 3,110,487
Baxter International, Inc.
1.800%, 03/15/13..................................... 800 809,944
BB&T Corp.
3.375%, 09/25/13..................................... 600 621,022
BlackRock, Inc.
2.250%, 12/10/12..................................... 600 606,524
Bristol-Myers Squibb Co.
5.250%, 08/15/13..................................... 345 366,109
Burlington Northern Santa Fe LLC
4.300%, 07/01/13..................................... 600 622,211
Campbell Soup Co.
4.875%, 10/01/13..................................... 251 266,010
Caterpillar Financial Services Corp.
2.000%, 04/05/13..................................... 650 659,470
CenterPoint Energy Resources Corp.
7.875%, 04/01/13..................................... 600 637,414
Cisco Systems, Inc.
1.625%, 03/14/14..................................... 1,000 1,021,745
Citigroup, Inc.
5.300%, 10/17/12..................................... 1,400 1,427,657
Coca-Cola Enterprises, Inc.
1.125%, 11/12/13..................................... 948 952,488
Comcast Cable Communications Holdings, Inc.
8.375%, 03/15/13..................................... 600 640,028
Computer Sciences Corp.
5.000%, 02/15/13..................................... 600 618,000
Consolidated Edison Co. of New York, Inc.
3.850%, 06/15/13..................................... 250 258,851
Daimler Finance North America LLC
6.500%, 11/15/13..................................... 1,500 1,625,409
Dell, Inc.
1.400%, 09/10/13..................................... 600 606,359
Dominion Resources, Inc.
5.000%, 03/15/13..................................... 600 622,078
12
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------------
(000)
UNITED STATES -- (Continued)
Dow Chemical Co. (The)
6.000%, 10/01/12........................................ $ 385 $ 393,015
eBay, Inc.
0.875%, 10/15/13........................................ 800 805,930
Enterprise Products Operating LLC
9.750%, 01/31/14........................................ 1,000 1,141,409
EOG Resources, Inc.
6.125%, 10/01/13........................................ 800 858,920
Fifth Third Bancorp
6.250%, 05/01/13........................................ 600 631,062
General Electric Capital Corp.
1.875%, 09/16/13........................................ 1,500 1,519,608
2.100%, 01/07/14........................................ 3,500 3,563,171
Georgia Power Co.
1.300%, 09/15/13........................................ 700 707,118
Goldman Sachs Group, Inc. (The)
5.450%, 11/01/12........................................ 1,360 1,389,968
Hewlett-Packard Co.
4.500%, 03/01/13........................................ 600 617,706
1.250%, 09/13/13........................................ 500 500,928
Historic TW, Inc.
9.125%, 01/15/13........................................ 600 633,852
HSBC Finance Corp.
6.375%, 11/27/12........................................ 600 618,160
John Deere Capital Corp.
4.500%, 04/03/13........................................ 700 726,077
JPMorgan Chase & Co.
5.375%, 10/01/12........................................ 800 815,687
Kimberly-Clark Corp.
5.000%, 08/15/13........................................ 600 634,635
Kroger Co. (The)
5.500%, 02/01/13........................................ 600 621,514
MetLife, Inc.
5.375%, 12/15/12........................................ 1,000 1,029,078
5.000%, 11/24/13........................................ 350 371,918
Nisource Finance Corp.
6.150%, 03/01/13........................................ 273 284,408
Paccar Financial Corp.
2.050%, 06/17/13........................................ 600 610,312
Philip Morris International, Inc.
4.875%, 05/16/13........................................ 600 627,664
Pitney Bowes, Inc.
4.625%, 10/01/12........................................ 600 608,939
Praxair, Inc.
2.125%, 06/14/13........................................ 815 827,569
Prudential Financial, Inc.
5.150%, 01/15/13........................................ 600 618,252
FACE
AMOUNT VALUE+
------ ------------
(000)
UNITED STATES -- (Continued)
Reynolds American, Inc.
7.250%, 06/01/13........................................ $ 600 $ 636,991
St. Jude Medical, Inc.
2.200%, 09/15/13........................................ 800 816,710
SunTrust Banks, Inc.
5.250%, 11/05/12........................................ 500 510,657
Target Corp.
4.000%, 06/15/13........................................ 977 1,013,440
TD Ameritrade Holding Corp.
2.950%, 12/01/12........................................ 700 708,179
Time Warner Cable, Inc.
6.200%, 07/01/13........................................ 1,000 1,061,766
Travelers Property Casualty Corp.
5.000%, 03/15/13........................................ 700 724,515
Union Bank NA
2.125%, 12/16/13........................................ 1,050 1,067,869
UnitedHealth Group, Inc.
5.500%, 11/15/12........................................ 250 256,653
4.875%, 04/01/13........................................ 600 623,261
Verizon Communications, Inc.
4.350%, 02/15/13........................................ 600 617,879
Wachovia Corp.
5.500%, 05/01/13........................................ 1,000 1,046,645
Wells Fargo Bank & Co.
4.375%, 01/31/13........................................ 500 514,076
------------
TOTAL UNITED STATES........................................ 52,293,910
------------
TOTAL BONDS................................................ 158,867,650
------------
AGENCY OBLIGATIONS -- (10.9%)
Federal Home Loan Bank
4.500%, 09/16/13........................................ 5,000 5,288,610
Federal Home Loan Bank Discount Note
^^1.000%, 07/12/12...................................... 3,600 3,599,496
Federal Home Loan Mortgage Corporation
0.625%, 12/23/13........................................ 3,000 3,013,770
Federal Home Loan Mortgage Corporation Discount Note
^^1.000%, 07/19/12...................................... 4,700 4,699,276
Federal National Mortgage Association Discount Note
^^1.000%, 07/18/12...................................... 4,300 4,299,346
------------
TOTAL AGENCY OBLIGATIONS. ................................. 20,900,498
------------
13
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
---------- ------------
(000)
COMMERCIAL PAPER -- (0.5%)
Standard Chartered Bank
0.754%, 12/14/12.................................... $ 1,000 $ 994,819
------------
SHARES VALUE+
---------- ------------
EXCHANGE-TRADED FUND -- (3.2%)
UNITED STATES -- (3.2%)
SPDR Trust Series I.................................. 44,100 $ 6,163,857
------------
TEMPORARY CASH INVESTMENTS -- (2.4%)
BlackRock Liquidity Funds
TempCash Portfolio - Institutional Shares 4,469,365 4,469,365
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $189,059,866).................................. $191,396,189
============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Bonds.............................. -- $158,867,650 -- $158,867,650
Agency Obligations................. -- 20,900,498 -- 20,900,498
Commercial Paper................... -- 994,819 -- 994,819
Exchange-Traded Fund............... $ 6,163,857 -- -- 6,163,857
Temporary Cash Investments......... 4,469,365 -- -- 4,469,365
Forward Currency Contracts**....... -- 35,659 -- 35,659
Futures Contracts**................ 7,821,901 -- -- 7,821,901
----------- ------------ -- ------------
TOTAL.............................. $18,455,123 $180,798,626 -- $199,253,749
=========== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
14
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company.............................. $7,990,237,037
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $6,093,995,407)...................................... $7,990,237,037
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
15
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (86.7%)
Consumer Discretionary -- (14.2%)
*Cabela's, Inc............................. 326,469 $ 12,343,793 0.4%
#Dillard's, Inc. Class A................... 240,649 15,536,299 0.5%
#Foot Locker, Inc.......................... 404,082 12,360,868 0.4%
#GameStop Corp. Class A.................... 635,798 14,470,762 0.5%
#Lennar Corp. Class A...................... 638,026 17,698,841 0.6%
*Mohawk Industries, Inc.................... 318,323 21,334,007 0.7%
#Washington Post Co. Class B............... 27,260 10,308,914 0.4%
Other Securities.......................... 372,298,825 12.8%
------------ ---------------
Total Consumer Discretionary................. 476,352,309 16.3%
------------ ---------------
Consumer Staples -- (3.8%)
*Hain Celestial Group, Inc (The)........... 217,855 10,304,542 0.4%
#*Ralcorp Holdings, Inc..................... 138,866 10,110,833 0.3%
#*Smithfield Foods, Inc..................... 767,800 16,093,088 0.5%
Other Securities.......................... 92,730,352 3.2%
------------ ---------------
Total Consumer Staples....................... 129,238,815 4.4%
------------ ---------------
Energy -- (7.9%)
*Helix Energy Solutions Group, Inc......... 494,307 10,088,806 0.3%
*Plains Exploration & Production Co........ 448,065 18,303,455 0.6%
#*Rowan Cos., Inc........................... 582,465 20,112,516 0.7%
Sunoco, Inc............................... 258,294 12,731,311 0.4%
*Tesoro Corp............................... 728,585 16,939,601 0.6%
Tidewater, Inc............................ 241,811 13,306,859 0.5%
Other Securities.......................... 174,166,077 6.0%
------------ ---------------
Total Energy................................. 265,648,625 9.1%
------------ ---------------
Financials -- (21.2%)
Allied World Assurance Co. Holdings AG.... 186,577 13,426,081 0.5%
*American Capital, Ltd..................... 1,116,778 11,089,606 0.4%
American Financial Group, Inc............. 457,000 17,786,440 0.6%
Assurant, Inc............................. 429,284 17,317,317 0.6%
Axis Capital Holdings, Ltd................ 571,529 19,443,417 0.7%
Delphi Financial Group, Inc. Class A...... 226,679 10,295,760 0.3%
Everest Re Group, Ltd..................... 180,323 17,870,009 0.6%
Legg Mason, Inc........................... 617,560 16,099,789 0.5%
*NASDAQ OMX Group, Inc. (The).............. 858,799 21,100,691 0.7%
#Old Republic International Corp........... 1,070,624 10,652,709 0.4%
PartnerRe, Ltd............................ 252,106 17,551,620 0.6%
#Protective Life Corp...................... 348,760 10,204,718 0.3%
Reinsurance Group of America, Inc......... 349,301 20,308,360 0.7%
Validus Holdings, Ltd..................... 410,628 13,345,410 0.5%
Other Securities.......................... 494,964,423 17.0%
------------ ---------------
Total Financials............................. 711,456,350 24.4%
------------ ---------------
Health Care -- (6.1%)
Coventry Health Care, Inc................. 683,752 20,505,722 0.7%
*Hologic, Inc.............................. 687,987 13,154,311 0.5%
#Omnicare, Inc............................. 532,904 18,566,375 0.6%
#Teleflex, Inc............................. 166,382 10,427,160 0.4%
Other Securities.......................... 141,008,376 4.8%
------------ ---------------
Total Health Care............................ 203,661,944 7.0%
------------ ---------------
Industrials -- (13.5%)
*Owens Corning, Inc........................ 433,423 14,888,080 0.5%
*Quanta Services, Inc...................... 540,884 11,964,354 0.4%
16
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Industrials -- (Continued)
Ryder System, Inc......................... 245,750 $ 11,972,940 0.4%
Trinity Industries, Inc................... 355,475 10,522,060 0.4%
URS Corp.................................. 283,746 11,721,547 0.4%
Other Securities.......................... 394,002,846 13.5%
-------------- ---------------
Total Industrials............................ 455,071,827 15.6%
-------------- ---------------
Information Technology -- (11.3%)
*Arrow Electronics, Inc.................... 445,717 18,742,400 0.6%
*Avnet, Inc................................ 295,686 10,668,351 0.4%
IAC/InterActiveCorp....................... 223,604 10,766,533 0.4%
*Ingram Micro, Inc. Class A................ 638,499 12,425,191 0.4%
*Tech Data Corp............................ 261,278 14,054,144 0.5%
Other Securities.......................... 313,914,303 10.8%
-------------- ---------------
Total Information Technology................. 380,570,922 13.1%
-------------- ---------------
Materials -- (7.4%)
#Ashland, Inc.............................. 346,677 22,835,614 0.8%
Domtar Corp............................... 168,731 14,760,588 0.5%
#MeadWestavco Corp......................... 338,632 10,775,270 0.4%
Reliance Steel & Aluminum Co.............. 314,252 17,563,544 0.6%
Rock-Tenn Co. Class A..................... 219,632 13,689,663 0.5%
Vulcan Materials Co....................... 237,785 10,179,576 0.3%
Other Securities.......................... 160,261,102 5.5%
-------------- ---------------
Total Materials.............................. 250,065,357 8.6%
-------------- ---------------
Other -- (0.0%)
Other Securities.......................... -- 0.0%
-------------- ---------------
Telecommunication Services -- (0.9%)
Other Securities.......................... 29,335,859 1.0%
-------------- ---------------
Utilities -- (0.4%)
Other Securities.......................... 12,585,105 0.4%
-------------- ---------------
TOTAL COMMON STOCKS.......................... 2,913,987,113 99.9%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.......................... -- 0.0%
-------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
BlackRock Liquidity Funds TempCash
Portfolio--Institutional Shares......... 3,300,374 3,300,374 0.1%
-------------- ---------------
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (13.2%)
(S)@DFA Short Term Investment Fund........... 442,939,829 442,939,829 15.2%
@Repurchase Agreement, JPMorgan
Securities LLC 0.21%, 05/01/12
(Collateralized by $1,747,960 FNMA,
rates ranging from 2.000% to 6.331%(r),
maturities ranging from 01/01/19 to
09/01/45, valued at $1,753,379) to be
repurchased at $1,697,051............... $ 1,697 1,697,041 0.1%
----------- ----
TOTAL SECURITIES LENDING COLLATERAL.......... 444,636,870 15.3%
----------- ----
17
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,919,739,894)....... $3,361,924,357 115.3%
============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary..... $ 476,347,918 $ 4,391 -- $ 476,352,309
Consumer Staples........... 129,238,815 -- -- 129,238,815
Energy..................... 265,648,625 -- -- 265,648,625
Financials................. 711,456,350 -- -- 711,456,350
Health Care................ 203,661,944 -- -- 203,661,944
Industrials................ 454,960,025 111,802 -- 455,071,827
Information Technology..... 380,570,922 -- -- 380,570,922
Materials.................. 250,065,357 -- -- 250,065,357
Other...................... -- -- -- --
Telecommunication Services. 29,335,859 -- -- 29,335,859
Utilities.................. 12,585,105 -- -- 12,585,105
Rights/Warrants............... -- -- -- --
Temporary Cash Investments.... 3,300,374 -- -- 3,300,374
Securities Lending Collateral. -- 444,636,870 -- 444,636,870
-------------- ------------ ------- --------------
TOTAL......................... $2,917,171,294 $444,753,063 -- $3,361,924,357
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
18
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
COMMON STOCKS -- (87.7%)
Consumer Discretionary -- (16.4%)
*Cabela's, Inc............................. 1,287,489 $ 48,679,959 0.7%
#Dillard's, Inc. Class A................... 1,250,547 80,735,314 1.1%
#*Gaylord Entertainment Co.................. 1,272,691 40,064,313 0.6%
#Group 1 Automotive, Inc................... 692,454 40,079,238 0.6%
#Penske Automotive Group, Inc.............. 1,371,335 36,258,097 0.5%
#Rent-A-Center, Inc........................ 1,578,683 54,006,745 0.7%
#Scholastic Corp........................... 1,436,861 43,896,104 0.6%
Other Securities.......................... 983,919,424 13.9%
-------------- ---------------
Total Consumer Discretionary................. 1,327,639,194 18.7%
-------------- ---------------
Consumer Staples -- (3.3%)
#Fresh Del Monte Produce, Inc.............. 1,501,108 34,780,672 0.5%
#*Hain Celestial Group, Inc (The)........... 1,084,318 51,288,241 0.7%
#Universal Corp............................ 816,326 37,412,221 0.5%
Other Securities.......................... 145,863,678 2.1%
-------------- ---------------
Total Consumer Staples....................... 269,344,812 3.8%
-------------- ---------------
Energy -- (8.0%)
#Bristow Group, Inc........................ 1,224,212 59,802,756 0.8%
#*Gulfmark Offshore, Inc. Class A........... 742,629 35,772,439 0.5%
#*Helix Energy Solutions Group, Inc......... 3,592,362 73,320,108 1.0%
#*Hornbeck Offshore Services, Inc........... 1,038,490 43,232,339 0.6%
#*SEACOR Holdings, Inc...................... 408,801 37,989,877 0.5%
*Superior Energy Services, Inc............. 1,217,614 32,778,169 0.5%
#Western Refining, Inc..................... 2,030,451 38,680,092 0.6%
Other Securities.......................... 326,008,623 4.6%
-------------- ---------------
Total Energy................................. 647,584,403 9.1%
-------------- ---------------
Financials -- (20.4%)
#*CNO Financial Group, Inc.................. 8,629,001 62,732,837 0.9%
Delphi Financial Group, Inc. Class A...... 1,345,752 61,124,056 0.9%
#Kemper Corp............................... 1,500,447 44,998,406 0.6%
#*MBIA, Inc................................. 4,030,666 40,629,113 0.6%
Montpelier Re Holdings, Ltd............... 2,238,256 45,929,013 0.7%
Provident Financial Services, Inc......... 2,308,593 33,936,317 0.5%
#Susquehanna Bancshares, Inc............... 4,182,685 43,374,443 0.6%
#Umpqua Holdings Corp...................... 3,448,430 45,657,213 0.6%
#Webster Financial Corp.................... 1,879,422 42,719,262 0.6%
#Wintrust Financial Corp................... 1,117,309 40,368,374 0.6%
Other Securities.......................... 1,186,313,071 16.7%
-------------- ---------------
Total Financials............................. 1,647,782,105 23.3%
-------------- ---------------
Health Care -- (4.5%)
#*LifePoint Hospitals, Inc.................. 1,881,774 73,426,821 1.0%
#*ViroPharma, Inc........................... 1,980,889 43,084,336 0.6%
Other Securities.......................... 243,937,457 3.5%
-------------- ---------------
Total Health Care............................ 360,448,614 5.1%
-------------- ---------------
Industrials -- (16.1%)
#Alexander & Baldwin, Inc.................. 1,253,242 64,115,861 0.9%
Amerco, Inc............................... 359,989 36,157,295 0.5%
#*Avis Budget Group, Inc.................... 3,491,780 45,951,825 0.7%
#*Esterline Technologies Corp............... 1,083,604 74,216,038 1.0%
#GATX Corp................................. 1,606,468 68,869,283 1.0%
#*JetBlue Airways Corp...................... 8,052,526 38,249,498 0.5%
*Seaboard Corp............................. 18,588 36,997,927 0.5%
19
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
Trinity Industries, Inc.................... 1,640,354 $ 48,554,478 0.7%
Other Securities........................... 882,565,328 12.5%
-------------- ---------------
Total Industrials............................. 1,295,677,533 18.3%
-------------- ---------------
Information Technology -- (11.5%)
*Benchmark Electronics, Inc................. 2,338,129 37,129,489 0.5%
#*CACI International, Inc. Class A........... 680,182 41,579,526 0.6%
#*Coherent, Inc.............................. 739,561 38,900,909 0.5%
#*Convergys Corp............................. 3,484,625 46,589,436 0.6%
#*Fairchild Semiconductor International, Inc. 2,889,865 40,949,387 0.6%
MKS Instruments, Inc....................... 1,579,401 43,670,438 0.6%
#*SYNNEX Corp................................ 1,046,878 39,875,583 0.6%
#*Vishay Intertechnology, Inc................ 3,102,896 34,814,493 0.5%
Other Securities........................... 608,015,451 8.6%
-------------- ---------------
Total Information Technology.................. 931,524,712 13.1%
-------------- ---------------
Materials -- (7.0%)
*Coeur d'Alene Mines Corp................... 1,657,693 35,723,284 0.5%
#*Graphic Packaging Holding Co............... 6,116,772 32,724,730 0.5%
#Kaiser Aluminum Corp....................... 621,616 32,678,353 0.4%
#*Louisiana-Pacific Corp..................... 4,955,113 44,843,773 0.6%
#Westlake Chemical Corp..................... 1,224,090 78,280,556 1.1%
Other Securities........................... 338,371,243 4.8%
-------------- ---------------
Total Materials............................... 562,621,939 7.9%
-------------- ---------------
Other -- (0.0%)
Other Securities........................... 14,214 0.0%
-------------- ---------------
Telecommunication Services -- (0.4%)
Other Securities........................... 31,372,250 0.5%
-------------- ---------------
Utilities -- (0.1%)
Other Securities........................... 6,201,664 0.1%
-------------- ---------------
TOTAL COMMON STOCKS........................... 7,080,211,440 99.9%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................... -- 0.0%
-------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds TempCash
Portfolio - Institutional Shares......... 14,324,339 14,324,339 0.2%
-------------- ---------------
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (12.1%)
(S)@DFA Short Term Investment Fund..................... 977,104,752 977,104,752 13.8%
@Repurchase Agreement, JPMorgan Securities LLC
0.21%, 05/01/12 (Collateralized by $1,247,022
FNMA, rates ranging from 2.000% to 6.331%(r),
maturities ranging from 01/01/19 to 09/01/45,
valued at $1,250,887) to be repurchased at
$1,210,702........................................ $ 1,211 1,210,695 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.................... 978,315,447 13.8%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,270,047,379)................................ $8,072,851,226 113.9%
============== =====
20
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary..... $1,327,261,644 $ 377,550 -- $1,327,639,194
Consumer Staples........... 269,344,812 -- -- 269,344,812
Energy..................... 647,238,360 346,043 -- 647,584,403
Financials................. 1,647,776,890 5,215 -- 1,647,782,105
Health Care................ 360,448,614 -- -- 360,448,614
Industrials................ 1,295,038,351 639,182 -- 1,295,677,533
Information Technology..... 931,524,712 -- -- 931,524,712
Materials.................. 562,621,939 -- -- 562,621,939
Other...................... -- 14,214 -- 14,214
Telecommunication Services. 31,372,250 -- -- 31,372,250
Utilities.................. 6,201,664 -- -- 6,201,664
Rights/Warrants............... -- -- -- --
Temporary Cash Investments.... 14,324,339 -- -- 14,324,339
Securities Lending Collateral. -- 978,315,447 -- 978,315,447
-------------- ------------ ------- --------------
TOTAL......................... $7,093,153,575 $979,697,651 -- $8,072,851,226
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
21
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (86.9%)
Consumer Discretionary -- (12.1%)
*Amazon.com, Inc........................... 65,218 $ 15,124,054 0.3%
Comcast Corp. Class A..................... 575,594 17,457,766 0.4%
Home Depot, Inc. (The).................... 277,331 14,362,972 0.3%
McDonald's Corp........................... 190,201 18,535,087 0.4%
Walt Disney Co. (The)..................... 447,208 19,279,137 0.4%
Other Securities.......................... 551,108,398 12.0%
------------ ---------------
Total Consumer Discretionary................. 635,867,414 13.8%
------------ ---------------
Consumer Staples -- (6.9%)
Altria Group, Inc......................... 366,617 11,808,734 0.3%
Coca-Cola Co. (The)....................... 370,954 28,311,209 0.6%
CVS Caremark Corp......................... 348,331 15,542,529 0.3%
Kraft Foods, Inc. Class A................. 449,307 17,913,870 0.4%
PepsiCo, Inc.............................. 289,004 19,074,264 0.4%
Philip Morris International, Inc.......... 311,537 27,885,677 0.6%
Procter & Gamble Co. (The)................ 444,296 28,274,997 0.6%
Wal-Mart Stores, Inc...................... 499,081 29,400,862 0.6%
Other Securities.......................... 186,414,948 4.1%
------------ ---------------
Total Consumer Staples....................... 364,627,090 7.9%
------------ ---------------
Energy -- (9.0%)
Chevron Corp.............................. 528,762 56,344,879 1.2%
ConocoPhillips............................ 343,340 24,593,444 0.5%
Exxon Mobil Corp.......................... 896,367 77,392,327 1.7%
#Occidental Petroleum Corp................. 194,433 17,736,178 0.4%
Schlumberger, Ltd......................... 239,236 17,736,957 0.4%
Other Securities.......................... 281,650,188 6.1%
------------ ---------------
Total Energy................................. 475,453,973 10.3%
------------ ---------------
Financials -- (13.8%)
American Express Co....................... 193,008 11,621,012 0.3%
Bank of America Corp...................... 2,683,465 21,762,901 0.5%
*Berkshire Hathaway, Inc................... 333,844 26,857,750 0.6%
Citigroup, Inc............................ 759,034 25,078,483 0.5%
Goldman Sachs Group, Inc. (The)........... 128,129 14,754,054 0.3%
JPMorgan Chase & Co....................... 1,045,296 44,926,822 1.0%
MetLife, Inc.............................. 291,711 10,510,347 0.2%
U.S. Bancorp.............................. 496,744 15,980,254 0.3%
Wells Fargo & Co.......................... 1,323,776 44,253,832 1.0%
Other Securities.......................... 510,184,729 11.1%
------------ ---------------
Total Financials............................. 725,930,184 15.8%
------------ ---------------
Health Care -- (9.2%)
Abbott Laboratories....................... 280,566 17,411,926 0.4%
Amgen, Inc................................ 198,736 14,132,117 0.3%
#Johnson & Johnson......................... 499,936 32,540,834 0.7%
Merck & Co., Inc.......................... 751,258 29,479,364 0.7%
Pfizer, Inc............................... 1,988,764 45,602,359 1.0%
UnitedHealth Group, Inc................... 245,508 13,785,274 0.3%
Other Securities.......................... 332,636,669 7.2%
------------ ---------------
Total Health Care............................ 485,588,543 10.6%
------------ ---------------
Industrials -- (11.3%)
#3M Co..................................... 119,041 10,637,504 0.2%
Caterpillar, Inc.......................... 116,239 11,945,882 0.3%
General Electric Co....................... 2,780,836 54,448,769 1.2%
22
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
Union Pacific Corp........................ 128,364 $ 14,433,248 0.3%
United Technologies Corp.................. 155,274 12,676,569 0.3%
Other Securities.......................... 493,364,202 10.7%
-------------- ---------------
Total Industrials............................ 597,506,174 13.0%
-------------- ---------------
Information Technology -- (15.1%)
*Apple, Inc................................ 178,094 104,049,639 2.3%
Cisco Sytems, Inc......................... 959,861 19,341,199 0.4%
*Google, Inc............................... 48,777 29,521,304 0.6%
Hewlett-Packard Co........................ 544,693 13,486,599 0.3%
Intel Corp................................ 963,439 27,361,668 0.6%
International Business Machines Corp...... 213,827 44,279,295 1.0%
Microsoft Corp............................ 1,425,544 45,645,919 1.0%
Oracle Corp............................... 738,644 21,708,747 0.5%
#QUALCOMM, Inc............................. 312,503 19,950,192 0.4%
#Visa, Inc................................. 114,676 14,102,854 0.3%
Other Securities.......................... 456,504,551 9.9%
-------------- ---------------
Total Information Technology................. 795,951,967 17.3%
-------------- ---------------
Materials -- (4.3%)
Other Securities.......................... 228,183,478 5.0%
-------------- ---------------
Other -- (0.0%)
Other Securities.......................... -- 0.0%
-------------- ---------------
Real Estate Investment Trusts -- (0.1%)
Other Securities.......................... 4,126,490 0.1%
-------------- ---------------
Telecommunication Services -- (2.2%)
AT&T, Inc................................. 1,585,731 52,186,407 1.1%
Verizon Communications, Inc............... 729,538 29,458,744 0.7%
Other Securities.......................... 32,630,262 0.7%
-------------- ---------------
Total Telecommunication Services............. 114,275,413 2.5%
-------------- ---------------
Utilities -- (2.9%)
Other Securities.......................... 153,318,088 3.3%
-------------- ---------------
TOTAL COMMON STOCKS.......................... 4,580,828,814 99.6%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.......................... 4,275 0.0%
-------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds TempCash
Portfolio--Institutional Shares......... 19,568,889 19,568,889 0.4%
-------------- ---------------
SHARES/ FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (12.7%)
(S)@DFA Short Term Investment Fund........... 672,765,742 672,765,742 14.6%
@Repurchase Agreement, JPMorgan
Securities LLC 0.21%, 05/01/12
(Collateralized by $344,109 FNMA, rates
ranging from 2.000% to 6.331%(r),
maturities ranging from 01/01/19 to
09/01/45, valued at $345,176) to be
repurchased at $334,087................. $ 334 334,085 0.0%
----------- ----
TOTAL SECURITIES LENDING COLLATERAL.......... 673,099,827 14.6%
----------- ----
23
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,548,335,610)....... $5,273,501,805 114.6%
============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary........ $ 635,839,678 $ 27,736 -- $ 635,867,414
Consumer Staples.............. 364,627,090 -- -- 364,627,090
Energy........................ 475,428,084 25,889 -- 475,453,973
Financials.................... 725,930,184 -- -- 725,930,184
Health Care................... 485,588,543 -- -- 485,588,543
Industrials................... 597,488,958 17,216 -- 597,506,174
Information Technology........ 795,951,967 -- -- 795,951,967
Materials..................... 228,183,478 -- -- 228,183,478
Other......................... -- -- -- --
Real Estate Investment Trusts. 4,126,490 -- -- 4,126,490
Telecommunication Services.... 114,275,413 -- -- 114,275,413
Utilities..................... 153,318,088 -- -- 153,318,088
Rights/Warrants.................. 4,275 -- -- 4,275
Temporary Cash Investments....... 19,568,889 -- -- 19,568,889
Securities Lending Collateral.... -- 673,099,827 -- 673,099,827
-------------- ------------ ------- --------------
TOTAL............................ $4,600,331,137 $673,170,668 -- $5,273,501,805
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
24
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
COMMON STOCKS -- (86.1%)
Consumer Discretionary -- (12.2%)
Comcast Corp. Class A........................ 1,024,762 $ 31,081,031 0.5%
Home Depot, Inc. (The)....................... 301,629 15,621,366 0.2%
Lowe's Cos., Inc............................. 606,612 19,090,080 0.3%
#News Corp. Class A........................... 846,333 16,588,127 0.3%
Time Warner, Inc............................. 505,637 18,941,162 0.3%
Walt Disney Co. (The)........................ 830,524 35,803,890 0.5%
Other Securities............................. 799,927,446 12.0%
-------------- ---------------
Total Consumer Discretionary.................... 937,053,102 14.1%
-------------- ---------------
Consumer Staples -- (5.5%)
#Coca-Cola Co. (The).......................... 219,621 16,761,475 0.3%
CVS Caremark Corp............................ 637,453 28,443,153 0.4%
Kraft Foods, Inc. Class A.................... 806,654 32,161,295 0.5%
Procter & Gamble Co. (The)................... 610,480 38,850,947 0.6%
Wal-Mart Stores, Inc......................... 387,774 22,843,766 0.3%
Other Securities............................. 284,627,081 4.3%
-------------- ---------------
Total Consumer Staples.......................... 423,687,717 6.4%
-------------- ---------------
Energy -- (9.8%)
Anadarko Petroleum Corp...................... 239,394 17,526,035 0.3%
Apache Corp.................................. 188,754 18,109,059 0.3%
Chevron Corp................................. 984,196 104,875,926 1.6%
ConocoPhillips............................... 632,838 45,330,186 0.7%
Exxon Mobil Corp............................. 1,268,253 109,500,964 1.6%
National Oilwell Varco, Inc.................. 194,038 14,700,319 0.2%
Occidental Petroleum Corp.................... 321,686 29,344,197 0.4%
Schlumberger, Ltd............................ 196,168 14,543,896 0.2%
Other Securities............................. 402,494,380 6.1%
-------------- ---------------
Total Energy.................................... 756,424,962 11.4%
-------------- ---------------
Financials -- (16.1%)
Bank of America Corp......................... 4,531,729 36,752,322 0.5%
*Berkshire Hathaway, Inc...................... 223,481 17,979,046 0.3%
Citigroup, Inc............................... 1,039,825 34,355,818 0.5%
Goldman Sachs Group, Inc. (The).............. 215,233 24,784,080 0.4%
JPMorgan Chase & Co.......................... 1,878,234 80,726,497 1.2%
MetLife, Inc................................. 512,756 18,474,599 0.3%
#PNC Financial Services Group, Inc............ 257,595 17,083,700 0.3%
Prudential Financial, Inc.................... 231,600 14,021,064 0.2%
Travelers Cos., Inc. (The)................... 235,445 15,143,822 0.2%
#U.S. Bancorp................................. 900,099 28,956,185 0.4%
Wells Fargo & Co............................. 2,459,604 82,224,562 1.2%
Other Securities............................. 867,345,934 13.1%
-------------- ---------------
Total Financials................................ 1,237,847,629 18.6%
-------------- ---------------
Health Care -- (9.0%)
Amgen, Inc................................... 275,807 19,612,636 0.3%
Johnson & Johnson............................ 349,581 22,754,227 0.3%
Merck & Co., Inc............................. 1,429,620 56,098,289 0.9%
Pfizer, Inc.................................. 3,730,349 85,536,903 1.3%
UnitedHealth Group, Inc...................... 453,978 25,490,865 0.4%
WellPoint, Inc............................... 203,028 13,769,359 0.2%
Other Securities............................. 471,891,849 7.1%
-------------- ---------------
Total Health Care............................... 695,154,128 10.5%
-------------- ---------------
25
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (12.1%)
General Electric Co.......................... 5,181,591 $ 101,455,552 1.5%
Union Pacific Corp........................... 234,080 26,319,955 0.4%
Other Securities............................. 805,886,206 12.2%
-------------- ---------------
Total Industrials............................... 933,661,713 14.1%
-------------- ---------------
Information Technology -- (12.1%)
*Apple, Inc................................... 101,098 59,065,496 0.9%
Cisco Sytems, Inc............................ 745,021 15,012,173 0.2%
*Google, Inc.................................. 29,049 17,581,326 0.3%
Hewlett-Packard Co........................... 862,907 21,365,577 0.3%
Intel Corp................................... 1,282,072 36,410,845 0.6%
International Business Machines Corp......... 104,155 21,568,417 0.3%
Microsoft Corp............................... 906,013 29,010,536 0.4%
Oracle Corp.................................. 517,147 15,198,950 0.2%
#Visa, Inc.................................... 232,750 28,623,595 0.4%
Other Securities............................. 682,524,355 10.3%
-------------- ---------------
Total Information Technology.................... 926,361,270 13.9%
-------------- ---------------
Materials -- (4.5%)
Dow Chemical Co. (The)....................... 547,213 18,539,576 0.3%
Other Securities............................. 325,430,724 4.9%
-------------- ---------------
Total Materials................................. 343,970,300 5.2%
-------------- ---------------
Other -- (0.0%)
Other Securities............................. -- 0.0%
-------------- ---------------
Real Estate Investment Trusts -- (0.0%)
Other Securities............................. 2,596,968 0.0%
-------------- ---------------
Telecommunication Services -- (2.7%)
AT&T, Inc.................................... 2,908,187 95,708,434 1.4%
Verizon Communications, Inc.................. 1,386,217 55,975,442 0.9%
Other Securities............................. 53,889,499 0.8%
-------------- ---------------
Total Telecommunication Services................ 205,573,375 3.1%
-------------- ---------------
Utilities -- (2.1%)
Other Securities............................. 158,689,843 2.4%
-------------- ---------------
TOTAL COMMON STOCKS............................. 6,621,021,007 99.7%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................. 10,027 0.0%
-------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash Portfolio
- Institutional Shares..................... 21,758,872 21,758,872 0.3%
-------------- ---------------
SHARES/
FACE
AMOUNT
--------------
(000)
SECURITIES LENDING COLLATERAL -- (13.6%)
(S)@DFA Short Term Investment Fund.............. 1,044,972,044 1,044,972,044 15.7%
@Repurchase Agreement, JPMorgan Securities
LLC 0.21%, 05/01/12 (Collateralized by
$306,316 FNMA, rates ranging from 2.000%
to 6.331%(r), maturities ranging from
01/01/19 to 09/01/45, valued at $307,266)
to be repurchased at $297,395.............. $ 297 297,393 0.0%
------------- ----
TOTAL SECURITIES LENDING COLLATERAL............. 1,045,269,437 15.7%
------------- ----
26
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,786,269,517)......................... $7,688,059,343 115.7%
============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Consumer Discretionary.................... $ 936,988,381 $ 64,721 -- $ 937,053,102
Consumer Staples.......................... 423,687,717 -- -- 423,687,717
Energy.................................... 756,424,962 -- -- 756,424,962
Financials................................ 1,237,847,629 -- -- 1,237,847,629
Health Care............................... 695,154,128 -- -- 695,154,128
Industrials............................... 933,618,447 43,266 -- 933,661,713
Information Technology.................... 926,361,270 -- -- 926,361,270
Materials................................. 343,970,300 -- -- 343,970,300
Other..................................... -- -- -- --
Real Estate Investment Trusts............. 2,596,968 -- -- 2,596,968
Telecommunication Services................ 205,573,375 -- -- 205,573,375
Utilities................................. 158,689,843 -- -- 158,689,843
Rights/Warrants.............................. 10,027 -- -- 10,027
Temporary Cash Investments................... 21,758,872 -- -- 21,758,872
Securities Lending Collateral................ -- 1,045,269,437 -- 1,045,269,437
-------------- -------------- ------- --------------
TOTAL........................................ $6,642,681,919 $1,045,377,424 -- $7,688,059,343
============== ============== ======= ==============
See accompanying Notes to Financial Statements.
27
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (85.8%)
Consumer Discretionary -- (13.2%)
Comcast Corp. Class A........................ 278,044 $ 8,433,075 0.4%
#Dillard's, Inc. Class A...................... 62,205 4,015,955 0.2%
*Liberty Interactive Corp. Class A............ 225,764 4,253,394 0.2%
*Mohawk Industries, Inc....................... 61,901 4,148,605 0.2%
Time Warner, Inc............................. 130,694 4,895,797 0.3%
*Toll Brothers, Inc........................... 151,825 3,856,355 0.2%
Walt Disney Co. (The)........................ 118,253 5,097,887 0.3%
Other Securities............................. 266,688,863 13.5%
------------ ---------------
Total Consumer Discretionary.................... 301,389,931 15.3%
------------ ---------------
Consumer Staples -- (4.6%)
Bunge, Ltd................................... 76,001 4,902,064 0.3%
CVS Caremark Corp............................ 121,704 5,430,432 0.3%
Fortune Brands, Inc.......................... 76,533 4,345,544 0.2%
Kraft Foods, Inc. Class A.................... 113,165 4,511,889 0.2%
#Procter & Gamble Co. (The)................... 91,517 5,824,142 0.3%
Other Securities............................. 79,664,938 4.0%
------------ ---------------
Total Consumer Staples.......................... 104,679,009 5.3%
------------ ---------------
Energy -- (8.6%)
Anadarko Petroleum Corp...................... 68,323 5,001,927 0.3%
#Apache Corp.................................. 41,198 3,952,536 0.2%
Chevron Corp................................. 141,904 15,121,290 0.8%
ConocoPhillips............................... 164,346 11,772,104 0.6%
*Denbury Resources, Inc....................... 215,040 4,094,362 0.2%
Devon Energy Corp............................ 57,923 4,045,922 0.2%
Exxon Mobil Corp............................. 154,985 13,381,405 0.7%
Murphy Oil Corp.............................. 106,439 5,850,952 0.3%
*Plains Exploration & Production Co........... 109,438 4,470,542 0.2%
Other Securities............................. 128,941,948 6.5%
------------ ---------------
Total Energy.................................... 196,632,988 10.0%
------------ ---------------
Financials -- (20.5%)
American Financial Group, Inc................ 127,737 4,971,524 0.3%
Bank of America Corp......................... 1,252,365 10,156,680 0.5%
Bank of New York Mellon Corp. (The).......... 163,628 3,869,802 0.2%
*CIT Group, Inc............................... 104,979 3,973,455 0.2%
Citigroup, Inc............................... 184,865 6,107,940 0.3%
Goldman Sachs Group, Inc. (The).............. 43,159 4,969,759 0.3%
JPMorgan Chase & Co.......................... 570,669 24,527,354 1.2%
KeyCorp...................................... 499,016 4,012,089 0.2%
M&T Bank Corp................................ 45,707 3,943,143 0.2%
MetLife, Inc................................. 141,103 5,083,941 0.3%
#PNC Financial Services Group, Inc............ 69,935 4,638,089 0.2%
Principal Financial Group, Inc............... 157,281 4,351,965 0.2%
Regions Financial Corp....................... 595,355 4,012,693 0.2%
U.S. Bancorp................................. 130,334 4,192,845 0.2%
Wells Fargo & Co............................. 351,390 11,746,968 0.6%
Other Securities............................. 368,105,200 18.7%
------------ ---------------
Total Financials................................ 468,663,447 23.8%
------------ ---------------
Health Care -- (7.3%)
*Boston Scientific Corp....................... 767,057 4,801,777 0.3%
Merck & Co., Inc............................. 149,737 5,875,680 0.3%
Pfizer, Inc.................................. 529,241 12,135,496 0.6%
28
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Health Care -- (Continued)
Other Securities............................. $ 144,073,800 7.3%
-------------- ---------------
Total Health Care............................... 166,886,753 8.5%
-------------- ---------------
Industrials -- (12.5%)
General Electric Co.......................... 792,866 15,524,316 0.8%
*Owens Corning, Inc........................... 115,475 3,966,566 0.2%
Other Securities............................. 265,186,758 13.4%
-------------- ---------------
Total Industrials............................... 284,677,640 14.4%
-------------- ---------------
Information Technology -- (11.0%)
Fidelity National Information Services, Inc.. 140,139 4,718,480 0.3%
Hewlett-Packard Co........................... 236,991 5,867,897 0.3%
IAC/InterActiveCorp.......................... 115,491 5,560,892 0.3%
Intel Corp................................... 165,630 4,703,892 0.2%
#Visa, Inc.................................... 37,703 4,636,715 0.2%
Xerox Corp................................... 731,469 5,690,829 0.3%
Other Securities............................. 219,244,335 11.1%
-------------- ---------------
Total Information Technology.................... 250,423,040 12.7%
-------------- ---------------
Materials -- (5.0%)
Reliance Steel & Aluminum Co................. 70,931 3,964,334 0.2%
Other Securities............................. 111,239,286 5.7%
-------------- ---------------
Total Materials................................. 115,203,620 5.9%
-------------- ---------------
Other -- (0.0%)
Other Securities............................. -- 0.0%
-------------- ---------------
Telecommunication Services -- (2.0%)
AT&T, Inc.................................... 570,322 18,769,297 0.9%
Verizon Communications, Inc.................. 200,794 8,108,062 0.4%
Other Securities............................. 18,931,967 1.0%
-------------- ---------------
Total Telecommunication Services................ 45,809,326 2.3%
-------------- ---------------
Utilities -- (1.1%)
Other Securities............................. 26,272,984 1.3%
-------------- ---------------
TOTAL COMMON STOCKS............................. 1,960,638,738 99.5%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................. 3,016 0.0%
-------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
BlackRock Liquidity Funds TempCash Portfolio
- Institutional Shares..................... 12,432,187 12,432,187 0.6%
-------------- ---------------
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (13.6%)
(S)@DFA Short Term Investment Fund.............. 311,018,596 311,018,596 15.8%
@Repurchase Agreement, JPMorgan Securities
LLC 0.21%, 05/01/12 (Collateralized by
$682,316 FNMA, rates ranging from 2.000%
to 6.331%(r), maturities ranging from
01/01/19 to 09/01/45, valued at $684,432)
to be repurchased at $662,444.............. $ 662 662,440 0.0%
----------- ----
TOTAL SECURITIES LENDING COLLATERAL............. 311,681,036 15.8%
----------- ----
29
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,067,821,364)........................ $2,284,754,977 115.9%
============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary..... $ 301,363,904 $ 26,027 -- $ 301,389,931
Consumer Staples........... 104,679,009 -- -- 104,679,009
Energy..................... 196,565,678 67,310 -- 196,632,988
Financials................. 468,663,447 -- -- 468,663,447
Health Care................ 166,886,753 -- -- 166,886,753
Industrials................ 284,645,016 32,624 -- 284,677,640
Information Technology..... 250,423,040 -- -- 250,423,040
Materials.................. 115,203,620 -- -- 115,203,620
Other...................... -- -- -- --
Telecommunication Services. 45,809,326 -- -- 45,809,326
Utilities.................. 26,272,984 -- -- 26,272,984
Rights/Warrants............... 3,016 -- -- 3,016
Temporary Cash Investments.... 12,432,187 -- -- 12,432,187
Securities Lending Collateral. -- 311,681,036 -- 311,681,036
-------------- ------------ ------- --------------
TOTAL......................... $1,972,947,980 $311,806,997 -- $2,284,754,977
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
30
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (80.8%)
Consumer Discretionary -- (14.7%)
Aaron's, Inc.............................. 286,969 $ 7,796,948 0.2%
#Brinker International, Inc................ 322,412 10,146,306 0.2%
#Buckle, Inc............................... 171,844 7,935,756 0.2%
#*Cabela's, Inc............................. 277,885 10,506,832 0.2%
#*Carter's, Inc............................. 215,859 11,721,144 0.3%
#*Coinstar, Inc............................. 124,263 7,802,474 0.2%
#Dillard's, Inc. Class A................... 175,813 11,350,487 0.3%
#Domino's Pizza, Inc....................... 270,452 10,225,790 0.2%
*Express, Inc.............................. 336,736 7,953,704 0.2%
#HSN, Inc.................................. 206,075 7,975,102 0.2%
#Penske Automotive Group, Inc.............. 337,541 8,924,584 0.2%
#*Pier 1 Imports, Inc....................... 641,193 11,015,696 0.3%
Rent-A-Center, Inc........................ 228,132 7,804,396 0.2%
#Six Flags Entertainment Corp.............. 182,712 8,753,732 0.2%
#Wolverine World Wide, Inc................. 192,788 8,087,457 0.2%
Other Securities.......................... 640,242,941 14.9%
------------ ---------------
Total Consumer Discretionary................. 778,243,349 18.2%
------------ ---------------
Consumer Staples -- (3.7%)
#Casey's General Stores, Inc............... 144,677 8,152,549 0.2%
#*Darling International, Inc................ 474,139 7,766,397 0.2%
*Hain Celestial Group, Inc (The)........... 180,533 8,539,211 0.2%
#Nu Skin Enterprises, Inc. Class A......... 252,750 13,471,575 0.3%
PriceSmart, Inc........................... 115,776 9,556,151 0.2%
#*United Natural Foods, Inc................. 164,064 8,086,715 0.2%
Other Securities.......................... 137,783,170 3.2%
------------ ---------------
Total Consumer Staples....................... 193,355,768 4.5%
------------ ---------------
Energy -- (4.1%)
*CVR Energy, Inc........................... 328,935 9,986,467 0.2%
*Helix Energy Solutions Group, Inc......... 411,469 8,398,082 0.2%
Other Securities.......................... 196,274,615 4.6%
------------ ---------------
Total Energy................................. 214,659,164 5.0%
------------ ---------------
Financials -- (12.3%)
Delphi Financial Group, Inc. Class A...... 185,627 8,431,178 0.2%
Fulton Financial Corp..................... 771,890 8,097,126 0.2%
Other Securities.......................... 635,746,373 14.8%
------------ ---------------
Total Financials............................. 652,274,677 15.2%
------------ ---------------
Health Care -- (8.3%)
#*Align Technology, Inc..................... 286,722 9,091,955 0.2%
#*Medicines Co. (The)....................... 351,538 7,765,474 0.2%
#Medicis Pharmaceutical Corp. Class A...... 202,645 7,795,753 0.2%
*Myriad Genetics, Inc...................... 338,879 8,814,243 0.2%
#*Thoratec Corp............................. 319,166 11,110,168 0.3%
*WellCare Health Plans, Inc................ 179,775 10,998,634 0.2%
Other Securities.......................... 385,627,713 9.0%
------------ ---------------
Total Health Care............................ 441,203,940 10.3%
------------ ---------------
Industrials -- (14.9%)
#Actuant Corp. Class A..................... 293,042 7,991,255 0.2%
#Alexander & Baldwin, Inc.................. 163,316 8,355,247 0.2%
*Chart Industries, Inc..................... 117,013 8,943,304 0.2%
#EMCOR Group, Inc.......................... 272,700 7,995,564 0.2%
#*Hexcel Corp............................... 299,983 8,213,535 0.2%
31
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (Continued)
#*Old Dominion Freight Line, Inc............... 191,772 $ 8,528,101 0.2%
#*Teledyne Technologies, Inc................... 128,530 8,305,609 0.2%
#Toro Co...................................... 118,416 8,462,007 0.2%
#*United Rentals, Inc.......................... 165,341 7,718,118 0.2%
Other Securities................................ 714,345,290 16.6%
-------------- ---------------
Total Industrials............................... 788,858,030 18.4%
-------------- ---------------
Information Technology -- (15.3%)
#*Anixter International, Inc................... 128,352 8,802,380 0.2%
#*CommVault Systems, Inc....................... 159,126 8,285,691 0.2%
#*NeuStar, Inc................................. 253,413 9,211,563 0.2%
#*SolarWinds, Inc.............................. 262,245 12,301,913 0.3%
#*ViaSat, Inc.................................. 162,825 7,864,448 0.2%
#*Wright Express Corp.......................... 136,186 8,691,391 0.2%
Other Securities............................. 752,380,451 17.5%
-------------- ---------------
Total Information Technology.................... 807,537,837 18.8%
-------------- ---------------
Materials -- (4.3%)
#NewMarket Corp............................... 40,110 8,953,354 0.2%
Other Securities............................. 215,992,781 5.1%
-------------- ---------------
Total Materials................................. 224,946,135 5.3%
-------------- ---------------
Other -- (0.0%)
Other Securities............................. 1,730 0.0%
-------------- ---------------
Telecommunication Services -- (0.6%)
*AboveNet, Inc................................ 105,252 8,753,809 0.2%
Other Securities............................. 25,410,251 0.6%
-------------- ---------------
Total Telecommunication Services................ 34,164,060 0.8%
-------------- ---------------
Utilities -- (2.6%)
#IDACORP, Inc................................. 188,896 7,695,623 0.2%
#Portland General Electric Co................. 300,360 7,758,299 0.2%
Other Securities............................. 121,501,418 2.8%
-------------- ---------------
Total Utilities................................. 136,955,340 3.2%
-------------- ---------------
TOTAL COMMON STOCKS............................. 4,272,200,030 99.7%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................. 32,205 0.0%
-------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds TempCash Portfolio
- Institutional Shares..................... 23,640,019 23,640,019 0.5%
-------------- ---------------
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (18.8%)
(S)@DFA Short Term Investment Fund.............. 992,082,010 992,082,010 23.2%
@Repurchase Agreement, JPMorgan Securities
LLC 0.21%, 05/01/12 (Collateralized by
$503,025 FNMA, rates ranging from 2.000%
to 6.331%(r), maturities ranging from
01/01/19 to 09/01/45, valued at $504,585)
to be repurchased at $488,375.............. $ 488 488,372 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL............. 992,570,382 23.2%
-------------- ---------------
32
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,599,339,684)......................... $5,288,442,636 123.4%
============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary.......... $ 778,167,982 $ 75,367 -- $ 778,243,349
Consumer Staples................ 193,355,768 -- -- 193,355,768
Energy.......................... 214,437,386 221,778 -- 214,659,164
Financials...................... 652,274,677 -- -- 652,274,677
Health Care..................... 441,203,940 -- -- 441,203,940
Industrials..................... 788,540,212 317,818 -- 788,858,030
Information Technology.......... 807,537,837 -- -- 807,537,837
Materials....................... 224,946,135 -- -- 224,946,135
Other........................... -- 1,730 -- 1,730
Telecommunication Services...... 34,164,060 -- -- 34,164,060
Utilities....................... 136,955,340 -- -- 136,955,340
Rights/Warrants.................... 32,205 -- -- 32,205
Temporary Cash Investments......... 23,640,019 -- -- 23,640,019
Securities Lending Collateral...... -- 992,570,382 -- 992,570,382
-------------- ------------ ------- --------------
TOTAL.............................. $4,295,255,561 $993,187,075 -- $5,288,442,636
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
33
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (87.4%)
Consumer Discretionary -- (15.8%)
#*Asbury Automotive Group, Inc................. 295,080 $ 8,238,634 0.2%
*Dorman Products, Inc......................... 158,055 7,551,868 0.2%
#Finish Line, Inc. Class A (The).............. 400,378 8,912,414 0.3%
*Genesco, Inc................................. 140,786 10,558,950 0.3%
#*Hibbett Sporting Goods, Inc.................. 213,043 12,722,928 0.4%
*Papa John's International, Inc............... 217,901 8,777,052 0.3%
#*Select Comfort Corp.......................... 290,114 8,378,492 0.2%
#Sturm Ruger & Co., Inc....................... 189,301 10,803,408 0.3%
#*Zumiez, Inc.................................. 221,700 8,127,522 0.2%
Other Securities............................. 554,355,284 15.6%
------------ ---------------
Total Consumer Discretionary.................... 638,426,552 18.0%
------------ ---------------
Consumer Staples -- (3.6%)
Andersons, Inc. (The)........................ 164,550 8,293,320 0.2%
#Cal-Maine Foods, Inc......................... 207,119 7,462,498 0.2%
*Elizabeth Arden, Inc......................... 261,981 10,212,019 0.3%
J & J Snack Foods Corp....................... 180,997 10,146,692 0.3%
WD-40 Co..................................... 165,082 7,441,897 0.2%
Other Securities............................. 104,279,906 3.0%
------------ ---------------
Total Consumer Staples.......................... 147,836,332 4.2%
------------ ---------------
Energy -- (4.1%)
#*Clayton Williams Energy, Inc................. 110,880 8,154,115 0.2%
Other Securities............................. 157,961,970 4.5%
------------ ---------------
Total Energy.................................... 166,116,085 4.7%
------------ ---------------
Financials -- (13.6%)
#Bank of the Ozarks, Inc...................... 312,184 9,646,486 0.3%
FBL Financial Group, Inc. Class A............ 289,468 8,429,308 0.2%
Horace Mann Educators Corp................... 424,387 7,447,992 0.2%
Infinity Property & Casualty Corp............ 141,994 7,583,900 0.2%
#*World Acceptance Corp........................ 156,911 10,436,151 0.3%
Other Securities............................. 507,862,698 14.3%
------------ ---------------
Total Financials................................ 551,406,535 15.5%
------------ ---------------
Health Care -- (10.1%)
#*Air Methods Corp............................. 115,182 9,687,958 0.3%
#*Akorn, Inc................................... 733,196 8,893,667 0.3%
*Amsurg Corp.................................. 295,558 8,500,248 0.2%
Analogic Corp................................ 126,116 8,602,372 0.2%
#*Ariad Pharmaceuticals, Inc................... 788,909 12,859,217 0.4%
CONMED Corp.................................. 265,831 7,600,108 0.2%
*Cyberonics, Inc.............................. 225,257 8,627,343 0.2%
Other Securities............................. 343,230,746 9.7%
------------ ---------------
Total Health Care............................... 408,001,659 11.5%
------------ ---------------
Industrials -- (15.3%)
#*Colfax Corp.................................. 234,484 7,946,663 0.2%
Kaman Corp................................... 236,632 8,135,408 0.2%
Raven Industries, Inc........................ 178,996 10,777,349 0.3%
#TAL International Group, Inc................. 210,541 8,697,449 0.2%
#Titan International, Inc..................... 319,702 9,236,191 0.3%
UniFirst Corp................................ 129,866 7,890,658 0.2%
Other Securities............................. 566,108,056 16.0%
------------ ---------------
Total Industrials............................... 618,791,774 17.4%
------------ ---------------
34
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Information Technology -- (17.2%)
Cabot Microelectronics Corp.................. 230,045 $ 7,908,947 0.2%
Forrester Research, Inc...................... 256,389 9,088,990 0.3%
#*iGATE Corp................................... 521,424 10,146,911 0.3%
*Insight Enterprises, Inc..................... 398,956 8,102,796 0.2%
#*Liquidity Services, Inc...................... 144,598 7,711,411 0.2%
#Littlefuse, Inc.............................. 117,934 7,390,924 0.2%
*Loral Space & Communications, Inc............ 126,670 7,859,874 0.2%
#*Manhattan Associates, Inc.................... 238,948 11,983,242 0.4%
MTS Systems Corp............................. 170,976 8,201,719 0.2%
*OSI Systems, Inc............................. 150,502 10,062,564 0.3%
*ScanSource, Inc.............................. 236,107 7,782,087 0.2%
#*Tyler Technologies, Inc...................... 364,519 14,562,534 0.4%
Other Securities............................. 586,492,339 16.5%
-------------- ---------------
Total Information Technology.................... 697,294,338 19.6%
-------------- ---------------
Materials -- (5.0%)
#AMCOL International Corp..................... 263,102 8,671,842 0.3%
Buckeye Technologies, Inc.................... 257,175 8,335,042 0.2%
Stepan Co.................................... 85,522 7,770,529 0.2%
Other Securities............................. 178,190,488 5.0%
-------------- ---------------
Total Materials................................. 202,967,901 5.7%
-------------- ---------------
Other -- (0.0%)
Other Securities............................. 9,955 0.0%
-------------- ---------------
Telecommunication Services -- (1.0%)
Other Securities............................. 41,651,029 1.2%
-------------- ---------------
Utilities -- (1.7%)
#CH Energy Group, Inc......................... 129,612 8,505,139 0.2%
#MGE Energy, Inc.............................. 196,967 9,009,271 0.3%
Other Securities............................. 52,040,223 1.5%
-------------- ---------------
Total Utilities................................. 69,554,633 2.0%
-------------- ---------------
TOTAL COMMON STOCKS............................. 3,542,056,793 99.8%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................. 49,302 0.0%
-------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
BlackRock Liquidity Funds TempCash Portfolio
- Institutional Shares..................... 23,805,550 23,805,550 0.6%
-------------- ---------------
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (12.0%)
(S)@DFA Short Term Investment Fund.............. 484,821,225 484,821,225 13.7%
@Repurchase Agreement, JPMorgan Securities
LLC 0.21%, 05/01/12 (Collateralized by
$564,332 FNMA, rates ranging from 2.000%
to 6.331%(r), maturities ranging from
01/01/19 to 09/01/45, valued at $566,082)
to be repurchased at $547,896.............. $ 548 547,893 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL............. 485,369,118 13.7%
-------------- ---------------
35
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,526,507,966)......................... $4,051,280,763 114.1%
============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary.................... $ 638,243,286 $ 183,266 -- $ 638,426,552
Consumer Staples.......................... 147,836,332 -- -- 147,836,332
Energy.................................... 166,116,085 -- -- 166,116,085
Financials................................ 551,405,553 982 -- 551,406,535
Health Care............................... 408,001,659 -- -- 408,001,659
Industrials............................... 618,512,337 279,437 -- 618,791,774
Information Technology.................... 697,294,140 198 -- 697,294,338
Materials................................. 202,967,901 -- -- 202,967,901
Other..................................... -- 9,955 -- 9,955
Telecommunication Services................ 41,650,488 541 -- 41,651,029
Utilities................................. 69,554,633 -- -- 69,554,633
Rights/Warrants.............................. 49,302 -- -- 49,302
Temporary Cash Investments................... 23,805,550 -- -- 23,805,550
Securities Lending Collateral................ -- 485,369,118 -- 485,369,118
-------------- ------------ ------- --------------
TOTAL........................................ $3,565,437,266 $485,843,497 -- $4,051,280,763
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
36
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
COMMON STOCKS -- (84.7%)
Real Estate Investment Trusts -- (84.7%)
Alexander's, Inc.............................. 48,481 $ 18,889,652 0.5%
#Alexandria Real Estate Equities, Inc.......... 528,995 39,632,305 1.1%
#American Campus Communities, Inc.............. 645,000 28,670,250 0.8%
#Apartment Investment & Management Co. Class A. 1,080,080 29,324,172 0.8%
#AvalonBay Communities, Inc.................... 815,226 118,533,860 3.3%
#BioMed Realty Trust, Inc...................... 1,288,125 25,530,637 0.7%
Boston Properties, Inc........................ 1,288,587 139,489,543 3.9%
#BRE Properties, Inc........................... 650,432 34,147,680 1.0%
#Camden Property Trust......................... 655,413 44,351,798 1.2%
#CBL & Associates Properties, Inc.............. 1,226,022 22,840,790 0.6%
#DDR Corp...................................... 2,169,519 32,108,881 0.9%
#Digital Realty Trust, Inc..................... 903,607 67,851,850 1.9%
#Douglas Emmett, Inc........................... 1,126,607 26,182,347 0.7%
#Duke Realty Corp.............................. 2,244,095 33,235,047 0.9%
#Entertainment Properties Trust................ 399,914 19,191,873 0.5%
#Equity Lifestyle Properties, Inc.............. 330,966 23,147,762 0.6%
#Equity Residential............................ 2,602,656 159,907,185 4.4%
#Essex Property Trust, Inc..................... 296,514 46,840,317 1.3%
#Extra Space Storage, Inc...................... 775,858 23,547,290 0.7%
#Federal Realty Investment Trust............... 570,549 57,431,462 1.6%
#General Growth Properties, Inc................ 3,768,676 67,082,433 1.9%
#HCP, Inc...................................... 3,410,847 141,379,608 3.9%
Health Care REIT, Inc......................... 1,741,141 98,653,049 2.7%
#Highwoods Properties, Inc..................... 655,670 22,771,419 0.6%
Home Properties, Inc.......................... 401,711 24,524,457 0.7%
#Hospitality Properties Trust.................. 1,129,465 31,150,645 0.9%
#Host Hotels & Resorts, Inc.................... 6,263,417 104,223,259 2.9%
#Kilroy Realty Corp............................ 523,151 24,823,515 0.7%
Kimco Realty Corp............................. 3,688,342 71,590,718 2.0%
#LaSalle Hotel Properties...................... 724,050 21,294,310 0.6%
Liberty Property Trust........................ 1,048,979 38,235,285 1.1%
#Macerich Co. (The)............................ 1,131,317 69,655,188 1.9%
#Mack-Cali Realty Corp......................... 756,315 21,721,367 0.6%
#Mid-America Apartment Communities, Inc........ 322,753 21,969,797 0.6%
#National Retail Properties, Inc............... 867,021 23,739,035 0.7%
#Piedmont Office Realty Trust, Inc. Class A.... 1,446,270 25,656,830 0.7%
#Post Properties, Inc.......................... 454,363 22,127,478 0.6%
ProLogis, Inc................................. 3,840,930 137,428,475 3.8%
Public Storage................................ 1,324,670 189,772,224 5.3%
#Realty Income Corp............................ 1,118,294 43,993,686 1.2%
#Regency Centers Corp.......................... 759,307 34,138,443 1.0%
#Senior Housing Properties Trust............... 1,367,388 30,191,927 0.8%
#Simon Property Group, Inc..................... 2,680,150 417,031,340 11.6%
#SL Green Realty Corp.......................... 754,302 62,184,657 1.7%
#Tanger Factory Outlet Centers, Inc............ 763,527 23,913,666 0.7%
#Taubman Centers, Inc.......................... 507,618 39,177,957 1.1%
#UDR, Inc...................................... 1,843,656 48,543,462 1.4%
#Ventas, Inc................................... 2,398,518 141,008,873 3.9%
#Vornado Realty Trust.......................... 1,508,390 129,480,198 3.6%
#Weingarten Realty Investors................... 1,049,531 27,875,544 0.8%
Other Securities.............................. 420,273,334 11.7%
-------------- ---------------
TOTAL COMMON STOCKS.............................. 3,566,466,880 99.1%
-------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
BlackRock Liquidity Funds TempCash Portfolio
- Institutional Shares...................... 30,065,272 30,065,272 0.9%
-------------- ---------------
37
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
SHARES/ FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS*
------------ -------------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (14.6%)
(S)@DFA Short Term Investment Fund.............. 615,643,335 $ 615,643,335 17.1%
@Repurchase Agreement, JPMorgan Securities
LLC 0.21%, 05/01/12 (Collateralized by
$581,277 FNMA, rates ranging from 2.000%
to 6.331%(r), maturities ranging from
01/01/19 to 09/01/45, valued at $583,079)
to be repurchased at $564,347.............. $ 564 564,344 0.0%
-------------- --------------
TOTAL SECURITIES LENDING COLLATERAL............. 616,207,679 17.1%
-------------- --------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,085,720,573)......................... $4,212,739,831 117.1%
============== ==============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Real Estate Investment Trusts.......... $3,566,466,880 -- -- $3,566,466,880
Temporary Cash Investments................ 30,065,272 -- -- 30,065,272
Securities Lending Collateral............. -- $616,207,679 -- 616,207,679
-------------- ------------ ------- --------------
TOTAL..................................... $3,596,532,152 $616,207,679 -- $4,212,739,831
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
38
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (83.8%)
AUSTRALIA -- (6.5%)
Australia & New Zealand Banking Group, Ltd... 456,726 $ 11,314,584 0.6%
#BHP Billiton, Ltd............................ 333,112 12,360,858 0.6%
#BHP Billiton, Ltd. Sponsored ADR............. 94,000 6,984,200 0.4%
#Commonwealth Bank of Australia NL............ 258,775 13,959,083 0.7%
#National Australia Bank, Ltd................. 399,549 10,443,925 0.5%
Westpac Banking Corp......................... 428,372 10,095,099 0.5%
Other Securities............................. 85,764,130 4.4%
------------ ---------------
TOTAL AUSTRALIA................................. 150,921,879 7.7%
------------ ---------------
AUSTRIA -- (0.2%)
Other Securities............................. 5,184,556 0.3%
------------ ---------------
BELGIUM -- (0.7%)
#Anheuser-Busch InBev NV...................... 101,785 7,336,184 0.4%
Other Securities............................. 9,256,328 0.4%
------------ ---------------
TOTAL BELGIUM................................... 16,592,512 0.8%
------------ ---------------
CANADA -- (9.4%)
#Bank of Montreal............................. 114,316 6,789,411 0.4%
Bank of Nova Scotia.......................... 182,327 10,114,410 0.5%
Barrick Gold Corp............................ 166,000 6,714,947 0.3%
#Royal Bank of Canada......................... 231,780 13,395,070 0.7%
Suncor Energy, Inc........................... 277,879 9,178,713 0.5%
#Toronto Dominion Bank........................ 160,784 13,588,962 0.7%
Other Securities............................. 157,197,706 8.0%
------------ ---------------
TOTAL CANADA.................................... 216,979,219 11.1%
------------ ---------------
DENMARK -- (0.9%)
Other Securities............................. 21,590,680 1.1%
------------ ---------------
FINLAND -- (0.6%)
Other Securities............................. 15,041,944 0.8%
------------ ---------------
FRANCE -- (6.8%)
BNP Paribas SA............................... 168,361 6,794,936 0.3%
#LVMH Moet Hennessy Louis Vuitton SA.......... 42,051 6,976,066 0.4%
Sanofi SA.................................... 145,482 11,112,155 0.6%
Total SA..................................... 221,099 10,613,528 0.5%
Total SA Sponsored ADR....................... 144,707 6,961,854 0.4%
Other Securities............................. 113,834,819 5.8%
------------ ---------------
TOTAL FRANCE.................................... 156,293,358 8.0%
------------ ---------------
GERMANY -- (6.2%)
#BASF SE...................................... 141,010 11,609,762 0.6%
#Bayer AG..................................... 99,729 7,027,277 0.4%
Daimler AG................................... 163,887 9,068,099 0.5%
SAP AG....................................... 102,924 6,825,239 0.3%
Siemens AG................................... 72,344 6,714,982 0.3%
Other Securities............................. 101,800,389 5.2%
------------ ---------------
TOTAL GERMANY................................... 143,045,748 7.3%
------------ ---------------
GREECE -- (0.1%)
Other Securities............................. 1,196,440 0.1%
------------ ---------------
HONG KONG -- (2.2%)
Other Securities............................. 50,447,891 2.6%
------------ ---------------
39
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
IRELAND -- (0.2%)
Other Securities............................. $ 5,529,947 0.3%
------------ ---------------
ISRAEL -- (0.4%)
Other Securities............................. 9,839,423 0.5%
------------ ---------------
ITALY -- (1.6%)
Other Securities............................. 36,235,246 1.8%
------------ ---------------
JAPAN -- (15.9%)
#Mitsubishi UFJ Financial Group, Inc. ADR..... 1,455,897 6,930,070 0.4%
Sumitomo Mitsui Financial Group, Inc......... 236,140 7,556,192 0.4%
Toyota Motor Corp............................ 295,300 12,100,735 0.6%
#Toyota Motor Corp. Sponsored ADR............. 81,534 6,667,851 0.3%
Other Securities............................. 335,854,691 17.2%
------------ ---------------
TOTAL JAPAN..................................... 369,109,539 18.9%
------------ ---------------
NETHERLANDS -- (1.9%)
Unilever NV.................................. 266,590 9,131,834 0.5%
Other Securities............................. 33,969,423 1.7%
------------ ---------------
TOTAL NETHERLANDS............................... 43,101,257 2.2%
------------ ---------------
NEW ZEALAND -- (0.1%)
Other Securities............................. 2,124,086 0.1%
------------ ---------------
NORWAY -- (0.9%)
Other Securities............................. 20,705,191 1.1%
------------ ---------------
PORTUGAL -- (0.2%)
Other Securities............................. 3,745,151 0.2%
------------ ---------------
SINGAPORE -- (1.4%)
Other Securities............................. 31,547,557 1.6%
------------ ---------------
SPAIN -- (2.0%)
Other Securities............................. 45,786,247 2.3%
------------ ---------------
SWEDEN -- (2.4%)
Other Securities............................. 56,476,053 2.9%
------------ ---------------
SWITZERLAND -- (6.1%)
Nestle SA.................................... 518,109 31,754,526 1.6%
Novartis AG.................................. 245,458 13,553,271 0.7%
Novartis AG ADR.............................. 147,100 8,115,507 0.4%
Roche Holding AG Genusschein................. 110,635 20,219,714 1.0%
*UBS AG....................................... 612,736 7,651,964 0.4%
Other Securities............................. 60,446,363 3.1%
------------ ---------------
TOTAL SWITZERLAND............................... 141,741,345 7.2%
------------ ---------------
UNITED KINGDOM -- (17.1%)
Anglo American P.L.C......................... 234,651 9,068,045 0.5%
BG Group P.L.C............................... 495,973 11,702,594 0.6%
#BHP Billiton P.L.C. ADR...................... 113,263 7,289,607 0.4%
BP P.L.C. Sponsored ADR...................... 517,641 22,470,796 1.1%
British American Tobacco P.L.C............... 282,921 14,510,905 0.7%
GlaxoSmithKline P.L.C........................ 513,282 11,857,598 0.6%
GlaxoSmithKline P.L.C. Sponsored AD.......... 154,591 7,146,742 0.4%
HSBC Holdings P.L.C.......................... 1,512,952 13,657,702 0.7%
#HSBC Holdings P.L.C. Sponsored ADR........... 339,416 15,331,421 0.8%
Rio Tinto P.L.C.............................. 150,148 8,416,525 0.4%
Royal Dutch Shell P.L.C. ADR................. 267,024 19,588,881 1.0%
SABmiller P.L.C.............................. 159,746 6,713,889 0.3%
40
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
UNITED KINGDOM -- (Continued)
Standard Chartered P.L.C..................... 430,925 $ 10,534,257 0.5%
Tesco P.L.C.................................. 1,379,841 7,109,883 0.4%
Vodafone Group P.L.C......................... 3,189,133 8,827,408 0.5%
Vodafone Group P.L.C. Sponsored ADR.......... 680,782 18,946,163 1.0%
Xstrata P.L.C................................ 353,374 6,786,735 0.3%
Other Securities............................. 195,960,562 10.0%
-------------- ---------------
TOTAL UNITED KINGDOM............................ 395,919,713 20.2%
-------------- ---------------
TOTAL COMMON STOCKS............................. 1,939,154,982 99.1%
-------------- ---------------
PREFERRED STOCKS -- (0.0%)
GERMANY -- (0.0%)
Other Securities............................. 1,177,119 0.1%
-------------- ---------------
UNITED KINGDOM -- (0.0%)
Other Securities............................. 53,405 0.0%
-------------- ---------------
TOTAL PREFERRED STOCKS.......................... 1,230,524 0.1%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
Other Securities............................. 4 0.0%
-------------- ---------------
FRANCE -- (0.0%)
Other Securities............................. 15 0.0%
-------------- ---------------
NORWAY -- (0.0%)
Other Securities............................. 3 0.0%
-------------- ---------------
SPAIN -- (0.0%)
Other Securities............................. 2 0.0%
-------------- ---------------
TOTAL RIGHTS/WARRANTS........................... 24 0.0%
-------------- ---------------
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (16.2%)
(S)@DFA Short Term Investment Fund.............. 374,000,000 374,000,000 19.1%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $835,721) to be repurchased at
$819,339................................... $ 819 819,334 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL............. 374,819,334 19.2%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,173,606,545)......................... $2,315,204,864 118.4%
============== =====
41
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Common Stocks
Australia....................... $ 9,251,552 $ 141,670,327 -- $ 150,921,879
Austria......................... 52,320 5,132,236 -- 5,184,556
Belgium......................... 2,653,908 13,938,604 -- 16,592,512
Canada.......................... 216,979,219 -- -- 216,979,219
Denmark......................... 3,900,588 17,690,092 -- 21,590,680
Finland......................... 1,042,310 13,999,634 -- 15,041,944
France.......................... 14,168,008 142,125,350 -- 156,293,358
Germany......................... 23,887,029 119,158,719 -- 143,045,748
Greece.......................... -- 1,196,440 -- 1,196,440
Hong Kong....................... -- 50,447,891 -- 50,447,891
Ireland......................... 2,019,734 3,510,213 -- 5,529,947
Israel.......................... 6,259,251 3,580,172 -- 9,839,423
Italy........................... 5,672,778 30,562,468 -- 36,235,246
Japan........................... 33,945,104 335,164,435 -- 369,109,539
Netherlands..................... 3,291,364 39,809,893 -- 43,101,257
New Zealand..................... -- 2,124,086 -- 2,124,086
Norway.......................... 1,282,811 19,422,380 -- 20,705,191
Portugal........................ 108,808 3,636,343 -- 3,745,151
Singapore....................... -- 31,547,557 -- 31,547,557
Spain........................... 16,282,483 29,503,764 -- 45,786,247
Sweden.......................... 659,580 55,816,473 -- 56,476,053
Switzerland..................... 16,053,216 125,688,129 -- 141,741,345
United Kingdom.................. 132,875,152 263,044,561 -- 395,919,713
Preferred Stocks
Germany......................... -- 1,177,119 -- 1,177,119
United Kingdom.................. -- 53,405 -- 53,405
Rights/Warrants
Belgium......................... -- 4 -- 4
France.......................... -- 15 -- 15
Norway.......................... -- 3 -- 3
Spain........................... -- 2 -- 2
Securities Lending Collateral...... -- 374,819,334 -- 374,819,334
------------ -------------- ------- --------------
TOTAL.............................. $490,385,215 $1,824,819,649 -- $2,315,204,864
============ ============== ======= ==============
See accompanying Notes to Financial Statements.
42
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (84.8%)
AUSTRALIA -- (6.0%)
Australia & New Zealand Banking Group, Ltd..... 803,552 $ 19,906,589 0.3%
#Commonwealth Bank of Australia NL.............. 291,226 15,709,586 0.3%
#National Australia Bank, Ltd................... 935,297 24,447,996 0.4%
Wesfarmers, Ltd................................ 435,744 13,683,153 0.2%
Westpac Banking Corp........................... 652,008 15,365,350 0.3%
Other Securities............................... 324,853,928 5.5%
------------ ---------------
TOTAL AUSTRALIA................................... 413,966,602 7.0%
------------ ---------------
AUSTRIA -- (0.4%)
Other Securities............................... 28,142,378 0.5%
------------ ---------------
BELGIUM -- (0.9%)
Other Securities............................... 59,136,219 1.0%
------------ ---------------
CANADA -- (9.6%)
#Bank of Montreal............................... 266,573 15,832,199 0.3%
#Bank of Nova Scotia............................ 264,875 14,693,678 0.2%
Canadian National Resources, Ltd............... 378,150 13,137,731 0.2%
#Royal Bank of Canada........................... 326,040 18,842,561 0.3%
Suncor Energy, Inc............................. 654,429 21,616,661 0.4%
#Toronto Dominion Bank.......................... 350,772 29,646,155 0.5%
Other Securities............................... 550,244,622 9.3%
------------ ---------------
TOTAL CANADA...................................... 664,013,607 11.2%
------------ ---------------
CHINA -- (0.0%)
Other Securities............................... 177,538 0.0%
------------ ---------------
DENMARK -- (0.8%)
Other Securities............................... 56,390,298 0.9%
------------ ---------------
FINLAND -- (1.3%)
Other Securities............................... 86,625,407 1.5%
------------ ---------------
FRANCE -- (5.9%)
BNP Paribas SA................................. 412,437 16,645,677 0.3%
GDF Suez SA.................................... 531,910 12,246,800 0.2%
Sanofi SA ADR.................................. 562,231 21,465,980 0.4%
#Total SA Sponsored ADR......................... 497,184 23,919,522 0.4%
Other Securities............................... 332,549,935 5.6%
------------ ---------------
TOTAL FRANCE...................................... 406,827,914 6.9%
------------ ---------------
GERMANY -- (5.3%)
Bayerische Motoren Werke AG.................... 146,243 13,909,458 0.2%
Daimler AG..................................... 406,057 22,467,707 0.4%
Deutsche Bank AG............................... 331,650 14,397,919 0.3%
#E.ON AG........................................ 592,057 13,405,193 0.2%
#Munchener Rueckversicherungs-Gesellschaft AG... 84,700 12,302,677 0.2%
Siemens AG Sponsored ADR....................... 133,713 12,417,926 0.2%
Other Securities............................... 274,964,716 4.6%
------------ ---------------
TOTAL GERMANY..................................... 363,865,596 6.1%
------------ ---------------
GREECE -- (0.3%)
Other Securities............................... 19,023,158 0.3%
------------ ---------------
HONG KONG -- (2.1%)
Other Securities............................... 143,741,558 2.4%
------------ ---------------
43
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
IRELAND -- (0.5%)
Other Securities............................. $ 35,090,814 0.6%
-------------- ---------------
ISRAEL -- (0.6%)
Other Securities............................. 39,191,586 0.7%
-------------- ---------------
ITALY -- (1.8%)
Other Securities............................. 126,012,335 2.1%
-------------- ---------------
JAPAN -- (17.3%)
Honda Motor Co., Ltd. Sponsored ADR.......... 407,432 14,683,849 0.2%
Mitsubishi UFJ Financial Group, Inc.......... 3,578,700 17,183,174 0.3%
Mizuho Financial Group, Inc.................. 9,729,760 15,339,037 0.3%
Sumitomo Mitsui Financial Group, Inc......... 572,770 18,327,942 0.3%
#Toyota Motor Corp. Sponsored ADR............. 346,941 28,372,835 0.5%
Other Securities............................. 1,097,539,198 18.5%
-------------- ---------------
TOTAL JAPAN..................................... 1,191,446,035 20.1%
-------------- ---------------
NETHERLANDS -- (2.1%)
Other Securities............................. 145,890,264 2.5%
-------------- ---------------
NEW ZEALAND -- (0.2%)
Other Securities............................. 15,676,378 0.3%
-------------- ---------------
NORWAY -- (1.0%)
Other Securities............................. 71,534,822 1.2%
-------------- ---------------
PORTUGAL -- (0.3%)
Other Securities............................. 19,341,371 0.3%
-------------- ---------------
SINGAPORE -- (1.5%)
Other Securities............................. 102,478,966 1.7%
-------------- ---------------
SPAIN -- (1.7%)
Banco Santander SA Sponsored ADR............. 2,229,277 14,111,323 0.2%
Other Securities............................. 106,176,410 1.8%
-------------- ---------------
TOTAL SPAIN..................................... 120,287,733 2.0%
-------------- ---------------
SWEDEN -- (2.7%)
Other Securities............................. 185,291,511 3.1%
-------------- ---------------
SWITZERLAND -- (5.2%)
Holcim, Ltd.................................. 194,314 12,119,793 0.2%
Nestle SA.................................... 587,284 35,994,212 0.6%
Novartis AG ADR.............................. 627,200 34,602,624 0.6%
Roche Holding AG Genusschein................. 82,873 15,145,916 0.3%
*Swiss Re, Ltd................................ 260,756 16,373,671 0.3%
*UBS AG....................................... 1,371,785 17,131,114 0.3%
Zurich Insurance Group AG.................... 94,275 23,097,651 0.4%
Other Securities............................. 204,468,901 3.4%
-------------- ---------------
TOTAL SWITZERLAND............................... 358,933,882 6.1%
-------------- ---------------
UNITED KINGDOM -- (17.3%)
Anglo American P.L.C......................... 573,863 22,176,831 0.4%
#AstraZeneca P.L.C. Sponsored ADR............. 314,863 13,822,486 0.2%
#Barclays P.L.C. Sponsored ADR................ 1,247,292 17,761,438 0.3%
BG Group P.L.C............................... 694,696 16,391,507 0.3%
BP P.L.C. Sponsored ADR...................... 1,352,289 58,702,866 1.0%
#HSBC Holdings P.L.C. Sponsored ADR........... 1,541,503 69,629,691 1.2%
Imperial Tobacco Group P.L.C................. 308,273 12,327,992 0.2%
Prudential P.L.C. ADR........................ 637,394 15,622,527 0.3%
#Rio Tinto P.L.C. Sponsored ADR............... 289,758 16,246,731 0.3%
44
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
UNITED KINGDOM -- (Continued)
*Rolls-Royce Holdings P.L.C................... 906,583 $ 12,121,422 0.2%
#Royal Dutch Shell P.L.C. ADR................. 1,317,840 96,676,742 1.6%
SABmiller P.L.C.............................. 323,061 13,577,779 0.2%
Standard Chartered P.L.C..................... 1,032,766 25,246,672 0.4%
Tesco P.L.C.................................. 2,348,104 12,099,035 0.2%
Vodafone Group P.L.C. Sponsored ADR.......... 2,064,129 57,444,710 1.0%
Xstrata P.L.C................................ 827,448 15,891,577 0.3%
Other Securities............................. 718,627,706 12.1%
-------------- ---------------
TOTAL UNITED KINGDOM............................ 1,194,367,712 20.2%
-------------- ---------------
UNITED STATES -- (0.0%)
Other Securities............................. 13,450 0.0%
-------------- ---------------
TOTAL COMMON STOCKS............................. 5,847,467,134 98.7%
-------------- ---------------
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities............................. 3,406,846 0.1%
-------------- ---------------
SWEDEN -- (0.0%)
Other Securities............................. 46,938 0.0%
-------------- ---------------
UNITED KINGDOM -- (0.0%)
Other Securities............................. 155,957 0.0%
-------------- ---------------
TOTAL PREFERRED STOCKS.......................... 3,609,741 0.1%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............................. 7,080 0.0%
-------------- ---------------
BELGIUM -- (0.0%)
Other Securities............................. 1,596 0.0%
-------------- ---------------
CANADA -- (0.0%)
Other Securities............................. 586 0.0%
-------------- ---------------
DENMARK -- (0.0%)
Other Securities............................. 21,901 0.0%
-------------- ---------------
GERMANY -- (0.0%)
Other Securities............................. -- 0.0%
-------------- ---------------
HONG KONG -- (0.0%)
Other Securities............................. 13,950 0.0%
-------------- ---------------
SINGAPORE -- (0.0%)
Other Securities............................. 62,101 0.0%
-------------- ---------------
SPAIN -- (0.0%)
Other Securities............................. 4 0.0%
-------------- ---------------
SWITZERLAND -- (0.0%)
Other Securities............................. 196 0.0%
-------------- ---------------
UNITED KINGDOM -- (0.0%)
Other Securities............................. 21,796 0.0%
-------------- ---------------
UNITED STATES -- (0.0%)
Other Securities............................. -- 0.0%
-------------- ---------------
TOTAL RIGHTS/WARRANTS........................... 129,210 0.0%
-------------- ---------------
45
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
-------------- -------------- ---------------
(000)
SECURITIES LENDING COLLATERAL -- (15.1%)
(S)@DFA Short Term Investment Fund.............. 1,041,000,000 $1,041,000,000 17.6%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $378,065) to be repurchased at
$370,654................................... $ 371 370,652 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL............. 1,041,370,652 17.6%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)...................
(Cost $7,199,779,163)......................... $6,892,576,737 116.4%
============== ===============
46
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- --------- --------------
Common Stocks
Australia...................................... $ 22,070,516 $ 391,896,086 -- $ 413,966,602
Austria........................................ 91,560 28,050,818 -- 28,142,378
Belgium........................................ 9,413,744 49,722,475 -- 59,136,219
Canada......................................... 663,423,530 590,077 -- 664,013,607
China.......................................... -- 177,538 -- 177,538
Denmark........................................ 3,345,848 53,044,450 -- 56,390,298
Finland........................................ 2,759,357 83,866,050 -- 86,625,407
France......................................... 70,185,708 336,642,206 -- 406,827,914
Germany........................................ 53,932,445 309,933,151 -- 363,865,596
Greece......................................... 1,635,193 17,387,965 -- 19,023,158
Hong Kong...................................... 266,290 143,475,268 -- 143,741,558
Ireland........................................ 9,630,127 25,460,687 -- 35,090,814
Israel......................................... 14,543,918 24,647,668 -- 39,191,586
Italy.......................................... 14,487,941 111,524,394 -- 126,012,335
Japan.......................................... 87,002,574 1,104,443,461 -- 1,191,446,035
Netherlands.................................... 25,371,081 120,519,183 -- 145,890,264
New Zealand.................................... 711,879 14,964,499 -- 15,676,378
Norway......................................... 9,051,641 62,483,181 -- 71,534,822
Portugal....................................... 205,473 19,135,898 -- 19,341,371
Singapore...................................... -- 102,478,966 -- 102,478,966
Spain.......................................... 28,621,650 91,666,083 -- 120,287,733
Sweden......................................... 7,466,084 177,825,427 -- 185,291,511
Switzerland.................................... 61,561,055 297,372,827 -- 358,933,882
United Kingdom................................. 427,586,753 766,780,959 -- 1,194,367,712
United States.................................. 13,450 -- -- 13,450
Preferred Stocks
Germany........................................ -- 3,406,846 -- 3,406,846
Sweden......................................... -- 46,938 -- 46,938
United Kingdom................................. -- 155,957 -- 155,957
Rights/Warrants
Australia...................................... -- 7,080 -- 7,080
Belgium........................................ -- 1,596 -- 1,596
Canada......................................... -- 586 -- 586
Denmark........................................ -- 21,901 -- 21,901
Germany........................................ -- -- -- --
Hong Kong...................................... -- 13,950 -- 13,950
Singapore...................................... -- 62,101 -- 62,101
Spain.......................................... -- 4 -- 4
Switzerland.................................... -- 196 -- 196
United Kingdom................................. -- 21,796 -- 21,796
United States.................................. -- -- -- --
Securities Lending Collateral..................... -- 1,041,370,652 -- 1,041,370,652
-------------- -------------- ------ --------------
TOTAL............................................. $1,513,377,817 $5,379,198,920 -- $6,892,576,737
============== ============== ====== ==============
See accompanying Notes to Financial Statements.
47
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of The DFA Investment Trust Company.... $1,987,831,116
Investment in The Japanese Small Company Series of The DFA Investment Trust Company....... 1,402,660,503
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company. 1,295,919,946
Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company... 770,233,996
Investment in The Canadian Small Company Series of The DFA Investment Trust Company....... 740,073,888
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $6,009,154,841)................................................................ 6,196,719,449
--------------
TOTAL INVESTMENTS - (100.0%)
(Cost $6,009,154,841)................................................................ $6,196,719,449
==============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------- ------- --------------
Affiliated Investment Companies.. $6,196,719,449 -- -- $6,196,719,449
-------------- ------ ---- --------------
TOTAL............................ $6,196,719,449 -- -- $6,196,719,449
============== ====== ==== ==============
See accompanying Notes to Financial Statements.
48
SCHEDULES OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
JAPANESE SMALL COMPANY PORTFOLIO
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of The DFA Investment Trust Company. $322,208,865
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $364,847,808)............................................................ $322,208,865
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is 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. $202,844,062
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $192,687,771)................................................................ $202,844,062
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
49
SCHEDULES OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
UNITED KINDGOM SMALL COMPANY PORTFOLIO
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company. $30,296,364
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $24,966,792)................................................................... $30,296,364
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is 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. $120,533,638
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $122,331,854)............................................................... $120,533,638
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
50
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (87.1%)
AUSTRALIA -- (23.4%)
CFS Retail Property Trust.................... 9,691,577 $ 19,385,742 1.6%
#Commonwealth Property Office Fund............ 12,028,614 13,019,738 1.0%
Dexus Property Group......................... 24,257,926 23,535,617 1.9%
Goodman Group................................ 7,484,209 27,981,964 2.3%
GPT Group.................................... 8,754,543 29,804,772 2.4%
*Investa Office Fund.......................... 3,187,223 9,046,851 0.7%
Stockland Trust Group........................ 11,843,453 38,046,283 3.1%
Westfield Group.............................. 10,248,851 97,992,835 7.9%
Westfield Retail Trust....................... 14,561,346 41,091,035 3.3%
Other Securities............................. 26,107,677 2.1%
------------ ---------------
TOTAL AUSTRALIA................................. 326,012,514 26.3%
------------ ---------------
BELGIUM -- (1.4%)
#Cofinimmo SA................................. 71,308 8,608,223 0.7%
Other Securities............................. 11,157,941 0.9%
------------ ---------------
TOTAL BELGIUM................................... 19,766,164 1.6%
------------ ---------------
CANADA -- (6.9%)
Boardwalk REIT............................... 109,825 6,538,248 0.5%
#Calloway REIT................................ 248,954 6,925,400 0.5%
#Canadian REIT................................ 159,293 6,238,848 0.5%
#Chartwell Seniors Housing REIT............... 660,637 6,232,866 0.5%
H&R REIT..................................... 633,619 15,650,457 1.3%
#RioCan REIT.................................. 640,255 17,590,242 1.4%
Other Securities............................. 36,741,968 3.0%
------------ ---------------
TOTAL CANADA.................................... 95,918,029 7.7%
------------ ---------------
CHINA -- (0.1%)
Other Securities............................. 1,779,568 0.1%
------------ ---------------
FRANCE -- (10.9%)
#Fonciere des Regions SA...................... 149,345 11,571,718 0.9%
#Gecina SA.................................... 118,125 10,957,894 0.9%
ICADE SA..................................... 120,742 10,186,547 0.8%
Klepierre SA................................. 565,039 17,912,894 1.4%
Societe Immobiliere de Location pour
l'Industrie et le Commerce SA.............. 59,608 6,288,694 0.5%
#Unibail-Rodamco SE........................... 463,432 86,716,122 7.0%
Other Securities............................. 8,019,892 0.7%
------------ ---------------
TOTAL FRANCE.................................... 151,653,761 12.2%
------------ ---------------
GERMANY -- (0.3%)
Other Securities............................. 3,804,510 0.3%
------------ ---------------
GREECE -- (0.0%)
Other Securities............................. 294,607 0.0%
------------ ---------------
HONG KONG -- (4.1%)
Link REIT (The).............................. 11,426,105 47,390,038 3.8%
Other Securities............................. 9,597,501 0.8%
------------ ---------------
TOTAL HONG KONG................................. 56,987,539 4.6%
------------ ---------------
ISRAEL -- (0.0%)
Other Securities............................. 629,250 0.1%
------------ ---------------
ITALY -- (0.2%)
Other Securities............................. 3,020,168 0.2%
------------ ---------------
51
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
JAPAN -- (14.1%)
Advance Residence Investment Corp............ 5,402 $ 10,443,511 0.9%
Frontier Real Estate Investment Corp......... 859 7,269,379 0.6%
Japan Logistics Fund, Inc.................... 709 6,220,453 0.5%
Japan Prime Realty Investment Corp........... 3,333 9,571,734 0.8%
Japan Real Estate Investment Corp............ 2,684 23,777,170 1.9%
Japan Retail Fund Investment Corp............ 9,347 14,903,137 1.2%
MORI TRUST Sogo REIT, Inc.................... 834 7,374,361 0.6%
Nippon Building Fund, Inc.................... 3,044 28,924,593 2.3%
Nomura Real Estate Office Fund, Inc.......... 1,351 7,844,021 0.6%
ORIX JREIT, Inc.............................. 1,360 6,047,163 0.5%
United Urban Investment Corp................. 10,327 12,167,793 1.0%
Other Securities............................. 61,823,787 5.0%
-------------- ---------------
TOTAL JAPAN..................................... 196,367,102 15.9%
-------------- ---------------
MALAYSIA -- (0.1%)
Other Securities............................. 2,013,627 0.2%
-------------- ---------------
NETHERLANDS -- (2.7%)
#Corio NV..................................... 324,182 14,522,431 1.2%
Eurocommercial Properties NV................. 203,901 7,153,453 0.6%
#Wereldhave NV................................ 113,863 8,012,615 0.6%
Other Securities............................. 7,846,795 0.6%
-------------- ---------------
TOTAL NETHERLANDS............................... 37,535,294 3.0%
-------------- ---------------
NEW ZEALAND -- (0.7%)
Other Securities............................. 9,331,501 0.8%
-------------- ---------------
SINGAPORE -- (6.8%)
Ascendas REIT................................ 8,946,000 15,007,653 1.2%
CapitaCommercial Trust....................... 10,019,000 10,419,954 0.8%
CapitaMall Trust............................. 11,163,300 16,207,559 1.3%
CDL Hospitality Trusts....................... 3,850,000 5,872,011 0.5%
Suntec REIT.................................. 10,137,000 10,697,822 0.9%
Other Securities............................. 36,752,643 3.0%
-------------- ---------------
TOTAL SINGAPORE................................. 94,957,642 7.7%
-------------- ---------------
SOUTH AFRICA -- (1.4%)
Other Securities............................. 19,870,564 1.6%
-------------- ---------------
TAIWAN -- (0.6%)
Other Securities............................. 8,095,303 0.7%
-------------- ---------------
TURKEY -- (0.6%)
Other Securities............................. 8,557,351 0.7%
-------------- ---------------
UNITED KINGDOM -- (12.8%)
British Land Co. P.L.C....................... 4,251,774 33,776,465 2.7%
Capital Shopping Centres Group P.L.C......... 2,824,346 14,901,138 1.2%
Derwent London P.L.C......................... 463,201 13,097,653 1.1%
Great Portland Estates P.L.C................. 1,581,009 9,240,995 0.7%
Hammerson P.L.C.............................. 3,630,503 24,612,364 2.0%
Land Securities Group P.L.C.................. 3,988,053 47,096,234 3.8%
Segro P.L.C.................................. 3,742,802 13,431,660 1.1%
Shaftesbury P.L.C............................ 1,159,169 9,623,414 0.8%
Other Securities............................. 12,581,546 1.0%
-------------- ---------------
TOTAL UNITED KINGDOM............................ 178,361,469 14.4%
-------------- ---------------
TOTAL COMMON STOCKS............................. 1,214,955,963 98.1%
-------------- ---------------
52
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 -- (12.9%)
(S)@DFA Short Term Investment Fund.............. 180,000,000 180,000,000 14.5%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $495,493) to be repurchased at
$485,780................................... $ 486 485,777 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL............. 180,485,777 14.5%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,374,453,565)......................... $1,395,441,740 112.6%
============== ===============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
-------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------------- ------- --------------
Common Stocks
Australia.................. -- $ 326,012,514 -- $ 326,012,514
Belgium.................... -- 19,766,164 -- 19,766,164
Canada..................... $95,918,029 -- -- 95,918,029
China...................... -- 1,779,568 -- 1,779,568
France..................... -- 151,653,761 -- 151,653,761
Germany.................... -- 3,804,510 -- 3,804,510
Greece..................... -- 294,607 -- 294,607
Hong Kong.................. -- 56,987,539 -- 56,987,539
Israel..................... -- 629,250 -- 629,250
Italy...................... -- 3,020,168 -- 3,020,168
Japan...................... -- 196,367,102 -- 196,367,102
Malaysia................... -- 2,013,627 -- 2,013,627
Netherlands................ -- 37,535,294 -- 37,535,294
New Zealand................ -- 9,331,501 -- 9,331,501
Singapore.................. -- 94,957,642 -- 94,957,642
South Africa............... -- 19,870,564 -- 19,870,564
Taiwan..................... -- 8,095,303 -- 8,095,303
Turkey..................... -- 8,557,351 -- 8,557,351
United Kingdom............. -- 178,361,469 -- 178,361,469
Rights/Warrants
Netherlands................ -- -- -- --
Securities Lending Collateral. -- 180,485,777 -- 180,485,777
----------- -------------- ------ --------------
TOTAL......................... $95,918,029 $1,299,523,711 -- $1,395,441,740
=========== ============== ====== ==============
See accompanying Notes to Financial Statements.
53
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.8%)
Investment in DFA Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc........................... 26,423,928 $ 694,156,589
Investment in DFA International Real Estate Securities
Portfolio of DFA Investment Dimensions Group Inc.......... 86,577,486 432,887,430
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $868,353,338).................................... 1,127,044,019
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds TempCash
Portfolio-Institutional Shares
(Cost $2,144,261)...................................... 2,144,261 2,144,261
--------------
TOTAL INVESTMENTS - (100.0%)
(Cost $870,497,599).................................... $1,129,188,280
==============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------- ------- --------------
Affiliated Investment Companies......... $1,127,044,019 -- -- $1,127,044,019
Temporary Cash Investments.............. 2,144,261 -- -- 2,144,261
-------------- ------- ------- --------------
TOTAL................................... $1,129,188,280 -- -- $1,129,188,280
============== ======= ======= ==============
See accompanying Notes to Financial Statements.
54
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (88.7%)
AUSTRALIA -- (5.9%)
#Beach Energy, Ltd............................ 23,748,219 $ 34,412,826 0.4%
Goodman Fielder, Ltd......................... 37,803,693 25,854,769 0.3%
GrainCorp, Ltd............................... 2,965,452 28,392,122 0.3%
Primary Health Care, Ltd..................... 10,019,264 29,426,570 0.4%
Other Securities............................. 416,165,166 5.1%
------------ ---------------
TOTAL AUSTRALIA................................. 534,251,453 6.5%
------------ ---------------
AUSTRIA -- (0.8%)
#Wienerberger AG.............................. 2,509,358 29,320,060 0.3%
Other Securities............................. 38,784,528 0.5%
------------ ---------------
TOTAL AUSTRIA................................... 68,104,588 0.8%
------------ ---------------
BELGIUM -- (0.9%)
Other Securities............................. 79,168,575 1.0%
------------ ---------------
CANADA -- (10.3%)
*Canfor Corp.................................. 2,740,809 30,020,300 0.4%
*Celestica, Inc............................... 4,577,603 41,010,059 0.5%
Groupe Aeroplan, Inc......................... 3,335,633 42,883,575 0.5%
HudBay Minerals, Inc......................... 3,722,539 39,190,571 0.5%
Laurentian Bank of Canada.................... 707,853 31,550,101 0.4%
*Petrobank Energy & Resources, Ltd............ 2,233,989 32,022,356 0.4%
RONA, Inc.................................... 3,110,210 33,373,717 0.4%
Sherritt International Corp.................. 6,804,683 38,919,329 0.5%
#West Fraser Timber Co., Ltd.................. 758,023 33,325,848 0.4%
Other Securities............................. 612,213,007 7.5%
------------ ---------------
TOTAL CANADA.................................... 934,508,863 11.5%
------------ ---------------
CHINA -- (0.0%)
Other Securities............................. 157,853 0.0%
------------ ---------------
DENMARK -- (0.6%)
Other Securities............................. 56,966,289 0.7%
------------ ---------------
FINLAND -- (2.4%)
#Huhtamaki Oyj................................ 1,928,287 30,602,569 0.4%
#*Outokumpu Oyj............................... 24,037,488 39,106,313 0.5%
#Pohjola Bank P.L.C. Series A................. 3,275,771 35,253,899 0.4%
Other Securities............................. 112,952,434 1.4%
------------ ---------------
TOTAL FINLAND................................... 217,915,215 2.7%
------------ ---------------
FRANCE -- (3.4%)
Arkema SA.................................... 368,577 32,688,683 0.4%
Havas SA..................................... 6,856,139 38,806,544 0.5%
Nexans SA.................................... 580,149 29,076,437 0.4%
Other Securities............................. 208,376,584 2.5%
------------ ---------------
TOTAL FRANCE.................................... 308,948,248 3.8%
------------ ---------------
GERMANY -- (4.7%)
Aurubis AG................................... 1,045,010 58,162,017 0.7%
Bilfinger Berger SE.......................... 692,750 63,380,996 0.8%
Kloeckner & Co. SE........................... 2,394,335 32,587,274 0.4%
Other Securities............................. 273,785,538 3.3%
------------ ---------------
TOTAL GERMANY................................... 427,915,825 5.2%
------------ ---------------
55
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
GREECE -- (0.3%)
Other Securities............................. $ 25,516,734 0.3%
-------------- ---------------
HONG KONG -- (2.0%)
Other Securities............................. 177,621,688 2.2%
-------------- ---------------
IRELAND -- (0.3%)
Other Securities............................. 23,790,746 0.3%
-------------- ---------------
ISRAEL -- (0.6%)
Other Securities............................. 58,495,228 0.7%
-------------- ---------------
ITALY -- (2.2%)
#Banca Popolare di Milano Scarl............... 66,155,704 32,571,828 0.4%
Other Securities............................. 167,636,909 2.1%
-------------- ---------------
TOTAL ITALY..................................... 200,208,737 2.5%
-------------- ---------------
JAPAN -- (22.9%)
Aoyama Trading Co., Ltd...................... 1,338,399 27,613,514 0.4%
Other Securities............................. 2,050,175,684 25.1%
-------------- ---------------
TOTAL JAPAN..................................... 2,077,789,198 25.5%
-------------- ---------------
MALAYSIA -- (0.0%)
Other Securities............................. -- 0.0%
-------------- ---------------
NETHERLANDS -- (1.4%)
Other Securities............................. 126,213,592 1.5%
-------------- ---------------
NEW ZEALAND -- (0.4%)
Other Securities............................. 36,622,800 0.5%
-------------- ---------------
NORWAY -- (1.1%)
Other Securities............................. 102,112,119 1.3%
-------------- ---------------
PORTUGAL -- (0.2%)
Other Securities............................. 17,486,839 0.2%
-------------- ---------------
SINGAPORE -- (1.3%)
Other Securities............................. 116,790,255 1.4%
-------------- ---------------
SPAIN -- (1.2%)
Other Securities............................. 111,302,764 1.4%
-------------- ---------------
SWEDEN -- (3.1%)
#Holmen AB Series B........................... 1,273,311 33,821,382 0.4%
#Trelleborg AB Series B....................... 6,786,568 77,816,853 1.0%
Other Securities............................. 167,025,501 2.0%
-------------- ---------------
TOTAL SWEDEN.................................... 278,663,736 3.4%
-------------- ---------------
SWITZERLAND -- (4.2%)
*Clariant AG.................................. 3,169,797 40,355,292 0.5%
Helvetia Holding AG.......................... 115,700 41,498,975 0.5%
Other Securities............................. 297,012,159 3.6%
-------------- ---------------
TOTAL SWITZERLAND............................... 378,866,426 4.6%
-------------- ---------------
UNITED KINGDOM -- (18.5%)
Amlin P.L.C.................................. 10,862,369 58,177,283 0.7%
Ashtead Group P.L.C.......................... 12,335,561 49,462,360 0.6%
*Barratt Developments P.L.C................... 21,303,926 46,238,674 0.6%
Beazley P.L.C................................ 12,306,390 28,328,525 0.3%
Bellway P.L.C................................ 3,448,205 44,061,764 0.5%
Bodycote P.L.C............................... 5,302,073 36,617,802 0.4%
56
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
-------------- -------------- ---------------
UNITED KINGDOM -- (Continued)
Bovis Homes Group P.L.C...................... 3,849,825 $ 28,887,236 0.4%
Catlin Group, Ltd............................ 8,969,846 61,454,052 0.8%
Cookson Group P.L.C.......................... 5,906,182 69,575,227 0.9%
DS Smith P.L.C............................... 17,847,031 48,615,592 0.6%
easyJet P.L.C................................ 3,830,175 30,837,399 0.4%
Greene King P.L.C............................ 4,908,532 40,675,830 0.5%
Hiscox, Ltd.................................. 10,648,017 68,865,861 0.8%
Inchcape P.L.C............................... 8,233,803 48,917,752 0.6%
Logica P.L.C................................. 28,942,748 36,624,014 0.4%
Meggitt P.L.C................................ 7,033,226 46,639,872 0.6%
Millennium & Copthorne Hotels P.L.C.......... 4,813,561 37,961,009 0.5%
Mondi P.L.C.................................. 7,958,099 73,997,842 0.9%
Persimmon P.L.C.............................. 7,337,098 74,832,923 0.9%
*Taylor Wimpey P.L.C.......................... 69,658,557 56,816,421 0.7%
Travis Perkins P.L.C......................... 5,109,001 87,163,637 1.1%
Other Securities............................. 596,969,019 7.3%
-------------- ---------------
TOTAL UNITED KINGDOM............................ 1,671,720,094 20.5%
-------------- ---------------
UNITED STATES -- (0.0%)
Other Securities............................. 10,350 0.0%
-------------- ---------------
TOTAL COMMON STOCKS............................. 8,031,148,215 98.5%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............................. 8,636 0.0%
-------------- ---------------
BELGIUM -- (0.0%)
Other Securities............................. 12,215 0.0%
-------------- ---------------
DENMARK -- (0.0%)
Other Securities............................. 127,213 0.0%
-------------- ---------------
GERMANY -- (0.0%)
Other Securities............................. -- 0.0%
-------------- ---------------
HONG KONG -- (0.0%)
Other Securities............................. 93,981 0.0%
-------------- ---------------
UNITED KINGDOM -- (0.0%)
Other Securities............................. -- 0.0%
-------------- ---------------
TOTAL RIGHTS/WARRANTS........................... 242,045 0.0%
-------------- ---------------
SHARES/
FACE
AMOUNT VALUE+
-------------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (11.3%)
(S)@DFA Short Term Investment Fund.............. 1,022,000,000 1,022,000,000 12.5%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38, valued
at $510,716) to be repurchased at $500,705... $ 501 500,702 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL............. 1,022,500,702 12.5%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,721,383,550)......................... $9,053,890,962 111.0%
============== ===============
57
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Common Stocks
Australia.................. -- $ 534,251,453 -- $ 534,251,453
Austria.................... -- 68,104,588 -- 68,104,588
Belgium.................... -- 79,168,575 -- 79,168,575
Canada..................... $930,771,950 3,736,913 -- 934,508,863
China...................... -- 157,853 -- 157,853
Denmark.................... -- 56,966,289 -- 56,966,289
Finland.................... -- 217,915,215 -- 217,915,215
France..................... -- 308,948,248 -- 308,948,248
Germany.................... -- 427,915,825 -- 427,915,825
Greece..................... 347,581 25,169,153 -- 25,516,734
Hong Kong.................. -- 177,621,688 -- 177,621,688
Ireland.................... -- 23,790,746 -- 23,790,746
Israel..................... -- 58,495,228 -- 58,495,228
Italy...................... -- 200,208,737 -- 200,208,737
Japan...................... -- 2,077,789,198 -- 2,077,789,198
Malaysia................... -- -- -- --
Netherlands................ -- 126,213,592 -- 126,213,592
New Zealand................ -- 36,622,800 -- 36,622,800
Norway..................... -- 102,112,119 -- 102,112,119
Portugal................... -- 17,486,839 -- 17,486,839
Singapore.................. -- 116,790,255 -- 116,790,255
Spain...................... -- 111,302,764 -- 111,302,764
Sweden..................... -- 278,663,736 -- 278,663,736
Switzerland................ -- 378,866,426 -- 378,866,426
United Kingdom............. -- 1,671,720,094 -- 1,671,720,094
United States.............. 10,350 -- -- 10,350
Rights/Warrants
Australia.................. -- 8,636 -- 8,636
Belgium.................... -- 12,215 -- 12,215
Denmark.................... -- 127,213 -- 127,213
Germany.................... -- -- -- --
Hong Kong.................. -- 93,981 -- 93,981
United Kingdom............. -- -- -- --
Securities Lending Collateral. -- 1,022,500,702 -- 1,022,500,702
------------ -------------- ------- --------------
TOTAL......................... $931,129,881 $8,122,761,081 -- $9,053,890,962
============ ============== ======= ==============
See accompanying Notes to Financial Statements.
58
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
COMMON STOCKS -- (88.1%)
AUSTRALIA -- (6.1%)
Macquarie Group, Ltd......................... 29,586 $ 891,736 0.2%
National Australia Bank, Ltd................. 74,261 1,941,130 0.4%
Origin Energy, Ltd........................... 66,269 910,465 0.2%
Suncorp Group, Ltd........................... 115,486 973,816 0.2%
Other Securities............................. 31,766,741 5.9%
----------- ---------------
TOTAL AUSTRALIA................................. 36,483,888 6.9%
----------- ---------------
AUSTRIA -- (0.5%)
Other Securities............................. 2,908,509 0.5%
----------- ---------------
BELGIUM -- (1.0%)
Other Securities............................. 5,885,384 1.1%
----------- ---------------
CANADA -- (9.9%)
#Bank of Montreal............................. 15,400 914,631 0.2%
Magna International, Inc..................... 20,960 918,518 0.2%
#Sun Life Financial, Inc...................... 35,778 877,201 0.2%
Suncor Energy, Inc........................... 36,072 1,191,506 0.2%
Toronto Dominion Bank........................ 21,129 1,785,757 0.3%
Viterra, Inc................................. 59,388 956,484 0.2%
Other Securities............................. 52,843,458 9.9%
----------- ---------------
TOTAL CANADA.................................... 59,487,555 11.2%
----------- ---------------
CHINA -- (0.0%)
Other Securities............................. 33,507 0.0%
----------- ---------------
DENMARK -- (1.0%)
Other Securities............................. 5,952,213 1.1%
----------- ---------------
FINLAND -- (1.5%)
#*Nokia Oyj.................................... 301,254 1,091,051 0.2%
Other Securities............................. 8,099,033 1.5%
----------- ---------------
TOTAL FINLAND................................... 9,190,084 1.7%
----------- ---------------
FRANCE -- (5.2%)
Cie Generale des Etablissements Michelin SA
Series B................................... 14,416 1,077,344 0.2%
Sanofi SA.................................... 20,001 1,527,709 0.3%
Societe Generale SA.......................... 39,711 940,126 0.2%
Vivendi SA................................... 51,678 955,862 0.2%
Other Securities............................. 26,933,300 5.0%
----------- ---------------
TOTAL FRANCE.................................... 31,434,341 5.9%
----------- ---------------
GERMANY -- (5.0%)
Allianz SE................................... 10,175 1,134,931 0.2%
Daimler AG................................... 23,045 1,275,112 0.3%
Deutsche Bank AG............................. 29,192 1,266,641 0.2%
#E.ON AG...................................... 43,404 982,742 0.2%
*RWE AG....................................... 21,427 921,080 0.2%
Other Securities............................. 24,145,749 4.5%
----------- ---------------
TOTAL GERMANY................................... 29,726,255 5.6%
----------- ---------------
GREECE -- (0.4%)
Other Securities............................. 2,459,594 0.5%
----------- ---------------
HONG KONG -- (2.2%)
Other Securities............................. 13,316,953 2.5%
----------- ---------------
59
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
IRELAND -- (0.7%)
CRH P.L.C. Sponsored ADR..................... 47,203 $ 959,637 0.2%
Other Securities............................. 3,554,223 0.6%
------------ ---------------
TOTAL IRELAND................................... 4,513,860 0.8%
------------ ---------------
ISRAEL -- (0.5%)
Other Securities............................. 3,031,018 0.6%
------------ ---------------
ITALY -- (2.0%)
Other Securities............................. 12,279,906 2.3%
------------ ---------------
JAPAN -- (19.6%)
Mitsubishi UFJ Financial Group, Inc.......... 282,300 1,355,467 0.2%
Mizuho Financial Group, Inc.................. 577,660 910,685 0.2%
Sumitomo Mitsui Financial Group, Inc......... 33,941 1,086,071 0.2%
#Toyota Motor Corp. Sponsored ADR............. 11,600 948,648 0.2%
Other Securities............................. 112,896,551 21.2%
------------ ---------------
TOTAL JAPAN..................................... 117,197,422 22.0%
------------ ---------------
NETHERLANDS -- (2.0%)
Akzo Nobel NV................................ 23,201 1,244,284 0.2%
Other Securities............................. 10,653,530 2.0%
------------ ---------------
TOTAL NETHERLANDS............................... 11,897,814 2.2%
------------ ---------------
NEW ZEALAND -- (0.3%)
Other Securities............................. 1,609,911 0.3%
------------ ---------------
NORWAY -- (1.2%)
Other Securities............................. 7,183,387 1.4%
------------ ---------------
PORTUGAL -- (0.4%)
Other Securities............................. 2,138,515 0.4%
------------ ---------------
SINGAPORE -- (1.5%)
Other Securities............................. 8,756,837 1.6%
------------ ---------------
SPAIN -- (1.5%)
Banco Santander SA........................... 191,020 1,199,340 0.2%
Other Securities............................. 7,628,479 1.5%
------------ ---------------
TOTAL SPAIN..................................... 8,827,819 1.7%
------------ ---------------
SWEDEN -- (2.8%)
Other Securities............................. 17,035,000 3.2%
------------ ---------------
SWITZERLAND -- (5.2%)
Holcim, Ltd.................................. 24,022 1,498,305 0.3%
Nestle SA.................................... 29,483 1,806,992 0.3%
Novartis AG ADR.............................. 25,578 1,411,138 0.3%
*Swiss Re, Ltd................................ 31,448 1,974,717 0.4%
Zurich Insurance Group AG.................... 7,485 1,833,847 0.3%
Other Securities............................. 22,428,837 4.2%
------------ ---------------
TOTAL SWITZERLAND............................... 30,953,836 5.8%
------------ ---------------
UNITED KINGDOM -- (17.6%)
Anglo American P.L.C......................... 48,414 1,870,950 0.3%
Aviva P.L.C.................................. 194,827 975,108 0.2%
BP P.L.C. Sponsored ADR...................... 80,492 3,494,158 0.6%
HSBC Holdings P.L.C. Sponsored ADR........... 92,259 4,167,339 0.8%
International Power P.L.C.................... 155,255 1,050,217 0.2%
Kingfisher P.L.C............................. 232,192 1,095,009 0.2%
Legal & General Group P.L.C.................. 594,171 1,134,514 0.2%
60
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
UNITED KINGDOM -- (Continued)
Old Mutual P.L.C............................. 440,180 $ 1,059,327 0.2%
Resolution, Ltd.............................. 241,340 876,718 0.1%
Rexam P.L.C.................................. 142,831 997,032 0.2%
Royal Dutch Shell P.L.C. ADR................. 88,550 6,496,028 1.2%
RSA Insurance Group P.L.C.................... 658,760 1,123,240 0.2%
Standard Chartered P.L.C..................... 60,540 1,479,942 0.3%
Standard Life P.L.C.......................... 268,835 975,604 0.2%
Travis Perkins P.L.C......................... 58,572 999,285 0.2%
Vodafone Group P.L.C. Sponsored ADR.......... 165,738 4,612,489 0.9%
WPP P.L.C. Sponsored ADR..................... 13,042 884,508 0.2%
Xstrata P.L.C................................ 77,287 1,484,338 0.3%
Other Securities............................. 70,740,653 13.3%
------------ ---------------
TOTAL UNITED KINGDOM............................ 105,516,459 19.8%
------------ ---------------
TOTAL COMMON STOCKS............................. 527,820,067 99.1%
------------ ---------------
PREFERRED STOCKS -- (0.0%)
GERMANY -- (0.0%)
Other Securities............................. 123,473 0.0%
------------ ---------------
SWEDEN -- (0.0%)
Other Securities............................. 2,232 0.0%
------------ ---------------
UNITED KINGDOM -- (0.0%)
Other Securities............................. 8,652 0.0%
------------ ---------------
TOTAL PREFERRED STOCKS.......................... 134,357 0.0%
------------ ---------------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............................. 1,316 0.0%
------------ ---------------
BELGIUM -- (0.0%)
Other Securities............................. 141 0.0%
------------ ---------------
CANADA -- (0.0%)
Other Securities............................. 434 0.0%
------------ ---------------
DENMARK -- (0.0%)
Other Securities............................. 1,338 0.0%
------------ ---------------
HONG KONG -- (0.0%)
Other Securities............................. 1,342 0.0%
------------ ---------------
SINGAPORE -- (0.0%)
Other Securities............................. 1,551 0.0%
------------ ---------------
SPAIN -- (0.0%)
Other Securities............................. 6 0.0%
------------ ---------------
UNITED KINGDOM -- (0.0%)
Other Securities............................. 4,084 0.0%
------------ ---------------
TOTAL RIGHTS/WARRANTS........................... 10,212 0.0%
------------ ---------------
61
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
SHARES/ FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------------ ------------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (11.9%)
(S)@DFA Short Term Investment Fund.............. 69,000,000 $ 69,000,000 13.0%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38, valued
at $2,364,456) to be repurchased at
$2,318,108................................... $ 2,318 2,318,094 0.4%
------------ ---------------
TOTAL SECURITIES LENDING COLLATERAL............. 71,318,094 13.4%
------------ ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $545,581,894)........................... $599,282,730 112.5%
============ ===============
62
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Common Stocks
Australia.................................... $ 643,952 $ 35,839,936 -- $ 36,483,888
Austria...................................... -- 2,908,509 -- 2,908,509
Belgium...................................... 642,105 5,243,279 -- 5,885,384
Canada....................................... 59,389,654 97,901 -- 59,487,555
China........................................ -- 33,507 -- 33,507
Denmark...................................... -- 5,952,213 -- 5,952,213
Finland...................................... -- 9,190,084 -- 9,190,084
France....................................... 1,650,716 29,783,625 -- 31,434,341
Germany...................................... 2,553,107 27,173,148 -- 29,726,255
Greece....................................... 66,365 2,393,229 -- 2,459,594
Hong Kong.................................... 35,960 13,280,993 -- 13,316,953
Ireland...................................... 1,103,284 3,410,576 -- 4,513,860
Israel....................................... 737,123 2,293,895 -- 3,031,018
Italy........................................ 948,341 11,331,565 -- 12,279,906
Japan........................................ 2,914,691 114,282,731 -- 117,197,422
Netherlands.................................. 1,783,174 10,114,640 -- 11,897,814
New Zealand.................................. 31,393 1,578,518 -- 1,609,911
Norway....................................... 450,805 6,732,582 -- 7,183,387
Portugal..................................... -- 2,138,515 -- 2,138,515
Singapore.................................... -- 8,756,837 -- 8,756,837
Spain........................................ 717,263 8,110,556 -- 8,827,819
Sweden....................................... 8,996 17,026,004 -- 17,035,000
Switzerland.................................. 2,264,078 28,689,758 -- 30,953,836
United Kingdom............................... 22,562,101 82,954,358 -- 105,516,459
Preferred Stocks
Germany...................................... -- 123,473 -- 123,473
Sweden....................................... -- 2,232 -- 2,232
United Kingdom............................... -- 8,652 -- 8,652
Rights/Warrants
Australia.................................... -- 1,316 -- 1,316
Belgium...................................... -- 141 -- 141
Canada....................................... -- 434 -- 434
Denmark...................................... -- 1,338 -- 1,338
Hong Kong.................................... -- 1,342 -- 1,342
Singapore.................................... -- 1,551 -- 1,551
Spain........................................ -- 6 -- 6
United Kingdom............................... -- 4,084 -- 4,084
Securities Lending Collateral................... -- 71,318,094 -- 71,318,094
----------- ------------ ------- ------------
TOTAL........................................... $98,503,108 $500,779,622 -- $599,282,730
=========== ============ ======= ============
See accompanying Notes to Financial Statements.
63
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $37,566,698
Investment in Dimensional Emerging Markets Value Fund....... 13,106,167
Investment in DFA International Small Cap Value Portfolio
of DFA Investment Dimensions Group Inc.................... 295,144 4,548,169
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $52,768,648)..................................... 55,221,034
-----------
TOTAL INVESTMENTS - (100.0%)
(Cost $52,768,648)..................................... $55,221,034
===========
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------- ------- -----------
Affiliated Investment Companies. $55,221,034 -- -- $55,221,034
----------- ------ ------ -----------
TOTAL........................... $55,221,034 -- -- $55,221,034
=========== ====== ====== ===========
See accompanying Notes to Financial Statements.
64
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of DFA
Investment Dimensions Group Inc........................... 826,478 $ 9,752,440
Investment in International Core Equity Portfolio of DFA
Investment Dimensions Group Inc........................... 913,221 9,314,854
Investment in Emerging Markets Core Equity Portfolio of DFA
Investment Dimensions Group Inc........................... 239,593 4,648,104
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $22,131,298)..................................... 23,715,398
-----------
TOTAL INVESTMENTS - (100.0%)
(Cost $22,131,298)..................................... $23,715,398
===========
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------- ------- -----------
Affiliated Investment Companies.. $23,715,398 -- -- $23,715,398
Futures Contracts**.............. 13,329 -- -- 13,329
Forward Currency Contracts**..... -- $(43,553) -- (43,553)
----------- -------- ------ -----------
TOTAL............................ $23,728,727 $(43,553) -- $23,685,174
=========== ======== ====== ===========
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
65
SCHEDULES OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
EMERGING MARKETS PORTFOLIO
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA Investment
Trust Company.................................................. $2,678,054,159
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,634,525,456)....................................... $2,678,054,159
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
EMERGING MARKETS SMALL CAP PORTFOLIO
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Small Cap Series of The DFA
Investment Trust Company....................................... $2,519,116,564
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $2,164,178,287)....................................... $2,519,116,564
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
66
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
VALUE+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund $15,982,616,960
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $15,630,502,041)................................. $15,982,616,960
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
67
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
COMMON STOCKS -- (85.9%)
BRAZIL -- (7.3%)
Banco do Brasil SA........................ 1,680,221 $ 20,846,852 0.3%
Banco Santander Brasil SA ADR............. 2,270,163 18,320,215 0.2%
BM&F Bovespa SA........................... 5,604,289 31,312,162 0.4%
Petroleo Brasileiro SA ADR................ 2,485,189 58,501,349 0.8%
#Vale SA Sponsored ADR..................... 2,091,228 46,425,262 0.6%
Other Securities.......................... 431,149,212 5.6%
-------------- ---------------
TOTAL BRAZIL................................. 606,555,052 7.9%
-------------- ---------------
CHILE -- (1.8%)
Other Securities.......................... 145,278,723 1.9%
-------------- ---------------
CHINA -- (13.9%)
Bank of China, Ltd. Series H.............. 97,695,702 40,682,614 0.5%
China Construction Bank Corp. Series H.... 85,815,302 66,706,722 0.9%
China Mobile, Ltd. Sponsored ADR.......... 1,161,571 64,281,339 0.8%
China Petroleum & Chemical Corp. ADR...... 176,059 18,568,943 0.3%
#CNOOC, Ltd. ADR........................... 148,376 31,403,780 0.4%
Industrial & Commercial Bank of China,
Ltd. Series H........................... 85,932,725 56,986,397 0.8%
#PetroChina Co., Ltd. ADR.................. 224,129 33,354,878 0.4%
Tencent Holdings, Ltd..................... 781,600 24,471,480 0.3%
Other Securities.......................... 810,127,713 10.6%
-------------- ---------------
TOTAL CHINA.................................. 1,146,583,866 15.0%
-------------- ---------------
COLOMBIA -- (0.3%)
Other Securities.......................... 29,311,100 0.4%
-------------- ---------------
CZECH REPUBLIC -- (0.3%)
Other Securities.......................... 27,947,574 0.4%
-------------- ---------------
EGYPT -- (0.1%)
Other Securities.......................... 6,810,322 0.1%
-------------- ---------------
HUNGARY -- (0.3%)
Other Securities.......................... 26,458,814 0.3%
-------------- ---------------
INDIA -- (7.1%)
ICICI Bank, Ltd. Sponsored ADR............ 621,658 21,067,990 0.3%
Reliance Industries, Ltd.................. 2,258,103 31,850,693 0.4%
Other Securities.......................... 531,793,028 7.0%
-------------- ---------------
TOTAL INDIA.................................. 584,711,711 7.7%
-------------- ---------------
INDONESIA -- (3.3%)
Other Securities.......................... 273,178,534 3.6%
-------------- ---------------
ISRAEL -- (0.0%)
Other Securities.......................... 241,791 0.0%
-------------- ---------------
MALAYSIA -- (3.6%)
CIMB Group Holdings Berhad................ 8,262,914 20,192,137 0.2%
Other Securities.......................... 280,962,976 3.7%
-------------- ---------------
TOTAL MALAYSIA............................... 301,155,113 3.9%
-------------- ---------------
MEXICO -- (4.5%)
America Movil S.A.B. de C.V. Series L ADR. 2,026,039 53,993,939 0.7%
#*Cemex S.A.B. de C.V. Sponsored ADR........ 4,005,330 28,958,534 0.4%
Fomento Economico Mexicano S.A.B. de C.V.
Sponsored ADR........................... 343,303 27,896,802 0.3%
#Grupo Financiero Banorte S.A.B. de C.V.
Series O 5,154,663 24,930,525 0.3%
Grupo Mexico S.A.B. de C.V. Series B...... 7,270,966 22,405,780 0.3%
68
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
MEXICO -- (Continued)
Grupo Televisa S.A.B. Sponsored ADR....... 972,430 $ 21,364,287 0.3%
Other Securities.......................... 190,781,134 2.5%
-------------- ---------------
TOTAL MEXICO................................. 370,331,001 4.8%
-------------- ---------------
PERU -- (0.2%)
Other Securities.......................... 18,457,930 0.2%
-------------- ---------------
PHILIPPINES -- (1.4%)
Other Securities.......................... 114,638,797 1.5%
-------------- ---------------
POLAND -- (1.4%)
Other Securities.......................... 117,580,369 1.5%
-------------- ---------------
RUSSIA -- (3.4%)
Gazprom OAO Sponsored ADR................. 8,860,775 102,626,046 1.3%
Lukoil OAO Sponsored ADR.................. 835,067 51,374,347 0.7%
*Sberbank of Russia Sponsored ADR.......... 1,615,003 20,918,053 0.3%
Other Securities.......................... 106,318,700 1.4%
-------------- ---------------
TOTAL RUSSIA................................. 281,237,146 3.7%
-------------- ---------------
SOUTH AFRICA -- (7.9%)
#AngloGold Ashanti, Ltd. Sponsored ADR..... 735,741 25,294,776 0.3%
Gold Fields, Ltd. Sponsored ADR........... 1,864,480 23,995,858 0.3%
Impala Platinum Holdings, Ltd............. 1,338,071 25,533,486 0.3%
MTN Group, Ltd............................ 2,660,122 45,699,107 0.6%
Naspers, Ltd. Series N.................... 443,094 26,686,465 0.3%
Sanlam, Ltd............................... 4,860,089 20,877,420 0.3%
#Sasol, Ltd. Sponsored ADR................. 741,346 35,162,041 0.5%
Standard Bank Group, Ltd.................. 2,085,623 30,612,709 0.4%
Other Securities.......................... 417,200,923 5.5%
-------------- ---------------
TOTAL SOUTH AFRICA........................... 651,062,785 8.5%
-------------- ---------------
SOUTH KOREA -- (13.7%)
Hana Financial Group, Inc................. 621,672 21,193,512 0.3%
Hyundai Mobis............................. 72,830 19,690,823 0.2%
Hyundai Motor Co., Ltd.................... 249,816 58,974,134 0.8%
#POSCO ADR................................. 378,227 31,487,398 0.4%
#Samsung C&T Corp.......................... 277,640 18,782,254 0.2%
#Samsung Electronics Co., Ltd.............. 129,754 158,813,880 2.1%
Other Securities.......................... 823,072,368 10.8%
-------------- ---------------
TOTAL SOUTH KOREA............................ 1,132,014,369 14.8%
-------------- ---------------
TAIWAN -- (11.0%)
#China Steel Corp.......................... 19,631,584 19,489,853 0.3%
#Hon Hai Precision Industry Co., Ltd....... 11,515,887 34,576,269 0.5%
Taiwan Semiconductor Manufacturing Co.,
Ltd..................................... 20,659,652 61,062,422 0.8%
United Microelectronics Corp.............. 36,228,441 18,950,129 0.2%
Other Securities.......................... 773,062,348 10.1%
-------------- ---------------
TOTAL TAIWAN................................. 907,141,021 11.9%
-------------- ---------------
THAILAND -- (2.7%)
PTT PCL (Foreign)......................... 1,802,280 20,572,367 0.3%
Other Securities.......................... 200,838,416 2.6%
-------------- ---------------
TOTAL THAILAND............................... 221,410,783 2.9%
-------------- ---------------
TURKEY -- (1.7%)
Other Securities.......................... 141,787,097 1.9%
-------------- ---------------
TOTAL COMMON STOCKS.......................... 7,103,893,898 92.9%
-------------- ---------------
69
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
PREFERRED STOCKS -- (5.5%)
BRAZIL -- (5.4%)
Banco Bradesco SA Sponsored ADR........... 4,070,110 $ 65,243,863 0.8%
Cia de Bebidas das Americas SA ADR........ 517,982 21,744,884 0.3%
#Gerdau SA Sponsored ADR................... 2,457,891 23,079,596 0.3%
Itau Unibanco Holding SA ADR.............. 3,496,568 54,861,152 0.7%
Petroleo Brasileiro SA ADR................ 3,411,821 75,605,953 1.0%
#Vale SA Sponsored ADR..................... 2,927,368 63,318,970 0.8%
Other Securities.......................... 141,827,302 1.9%
-------------- ---------------
TOTAL BRAZIL................................. 445,681,720 5.8%
-------------- ---------------
CHILE -- (0.1%)
Other Securities.......................... 6,393,586 0.1%
-------------- ---------------
INDIA -- (0.0%)
Other Securities.......................... 42,195 0.0%
-------------- ---------------
MALAYSIA -- (0.0%)
Other Securities.......................... 100,005 0.0%
-------------- ---------------
TOTAL PREFERRED STOCKS....................... 452,217,506 5.9%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities.......................... 6,584 0.0%
-------------- ---------------
INDIA -- (0.0%)
Other Securities.......................... 19,760 0.0%
-------------- ---------------
MALAYSIA -- (0.0%)
Other Securities.......................... 5,263 0.0%
-------------- ---------------
POLAND -- (0.0%)
Other Securities.......................... 3,942 0.0%
-------------- ---------------
SOUTH KOREA -- (0.0%)
Other Securities.......................... 26,344 0.0%
-------------- ---------------
THAILAND -- (0.0%)
Other Securities.......................... 127,966 0.0%
-------------- ---------------
TURKEY -- (0.0%)
Other Securities.......................... 351,124 0.0%
-------------- ---------------
TOTAL RIGHTS/WARRANTS........................ 540,983 0.0%
-------------- ---------------
SHARES/ FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (8.6%)
(S)@DFA Short Term Investment Fund........... 715,000,000 715,000,000 9.4%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $661,413) to be repurchased
at $648,448 $ 648 648,444 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL.......... 715,648,444 9.4%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,520,939,546)...................... $8,272,300,831 108.2%
============== ===============
70
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Brazil..................... $ 606,524,045 $ 31,007 -- $ 606,555,052
Chile...................... 145,278,723 -- -- 145,278,723
China...................... 197,856,831 948,727,035 -- 1,146,583,866
Colombia................... 29,311,100 -- -- 29,311,100
Czech Republic............. -- 27,947,574 -- 27,947,574
Egypt...................... -- 6,810,322 -- 6,810,322
Hungary.................... 453,661 26,005,153 -- 26,458,814
India...................... 44,797,529 539,914,182 -- 584,711,711
Indonesia.................. 8,023,835 265,154,699 -- 273,178,534
Israel..................... -- 241,791 -- 241,791
Malaysia................... -- 301,155,113 -- 301,155,113
Mexico..................... 370,331,001 -- -- 370,331,001
Peru....................... 18,457,930 -- -- 18,457,930
Philippines................ 2,325,576 112,313,221 -- 114,638,797
Poland..................... -- 117,580,369 -- 117,580,369
Russia..................... 10,978,472 270,258,674 -- 281,237,146
South Africa............... 94,407,569 556,655,216 -- 651,062,785
South Korea................ 75,146,331 1,056,868,038 -- 1,132,014,369
Taiwan..................... 23,019,885 884,121,136 -- 907,141,021
Thailand................... 221,404,510 6,273 -- 221,410,783
Turkey..................... 3,009,487 138,777,610 -- 141,787,097
Preferred Stocks
Brazil..................... 445,676,278 5,442 -- 445,681,720
Chile...................... 6,393,586 -- -- 6,393,586
India...................... -- 42,195 -- 42,195
Malaysia................... -- 100,005 -- 100,005
Rights/Warrants
Brazil..................... 4,202 2,382 -- 6,584
India...................... -- 19,760 -- 19,760
Malaysia................... -- 5,263 -- 5,263
Poland..................... -- 3,942 -- 3,942
South Korea................ -- 26,344 -- 26,344
Thailand................... -- 127,966 -- 127,966
Turkey..................... -- 351,124 -- 351,124
Securities Lending Collateral -- 715,648,444 -- 715,648,444
-------------- -------------- ------ --------------
TOTAL......................... $2,303,400,551 $5,968,900,280 -- $8,272,300,831
============== ============== ====== ==============
See accompanying Notes to Financial Statements.
71
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(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........................................... -- $ 7,990,237 -- --
Investments at Value (including $0, $0, $432,437
and $946,865 of securities on loan,
respectively)................................... $ 186,927 -- $ 2,913,987 $ 7,080,211
Temporary Cash Investments at Value & Cost........ 4,469 -- 3,300 14,324
Collateral Received from Securities on Loan at
Value & Cost.................................... -- -- 1,697 1,211
Affiliated Collateral Received from Securities on
Loan at Value & Cost............................ -- -- 442,940 977,105
Foreign Currencies at Value....................... 5,247 -- -- --
Receivables:
Investment Securities/Affiliated Investment
Company Sold................................. 1,345 -- -- 13,522
Dividends and Interest......................... 1,774 -- 826 2,697
Securities Lending Income...................... -- -- 220 521
Fund Shares Sold............................... 47 4,553 1,614 1,713
Unrealized Gain on Forward Currency Contracts..... 191 -- -- --
Prepaid Expenses and Other Assets................. 21 25 14 46
------------ -------------- ------------ --------------
Total Assets............................... 200,021 7,994,815 3,364,598 8,091,350
------------ -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... -- -- 444,637 978,316
Investment Securities/Affiliated Investment
Company Purchased............................ 9,416 1,481 26 16,033
Fund Shares Redeemed........................... 108 3,072 2,900 3,738
Due to Advisor................................. 31 994 848 2,939
Futures Margin Variation....................... 642 -- -- --
Unrealized Loss on Forward Currency Contracts..... 155 -- -- --
Accrued Expenses and Other Liabilities............ 18 311 131 349
------------ -------------- ------------ --------------
Total Liabilities.......................... 10,370 5,858 448,542 1,001,375
------------ -------------- ------------ --------------
NET ASSETS........................................ $ 189,651 $ 7,988,957 $ 2,916,056 $ 7,089,975
============ ============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R1 Shares -- based on net assets of $0; $0;
$48,897 and $0 and shares outstanding of 0; 0;
2,895,514 and 0, respectively................... N/A N/A $ 16.89 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;
$12,516 and $0 and shares outstanding of 0; 0;
742,094 and 0, respectively..................... N/A N/A $ 16.87 N/A
============ ============== ============ ==============
NUMBER OF SHARES AUTHORIZED....................... N/A N/A 100,000,000 N/A
============ ============== ============ ==============
Institutional Class Shares -- based on net assets
of $189,651; $7,988,957; $2,854,643 and
$7,089,975 and shares outstanding of
20,851,310; 378,220,704; 169,047,451 and
274,400,360, respectively ...................... $ 9.10 $ 21.12 $ 16.89 $ 25.84
============ ============== ============ ==============
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............................................ $ -- $ 6,093,995 $ -- $ --
------------ -------------- ------------ --------------
Investments at Cost............................... $ 184,591 $ -- $ 2,471,803 $ 6,277,407
============ ============== ============ ==============
Foreign Currencies at Cost........................ $ 5,270 $ -- $ -- $ --
============ ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 237,698 $ 7,550,565 $ 2,370,072 $ 6,091,356
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)......................................... 754 19,055 3,779 5,159
Accumulated Net Realized Gain (Loss).............. (58,976) (1,476,905) 100,021 190,656
Net Unrealized Foreign Exchange Gain (Loss)....... 40 -- -- --
Net Unrealized Appreciation (Depreciation)........ 10,135 1,896,242 442,184 802,804
------------ -------------- ------------ --------------
NET ASSETS........................................ $ 189,651 $ 7,988,957 $ 2,916,056 $ 7,089,975
============ ============== ============ ==============
See accompanying Notes to Financial Statements.
72
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(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 $656,401,
$1,018,892, $303,510 and $965,402 of securities
on loan, respectively).......................... $ 4,580,833 $ 6,621,031 $ 1,960,642 $ 4,272,232
Temporary Cash Investments at Value & Cost........ 19,569 21,759 12,432 23,640
Collateral Received from Securities on Loan at
Value & Cost.................................... 334 297 662 488
Affiliated Collateral Received from Securities on
Loan at Value & Cost............................ 672,766 1,044,972 311,019 992,082
Receivables:
Investment Securities Sold..................... 196 176 54 7,889
Dividends and Interest......................... 3,475 5,117 1,215 1,168
Securities Lending Income...................... 270 434 174 644
Fund Shares Sold............................... 8,018 12,676 1,602 3,184
Prepaid Expenses and Other Assets................. 7 4 6 22
-------------- -------------- -------------- --------------
Total Assets............................... 5,285,468 7,706,466 2,287,806 5,301,349
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... 673,100 1,045,269 311,681 992,570
Investment Securities Purchased................ 6,896 14,014 2,681 21,179
Fund Shares Redeemed........................... 3,274 3,521 989 1,920
Due to Advisor................................. 645 1,095 508 1,240
Accrued Expenses and Other Liabilities............ 171 290 105 204
-------------- -------------- -------------- --------------
Total Liabilities.......................... 684,086 1,064,189 315,964 1,017,113
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 4,601,382 $ 6,642,277 $ 1,971,842 $ 4,284,236
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets
of $4,601,382; $6,642,277; $1,971,842 and
$4,284,236 and shares outstanding of
383,292,932; 563,141,132; 172,612,522 and
187,994,083, respectively....................... $ 12.00 $ 11.80 $ 11.42 $ 22.79
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... 1,500,000,000 2,300,000,000 1,000,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost............................... $ 3,855,667 $ 5,719,241 $ 1,743,708 $ 3,583,129
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 3,899,965 $ 5,691,492 $ 1,753,588 $ 3,465,517
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income) 11,205 16,734 4,973 9,849
Accumulated Net Realized Gain (Loss).............. (34,954) 32,261 (3,653) 119,767
Net Unrealized Appreciation (Depreciation)........ 725,166 901,790 216,934 689,103
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 4,601,382 $ 6,642,277 $ 1,971,842 $ 4,284,236
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
73
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(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 $470,190,
$601,091, $355,292 and $980,660 of securities
on loan, respectively).......................... $ 3,542,106 $ 3,566,467 $ 1,940,386 $ 5,851,206
Temporary Cash Investments at Value & Cost........ 23,806 30,065 -- --
Collateral Received from Securities on Loan at
Value & Cost.................................... 548 564 819 371
Affiliated Collateral Received from Securities on
Loan at Value & Cost............................ 484,821 615,643 374,000 1,041,000
Foreign Currencies at Value....................... -- -- 4,781 8,585
Cash.............................................. -- -- 5,550 40,279
Receivables:
Investment Securities Sold..................... 7,077 -- 11 631
Dividends, Interest and Tax Reclaims........... 1,167 2,818 11,384 33,113
Securities Lending Income...................... 422 80 585 1,955
Fund Shares Sold............................... 921 3,751 940 12,977
Unrealized Gain on Foreign Currency Contracts..... -- -- 7 10
Prepaid Expenses and Other Assets................. 29 14 14 10
-------------- ------------ ------------ --------------
Total Assets............................... 4,060,897 4,219,402 2,338,477 6,990,137
-------------- ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... 485,369 616,207 374,819 1,041,371
Investment Securities Purchased................ 20,221 -- 5,747 21,066
Fund Shares Redeemed........................... 4,366 3,542 1,367 2,256
Due to Advisor................................. 1,470 454 403 1,698
Accrued Expenses and Other Liabilities............ 199 166 121 369
-------------- ------------ ------------ --------------
Total Liabilities.......................... 511,625 620,369 382,457 1,066,760
-------------- ------------ ------------ --------------
NET ASSETS........................................ $ 3,549,272 $ 3,599,033 $ 1,956,020 $ 5,923,377
============== ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets
of $3,549,272; $3,599,033; $1,956,020 and
$5,923,377 and shares outstanding of
242,627,512; 136,986,387; 106,659,165 and
580,956,645, respectively....................... $ 14.63 $ 26.27 $ 18.34 $ 10.20
============== ============ ============ ==============
NUMBER OF SHARES AUTHORIZED....................... 1,500,000,000 700,000,000 500,000,000 2,000,000,000
============== ============ ============ ==============
Investments at Cost............................... $ 3,017,333 $ 2,439,448 $ 1,798,788 $ 6,158,408
============== ============ ============ ==============
Foreign Currencies at Cost........................ $ -- $ -- $ 4,759 $ 8,300
============== ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 2,908,059 $ 2,721,886 $ 2,010,247 $ 6,261,861
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)......................................... 8,356 14,891 15,573 41,482
Accumulated Net Realized Gain (Loss).............. 108,084 (264,763) (211,604) (73,610)
Net Unrealized Foreign Exchange Gain (Loss)....... -- -- 184 561
Net Unrealized Appreciation (Depreciation)........ 524,773 1,127,019 141,620 (306,917)
-------------- ------------ ------------ --------------
NET ASSETS........................................ $ 3,549,272 $ 3,599,033 $ 1,956,020 $ 5,923,377
============== ============ ============ ==============
See accompanying Notes to Financial Statements.
74
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASIA UNITED
INTERNATIONAL JAPANESE PACIFIC KINGDOM
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ ------------ ------------
ASSETS:
Investments in Affiliated Investment Companies at
Value........................................... $ 6,196,719 $ 322,209 $ 202,844 $ 30,296
Temporary Cash Investments at Value & Cost........ 6,391 -- -- --
Receivables:
Interest....................................... 2 -- -- --
Fund Shares Sold............................... 2,192 -- 242 30
Prepaid Expenses and Other Assets................. 9 7 3 6
-------------- ------------ ------------ ------------
Total Assets............................... 6,205,313 322,216 203,089 30,332
-------------- ------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased...... -- -- 229 30
Fund Shares Redeemed........................... 2,360 -- 13 --
Due to Advisor................................. 2,047 106 67 10
Accrued Expenses and Other Liabilities............ 238 14 11 4
-------------- ------------ ------------ ------------
Total Liabilities.......................... 4,645 120 320 44
-------------- ------------ ------------ ------------
NET ASSETS........................................ $ 6,200,668 $ 322,096 $ 202,769 $ 30,288
============== ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets
of $6,200,668; $322,096; $202,769 and $30,288
and shares outstanding of 396,450,180;
19,640,431; 8,613,802 and 1,148,140,
respectively.................................... $ 15.64 $ 16.40 $ 23.54 $ 26.38
============== ============ ============ ============
NUMBER OF SHARES AUTHORIZED....................... 1,500,000,000 100,000,000 100,000,000 100,000,000
============== ============ ============ ============
Investments in Affiliated Investment Companies at
Cost............................................ $ 6,009,154 $ 364,848 $ 192,688 $ 24,967
============== ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 5,942,610 $ 441,612 $ 215,389 $ 26,838
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)......................................... 5,342 2,507 (2,246) 90
Accumulated Net Realized Gain (Loss).............. 64,541 (79,521) (20,527) (1,976)
Net Unrealized Foreign Exchange Gain (Loss)....... 610 137 (3) 7
Net Unrealized Appreciation (Depreciation)........ 187,565 (42,639) 10,156 5,329
-------------- ------------ ------------ ------------
NET ASSETS........................................ $ 6,200,668 $ 322,096 $ 202,769 $ 30,288
============== ============ ============ ============
See accompanying Notes to Financial Statements.
75
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(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........................................... $ 120,534 -- $ 1,127,044 --
Investments at Value (including $0, $171,422, $0
and $958,751 of securities on loan,
respectively)................................... -- $ 1,214,956 -- $ 8,031,390
Temporary Cash Investments at Value & Cost........ -- -- 2,144 --
Collateral Received from Securities on Loan at
Value & Cost.................................... -- 486 -- 501
Affiliated Collateral Received from Securities on
Loan at Value & Cost............................ -- 180,000 -- 1,022,000
Foreign Currencies at Value....................... -- 5,734 -- 56,708
Cash.............................................. -- 11,026 -- 36,348
Receivables:
Investment Securities/Affiliated Investment
Companies Sold............................... -- 3,934 -- 8,052
Dividends, Interest and Tax Reclaims........... -- 10,717 -- 47,405
Securities Lending Income...................... -- 210 -- 2,686
Fund Shares Sold............................... 7 1,156 1,631 5,748
Unrealized Gain on Foreign Currency Contracts..... -- 6 -- 86
Prepaid Expenses and Other Assets................. 4 13 17 20
------------ ------------ ------------ --------------
Total Assets............................... 120,545 1,428,238 1,130,836 9,210,944
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... -- 180,486 -- 1,022,501
Investment Securities/Affiliated Investment
Companies Purchased.......................... 7 7,445 1,010 21,620
Fund Shares Redeemed........................... -- 1,109 239 3,109
Due to Advisor................................. 40 349 36 4,371
Unrealized Loss on Foreign Currency Contracts..... -- -- -- 1
Accrued Expenses and Other Liabilities............ 13 65 26 728
------------ ------------ ------------ --------------
Total Liabilities.......................... 60 189,454 1,311 1,052,330
------------ ------------ ------------ --------------
NET ASSETS........................................ $ 120,485 $ 1,238,784 $ 1,129,525 $ 8,158,614
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Cass Shares -- based on net assets
of $120,485; $1,238,784; $1,129,525 and
$8,158,614 and shares outstanding of 8,082,429;
247,579,071; 127,072,502 and 529,545,862,
respectively.................................... $ 14.91 $ 5.00 $ 8.89 $ 15.41
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED....................... 100,000,000 700,000,000 500,000,000 2,300,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at
Cost............................................ $ 122,332 $ -- $ 868,353 $ --
------------ ------------ ------------ --------------
Investments at Cost............................... $ -- $ 1,193,968 $ -- $ 8,698,883
============ ============ ============ ==============
Foreign Currencies at Cost........................ $ -- $ 5,705 $ -- $ 51,269
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 147,780 $ 1,504,270 $ 901,921 $ 8,608,728
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)......................................... 1,008 (75,062) (218) 41,638
Accumulated Net Realized Gain (Loss).............. (26,542) (211,697) (30,869) 169,243
Net Unrealized Foreign Exchange Gain (Loss)....... 37 256 -- 1,059
Net Unrealized Appreciation (Depreciation)........ (1,798) 21,017 258,691 (662,054)
------------ ------------ ------------ --------------
NET ASSETS........................................ $ 120,485 $ 1,238,784 $ 1,129,525 $ 8,158,614
============ ============ ============ ==============
See accompanying Notes to Financial Statements.
76
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL SELECTIVELY
VECTOR WORLD EX HEDGED GLOBAL EMERGING
EQUITY U.S. VALUE EQUITY MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------- ------------
ASSETS:
Investments in Affiliated Investment Companies at Value.......... -- $ 55,221 $ 23,715 $ 2,678,054
Investments at Value (including $66,982, $0, $0 and $0 of
securities on loan, respectively).............................. $ 527,965 -- -- --
Temporary Cash Investments at Value & Cost....................... -- 53 903 --
Segregated Cash for Futures Contracts............................ -- -- 42 --
Collateral Received from Securities on Loan at Value & Cost...... 2,318 -- -- --
Affiliated Collateral Received from Securities on Loan at
Value & Cost................................................... 69,000 -- -- --
Foreign Currencies at Value...................................... 2,992 -- -- --
Cash............................................................. 1,345 -- -- --
Receivables:
Investment Securities/Affiliated Investment Companies Sold.... 35 -- -- --
Dividends, Interest and Tax Reclaims.......................... 3,075 -- -- --
Securities Lending Income..................................... 168 -- -- --
Fund Shares Sold.............................................. 539 40 78 2,972
From Advisor.................................................. -- -- 7 --
Unrealized Gain on Foreign Currency Contracts.................... 12 -- -- --
Prepaid Expenses and Other Assets................................ 5 4 1 29
Deferred Offering Costs.......................................... -- -- 33 --
------------ ------------ ------------ ------------
Total Assets.............................................. 607,454 55,318 24,779 2,681,055
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. 71,318 -- -- --
Investment Securities/Affiliated Investment Companies
Purchased................................................... 2,972 -- -- 2,079
Fund Shares Redeemed.......................................... 333 -- -- 893
Due to Advisor................................................ 197 12 -- 889
Futures Margin Variation...................................... -- -- 3 --
Unrealized Loss on Foreign Currency Contracts.................... -- -- 44 --
Accrued Expenses and Other Liabilities........................... 7 6 3 118
------------ ------------ ------------ ------------
Total Liabilities......................................... 74,827 18 50 3,979
------------ ------------ ------------ ------------
NET ASSETS....................................................... $ 532,627 $ 55,300 $ 24,729 $ 2,677,076
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $532,627;
$55,300; $24,729 and $2,677,076 and shares outstanding of
56,093,365; 5,511,691; 2,277,951 and 100,946,220, respectively. $ 9.50 $ 10.03 $ 10.86 $ 26.52
============ ============ ============ ============
NUMBER OF SHARES AUTHORIZED...................................... 500,000,000 100,000,000 100,000,000 500,000,000
============ ============ ============ ============
Investments in Affiliated Investment Companies at Cost........... $ -- $ 52,769 $ -- $ 1,634,526
------------ ------------ ------------ ------------
Investments at Cost.............................................. $ 474,264 $ -- $ 22,131 $ --
============ ============ ============ ============
Foreign Currencies at Cost....................................... $ 2,977 $ -- $ -- $ --
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 474,053 $ 58,757 $ 23,002 $ 1,607,016
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 3,333 360 25 8,233
Accumulated Net Realized Gain (Loss)............................. 1,471 (6,258) 149 18,383
Net Unrealized Foreign Exchange Gain (Loss)...................... 54 (11) (44) (84)
Net Unrealized Appreciation (Depreciation)....................... 53,716 2,452 1,597 1,043,528
------------ ------------ ------------ ------------
NET ASSETS....................................................... $ 532,627 $ 55,300 $ 24,729 $ 2,677,076
============ ============ ============ ============
See accompanying Notes to Financial Statements.
77
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(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....... $ 2,519,117 $ 15,982,617 --
Investments at Value (including $0, $0 and $848,508 of
securities on loan, respectively)......................... -- -- $ 7,556,652
Collateral Received from Securities on Loan at Value & Cost. -- -- 648
Affiliated Collateral Received from Securities on Loan at
Value & Cost.............................................. -- -- 715,000
Foreign Currencies at Value................................. -- -- 8,050
Cash........................................................ -- -- 88,200
Receivables:
Investment Securities/Affiliated Investment Companies
Sold................................................... -- -- 107
Dividends, Interest and Tax Reclaims..................... -- -- 19,711
Securities Lending Income................................ -- -- 1,560
Fund Shares Sold......................................... 979 99,766 11,399
Unrealized Gain on Foreign Currency Contracts............... -- -- 2
Prepaid Expenses and Other Assets........................... 23 -- 43
------------ -------------- --------------
Total Assets......................................... 2,520,119 16,082,383 8,401,372
------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... -- -- 715,648
Investment Securities/Affiliated Investment Company
Purchased.............................................. 653 96,381 37,004
Fund Shares Redeemed..................................... 326 3,385 1,846
Due to Advisor........................................... 902 5,335 3,468
Accrued Expenses and Other Liabilities...................... 64 438 530
------------ -------------- --------------
Total Liabilities.................................... 1,945 105,539 758,496
------------ -------------- --------------
NET ASSETS.................................................. $ 2,518,174 $ 15,976,844 $ 7,642,876
============ ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $103,576 and
$0 and shares outstanding of 0; 3,570,750 and 0,
respectively.............................................. N/A $ 29.01 N/A
============ ============== ==============
NUMBER OF SHARES AUTHORIZED................................. N/A 100,000,000 N/A
============ ============== ==============
Institutional Class Shares -- based on net assets of
$2,518,174; $15,873,268 and $7,642,876 and shares
outstanding of 123,445,877; 546,696,881 and 393,908,451,
respectively.............................................. $ 20.40 $ 29.03 $ 19.40
============ ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 500,000,000 1,500,000,000 1,000,000,000
============ ============== ==============
Investments in Affiliated Investment Company at Cost........ $ 2,164,179 $ 15,630,502 $ --
------------ -------------- --------------
Investments at Cost......................................... $ -- $ -- $ 6,805,291
============ ============== ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ 8,061
============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 2,122,544 $ 15,471,978 $ 6,898,180
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income).......................... 74 9,288 19,968
Accumulated Net Realized Gain (Loss)........................ 40,731 143,283 (26,439)
Net Unrealized Foreign Exchange Gain (Loss)................. (113) 180 (183)
Net Unrealized Appreciation (Depreciation).................. 354,938 352,115 751,350
------------ -------------- --------------
NET ASSETS.................................................. $ 2,518,174 $ 15,976,844 $ 7,642,876
============ ============== ==============
--------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
78
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
ENHANCED U.S. U.S.
U.S. LARGE LARGE CAP SMALL CAP
COMPANY VALUE U.S. TARGETED VALUE
PORTFOLIO PORTFOLIO* VALUE PORTFOLIO PORTFOLIO
---------- ---------- --------------- ----------
INVESTMENT INCOME
Dividends.......................................... $ 61 $ 81,667 $ 16,863 $ 38,673
Interest........................................... 870 10 11 15
Income from Securities Lending..................... -- 4,367 1,226 3,696
Expenses Allocated from Affiliated Investment
Company.......................................... -- (4,464) -- --
---------- ---------- --------------- ----------
Total Investment Income..................... 931 81,580 18,100 42,384
---------- ---------- --------------- ----------
EXPENSES
Investment Advisory Services Fees.................. 45 -- 1,377 6,814
Administrative Services Fees....................... 134 5,736 3,442 10,222
Accounting & Transfer Agent Fees................... 20 47 153 361
S&P 500(R) Fees.................................... 5 -- -- --
Shareholder Servicing Fees --
Class R1 Shares................................ -- -- 24 --
Class R2 Shares................................ -- -- 14 --
Custodian Fees..................................... 6 -- 31 60
Filing Fees........................................ 17 76 84 63
Shareholders' Reports.............................. 3 106 57 93
Directors'/Trustees' Fees & Expenses............... 1 29 10 28
Professional Fees.................................. 2 47 35 93
Other.............................................. 1 32 24 60
---------- ---------- --------------- ----------
Total Expenses.............................. 234 6,073 5,251 17,794
---------- ---------- --------------- ----------
NET INVESTMENT INCOME (LOSS)....................... 697 75,507 12,849 24,590
---------- ---------- --------------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold..................... 127 174,166 97,002 199,092
Futures........................................ 21,975 -- 3,336 628
Foreign Currency Transactions.................. (585) -- -- --
Change in Unrealized Appreciation
(Depreciation) of:...............................
Investment Securities.......................... 769 525,053 189,172 539,736
Futures........................................ (1,590) -- -- (536)
Translation of Foreign Currency
Denominated Amounts.......................... 346 -- -- --
---------- ---------- --------------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)............ 21,042 699,219 289,510 738,920
---------- ---------- --------------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS..................................... $ 21,739 $ 774,726 $ 302,359 $ 763,510
========== ========== =============== ==========
--------
* 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.
79
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
U.S. U.S. U.S. U.S.
CORE CORE VECTOR SMALL
EQUITY 1 EQUITY 2 EQUITY CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- ---------
INVESTMENT INCOME
Dividends............................. $ 37,642 $ 55,833 $ 15,691 $ 26,825
Interest.............................. 16 14 6 9
Income from Securities Lending........ 1,584 2,769 1,185 3,719
-------- -------- -------- --------
Total Investment Income........ 39,242 58,616 16,882 30,553
-------- -------- -------- --------
EXPENSES
Investment Advisory Services Fees..... 3,525 6,196 2,929 606
Administrative Services Fees.......... -- -- -- 6,465
Accounting & Transfer Agent Fees...... 221 326 110 218
Custodian Fees........................ 47 50 24 47
Filing Fees........................... 115 116 59 66
Shareholders' Reports................. 29 57 27 53
Directors'/Trustees' Fees & Expenses.. 14 23 7 15
Professional Fees..................... 48 78 25 52
Other................................. 23 40 14 28
-------- -------- -------- --------
Total Expenses................. 4,022 6,886 3,195 7,550
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS).......... 35,220 51,730 13,687 23,003
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received
from Affiliated Investment
Companies........................... 36 105 18 --
Net Realized Gain (Loss) on:
Investment Securities Sold........ 14,736 50,158 34,151 144,019
Futures........................... -- -- (850) --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities............. 431,153 602,868 170,239 268,274
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS).............................. 445,925 653,131 203,558 412,293
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.............. $481,145 $704,861 $217,245 $435,296
======== ======== ======== ========
See accompanying Notes to Financial Statements.
80
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
U.S. DFA
MICRO REAL ESTATE LARGE CAP INTERNATIONAL
CAP SECURITIES INTERNATIONAL CORE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ----------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $3, $0, $2,735
and $7,129, respectively)........... $ 23,531 $ 42,705 $ 32,721 $ 90,643
Interest.............................. 6 16 -- 1
Income from Securities Lending........ 2,938 567 1,477 5,830
-------- -------- -------- --------
Total Investment Income........ 26,475 43,288 34,198 96,474
-------- -------- -------- --------
EXPENSES
Investment Advisory Services
Fees................................ 1,696 4,062 2,301 9,625
Administrative Services Fees.......... 6,785 -- -- --
Accounting & Transfer Agent Fees...... 185 175 108 294
Custodian Fees........................ 34 16 207 626
Filing Fees........................... 40 57 39 150
Shareholders' Reports................. 49 63 42 68
Directors'/Trustees' Fees &
Expenses............................ 14 12 7 21
Professional Fees..................... 45 38 23 70
Other................................. 28 21 17 57
-------- -------- -------- --------
Total Expenses................. 8,876 4,444 2,744 10,911
-------- -------- -------- --------
Fees Waived, Expenses
Reimbursed, and/or Previously
Waived Fees Recovered by
Advisor (Note C).................... -- (73) -- --
Fees Paid Indirectly.................. -- -- (4) (10)
-------- -------- -------- --------
Net Expenses.......................... 8,876 4,371 2,740 10,901
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS).......... 17,599 38,917 31,458 85,573
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions
Received from Investment
Securities.......................... -- 8,786 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold........ 147,503 (1,870) (10,627) (19,641)
Futures........................... -- (46) -- --
Foreign Currency
Transactions*................... -- -- (250) (398)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency................ 187,622 404,906 49,373 160,136
Translation of Foreign
Currency Denominated
Amounts......................... -- -- 214 662
-------- -------- -------- --------
NET REALIZED AND UNREALIZED
GAIN (LOSS)......................... 335,125 411,776 38,710 140,759
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $352,724 $450,693 $ 70,168 $226,332
======== ======== ======== ========
--------
* Net of foreign capital taxes withheld of $0, $0, $1, and $0, respectively.
See accompanying Notes to Financial Statements.
81
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(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 $6,614, $262,
$75, and $0, respectively)........... $ 77,079 $ 3,496 $ 2,817 $ 473
Interest............................... 2 -- -- --
Income from Securities Lending......... 8,164 193 306 4
Expenses Allocated from
Affiliated Investment
Companies............................ (4,239) (163) (141) (20)
-------- ------- ------- ------
Total Net Investment
Income Received From
Affiliated Investment
Companies..................... 81,006 3,526 2,982 457
-------- ------- ------- ------
FUND INVESTMENT INCOME
Interest............................... 12 -- -- --
-------- ------- ------- ------
Total Fund Investment
Income........................ 12 -- -- --
-------- ------- ------- ------
FUND EXPENSES
Administrative Services Fees........... 11,754 481 345 63
Accounting & Transfer Agent Fees....... 38 8 8 7
Filing Fees............................ 90 17 18 12
Shareholders' Reports.................. 85 1 2 1
Directors'/Trustees' Fees &
Expenses............................. 24 1 1 --
Audit Fees............................. 7 1 1 1
Legal Fees............................. 34 -- -- --
Other.................................. 24 1 1 --
-------- ------- ------- ------
Total Expenses.................. 12,056 510 376 84
-------- ------- ------- ------
Fees Waived, Expenses
Reimbursed, and/or Previously
Waived Fees Recovered by
Advisor (Note C)..................... -- -- -- (10)
-------- ------- ------- ------
Net Expenses........................... 12,056 510 376 74
-------- ------- ------- ------
NET INVESTMENT INCOME (LOSS)........... 68,962 3,016 2,606 383
-------- ------- ------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold......... 73,420 (4,809) 6,945 67
Foreign Currency
Transactions**................... (134) (19) (1) (2)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency................. 223,293 20,155 4,323 3,897
Futures............................ -- -- -- --
Translation of Foreign
Currency Denominated
Amounts.......................... 501 151 (19) 1
-------- ------- ------- ------
NET REALIZED AND UNREALIZED
GAIN (LOSS).......................... 297,080 15,478 11,248 3,963
-------- ------- ------- ------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS........ $366,042 $18,494 $13,854 $4,346
======== ======= ======= ======
--------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from each Portfolio's Master Fund (Affiliated Investment Companies).
** Net of foreign capital gain taxes withheld of $3, $0, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
82
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(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 $215, $0, $0 and $0,
respectively)......................................................... $1,474 -- -- --
Income Distributions Received from Affiliated Investment Company........ -- -- $ 24,545 --
Income from Securities Lending.......................................... 282 -- -- --
Expenses Allocated from Affiliated Investment Company................... (89) -- -- --
------ -------- -------- --------
Total Net Investment Income Received from Affiliated
Investment Company............................................. 1,667 -- 24,545 --
------ -------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $2,553, $0 and $7,858,
respectively)......................................................... -- $ 33,894 -- $ 99,613
Interest................................................................ -- -- 2 --
Income from Securities Lending.......................................... -- 541 -- 10,389
------ -------- -------- --------
Total Fund Investment Income..................................... -- 34,435 2 110,002
------ -------- -------- --------
FUND EXPENSES
Investment Advisory Services Fees....................................... -- 1,907 1,522 24,688
Administrative Services Fees............................................ 229 -- -- --
Accounting & Transfer Agent Fees........................................ 7 68 11 403
Custodian Fees.......................................................... -- 140 -- 1,107
Filing Fees............................................................. 14 27 22 108
Shareholders' Reports................................................... 2 30 13 116
Directors'/Trustees' Fees & Expenses.................................... -- 4 3 31
Audit Fees.............................................................. 1 9 3 62
Legal Fees.............................................................. -- 6 4 50
Other................................................................... 1 12 3 82
------ -------- -------- --------
Total Expenses................................................... 254 2,203 1,581 26,647
------ -------- -------- --------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... -- -- (1,355) --
Fees Paid Indirectly.................................................... -- (3) -- (16)
------ -------- -------- --------
Net Expenses............................................................ 254 2,200 226 26,631
------ -------- -------- --------
NET INVESTMENT INCOME (LOSS)............................................ 1,413 32,235 24,321 83,371
------ -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................... (436) (32,108) (2,736) 178,349
Foreign Currency Transactions**..................................... (7) 176 -- (5,662)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 1,405 87,053 90,971 246,273
Translation of Foreign Currency Denominated Amounts................. (13) 264 -- 1,206
------ -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................. 949 55,385 88,235 420,166
------ -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $2,362 $ 87,620 $112,556 $503,537
====== ======== ======== ========
--------
* 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, $0, $0, and $10,
respectively.
See accompanying Notes to Financial Statements.
83
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INTERNATIONAL SELECTIVELY EMERGING
VECTOR EQUITY WORLD EX U.S. HEDGED GLOBAL MARKETS
PORTFOLIO VALUE PORTFOLIO*** EQUITY PORTFOLIO(a) PORTFOLIO*
------------- ------------------ ------------------- ----------
INVESTMENT INCOME
Net Investment Income Received from
Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of
$0, $59, $0 and $2,179, respectively).......... -- $ 732 -- $ 21,326
Income Distributions Received from
Affiliated Investment Companies................ -- 37 $ 168 --
Income from Securities Lending................... -- 43 -- 2,261
Expenses Allocated from Affiliated
Investment Companies........................... -- (55) -- (2,300)
------------- ------------------ ------------------- ----------
Total Investment Income................... -- 757 168 21,287
------------- ------------------ ------------------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$571, $0, $0 and $0, respectively)............. $ 7,588 -- -- --
Interest......................................... -- -- 1 --
Income from Securities Lending................... 502 -- -- --
------------- ------------------ ------------------- ----------
Total Fund Investment Income.............. 8,090 -- 1 --
------------- ------------------ ------------------- ----------
FUND EXPENSES
Investment Advisory Services Fees................ 1,065 127 30 --
Administrative Services Fees..................... -- -- -- 4,965
Accounting & Transfer Agent Fees................. 37 6 6 20
Custodian Fees................................... 139 -- -- --
Filing Fees...................................... 17 20 -- 33
Shareholders' Reports............................ 6 -- -- 52
Directors'/Trustees' Fees & Expenses............. 2 -- -- 10
Professional Fees................................ 6 3 3 17
Organizational & Offering Costs.................. -- -- 28 --
Other............................................ 5 1 -- 10
------------- ------------------ ------------------- ----------
Total Expenses............................ 1,277 157 67 5,107
------------- ------------------ ------------------- ----------
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by
Advisor (Note C)............................... -- (66) (63) --
Fees Paid Indirectly............................. (2) -- -- --
------------- ------------------ ------------------- ----------
Net Expenses..................................... 1,275 91 4 5,107
------------- ------------------ ------------------- ----------
NET INVESTMENT INCOME (LOSS)..................... 6,815 666 165 16,180
------------- ------------------ ------------------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from
Affiliated Investment Companies................ -- 80 -- --
Net Realized Gain (Loss) on:.....................
Investment Securities Sold................... 2,342 (222) -- 19,769
Futures...................................... -- -- 43 --
Foreign Currency Transactions**.............. (64) (6) 106 (445)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................... 18,027 970 1,584 80,559
Futures...................................... -- -- 13 --
Translation of Foreign Currency
Denominated Amounts........................ 50 5 (44) (33)
------------- ------------------ ------------------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS).......... 20,355 827 1,702 99,850
------------- ------------------ ------------------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................... $ 27,170 $ 1,493 $ 1,867 $ 116,030
============= ================== =================== ==========
--------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
** Net of foreign capital gain taxes withheld of $1, $0, $0, and $13,
respectively.
*** Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Funds (Affiliated Investment
Companies).
(a) The Portfolio commenced operations on November 14, 2011.
See accompanying Notes to Financial Statements.
84
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
EMERGING EMERGING EMERGING
MARKETS MARKETS MARKETS
SMALL CAP VALUE CORE EQUITY
PORTFOLIO* PORTFOLIO* PORTFOLIO
---------- ---------- -----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$1,502, $11,363 and $6,009, respectively)...... $ 18,098 $ 111,479 $ 56,294
Interest......................................... -- 1 --
Income from Securities Lending................... 2,495 12,516 7,856
Expenses Allocated from Affiliated
Investment Company............................. (3,354) (14,150) --
---------- ---------- -----------
Total Investment Income................... 17,239 109,846 64,150
---------- ---------- -----------
EXPENSES
Investment Advisory Services Fees................ -- -- 17,802
Administrative Services Fees..................... 4,647 29,820 --
Accounting & Transfer Agent Fees................. 18 88 342
Shareholder Servicing Fees -- Class R2 Shares.... -- 119 --
Custodian Fees................................... -- -- 2,576
Filing Fees...................................... 42 204 110
Shareholders' Reports............................ 26 123 80
Directors'/Trustees' Fees & Expenses............. 8 54 20
Professional Fees................................ 13 87 96
Other............................................ 7 48 42
---------- ---------- -----------
Total Expenses............................ 4,761 30,543 21,068
---------- ---------- -----------
Fees Paid Indirectly............................. -- -- (51)
---------- ---------- -----------
Net Expenses..................................... 4,761 30,543 21,017
---------- ---------- -----------
NET INVESTMENT INCOME (LOSS)..................... 12,478 79,303 43,133
---------- ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold................... 56,146 160,100 6,759
Futures...................................... (812) -- 2,698
Foreign Currency Transactions**.............. (1,261) (2,843) (1,095)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................... 56,008 117,619 231,237
Translation of Foreign Currency
Denominated Amounts........................ (85) (14) (265)
---------- ---------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS).......... 109,996 274,862 239,334
---------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................... $ 122,474 $ 354,165 $ 282,467
========== ========== ===========
--------
* 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 $86, $310 and $541,
respectively.
See accompanying Notes to Financial Statements.
85
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
--------------------- ------------------------ -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- -------- ----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................ $ 697 $ 1,430 $ 75,507 $ 120,343 $ 12,849 $ 18,734
Net Realized Gain (Loss) on:
Investment Securities Sold...................... 127 380 174,166 301,933 97,002 20,083
Futures......................................... 21,975 12,791 -- (9,927) 3,336 1,751
Foreign Currency Transactions................... (585) 412 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities........................... 769 (472) 525,053 (67,687) 189,172 53,386
Futures......................................... (1,590) (995) -- -- -- --
Translation of Foreign Currency
Denominated Amounts........................... 346 (174) -- -- -- --
----------- -------- ----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................. 21,739 13,372 774,726 344,662 302,359 93,954
----------- -------- ----------- ----------- ----------- ----------
Distributions From:
Net Investment Income:
Class R1 Shares................................. -- -- -- -- (163) (275)
Class R2 Shares................................. -- -- -- -- (35) (43)
Institutional Class Shares...................... (1,846) (270) (77,128) (117,051) (10,257) (17,989)
Net Long-Term Gains:................................
Class R1 Shares................................. -- -- -- -- (356) (87)
Class R2 Shares................................. -- -- -- -- (86) (14)
Institutional Class Shares...................... -- -- -- -- (19,426) (4,668)
----------- -------- ----------- ----------- ----------- ----------
Total Distributions.......................... (1,846) (270) (77,128) (117,051) (30,323) (23,076)
----------- -------- ----------- ----------- ----------- ----------
Capital Share Transactions (1):
Shares Issued....................................... 11,969 42,165 754,785 2,027,913 462,506 924,360
Shares Issued in Lieu of Cash Distributions......... 1,756 259 71,711 109,293 28,351 21,388
Shares Redeemed..................................... (15,095) (42,128) (875,481) (1,945,509) (390,816) (743,912)
----------- -------- ----------- ----------- ----------- ----------
Net Increase (Decrease) from Capital
Share Transactions......................... (1,370) 296 (48,985) 191,697 100,041 201,836
----------- -------- ----------- ----------- ----------- ----------
Total Increase (Decrease) in Net
Assets..................................... 18,523 13,398 648,613 419,308 372,077 272,714
NET ASSETS
Beginning of Period................................. 171,128 157,730 7,340,344 6,921,036 2,543,979 2,271,265
----------- -------- ----------- ----------- ----------- ----------
End of Period....................................... $ 189,651 $171,128 $ 7,988,957 $ 7,340,344 $ 2,916,056 $2,543,979
=========== ======== =========== =========== =========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................... 1,408 5,163 37,430 100,905 29,116 56,950
Shares Issued in Lieu of Cash Distributions......... 222 33 3,709 5,526 1,911 1,349
Shares Redeemed..................................... (1,780) (5,148) (43,394) (98,393) (24,372) (46,106)
Shares Reduced by Reverse Stock Split (Note
G)................................................ -- -- -- -- -- (9)
----------- -------- ----------- ----------- ----------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed........................ (150) 48 (2,255) 8,038 6,655 12,184
=========== ======== =========== =========== =========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME) $ 754 $ 1,903 $ 19,055 $ 20,676 $ 3,779 $ 1,385
See accompanying Notes to Financial Statements.
86
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
------------------------ ------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 24,590 $ 44,197 $ 35,220 $ 51,991 $ 51,730 $ 80,421
Capital Gain Distributions
Received from Affiliated
Investment Company................... -- -- 36 -- 105 --
Net Realized Gain (Loss) on:
Investment Securities Sold......... 199,092 215,171 14,736 31,974 50,158 69,078
Futures............................ 628 (825) -- -- -- --
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities.............. 539,736 112,710 431,153 116,761 602,868 192,966
Futures............................ (536) 536 -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... 763,510 371,789 481,145 200,726 704,861 342,465
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (20,289) (41,924) (32,374) (49,822) (42,597) (78,869)
Net Long-Term Gains:...................
Institutional Class Shares......... (89,379) -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions............. (109,668) (41,924) (32,374) (49,822) (42,597) (78,869)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued.......................... 566,458 1,194,011 766,720 1,193,672 669,419 1,575,775
Shares Issued in Lieu of Cash
Distributions........................ 103,444 39,640 29,484 45,486 41,410 76,923
Shares Redeemed........................ (774,632) (1,577,930) (375,004) (556,060) (550,722) (1,086,755)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
from Capital Share
Transactions.................. (104,730) (344,279) 421,200 683,098 160,107 565,943
----------- ----------- ----------- ----------- ----------- -----------
Total Increase
(Decrease) in Net
Assets........................ 549,112 (14,414) 869,971 834,002 822,371 829,539
NET ASSETS
Beginning of Period.................... 6,540,863 6,555,277 3,731,411 2,897,409 5,819,906 4,990,367
----------- ----------- ----------- ----------- ----------- -----------
End of Period.......................... $ 7,089,975 $ 6,540,863 $ 4,601,382 $ 3,731,411 $ 6,642,277 $ 5,819,906
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 22,857 48,190 67,996 108,434 60,128 144,791
Shares Issued in Lieu of Cash
Distributions........................ 4,641 1,639 2,709 4,215 3,865 7,192
Shares Redeemed........................ (31,457) (62,955) (33,454) (51,146) (49,629) (99,493)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
from Shares Issued and
Redeemed...................... (3,959) (13,126) 37,251 61,503 14,364 52,490
=========== =========== =========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME) $ 5,159 $ 858 $ 11,205 $ 8,359 $ 16,734 $ 7,601
See accompanying Notes to Financial Statements.
87
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
------------------------ ------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 13,687 $ 20,309 $ 23,003 $ 33,067 $ 17,599 $ 23,621
Capital Gain Distributions
Received from Affiliated
Investment Company................... 18 -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold......... 34,151 46,999 144,019 211,228 147,503 234,404
Futures............................ (850) -- -- 929 -- --
In-Kind Redemptions................ -- -- -- 126,527* -- --
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities.............. 170,239 18,243 268,274 (60,488) 187,622 32,818
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... 217,245 85,551 435,296 311,263 352,724 290,843
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (12,271) (19,719) (14,637) (32,796) (12,442) (23,667)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions............. (12,271) (19,719) (14,637) (32,796) (12,442) (23,667)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued.......................... 195,779 551,321 438,321 1,118,116 219,424 509,041
Shares Issued in Lieu of Cash
Distributions........................ 12,076 19,400 13,557 30,271 11,737 22,542
Shares Redeemed........................ (292,882) (343,081) (358,624) (1,047,988)* (279,890) (719,326)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
from Capital Share
Transactions.................. (85,027) 227,640 93,254 100,399 (48,729) (187,743)
----------- ----------- ----------- ----------- ----------- -----------
Total Increase
(Decrease) in Net
Assets........................ 119,947 293,472 513,913 378,866 291,553 79,433
NET ASSETS
Beginning of Period.................... 1,851,895 1,558,423 3,770,323 3,391,457 3,257,719 3,178,286
----------- ----------- ----------- ----------- ----------- -----------
End of Period.......................... $ 1,971,842 $ 1,851,895 $ 4,284,236 $ 3,770,323 $ 3,549,272 $ 3,257,719
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 18,026 51,309 20,287 52,474 15,722 37,458
Shares Issued in Lieu of Cash
Distributions........................ 1,192 1,845 674 1,457 916 1,695
Shares Redeemed........................ (26,732) (31,749) (16,466) (48,404) (20,140) (52,370)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
from Shares Issued and
Redeemed...................... (7,514) 21,405 4,495 5,527 (3,502) (13,217)
=========== =========== =========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME) $ 4,973 $ 3,557 $ 9,849 $ 1,483 $ 8,356 $ 3,199
--------
* See Note M in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
88
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
------------------------ ------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 38,917 $ 51,146 $ 31,458 $ 55,392 $ 85,573 $ 161,011
Capital Gain Distributions
Received from Investment
Securities........................... 8,786 13,117 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold......... (1,870) (39,946) (10,627) (12,846) (19,641) 28,431
Futures............................ (46) -- -- -- -- --
Foreign Currency
Transactions*.................... -- -- (250) 187 (398) (191)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency................. 404,906 277,359 49,373 (133,116) 160,136 (525,986)
Translation of Foreign
Currency Denominated
Amounts.......................... -- -- 214 (205) 662 (476)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... 450,693 301,676 70,168 (90,588) 226,332 (337,211)
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (38,555) (40,246) (21,610) (54,107) (57,457) (161,285)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions............. (38,555) (40,246) (21,610) (54,107) (57,457) (161,285)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued.......................... 392,881 685,272 397,760 463,836 930,584 1,663,723
Shares Issued in Lieu of Cash
Distributions........................ 37,296 38,998 20,547 51,857 55,386 154,934
Shares Redeemed........................ (341,929) (576,605) (214,994) (283,535) (627,352) (791,266)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
from Capital Share
Transactions.................. 88,248 147,665 203,313 232,158 358,618 1,027,391
----------- ----------- ----------- ----------- ----------- -----------
Total Increase
(Decrease) in Net
Assets........................ 500,386 409,095 251,871 87,463 527,493 528,895
NET ASSETS
Beginning of Period.................... 3,098,647 2,689,552 1,704,149 1,616,686 5,395,884 4,866,989
----------- ----------- ----------- ----------- ----------- -----------
End of Period.......................... $ 3,599,033 $ 3,098,647 $ 1,956,020 $ 1,704,149 $ 5,923,377 $ 5,395,884
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 16,384 30,656 22,489 23,919 95,327 153,758
Shares Issued in Lieu of Cash
Distributions........................ 1,712 1,817 1,204 2,658 5,892 14,162
Shares Redeemed........................ (14,384) (25,853) (12,190) (14,657) (65,758) (73,947)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
from Shares Issued and
Redeemed...................... 3,712 6,620 11,503 11,920 35,461 93,973
=========== =========== =========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME) $ 14,891 $ 14,529 $ 15,573 $ 5,275 $ 41,482 $ 13,366
--------
* Net of foreign capital gain taxes withheld of $0, $0, $1, $0, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
89
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
---------------------- -------------------- --------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- ---------- ----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 68,962 $ 146,577 $ 3,016 $ 2,693 $ 2,606 $ 4,845
Net Realized Gain (Loss) on:
Investment Securities Sold......... 73,420 205,897 (4,809) (5,587) 6,945 8,959
Futures............................ -- (271) -- -- -- --
Foreign Currency
Transactions*.................... (134) (103) (19) 14 (1) 85
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency................. 223,293 (571,803) 20,155 13,164 4,323 (21,184)
Futures............................ -- -- -- -- -- --
Translation of Foreign
Currency Denominated
Amounts.......................... 501 (340) 151 (61) (19) 18
----------- ---------- ----------- -------- ----------- --------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... 366,042 (220,043) 18,494 10,223 13,854 (7,277)
----------- ---------- ----------- -------- ----------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (69,996) (179,486) (1,550) (2,305) (5,899) (6,964)
Net Long-Term Gains:
Institutional Class Shares......... (108,621) -- -- -- -- --
----------- ---------- ----------- -------- ----------- --------
Total Distributions............. (178,617) (179,486) (1,550) (2,305) (5,899) (6,964)
----------- ---------- ----------- -------- ----------- --------
Capital Share Transactions (1):
Shares Issued.......................... 581,758 1,380,524 159,880 74,211 66,937 54,555
Shares Issued in Lieu of Cash
Distributions........................ 172,326 171,227 1,392 2,020 5,363 6,350
Shares Redeemed........................ (574,856) (829,801) (19,240) (35,962) (16,748) (38,913)
----------- ---------- ----------- -------- ----------- --------
Net Increase (Decrease)
from Capital Share
Transactions.................. 179,228 721,950 142,032 40,269 55,552 21,992
----------- ---------- ----------- -------- ----------- --------
Total Increase
(Decrease) in Net
Assets........................ 366,653 322,421 158,976 48,187 63,507 7,751
NET ASSETS
Beginning of Period.................... 5,834,015 5,511,594 163,120 114,933 139,262 131,511
----------- ---------- ----------- -------- ----------- --------
End of Period.......................... $6,200,668 $5,834,015 $322,096 $163,120 $202,769 $139,262
=========== ========== =========== ======== =========== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 39,295 81,929 10,052 4,725 3,067 2,200
Shares Issued in Lieu of Cash
Distributions........................ 12,621 10,276 91 133 259 249
Shares Redeemed........................ (39,131) (50,113) (1,206) (2,288) (757) (1,533)
----------- ---------- ----------- -------- ----------- --------
Net Increase (Decrease)
from Shares Issued and
Redeemed...................... 12,785 42,092 8,937 2,570 2,569 916
=========== ========== =========== ======== =========== ========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN
EXCESSOF NET INVESTMENT INCOME) $ 5,342 $ 6,376 $ 2,507 $ 1,041 $ (2,246) $ 1,047
--------
* Net of foreign capital gain taxes withheld of $3, $0, $0, $0, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
90
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
--------------------- --------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- -------- ----------- -------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:...............................
Net Investment Income (Loss)........... $ 383 $ 1,146 $ 1,413 $ 3,026 $ 32,235 $ 58,347
Net Realized Gain (Loss) on:
Investment Securities Sold......... 67 1,011 (436) 3,433 (32,108) (74,845)
Futures............................ -- -- -- (16) -- --
Foreign Currency
Transactions..................... (2) 1 (7) (34) 176 223
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency................. 3,897 (2,107) 1,405 (21,048) 87,053 3,153
Translation of Foreign
Currency Denominated
Amounts.......................... 1 2 (13) 3 264 (99)
----------- -------- ----------- -------- ----------- ----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... 4,346 53 2,362 (14,636) 87,620 (13,221)
----------- -------- ----------- -------- ----------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (572) (1,071) (432) (3,562) (54,030) (107,338)
----------- -------- ----------- -------- ----------- ----------
Total Distributions............. (572) (1,071) (432) (3,562) (54,030) (107,338)
----------- -------- ----------- -------- ----------- ----------
Capital Share Transactions (1):
Shares Issued.......................... 1,030 3,802 9,052 18,358 225,264 322,549
Shares Issued in Lieu of Cash
Distributions........................ 430 818 325 2,856 53,300 106,188
Shares Redeemed........................ (8,815) (3,484) (8,274) (13,670) (133,526) (206,576)
----------- -------- ----------- -------- ----------- ----------
Net Increase (Decrease)
from Capital Share
Transactions.................. (7,355) 1,136 1,103 7,544 145,038 222,161
----------- -------- ----------- -------- ----------- ----------
Total Increase
(Decrease) in Net
Assets........................ (3,581) 118 3,033 (10,654) 178,628 101,602
NET ASSETS
Beginning of Period.................... 33,869 33,751 117,452 128,106 1,060,156 958,554
----------- -------- ----------- -------- ----------- ----------
End of Period.......................... $30,288 $33,869 $120,485 $117,452 $1,238,784 $1,060,156
=========== ======== =========== ======== =========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 43 158 638 1,086 48,140 62,870
Shares Issued in Lieu of Cash
Distributions........................ 20 33 25 164 12,309 21,940
Shares Redeemed........................ (360) (138) (595) (801) (29,077) (40,236)
----------- -------- ----------- -------- ----------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed...................... (297) 53 68 449 31,372 44,574
=========== ======== =========== ======== =========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME) $ 90 $ 279 $ 1,008 $ 27 $ (75,062) $ (53,267)
See accompanying Notes to Financial Statements.
91
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
------------------------ ------------------------ -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED YEAR ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- --------- ----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 24,321 $ 37,948 $ 83,371 $ 168,945 $ 6,815 $ 11,568
Net Realized Gain (Loss) on:
Investment Securities Sold......... (2,736) (4,706) 178,349 146,129 2,342 6,572
Foreign Currency
Transactions*.................... -- -- (5,662) 115 (64) 126
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency................. 90,971 1,312 246,273 (659,162) 18,027 (47,642)
Translation of Foreign
Currency Denominated
Amounts.......................... -- -- 1,206 (833) 50 (27)
----------- --------- ----------- ----------- ----------- ----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... 112,556 34,554 503,537 (344,806) 27,170 (29,403)
----------- --------- ----------- ----------- ----------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (25,716) (41,423) (63,607) (182,741) (4,264) (11,774)
Net Short-Term Gains:
Institutional Class Shares......... -- -- (11,429) -- -- --
Net Long-Term Gains:
Institutional Class Shares......... -- -- (126,221) (138,537) (6,473) (2,419)
----------- --------- ----------- ----------- ----------- ----------
Total Distributions............. (25,716) (41,423) (201,257) (321,278) (10,737) (14,193)
----------- --------- ----------- ----------- ----------- ----------
Capital Share Transactions (1):
Shares Issued.......................... 229,364 372,793 866,491 1,422,232 157,966 139,795
Shares Issued in Lieu of Cash
Distributions........................ 25,115 40,672 190,535 303,336 10,257 13,500
Shares Redeemed........................ (81,142) (232,709) (659,836) (1,255,658) (62,609) (62,242)
----------- --------- ----------- ----------- ----------- ----------
Net Increase (Decrease)
from Capital Share
Transactions.................. 173,337 180,756 397,190 469,910 105,614 91,053
----------- --------- ----------- ----------- ----------- ----------
Total Increase
(Decrease) in Net
Assets........................ 260,177 173,887 699,470 (196,174) 122,047 47,457
NET ASSETS
Beginning of Period.................... 869,348 695,461 7,459,144 7,655,318 410,580 363,123
----------- --------- ----------- ----------- ----------- ----------
End of Period.......................... $ 1,129,525 $ 869,348 $ 8,158,614 $ 7,459,144 $ 532,627 $ 410,580
=========== ========= =========== =========== =========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 27,938 45,423 58,880 86,184 17,910 13,326
Shares Issued in Lieu of Cash
Distributions........................ 3,385 5,345 14,145 18,285 1,211 1,293
Shares Redeemed........................ (10,143) (28,834) (45,919) (75,870) (6,988) (5,988)
----------- --------- ----------- ----------- ----------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed...................... 21,180 21,934 27,106 28,599 12,133 8,631
=========== ========= =========== =========== =========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME) $ (218) $ 1,177 $ 41,638 $ 21,874 $ 3,333 $ 782
--------
* Net of foreign capital gain taxes withheld of $0, $0, $10, $0, $1, and $0,
respectively.
See accompanying Notes to Financial Statements.
92
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
SELECTIVELY
WORLD EX U.S. HEDGED GLOBAL EQUITY EMERGING MARKETS
VALUE PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- -------------------- -----------------------
PERIOD
SIX MONTHS YEAR NOV. 14, SIX MONTHS YEAR
ENDED ENDED 2011(a) TO ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, APRIL 30, OCT. 31,
2012 2011 2012 2012 2011
----------- -------- -------------------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 666 $ 1,131 $ 165 $ 16,180 $ 49,480
Capital Gain Distributions
Received from Affiliated
Investment Companies................. 80 48 -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold......... (222) (6,148) -- 19,769 94,878
Futures............................ -- -- 43 -- --
Foreign Currency
Transactions*.................... (6) (4) 106 (445) (1,059)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency................. 970 (1,774) 1,584 80,559 (309,714)
Futures............................ -- -- 13 -- --
Translation of Foreign
Currency Denominated
Amounts.......................... 5 (13) (44) (33) (109)
Change in Deferred Thailand
Capital Gains Tax.................... -- 3 -- -- 4,215
----------- -------- -------------------- ----------- ----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... 1,493 (6,757) 1,867 116,030 (162,309)
----------- -------- -------------------- ----------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (474) (1,006) (140) (14,060) (42,779)
Net Short-Term Gains:
Institutional Class Shares......... (7) (19) -- -- (77)
Net Long-Term Gains:
Institutional Class Shares......... -- (195) -- (90,351) (136,141)
----------- -------- -------------------- ----------- ----------
Total Distributions............. (481) (1,220) (140) (104,411) (178,997)
----------- -------- -------------------- ----------- ----------
Capital Share Transactions (1):
Shares Issued.......................... 11,564 32,244 22,877 492,070 668,299
Shares Issued in Lieu of Cash
Distributions........................ 472 1,211 140 96,716 164,271
Shares Redeemed........................ (4,913) (7,929) (15) (236,364) (550,727)
----------- -------- -------------------- ----------- ----------
Net Increase (Decrease)
from Capital Share
Transactions.................. 7,123 25,526 23,002 352,422 281,843
----------- -------- -------------------- ----------- ----------
Total Increase
(Decrease) in Net
Assets........................ 8,135 17,549 24,729 364,041 (59,463)
NET ASSETS
Beginning of Period.................... 47,165 29,616 -- 2,313,035 2,372,498
----------- -------- -------------------- ----------- ----------
End of Period.......................... $55,300 $47,165 $24,729 $2,677,076 $2,313,035
=========== ======== ==================== =========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 1,213 2,801 2,265 19,410 22,995
Shares Issued in Lieu of Cash
Distributions........................ 52 108 15 4,096 5,590
Shares Redeemed........................ (488) (782) (2) (9,268) (18,667)
----------- -------- -------------------- ----------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed...................... 777 2,127 2,278 14,238 9,918
=========== ======== ==================== =========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME) $ 360 $ 168 $ 25 $ 8,233 $ 6,113
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $1, $0, $13 and $851,
respectively.
See accompanying Notes to Financial Statements.
93
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS EMERGING MARKETS
SMALL CAP EMERGING MARKETS CORE EQUITY
PORTFOLIO VALUE PORTFOLIO PORTFOLIO
---------------------- ------------------------ ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- ---------- ----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................... $ 12,478 $ 36,127 $ 79,303 $ 259,300 $ 43,133 $ 100,756
Net Realized Gain (Loss) on:
Investment Securities Sold.................. 56,146 27,050 160,100 193,129 6,759 20,186
Futures..................................... (812) -- -- -- 2,698 --
Foreign Currency Transactions*.............. (1,261) (1,258) (2,843) (3,612) (1,095) (4,049)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 56,008 (354,184) 117,619 (2,865,375) 231,237 (717,993)
Translation of Foreign Currency
Denominated Amounts....................... (85) (31) (14) (5) (265) 25
Change in Deferred Thailand Capital Gains
Tax........................................... -- 3,533 -- 16,079 -- 5,965
---------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 122,474 (288,763) 354,165 (2,400,484) 282,467 (595,110)
---------- ---------- ----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares............................. -- -- (632) (532) -- --
Institutional Class Shares.................. (13,800) (33,950) (103,253) (223,890) (38,445) (86,292)
Net Short-Term Gains:
Class R2 Shares............................. -- -- -- (224) -- --
Institutional Class Shares.................. -- -- -- (67,767) -- --
Net Long-Term Gains:
Class R2 Shares............................. -- -- (1,207) (1,580) -- --
Institutional Class Shares.................. (37,112) (58,359) (187,999) (477,706) -- --
---------- ---------- ----------- ----------- ---------- ----------
Total Distributions...................... (50,912) (92,309) (293,091) (771,699) (38,445) (86,292)
---------- ---------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 668,954 694,159 3,200,747 6,491,870 2,569,664 2,524,065
Shares Issued in Lieu of Cash
Distributions................................. 45,238 74,466 269,854 711,366 34,616 77,358
Shares Redeemed................................. (100,325) (387,846) (1,363,201) (1,805,221) (572,899) (732,430)
---------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............. 613,867 380,779 2,107,400 5,398,015 2,031,381 1,868,993
---------- ---------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................. 685,429 (293) 2,168,474 2,225,832 2,275,403 1,187,591
NET ASSETS
Beginning of Period............................. 1,832,745 1,833,038 13,808,370 11,582,538 5,367,473 4,179,882
---------- ---------- ----------- ----------- ---------- ----------
End of Period................................... $2,518,174 $1,832,745 $15,976,844 $13,808,370 $7,642,876 $5,367,473
========== ========== =========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 33,808 31,956 111,865 190,904 136,831 122,538
Shares Issued in Lieu of Cash
Distributions................................. 2,550 3,241 10,435 20,921 2,000 3,743
Shares Redeemed................................. (5,236) (18,437) (47,841) (55,156) (31,427) (35,958)
Shares Reduced by Conversion of Shares
(Note G)...................................... -- -- -- (19,608) -- --
---------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed............. 31,122 16,760 74,459 137,061 107,404 90,323
========== ========== =========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME).......................................... $ 74 $ 1,396 $ 9,288 $ 33,870 $ 19,968 $ 15,280
--------
* Net of foreign capital gain taxes withheld of $86, $637, $310, $1,682, $541
and $2,994, respectively.
See accompanying Notes to Financial Statements.
94
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- --------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period ........................... $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 $ 9.82
----------- -------- -------- -------- --------- -------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.03 0.07 0.07 0.05 0.39 0.30 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 1.01 0.56 1.05 0.61 (3.74) 0.45 1.19
----------- -------- -------- -------- --------- -------- --------
Total From Investment Operations. 1.04 0.63 1.12 0.66 (3.35) 0.75 1.31
----------- -------- -------- -------- --------- -------- --------
Less Distributions
------------------
Net Investment Income............. (0.09) (0.01) (0.07) (0.59) (0.36) (0.36) (0.18)
Net Realized Gains................ -- -- -- (0.06) (0.73) (0.43) --
----------- -------- -------- -------- --------- -------- --------
Total Distributions.............. (0.09) (0.01) (0.07) (0.65) (1.09) (0.79) (0.18)
----------- -------- -------- -------- --------- -------- --------
Net Asset Value, End of Period...... $ 9.10 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95
=========== ======== ======== ======== ========= ======== ========
Total Return........................ 12.90%(C) 8.41% 17.40% 12.23% (33.89)%(C) 7.13% 13.52%
----------- -------- -------- -------- --------- -------- --------
Net Assets, End of Period
(thousands)....................... $189,651 $171,128 $157,730 $165,231 $200,331 $337,050 $347,216
Ratio of Expenses to Average Net
Assets............................ 0.26%(B) 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................ 0.79%(B) 0.86% 0.98% 0.86% 4.74%(B) 2.67% 1.19%
Portfolio Turnover Rate............. 40%(C) 140% 78% 46%* N/A N/A N/A
U.S. LARGE CAP VALUE PORTFOLIO
-----------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30,
2012 2011 2010 2009 2008 2007
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning
of Period................. $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40
----------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
----------------------
Net Investment Income
(Loss)(A)................ 0.20 0.33 0.33 0.31 0.36 0.33
Net Gains (Losses) on
Securities (Realized
and Unrealized).......... 1.83 0.70 2.76 1.28 (8.83) (0.43)
----------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations............. 2.03 1.03 3.09 1.59 (8.47) (0.10)
----------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income..... (0.20) (0.32) (0.32) (0.34) (0.35) (0.32)
Net Realized Gains........ -- -- -- (0.02) (1.04) (0.54)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions...... (0.20) (0.32) (0.32) (0.36) (1.39) (0.86)
----------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period.................... $ 21.12 $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44
=========== ========== ========== ========== ========== ==========
Total Return................ 10.64%(C) 5.53% 19.72% 11.76% (36.63)%(C) (0.49)%
----------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)............... $7,988,957 $7,340,344 $6,921,036 $5,863,652 $5,330,448 $7,535,552
Ratio of Expenses to
Average Net Assets........ 0.28%(B)(D) 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D)
Ratio of Net Investment
Income to Average
Net Assets................ 1.99%(B) 1.63% 1.86% 2.26% 1.86%(B) 1.28%
Portfolio Turnover Rate..... N/A N/A N/A N/A N/A N/A
-----------
YEAR
ENDED
NOV. 30,
2006
----------
Net Asset Value, Beginning
of Period................. $ 21.93
----------
Income From Investment
Operations
----------------------
Net Investment Income
(Loss)(A)................ 0.38
Net Gains (Losses) on
Securities (Realized
and Unrealized).......... 3.50
----------
Total From Investment
Operations............. 3.88
----------
Less Distributions
------------------
Net Investment Income..... (0.35)
Net Realized Gains........ (0.06)
----------
Total Distributions...... (0.41)
----------
Net Asset Value, End of
Period.................... $ 25.40
==========
Total Return................ 17.97%
----------
Net Assets, End of Period
(thousands)............... $6,410,086
Ratio of Expenses to
Average Net Assets........ 0.28%(D)
Ratio of Net Investment
Income to Average
Net Assets................ 1.64%
Portfolio Turnover Rate..... 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.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES+
---------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR JAN. 31,
ENDED ENDED ENDED ENDED 2008(a)
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO OCT. 31,
2012 2011 2010 2009 2008
----------- -------- -------- -------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period............ $ 15.32 $ 14.75 $ 11.73 $ 10.92 $ 14.69
----------- -------- -------- -------- -----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A).............. 0.07 0.10 0.07 0.12 0.13
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 1.68 0.60 3.07 0.87 (3.76)
----------- -------- -------- -------- -----------
Total From Investment Operations......... 1.75 0.70 3.14 0.99 (3.63)
----------- -------- -------- -------- -----------
Less Distributions
------------------
Net Investment Income........................ (0.06) (0.10) (0.12) (0.18) (0.14)
Net Realized Gains........................... (0.12) (0.03) -- -- --
----------- -------- -------- -------- -----------
Total Distributions...................... (0.18) (0.13) (0.12) (0.18) (0.14)
----------- -------- -------- -------- -----------
Net Asset Value, End of Period.................. $ 16.89 $ 15.32 $ 14.75 $ 11.73 $ 10.92
=========== ======== ======== ======== ===========
Total Return.................................... 11.57%(C) 4.69% 26.93% 9.36% (24.96)%(C)
----------- -------- -------- -------- -----------
Net Assets, End of Period (thousands)........... $48,897 $45,132 $41,316 $31,393 $25,599
Ratio of Expenses to Average Net Assets......... 0.48%(B) 0.48% 0.49% 0.52% 0.50%(B)(E)
Ratio of Net Investment Income to Average Net
Assets........................................ 0.84%(B) 0.61% 0.59% 1.12% 1.24%(B)(E)
Portfolio Turnover Rate......................... 11%(C) 23% 20% 17% 20%(C)
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES+
---------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR JUNE 30,
ENDED ENDED ENDED ENDED 2008(a)
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO OCT. 31,
2012 2011 2010 2009 2008
----------- -------- -------- -------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period............ $ 15.31 $ 14.76 $ 11.74 $ 10.91 $ 13.94
----------- -------- -------- -------- -----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A).............. 0.06 0.07 0.05 0.10 0.05
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 1.67 0.60 3.07 0.88 (3.02)
----------- -------- -------- -------- -----------
Total From Investment Operations......... 1.73 0.67 3.12 0.98 (2.97)
----------- -------- -------- -------- -----------
Less Distributions
------------------
Net Investment Income........................ (0.05) (0.09) (0.10) (0.15) (0.06)
Net Realized Gains........................... (0.12) (0.03) -- -- --
----------- -------- -------- -------- -----------
Total Distributions...................... (0.17) (0.12) (0.10) (0.15) (0.06)
----------- -------- -------- -------- -----------
Net Asset Value, End of Period.................. $ 16.87 $ 15.31 $ 14.76 $ 11.74 $ 10.91
=========== ======== ======== ======== ===========
Total Return.................................... 11.47%(C) 4.50% 26.66% 9.23% (21.40)%(C)
----------- -------- -------- -------- -----------
Net Assets, End of Period (thousands)........... $12,516 $10,918 $ 5,967 $ 2,930 $ 1,715
Ratio of Expenses to Average Net Assets......... 0.63%(B) 0.63% 0.64% 0.67% 0.66%(B)(E)
Ratio of Net Investment Income to Average Net
Assets........................................ 0.70%(B) 0.42% 0.44% 0.91% 1.35%(B)(E)
Portfolio Turnover Rate......................... 11%(C) 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.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
----------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
- ----------- ---------- ---------- ---------- -------- -------- --------
(UNAUDITED)
Net Asset Value,
Beginning of Period.... $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 $ 17.33
----------- ---------- ---------- ---------- -------- -------- --------
Income From Investment
Operations
----------------------
Net Investment Income
(Loss)(A)............. 0.08 0.12 0.09 0.12 0.18 0.20 0.21
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 1.67 0.59 3.06 0.88 (4.68) (1.32) 2.84
----------- ---------- ---------- ---------- -------- -------- --------
Total From Investment
Operations.......... 1.75 0.71 3.15 1.00 (4.50) (1.12) 3.05
----------- ---------- ---------- ---------- -------- -------- --------
Less Distributions
------------------
Net Investment Income.. (0.06) (0.12) (0.09) (0.14) (0.15) (0.20) (0.25)
Net Realized Gains..... (0.12) (0.03) -- -- (0.40) (1.48) (1.44)
----------- ---------- ---------- ---------- -------- -------- --------
Total Distributions... (0.18) (0.15) (0.09) (0.14) (0.55) (1.68) (1.69)
----------- ---------- ---------- ---------- -------- -------- --------
Net Asset Value, End of
Period................. $ 16.89 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69
=========== ========== ========== ========== ======== ======== ========
Total Return............. 11.63%(C) 4.76% 27.02% 9.47% (29.27)%(C) (6.59)% 19.48%
----------- ---------- ---------- ---------- -------- -------- --------
Net Assets, End of
Period (thousands)..... $2,854,643 $2,487,929 $2,223,982 $1,449,437 $855,448 $554,805 $215,338
Ratio of Expenses to
Average Net Assets..... 0.38%(B) 0.38% 0.38% 0.41% 0.40%(B) 0.41%(D)** 0.46%(D)
Ratio of Net Investment
Income to Average Net
Assets................. 0.94%(B) 0.71% 0.69% 1.19% 1.39%(B) 1.12% 1.19%
Portfolio Turnover Rate.. 11%(C) 23% 20% 17% 20%(C) 9%(C)* N/A
U.S. SMALL CAP VALUE PORTFOLIO
------------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset
Value,
Beginning of
Period........... $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 $ 28.74
----------- ---------- ---------- ---------- ---------- ---------- ----------
Income From
Investment
Operations
-----------
Net
Investment
Income
(Loss)(A)....... 0.09 0.16 0.09 0.04 0.18 0.30 0.28
Net Gains
(Losses) on
Securities
(Realized
and
Unrealized)..... 2.65 1.00 4.79 1.54 (7.86) (2.72) 5.06
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total From
Investment
Operations.... 2.74 1.16 4.88 1.58 (7.68) (2.42) 5.34
----------- ---------- ---------- ---------- ---------- ---------- ----------
Less
Distributions
-------------
Net
Investment
Income.......... (0.07) (0.15) (0.08) (0.21) (0.22) (0.28) (0.23)
Net Realized
Gains........... (0.33) -- -- -- (2.27) (2.40) (2.26)
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total
Distributions. (0.40) (0.15) (0.08) (0.21) (2.49) (2.68) (2.49)
----------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset
Value, End
of Period........ $ 25.84 $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59
=========== ========== ========== ========== ========== ========== ==========
Total Return....... 11.93%(C) 5.13% 27.69% 9.97% (31.80)%(C) (8.41)% 20.29%
----------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets,
End of
Period
(thousands)...... $7,089,975 $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........... 0.53%(B) 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........... 0.73%(B) 0.62% 0.43% 0.27% 0.86%(B) 0.98% 0.94%
Portfolio
Turnover
Rate............. 7%(C) 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.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO
---------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................ $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 $ 10.22
---------- ---------- ---------- ---------- ---------- ---------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.10 0.17 0.15 0.15 0.17 0.19 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 1.21 0.59 1.61 0.73 (4.03) 0.35 1.28
---------- ---------- ---------- ---------- ---------- ---------- --------
Total From Investment Operations. 1.31 0.76 1.76 0.88 (3.86) 0.54 1.45
---------- ---------- ---------- ---------- ---------- ---------- --------
Less Distributions
------------------
Net Investment Income............. (0.09) (0.16) (0.12) (0.15) (0.16) (0.18) (0.17)
Net Realized Gains................ -- -- -- -- -- (0.03) --
---------- ---------- ---------- ---------- ---------- ---------- --------
Total Distributions.............. (0.09) (0.16) (0.12) (0.15) (0.16) (0.21) (0.17)
---------- ---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period...... $ 12.00 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50
========== ========== ========== ========== ========== ========== ========
Total Return........................ 12.25%(C) 7.47% 20.80% 11.64% (32.85)%(C) 4.68% 14.35%
---------- ---------- ---------- ---------- ---------- ---------- --------
Net Assets, End of Period
(thousands)....................... $4,601,382 $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%(B) 0.20% 0.20% 0.22% 0.20%(B) 0.20% 0.23%
Ratio of Net Investment Income to
Average Net Assets................ 1.71%(B) 1.49% 1.53% 2.02% 1.78%(B) 1.53% 1.52%
Portfolio Turnover Rate............. 2%(C) 5% 4% 7% 5%(C) 10% 6%
U.S. CORE EQUITY 2 PORTFOLIO
-----------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................ $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 $ 10.24
----------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.09 0.16 0.14 0.14 0.17 0.19 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 1.18 0.54 1.64 0.66 (4.04) 0.13 1.40
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations. 1.27 0.70 1.78 0.80 (3.87) 0.32 1.57
----------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............. (0.08) (0.15) (0.11) (0.14) (0.17) (0.17) (0.16)
Net Realized Gains................ -- -- -- -- -- (0.03) --
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.08) (0.15) (0.11) (0.14) (0.17) (0.20) (0.16)
----------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period...... $ 11.80 $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65
=========== ========== ========== ========== ========== ========== ==========
Total Return........................ 12.02%(C) 6.98% 21.41% 10.66% (33.16)%(C) 2.78% 15.50%
----------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)....................... $6,642,277 $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%(B) 0.22% 0.23% 0.24% 0.23%(B) 0.23% 0.26%
Ratio of Net Investment Income to
Average Net Assets................ 1.68%(B) 1.42% 1.47% 1.89% 1.77%(B) 1.55% 1.55%
Portfolio Turnover Rate............. 3%(C) 9% 7% 4% 8%(C) 7% 5%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO
---------------------------------------------------------------------------------------
PERIOD PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR DEC. 30,
ENDED ENDED ENDED ENDED 2007 TO ENDED 2005(a) TO
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- -------- -------- ----------
(UNAUDITED)
Net Asset Value,
Beginning of Period........ $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 $ 10.00
----------- ---------- ---------- ---------- -------- -------- ----------
Income From Investment
Operations
----------------------
Net Investment Income
(Loss)(A)............... 0.08 0.12 0.10 0.11 0.15 0.16 0.13
Net Gains (Losses) on
Securities
(Realized and
Unrealized)............. 1.13 0.46 1.79 0.57 (3.89) (0.25) 1.73
----------- ---------- ---------- ---------- -------- -------- ----------
Total From
Investment
Operations.......... 1.21 0.58 1.89 0.68 (3.74) (0.09) 1.86
----------- ---------- ---------- ---------- -------- -------- ----------
Less Distributions
------------------
Net Investment Income..... (0.07) (0.12) (0.10) (0.13) (0.16) (0.14) (0.07)
Net Realized Gains........ -- -- -- -- -- (0.18) --
----------- ---------- ---------- ---------- -------- -------- ----------
Total
Distributions....... (0.07) (0.12) (0.10) (0.13) (0.16) (0.32) (0.07)
----------- ---------- ---------- ---------- -------- -------- ----------
Net Asset Value, End of
Period..................... $ 11.42 $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79
=========== ========== ========== ========== ======== ======== ==========
Total Return................. 11.84%(C) 5.86% 23.65% 9.47% (33.29)%(C) (0.87)% 18.65%(C)
----------- ---------- ---------- ---------- -------- -------- ----------
Net Assets, End of
Period (thousands)......... $1,971,842 $1,851,895 $1,558,423 $1,178,114 $850,623 $959,742 $403,312
Ratio of Expenses to
Average Net Assets......... 0.33%(B) 0.33% 0.33% 0.35% 0.34%(B) 0.34% 0.36%(B)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumption of Expenses
and/or Recovery of
Previously Waived Fees).... 0.33%(B) 0.33% 0.33% 0.35% 0.34%(B) 0.33% 0.39%(B)(E)
Ratio of Net Investment
Income to Average Net
Assets..................... 1.41%(B) 1.11% 1.13% 1.60% 1.66%(B) 1.29% 1.24%(B)(E)
Portfolio Turnover Rate...... 6%(C) 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.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO
------------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
- ----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value,
Beginning of Period.... $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 $ 20.75
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
----------------------
Net Investment Income
(Loss)(A)............. 0.12 0.18 0.13 0.06 0.14 0.21 0.17
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 2.20 1.49 4.17 1.65 (6.08) (0.66) 2.84
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.......... 2.32 1.67 4.30 1.71 (5.94) (0.45) 3.01
---------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income.. (0.08) (0.18) (0.13) (0.17) (0.17) (0.21) (0.13)
Net Realized Gains..... -- -- -- -- (1.18) (1.16) (1.17)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions... (0.08) (0.18) (0.13) (0.17) (1.35) (1.37) (1.30)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period................. $ 22.79 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46
========== ========== ========== ========== ========== ========== ==========
Total Return............. 11.34%(C) 8.76% 28.99% 13.08% (30.67)%(C) (2.17)% 15.49%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of
Period (thousands)..... $4,284,236 $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..... 0.38%(B) 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................. 1.15%(B) 0.84% 0.76% 0.50% 0.86%(B) 0.95% 0.82%
Portfolio Turnover Rate.. 8%(C) 23% 19% 17%* N/A N/A N/A
U.S. MICRO CAP PORTFOLIO
------------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value,
Beginning of Period ... $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 $ 15.91
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
----------------------
Net Investment Income
(Loss)(A)............. 0.07 0.09 0.06 0.03 0.10 0.14 0.10
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 1.37 0.99 2.68 0.54 (4.32) (0.69) 2.04
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.......... 1.44 1.08 2.74 0.57 (4.22) (0.55) 2.14
---------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income.. (0.05) (0.09) (0.06) (0.19) (0.13) (0.13) (0.08)
Net Realized Gains..... -- -- -- -- (1.26) (1.35) (1.14)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions... (0.05) (0.09) (0.06) (0.19) (1.39) (1.48) (1.22)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period................. $ 14.63 $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83
========== ========== ========== ========== ========== ========== ==========
Total Return............. 10.94%(C) 8.85% 28.77% 6.61% (31.33)%(C) (3.63)% 14.52%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of
Period (thousands)..... $3,549,272 $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..... 0.53%(B) 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................. 1.04%(B) 0.69% 0.58% 0.38% 0.91%(B) 0.89% 0.64%
Portfolio Turnover Rate.. 8%(C) 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.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO
-------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................ $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 $ 25.75
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.29 0.40 0.58 0.58 0.64 0.62 0.64
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 3.02 1.93 5.92 (0.62) (9.28) (5.64) 8.84
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations. 3.31 2.33 6.50 (0.04) (8.64) (5.02) 9.48
---------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............. (0.29) (0.32) (0.55) (0.83) (0.30) (0.70) (1.02)
Net Realized Gains................ -- -- -- -- (2.10) (0.88) (0.41)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.29) (0.32) (0.55) (0.83) (2.40) (1.58) (1.43)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period...... $ 26.27 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80
========== ========== ========== ========== ========== ========== ==========
Total Return........................ 14.50%(C) 11.09% 43.21% 0.98% (34.46)%(C) (15.45)% 38.23%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)....................... $3,599,033 $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............................ 0.27%(B) 0.32% 0.33% 0.36% 0.33%(B) 0.33% 0.33%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/or
Recovery of Previously Waived
Fees and Fees Paid Indirectly).... 0.28%(B) 0.32% 0.33% 0.36% 0.33%(B) 0.33% 0.33%
Ratio of Net Investment Income to
Average Net Assets................ 2.43%(B) 1.76% 3.13% 4.54% 3.01%(B) 1.99% 2.25%
Portfolio Turnover Rate............. 0%(C) 3% 2% 2% 13%(C) 17% 10%
LARGE CAP INTERNATIONAL PORTFOLIO
-------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................ $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 $ 19.00
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.30 0.63 0.48 0.48 0.68 0.68 0.55
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.34 (1.53) 1.43 3.16 (12.06) 3.57 4.68
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations. 0.64 (0.90) 1.91 3.64 (11.38) 4.25 5.23
---------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............. (0.21) (0.61) (0.51) (0.43) (0.64) (0.67) (0.63)
Net Realized Gains................ -- -- -- -- (0.35) -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.21) (0.61) (0.51) (0.43) (0.99) (0.67) (0.63)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period...... $ 18.34 $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60
========== ========== ========== ========== ========== ========== ==========
Total Return........................ 3.68%(C) (4.86)% 10.99% 25.20% (43.14)%(C) 18.18% 28.00%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)....................... $1,956,020 $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%(B) 0.30% 0.30% 0.32% 0.29%(B) 0.29% 0.29%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/or
Recovery of Previously Waived
Fees and Fees Paid Indirectly).... 0.30%(B) 0.30% 0.30% 0.32% 0.29%(B) 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets................ 3.44%(B) 3.19% 2.65% 3.14% 3.18%(B) 2.62% 2.56%
Portfolio Turnover Rate............. 2%(C) 3% 7% 12% 12%(C) 5% 4%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................ $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 $ 10.07
---------- ---------- ---------- ---------- ---------- ---------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.15 0.33 0.23 0.23 0.37 0.35 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.26 (0.89) 0.96 2.32 (6.76) 1.54 2.71
---------- ---------- ---------- ---------- ---------- ---------- --------
Total From Investment Operations. 0.41 (0.56) 1.19 2.55 (6.39) 1.89 2.99
---------- ---------- ---------- ---------- ---------- ---------- --------
Less Distributions
------------------
Net Investment Income............. (0.10) (0.33) (0.20) (0.22) (0.35) (0.32) (0.24)
Net Realized Gains................ -- -- -- -- (0.15) (0.04) --
---------- ---------- ---------- ---------- ---------- ---------- --------
Total Distributions.............. (0.10) (0.33) (0.20) (0.22) (0.50) (0.36) (0.24)
---------- ---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period...... $ 10.20 $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82
========== ========== ========== ========== ========== ========== ========
Total Return........................ 4.28%(C) (5.49)% 12.48% 34.81% (45.76)%(C) 14.83% 30.06%
---------- ---------- ---------- ---------- ---------- ---------- --------
Net Assets, End of Period
(thousands)....................... $5,923,377 $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%(B) 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%(B) 0.40% 0.40% 0.41% 0.41%(B) 0.41% 0.46%
Ratio of Net Investment Income to
Average Net Assets................ 3.13%(B) 2.96% 2.31% 2.84% 3.39%(B) 2.49% 2.35%
Portfolio Turnover Rate............. 4%(C) 3% 2% 5% 4%(C) 4% 2%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO
-------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................ $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 $ 16.19
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.18 0.40 0.28 0.28 0.44 0.43 0.36
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.71 (0.83) 2.13 3.91 (9.55) 2.07 4.02
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations. 0.89 (0.43) 2.41 4.19 (9.11) 2.50 4.38
---------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............. (0.18) (0.50) (0.26) (0.27) (0.45) (0.46) (0.36)
Net Realized Gains................ (0.28) -- -- -- (1.17) (0.67) (0.78)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.46) (0.50) (0.26) (0.27) (1.62) (1.13) (1.14)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period...... $ 15.64 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43
========== ========== ========== ========== ========== ========== ==========
Total Return........................ 6.33%(C) (2.92)% 17.61% 42.34% (47.13)%(C) 13.29% 28.51%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)....................... $6,200,668 $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)........................ 0.56%(B) 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)......................... 0.56%(B) 0.55% 0.56% 0.57% 0.55%(B) 0.55% 0.56%
Ratio of Net Investment Income to
Average Net Assets................ 2.36%(B) 2.37% 1.94% 2.48% 2.90%(B) 2.03% 2.04%
JAPANESE SMALL COMPANY PORTFOLIO
-------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period........... $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 $ 17.97
-------- -------- -------- -------- -------- -------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A).............. 0.20 0.27 0.22 0.22 0.29 0.27 0.22
Net Gains (Losses) on Securities (Realized
and Unrealized)............................. 1.09 1.08 (0.18) 2.39 (4.78) (0.52) (0.73)
-------- -------- -------- -------- -------- -------- --------
Total From Investment Operations............ 1.29 1.35 0.04 2.61 (4.49) (0.25) (0.51)
-------- -------- -------- -------- -------- -------- --------
Less Distributions
------------------
Net Investment Income........................ (0.13) (0.24) (0.23) (0.26) (0.29) (0.23) (0.23)
Net Realized Gains........................... -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total Distributions......................... (0.13) (0.24) (0.23) (0.26) (0.29) (0.23) (0.23)
-------- -------- -------- -------- -------- -------- --------
Net Asset Value, End of Period................. $ 16.40 $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23
======== ======== ======== ======== ======== ======== ========
Total Return................................... 8.32%(C) 9.57% 0.33% 22.08% (27.16)%(C) (1.51)% (2.94)%
-------- -------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands).......... $322,096 $163,120 $114,933 $114,058 $133,373 $199,080 $168,957
Ratio of Expenses to Average Net Assets (D).... 0.56%(B) 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%(B) 0.56% 0.57% 0.59% 0.58%(B) 0.56% 0.58%
Ratio of Net Investment Income to Average Net
Assets....................................... 2.52%(B) 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.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ASIA PACIFIC SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................ $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 $ 15.28
----------- -------- -------- -------- -------- -------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.34 0.85 0.69 0.50 0.83 0.79 0.64
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 1.05 (2.16) 4.99 8.95 (17.04) 8.43 4.92
----------- -------- -------- -------- -------- -------- --------
Total From Investment Operations. 1.39 (1.31) 5.68 9.45 (16.21) 9.22 5.56
----------- -------- -------- -------- -------- -------- --------
Less Distributions
------------------
Net Investment Income............. (0.89) (1.29) (0.63) (0.53) (0.85) (0.75) (0.58)
Net Realized Gains................ -- -- -- -- -- -- --
Return of Capital................. -- -- -- -- -- -- --
----------- -------- -------- -------- -------- -------- --------
Total Distributions.............. (0.89) (1.29) (0.63) (0.53) (0.85) (0.75) (0.58)
----------- -------- -------- -------- -------- -------- --------
Net Asset Value, End of Period...... $ 23.54 $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26
=========== ======== ======== ======== ======== ======== ========
Total Return........................ 6.62%(C) (5.59)% 28.36% 84.11% (57.94)%(C) 46.55% 37.52%
----------- -------- -------- -------- -------- -------- --------
Net Assets, End of Period
(thousands) $202,769 $139,262 $131,511 $101,853 $64,044 $146,307 $71,537
Ratio of Expenses to Average Net
Assets(D)......................... 0.60%(B) 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%(B) 0.60% 0.61% 0.65% 0.61%(B) 0.59% 0.64%
Ratio of Net Investment Income to
Average Net Assets................ 3.04%(B) 3.34% 3.14% 3.53% 3.85%(B) 3.13% 3.68%
UNITED KINGDOM SMALL COMPANY PORTFOLIO
-------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................ $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 $ 24.65
------- ------- ------- ------- ------- ------- -------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.28 0.82 0.50 0.55 0.77 0.78 0.61
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 3.07 (0.85) 4.41 5.44 (15.84) (0.08) 9.61
------- ------- ------- ------- ------- ------- -------
Total From Investment Operations. 3.35 (0.03) 4.91 5.99 (15.07) 0.70 10.22
------- ------- ------- ------- ------- ------- -------
Less Distributions
------------------
Net Investment Income............. (0.41) (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.............. (0.41) (0.77) (0.50) (0.43) (1.95) (2.38) (1.90)
------- ------- ------- ------- ------- ------- -------
Net Asset Value, End of Period...... $ 26.38 $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97
======= ======= ======= ======= ======= ======= =======
Total Return........................ 14.72%(C) (0.28)% 25.37% 42.81% (50.97)%(C) 1.94% 44.15%
------- ------- ------- ------- ------- ------- -------
Net Assets, End of Period
(thousands) $30,288 $33,869 $33,751 $27,863 $25,883 $37,139 $31,808
Ratio of Expenses to Average Net
Assets(D)......................... 0.60%(B) 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)...................... 0.66%(B) 0.62% 0.64% 0.70% 0.65%(B) 0.62% 0.67%
Ratio of Net Investment Income to
Average Net Assets................ 2.42%(B) 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.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CONTINENTAL SMALL COMPANY PORTFOLIO
---------------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value,
Beginning of Period.... $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 $ 15.78
----------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations
----------------------
Net Investment Income
(Loss)(A)............. 0.18 0.39 0.27 0.28 0.52 0.40 0.31
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 0.12 (2.20) 1.89 4.29 (11.32) 3.00 6.28
----------- -------- -------- -------- -------- -------- --------
Total From Investment
Operations.......... 0.30 (1.81) 2.16 4.57 (10.80) 3.40 6.59
----------- -------- -------- -------- -------- -------- --------
Less Distributions
------------------
Net Investment Income.. (0.05) (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... (0.05) (0.46) (0.25) (0.28) (1.42) (0.92) (1.90)
----------- -------- -------- -------- -------- -------- --------
Net Asset Value, End of
Period................. $ 14.91 $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47
=========== ======== ======== ======== ======== ======== ========
Total Return............. 2.13%(C) (11.09)% 14.85% 43.12% (49.89)%(C) 16.99% 46.33%
----------- -------- -------- -------- -------- -------- --------
Net Assets, End of
Period (thousands)..... $120,485 $117,452 $128,106 $110,926 $93,988 $170,909 $90,261
Ratio of Expenses to
Average Net Assets..... 0.60%(B)(D) 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)............ 0.60%(B)(D) 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 2.48%(B) 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 N/A
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, PERIOD
ENDED ENDED ENDED ENDED 2007 TO MARCH 1, 2007(a)
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO
2012 2011 2010 2009 2008 NOV. 30, 2007
----------- ---------- -------- -------- -------- ----------------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 $ 10.00
----------- ---------- -------- -------- -------- ----------------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)....... 0.14 0.30 0.31 0.26 0.34 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.21 (0.33) 0.58 0.91 (5.08) (0.76)
----------- ---------- -------- -------- -------- ----------------
Total From Investment Operations..... 0.35 (0.03) 0.89 1.17 (4.74) (0.53)
----------- ---------- -------- -------- -------- ----------------
Less Distributions
------------------
Net Investment Income................. (0.25) (0.65) (0.55) (0.11) (0.43) (0.12)
Net Realized Gains.................... -- -- -- -- -- --
Return of Capital..................... -- -- -- -- -- --
----------- ---------- -------- -------- -------- ----------------
Total Distributions.................. (0.25) (0.65) (0.55) (0.11) (0.43) (0.12)
----------- ---------- -------- -------- -------- ----------------
Net Asset Value, End of Period.......... $ 5.00 $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35
=========== ========== ======== ======== ======== ================
Total Return............................ 7.89%(C) (0.43)% 18.96% 29.25% (52.85)%(C) (5.38)%(C)
----------- ---------- -------- -------- -------- ----------------
Net Assets, End of Period (thousands)... $1,238,784 $1,060,156 $958,554 $742,329 $394,480 $336,840
Ratio of Expenses to Average Net Assets. 0.41%(B) 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)........................... 0.41%(B) 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E)
Ratio of Net Investment Income (Loss)
to Average Net Assets 5.95%(B) 5.73% 6.42% 6.40% 5.20%(B) 3.50%(B)(E)
Portfolio Turnover Rate................. 4%(C) 7% 6% 5% 1%(C) 2%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR JUNE 4,
ENDED ENDED ENDED ENDED 2008(a) TO
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2012 2011 2010 2009 2008
----------- -------- -------- -------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period ............. $ 8.21 $ 8.28 $ 6.75 $ 6.04 $ 10.00
----------- -------- -------- -------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)................. 0.21 0.41 0.40 0.19 --
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.71 0.06 1.60 0.62 (3.96)
----------- -------- -------- -------- ----------
Total From Investment Operations............... 0.92 0.47 2.00 0.81 (3.96)
----------- -------- -------- -------- ----------
Less Distributions
------------------
Net Investment Income........................... (0.24) (0.54) (0.47) (0.10) --
Net Realized Gains.............................. -- -- -- -- --
----------- -------- -------- -------- ----------
Total Distributions............................ (0.24) (0.54) (0.47) (0.10) --
----------- -------- -------- -------- ----------
Net Asset Value, End of Period.................... $ 8.89 $ 8.21 $ 8.28 $ 6.75 $ 6.04
=========== ======== ======== ======== ==========
Total Return...................................... 11.80%(C) 6.17% 31.38% 13.81% (39.60)%(C)
----------- -------- -------- -------- ----------
Net Assets, End of Period (thousands)............. $1,129,525 $869,348 $695,461 $432,502 $90,672
Ratio of Expenses to Average Net Assets........... 0.37%(B)(D) 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)........................... 0.66%(B)(D) 0.73%(D) 0.73%(D) 0.79%(D) 0.86%(B)(D)(E)
Ratio of Net Investment Income to Average Net
Assets.......................................... 5.13%(B) 5.01% 5.59% 3.40% (0.04)%(B)(E)
Portfolio Turnover Rate........................... N/A N/A N/A N/A N/A
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period ........................... $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 $ 17.57
----------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)... 0.16 0.34 0.24 0.26 0.52 0.46 0.36
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.81 (0.98) 1.22 4.14 (9.60) 1.66 4.95
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations. 0.97 (0.64) 1.46 4.40 (9.08) 2.12 5.31
----------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............. (0.13) (0.38) (0.22) (0.24) (0.58) (0.53) (0.38)
Net Realized Gains................ (0.28) (0.29) -- (0.06) (1.57) (1.25) (0.79)
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.41) (0.67) (0.22) (0.30) (2.15) (1.78) (1.17)
----------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period...... $ 15.41 $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71
=========== ========== ========== ========== ========== ========== ==========
Total Return........................ 6.89%(C) (4.39)% 10.01% 41.42% (45.17)%(C) 10.25% 31.73%
----------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)....................... $8,158,614 $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............................ 0.71%(B) 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).... 0.71%(B) 0.70% 0.70% 0.71% 0.69%(B) 0.69% 0.70%
Ratio of Net Investment Income to
Average Net Assets................ 2.21%(B) 2.05% 1.57% 2.19% 3.22%(B) 2.03% 1.85%
Portfolio Turnover Rate............. 11%(C) 16% 18% 22% 16%(C) 18% 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-----------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR AUGUST 14,
ENDED ENDED ENDED ENDED 2008(a) TO
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2012 2011 2010 2009 2008
----------- -------- -------- -------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 9.34 $ 10.28 $ 9.22 $ 6.74 $ 10.00
----------- -------- -------- -------- -----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)................. 0.13 0.29 0.18 0.17 0.06
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.28 (0.87) 1.05 2.46 (3.32)
----------- -------- -------- -------- -----------
Total From Investment Operations............... 0.41 (0.58) 1.23 2.63 (3.26)
----------- -------- -------- -------- -----------
Less Distributions
------------------
Net Investment Income........................... (0.10) (0.29) (0.17) (0.15) --
Net Realized Gains.............................. (0.15) (0.07) -- -- --
----------- -------- -------- -------- -----------
Total Distributions............................ (0.25) (0.36) (0.17) (0.15) --
----------- -------- -------- -------- -----------
Net Asset Value, End of Period.................... $ 9.50 $ 9.34 $ 10.28 $ 9.22 $ 6.74
=========== ======== ======== ======== ===========
Total Return...................................... 4.68%(C) (5.99)% 13.62% 39.52% (32.60)%(C)
----------- -------- -------- -------- -----------
Net Assets, End of Period (thousands)............. $532,627 $410,580 $363,123 $262,544 $66,774
Ratio of Expenses to Average Net Assets........... 0.54%(B) 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%(B) 0.54% 0.53% 0.59% 1.15%(B)(E)
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.90%(B) 2.73% 1.91% 2.31% 3.01%(B)(E)
Portfolio Turnover Rate........................... 3%(C) 10% 5% 8% 0%(C)
WORLD EX U.S. VALUE PORTFOLIO
----------------------------------------------------------
SIX MONTHS YEAR PERIOD
ENDED ENDED AUG. 23, 2010(a)
APRIL 30, OCT. 31, TO
2012 2011 OCT. 31, 2010
----------- -------- ----------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 9.96 $ 11.35 $ 10.00
----------- -------- ----------------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)................. 0.12 0.30 0.02
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.04 (1.35) 1.33
----------- -------- ----------------
Total From Investment Operations............... 0.16 (1.05) 1.35
----------- -------- ----------------
Less Distributions
------------------
Net Investment Income........................... (0.09) (0.26) --
Net Realized Gains.............................. -- (0.08) --
----------- -------- ----------------
Total Distributions............................ (0.09) (0.34) --
----------- -------- ----------------
Net Asset Value, End of Period.................... $ 10.03 $ 9.96 $ 11.35
=========== ======== ================
Total Return...................................... 1.71%(C) (9.59)% 13.50%(C)
----------- -------- ----------------
Net Assets, End of Period (thousands)............. $55,300 $47,165 $29,616
Ratio of Expenses to Average Net Assets........... 0.60%(B)(D) 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)........................... 0.85%(B)(D) 0.91%(D) 1.37%(B)(D)(E)
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.49%(B) 2.64% 0.76%(B)(E)
Portfolio Turnover Rate........................... N/A N/A N/A
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SELECTIVELY HEDGED
GLOBAL EQUITY PORTFOLIO
-----------------------
PERIOD
NOV. 14,
2011(a) TO
APRIL 30,
2012
-----------------------
(UNAUDITED)
Net Asset Value, Beginning of Period..................................................................... $ 10.00
-------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)....................................................................... 0.08
Net Gains (Losses) on Securities (Realized and Unrealized)............................................ 0.85
-------
Total From Investment Operations.................................................................. 0.93
-------
Less Distributions
------------------
Net Investment Income................................................................................. (0.07)
Net Realized Gains.................................................................................... --
-------
Total Distributions............................................................................... (0.07)
-------
Net Asset Value, End of Period........................................................................... $ 10.86
=======
Total Return............................................................................................. 9.39%(C)
-------
Net Assets, End of Period (thousands).................................................................... $24,729
Ratio of Expenses to Average Net Assets(D)............................................................... 0.40%(B)(E)
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of
Previously Waived Fees)(D)............................................................................. 1.04%(B)(E)
Ratio of Net Investment Income to Average Net Assets..................................................... 1.68%(B)(E)
Portfolio Turnover Rate.................................................................................. N/A
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO
-------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period.......................... $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 $ 19.89
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income
(Loss)(A)...................... 0.17 0.61 0.48 0.42 0.70 0.64 0.48
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 0.87 (2.53) 6.07 8.42 (16.85) 9.88 5.61
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................... 1.04 (1.92) 6.55 8.84 (16.15) 10.52 6.09
---------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............ (0.16) (0.53) (0.46) (0.41) (0.69) (0.53) (0.58)
Net Realized Gains............... (1.04) (1.77) (0.42) (0.25) (1.34) (0.16) --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (1.20) (2.30) (0.88) (0.66) (2.03) (0.69) (0.58)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.... $ 26.52 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40
========== ========== ========== ========== ========== ========== ==========
Total Return...................... 4.47%(C) (6.82)% 26.53% 53.39% (48.37)%(C) 42.08% 31.31%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $2,677,076 $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)....................... 0.60%(B) 0.61% 0.60% 0.62% 0.60%(B) 0.60% 0.61%
Ratio of Net Investment Income to
Average Net Assets.............. 1.31%(B) 2.07% 1.76% 2.15% 2.59%(B) 2.12% 2.13%
EMERGING MARKETS SMALL CAP PORTFOLIO
---------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period.. $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 $ 13.37
---------- ---------- ---------- ---------- -------- ---------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)...... 0.12 0.42 0.34 0.26 0.44 0.31 0.30
Net Gains (Losses) on Securities
(Realized and Unrealized).......... 0.98 (3.67) 6.79 8.14 (12.95) 6.86 4.86
---------- ---------- ---------- ---------- -------- ---------- --------
Total From Investment
Operations....................... 1.10 (3.25) 7.13 8.40 (12.51) 7.17 5.16
---------- ---------- ---------- ---------- -------- ---------- --------
Less Distributions
------------------
Net Investment Income................ (0.15) (0.40) (0.32) (0.28) (0.41) (0.26) (0.26)
Net Realized Gains................... (0.40) (0.76) -- -- (1.49) (1.13) (0.31)
---------- ---------- ---------- ---------- -------- ---------- --------
Total Distributions................ (0.55) (1.16) (0.32) (0.28) (1.90) (1.39) (0.57)
---------- ---------- ---------- ---------- -------- ---------- --------
Net Asset Value, End of Period........ $ 20.40 $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96
========== ========== ========== ========== ======== ========== ========
Total Return.......................... 5.94%(C) (14.03)% 41.33% 91.35% (57.00)%(C) 42.58% 39.95%
---------- ---------- ---------- ---------- -------- ---------- --------
Net Assets, End of Period (thousands). $2,518,174 $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%(B) 0.79% 0.78% 0.80% 0.77%(B) 0.78% 0.81%
Ratio of Net Investment Income to
Average Net Assets.................. 1.22%(B) 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.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES +
------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED JAN. 29, 2008(a)
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO
2012 2011 2010 2009 OCT. 31, 2008
----------- -------- -------- -------- ----------------
(UNAUDITED)
Net Asset Value, Beginning of Period........................ $ 29.02 $ 36.35 $ 46.84 $ 85.43 $187.35
-------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)(A)............................ 0.12 0.20 0.56 0.56 3.93
Net Gains (Losses) on Securities (Realized and Unrealized). 0.46 (5.45) 9.18 21.36 (92.36)
-------- ------- ------- ------- -------
Total from Investment Operations......................... 0.58 (5.25) 9.74 21.92 (88.43)
-------- ------- ------- ------- -------
Less Distributions
------------------
Net Investment Income...................................... (0.20) (0.45) (7.12) (6.00) (13.49)
Net Realized Gains......................................... (0.39) (1.63) (13.11) (54.52) --
-------- ------- ------- ------- -------
Total Distributions...................................... (0.59) (2.08) (20.23) (60.52) (13.49)
-------- ------- ------- ------- -------
Net Asset Value, End of Period.............................. $ 29.01 $ 29.02 $ 36.35 $ 46.83 $ 85.43
======== ======= ======= ======= =======
Total Return................................................ 2.24%(C) (15.24)% 29.71% 78.29% (50.51)%(C)
-------- ------- ------- ------- -------
Net Assets, End of Period (thousands)....................... $103,576 $78,157 $39,668 $ 5,082 $ 1,799
Ratio of Expenses to Average Net Assets (D)................. 0.85%(B) 0.86% 0.86% 0.90% 0.92%(B)(E)
Ratio of Net Investment Income to Average Net Assets........ 0.83%(B) 1.56% 1.39% 1.39% 3.35%(B)(E)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
----------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007 2006
----------- ----------- ----------- ---------- ------------- ---------- ----------
(UNAUDITED)
Net Asset Value,
Beginning of Period.... $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 $ 22.86
----------- ----------- ----------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss)(A)............. 0.15 0.64 0.45 0.38 0.98 0.78 0.60
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 0.46 (5.72) 8.01 12.41 (25.48) 14.82 8.65
----------- ----------- ----------- ---------- ---------- ---------- ----------
Total from Investment
Operations.......... 0.61 (5.08) 8.46 12.79 (24.50) 15.60 9.25
----------- ----------- ----------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income.. (0.21) (0.54) (0.39) (0.34) (1.00) (0.63) (0.60)
Net Realized Gains..... (0.39) (1.63) (0.70) (2.91) (0.99) (0.38) (0.25)
----------- ----------- ----------- ---------- ---------- ---------- ----------
Total Distributions... (0.60) (2.17) (1.09) (3.25) (1.99) (1.01) (0.85)
----------- ----------- ----------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period................. $ 29.03 $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26
=========== =========== =========== ========== ========== ========== ==========
Total Return............. 2.35%(C) (14.84)% 30.04% 78.59% (55.65)%(C) 50.98% 41.55%
----------- ----------- ----------- ---------- ---------- ---------- ----------
Net Assets, End of
Period (thousands)..... $15,873,268 $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). 0.60%(B) 0.61% 0.60% 0.62% 0.60%(B) 0.60% 0.63%
Ratio of Net Investment
Income to Average Net
Assets................. 1.07%(B) 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)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO
-----------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................. $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 $ 11.54
----------- ---------- ---------- ---------- ---------- ---------- --------
Income From Investment Operations
---------------------------------
Net Investment Income
(Loss)(A)....................... 0.13 0.43 0.30 0.25 0.43 0.35 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)....... 0.67 (2.65) 4.81 6.56 (11.27) 6.10 3.54
----------- ---------- ---------- ---------- ---------- ---------- --------
Total From Investment
Operations.................. 0.80 (2.22) 5.11 6.81 (10.84) 6.45 3.81
----------- ---------- ---------- ---------- ---------- ---------- --------
Less Distributions
------------------
Net Investment Income............. (0.13) (0.36) (0.29) (0.20) (0.40) (0.32) (0.22)
Net Realized Gains................ -- -- -- -- (0.08) (0.06) --
----------- ---------- ---------- ---------- ---------- ---------- --------
Total Distributions........... (0.13) (0.36) (0.29) (0.20) (0.48) (0.38) (0.22)
----------- ---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period....... $ 19.40 $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13
=========== ========== ========== ========== ========== ========== ========
Total Return......................... 4.34%(C) (10.59)% 31.30% 69.47% (51.93)%(C) 43.20% 33.39%
----------- ---------- ---------- ---------- ---------- ---------- --------
Net Assets, End of Period
(thousands)........................ $7,642,876 $5,367,473 $4,179,882 $2,455,035 $1,155,526 $1,829,466 $822,136
Ratio of Expenses to Average Net
Assets............................. 0.65%(B) 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).......... 0.66%(B) 0.68% 0.65% 0.67% 0.65%(B) 0.65% 0.72%
Ratio of Net Investment Income to
Average Net Assets................. 1.34%(B) 2.04% 1.63% 2.03% 2.62%(B) 1.87% 2.02%
Portfolio Turnover Rate.............. 1%(C) 1% 4% 6% 3%(C) 2% 6%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of sixty-six
operational portfolios, of which twenty-seven (the "Portfolios") are included
in this section of the report and the remaining thirty-nine 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. International Small Company Portfolio invests in
five portfolios within The DFA Investment Trust Company. 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. Selectively Hedged Global Equity
Portfolio invests in three portfolios of the DFA Investment Dimensions Group
Inc.
PERCENTAGE
OWNERSHIP
FEEDER FUNDS MASTER FUNDS AT 04/30/12
------------ ------------ -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 78%
Japanese Small Company Portfolio The Japanese Small Company Series 19%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 21%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2%
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 99%
FUND OF FUNDS
-------------
International Small Company Portfolio The Japanese Small Company Series 81%
The Asia Pacific Small Company Series 79%
The United Kingdom Small Company Series 98%
The Continental Small Company Series 94%
The Canadian Small Company Series 100%
DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 19%
DFA International Real Estate
Securities Portfolio 35%
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --
DFA International Small Cap Value
Portfolio --
The DFA International Value Series 1%
Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio --
International Core Equity Portfolio --
Emerging Markets Core Equity Portfolio --
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
112
Portfolio, World ex U.S. Value Portfolio and Selectively Hedged Global Equity
Portfolio also invest in short-term temporary cash investments.
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
Prior to March 30, 2007, U.S. Targeted Value Portfolio invested
substantially all of its assets in shares of The U.S. Targeted Value Series. At
the close of business on March 29, 2007, U.S. Targeted Value Portfolio received
its pro-rata share of cash and securities from The U.S. Targeted Value Series
in a complete liquidation of its interest in the Series. Effective March 30,
2007, U.S. Targeted Value Portfolio invests directly in securities rather than
through the Series and maintains the same investment objective.
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 fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
113
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 at the close of the exchanges on which they are
principally traded (official closing price). International equity securities
are subject to a fair value factor, as described later in this note. Securities
held by the Domestic Equity Portfolios and the International Equity Portfolios
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Domestic Equity Portfolios and International Equity Portfolios value the
securities at the mean of the most recent quoted bid and asked prices which
approximate fair value. 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. 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 evaluated prices provided by one
or more pricing services or other reasonably reliable sources including
broker/dealers that typically handle the purchase and sale of such securities.
Securities 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.
114
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,
World ex U.S. Value Portfolio, and Selectively Hedged Global Equity Portfolio
are valued at their respective daily net asset value. The Feeder Funds,
International Small Company Portfolio, and World ex U.S. Value Portfolio's
investments reflect proportionate interest in the net assets of their
corresponding Master Fund. These valuations are classified as Level 1 in the
hierarchy.
A summary of inputs used to value the Portfolios' investments by each major
security type, industry and/or country is disclosed previously in the Security
Valuation note. Valuation hierarchy tables have been included 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 six months ended April 30, 2012.
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
and Selectively Hedged Global Equity Portfolio also enter 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.
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
115
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board of the Fund (unless the Director files an amended Notice
selecting a different distribution date). As of April 30, 2012, none of the
Directors have requested or received a distribution of proceeds of a deferred
fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities/affiliated investment companies are on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities 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 Portfolio, Emerging Markets Small Cap Portfolio, Emerging
Markets Value Portfolio and Emerging Markets Core Equity 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 six months ended April 30, 2012, 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%
116
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**................. 0.25%
Large Cap International Portfolio...................... 0.25%
International Core Equity Portfolio.................... 0.35%
DFA International Real Estate Securities Portfolio..... 0.35%
DFA Global Real Estate Securities Portfolio**.......... 0.32%
DFA International Small Cap Value Portfolio............ 0.65%
International Vector Equity Portfolio.................. 0.45%
World ex U.S. Value Portfolio.......................... 0.47%
Selectively Hedged Global Equity Portfolio............. 0.30%
Emerging Markets Core Equity Portfolio................. 0.55%
** Effective February 28, 2012, the DFA Real Estate Securities Portfolio and
DFA Global Real Estate Securities Portfolio reduced their investment
advisory fees from 0.30% to 0.17% and 0.35% to 0.27% of average daily net
assets, respectively.
For the six months ended April 30, 2012, 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 objectives 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,
117
as described in the notes below. The Fee Waiver and Expense Assumption
Agreement for the Portfolios below will remain in effect through February 28,
2013, and shall continue in effect from year to year thereafter unless
terminated by the Fund or the Advisor. For the six months ended April 30, 2012,
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 Fund, on behalf of the Portfolios, 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 recovery.
PREVIOUSLY
RECOVERY WAIVED FEES/
OF PREVIOUSLY EXPENSES ASSUMED
EXPENSE WAIVED FEES/ SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES LIMITATION AMOUNT 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% -- --
DFA Real Estate Securities Portfolio (2).......... 0.18% -- $ 73
International Core Equity Portfolio (2)........... 0.49% -- --
International Small Company Portfolio (3)......... 0.45% -- --
Japanese Small Company Portfolio (4).............. 0.47% -- --
Asia Pacific Small Company Portfolio (4).......... 0.47% -- --
United Kingdom Small Company Portfolio (4)........ 0.47% -- 40
Continental Small Company Portfolio (4)........... 0.47% -- --
DFA International Real Estate Securities
Portfolio (2)................................... 0.65% -- --
DFA Global Real Estate Securities Portfolio (5)... 0.32% -- 6,048
International Vector Equity Portfolio (2)......... 0.60% -- --
World ex U.S. Value Portfolio (9)................. 0.60% -- 225
Selectively Hedged Global Equity Portfolio (10)... 0.40% -- 63
Emerging Markets Core Equity Portfolio (2)........ 0.85% -- --
CLASS R1 SHARES
---------------
U.S. Targeted Value Portfolio (6)................. 0.62% -- --
CLASS R2 SHARES
---------------
U.S. Targeted Value Portfolio (7)................. 0.77% -- --
Emerging Markets Value Portfolio (8).............. 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 and excluding any applicable 12b-1 fees)
("Portfolios Expenses") to the extent necessary to limit the Portfolio
Expenses of the Institutional Class Shares to the rate listed above as a
percentage of average net assets on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of the
Portfolio's Institutional Class Shares are less than the Expense
Limitation Amount 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 Portfolio Expenses to exceed the Expense Limitation Amount, 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 and excluding any applicable 12b-1 fees)
("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
118
basis (the "Expense Limitation Amount"). At any time that the Portfolio
Expenses of a Portfolio are less than the Expense Limitation Amount 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 Expense Limitation Amount, as listed above.
(3) The Advisor has contractually agreed to waive its administration fee and
to assume the other direct expenses of the Portfolio (excluding expenses
incurred through its investment in other investment companies and
excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of the Portfolio, on an
annualized basis, to the rate listed above as a percentage of average net
assets (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 applicable Expense Limitation Amount, as listed
above.
(4) The Advisor has contractually agreed to waive its administration fee and
to assume each Portfolio's other direct expenses 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 "Expense
Limitation Amount"). 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 Expense Limitation Amount 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 direct expenses to exceed the Expense Limitation Amount, as
listed above.
(5) Effective February 28, 2012, 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 and excluding any
applicable 12b-1 fees) ("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 (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of the
Portfolio are less than the Expense Limitation Amount 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 Portfolio Expenses to exceed the Expense
Limitation Amount, as listed above.
Prior to February 28, 2012, the Advisor 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 0.55% of average net assets on an
annualized basis. At any time that the annualized Portfolio Expenses of the
Portfolio were less than 0.55% of average net assets on an annualized basis,
the Advisor retained the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery did not cause the
Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation
Amount then in effect. The Advisor 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.
(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 and excluding
any applicable 12b-1 fees) ("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 (the
"Expense Limitation Amount"). At any time that the Class R1 Shares'
Portfolio Expenses are less than the Expense Limitation Amount listed
above, the Advisor retains the right to recover
119
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 Expense Limitation Amount, as listed
above.
(7) 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 and excluding
any applicable 12b-1 fees) ("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 (the
"Expense Limitation Amount"). At any time that the Class R2 Shares'
Portfolio Expenses are less than the Expense Limitation Amount 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 Portfolio Expenses to exceed the
Expense Limitation Amount, as listed above.
(8) The Advisor has contractually agreed to assume the Portfolio's direct
expenses (excluding management fees and custodian fees, and excluding any
applicable 12b-1 fees) to the extent necessary to limit the expenses
(excluding the expenses the Portfolio incurs indirectly through investment
in other investment companies) ("Portfolio Expenses") of the Class R2
shares to the rate listed above as a percentage of 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 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
Portfolio Expenses to exceed the Expense Limitation Amount, as listed
above.
(9) 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 but excluding any applicable 12b-1 fees) ("Portfolio Expenses")
so that such Portfolio Expenses do not exceed the rate listed above as a
percentage of average net assets on an annualized basis the ("Expense
Limitation Amount"). The maximum amount that may be waived to limit
Portfolio Expenses pursuant to this paragraph is the amount of the
Remaining Management Fee. Further, at any time that the Portfolio Expenses
of the Portfolio are less than the Portfolio's Expense Limitation Amount,
the Advisor retains the right to seek reimbursement for the amount of any
Remaining Management Fees previously waived to the extent that such
reimbursement will not cause the Portfolio's annualized Portfolio Expenses
to exceed the Portfolio's Expense Limitation Amount.
(10) The Advisor has contractually agreed to waive up to the full amount of the
Portfolio's management fee of 0.30% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through
its investment in its Master Funds. In addition, under the Fee Waiver and
Expense Assumption Agreement, the Advisor has also agreed to waive all or
a portion of the management fee and to assume the ordinary operating
expenses of a class of the Portfolio (including expenses incurred through
its investment in other investment companies but excluding any applicable
12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of a class of the Portfolio to the rate listed above as
a percentage of average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses of a class of the Portfolio are less than the Expense
Limitation Amount for a class of the Portfolio, the Advisor retains the
right to seek reimbursement for any fees previously waived and/or expenses
previously assumed to the extent that such reimbursement will not cause
the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the 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
120
the accompanying financial statements is presented before reduction for
credits. During the six months ended April 30, 2012, expenses reduced were as
follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Large Cap International Portfolio...................... $ 4
International Core Equity Portfolio.................... 10
DFA International Real Estate Securities Portfolio..... 3
DFA International Small Cap Value Portfolio............ 16
International Vector Equity Portfolio.................. 2
Emerging Markets Core Equity Portfolio................. 51
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2012, the total
related amounts paid by the Fund to the CCO were $116 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
Enhanced U.S. Large Company Portfolio.............. $ 6
U.S. Large Cap Value Portfolio..................... 197
U.S. Targeted Value Portfolio...................... 50
U.S. Small Cap Value Portfolio..................... 193
U.S. Core Equity 1 Portfolio....................... 68
U.S. Core Equity 2 Portfolio....................... 123
U.S. Vector Equity Portfolio....................... 39
U.S. Small Cap Portfolio........................... 86
U.S. Micro Cap Portfolio........................... 98
DFA Real Estate Securities Portfolio............... 65
Large Cap International Portfolio.................. 45
International Core Equity Portfolio................ 114
International Small Company Portfolio.............. 136
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. 21
DFA Global Real Estate Securities Portfolio........ 12
DFA International Small Cap Value Portfolio........ 212
International Vector Equity Portfolio.............. 8
World ex U.S. Value Portfolio...................... --
Selectively Hedged Global Equity Portfolio......... --
Emerging Markets Portfolio......................... 63
Emerging Markets Small Cap Portfolio............... 35
Emerging Markets Value Portfolio................... 231
121
Emerging Markets Core Equity Portfolio. $83
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, 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.................. $ 11,338 $ 9,400 $ 78,576 $ 52,135
U.S. Targeted Value Portfolio.......................... -- -- 380,691 293,215
U.S. Small Cap Value Portfolio......................... -- -- 469,373 656,309
U.S. Core Equity 1 Portfolio........................... -- -- 487,711 81,545
U.S. Core Equity 2 Portfolio........................... -- -- 315,131 178,895
U.S. Vector Equity Portfolio........................... -- -- 107,375 202,014
U.S. Small Cap Portfolio............................... -- -- 394,333 313,276
U.S. Micro Cap Portfolio............................... -- -- 282,131 335,392
DFA Real Estate Securities Portfolio................... -- -- 92,386 1,751
Large Cap International Portfolio...................... -- -- 247,371 38,958
International Core Equity Portfolio.................... -- -- 557,168 206,529
DFA International Real Estate Securities Portfolio..... -- -- 146,541 40,631
DFA International Small Cap Value Portfolio............ -- -- 1,191,768 830,652
International Vector Equity Portfolio.................. -- -- 112,628 13,389
Emerging Markets Core Equity Portfolio................. -- -- 1,998,157 37,340
For the six months ended April 30, 2012, the Fund of Funds made the
following purchases and sales of Affiliated Investment Companies (amounts in
thousands):
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
---------------------------------------------------------------------------
BALANCE AT BALANCE AT DISTRIBUTIONS OF
10/31/2011 04/30/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS
AFFILIATED INVESTMENT COMPANIES ---------- ---------- ---------- -------- ---------------- ----------------
DFA Real Estate Securities Portfolio.... $ 520,990 $ 694,157 $ 107,185 $ 9,377 $ 6,565 --
DFA International Real Estate
Securities Portfolio.................. 346,939 432,887 78,635 5,564 17,980 --
WORLD EX U.S. VALUE PORTFOLIO
---------------------------------------------------------------------------
BALANCE AT BALANCE AT DISTRIBUTIONS OF
10/31/2011 04/30/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS
AFFILIATED INVESTMENT COMPANY ---------- ---------- ---------- -------- --------------- -----------------
DFA International Small Cap Value
Portfolio............................. $ 3,724 $ 4,548 $ 821 $ 221 $ 37 $ 80
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
-------------------------------------------------------------------------
BALANCE AT BALANCE AT DISTRIBUTIONS OF
10/31/2011 04/30/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS
AFFILIATED INVESTMENT COMPANY ---------- ------------ ---------- ----- --------------- ----------------
U.S. Core Equity 2 Portfolio............ -- $ 9,752 $ 8,882 -- $ 57 --
International Core Equity Portfolio..... -- 9,315 8,793 -- 85 --
Emerging Markets Core Equity Portfolio -- 4,648 4,456 -- 26 --
122
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
123
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
124
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
125
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
Selectively Hedged Global Equity Portfolio commenced operations on
November 14, 2011 and did not pay any distributions for the year ended
October 31, 2011.
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
126
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS
SHORT-TERM LONG-TERM LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
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)
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
127
U.S. Core Equity 1 Portfolio................ $ 31,942
U.S. Core Equity 2 Portfolio................ 69,082
U.S. Vector Equity Portfolio................ 47,040
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 April 30, 2012, 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.............. $ 189,060 $ 2,486 $ (150) $ 2,336
U.S. Large Cap Value Portfolio..................... 6,094,232 2,174,006 (278,001) 1,896,005
U.S. Targeted Value Portfolio...................... 2,920,043 619,370 (177,489) 441,881
U.S. Small Cap Value Portfolio..................... 7,278,572 1,881,354 (1,087,075) 794,279
U.S. Core Equity 1 Portfolio....................... 4,548,895 1,003,673 (279,066) 724,607
U.S. Core Equity 2 Portfolio....................... 6,788,683 1,522,556 (623,180) 899,376
U.S. Vector Equity Portfolio....................... 2,068,511 448,063 (231,819) 216,244
U.S. Small Cap Portfolio........................... 4,620,853 1,138,992 (471,403) 667,589
U.S. Micro Cap Portfolio........................... 3,531,151 1,128,765 (608,635) 520,130
DFA Real Estate Securities Portfolio............... 3,144,305 1,264,958 (196,524) 1,068,434
Large Cap International Portfolio.................. 2,192,394 419,825 (297,014) 122,811
International Core Equity Portfolio................ 7,201,468 871,740 (1,180,631) (308,891)
International Small Company Portfolio.............. 6,025,003 1,307,951 (1,129,844) 178,107
Japanese Small Company Portfolio................... 365,090 82,337 (125,218) (42,881)
Asia Pacific Small Company Portfolio............... 193,383 77,832 (68,371) 9,461
United Kingdom Small Company Portfolio............. 25,072 28,622 (23,398) 5,224
Continental Small Company Portfolio................ 122,410 76,595 (78,471) (1,876)
DFA International Real Estate Securities Portfolio. 1,407,991 136,741 (149,290) (12,549)
DFA Global Real Estate Securities Portfolio........ 900,274 258,691 (29,777) 228,914
DFA International Small Cap Value Portfolio........ 9,724,266 1,375,745 (2,046,120) (670,375)
International Vector Equity Portfolio.............. 546,413 104,499 (51,629) 52,870
World ex U.S. Value Portfolio...................... 52,944 2,330 -- 2,330
Selectively Hedged Global Equity Portfolio......... 23,034 1,600 (16) 1,584
Emerging Markets Portfolio......................... 1,636,404 1,168,071 (126,421) 1,041,650
Emerging Markets Small Cap Portfolio............... 2,177,557 556,186 (214,626) 341,560
128
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
Emerging Markets Value Portfolio....... $15,644,124 $2,645,192 $(2,306,699) $338,493
Emerging Markets Core Equity Portfolio. 7,522,371 1,390,331 (640,402) 749,929
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
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 additional 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 six months.
Each of the Portfolios' federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
On October 22, 2008, The U.S. Micro Cap Series and The U.S. Small Cap Value
Series and on October 25, 2008 The U.S. Small Cap Series, each a master fund in
a RIC/RIC master-feeder structure, each with a RIC feeder ("the Portfolios"),
having 100% investment in their respective master fund, have each made a
"Check-the-box" election for federal income tax purposes pursuant to Treasury
Regulation (S) 301.7701-3, to change their federal entity classifications from
a corporation taxable as a regulated investment company to a disregarded
entity. As a result of this election for tax purposes, each master fund is
deemed to have liquidated and distributed all of its assets and liabilities to
its owners, the respective portfolios (the RIC feeders), with the respective
portfolios deemed the surviving entities. The final tax year end of the Master
Funds was October 21, 2008 for The U.S. Micro Cap Series and The U.S. Small Cap
Value Series and October 24, 2008 for The U.S. Small Cap Series. For Federal
income tax purposes, pursuant to Code (S)337(a), each of the master funds
recognizes no gain or loss and, pursuant to Code (S)332(a), each of the
Portfolios recognizes no gain or loss on the deemed liquidation. However,
pursuant to IRC (S)332 (c), each of the aforementioned Portfolios has
recognized the master fund's deemed dividend, which was distributed as part of
the deemed liquidating distribution, as taxable income. Pursuant to IRC Code
(S)334(b)(1) and (S)1223, each of the Portfolios will maintain each respective
master fund's holding period and tax basis in the assets deemed transferred to
the respective Portfolio.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
On November 1, 2008, The Enhanced U.S. Large Company Series, a master fund
in a RIC/RIC master-feeder structure and Enhanced U.S. Large Company Portfolio
("the Portfolio"), having 100% investment in its respective master fund, made a
"Check-the-box" election for federal income tax purposes pursuant to Treasury
Regulation (S)301.7701-3, to change the Series' federal entity classification
from a corporation taxable as a regulated investment company to a disregarded
entity. As a result of this election for tax purposes, the master fund is
deemed to have liquidated and distributed all of its assets and liabilities to
its owner, the Portfolio, with the Portfolio deemed the
129
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.
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.
130
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, 2012 OCT. 31, 2011
-------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- -------
U.S. TARGETED VALUE PORTFOLIO
Class R1 Shares
Shares Issued...................................... $ 3,340 205 $ 9,612 586
Shares Issued in Lieu of Cash Distributions........ 519 35 362 23
Shares Redeemed.................................... (4,690) (290) (7,533) (462)
Shares Reduced by Reverse Stock Split.............. -- -- -- (2)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R1 Shares............ $ (831) (50) $ 2,441 145
=========== ======= =========== =======
Class R2 Shares
Shares Issued...................................... $ 2,255 138 $ 9,524 636
Shares Issued in Lieu of Cash Distributions........ 120 8 56 4
Shares Redeemed.................................... (1,863) (118) (5,191) (324)
Shares Reduced by Reverse Stock Split.............. -- -- -- (7)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 512 28 $ 4,389 309
=========== ======= =========== =======
Institutional Class Shares
Shares Issued...................................... $ 456,911 28,773 $ 905,224 55,728
Shares Issued in Lieu of Cash Distributions........ 27,712 1,868 20,970 1,322
Shares Redeemed.................................... (384,263) (23,964) (731,188) (45,320)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 100,360 6,677 $ 195,006 11,730
=========== ======= =========== =======
EMERGING MARKETS VALUE PORTFOLIO
Class R2 Shares
Shares Issued...................................... $ 50,021 1,782 $ 95,176 3,360
Shares Issued in Lieu of Cash Distributions........ 1,839 71 2,336 68
Shares Redeemed.................................... (26,990) (976) (50,507) (1,599)
Shares Reduced by Conversion of Shares............. -- -- -- (19,608)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 24,870 877 $ 47,005 (17,779)
=========== ======= =========== =======
Institutional Class Shares
Shares Issued...................................... $ 3,150,726 110,083 $ 6,396,694 187,544
Shares Issued in Lieu of Cash Distributions........ 268,015 10,364 709,030 20,853
Shares Redeemed.................................... (1,336,211) (46,865) (1,754,714) (53,557)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 2,082,530 73,582 $ 5,351,010 154,840
=========== ======= =========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of
Recapitalization of U.S. Targeted Value Portfolio's Class R1 and Class R2
Shares. On November 19, 2010, a reverse stock split was executed whereby each
shareholder of Class R1 Shares received one share for every 1.469 shares held
and each shareholder of Class R2 Shares received one share for every 1.394
shares held. The purpose of the reverse split was to reduce the number of Class
R1 Shares and Class R2 Shares, thereby increasing the net asset value of each
Class R1 Share and Class R2 Share outstanding in order to more closely align
the net asset values with the net asset value
131
of U.S. Targeted Value Portfolio's Institutional Class Shares. The per share
data in the financial highlights, capital share activity in the statements of
changes in net assets and the outstanding shares and net asset value as of
October 31, 2010 in the statement of assets and liabilities have been
retroactively restated to reflect the reverse stock splits for the respective
Class R1 Shares and Class R2 Shares.
The Board of Directors/Trustees of DFA Investment Dimensions Group Inc.
authorized the conversion of the Class R2 Shares of Emerging Markets Value
Portfolio to the Class R2A Shares. The Class R2 Shares of Emerging Markets
Value Portfolio ceased to be offered and available for purchase upon the close
of business on December 3, 2010. Following the conversion, shareholders and
investors purchased and redeemed class R2A Shares of the Portfolio. The value
of a shareholder's investment in the Portfolio was not impacted by the
conversion, however, a shareholder received fewer Class R2A Shares than the
number of Class R2 Shares held at the time of the conversion because the Class
R2A Shares has a higher net asset value per share. Effective February 28, 2011,
Class R2A Shares were renamed to Class R2 Shares.
The per share data in the financial highlights prior to the 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:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
3. Forward Currency Contracts: Enhanced U.S. Large Company Portfolio and
Selectively Hedged Global Equity Portfolio may enter into forward currency
contracts to hedge against adverse changes in the relationship of the U.S.
dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge a Portfolio's currency exposure with respect to a foreign market will be
based primarily on the Portfolio's existing exposure to a given foreign
currency. Each contract is valued daily and the change in value is recorded by
the Portfolio as an unrealized gain or loss, which is presented in the
Statements of Operations as the change in unrealized appreciation or
depreciation of translation of foreign currency denominated amounts. When the
contract is closed or offset with the same counterparty, the Portfolio records
a realized gain or loss equal to the change in the value of the contract when
it was opened and the value at the time it was closed or offset. This is
presented in the Statements of Operations as a net realized gain or loss on
foreign currency transactions. At April 30, 2012, Enhanced U.S. Large Company
Portfolio and Selectively Hedged Global Equity 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):
132
ENHANCED U.S. LARGE COMPANY PORTFOLIO*
UNREALIZED
FOREIGN
VALUE AT EXCHANGE
SETTLEMENT CURRENCY CONTRACT APRIL 30, GAIN
DATE AMOUNT** CURRENCY AMOUNT 2012 (LOSS)
---------- -------- ------------------ -------- --------- ----------
05/23/12 (13,214) Canadian Dollars $(13,318) $(13,370) $(52)
05/23/12 (4,907) Canadian Dollars (4,988) (4,965) 23
05/23/12 (2,606) UK Pound Sterling (4,174) (4,228) (54)
05/08/12 (3,210) Euro (4,249) (4,249) --
05/08/12 (2,770) Euro (3,654) (3,667) (13)
05/08/12 (2,134) Euro (2,804) (2,825) (21)
05/08/12 (1,607) Euro (2,112) (2,127) (15)
05/08/12 (20,599) Euro (27,437) (27,269) 168
-------- -------- ----
$(62,736) $(62,700) $ 36
======== ======== ====
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO*
UNREALIZED
FOREIGN
VALUE AT EXCHANGE
SETTLEMENT CURRENCY CONTRACT APRIL 30, GAIN
DATE AMOUNT** CURRENCY AMOUNT 2012 (LOSS)
---------- -------- ------------------ -------- --------- ----------
05/14/12 (1,430) Euro $(1,873) $(1,893) $(20)
05/14/12 (444) Swiss Francs (484) (489) (5)
05/14/12 (131,746) Japanese Yen (1,632) (1,651) (19)
05/14/12 (5,467) Hong Kong Dollars (705) (705) --
------- ------- ----
$(4,694) $(4,738) $(44)
======= ======= ====
* During the six months ended April 30, 2012, Enhanced U.S. Large Company
Portfolio's and Selectively Hedged Global Equity Portfolio's average cost
basis contract amount of forward currency contracts was $(33,707) and
$(3,934) (in thousands), respectively.
** Positive Currency Amount represents a purchase contract and a Currency
Amount in parentheses represents a sales contract.
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 and Selectively Hedged Global Equity Portfolio uses stock
index futures to hedge against changes in equity securities' prices and to gain
exposure to the S&P 500 Index(R) and S&P 500 Index(R) Emini, respectively, in
the normal course of pursuing its investment objectives. Upon entering into a
futures contract, the Portfolios deposit cash or pledge 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 Portfolios as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
Portfolios record a realized gain or loss, which is presented in the 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 Portfolios could lose more
than the initial margin requirements.
133
The Portfolios entering into stock index futures are subject to equity price
risk from those futures contracts. Counterparty credit risk related to
exchange-traded futures is minimal because the exchange's clearinghouse, as
counterparty to all exchange-traded futures, guarantees the futures against
default.
At April 30, 2012, the following Portfolios had outstanding futures
contracts (dollar amounts in thousands):
APPROXIMATE
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL
---------------------- ---------- ---------- -------- ----------- -----------
Enhanced U.S. Large Company Portfolio... S&P 500 Index(R) 06/15/2012 524 $182,562 $7,822 --
Selectively Hedged Global Equity
Portfolio............................. S&P 500 Index(R)Emini 06/15/2012 12 836 13 $42
Securities have been segregated as collateral for open futures contracts.
* During the six months ended April 30, 2012, Enhanced U.S. Large Company
Portfolio's and Selectively Hedged Global Equity Portfolio's average notional
contract amount of outstanding futures contracts were $167,440 and $556 (in
thousands), respectively.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of April 30, 2012:
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
-------------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- --------------------------- ---------------------------
Foreign exchange contracts Unrealized Gain on Unrealized Loss on Forward
Forward Currency Contracts Currency Contracts
Equity contracts Payables: Futures
Margin Variation
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2012 (amounts in
thousands):
ASSET DERIVATIVES VALUE
---------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
APRIL 30, 2012 CONTRACTS CONTRACTS
-------------- --------- ---------
Enhanced U.S. Large Company Portfolio........... $8,013 $191 $7,822*
Selectively Hedged Global Equity Portfolio...... 13 -- 13*
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
APRIL 30, 2012 CONTRACTS CONTRACTS
-------------- --------- ---------
Enhanced U.S. Large Company Portfolio........... $(155) $(155) --
Selectively Hedged Global Equity Portfolio...... (44) (44)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings through the six months ended
April 30, 2012 (amounts in thousands):
LOCATION OF GAIN (LOSS) ON
DERIVATIVE TYPE DERIVATIVES RECOGNIZED IN INCOME
--------------- -------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign
Currency Transactions Change in
Unrealized Appreciation
(Depreciation) of: Translation of
Foreign Currency Denominated Amounts
134
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME
--------------- -------------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the six months ended April 30, 2012 (amounts in
thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
RECOGNIZED IN INCOME
-------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio....................... $21,346 $(629) $21,975
U.S. Targeted Value Portfolio*.............................. 3,336 -- 3,336
U.S. Small Cap Value Portfolio*............................. 628 -- 628
U.S. Vector Equity Portfolio*............................... (850) -- (850)
DFA Real Estate Securities Portfolio*....................... (46) -- (46)
Selectively Hedged Global Equity Portfolio.................. 147 104 43
Emerging Markets Core Equity Portfolio*..................... 2,698 -- 2,698
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES RECOGNIZED IN INCOME
--------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio....................... $(1,253) $ 337 $(1,590)
U.S. Small Cap Value Portfolio.............................. (536) -- (536)
Selectively Hedged Global Equity Portfolio.................. (31) (44) 13
* As of April 30, 2012, there were no futures contracts outstanding. During the
six months ended April 30, 2012, the Portfolios 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 July 6,
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 Portfolios under this line of credit during the six months ended April 30,
2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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
135
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 11, 2013.
For the six months ended April 30, 2012, 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% $ 6,601 34 $ 5 $24,575
U.S. Small Cap Value Portfolio.................... 0.87% 8,333 32 6 30,792
U.S. Core Equity 2 Portfolio...................... 0.84% 5,086 2 -- 6,239
U.S. Vector Equity Portfolio...................... 0.83% 2,463 11 1 4,214
U.S. Small Cap Portfolio.......................... 0.85% 2,728 5 -- 9,058
U.S. Micro Cap Portfolio.......................... 0.84% 4,388 23 2 9,570
DFA Real Estate Securities Portfolio.............. 0.82% 722 7 -- 2,460
Large Cap International Portfolio................. 0.85% 1,867 19 1 4,265
International Core Equity Portfolio............... 0.82% 15,473 22 8 33,740
International Small Company Portfolio............. 0.87% 4,225 6 1 11,057
DFA International Real Estate
Securities Portfolio.............................. 0.83% 4,454 22 2 16,074
DFA Global Real Estate
Securities Portfolio.............................. 0.82% 7,895 1 -- 7,895
DFA International Small Cap Value Portfolio....... 0.82% 9,091 20 4 44,344
International Vector Equity Portfolio............. 0.83% 992 35 1 4,219
World ex U.S. Value Portfolio..................... 0.86% 232 12 -- 1,777
Emerging Markets Core Equity Portfolio............ 0.84% 3,380 2 -- 3,993
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2012 that each Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by the Portfolios under this line of
credit as of April 30, 2012.
J. SECURITIES LENDING:
As of April 30, 2012, 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 $194,019 (in thousands). Each Portfolio invests the cash collateral,
as described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral equal to at least (i) 100% of the
current market value of the loaned securities with respect to securities of the
U.S. government or its agencies, (ii) 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) 105% of the
current market value of the loaned securities with respect to foreign
securities. However, daily market fluctuations could cause the Portfolios'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Portfolio will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the
136
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, 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 May 2011, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("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
137
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 April 30, 2012, 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 75%
U.S. Targeted Value Portfolio -- Class R1 Shares.. 1 94%
U.S. Targeted Value Portfolio -- Class R2 Shares.. 3 77%
U.S. Targeted Value Portfolio -- Institutional
Class Shares.................................... 2 54%
U.S. Small Cap Value Portfolio -- Institutional
Class Shares.................................... 2 50%
U.S. Core Equity 1 Portfolio -- Institutional
Class Shares.................................... 3 65%
U.S. Core Equity 2 Portfolio -- Institutional
Class Shares.................................... 3 64%
U.S. Vector Equity Portfolio -- Institutional
Class Shares.................................... 4 91%
U.S. Small Cap Portfolio -- Institutional Class
Shares.......................................... 3 52%
U.S. Micro Cap Portfolio -- Institutional Class
Shares.......................................... 2 54%
DFA Real Estate Securities Portfolio --
Institutional Class Shares...................... 3 74%
Large Cap International Portfolio --
Institutional Class Shares...................... 2 65%
International Core Equity Portfolio --
Institutional Class Shares...................... 3 68%
International Small Company Portfolio --
Institutional Class Shares...................... 2 48%
Japanese Small Company Portfolio -- Institutional
Class Shares.................................... 2 70%
Asia Pacific Small Company Portfolio --
Institutional Class Shares...................... 2 76%
United Kingdom Small Company Portfolio --
Institutional Class Shares...................... 2 86%
Continental Small Company Portfolio --
Institutional Class Shares...................... 4 89%
DFA International Real Estate Securities
Portfolio -- Institutional Class Shares......... 3 82%
DFA Global Real Estate Securities Portfolio --
Institutional Class Shares...................... 3 91%
DFA International Small Cap Value Portfolio --
Institutional Class Shares...................... 2 50%
International Vector Equity Portfolio --
Institutional Class Shares...................... 3 87%
World ex U.S. Value Portfolio -- Institutional
Class Shares.................................... 3 76%
Selectively Hedged Global Equity Portfolio........ 1 90%
Emerging Markets Portfolio -- Institutional Class
Shares.......................................... 2 57%
Emerging Markets Small Cap Portfolio --
Institutional Class Shares...................... 2 35%
Emerging Markets Value Portfolio -- Class R2
Shares.......................................... 3 82%
Emerging Markets Value Portfolio -- Institutional
Class Shares.................................... 1 17%
Emerging Markets Core Equity Portfolio --
Institutional Class Shares...................... 2 53%
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 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
138
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 have been consolidated into a single
Multidistrict Litigation action in federal court for pretrial proceedings. 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.
139
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 APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
Actual Fund Return............ $1,000.00 $ 949.03 0.34% $1.65
Hypothetical 5% Annual Return. $1,000.00 $1,023.17 0.34% $1.71
--------
* DFA Commodity Strategy 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 (182), then divided by the
number of days in the year (366) to reflect the six-month period.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 27, 2012. 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.......... 48.0%
Government......... 13.9%
Foreign Corporate.. 16.7%
Foreign Government. 17.6%
Supranational...... 3.8%
-----
100.0%
141
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (85.9%)
AUSTRALIA -- (1.0%)
BHP Billiton Finance USA, Ltd.
(u) 5.500%, 04/01/14........................................ 960 $ 1,047,280
Westpac Banking Corp., Ltd.
(u) 2.250%, 11/19/12........................................ 2,000 2,018,762
-----------
TOTAL AUSTRALIA............................................. 3,066,042
-----------
AUSTRIA -- (3.2%)
Oesterreichische Kontrollbank AG
3.625%, 12/10/13......................................... 2,000 2,765,626
(u) 1.375%, 01/21/14........................................ 2,000 2,016,304
Republic of Austria
3.400%, 10/20/14......................................... 4,000 5,635,613
-----------
TOTAL AUSTRIA............................................... 10,417,543
-----------
CANADA -- (7.8%)
Bank of Nova Scotia
(u) 1.850%, 01/12/15........................................ 4,000 4,076,332
(u) 3.400%, 01/22/15........................................ 3,000 3,179,511
Barrick Gold Finance Co.
(u) 4.875%, 11/15/14........................................ 2,200 2,397,555
Canadian National Railway Co.
(u) 4.400%, 03/15/13........................................ 900 929,932
Canadian Natural Resources, Ltd.
(u) 5.150%, 02/01/13........................................ 625 645,932
Encana Corp.
(u) 4.750%, 10/15/13........................................ 1,415 1,485,684
Ontario, Province of Canada
(u) 4.375%, 02/15/13........................................ 600 618,469
(u) 1.375%, 01/27/14........................................ 1,300 1,317,073
(u) 4.100%, 06/16/14........................................ 1,500 1,609,218
Petro-Canada
(u) 4.000%, 07/15/13........................................ 200 206,985
Royal Bank of Canada
(u) 2.250%, 03/15/13........................................ 1,400 1,417,013
(u) 1.125%, 01/15/14........................................ 1,000 1,007,303
Saskatchewan, Province of Canada
(u) 7.375%, 07/15/13........................................ 1,800 1,938,377
Total Capital Canada, Ltd.
(u) 1.625%, 01/28/14........................................ 3,000 3,053,439
TransCanada PipeLines, Ltd.
(u) 4.000%, 06/15/13........................................ 1,525 1,582,402
-----------
TOTAL CANADA................................................ 25,465,225
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FRANCE -- (5.6%)
Agence Francaise de Developpement
(u) 1.250%, 06/09/14........................................ 5,500 $ 5,493,422
BNP Paribas SA
(u) 2.125%, 12/21/12........................................ 1,500 1,502,360
France Telecom SA
(u) 4.375%, 07/08/14........................................ 2,400 2,554,802
French Treasury Note BTAN
2.500%, 01/15/15......................................... 4,000 5,525,481
Societe Financement de I'Economie Francaise
3.125%, 06/30/14......................................... 2,000 2,764,570
Veolia Environnement SA
(u) 5.250%, 06/03/13........................................ 425 441,439
-----------
TOTAL FRANCE................................................ 18,282,074
-----------
GERMANY -- (2.7%)
Deutsche Bank AG
(u) 4.875%, 05/20/13........................................ 1,475 1,531,833
(u) 3.875%, 08/18/14........................................ 250 261,751
Kreditanstalt fur Wiederaufbau
(u) 1.375%, 07/15/13........................................ 1,700 1,718,618
(u) 4.125%, 10/15/14........................................ 4,000 4,335,516
Landwirtschaftliche Rentenbank AG
(u) 1.875%, 09/24/12........................................ 1,000 1,005,680
-----------
TOTAL GERMANY............................................... 8,853,398
-----------
JAPAN -- (0.9%)
Japan Finance Corp.
(u) 2.125%, 11/05/12........................................ 3,000 3,020,217
-----------
NETHERLANDS -- (3.2%)
Bank Nederlandse Gemeenten NV
(u) 5.000%, 05/16/14........................................ 2,000 2,152,094
2.875%, 01/15/15............................................ 3,000 4,169,963
Deutsche Telekom International Finance BV
(u) 5.250%, 07/22/13........................................ 525 551,231
(u) 4.875%, 07/08/14........................................ 1,900 2,030,158
Diageo Finance BV
(u) 5.500%, 04/01/13........................................ 300 313,578
142
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NETHERLANDS -- (Continued)
Nederlandse Waterschapsbank NV
(u) 5.375%, 09/04/12........................................ 1,000 $ 1,015,612
-----------
TOTAL NETHERLANDS........................................... 10,232,636
-----------
NORWAY -- (2.0%)
Eksportfinans ASA
(u) 1.875%, 04/02/13........................................ 2,800 2,744,048
Statoil ASA
(u) 2.900%, 10/15/14........................................ 3,630 3,827,098
-----------
TOTAL NORWAY................................................ 6,571,146
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.8%)
Asian Development Bank
(u) 1.625%, 07/15/13........................................ 1,200 1,218,818
(u) 4.250%, 10/20/14........................................ 3,000 3,268,791
European Investment Bank
(u) 1.125%, 08/15/14........................................ 1,000 1,009,628
(e) 4.250%, 10/15/14........................................ 4,000 5,743,732
Inter-American Development Bank
(u) 1.000%, 01/07/15........................................ 1,000 1,000,227
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 12,241,196
-----------
SWEDEN -- (4.0%)
Svensk Exportkredit AB
(e) 3.625%, 05/27/14........................................ 1,212 1,677,365
(u) 3.250%, 09/16/14........................................ 4,200 4,417,157
Svenska Handelsbanken AB
(e) 4.875%, 03/25/14........................................ 5,000 7,062,717
-----------
TOTAL SWEDEN................................................ 13,157,239
-----------
SWITZERLAND -- (1.0%)
Credit Suisse AG
(u) 5.000%, 05/15/13........................................ 1,275 1,323,349
(u) 5.500%, 05/01/14........................................ 250 268,695
UBS AG
(u) 2.250%, 08/12/13........................................ 1,485 1,494,079
-----------
TOTAL SWITZERLAND........................................... 3,086,123
-----------
UNITED KINGDOM -- (2.9%)
Barclays Bank P.L.C.
(u) 5.450%, 09/12/12........................................ 1,000 1,016,117
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED KINGDOM -- (Continued)
BP Capital Markets P.L.C.
(u) 5.250%, 11/07/13........................................ 2,200 $2,341,125
Diageo Capital P.L.C.
(u) 5.200%, 01/30/13........................................ 1,175 1,215,756
Network Rail Infrastructure Finance P.L.C.
(u) 1.500%, 01/13/14........................................ 3,000 3,044,976
Vodafone Group P.L.C.
(u) 4.150%, 06/10/14........................................ 1,825 1,946,599
----------
TOTAL UNITED KINGDOM........................................ 9,564,573
----------
UNITED STATES -- (47.8%)
ACE INA Holdings, Inc.
5.875%, 06/15/14......................................... $1,250 1,374,190
Agilent Technologies, Inc.
2.500%, 07/15/13......................................... 1,000 1,015,890
Air Products & Chemicals, Inc.
4.150%, 02/01/13......................................... 500 513,484
Allstate Corp. (The)
5.000%, 08/15/14......................................... 630 683,274
American Express Credit Corp.
5.875%, 05/02/13......................................... 650 682,037
5.125%, 08/25/14......................................... 1,900 2,062,083
Analog Devices, Inc.
5.000%, 07/01/14......................................... 1,500 1,632,599
Anheuser-Busch InBev Worldwide, Inc.
2.500%, 03/26/13......................................... 350 355,744
5.375%, 11/15/14......................................... 1,500 1,666,068
Archer-Daniels-Midland Co.
7.125%, 03/01/13......................................... 325 342,811
Arrow Electronics, Inc.
6.875%, 07/01/13......................................... 350 372,270
Assurant, Inc.
5.625%, 02/15/14......................................... 2,000 2,098,880
AT&T, Inc.
4.950%, 01/15/13......................................... 900 927,718
6.700%, 11/15/13......................................... 1,055 1,149,633
Autozone, Inc.
4.375%, 06/01/13......................................... 100 103,595
Avery Dennison Corp.
4.875%, 01/15/13......................................... 200 205,797
Baltimore Gas & Electric Co.
6.125%, 07/01/13......................................... 500 530,330
143
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ----------
(000)
UNITED STATES -- (Continued)
Bank of New York Mellon Corp. (The)
4.500%, 04/01/13.......................................... $1,000 $1,036,829
5.125%, 08/27/13.......................................... 2,150 2,272,928
Baxter International, Inc.
1.800%, 03/15/13.......................................... 1,490 1,508,521
BB&T Corp.
3.850%, 07/27/12.......................................... 1,100 1,108,844
3.375%, 09/25/13.......................................... 550 569,270
Berkshire Hathaway Finance Corp.
4.850%, 01/15/15.......................................... 5,000 5,535,790
BlackRock, Inc.
2.250%, 12/10/12.......................................... 1,400 1,415,222
3.500%, 12/10/14.......................................... 600 641,450
Boeing Capital Corp.
5.800%, 01/15/13.......................................... 950 985,769
Boeing Co. (The)
1.875%, 11/20/12.......................................... 350 352,931
Bristol-Myers Squibb Co.
5.250%, 08/15/13.......................................... 1,175 1,246,894
Burlington Northern Santa Fe LLC
4.300%, 07/01/13.......................................... 1,200 1,244,423
4.875%, 01/15/15.......................................... 200 219,309
Campbell Soup Co.
5.000%, 12/03/12.......................................... 350 359,450
4.875%, 10/01/13.......................................... 270 286,146
Capital One Financial Corp.
6.250%, 11/15/13.......................................... 150 160,044
7.375%, 05/23/14.......................................... 350 387,830
Caterpillar Financial Services Corp.
2.000%, 04/05/13.......................................... 400 405,828
6.200%, 09/30/13.......................................... 1,250 1,347,422
CenterPoint Energy Resources Corp.
7.875%, 04/01/13.......................................... 425 451,501
Charles Schwab Corp. (The)
4.950%, 06/01/14.......................................... 2,200 2,380,990
Chubb Corp. (The)
5.200%, 04/01/13.......................................... 525 547,055
Cisco Systems, Inc.
1.625%, 03/14/14.......................................... 1,650 1,685,879
Citigroup, Inc.
6.500%, 08/19/13.......................................... 625 658,987
6.375%, 08/12/14.......................................... 1,250 1,347,994
CNA Financial Corp.
5.850%, 12/15/14.......................................... 477 514,046
FACE
AMOUNT VALUE+
------ ----------
(000)
UNITED STATES -- (Continued)
Coca-Cola Co. (The)
0.750%, 11/15/13.......................................... $1,075 $1,078,081
0.750%, 03/13/15.......................................... 1,000 1,002,036
Coca-Cola Enterprises, Inc.
1.125%, 11/12/13.......................................... 400 401,894
Comcast Cable Communications Holdings, Inc.
8.375%, 03/15/13.......................................... 675 720,031
Computer Sciences Corp.
5.000%, 02/15/13.......................................... 850 875,500
ConocoPhillips
4.750%, 10/15/12.......................................... 1,250 1,274,236
Consolidated Edison Co. of New York, Inc.
4.875%, 02/01/13.......................................... 350 361,276
4.700%, 02/01/14.......................................... 400 427,241
COX Communications, Inc.
7.125%, 10/01/12.......................................... 620 636,660
CSX Corp.
5.500%, 08/01/13.......................................... 425 449,505
Daimler Finance North America LLC
6.500%, 11/15/13.......................................... 1,600 1,733,770
Dell, Inc.
4.700%, 04/15/13.......................................... 1,140 1,184,629
2.100%, 04/01/14.......................................... 500 512,668
DIRECTV Holdings LLC
4.750%, 10/01/14.......................................... 1,500 1,624,968
Dominion Resources, Inc.
5.000%, 03/15/13.......................................... 425 440,639
Dow Chemical Co. (The)
6.000%, 10/01/12.......................................... 325 331,766
Dr. Pepper Snapple Group, Inc.
2.350%, 12/21/12.......................................... 375 378,986
Duke Energy Ohio, Inc.
5.700%, 09/15/12.......................................... 425 433,072
E.I. Du Pont de Nemours & Co.
4.750%, 11/15/12.......................................... 350 358,118
eBay, Inc.
0.875%, 10/15/13.......................................... 1,435 1,445,636
Emerson Electric Co.
5.625%, 11/15/13.......................................... 1,200 1,291,666
Enbridge Energy Partners LP
5.350%, 12/15/14.......................................... 1,475 1,602,611
Energy Transfer Partners LP
6.000%, 07/01/13.......................................... 425 444,442
5.950%, 02/01/15.......................................... 1,400 1,535,174
144
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ----------
(000)
UNITED STATES -- (Continued)
Enterprise Products Operating LLC
5.600%, 10/15/14.......................................... $ 666 $ 735,479
EOG Resources, Inc.
6.125%, 10/01/13.......................................... 1,410 1,513,846
Exelon Generation Co. LLC
5.350%, 01/15/14.......................................... 1,100 1,173,448
Express Scripts, Inc.
5.250%, 06/15/12.......................................... 325 326,652
Fifth Third Bancorp
6.250%, 05/01/13.......................................... 875 920,299
General Electric Capital Corp.
2.100%, 01/07/14.......................................... 600 610,829
2.150%, 01/09/15.......................................... 6,500 6,612,716
Goldman Sachs Group, Inc.(The)
5.250%, 10/15/13.......................................... 1,500 1,563,563
Hess Corp.
7.000%, 02/15/14.......................................... 175 192,976
Hewlett-Packard Co.
1.250%, 09/13/13.......................................... 1,500 1,502,784
2.625%, 12/09/14.......................................... 1,300 1,339,434
HSBC Finance Corp.
4.750%, 07/15/13.......................................... 1,575 1,627,735
International Business Machines Corp.
2.100%, 05/06/13.......................................... 1,270 1,291,215
John Deere Capital Corp.
1.875%, 06/17/13.......................................... 1,250 1,268,614
JPMorgan Chase & Co.
3.700%, 01/20/15.......................................... 2,500 2,633,515
KeyCorp
6.500%, 05/14/13.......................................... 1,000 1,055,701
Kimberly-Clark Corp.
5.000%, 08/15/13.......................................... 1,000 1,057,725
Kinder Morgan Energy Partners LP
5.850%, 09/15/12.......................................... 1,000 1,016,673
Kraft Foods, Inc.
6.250%, 06/01/12.......................................... 519 521,331
Kroger Co. (The)
5.500%, 02/01/13.......................................... 640 662,948
McKesson Corp.
6.500%, 02/15/14.......................................... 695 762,227
MetLife, Inc.
2.375%, 02/06/14.......................................... 420 429,800
5.500%, 06/15/14.......................................... 1,250 1,357,540
Microsoft Corp.
0.875%, 09/27/13.......................................... 1,300 1,310,215
FACE
AMOUNT VALUE+
------ ----------
(000)
UNITED STATES -- (Continued)
2.950%, 06/01/14 $2,300 $2,412,314
NASDAQ OMX Group, Inc. (The)
4.000%, 01/15/15.......................................... 500 520,683
NextEra Energy Capital Holdings, Inc.
2.550%, 11/15/13.......................................... 750 763,473
Northern Trust Corp.
5.500%, 08/15/13.......................................... 1,068 1,132,061
Nucor Corp.
4.875%, 10/01/12.......................................... 440 446,914
Occidental Petroleum Corp.
1.450%, 12/13/13.......................................... 1,000 1,015,029
Paccar Financial Corp.
2.050%, 06/17/13.......................................... 100 101,719
Packaging Corp. of America
5.750%, 08/01/13.......................................... 525 550,310
PepsiCo, Inc.
0.875%, 10/25/13.......................................... 1,485 1,490,737
Philip Morris International, Inc.
4.875%, 05/16/13.......................................... 1,265 1,323,324
6.875%, 03/17/14.......................................... 100 111,760
Pitney Bowes, Inc.
4.875%, 08/15/14.......................................... 2,000 2,124,794
PNC Funding Corp.
5.400%, 06/10/14.......................................... 2,075 2,263,030
Praxair, Inc.
2.125%, 06/14/13.......................................... 1,000 1,015,422
Principal Financial Group, Inc.
7.875%, 05/15/14.......................................... 958 1,069,343
Procter & Gamble Co. (The)
(e) 4.500%, 05/12/14...................................... 4,000 5,683,806
Prudential Financial, Inc.
5.800%, 06/15/12.......................................... 350 352,019
6.200%, 01/15/15.......................................... 2,063 2,282,208
Qwest Corp.
7.500%, 10/01/14.......................................... 2,500 2,812,500
Reynolds American, Inc.
7.250%, 06/01/13.......................................... 900 955,487
Ryder System, Inc.
5.000%, 06/15/12.......................................... 525 527,413
Safeway, Inc.
5.625%, 08/15/14.......................................... 500 539,518
Sempra Energy
2.000%, 03/15/14.......................................... 416 423,191
Spectra Energy Capital LLC
5.668%, 08/15/14.......................................... 955 1,041,920
St. Jude Medical, Inc.
2.200%, 09/15/13.......................................... 325 331,788
145
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------------
(000)
UNITED STATES -- (Continued)
3.750%, 07/15/14......................................... $ 100 $ 106,099
State Street Corp.
4.300%, 05/30/14......................................... 1,400 1,497,268
SunTrust Banks, Inc.
5.250%, 11/05/12......................................... 425 434,059
Target Corp.
4.000%, 06/15/13......................................... 1,000 1,037,298
TD Ameritrade Holding Corp.
4.150%, 12/01/14......................................... 2,550 2,723,428
Texas Instruments, Inc.
0.875%, 05/15/13......................................... 500 502,562
Time Warner Cable, Inc.
6.200%, 07/01/13......................................... 425 451,251
Toyota Motor Credit Corp.
1.000%, 02/17/15......................................... 3,000 3,005,100
Travelers Property Casualty Corp.
5.000%, 03/15/13......................................... 1,400 1,449,030
Union Bank NA
2.125%, 12/16/13......................................... 1,400 1,423,825
UnitedHealth Group, Inc.
5.000%, 08/15/14......................................... 1,170 1,278,240
Valero Energy Corp.
4.750%, 04/01/14......................................... 1,125 1,191,160
Verizon Communications, Inc.
4.350%, 02/15/13......................................... 750 772,349
Viacom, Inc.
4.375%, 09/15/14......................................... 780 840,229
Wal-Mart Stores, Inc.
1.625%, 04/15/14......................................... 4,300 4,396,965
Walt Disney Co. (The)
0.875%, 12/01/14......................................... 1,500 1,506,386
Waste Management, Inc.
6.375%, 11/15/12......................................... 325 334,521
WellPoint, Inc.
5.000%, 12/15/14......................................... 2,500 2,739,755
Wells Fargo & Co.
3.750%, 10/01/14......................................... 2,300 2,439,408
------------
TOTAL UNITED STATES......................................... 155,839,321
------------
TOTAL BONDS................................................. 279,796,733
------------
AGENCY OBLIGATIONS -- (6.5%)
Federal Home Loan Bank
0.875%, 12/27/13......................................... 1,500 1,513,836
Federal Home Loan Mortgage Corporation
1.375%, 02/25/14......................................... 2,000 2,038,210
FACE
AMOUNT VALUE+
------- ------------
(000)
1.000%, 08/27/14........................................ $ 2,000 $ 2,030,276
2.875%, 02/09/15........................................ 11,000 11,721,017
Federal National Mortgage Association
2.750%, 03/13/14........................................ 3,700 3,866,008
------------
TOTAL AGENCY OBLIGATIONS................................... 21,169,347
------------
U.S. TREASURY
OBLIGATIONS -- (7.6%)
U.S. Treasury Note
<>^^ 0.625%, 12/31/12...................................... 24,800 24,872,664
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $323,817,388)...................................... $325,838,744
============
146
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Bonds.............................. -- $279,796,733 -- $279,796,733
Agency Obligations................. -- 21,169,347 -- 21,169,347
U.S. Treasury Obligations.......... -- 24,872,664 -- 24,872,664
Swap Agreements**.................. -- 3,990,619 -- 3,990,619
Futures Contracts**................ $26,501 -- -- 26,501
Forwards**......................... -- (556,472) -- (556,472)
------- ------------ ------ ------------
TOTAL.............................. $26,501 $329,272,891 -- $329,299,392
======= ============ ====== ============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Schedules of Investments.
147
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investments at Value............................................. $ 325,839
Temporary Cash Investments at Value & Cost....................... 79
Segregated Cash for Futures Contracts............................ 2,618
Foreign Currencies at Value...................................... 322
Cash............................................................. 8,067
Receivables:.....................................................
Interest...................................................... 3,268
Fund Shares Sold.............................................. 256
Futures Margin Variation...................................... 16
Unrealized Gain on Swap Contracts................................ 3,991
Prepaid Expenses and Other Assets................................ 31
------------
Total Assets.............................................. 344,487
------------
LIABILITIES:
Payables:........................................................
Investment Securities Purchased............................... 1,592
Fund Shares Redeemed.......................................... 1,010
Due to Advisor................................................ 83
Unrealized Loss on Forward Currency Contracts.................... 556
Accrued Expenses and Other Liabilities........................... 10
------------
Total Liabilities......................................... 3,251
------------
NET ASSETS....................................................... $ 341,236
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 36,910,496
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 9.24
============
Investments at Cost.............................................. $ 323,817
------------
Foreign Currencies at Cost....................................... $ 320
------------
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 356,775
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 700
Accumulated Net Realized Gain (Loss)............................. (21,729)
Net Unrealized Foreign Exchange Gain (Loss)...................... (551)
Net Unrealized Appreciation (Depreciation)....................... 6,041
------------
NET ASSETS....................................................... $ 341,236
============
(1) NUMBER OF SHARES AUTHORIZED.................................. 100,000,000
============
See accompanying Notes to Financial Statements.
148
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Interest.................................................. $ 1,604
--------
Total Investment Income............................ 1,604
--------
EXPENSES
Investment Advisory Services Fees......................... 493
Accounting & Transfer Agent Fees.......................... 30
Custodian Fees............................................ 5
Filing Fees............................................... 13
Shareholders' Reports..................................... 3
Directors'/Trustees' Fees & Expenses...................... 1
Professional Fees......................................... 5
Organizational & Offering Costs........................... 1
Other..................................................... 1
--------
Total Expenses..................................... 552
--------
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note D)............... (68)
Fees Paid Indirectly...................................... (4)
--------
Net Expenses.............................................. 480
--------
NET INVESTMENT INCOME (LOSS).............................. 1,124
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold............................ 238
Futures............................................... (984)
Foreign Currency Transactions......................... (25)
Swap Contracts........................................ (20,951)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................. 1,165
Futures............................................... (11)
Swap Contracts........................................ 6,060
Translation of Foreign Currency Denominated
Amounts............................................. (551)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)................... (15,059)
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $(13,935)
========
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
149
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
SIX MONTHS
ENDED PERIOD
APRIL 30, NOVEMBER 9, 2010(a)
2012 TO OCTOBER 31, 2011
----------- -------------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 1,124 $ 1,106
Net Realized Gain (Loss) on:
Investment Securities Sold.............. 238 227
Futures................................. (984) (1,328)
Foreign Currency Transactions........... (25) --
Swap Contracts.......................... (20,951) (10,020)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities................... 1,165 859
Futures................................. (11) 37
Swap Contracts.......................... 6,060 (2,069)
Translation of Foreign Currency
Denominated Amounts................... (551) --
-------- --------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... (13,935) (11,188)
-------- --------
Distributions From:
Net Investment Income:
Institutional Shares.................... (655) (574)
Net Short-Term Gains:
Institutional Shares.................... (151) --
-------- --------
Total Distributions.................. (806) (574)
-------- --------
Capital Share Transactions (1):
Shares Issued............................... 164,067 278,288
Shares Issued in Lieu of Cash
Distributions............................. 782 559
Shares Redeemed............................. (39,653) (36,304)
-------- --------
Net Increase (Decrease) from
Capital Share Transactions......... 125,196 242,543
-------- --------
Total Increase (Decrease) in
Net Assets......................... 110,455 230,781
NET ASSETS
Beginning of Period......................... 230,781 --
-------- --------
End of Period............................... $341,236 $230,781
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 17,466 27,085
Shares Issued in Lieu of Cash
Distributions............................. 85 52
Shares Redeemed............................. (4,253) (3,525)
-------- --------
Net Increase (Decrease) from
Shares Issued and Redeemed......... 13,298 23,612
======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)........................... $ 700 $ 231
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
150
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
SIX MONTHS PERIOD
ENDED NOVEMBER 9, 2010(a)
APRIL 30, TO
2012 OCT. 31, 2011
----------- -------------------
(UNAUDITED)
Net Asset Value, Beginning of Period........... $ 9.77 $ 10.00
-------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)(A)............. 0.04 0.07
Net Gains (Losses) on Securities (Realized
and Unrealized)........................... (0.53) (0.27)
-------- --------
Total from Investment Operations........ (0.49) (0.20)
-------- --------
Less Distributions
------------------
Net Investment Income....................... (0.03) (0.03)
Net Realized Gains.......................... (0.01) --
-------- --------
Total Distributions..................... (0.04) (0.03)
-------- --------
Net Asset Value, End of Period................. $ 9.24 $ 9.77
======== ========
Total Return................................... (5.10)%(C) (2.02)%(C)
-------- --------
Net Assets, End of Period (thousands).......... $341,236 $230,781
Ratio of Expenses to Average Net Assets(D)..... 0.34%(B) 0.47%(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)(D) 0.39%(B) 0.53%(B)(E)
Ratio of Net Investment Income to Average Net
Assets(D).................................... 0.80%(B) 0.64%(B)(E)
Portfolio Turnover Rate........................ 27%(C) 50%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
151
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered, without a sales charge, to institutional
investors, retirement plans and clients of registered investment advisors. The
Fund offers sixty-six 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 fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments
Debt Securities held by the Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities 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 inputs used to value the Portfolios' investments by each major
security type, industry and/or country is disclosed previously in the Security
Valuation note. A valuation hierarchy table has been included at the
152
end of the Schedule of Investments. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Portfolio did not have any significant transfers between Level 1 and
Level 2 during the period ended April 30, 2012.
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 April 30, 2012, 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 Portfolio 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.
153
As of April 30, 2012, the Portfolio held $54,715,177 in the Subsidiary,
representing 15.88% of the Portfolio's total assets. The accompanying
consolidated financial statements include all assets, liabilities, revenues and
expenses of the Portfolio and its wholly-owned Subsidiary. 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 six months ended
April 30, 2012, 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, 2013,
and may not be terminated by the Advisor prior to that date. At April 30, 2012,
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 six months ended April 30, 2012, approximately $68 (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 six months ended April 30, 2012, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Commodity Strategy Portfolio. $ 4
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2012, the total
related amounts paid by the Fund to the CCO were $116 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
154
E. DEFERRED COMPENSATION:
At April 30, 2012, 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............. $ 1
F. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, 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
--------- --------- ---------- ---------
$ 39,657 $ 14,229 $ 147,536 $ 58,756
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 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
155
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 April 30, 2012, 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)
-------- ------------ -------------- --------------
$345,536 $2,187 $(21,805) $(19,618)
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 additional 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 six months.
H. FINANCIAL INSTRUMENTS:
In accordance with the Fund's investment objectives and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
1. 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.
156
DERIVATIVE FINANCIAL INSTRUMENTS:
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. Forward Currency Contracts: DFA Commodity Strategy Portfolio may enter
into forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge a Portfolio's currency exposure with respect to a
foreign market will be based primarily on the Portfolio's existing exposure to
a given foreign currency. Each contract is valued daily and the change in value
is recorded by the Portfolio as an unrealized gain or loss, which is presented
in the Statements of Operations as the change in unrealized appreciation or
depreciation of translation of foreign currency denominated amounts. When the
contract is closed or offset with the same counterparty, the Portfolio records
a realized gain or loss equal to the change in the value of the contract when
it was opened and the value at the time it was closed or offset. This is
presented in the Statements of Operations as a net realized gain or loss on
foreign currency transactions.
At April 30, 2012, DFA Commodity Strategy 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):
DFA COMMODITY STRATEGY PORTFOLIO*
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY AMOUNT APRIL 30, 2012 GAIN (LOSS)
---------- -------- -------- -------- -------------- -----------
05/11/12... (2,144) Euro $ (2,816) $ (2,839) $ (23)
05/11/12... (29,382) Euro (38,361) (38,894) (533)
-------- -------- -----
$(41,177) $(41,733) $(556)
======== ======== =====
* During the six months ended April 30, 2012, the Portfolio's average cost
basis contract amount of forward currency contracts was $(30,892) (in
thousands).
** Positive Currency Amount represents a purchase contract and a Currency
Amount in parentheses represents a sale contract.
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
3. Commodity-Linked Derivatives: The DFA Commodity Strategy Portfolio
invests in commodity-linked derivative instruments, such as swap agreements,
commodity options, futures, options on futures, and structured notes. The
prices of commodity-linked derivative instruments may move in different
directions than investments in traditional equity securities, fixed income
securities and commodity spot prices.
4. Swap Agreements: The Portfolio may enter into swap agreements with
respect to commodities, interest rates and indexes of commodities or
securities, specific securities and commodities, and mortgage, credit and
event-linked swaps, and to the extent the Portfolio may invest in foreign
currency-denominated securities, may enter into swap agreements with respect to
foreign currencies.
The Portfolio may enter into swap transactions for any legal purpose
consistent with its investment objective and policies, such as for the purpose
of attempting to obtain or preserve a particular return or spread at a lower
cost than obtaining a return or spread through purchases and/or sales of
instruments in other markets, to seek to increase total return (speculation),
to protect against currency fluctuations, as a duration management technique,
to protect
157
against any increase in the price of securities the Portfolio anticipates
purchasing at a later date, or to gain exposure to certain markets in the most
economical way possible.
Swap agreements are two-party contracts entered into primarily by
institutional investors for periods ranging from a few weeks to more than one
year. In a standard "swap" transaction, two parties agree to exchange the
returns (or differentials in rates of return) earned or realized on particular
predetermined investments or instruments, which may be adjusted for an interest
factor. An investment in a commodity swap agreement, for example, may involve
the exchange of floating-rate interest payments for the total return on a
commodity index. In a total return commodity swap, the Portfolio will receive
the price appreciation of a commodity index, a portion of the index, or a
single commodity in exchange for paying an agreed-upon fee. The Portfolio may
also enter into credit default swap agreements. The "buyer" in a credit default
contract is obligated to pay the "seller" a periodic stream of payments over
the term of the contract provided that no event of default on an underlying
reference obligation has occurred. If an event of default occurs, the seller
must pay the buyer the full notional value, or "par value," of the reference
obligation in exchange for the reference obligation. The Portfolio may be
either the buyer or seller in a credit default swap transaction. Credit default
swap transactions involve greater risks than if the Portfolio had invested in
the reference obligation directly.
Most swap agreements entered into by the Portfolio will calculate the
obligations of the parties to the agreement on a "net" basis, which means that
the two payment streams are netted out, with the Portfolio receiving or paying,
as the case may be, only the net amount of the two payments. The Portfolio's
current obligations under a swap agreement will be accrued daily (offset
against any amounts owed to the Portfolio) and any accrued but unpaid net
amounts owed to a swap counterparty will be covered by the segregation of
assets determined to be liquid to avoid any potential leveraging of the
Portfolio's portfolio.
Because they are two party contracts and because they may have terms of
greater than seven days, swap agreements may be considered to be illiquid. The
Portfolio bears the risk of loss of the amount expected to be received under a
swap agreement in the event of the default or bankruptcy of a swap agreement
counterparty beyond any collateral received. The types of swap agreements in
which the Portfolio invests do not involve the delivery of securities, other
underlying assets, or principal. Accordingly, the risk of loss is limited to
the net amount of interest payments that the Portfolio is contractually
obligated to make.
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
158
index underlying the futures contract fluctuates, making the long and short
positions in the futures contract more or less valuable, a process known as
"marking-to-market." As a result of the small margin deposit that is required,
a small change in the market price of a futures contract can produce major
losses.
At any time prior to the expiration of a futures contract, the Portfolio may
elect to close the position by taking an opposite position, which will operate
to terminate the Portfolio's existing position in the contract. Positions in
futures contracts and options on futures contracts (described below) may be
closed out only on the exchange on which they were entered into (or through a
linked exchange). However, there is no assurance that an active market will
exist at any particular time. Once the daily fluctuation limit has been reached
in a particular contract, most futures exchanges restrict trades at a price
beyond that limit or trading may be suspended for specified periods during the
day. Such restrictions prevent prompt liquidation of futures positions at an
advantageous price and subjecting the Portfolio to substantial losses. In such
event, and in the event of adverse price movements, the Portfolio would be
required to make daily cash payments of variation margin. Losses incurred in
futures transactions and the costs of these transactions will affect the
Portfolio's performance.
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.
159
At April 30, 2012, 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)
----------- ---------- ---------- -------- -----------
Brent Crude Futures 09/13/12 2 $ 236 --
CBT Wheat Futures 07/17/12 7 229 $ 4
Coffee 'C' Futures 07/31/12 1 67 1
Copper Futures 07/31/12 4 383 3
Corn Futures 07/17/12 9 286 8
Cotton No. 2 Futures 07/23/12 2 89 (2)
Gasoline RBOB Futures 07/30/12 1 130 --
Gold 100oz Futures 08/31/12 3 500 1
Heating Oil Futures 07/30/12 1 134 --
Lean Hogs Futures 07/18/12 3 104 (2)
Live Cattle Futures 09/12/12 3 140 1
LME Nickel Futures 07/18/12 1 107 (3)
LME Prime Aluminum Futures 07/18/12 5 264 1
LME Zinc Futures 07/18/12 3 155 (6)
Natural Gas Futures 09/30/12 15 376 20
Silver Futures 07/31/12 1 155 (1)
Soybean Futures 07/17/12 5 376 4
Soybean Oil Futures 07/24/12 5 165 (3)
Sugar #11 Futures 09/15/12 6 142 (1)
WTI Crude Futures 11/30/12 4 423 1
------ ---
$4,461 $26
====== ===
Dimensional Cayman Commodity Fund I, LTD.'s securities have been segregated
as collateral for open futures contracts.
* During the six months ended April 30, 2012 the Dimensional Cayman Commodity
Fund I, LTD.'s average notional contract amount of outstanding futures
contracts was $5,510 (in thousands).
At April 30, 2012, 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. 05/29/12 USD $120,553 $1,445
Deutsche Bank AG, London Branch 05/29/12 USD 100,990 1,208
UBS AG 05/29/12 USD 111,695 1,338
-------- ------
$333,238 $3,991
======== ======
* During the six months ended April 30, 2012 the Portfolio's average notional
value of outstanding swap contracts was $274,228 (in thousands).
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of April 30, 2012:
160
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
-----------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------ ---------------------------
Commodity contracts Payables: Futures
Margin Variation
Foreign exchange contracts Unrealized Loss on Forward
Currency Contracts
Other contracts Unrealized Gain
on Swap Contracts
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2012 (amounts in
thousands):
ASSET DERIVATIVES VALUE
-----------------------
TOTAL VALUE
AT COMMODITY OTHER
APRIL 30, 2012 CONTRACTS CONTRACTS
-------------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $4,018 $26* $3,991
LIABILITY DERIVATIVES VALUE
---------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE OTHER
APRIL 30, 2012 CONTRACTS CONTRACTS
-------------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(556) $(556) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings through the six months ended
April 30, 2012 (amounts in thousands):
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME
--------------- -------------------------------------------------------------------------------------------------
Commodity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of: Futures
Foreign Exchange Contracts Net Realized Gain (Loss) on: Foreign Currency Transactions
Change in Unrealized Appreciation (Depreciation) of: Translation of
Foreign Currency Denominated Amounts
Other contracts Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized Appreciation (Depreciation) of:
Swap Contracts
161
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the six months ended April 30, 2012 (amounts in
thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
RECOGNIZED IN INCOME
--------------------------------------
FOREIGN
COMMODITY EXCHANGE OTHER
TOTAL CONTRACTS CONTRACTS CONTRACTS
-------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(21,949) $(984) $(14) $(20,951)
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES RECOGNIZED IN INCOME
-------------------------------------
FOREIGN
COMMODITY EXCHANGE OTHER
TOTAL CONTRACTS CONTRACTS CONTRACTS
------ --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $5,494 $(10) $(556) $6,060
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 July 6,
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 six months ended April 30,
2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013. There were no borrowings by the Portfolio under this line of
credit during the six months ended April 30, 2012.
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 May 2011, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S.
162
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 April 30, 2012, two shareholders held 76% 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 in a leveraged buy-out transaction, seeking the
return of 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.
163
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
DFA INTERNATIONAL VALUE PORTFOLIO** 11/01/11 04/30/12 RATIO* PERIOD*
----------------------------------- --------- --------- ---------- --------
Actual Fund Return Class R2 Shares $1,000.00 $1,008.92 0.71% $3.55
Institutional Class Shares......... $1,000.00 $1,009.60 0.45% $2.25
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.33 0.71% $3.57
Institutional Class Shares......... $1,000.00 $1,022.63 0.45% $2.26
164
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
U.S. LARGE COMPANY PORTFOLIO 11/01/11 04/30/12 RATIO* PERIOD*
---------------------------- --------- --------- ---------- --------
Actual Fund Return.................... $1,000.00 $1,126.95 0.10% $0.53
Hypothetical 5% Annual Return......... $1,000.00 $1,024.37 0.10% $0.50
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (182), then
divided by the number of days in the year (366) 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).
165
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2012. 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........ 11.2%
Consumer Staples.............. 10.9%
Energy........................ 11.2%
Financials.................... 12.7%
Health Care................... 11.4%
Industrials................... 10.5%
Information Technology........ 20.3%
Materials..................... 3.4%
Real Estate Investment Trusts. 2.0%
Telecommunication Services.... 2.9%
Utilities..................... 3.5%
-----
100.0%
166
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company....................................... $5,448,976,781
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,184,677,586)....................................... $5,448,976,781
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
167
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (86.4%)
Consumer Discretionary -- (9.7%)
#*Amazon.com, Inc........................... 116,103 $ 26,924,286 0.7%
Comcast Corp. Class A..................... 859,958 26,082,526 0.6%
Home Depot, Inc. (The).................... 491,633 25,461,673 0.6%
#McDonald's Corp........................... 324,835 31,655,171 0.8%
#Walt Disney Co. (The)..................... 571,616 24,642,366 0.6%
Other Securities.......................... 317,209,071 7.7%
------------ ---------------
Total Consumer Discretionary................. 451,975,093 11.0%
------------ ---------------
Consumer Staples -- (9.4%)...................
Altria Group, Inc......................... 652,399 21,013,772 0.5%
#Coca-Cola Co. (The)....................... 721,776 55,085,944 1.3%
CVS Caremark Corp......................... 415,352 18,533,006 0.5%
Kraft Foods, Inc. Class A................. 563,921 22,483,530 0.5%
PepsiCo, Inc.............................. 500,905 33,059,730 0.8%
#Philip Morris International, Inc.......... 549,136 49,153,163 1.2%
Procter & Gamble Co. (The)................ 878,427 55,903,094 1.4%
#Wal-Mart Stores, Inc...................... 557,020 32,814,048 0.8%
Other Securities.......................... 149,317,181 3.6%
------------ ---------------
Total Consumer Staples....................... 437,363,468 10.6%
------------ ---------------
Energy -- (9.7%)
#Chevron Corp.............................. 630,490 67,185,014 1.6%
#ConocoPhillips............................ 408,117 29,233,421 0.7%
Exxon Mobil Corp.......................... 1,503,130 129,780,244 3.2%
Occidental Petroleum Corp................. 258,660 23,594,965 0.6%
Schlumberger, Ltd......................... 425,364 31,536,487 0.8%
Other Securities.......................... 170,610,864 4.1%
------------ ---------------
Total Energy................................. 451,940,995 11.0%
------------ ---------------
Financials -- (11.0%)
American Express Co....................... 323,649 19,486,906 0.5%
Bank of America Corp...................... 3,422,751 27,758,511 0.7%
#*Berkshire Hathaway, Inc................... 560,722 45,110,085 1.1%
#Citigroup, Inc............................ 934,002 30,859,426 0.7%
#Goldman Sachs Group, Inc. (The)........... 157,833 18,174,470 0.4%
JPMorgan Chase & Co....................... 1,217,424 52,324,884 1.3%
U.S. Bancorp.............................. 609,429 19,605,331 0.5%
Wells Fargo & Co.......................... 1,681,731 56,220,267 1.4%
Other Securities.......................... 240,736,419 5.8%
------------ ---------------
Total Financials............................. 510,276,299 12.4%
------------ ---------------
Health Care -- (9.8%)
#Abbott Laboratories....................... 501,452 31,120,111 0.8%
Bristol-Myers Squibb Co................... 538,367 17,965,307 0.4%
#Johnson & Johnson......................... 875,454 56,983,301 1.4%
Merck & Co., Inc.......................... 970,788 38,093,721 0.9%
Pfizer, Inc............................... 2,404,169 55,127,595 1.3%
UnitedHealth Group, Inc................... 333,257 18,712,381 0.5%
Other Securities.......................... 240,956,074 5.8%
------------ ---------------
Total Health Care............................ 458,958,490 11.1%
------------ ---------------
Industrials -- (9.1%)
3M Co..................................... 221,502 19,793,419 0.5%
Boeing Co. (The).......................... 237,823 18,264,806 0.4%
#Caterpillar, Inc.......................... 206,509 21,222,930 0.5%
#General Electric Co....................... 3,374,552 66,073,728 1.6%
168
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
United Parcel Service, Inc................ 305,752 $ 23,891,461 0.6%
United Technologies Corp.................. 290,266 23,697,316 0.6%
Other Securities.......................... 250,523,651 6.1%
-------------- ---------------
Total Industrials............................ 423,467,311 10.3%
-------------- ---------------
Information Technology -- (17.5%)
*Apple, Inc................................ 297,349 173,723,180 4.2%
#Cisco Sytems, Inc......................... 1,717,672 34,611,091 0.8%
#*EMC Corp.................................. 654,765 18,470,921 0.4%
*Google, Inc............................... 80,879 48,950,397 1.2%
Intel Corp................................ 1,593,313 45,250,089 1.1%
International Business Machines Corp...... 369,518 76,519,787 1.9%
Microsoft Corp............................ 2,381,610 76,259,152 1.9%
Oracle Corp............................... 1,250,207 36,743,584 0.9%
QUALCOMM, Inc............................. 539,423 34,436,764 0.8%
#Visa, Inc................................. 158,645 19,510,162 0.5%
Other Securities.......................... 253,019,143 6.1%
-------------- ---------------
Total Information Technology................. 817,494,270 19.8%
-------------- ---------------
Materials -- (3.0%)
Other Securities.......................... 138,977,172 3.4%
-------------- ---------------
Real Estate Investment Trusts -- (1.7%)
Other Securities.......................... 81,084,292 2.0%
-------------- ---------------
Telecommunication Services -- (2.5%)
AT&T, Inc................................. 1,890,785 62,225,734 1.5%
#Verizon Communications, Inc............... 904,299 36,515,594 0.9%
Other Securities.......................... 18,578,221 0.4%
-------------- ---------------
Total Telecommunication Services............. 117,319,549 2.8%
-------------- ---------------
Utilities -- (3.0%)
Other Securities.......................... 139,271,116 3.4%
-------------- ---------------
TOTAL COMMON STOCKS.......................... 4,028,128,055 97.8%
-------------- ---------------
TEMPORARY CASH INVESTMENTS -- (1.9%)
BlackRock Liquidity Funds TempCash
Portfolio - Institutional Shares........ 86,468,661 86,468,661 2.1%
-------------- ---------------
169
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES/ FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------------ -------------- ---------------
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@DFA Short Term Investment Fund........... 540,103,169 $ 540,103,169 13.1%
@Repurchase Agreement, JPMorgan
Securities LLC 0.21%, 05/01/12
(Collateralized by $4,834,439 FNMA,
rates ranging from 2.000% to 6.331%(r),
maturities ranging from 01/01/19 to
09/01/45, valued at $4,849,426) to be
repurchased at $4,693,635............... $ 4,694 4,693,608 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......... 544,796,777 13.2%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,080,960,089)...................... $4,659,393,493 113.1%
============== =====
Summary of the Porfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary........ $ 451,975,093 -- -- $ 451,975,093
Consumer Staples.............. 437,363,468 -- -- 437,363,468
Energy........................ 451,940,995 -- -- 451,940,995
Financials.................... 510,276,299 -- -- 510,276,299
Health Care................... 458,958,490 -- -- 458,958,490
Industrials................... 423,467,311 -- -- 423,467,311
Information Technology........ 817,494,270 -- -- 817,494,270
Materials..................... 138,977,172 -- -- 138,977,172
Real Estate Investment Trusts. 81,084,292 -- -- 81,084,292
Telecommunication Services.... 117,319,549 -- -- 117,319,549
Utilities..................... 139,271,116 -- -- 139,271,116
Temporary Cash Investments....... 86,468,661 -- -- 86,468,661
Securities Lending Collateral.... -- $544,796,777 -- 544,796,777
Futures Contracts**.............. 1,751,751 -- -- 1,751,751
-------------- ------------ ------ --------------
TOTAL............................ $4,116,348,467 $544,796,777 -- $4,661,145,244
============== ============ ====== ==============
** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the
unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
170
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERNATIONAL U.S. LARGE
VALUE COMPANY
PORTFOLIO PORTFOLIO
-------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value............................................ $ 5,448,977 --
Investments at Value (including $0 and $532,169 of securities on loan, respectively)............. -- $ 4,028,128
Temporary Cash Investments at Value & Cost....................................................... -- 86,468
Collateral Received from Securities on Loan at Value & Cost...................................... -- 4,694
Affiliated Collateral Received from Securities on Loan at Value & Cost........................... -- 540,103
Cash............................................................................................. -- 4,550
Receivables:
Dividends and Interest........................................................................ -- 4,054
Securities Lending Income..................................................................... -- 69
Fund Shares Sold.............................................................................. 4,473 862
Prepaid Expenses and Other Assets................................................................ 19 44
-------------- ------------
Total Assets.............................................................................. 5,453,469 4,668,972
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................................................. -- 544,797
Affiliated Investment Company Purchased....................................................... 2,585 --
Fund Shares Redeemed.......................................................................... 1,888 2,949
Due to Advisor................................................................................ 902 255
Futures Margin Variation...................................................................... -- 317
Accrued Expenses and Other Liabilities........................................................... 243 476
-------------- ------------
Total Liabilities......................................................................... 5,618 548,794
-------------- ------------
NET ASSETS....................................................................................... $ 5,447,851 $ 4,120,178
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $6,788 and $0 and shares outstanding of 429,693 and 0,
respectively................................................................................... $ 15.80 N/A
============== ============
NUMBER OF SHARES AUTHORIZED...................................................................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $5,441,063 and $4,120,178 and shares
outstanding of 344,572,131 and 373,358,464, respectively....................................... $ 15.79 $ 11.04
============== ============
NUMBER OF SHARES AUTHORIZED...................................................................... 1,500,000,000 900,000,000
============== ============
Investment in Affiliated Investment Company at Cost.............................................. $ 5,184,678 $ --
-------------- ------------
Investments at Cost.............................................................................. $ -- $ 2,449,695
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................................. $ 6,056,439 $ 3,196,072
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 48,219 10,653
Accumulated Net Realized Gain (Loss)............................................................. (921,897) (666,732)
Net Unrealized Foreign Exchange Gain (Loss)...................................................... 791 --
Net Unrealized Appreciation (Depreciation)....................................................... 264,299 1,580,185
-------------- ------------
NET ASSETS....................................................................................... $ 5,447,851 $ 4,120,178
============== ============
See accompanying Notes to Financial Statements.
171
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
INTERNATIONAL U.S. LARGE
VALUE COMPANY
PORTFOLIO* PORTFOLIO
------------- ----------
Investment Income..............................................................................
Dividends (Net of Foreign Taxes Withheld of $7,177 and $0, respectively).................... $ 92,860 $ 41,104
Interest.................................................................................... 1 52
Income from Securities Lending.............................................................. 4,672 453
Expenses Allocated from Affiliated Investment Company....................................... (6,135) --
-------- --------
Total Investment Income.............................................................. 91,398 41,609
-------- --------
EXPENSES
Investment Advisory Services Fees........................................................... -- 488
Administrative Services Fees................................................................ 5,275 976
Accounting & Transfer Agent Fees............................................................ 36 210
Shareholder Servicing Fees -- Class R2 Shares............................................... 8 --
S&P 500 (R) Fees............................................................................ -- 70
Custodian Fees.............................................................................. -- 25
Filing Fees................................................................................. 83 52
Shareholders' Reports....................................................................... 73 47
Directors'/Trustees' Fees & Expenses........................................................ 21 15
Professional Fees........................................................................... 77 82
Other....................................................................................... 24 22
-------- --------
Total Expenses....................................................................... 5,597 1,987
-------- --------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note
C)........................................................................................ -- (46)
-------- --------
Net Expenses................................................................................ 5,597 1,941
-------- --------
NET INVESTMENT INCOME (LOSS)................................................................ 85,801 39,668
-------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment Securities.............................. -- 543
Net Realized Gain (Loss) on:................................................................
Investment Securities Sold.............................................................. 59,905 (7,325)
Futures................................................................................. -- 10,696
Foreign Currency Transactions........................................................... (608) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. (94,767) 428,117
Futures................................................................................. -- (1,992)
Translation of Foreign Currency Denominated Amounts..................................... 630 --
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................................................... (34,840) 430,039
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................ $ 50,961 $469,707
======== ========
--------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
172
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL U.S. LARGE
VALUE PORTFOLIO COMPANY PORTFOLIO
---------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011
----------- ---------- ----------- ----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 85,801 $ 179,582 $ 39,668 $ 75,394
Capital Gain Distributions Received from Investment Securities........ -- -- 543 --
Net Realized Gain (Loss) on:
Investment Securities Sold........................................ 59,905 112,233 (7,325) (44,142)
Futures........................................................... -- -- 10,696 2,851
Foreign Currency Transactions..................................... (608) 364 -- --
Change in Unrealized Appreciation (Depreciation) of:..................
Investment Securities and Foreign Currency........................ (94,767) (767,465) 428,117 251,680
Futures........................................................... -- -- (1,992) 2,298
Translation of Foreign Currency Denominated Amounts............... 630 (353) -- --
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... 50,961 (475,639) 469,707 288,081
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares................................................... (62) (172) -- --
Institutional Class Shares........................................ (59,865) (172,488) (39,526) (74,515)
---------- ---------- ---------- ----------
Total Distributions............................................ (59,927) (172,660) (39,526) (74,515)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................................................... 681,636 1,450,393 326,105 651,122
Shares Issued in Lieu of Cash Distributions........................... 55,878 162,689 33,980 62,748
Shares Redeemed....................................................... (574,122) (834,167) (432,101) (878,396)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share Transactions........ 163,392 778,915 (72,016) (164,526)
---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets........................ 154,426 130,616 358,165 49,040
NET ASSETS
Beginning of Period................................................... 5,293,425 5,162,809 3,762,013 3,712,973
---------- ---------- ---------- ----------
End of Period......................................................... $5,447,851 $5,293,425 $4,120,178 $3,762,013
========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 44,110 82,666 31,677 65,475
Shares Issued in Lieu of Cash Distributions........................... 3,788 9,157 3,420 6,398
Shares Redeemed....................................................... (37,388) (47,291) (41,893) (89,099)
Shares Reduced by Reverse Stock Split (Note G)........................ -- (2) -- --
---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed........ 10,510 44,530 (6,796) (17,226)
========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 48,219 $ 22,345 $ 10,653 $ 10,511
See accompanying Notes to Financial Statements.
173
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-
CLASS R2 SHARES+
----------------------------------------------------
SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED PERIOD APRIL 30,
APRIL 30, OCT. 31, OCT. 31, OCT. 31, 2008(a) TO
2012 2011 2010 2009 OCT. 31, 2008
----------- -------- -------- -------- ----------------
(UNAUDITED)
Net Asset Value, Beginning of Period ........................ $15.83 $17.82 $17.13 $13.58 $ 26.31
------ ------ ------ ------ -------
Income from Investment Operations
----------------------------------
Net Investment Income (Loss)(A) ........................... 0.24 0.53 0.37 0.42 0.66
Net Gains (Losses) on Securities (Realized and Unrealized). (0.11) (2.00) 1.29 4.10 (11.73)
------ ------ ------ ------ -------
Total from Investment Operations.......................... 0.13 (1.47) 1.66 4.52 (11.07)
------ ------ ------ ------ -------
Less Distributions
-------------------
Net Investment Income...................................... (0.16) (0.52) (0.97) (0.97) (1.66)
Net Realized Gains......................................... -- -- -- -- --
------ ------ ------ ------ -------
Total Distributions....................................... (0.16) (0.52) (0.97) (0.97) (1.66)
------ ------ ------ ------ -------
Net Asset Value, End of Period............................... $15.80 $15.83 $17.82 $17.13 $ 13.58
====== ====== ====== ====== =======
Total Return................................................. 0.89%(C) (8.53)% 10.60% 34.86% (44.63)%(C)
------ ------ ------ ------ -------
Net Assets, End of Period (thousands)........................ $6,788 $6,102 $4,952 $3,443 $ 3,372
Ratio of Expenses to Average Net Assets (D) 0.71%(B) 0.71% 0.72% 0.74% 0.73%(B)(E)
Ratio of Net Investment Income to Average Net Assets......... 3.06%(B) 2.97% 2.11% 2.96% 7.47%(B)(E)
------ ------ ------ ------ -------
DFA INTERNATIONAL VALUE PORTFOLIO-
INSTITUTIONAL CLASS SHARES
-------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1,
ENDED ENDED ENDED ENDED 2007 TO
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2012 2011 2010 2009 2008
----------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period ........................ $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
----------------------------------
Net Investment Income (Loss)(A) ........................... 0.25 0.58 0.39 0.40 0.74
Net Gains (Losses) on Securities (Realized and Unrealized). (0.11) (1.99) 1.34 3.92 (12.44)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 0.14 (1.41) 1.73 4.32 (11.70)
---------- ---------- ---------- ---------- ----------
Less Distributions
-------------------
Net Investment Income...................................... (0.18) (0.57) (0.38) (0.40) (0.78)
Net Realized Gains......................................... -- -- -- -- (0.49)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.18) (0.57) (0.38) (0.40) (1.27)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period............................... $ 15.79 $ 15.83 $ 17.81 $ 16.46 $ 12.54
========== ========== ========== ========== ==========
Total Return................................................. 0.96%(C) (8.26)% 10.94% 35.11% (47.96)%(C)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........................ $5,441,063 $5,287,323 $5,157,857 $4,437,846 $3,350,073
Ratio of Expenses to Average Net Assets (D) 0.45%(B) 0.45% 0.45% 0.46% 0.44%(B)
Ratio of Net Investment Income to Average Net Assets......... 3.27%(B) 3.26% 2.34% 3.00% 3.86%(B)
---------- ---------- ---------- ---------- ----------
-----------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2007 2006
---------- ----------
Net Asset Value, Beginning of Period ........................ $22.71 $ 17.67
---------- ----------
Income from Investment Operations
----------------------------------
Net Investment Income (Loss)(A) ........................... 0.72 0.66
Net Gains (Losses) on Securities (Realized and Unrealized). 3.09 5.37
---------- ----------
Total from Investment Operations.......................... 3.81 6.03
---------- ----------
Less Distributions
-------------------
Net Investment Income...................................... (0.63) (0.65)
Net Realized Gains......................................... (0.38) (0.34)
---------- ----------
Total Distributions....................................... (1.01) (0.99)
---------- ----------
Net Asset Value, End of Period............................... $ 25.51 $ 22.71
========== ==========
Total Return................................................. 17.09% 35.39%
---------- ----------
Net Assets, End of Period (thousands)........................ $6,262,069 $4,456,059
Ratio of Expenses to Average Net Assets (D) 0.44% 0.44%
Ratio of Net Investment Income to Average Net Assets......... 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.
174
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO
-----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED DEC. 1, 2007
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO
2012 2011 2010 2009 OCT. 31, 2008
----------- ---------- ---------- -------- -------------
(UNAUDITED)
Net Asset Value, Beginning of Period.................. $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63
---------- ---------- ---------- -------- --------
Income from Investment Operations
----------------------------------
Net Investment Income (Loss) (A)..................... 0.11 0.19 0.18 0.18 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized)........................................ 1.14 0.56 1.15 0.55 (3.99)
---------- ---------- ---------- -------- --------
Total from Investment Operations................... 1.25 0.75 1.33 0.73 (3.79)
---------- ---------- ---------- -------- --------
Less Distributions
------------------
Net Investment Income................................ (0.11) (0.19) (0.15) (0.19) (0.22)
---------- ---------- ---------- -------- --------
Total Distributions................................ (0.11) (0.19) (0.15) (0.19) (0.22)
---------- ---------- ---------- -------- --------
Net Asset Value, End of Period........................ $ 11.04 $ 9.90 $ 9.34 $ 8.16 $ 7.62
========== ========== ========== ======== ========
Total Return.......................................... 12.70%(C) 8.09% 16.47% 10.07% (33.10)%(C)
---------- ---------- ---------- -------- --------
Net Assets, End of Period (thousands)................. $4,120,178 $3,762,013 $3,712,973 $785,689 $729,218
Ratio of Expenses to Average Net Assets............... 0.10%(B) 0.10% 0.10%** 0.10%(D) 0.10%(B)(D)
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or Recovery
of Previously Waived Fees).......................... 0.10%(B) 0.10% 0.11%** 0.13%(D) 0.11%(B)(D)
Ratio of Net Investment Income to Average Net Assets.. 2.04%(B) 1.95% 1.99% 2.53% 2.10%(B)
Portfolio Turnover Rate............................... 1%(C) 4% 1%* N/A N/A
------------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2007 2006
---------- --------
Net Asset Value, Beginning of Period.................. $ 11.00 $ 9.82
---------- --------
Income from Investment Operations
----------------------------------
Net Investment Income (Loss) (A)..................... 0.22 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized)........................................ 0.62 1.18
---------- --------
Total from Investment Operations................... 0.84 1.37
---------- --------
Less Distributions
------------------
Net Investment Income................................ (0.21) (0.19)
---------- --------
Total Distributions................................ (0.21) (0.19)
---------- --------
Net Asset Value, End of Period........................ $ 11.63 $ 11.00
========== ========
Total Return.......................................... 7.71% 14.11%
---------- --------
Net Assets, End of Period (thousands)................. $1,002,142 $877,405
Ratio of Expenses to Average Net Assets............... 0.10%(D) 0.10%(D)
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or Recovery
of Previously Waived Fees).......................... 0.11%(D) 0.11%(D)
Ratio of Net Investment Income to Average Net Assets.. 1.90% 1.90%
Portfolio Turnover Rate............................... N/A N/A
* For the period September 10, 2010 through October 31, 2010. Effective
September 10, 2010, the Portfolio directly invests in securities rather than
through The U.S. Large Company Series.
** Represents the combined ratios for the portfolio and for the period
November 1, 2009 through September 9, 2010, its respective pro-rata share of
The U.S. Large Company Series.
See Page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
175
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, of which DFA International Value Portfolio and U.S. Large Company
Portfolio (the "Portfolios") are presented in this section of the report. The
remaining portfolios are presented in separate reports.
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
Series of The DFA Investment Trust Company. At April 30, 2012, 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 DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
On March 1, 2010, the Board of Directors of DFA Investment Dimensions Group
Inc. and of Dimensional Investment Group Inc. approved an Agreement and Plan of
Reorganization (the "Plan") which provided that (i) U.S. Large Company
Institutional Index Portfolio (the "Acquiring Fund"), a portfolio of
Dimensional Investment Group Inc. would acquire substantially all of the assets
of U.S. Large Company Portfolio (the "Target Fund"), a portfolio of DFA
Investment Dimensions Group Inc. in exchange solely for shares of capital stock
of the Acquiring Fund; (ii) the shares of the Acquiring Fund would be
distributed to the shareholders of the Target Fund according to their
respective interests in the Target Fund; and (iii) the Target Fund would be
liquidated and dissolved (the "Reorganization"). In conjunction with completing
the Reorganization, the Acquiring Fund would change its name to "U.S. Large
Company Portfolio." The Reorganization took place on May 7, 2010 and the
Acquiring Fund changed its name to U.S. Large Company Portfolio effective
May 8, 2010.
The purpose of the transaction was to lower fees for the shareholders of the
Target Fund and create operating efficiencies from economies of scale.
The Reorganization was accomplished by a tax-free exchange of the following
shares on May 7, 2010:
TARGET VALUE
FUND SHARES ACQUIRING FUND SHARES (IN THOUSANDS)
------ ---------- ----------------------------- ----------- --------------
U.S. Large Company Portfolio U.S. Large Company
83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
176
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 Company Portfolio. U.S. Large Company
$2,731,987 $315,984 Institutional Index Portfolio $870,696
Assuming the acquisition had been completed on November 1, 2009, U.S. Large
Company Portfolio's result of operations for the year ended October 31, 2010
would have been as follows (in thousands):
Net Investment Income.................................. $ 71,681(a)
Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b)
--------
Net Increase in Net Assets Resulting from Operations... $572,754
========
(a)$43,125 as reported in the Statement of Operations, plus $27,799 Net
Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of
pro-forma eliminated expenses.
(b)$596,596 as reported in the Statement of Operations, less $95,523 Net
Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company
Portfolio pre-merger.
Because both U.S. Large Company Portfolio and U.S. Large Company
Institutional Index Portfolio sold and redeemed shares throughout the period,
it is not practicable to provide pro-forma information on a per-share basis.
Prior to September 10, 2010, U.S. Large Company Portfolio invested
substantially all of its assets in shares of The U.S. Large Company Series. At
the close of business on September 9, 2010, U.S. Large Company Portfolio
received its pro-rata share of cash and securities from The U.S. Large Company
Series in a complete liquidation of its interest in the Series. Effective
September 10, 2010, U.S. Large Company Portfolio invests directly in securities
rather than through the Series and maintains the same investment objective.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
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.
177
Securities held by U.S. Large Company Portfolio, including over-the-counter
securities, are valued at the last quoted sale price at the close of the
exchanges on which they are principally traded (official closing price).
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 which
approximate fair value. 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. 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 previously in the
Security Valuation note. A valuation hierarchy table has been included at the
end of the Summary Schedule of Portfolio Holdings. The inputs or methodology
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2012.
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 April 30, 2012, 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
178
directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors/Trustees, generally based on average net
assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of the Feeder Fund. Income, gains and losses, and common expenses
of the Feeder Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolios, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Portfolios and the Series. The Advisor
receives no additional compensation for the investment advisory services it
provides to the Feeder Fund. For the six months ended April 30, 2012, the
Portfolios' administrative services fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
DFA International Value Portfolio. 0.20%
U.S. Large Company Portfolio...... 0.05%
For the six months ended April 30, 2012, 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, 2013, and
shall continue in effect from year to year thereafter unless terminated by the
Fund or the Advisor. For the six months ended April 30, 2012, 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/
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE
AMOUNT EXPENSES ASSUMED RECOVERY
---------- ---------------- -----------------
DFA International Value Portfolio -- Class R2 Shares (1) .. 0.79% -- --
U.S. Large Company Portfolio (2)........................... 0.10% -- $ 568
(1) The Advisor has contractually agreed to assume the Portfolio's direct
expenses (excluding management fees and custodian fees and excluding any
applicable 12b-1 fees) to the extent necessary to limit the annualized
expenses (excluding the expenses the Portfolio incurs indirectly through
investment in other investment companies) ("Portfolio Expenses") of the
Class R2 shares of the Portfolio to the rate listed above as a percentage
of average net assets (the "Expense Limitation Amount"). At any time that
the Portfolio Expenses of the Portfolio are less than the Expense
Limitation Amount 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 Portfolio Expenses to exceed the Expense
Limitation Amount, 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 (excluding expenses incurred through investment in other
investment companies and excluding any applicable 12b-1 fees) ("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"). At any time that the Portfolio Expenses of
the Portfolio are less than the Expense Limitation Amount listed above
179
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 Portfolio Expenses to
exceed the Expense Limitation Amount, 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 six months ended April 30, 2012, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, 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................. $140
U.S. Large Company Portfolio...................... 210
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, 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...................................... $ 53,970
Sales.......................................... 162,976
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
180
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 April 30, 2012, 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. $5,185,881 $ 821,950 $(558,854) $ 263,096
U.S. Large Company Portfolio...... 3,409,159 1,775,277 (525,043) 1,250,234
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
181
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 Portfolios'
tax postions and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years 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.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR
SIX MONTHS ENDED ENDED
APRIL 30, 2012 OCT. 31, 2011
------------------ -------------------
AMOUNT SHARES AMOUNT SHARES
--------- ------- ---------- -------
DFA INTERNATIONAL VALUE PORTFOLIO
---------------------------------
Class R2 Shares
Shares Issued........................................ $ 1,151 72 $ 4,366 246
Shares Issued in Lieu of Cash Distributions.......... 62 4 172 9
Shares Redeemed...................................... (506) (32) (2,617) (146)
Shares Reduced by Reverse Stock Split................ -- -- -- (2)
--------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares $ 707 44 $ 1,921 107
========= ======= ========== =======
Institutional Class Shares
Shares Issued........................................ $ 680,485 44,038 $1,446,027 82,420
Shares Issued in Lieu of Cash Distributions.......... 55,816 3,784 162,517 9,148
Shares Redeemed...................................... (573,616) (37,356) (831,550) (47,145)
--------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 162,685 10,466 $ 776,994 44,423
========= ======= ========== =======
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
182
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:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. Futures Contracts: U.S. Large Company Portfolio may enter into futures
contracts to gain market exposure on uninvested cash pending investment in
securities or to maintain liquidity to pay redemptions. Upon entering into a
futures contract, U.S. Large Company Portfolio deposits cash or pledges U.S.
Government securities to a broker, equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by U.S. Large Company
Portfolio as unrealized gains or losses until the contracts are closed. When
the contracts are closed, U.S. Large Company Portfolio record a realized gain
or loss, which is presented in the Statements of Operations as a net realized
gain or loss on futures, equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that U.S. Large Company Portfolio could
lose more than the initial margin requirements. Portfolios entering into stock
index futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At April 30, 2012, 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 06/15/2012 265 $ 92,326 $ 1,752 $ 4,550
* During the six months ended April 30, 2012, U.S. Large Company Portfolio's
average notional contract amount of outstanding futures contracts was $69,445
(in thousands).
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
April 30, 2012 (amounts in thousands):
183
ASSET DERIVATIVES VALUE
-----------------------
LOCATION ON THE STATEMENTS
OF ASSETS AND EQUITY
LIABILITIES CONTRACTS
-------------------------- -----------------------
Payables: Futures
U.S. Large Company Portfolio. Margin Variation $ 1,752*
* 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 six
months ended April 30, 2012:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME
--------------- -----------------------------------------------------------
Equity contracts. Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation
(Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from U.S. Large Company Portfolio's direct investment in derivative
instrument holdings categorized by primary risk exposure for the six months
ended April 30, 2012 (amounts in thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
RECOGNIZED IN INCOME
--------------------------------
EQUITY
CONTRACTS
--------------------------------
U.S. Large Company Portfolio. $ 10,696
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES RECOGNIZED IN INCOME
--------------------------------
EQUITY
CONTRACTS
--------------------------------
U.S. Large Company Portfolio. $ (1,992)
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 scheduled to expire on July 6,
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 Portfolios under this line of credit during the six months ended April 30,
2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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
184
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 11, 2013.
For the six months ended April 30, 2012, borrowings by the Portfolios 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
------------- ------------ ------------ -------- ---------------
U.S. Large Company Portfolio. 0.83% $ 21,218 5 $ 2 $ 24,616
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2012 that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Portfolios under this line of
credit as of April 30, 2012.
J. SECURITIES LENDING:
As of April 30, 2012, 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.
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.
185
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 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 April 30, 2012, 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 OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA International Value Portfolio -- Class R2 Shares............ 2 59%
DFA International Value Portfolio -- Institutional Class Shares. 3 55%
U.S. Large Company Portfolio.................................... 2 66%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of 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.
186
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................. $1,000.00 $1,107.21 0.12% $0.63
Hypothetical 5% Annual Return...... $1,000.00 $1,024.27 0.12% $0.60
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,010.76 0.23% $1.15
Hypothetical 5% Annual Return...... $1,000.00 $1,023.72 0.23% $1.16
187
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
THE JAPANESE SMALL COMPANY SERIES
---------------------------------
Actual Fund Return.......................................... $1,000.00 $1,085.04 0.14% $0.73
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.17 0.14% $0.70
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------
Actual Fund Return.......................................... $1,000.00 $1,067.95 0.17% $0.87
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.02 0.17% $0.86
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------
Actual Fund Return.......................................... $1,000.00 $1,149.87 0.13% $0.69
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.22 0.13% $0.65
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------
Actual Fund Return.......................................... $1,000.00 $1,023.59 0.16% $0.81
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.07 0.16% $0.81
THE CANADIAN SMALL COMPANY SERIES
---------------------------------
Actual Fund Return.......................................... $1,000.00 $1,000.00 0.15% $0.75
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.12 0.15% $0.75
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return.......................................... $1,000.00 $1,046.84 0.19% $0.97
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.92 0.19% $0.96
THE EMERGING MARKETS SMALL CAP SERIES
-------------------------------------
Actual Fund Return.......................................... $1,000.00 $1,061.59 0.33% $1.69
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.22 0.33% $1.66
--------
* 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 (182), then divided
by the number of days in the year (366) to reflect the six-month period.
188
DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2012. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
THE U.S. LARGE CAP VALUE SERIES
Consumer Discretionary..... 16.2%
Consumer Staples........... 9.1%
Energy..................... 18.0%
Financials................. 18.5%
Health Care................ 9.6%
Industrials................ 14.5%
Information Technology..... 3.7%
Materials.................. 3.0%
Telecommunication Services. 6.6%
Utilities.................. 0.8%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary..... 12.3%
Consumer Staples........... 5.4%
Energy..................... 14.3%
Financials................. 27.7%
Health Care................ 1.7%
Industrials................ 10.8%
Information Technology..... 2.8%
Materials.................. 13.3%
Other...................... --
Telecommunication Services. 8.3%
Utilities.................. 3.4%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Consumer Discretionary..... 22.8%
Consumer Staples........... 9.8%
Energy..................... 1.0%
Financials................. 11.0%
Health Care................ 4.4%
Industrials................ 27.6%
Information Technology..... 11.3%
Materials.................. 11.5%
Telecommunication Services. 0.1%
Utilities.................. 0.5%
-----
100.0%
189
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
THE ASIA PACIFIC SMALL COMPANY SERIES
Consumer Discretionary....... 21.7%
Consumer Staples............. 4.1%
Energy....................... 8.0%
Financials................... 10.9%
Health Care.................. 4.9%
Industrials.................. 23.6%
Information Technology....... 4.4%
Materials.................... 17.0%
Other........................ --
Telecommunication Services... 1.7%
Utilities.................... 3.7%
-----
100.0%
THE CANADIAN SMALL COMPANY SERIES
Consumer Discretionary....... 11.7%
Consumer Staples............. 3.2%
Energy....................... 24.8%
Financials................... 8.9%
Health Care.................. 2.3%
Industrials.................. 11.8%
Information Technology....... 4.9%
Materials.................... 28.1%
Telecommunication Services... 0.5%
Utilities.................... 3.8%
-----
100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
Consumer Discretionary......... 22.8%
Consumer Staples............... 4.0%
Energy......................... 5.1%
Financials..................... 13.0%
Health Care.................... 2.0%
Industrials.................... 29.5%
Information Technology......... 10.9%
Materials...................... 8.0%
Telecommunication Services..... 2.4%
Utilities...................... 2.3%
-----
100.0%
THE EMERGING MARKETS SERIES
Consumer Discretionary......... 8.6%
Consumer Staples............... 9.6%
Energy......................... 13.2%
Financials..................... 22.1%
Health Care.................... 1.2%
Industrials.................... 7.2%
Information Technology......... 13.7%
Materials...................... 12.9%
Other.......................... --
Telecommunication Services..... 8.0%
Utilities...................... 3.5%
-----
100.0%
THE CONTINENTAL SMALL COMPANY SERIES
Consumer Discretionary....... 14.0%
Consumer Staples............. 7.5%
Energy....................... 4.8%
Financials................... 17.3%
Health Care.................. 8.7%
Industrials.................. 25.5%
Information Technology....... 10.2%
Materials.................... 8.4%
Other........................ --
Real Estate Investment
Trusts....................... --
Telecommunication Services... 1.6%
Utilities.................... 2.0%
-----
100.0%
THE EMERGING MARKETS SMALL CAP SERIES
Consumer Discretionary....... 18.4%
Consumer Staples............. 11.0%
Energy....................... 2.2%
Financials................... 17.1%
Health Care.................. 4.4%
Industrials.................. 17.7%
Information Technology....... 9.9%
Materials.................... 14.6%
Other........................ --
Real Estate Investment
Trusts....................... --
Telecommunication Services... 1.1%
Utilities.................... 3.6%
-----
100.0%
190
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
COMMON STOCKS -- (92.5%)
Consumer Discretionary -- (15.0%)
#Carnival Corp............................. 2,385,423 $ 77,502,393 0.8%
#CBS Corp. Class B......................... 2,669,115 89,014,985 0.9%
#Comcast Corp. Class A..................... 10,008,890 303,569,634 3.0%
Comcast Corp. Special Class A............. 3,843,964 114,665,446 1.1%
#*Liberty Interactive Corp. Class A......... 3,316,465 62,482,201 0.6%
#News Corp. Class A........................ 9,024,175 176,873,830 1.7%
#News Corp. Class B........................ 3,247,295 64,426,333 0.6%
#Time Warner Cable, Inc.................... 1,921,256 154,565,045 1.5%
Time Warner, Inc.......................... 5,323,159 199,405,536 2.0%
Other Securities.......................... 403,077,907 4.0%
-------------- ----
Total Consumer Discretionary................. 1,645,583,310 16.2%
-------------- ----
Consumer Staples -- (8.4%)
Archer-Daniels-Midland Co................. 3,155,848 97,294,794 1.0%
CVS Caremark Corp......................... 6,431,368 286,967,640 2.8%
#Kraft Foods, Inc. Class A................. 7,128,852 284,227,329 2.8%
Other Securities.......................... 255,898,110 2.5%
-------------- ----
Total Consumer Staples....................... 924,387,873 9.1%
-------------- ----
Energy -- (16.7%)
Anadarko Petroleum Corp................... 2,574,876 188,506,672 1.9%
Apache Corp............................... 1,155,774 110,884,958 1.1%
#Chesapeake Energy Corp.................... 3,267,150 60,246,246 0.6%
Chevron Corp.............................. 1,669,494 177,901,281 1.8%
ConocoPhillips............................ 5,710,341 409,031,726 4.0%
Devon Energy Corp......................... 1,088,705 76,046,044 0.8%
Hess Corp................................. 1,567,373 81,722,828 0.8%
Marathon Oil Corp......................... 3,625,708 106,378,273 1.0%
Marathon Petroleum Corp................... 1,791,952 74,563,123 0.7%
National Oilwell Varco, Inc............... 1,627,065 123,266,444 1.2%
#Pioneer Natural Resources Co.............. 517,832 59,975,302 0.6%
Valero Energy Corp........................ 2,806,975 69,332,282 0.7%
Other Securities.......................... 288,680,430 2.8%
-------------- ----
Total Energy................................. 1,826,535,609 18.0%
-------------- ----
Financials -- (17.1%)
Bank of America Corp...................... 24,999,052 202,742,312 2.0%
Capital One Financial Corp................ 1,092,331 60,602,524 0.6%
#Citigroup, Inc............................ 9,041,167 298,720,158 2.9%
#CME Group, Inc............................ 319,869 85,027,578 0.8%
JPMorgan Chase & Co....................... 1,496,828 64,333,667 0.6%
#Loews Corp................................ 2,340,216 96,253,084 1.0%
#MetLife, Inc.............................. 4,759,859 171,497,720 1.7%
Morgan Stanley............................ 3,765,813 65,073,249 0.7%
#Prudential Financial, Inc................. 2,340,342 141,684,305 1.4%
#SunTrust Banks, Inc....................... 2,564,707 62,271,086 0.6%
Other Securities.......................... 628,839,010 6.2%
-------------- ----
Total Financials............................. 1,877,044,693 18.5%
-------------- ----
Health Care -- (8.8%)
Aetna, Inc................................ 1,957,594 86,212,440 0.8%
Humana, Inc............................... 698,778 56,377,409 0.6%
Pfizer, Inc............................... 17,815,204 408,502,628 4.0%
Thermo Fisher Scientific, Inc............. 1,994,284 110,981,905 1.1%
WellPoint, Inc............................ 2,067,263 140,201,777 1.4%
191
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- --------------- ---------------
Health Care -- (Continued)
Other Securities.......................... $ 165,236,290 1.6%
--------------- ---------------
Total Health Care............................ 967,512,449 9.5%
--------------- ---------------
Industrials -- (13.4%)
CSX Corp.................................. 6,342,908 141,510,277 1.4%
General Electric Co....................... 21,867,055 428,156,937 4.2%
#Norfolk Southern Corp..................... 2,045,548 149,181,816 1.5%
Northrop Grumman Corp..................... 1,545,282 97,785,445 1.0%
Tyco International, Ltd................... 1,433,965 80,488,455 0.8%
Union Pacific Corp........................ 2,422,164 272,348,120 2.7%
Other Securities.......................... 300,389,113 2.9%
--------------- ---------------
Total Industrials............................ 1,469,860,163 14.5%
--------------- ---------------
Information Technology -- (3.5%)
Other Securities.......................... 378,920,592 3.7%
--------------- ---------------
Materials -- (2.7%)
#Alcoa, Inc................................ 5,357,434 52,127,833 0.5%
International Paper Co.................... 2,299,481 76,595,712 0.7%
Other Securities.......................... 171,903,835 1.7%
--------------- ---------------
Total Materials.............................. 300,627,380 2.9%
--------------- ---------------
Telecommunication Services -- (6.1%)
AT&T, Inc................................. 13,051,618 429,528,748 4.2%
#CenturyLink, Inc.......................... 2,300,437 88,704,851 0.9%
#Verizon Communications, Inc............... 1,811,751 73,158,505 0.7%
Other Securities.......................... 78,059,153 0.8%
--------------- ---------------
Total Telecommunication Services............. 669,451,257 6.6%
--------------- ---------------
Utilities -- (0.8%)
Other Securities.......................... 82,481,799 0.8%
--------------- ---------------
TOTAL COMMON STOCKS.......................... 10,142,405,125 99.8%
--------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash
Portfolio -- Institutional Shares....... 31,844,654 31,844,654 0.3%
--------------- ---------------
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (7.2%)
(S)@DFA Short Term Investment Fund 785,569,107 785,569,107 7.7%
@Repurchase Agreement, JPMorgan Securities
LLC 0.21%, 05/01/12 (Collateralized by
$375,124 FNMA, rates ranging from 2.000% to
6.331%(r), maturities ranging from 01/01/19
to 09/01/45, valued at $376,287) to be
repurchased at $364,198............................................................. $ 364 364,196 0.0%
--------------- -----
TOTAL SECURITIES LENDING COLLATERAL......................................................... 785,933,303 7.7%
--------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,527,670,147)..................................................................... $10,960,183,082 107.8%
=============== =====
192
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary..... $ 1,645,583,310 -- -- $ 1,645,583,310
Consumer Staples........... 924,387,873 -- -- 924,387,873
Energy..................... 1,826,535,609 -- -- 1,826,535,609
Financials................. 1,877,044,693 -- -- 1,877,044,693
Health Care................ 967,512,449 -- -- 967,512,449
Industrials................ 1,469,860,163 -- -- 1,469,860,163
Information Technology..... 378,920,592 -- -- 378,920,592
Materials.................. 300,627,380 -- -- 300,627,380
Telecommunication Services. 669,451,257 -- -- 669,451,257
Utilities.................. 82,481,799 -- -- 82,481,799
Temporary Cash Investments.... 31,844,654 -- -- 31,844,654
Securities Lending Collateral. -- $785,933,303 -- 785,933,303
--------------- ------------ ------- ---------------
TOTAL......................... $10,174,249,779 $785,933,303 -- $10,960,183,082
=============== ============ ======= ===============
See accompanying Notes to Financial Statements.
193
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (85.6%)
AUSTRALIA -- (4.2%)
National Australia Bank, Ltd.............. 1,490,363 $ 38,957,024 0.5%
Wesfarmers, Ltd........................... 2,578,622 80,973,411 1.1%
Other Securities.......................... 226,937,336 3.2%
------------ ---------------
TOTAL AUSTRALIA.............................. 346,867,771 4.8%
------------ ---------------
AUSTRIA -- (0.3%)
Other Securities.......................... 21,553,007 0.3%
------------ ---------------
BELGIUM -- (0.8%)
Other Securities.......................... 62,916,268 0.9%
------------ ---------------
CANADA -- (10.6%)
#Encana Corp............................... 2,051,015 42,957,433 0.6%
#Goldcorp, Inc............................. 1,677,120 64,225,793 0.9%
#Manulife Financial Corp................... 4,206,497 57,528,749 0.8%
#Sun Life Financial, Inc................... 1,513,735 37,113,592 0.5%
Suncor Energy, Inc........................ 3,486,786 115,173,181 1.6%
#Teck Resources, Ltd. Class B.............. 1,483,730 55,362,948 0.8%
#Thomson Reuters Corp...................... 1,832,184 54,751,300 0.7%
#TransCanada Corp.......................... 1,575,808 69,326,938 1.0%
Other Securities.......................... 383,877,001 5.3%
------------ ---------------
TOTAL CANADA................................. 880,316,935 12.2%
------------ ---------------
DENMARK -- (1.2%)
Other Securities.......................... 102,335,685 1.4%
------------ ---------------
FINLAND -- (0.5%)
Other Securities.......................... 40,320,948 0.6%
------------ ---------------
FRANCE -- (7.7%)
#AXA SA.................................... 4,058,877 57,677,147 0.8%
BNP Paribas SA............................ 1,248,772 50,399,590 0.7%
Cie de Saint-Gobain SA.................... 1,039,077 43,626,019 0.6%
France Telecom SA......................... 3,803,372 52,136,748 0.7%
GDF Suez SA............................... 2,974,295 68,480,750 1.0%
#Societe Generale SA....................... 1,558,512 36,896,510 0.5%
#Vivendi SA................................ 3,567,218 65,981,070 0.9%
Other Securities.......................... 265,365,392 3.7%
------------ ---------------
TOTAL FRANCE................................. 640,563,226 8.9%
------------ ---------------
GERMANY -- (7.0%)
Allianz SE................................ 330,017 36,810,454 0.5%
Bayerische Motoren Werke AG............... 660,431 62,814,886 0.9%
Daimler AG................................ 2,088,586 115,564,409 1.6%
Deutsche Bank AG.......................... 1,039,440 45,125,200 0.6%
#Deutsche Telekom AG Sponsored ADR......... 3,099,741 35,337,047 0.5%
#E.ON AG................................... 2,894,296 65,531,861 0.9%
#Munchener Rueckversicherungs-Gesellschaft
AG........................................ 395,244 57,409,200 0.8%
Other Securities.......................... 159,791,238 2.2%
------------ ---------------
TOTAL GERMANY................................ 578,384,295 8.0%
------------ ---------------
GREECE -- (0.1%)
Other Securities.......................... 4,120,169 0.1%
------------ ----
HONG KONG -- (1.7%)
Hutchison Whampoa, Ltd.................... 5,618,000 53,856,729 0.7%
194
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
HONG KONG -- (Continued)
Other Securities.......................... $ 83,058,768 1.2%
-------------- ---------------
TOTAL HONG KONG.............................. 136,915,497 1.9%
-------------- ---------------
IRELAND -- (0.2%)
Other Securities.......................... 17,279,741 0.2%
-------------- ---------------
ISRAEL -- (0.6%)
Other Securities.......................... 47,664,525 0.7%
-------------- ---------------
ITALY -- (1.2%)
Other Securities.......................... 102,282,841 1.4%
-------------- ---------------
JAPAN -- (17.4%)
Mitsubishi Corp........................... 2,411,300 52,257,599 0.7%
Mitsubishi Heavy Industries, Ltd.......... 9,007,000 40,846,959 0.6%
Mitsubishi UFJ Financial Group, Inc....... 17,167,906 82,431,923 1.2%
Mitsui & Co., Ltd......................... 2,469,100 38,556,482 0.5%
Sumitomo Corp............................. 3,241,900 46,071,274 0.6%
#Toyota Motor Corp. Sponsored ADR.......... 673,198 55,054,132 0.8%
Other Securities.......................... 1,131,567,900 15.7%
-------------- ---------------
TOTAL JAPAN.................................. 1,446,786,269 20.1%
-------------- ---------------
MALAYSIA -- (0.0%)
Other Securities.......................... -- 0.0%
-------------- ---------------
NETHERLANDS -- (2.3%)
ArcelorMittal NV.......................... 2,446,831 42,506,116 0.6%
Koninklijke Philips Electronics NV........ 1,939,039 38,587,673 0.5%
Other Securities.......................... 113,298,898 1.6%
-------------- ---------------
TOTAL NETHERLANDS............................ 194,392,687 2.7%
-------------- ---------------
NEW ZEALAND -- (0.1%)
Other Securities.......................... 5,484,801 0.1%
-------------- ---------------
NORWAY -- (1.0%)
Other Securities.......................... 86,545,255 1.2%
-------------- ---------------
PORTUGAL -- (0.1%)
Other Securities.......................... 8,206,069 0.1%
-------------- ---------------
SINGAPORE -- (1.0%)
Other Securities.......................... 79,091,216 1.1%
-------------- ---------------
SPAIN -- (1.4%)
Other Securities.......................... 114,294,255 1.6%
-------------- ---------------
SWEDEN -- (2.6%)
Nordea Bank AB............................ 5,275,564 46,690,917 0.6%
Other Securities.......................... 172,480,053 2.4%
-------------- ---------------
TOTAL SWEDEN................................. 219,170,970 3.0%
-------------- ---------------
SWITZERLAND -- (4.5%)
Holcim, Ltd............................... 886,165 55,272,069 0.8%
*Swiss Re, Ltd............................. 1,108,107 69,581,447 1.0%
*UBS AG.................................... 3,280,643 40,969,298 0.6%
Zurich Insurance Group AG................. 225,125 55,156,285 0.7%
Other Securities.......................... 153,704,777 2.1%
-------------- ---------------
TOTAL SWITZERLAND............................ 374,683,876 5.2%
-------------- ---------------
195
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
-------------- -------------- ---------------
UNITED KINGDOM -- (19.1%)
Aviva P.L.C............................... 8,175,916 $ 40,920,432 0.6%
Barclays P.L.C............................ 11,591,752 41,038,889 0.6%
Barclays P.L.C. Sponsored ADR............. 4,327,157 61,618,716 0.9%
BP P.L.C. Sponsored ADR................... 4,848,222 210,461,317 2.9%
International Power P.L.C................. 6,455,198 43,665,942 0.6%
Kingfisher P.L.C.......................... 10,285,817 48,507,558 0.7%
*Lloyds Banking Group P.L.C................ 76,981,994 38,640,671 0.5%
Royal Dutch Shell P.L.C. ADR.............. 3,323,210 243,790,686 3.4%
Vodafone Group P.L.C...................... 34,976,333 96,813,260 1.3%
Vodafone Group P.L.C. Sponsored ADR....... 8,190,343 227,937,246 3.2%
William Morrison Supermarkets P.L.C....... 8,127,143 37,017,257 0.5%
Xstrata P.L.C............................. 5,211,952 100,098,296 1.4%
Other Securities.......................... 396,933,279 5.5%
-------------- ---------------
TOTAL UNITED KINGDOM......................... 1,587,443,549 22.1%
-------------- ---------------
TOTAL COMMON STOCKS.......................... 7,097,619,855 98.6%
-------------- ---------------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities.......................... 20,410,954 0.3%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.......................... 2 0.0%
-------------- ---------------
SHARES/
FACE
AMOUNT VALUE+
-------------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (14.2%)
(S)@DFA Short Term Investment Fund........... 1,174,000,000 1,174,000,000 16.3%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $200,496) to be repurchased at
$196,566.................................. $ 197 196,565 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL.......... 1,174,196,565 16.3%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)................
(Cost $7,877,751,800)...................... $8,292,227,376 115.2%
============== =====
196
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Australia.................. $ 4,983,494 $ 341,884,277 -- $ 346,867,771
Austria.................... -- 21,553,007 -- 21,553,007
Belgium.................... 2,576,759 60,339,509 -- 62,916,268
Canada..................... 880,316,935 -- -- 880,316,935
Denmark.................... -- 102,335,685 -- 102,335,685
Finland.................... 1,505,997 38,814,951 -- 40,320,948
France..................... 25,911,691 614,651,535 -- 640,563,226
Germany.................... 84,691,422 493,692,873 -- 578,384,295
Greece..................... -- 4,120,169 -- 4,120,169
Hong Kong.................. -- 136,915,497 -- 136,915,497
Ireland.................... 5,283,523 11,996,218 -- 17,279,741
Israel..................... 6,184,967 41,479,558 -- 47,664,525
Italy...................... 21,219,340 81,063,501 -- 102,282,841
Japan...................... 115,375,138 1,331,411,131 -- 1,446,786,269
Malaysia................... -- -- -- --
Netherlands................ 11,737,570 182,655,117 -- 194,392,687
New Zealand................ -- 5,484,801 -- 5,484,801
Norway..................... 289,916 86,255,339 -- 86,545,255
Portugal................... -- 8,206,069 -- 8,206,069
Singapore.................. -- 79,091,216 -- 79,091,216
Spain...................... 8,765,062 105,529,193 -- 114,294,255
Sweden..................... 9,516,859 209,654,111 -- 219,170,970
Switzerland................ 46,723,453 327,960,423 -- 374,683,876
United Kingdom............. 807,957,592 779,485,957 -- 1,587,443,549
Preferred Stocks
Germany.................... -- 20,410,954 -- 20,410,954
Rights/Warrants
Spain...................... -- 2 -- 2
Securities Lending Collateral. -- 1,174,196,565 -- 1,174,196,565
-------------- -------------- ------- --------------
TOTAL......................... $2,033,039,718 $6,259,187,658 -- $8,292,227,376
============== ============== ======= ==============
See accompanying Notes to Financial Statements.
197
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (90.6%)
Consumer Discretionary -- (20.7%)
Aoyama Trading Co., Ltd................... 257,600 $ 5,314,739 0.3%
Autobacs Seven Co., Ltd................... 97,200 4,664,943 0.3%
*Haseko Corp............................... 6,572,500 4,735,838 0.3%
Nifco, Inc................................ 212,800 5,724,281 0.3%
Onward Holdings Co., Ltd.................. 557,000 4,355,674 0.2%
*Pioneer Electronic Corp................... 1,050,900 5,303,473 0.3%
Ryohin Keikaku Co., Ltd................... 103,400 5,613,665 0.3%
Shimachu Co., Ltd......................... 203,600 4,586,562 0.3%
Toyobo Co., Ltd........................... 3,695,000 5,030,586 0.3%
Unipres Corp.............................. 141,400 4,443,808 0.3%
Other Securities.......................... 338,872,159 19.6%
------------ ---------------
Total Consumer Discretionary................. 388,645,728 22.5%
------------ ---------------
Consumer Staples -- (8.8%)
Nichirei Corp............................. 1,222,000 5,540,850 0.3%
Sapporo Holdings, Ltd..................... 1,551,000 5,421,477 0.3%
Takara Holdings, Inc...................... 799,000 5,425,555 0.3%
Tsuruha Holdings, Inc..................... 71,300 4,271,781 0.3%
Other Securities.......................... 145,509,154 8.4%
------------ ---------------
Total Consumer Staples....................... 166,168,817 9.6%
------------ ---------------
Energy -- (0.9%)
Other Securities.......................... 17,353,115 1.0%
------------ ---------------
Financials -- (9.9%)
Daishi Bank, Ltd. (The)................... 1,416,000 4,412,515 0.3%
Hyakugo Bank, Ltd. (The).................. 1,045,609 4,341,692 0.2%
Hyakujishi Bank, Ltd. (The)............... 1,031,000 4,382,610 0.3%
Juroku Bank, Ltd.......................... 1,350,000 4,249,124 0.2%
Musashino Bank, Ltd....................... 130,600 4,255,211 0.2%
Ogaki Kyoritsu Bank, Ltd. (The)........... 1,318,000 4,509,698 0.3%
San-in Godo Bank, Ltd. (The).............. 696,000 5,004,198 0.3%
*Tokyo Tatemono Co., Ltd................... 1,726,000 6,373,349 0.4%
Other Securities.......................... 149,389,568 8.7%
------------ ---------------
Total Financials............................. 186,917,965 10.9%
------------ ---------------
Health Care -- (4.0%)
Kaken Pharmaceutical Co., Ltd............. 353,000 4,365,666 0.3%
#Nihon Kohden Corp......................... 168,900 4,926,486 0.3%
Rohto Pharmaceutical Co., Ltd............. 408,000 5,225,995 0.3%
#Sawai Pharmaceutical Co., Ltd............. 50,200 5,290,199 0.3%
Toho Holdings Co., Ltd.................... 217,700 4,231,416 0.2%
Other Securities.......................... 51,639,813 3.0%
------------ ---------------
Total Health Care............................ 75,679,575 4.4%
------------ ---------------
Industrials -- (25.0%)
COMSYS Holdings Corp...................... 446,400 4,499,899 0.3%
Duskin Co., Ltd........................... 222,800 4,313,834 0.2%
Fujikura, Ltd............................. 1,609,000 5,002,804 0.3%
Hitachi Zosen Corp........................ 3,511,500 4,727,978 0.3%
#*Kawasaki Kisen Kaisha, Ltd................ 2,414,000 5,084,740 0.3%
#Mori Seiki Co., Ltd....................... 433,100 4,316,570 0.2%
#Nippon Sheet Glass Co., Ltd............... 4,060,000 5,258,558 0.3%
OKUMA Corp................................ 618,000 4,859,394 0.3%
#OSG Corp.................................. 322,000 5,082,316 0.3%
Sankyu, Inc............................... 1,228,000 4,872,436 0.3%
198
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (Continued)
Other Securities.......................... $ 421,904,406 24.5%
-------------- ---------------
Total Industrials............................ 469,922,935 27.3%
-------------- ---------------
Information Technology -- (10.3%)
Alps Electric Co., Ltd.................... 744,600 6,772,423 0.4%
#Anritsu Corp.............................. 458,000 5,975,759 0.4%
#Capcom Co., Ltd........................... 224,800 5,133,294 0.3%
Horiba, Ltd............................... 169,150 5,931,139 0.3%
IT Holdings Corp.......................... 376,801 4,825,108 0.3%
Net One Systems Co., Ltd.................. 398,800 5,440,644 0.3%
*Oki Electric Industry Co., Ltd............ 3,097,000 5,272,140 0.3%
#Taiyo Yuden Co., Ltd...................... 479,400 5,127,204 0.3%
Other Securities.......................... 148,444,745 8.6%
-------------- ---------------
Total Information Technology................. 192,922,456 11.2%
-------------- ---------------
Materials -- (10.4%)
Hokuetsu Kishu Paper Co., Ltd............. 862,199 5,518,801 0.3%
Sumitomo Osaka Cement Co., Ltd............ 1,819,000 5,513,885 0.3%
Toagosei Co., Ltd......................... 1,096,000 4,745,000 0.3%
Tokai Carbon Co., Ltd..................... 920,000 4,605,214 0.3%
#Tokuyama Corp............................. 1,585,000 4,955,070 0.3%
Other Securities.......................... 169,676,287 9.8%
-------------- ---------------
Total Materials.............................. 195,014,257 11.3%
-------------- ---------------
Telecommunication Services -- (0.1%)
Other Securities.......................... 1,804,262 0.1%
-------------- ---------------
Utilities -- (0.5%)
Other Securities.......................... 9,169,371 0.5%
-------------- ---------------
TOTAL COMMON STOCKS.......................... 1,703,598,481 98.8%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.......................... 123,722 0.0%
-------------- ---------------
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (9.4%)
(S)@DFA Short Term Investment Fund........... 176,000,000 176,000,000 10.2%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $86,800) to be repurchased at
$85,099................................. $ 85 85,098 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL.......... 176,085,098 10.2%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)................
(Cost $1,922,647,272)...................... $1,879,807,301 109.0%
============== ===============
199
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Common Stocks
Consumer Discretionary.......... -- $ 388,645,728 -- $ 388,645,728
Consumer Staples................ -- 166,168,817 -- 166,168,817
Energy.......................... -- 17,353,115 -- 17,353,115
Financials...................... -- 186,917,965 -- 186,917,965
Health Care..................... -- 75,679,575 -- 75,679,575
Industrials..................... -- 469,922,935 -- 469,922,935
Information Technology.......... -- 192,922,456 -- 192,922,456
Materials....................... -- 195,014,257 -- 195,014,257
Telecommunication Services...... -- 1,804,262 -- 1,804,262
Utilities....................... -- 9,169,371 -- 9,169,371
Rights/Warrants.................... -- 123,722 -- 123,722
Securities Lending Collateral...... -- 176,085,098 -- 176,085,098
------- -------------- ------- --------------
TOTAL.............................. -- $1,879,807,301 -- $1,879,807,301
======= ============== ======= ==============
See accompanying Notes to Financial Statements.
200
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (82.0%)
AUSTRALIA -- (53.0%)
Adelaide Brighton, Ltd.................... 1,932,792 $ 6,107,300 0.6%
Ansell, Ltd............................... 503,479 7,751,084 0.8%
#Aristocrat Leisure, Ltd................... 2,580,305 8,304,319 0.8%
#*Aurora Oil & Gas, Ltd..................... 1,265,748 5,419,405 0.5%
Ausdrill, Ltd............................. 1,466,628 6,215,427 0.6%
Australian Infrastructure Fund NL......... 3,606,473 8,340,064 0.9%
#Bank of Queensland, Ltd................... 860,925 6,650,240 0.7%
Beach Energy, Ltd......................... 5,460,246 7,912,277 0.8%
*BlueScope Steel, Ltd...................... 13,446,558 5,484,911 0.6%
Boart Longyear, Ltd....................... 2,638,658 11,371,201 1.2%
Bradken, Ltd.............................. 1,022,589 7,850,379 0.8%
carsales.com, Ltd......................... 1,220,399 7,275,224 0.7%
CSR, Ltd.................................. 2,491,176 4,505,200 0.5%
#David Jones, Ltd.......................... 3,152,271 8,116,562 0.8%
*Downer EDI, Ltd........................... 1,857,964 6,935,942 0.7%
DUET Group................................ 4,637,733 8,903,588 0.9%
DuluxGroup, Ltd........................... 2,167,142 6,963,319 0.7%
Goodman Fielder, Ltd...................... 8,296,037 5,673,840 0.6%
GrainCorp, Ltd............................ 759,612 7,272,752 0.7%
#Independence Group NL..................... 1,024,848 4,610,704 0.5%
#Invocare, Ltd............................. 633,106 5,527,566 0.6%
IOOF Holdings, Ltd........................ 1,074,600 6,934,601 0.7%
#JB Hi-Fi, Ltd............................. 582,072 5,840,368 0.6%
*Karoon Gas Australia, Ltd................. 667,086 4,436,232 0.4%
#Kingsgate Consolidated, Ltd............... 770,040 4,940,592 0.5%
#Medusa Mining, Ltd........................ 844,923 5,021,889 0.5%
Mineral Resources, Ltd.................... 377,669 4,665,498 0.5%
#Monadelphous Group, Ltd................... 319,624 7,689,311 0.8%
Myer Holdings, Ltd........................ 3,564,925 8,690,705 0.9%
Navitas, Ltd.............................. 1,189,617 4,865,080 0.5%
NRW Holdings, Ltd......................... 1,174,775 4,959,746 0.5%
OneSteel, Ltd............................. 5,711,238 7,652,068 0.8%
#*Paladin Energy, Ltd....................... 4,096,983 6,714,584 0.7%
#Perpetual Trustees Australia, Ltd......... 226,579 5,977,171 0.6%
Primary Health Care, Ltd.................. 1,960,174 5,757,029 0.6%
Reece Australia, Ltd...................... 238,457 4,602,136 0.5%
*Regis Resources, Ltd...................... 1,267,766 5,545,463 0.6%
*Resolute Mining, Ltd...................... 3,133,646 5,456,493 0.6%
#SAI Global, Ltd........................... 1,180,630 6,439,134 0.7%
Seek, Ltd................................. 666,916 4,932,239 0.5%
Spark Infrastructure Group, Ltd........... 5,543,872 8,360,511 0.9%
*St. Barbara, Ltd.......................... 1,946,083 4,612,536 0.5%
Super Retail Group, Ltd................... 1,291,876 10,391,522 1.1%
#Transfield Services, Ltd.................. 2,133,558 5,031,607 0.5%
Other Securities.......................... 336,021,213 34.5%
------------ ---------------
TOTAL AUSTRALIA.............................. 622,729,032 64.0%
------------ ---------------
CANADA -- (0.1%)
Other Securities.......................... 743,462 0.1%
------------ ---------------
CHINA -- (0.0%)
Other Securities.......................... 272,562 0.0%
------------ ---------------
HONG KONG -- (13.7%)
Giordano International, Ltd............... 7,162,000 6,217,767 0.7%
Pacific Basin Shipping, Ltd............... 9,662,000 5,056,217 0.5%
201
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
HONG KONG -- (Continued)
Other Securities.......................... $ 149,776,841 15.4%
-------------- ---------------
TOTAL HONG KONG.............................. 161,050,825 16.6%
-------------- ---------------
MALAYSIA -- (0.0%)
Other Securities.......................... 4,263 0.0%
-------------- ---------------
NEW ZEALAND -- (5.6%)
Fisher & Paykel Healthcare Corp., Ltd..... 2,987,527 5,420,503 0.6%
Port of Tauranga, Ltd..................... 528,322 4,965,527 0.5%
Sky Network Television, Ltd............... 1,006,593 4,486,236 0.5%
SKYCITY Entertainment Group, Ltd.......... 3,227,185 10,127,092 1.0%
Other Securities.......................... 40,911,929 4.2%
-------------- ---------------
TOTAL NEW ZEALAND............................ 65,911,287 6.8%
-------------- ---------------
SINGAPORE -- (9.6%)
Other Securities.......................... 113,320,189 11.6%
-------------- ---------------
UNITED KINGDOM -- (0.0%)
Other Securities.......................... 8,865 0.0%
-------------- ---------------
TOTAL COMMON STOCKS.......................... 964,040,485 99.1%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.......................... 58,823 0.0%
-------------- ---------------
HONG KONG -- (0.0%)
Other Securities.......................... 22,286 0.0%
-------------- ---------------
SINGAPORE -- (0.0%)
Other Securities.......................... 16,453 0.0%
-------------- ---------------
TOTAL RIGHTS/WARRANTS........................ 97,562 0.0%
-------------- ---------------
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (18.0%)
(S)@DFA Short Term Investment Fund........... 212,000,000 212,000,000 21.8%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $60,378) to be repurchased at
$59,194................................. $ 59 59,194 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL.......... 212,059,194 21.8%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,132,401,975)...................... $1,176,197,241 120.9%
============== ===============
202
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Common Stocks
Australia....................... -- $ 622,729,032 -- $ 622,729,032
Canada.......................... -- 743,462 -- 743,462
China........................... -- 272,562 -- 272,562
Hong Kong....................... -- 161,050,825 -- 161,050,825
Malaysia........................ -- 4,263 -- 4,263
New Zealand..................... -- 65,911,287 -- 65,911,287
Singapore....................... -- 113,320,189 -- 113,320,189
United Kingdom.................. -- 8,865 -- 8,865
Rights/Warrants
Australia....................... -- 58,823 -- 58,823
Hong Kong....................... -- 22,286 -- 22,286
Singapore....................... -- 16,453 -- 16,453
Securities Lending Collateral...... -- 212,059,194 -- 212,059,194
------- -------------- ------- --------------
TOTAL.............................. -- $1,176,197,241 -- $1,176,197,241
======= ============== ======= ==============
See accompanying Notes to Financial Statements.
203
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (99.3%)
Consumer Discretionary -- (22.6%)
Aegis Group P.L.C......................... 3,314,004 $ 9,561,820 0.7%
*Berkeley Group Holdings P.L.C. (The)...... 517,118 10,752,621 0.8%
GKN P.L.C................................. 3,414,280 11,292,644 0.8%
Greene King P.L.C......................... 1,421,372 11,778,569 0.9%
Inchcape P.L.C............................ 1,915,975 11,382,977 0.9%
Informa P.L.C............................. 2,292,105 15,426,586 1.2%
ITV P.L.C................................. 8,448,636 11,480,210 0.9%
Ladbrokes P.L.C........................... 3,578,739 10,422,240 0.8%
Persimmon P.L.C........................... 1,177,634 12,010,988 0.9%
Rightmove P.L.C........................... 378,372 9,466,824 0.7%
*Taylor Wimpey P.L.C....................... 12,262,982 10,002,199 0.7%
UBM P.L.C................................. 920,989 8,813,896 0.7%
William Hill P.L.C........................ 2,894,680 13,222,456 1.0%
Other Securities.......................... 153,623,532 11.6%
------------ ---------------
Total Consumer Discretionary................. 299,237,562 22.6%
------------ ---------------
Consumer Staples -- (4.0%)
Tate & Lyle P.L.C......................... 1,074,000 12,038,743 0.9%
Other Securities.......................... 40,342,941 3.1%
------------ ---------------
Total Consumer Staples....................... 52,381,684 4.0%
------------ ---------------
Energy -- (5.0%)
*Afren P.L.C............................... 3,944,497 8,635,726 0.6%
*John Wood Group P.L.C..................... 1,034,385 13,135,082 1.0%
*Premier Oil P.L.C......................... 1,895,355 11,534,115 0.9%
Other Securities.......................... 33,277,294 2.5%
------------ ---------------
Total Energy................................. 66,582,217 5.0%
------------ ---------------
Financials -- (13.0%)
Aberdeen Asset Management P.L.C........... 2,820,342 12,939,383 1.0%
Amlin P.L.C............................... 1,918,231 10,273,769 0.8%
Catlin Group, Ltd......................... 1,357,851 9,302,885 0.7%
Hiscox, Ltd............................... 1,574,362 10,182,158 0.7%
IG Group Holdings P.L.C................... 1,317,769 9,901,769 0.7%
London Stock Exchange Group P.L.C......... 579,642 10,234,019 0.8%
Provident Financial P.L.C................. 499,581 9,372,750 0.7%
Other Securities.......................... 99,378,068 7.5%
------------ ---------------
Total Financials............................. 171,584,801 12.9%
------------ ---------------
Health Care -- (2.0%)
Other Securities.......................... 25,992,837 2.0%
------------ ---------------
Industrials -- (29.3%)
Babcock International Group P.L.C......... 1,446,405 19,522,264 1.5%
Balfour Beatty P.L.C...................... 2,850,059 12,077,514 0.9%
BBA Aviation P.L.C........................ 2,792,163 8,954,960 0.7%
Bodycote P.L.C............................ 1,253,236 8,655,246 0.6%
Cobham P.L.C.............................. 3,906,025 14,362,374 1.1%
Cookson Group P.L.C....................... 1,142,420 13,457,785 1.0%
IMI P.L.C................................. 1,016,818 16,334,097 1.2%
Intertek Group P.L.C...................... 456,070 18,620,838 1.4%
Invensys P.L.C............................ 2,433,434 8,778,406 0.7%
Meggitt P.L.C............................. 2,409,961 15,981,325 1.2%
Melrose P.L.C............................. 1,583,124 11,233,829 0.8%
Michael Page International P.L.C.......... 1,310,832 8,857,530 0.7%
*Rentokil Initial P.L.C.................... 6,788,052 9,547,632 0.7%
Rotork P.L.C.............................. 366,679 13,138,331 1.0%
204
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
Industrials -- (Continued)
Spirax-Sarco Engineering P.L.C............ 320,648 $ 12,004,620 0.9%
Travis Perkins P.L.C...................... 922,110 15,731,933 1.2%
Other Securities.......................... 181,415,508 13.7%
-------------- ---------------
Total Industrials............................ 388,674,192 29.3%
-------------- ---------------
Information Technology -- (10.8%)
Halma P.L.C............................... 1,549,740 10,191,618 0.7%
*Imagination Technologies Group P.L.C...... 961,901 10,731,597 0.8%
*Misys P.L.C............................... 1,604,251 9,085,315 0.7%
Spectris P.L.C............................ 515,234 15,775,629 1.2%
Other Securities.......................... 97,868,670 7.4%
-------------- ---------------
Total Information Technology................. 143,652,829 10.8%
-------------- ---------------
Materials -- (7.9%)
Croda International P.L.C................. 508,309 18,410,337 1.4%
DS Smith P.L.C............................ 4,475,611 12,191,635 0.9%
Mondi P.L.C............................... 1,236,260 11,495,279 0.9%
Other Securities.......................... 62,474,026 4.7%
-------------- ---------------
Total Materials.............................. 104,571,277 7.9%
-------------- ---------------
Telecommunication Services -- (2.4%)
*Inmarsat P.L.C............................ 1,585,110 11,310,909 0.8%
Other Securities.......................... 20,720,899 1.6%
-------------- ---------------
Total Telecommunication Services............. 32,031,808 2.4%
-------------- ---------------
Utilities -- (2.3%)
Drax Group P.L.C.......................... 1,492,564 13,151,706 1.0%
Pennon Group P.L.C........................ 1,434,955 17,133,247 1.3%
Other Securities.......................... 255,717 0.0%
-------------- ---------------
Total Utilities.............................. 30,540,670 2.3%
-------------- ---------------
TOTAL COMMON STOCKS.......................... 1,315,249,877 99.2%
-------------- ---------------
PREFERRED STOCKS -- (0.0%)
Consumer Staples -- (0.0%)
Other Securities.......................... 9,711 0.0%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.......................... 187,888 0.0%
-------------- ---------------
SHARES/
FACE
AMOUNT VALUE+
---------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (0.7%)
(S)@DFA Short Term Investment Fund........... 6,000,000 6,000,000 0.4%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $2,811,775) to be repurchased
at $2,756,658........................... $ 2,757 2,756,642 0.2%
-------------- -------------
TOTAL SECURITIES LENDING COLLATERAL.......... 8,756,642 0.6%
-------------- -------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,141,647,483)...................... $1,324,204,118 99.8%
============== =============
205
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Common Stocks
Consumer Discretionary.......... -- $ 299,237,562 -- $ 299,237,562
Consumer Staples................ -- 52,381,684 -- 52,381,684
Energy.......................... -- 66,582,217 -- 66,582,217
Financials...................... -- 171,584,801 -- 171,584,801
Health Care..................... -- 25,992,837 -- 25,992,837
Industrials..................... -- 388,674,192 -- 388,674,192
Information Technology.......... -- 143,652,829 -- 143,652,829
Materials....................... -- 104,571,277 -- 104,571,277
Telecommunication Services...... -- 32,031,808 -- 32,031,808
Utilities....................... -- 30,540,670 -- 30,540,670
Preferred Stocks
Consumer Staples................ -- 9,711 -- 9,711
Rights/Warrants.................... -- 187,888 -- 187,888
Securities Lending Collateral...... -- 8,756,642 -- 8,756,642
------- -------------- ------- --------------
TOTAL.............................. -- $1,324,204,118 -- $1,324,204,118
======= ============== ======= ==============
See accompanying Notes to Financial Statements.
206
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (80.3%)
AUSTRIA -- (2.0%)
Other Securities.......................... $ 52,671,225 2.5%
------------ ---------------
BELGIUM -- (2.9%)
Ackermans & van Haaren NV................. 102,814 8,817,758 0.4%
Other Securities.......................... 65,675,941 3.1%
------------ ---------------
TOTAL BELGIUM................................ 74,493,699 3.5%
------------ ---------------
DENMARK -- (2.9%)
GN Store Nord A.S......................... 803,034 9,009,020 0.4%
*Topdanmark A.S............................ 53,386 9,159,428 0.5%
Other Securities.......................... 57,142,541 2.7%
------------ ---------------
TOTAL DENMARK................................ 75,310,989 3.6%
------------ ---------------
FINLAND -- (5.7%)
#Elisa Oyj................................. 494,801 11,158,479 0.5%
KCI Konecranes Oyj........................ 245,559 7,480,806 0.4%
Orion Oyj Series B........................ 344,811 7,033,700 0.3%
Outotec Oyj............................... 163,942 8,828,275 0.4%
Yit Oyj................................... 414,815 8,914,555 0.4%
Other Securities.......................... 104,236,994 5.0%
------------ ---------------
TOTAL FINLAND................................ 147,652,809 7.0%
------------ ---------------
FRANCE -- (9.0%)
Arkema SA................................. 100,646 8,926,181 0.4%
Gemalto NV................................ 100,369 7,476,909 0.4%
#Havas SA.................................. 1,237,226 7,002,843 0.3%
Remy Cointreau SA......................... 71,810 8,008,279 0.4%
Societe BIC SA............................ 64,009 7,050,792 0.3%
Valeo SA.................................. 149,480 7,351,139 0.4%
Zodiac Aerospace SA....................... 73,650 8,104,728 0.4%
Other Securities.......................... 181,530,886 8.6%
------------ ---------------
TOTAL FRANCE................................. 235,451,757 11.2%
------------ ---------------
GERMANY -- (11.9%)
#*Aareal Bank AG............................ 423,110 8,172,145 0.4%
Aurubis AG................................ 153,470 8,541,664 0.4%
Bilfinger Berger SE....................... 83,683 7,656,315 0.4%
#Fuchs Petrolub AG......................... 139,623 7,790,815 0.4%
MTU Aero Engines Holding AG............... 133,417 11,241,302 0.5%
Rheinmetall AG............................ 126,838 7,127,545 0.3%
Rhoen-Klinikum AG......................... 406,308 11,434,061 0.5%
#*SGL Carbon SE............................. 229,387 10,484,139 0.5%
Symrise AG................................ 330,233 9,570,836 0.5%
Other Securities.......................... 227,268,689 10.8%
------------ ---------------
TOTAL GERMANY................................ 309,287,511 14.7%
------------ ---------------
GREECE -- (1.7%)
Other Securities.......................... 44,724,383 2.1%
------------ ---------------
IRELAND -- (2.7%)
DCC P.L.C................................. 308,989 7,813,596 0.4%
Dragon Oil P.L.C.......................... 1,051,459 9,944,849 0.5%
Paddy Power P.L.C......................... 180,573 11,787,740 0.5%
Other Securities.......................... 40,235,214 1.9%
------------ ---------------
TOTAL IRELAND................................ 69,781,399 3.3%
------------ ---------------
207
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
ISRAEL -- (2.2%)
Other Securities.......................... $ 56,498,400 2.7%
-------------- ---------------
ITALY -- (6.4%)
#Banca Popolare di Sondrio Scarl........... 1,122,536 7,563,379 0.4%
Prysmian SpA.............................. 653,038 10,637,244 0.5%
Other Securities.......................... 148,657,496 7.0%
-------------- ---------------
TOTAL ITALY.................................. 166,858,119 7.9%
-------------- ---------------
NETHERLANDS -- (4.3%)
Aalberts Industries NV.................... 403,971 7,752,781 0.4%
#ASM International NV...................... 205,174 7,263,574 0.3%
#Imtech NV................................. 304,306 8,605,181 0.4%
Nutreco NV................................ 152,966 11,117,129 0.5%
SBM Offshore NV........................... 380,277 6,922,206 0.3%
Other Securities.......................... 70,607,576 3.4%
-------------- ---------------
TOTAL NETHERLANDS............................ 112,268,447 5.3%
-------------- ---------------
NORWAY -- (2.9%)
Other Securities.......................... 74,892,102 3.6%
-------------- ---------------
PORTUGAL -- (0.8%)
Other Securities.......................... 21,194,376 1.0%
-------------- ---------------
SPAIN -- (3.9%)
Viscofan SA............................... 185,838 8,411,849 0.4%
Other Securities.......................... 93,481,680 4.4%
-------------- ---------------
TOTAL SPAIN.................................. 101,893,529 4.8%
-------------- ---------------
SWEDEN -- (8.4%)
Castellum AB.............................. 585,573 7,414,723 0.4%
Elekta AB Series B........................ 174,406 8,820,215 0.4%
*Lundin Petroleum AB....................... 355,036 7,067,087 0.3%
Meda AB Series A.......................... 831,147 8,219,556 0.4%
Trelleborg AB Series B.................... 970,775 11,131,201 0.5%
Other Securities.......................... 174,959,017 8.3%
-------------- ---------------
TOTAL SWEDEN................................. 217,611,799 10.3%
-------------- ---------------
SWITZERLAND -- (12.6%)
Aryzta AG................................. 234,309 11,802,736 0.6%
*Clariant AG............................... 699,758 8,908,753 0.4%
*Dufry AG.................................. 65,162 8,849,964 0.4%
#Galenica Holding AG....................... 18,828 12,849,335 0.6%
GAM Holding AG............................ 780,910 10,039,056 0.5%
Helvetia Holding AG....................... 22,754 8,161,346 0.4%
Lonza Group AG............................ 154,508 6,971,610 0.3%
*PSP Swiss Property AG..................... 148,327 13,329,434 0.6%
Sulzer AG................................. 61,232 8,818,601 0.4%
#Swiss Life Holding AG..................... 99,751 10,203,294 0.5%
Other Securities.......................... 229,459,144 10.9%
-------------- ---------------
TOTAL SWITZERLAND............................ 329,393,273 15.6%
-------------- ---------------
TOTAL COMMON STOCKS.......................... 2,089,983,817 99.1%
-------------- ---------------
PREFERRED STOCKS -- (0.0%)
SWEDEN -- (0.0%)
Other Securities.......................... 199,447 0.0%
-------------- ---------------
RIGHTS/WARRANTS -- (0.1%)
BELGIUM -- (0.0%)
Other Securities.......................... 2,102 0.0%
-------------- ---------------
208
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
DENMARK -- (0.0%)
Other Securities.......................................... $ 27,858 0.0%
-------------- ---------------
FRANCE -- (0.0%)
Other Securities.......................................... 821 0.0%
-------------- ---------------
GERMANY -- (0.0%)
Other Securities.......................................... -- 0.0%
-------------- ---------------
PORTUGAL -- (0.1%)
Other Securities.......................................... 991,437 0.1%
-------------- ---------------
SWITZERLAND -- (0.0%)
Other Securities.......................................... 67 0.0%
-------------- ---------------
TOTAL RIGHTS/WARRANTS....................................... 1,022,285 0.1%
-------------- ---------------
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (19.6%)
(S)@DFA Short Term Investment Fund.......................... 510,000,000 510,000,000 24.2%
@Repurchase Agreement, Deutsche Bank Securities, Inc.
0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38, valued at
$967,183) to be repurchased at $948,225................ $ 948 948,219 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL......................... 510,948,219 24.2%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,636,410,543)..................................... $2,602,153,768 123.4%
============== ===============
209
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------- -------------- ------- --------------
Common Stocks
Austria.................... -- $ 52,671,225 -- $ 52,671,225
Belgium.................... -- 74,493,699 -- 74,493,699
Denmark.................... -- 75,310,989 -- 75,310,989
Finland.................... -- 147,652,809 -- 147,652,809
France..................... -- 235,451,757 -- 235,451,757
Germany.................... -- 309,287,511 -- 309,287,511
Greece..................... -- 44,724,383 -- 44,724,383
Ireland.................... -- 69,781,399 -- 69,781,399
Israel..................... $1,655,134 54,843,266 -- 56,498,400
Italy...................... -- 166,858,119 -- 166,858,119
Netherlands................ -- 112,268,447 -- 112,268,447
Norway..................... -- 74,892,102 -- 74,892,102
Portugal................... -- 21,194,376 -- 21,194,376
Spain...................... -- 101,893,529 -- 101,893,529
Sweden..................... -- 217,611,799 -- 217,611,799
Switzerland................ -- 329,393,273 -- 329,393,273
Preferred Stocks
Sweden..................... -- 199,447 -- 199,447
Rights/Warrants
Belgium.................... -- 2,102 -- 2,102
Denmark.................... -- 27,858 -- 27,858
France..................... -- 821 -- 821
Germany.................... -- -- -- --
Portugal................... -- 991,437 -- 991,437
Switzerland................ -- 67 -- 67
Securities Lending Collateral. -- 510,948,219 -- 510,948,219
---------- -------------- ------- --------------
TOTAL......................... $1,655,134 $2,600,498,634 -- $2,602,153,768
========== ============== ======= ==============
See accompanying Notes to Financial Statements.
210
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (77.8%)
Consumer Discretionary -- (9.1%)
Astral Media, Inc. Class A................ 197,447 $ 9,757,921 1.3%
Cineplex, Inc............................. 222,359 6,770,824 0.9%
#Corus Entertainment, Inc. Class B......... 304,900 7,518,716 1.0%
Groupe Aeroplan, Inc...................... 696,151 8,949,858 1.2%
#*Imax Corp................................. 260,537 6,237,485 0.8%
Quebecor, Inc. Class B.................... 111,093 4,366,798 0.6%
#RONA, Inc................................. 677,175 7,266,341 1.0%
Other Securities.......................... 35,146,867 4.8%
------------ ---------------
Total Consumer Discretionary................. 86,014,810 11.6%
------------ ---------------
Consumer Staples -- (2.5%)
Maple Leaf Foods, Inc..................... 375,500 4,907,329 0.7%
Other Securities.......................... 18,931,038 2.5%
------------ ---------------
Total Consumer Staples....................... 23,838,367 3.2%
------------ ---------------
Energy -- (19.3%)
#*BlackPearl Resources, Inc................. 1,106,385 4,972,769 0.7%
*Flint Energy Services, Ltd................ 189,506 4,778,655 0.6%
*Gran Tierra Energy, Inc................... 1,003,351 6,469,956 0.9%
*Legacy Oil & Gas, Inc..................... 523,090 4,564,494 0.6%
Mullen Group, Ltd......................... 292,057 6,326,892 0.8%
#*Petrobank Energy & Resources, Ltd......... 410,065 5,877,937 0.8%
Petrominerales, Ltd....................... 330,464 4,833,937 0.6%
ShawCor, Ltd. Class A..................... 222,500 7,196,310 1.0%
Veresen, Inc.............................. 278,043 4,247,273 0.6%
Other Securities.......................... 133,750,601 18.1%
------------ ---------------
Total Energy................................. 183,018,824 24.7%
------------ ---------------
Financials -- (6.9%)
AGF Management, Ltd. Class B.............. 334,079 4,616,266 0.6%
#Canadian Western Bank..................... 271,572 7,887,231 1.1%
Davis & Henderson Corp.................... 235,099 4,507,542 0.6%
#Home Capital Group, Inc................... 120,600 5,867,324 0.8%
Laurentian Bank of Canada................. 102,700 4,577,498 0.6%
MI Developments, Inc...................... 182,598 6,454,747 0.9%
TMX Group, Inc............................ 231,476 10,567,968 1.4%
Other Securities.......................... 21,297,970 2.9%
------------ ---------------
Total Financials............................. 65,776,546 8.9%
------------ ---------------
Health Care -- (1.8%)
#Nordion, Inc.............................. 464,108 4,237,743 0.6%
Other Securities.......................... 12,330,736 1.6%
------------ ---------------
Total Health Care............................ 16,568,479 2.2%
------------ ---------------
Industrials -- (9.1%)
Progressive Waste Solutions, Ltd.......... 209,167 4,537,580 0.6%
#Ritchie Brothers Auctioneers, Inc......... 244,637 5,175,799 0.7%
#Russel Metals, Inc........................ 244,400 6,707,176 0.9%
#Stantec, Inc.............................. 174,795 5,710,011 0.8%
#Toromont Industries, Ltd.................. 291,567 6,534,690 0.9%
TransForce, Inc........................... 314,697 5,692,803 0.8%
#*Westport Innovations, Inc................. 189,501 5,946,784 0.8%
Other Securities.......................... 46,231,424 6.2%
------------ ---------------
Total Industrials............................ 86,536,267 11.7%
------------ ---------------
211
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ ------------ ---------------
Information Technology -- (3.8%)
*Celestica, Inc............................ 854,007 $ 7,650,921 1.0%
MacDonald Dettweiler & Associates, Ltd.... 120,853 5,488,147 0.8%
Other Securities.......................... 23,200,415 3.1%
------------ -----
Total Information Technology................. 36,339,483 4.9%
------------ -----
Materials -- (21.9%)
#Alamos Gold, Inc.......................... 423,220 7,745,931 1.0%
#*AuRico Gold, Inc.......................... 967,321 8,891,304 1.2%
*B2Gold Corp............................... 1,310,750 4,949,231 0.7%
*Canfor Corp............................... 396,255 4,340,213 0.6%
*First Majestic Silver Corp................ 400,683 6,303,198 0.9%
HudBay Minerals, Inc...................... 697,766 7,346,021 1.0%
#Major Drilling Group International, Inc... 319,200 4,791,958 0.7%
*Neo Material Technologies, Inc............ 414,300 4,567,219 0.6%
#*NovaGold Resources, Inc................... 845,155 6,091,516 0.8%
Pan American Silver Corp.................. 320,761 6,237,613 0.8%
SEMAFO, Inc............................... 956,185 4,859,087 0.7%
#Sherritt International Corp............... 1,571,926 8,990,618 1.2%
West Fraser Timber Co., Ltd............... 135,316 5,949,055 0.8%
Other Securities.......................... 126,089,753 17.0%
------------ -----
Total Materials.............................. 207,152,717 28.0%
------------ -----
Telecommunication Services -- (0.4%)
Other Securities.......................... 3,389,649 0.5%
------------ -----
Utilities -- (3.0%)
Capital Power Corp........................ 235,321 5,579,003 0.7%
Just Energy Group, Inc.................... 553,878 7,283,368 1.0%
Northland Power, Inc...................... 281,985 5,038,250 0.7%
Other Securities.......................... 10,202,401 1.4%
------------ -----
Total Utilities.............................. 28,103,022 3.8%
------------ -----
TOTAL COMMON STOCKS.......................... 736,738,164 99.5%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.......................... 11,035 0.0%
------------ -----
SHARES/
FACE
AMOUNT VALUE+
------------ ------------
(000)
SECURITIES LENDING COLLATERAL -- (22.2%)
(S)@DFA Short Term Investment Fund........... 210,000,000 210,000,000 28.4%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $804,524) to be repurchased at
$788,754.................................. $ 789 788,749 0.1%
------------ -----
TOTAL SECURITIES LENDING COLLATERAL.......... 210,788,749 28.5%
------------ -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,003,196,299)...................... $947,537,948 128.0%
============ =====
212
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuaton inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ ------------ ------- ------------
Common Stocks
Consumer Discretionary..... $ 86,014,810 -- -- $ 86,014,810
Consumer Staples........... 23,838,367 -- -- 23,838,367
Energy..................... 183,018,824 -- -- 183,018,824
Financials................. 65,776,546 -- -- 65,776,546
Health Care................ 16,568,479 -- -- 16,568,479
Industrials................ 86,536,267 -- -- 86,536,267
Information Technology..... 36,339,483 -- -- 36,339,483
Materials.................. 207,094,072 $ 58,645 -- 207,152,717
Telecommunication Services. 3,389,649 -- -- 3,389,649
Utilities.................. 28,103,022 -- -- 28,103,022
Rights/Warrants............... -- 11,035 -- 11,035
Securities Lending Collateral. -- 210,788,749 -- 210,788,749
------------ ------------ ------- ------------
TOTAL......................... $736,679,519 $210,858,429 -- $947,537,948
============ ============ ======= ============
See accompanying Notes to Financial Statements.
213
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (85.2%)
ARGENTINA -- (0.0%)
Other Securities............................. $ -- 0.0%
------------ -------
BRAZIL -- (5.9%)
BRF--Brasil Foods SA ADR..................... 594,060 10,948,526 0.4%
Petroleo Brasilerio SA ADR................... 1,114,189 26,228,009 0.9%
#Vale SA Sponsored ADR........................ 834,273 18,520,861 0.7%
Other Securities............................. 123,364,606 4.4%
------------ -------
TOTAL BRAZIL.................................... 179,062,002 6.4%
------------ -------
CHILE -- (1.9%)
Other Securities............................. 55,744,793 2.0%
------------ -------
CHINA -- (13.9%)
Bank of China, Ltd. Series H................. 48,700,100 20,279,780 0.7%
China Construction Bank Corp. Series H....... 34,837,590 27,080,269 1.0%
China Life Insurance Co., Ltd. ADR........... 323,770 12,937,849 0.5%
China Mobile, Ltd. Sponsored ADR............. 797,772 44,148,702 1.6%
China Petroleum & Chemical Corp. ADR......... 106,449 11,227,176 0.4%
China Shenhua Energy Co., Ltd. Series H...... 2,191,000 9,675,568 0.3%
#CNOOC, Ltd. ADR.............................. 104,300 22,075,095 0.8%
Industrial & Commercial Bank of China, Ltd.
Series H................................... 37,226,185 24,686,592 0.9%
PetroChina Co., Ltd. ADR..................... 141,210 21,014,872 0.7%
Tencent Holdings, Ltd........................ 700,600 21,935,413 0.8%
Other Securities............................. 203,039,332 7.2%
------------ -------
TOTAL CHINA..................................... 418,100,648 14.9%
------------ -------
COLOMBIA -- (0.5%)
Other Securities............................. 13,526,504 0.5%
------------ -------
CZECH REPUBLIC -- (0.4%)
Other Securities............................. 13,102,849 0.5%
------------ -------
EGYPT -- (0.1%)
Other Securities............................. 3,543,656 0.1%
------------ -------
HUNGARY -- (0.4%)
Other Securities............................. 11,143,498 0.4%
------------ -------
INDIA -- (7.7%)
HDFC Bank, Ltd............................... 1,530,370 15,759,729 0.6%
ICICI Bank, Ltd. Sponsored ADR............... 306,356 10,382,405 0.4%
Infosys, Ltd................................. 214,112 9,928,308 0.3%
ITC, Ltd..................................... 2,298,662 10,699,022 0.4%
Reliance Industries, Ltd..................... 1,432,266 20,202,207 0.7%
Tata Consultancy Services, Ltd............... 481,215 11,380,070 0.4%
Other Securities............................. 152,234,637 5.4%
------------ -------
TOTAL INDIA..................................... 230,586,378 8.2%
------------ -------
INDONESIA -- (2.8%)
PT Astra International Tbk................... 1,995,561 15,367,354 0.5%
Other Securities............................. 70,120,377 2.5%
------------ -------
TOTAL INDONESIA................................. 85,487,731 3.0%
------------ -------
ISRAEL -- (0.0%)
Other Securities............................. 19 0.0%
------------ -------
MALAYSIA -- (3.6%)
CIMB Group Holdings Berhad................... 3,992,654 9,756,875 0.4%
214
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
Other Securities............................. $ 98,684,002 3.5%
------------ -------
TOTAL MALAYSIA.................................. 108,440,877 3.9%
------------ -------
MEXICO -- (5.6%)
America Movil S.A.B. de C.V. Series L........ 33,690,314 45,003,356 1.6%
Fomento Economico Mexicano S.A.B. de C.V..... 2,109,900 17,135,512 0.6%
#Grupo Mexico S.A.B. de C.V. Series B......... 3,938,416 12,136,391 0.4%
Wal-Mart de Mexico S.A.B. de C.V. Series V... 6,153,180 17,596,103 0.6%
Other Securities............................. 77,335,308 2.8%
------------ -------
TOTAL MEXICO.................................... 169,206,670 6.0%
------------ -------
PERU -- (0.5%)
Other Securities............................. 14,320,940 0.5%
------------ -------
PHILIPPINES -- (1.0%)
Other Securities............................. 28,954,647 1.0%
------------ -------
POLAND -- (1.3%)
Other Securities............................. 39,031,170 1.4%
------------ -------
RUSSIA -- (4.2%)
Gazprom OAO Sponsored ADR.................... 4,226,507 48,951,667 1.7%
Lukoil OAO Sponsored ADR..................... 376,321 23,151,730 0.8%
MMC Norilsk Nickel JSC ADR................... 532,268 9,468,893 0.3%
Rosneft Oil Co. GDR.......................... 1,491,147 10,677,377 0.4%
Other Securities............................. 35,159,134 1.3%
------------ -------
TOTAL RUSSIA.................................... 127,408,801 4.5%
------------ -------
SOUTH AFRICA -- (7.6%)
MTN Group, Ltd............................... 1,584,640 27,223,049 1.0%
Naspers, Ltd. Series N....................... 304,989 18,368,740 0.7%
Sasol, Ltd. Sponsored ADR.................... 621,195 29,463,279 1.0%
Standard Bank Group, Ltd..................... 948,719 13,925,268 0.5%
Other Securities............................. 140,665,815 5.0%
------------ -------
TOTAL SOUTH AFRICA.............................. 229,646,151 8.2%
------------ -------
SOUTH KOREA -- (13.8%)
Hyundai Heavy Industries Co., Ltd............ 39,020 9,696,474 0.4%
Hyundai Mobis................................ 53,070 14,348,373 0.5%
Hyundai Motor Co., Ltd....................... 106,999 25,259,284 0.9%
Kia Motors Corp.............................. 224,568 16,478,573 0.6%
POSCO........................................ 46,060 15,258,688 0.5%
Samsung Electronics Co., Ltd................. 69,482 85,043,282 3.0%
Samsung Electronics Co., Ltd. GDR............ 49,372 30,128,714 1.1%
Other Securities............................. 220,743,407 7.9%
------------ -------
TOTAL SOUTH KOREA............................... 416,956,795 14.9%
------------ -------
TAIWAN -- (10.2%)
Formosa Chemicals & Fiber Co., Ltd........... 3,322,445 9,589,751 0.3%
Formosa Plastics Corp........................ 4,070,648 11,513,425 0.4%
Hon Hai Precision Industry Co., Ltd.......... 6,378,096 19,150,133 0.7%
Nan Ya Plastic Corp.......................... 5,377,564 11,033,718 0.4%
Taiwan Semiconductor Manufacturing Co., Ltd.. 19,090,808 56,425,489 2.0%
Other Securities............................. 200,573,325 7.2%
------------ -------
TOTAL TAIWAN.................................... 308,285,841 11.0%
------------ -------
THAILAND -- (2.4%)
Other Securities............................. 73,722,861 2.6%
------------ -------
215
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
TURKEY -- (1.4%)
Other Securities....................................................... $ 43,149,079 1.5%
-------------- -------
TOTAL COMMON STOCKS....................................................... 2,569,421,910 91.5%
-------------- -------
PREFERRED STOCKS -- (7.1%)
BRAZIL -- (6.9%)
Banco Bradesco SA...................................................... 1,656,632 26,420,593 0.9%
Cia de Bebidas das Americas SA ADR..................................... 622,039 26,113,197 0.9%
Itau Unibanco Holding SA............................................... 1,765,700 27,706,155 1.0%
Petroleo Brasilerio SA ADR............................................. 1,618,850 35,873,716 1.3%
Vale SA................................................................ 1,412,691 30,571,311 1.1%
Other Securities....................................................... 61,913,382 2.2%
-------------- -------
TOTAL BRAZIL.............................................................. 208,598,354 7.4%
-------------- -------
CHILE -- (0.2%)
Other Securities....................................................... 5,320,187 0.2%
-------------- -------
TOTAL PREFERRED STOCKS.................................................... 213,918,541 7.6%
-------------- -------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities....................................................... 8 0.0%
-------------- -------
THAILAND -- (0.0%)
Other Securities....................................................... 42,585 0.0%
-------------- -------
TOTAL RIGHTS/WARRANTS..................................................... 42,593 0.0%
-------------- -------
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@DFA Short Term Investment Fund........................................ 231,000,000 231,000,000 8.2%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r),
08/01/38, valued at $837,156) to be repurchased at $820,746.......... $ 821 820,741 0.1%
-------------- -------
TOTAL SECURITIES LENDING COLLATERAL....................................... 231,820,741 8.3%
-------------- -------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,890,395,399).................................................... $3,015,203,785 107.4%
============== =======
216
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Common Stocks
Argentina.................. -- -- -- --
Brazil..................... $179,062,002 -- -- $ 179,062,002
Chile...................... 55,744,793 -- -- 55,744,793
China...................... 127,688,809 $ 290,411,839 -- 418,100,648
Colombia................... 13,526,504 -- -- 13,526,504
Czech Republic............. -- 13,102,849 -- 13,102,849
Egypt...................... -- 3,543,656 -- 3,543,656
Hungary.................... -- 11,143,498 -- 11,143,498
India...................... 22,500,718 208,085,660 -- 230,586,378
Indonesia.................. 44,143 85,443,588 -- 85,487,731
Israel..................... -- 19 -- 19
Malaysia................... -- 108,440,877 -- 108,440,877
Mexico..................... 169,199,278 7,392 -- 169,206,670
Peru....................... 14,320,940 -- -- 14,320,940
Philippines................ -- 28,954,647 -- 28,954,647
Poland..................... -- 39,031,170 -- 39,031,170
Russia..................... 2,008,285 125,400,516 -- 127,408,801
South Africa............... 48,133,559 181,512,592 -- 229,646,151
South Korea................ 11,786,422 405,170,373 -- 416,956,795
Taiwan..................... 8,954,214 299,331,627 -- 308,285,841
Thailand................... 73,722,861 -- -- 73,722,861
Turkey..................... 641,076 42,508,003 -- 43,149,079
Preferred Stocks
Brazil..................... 208,598,354 -- -- 208,598,354
Chile...................... 5,320,187 -- -- 5,320,187
Rights/Warrants
Brazil..................... -- 8 -- 8
Thailand................... -- 42,585 -- 42,585
Securities Lending Collateral. -- 231,820,741 -- 231,820,741
------------ -------------- ------ --------------
TOTAL......................... $941,252,145 $2,073,951,640 -- $3,015,203,785
============ ============== ====== ==============
See accompanying Notes to Financial Statements.
217
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (90.6%)
ARGENTINA -- (0.0%)
Other Securities.......................... $ -- 0.0%
------------ -------
BRAZIL -- (8.9%)
Anhanguera Educacional Participacoes SA... 520,845 6,891,226 0.3%
Cia de Saneamento de Minas Gerais-Copasa
SA...................................... 287,721 6,739,628 0.3%
Cia Hering SA............................. 340,090 8,444,487 0.3%
Diagnosticos da America SA................ 855,441 6,125,840 0.2%
Duratex SA................................ 920,162 5,406,612 0.2%
Energias do Brazil SA..................... 899,806 6,273,600 0.3%
Localiza Rent a Car SA.................... 397,002 6,789,741 0.3%
Lojas Renner SA........................... 273,700 8,697,117 0.3%
PDG Realty SA Empreendimentos e
Participacoes........................... 2,990,624 7,028,825 0.3%
Raia Drogasil SA.......................... 652,675 6,978,211 0.3%
Sul America SA............................ 710,007 5,833,074 0.2%
Totvs SA.................................. 453,100 8,795,058 0.3%
Other Securities.......................... 161,627,028 6.3%
------------ -------
TOTAL BRAZIL................................. 245,630,447 9.6%
------------ -------
CHILE -- (1.4%)
Other Securities.......................... 37,347,409 1.5%
------------ -------
CHINA -- (13.7%)
China Yurun Food Group, Ltd............... 4,855,000 6,165,530 0.3%
Sino-Ocean Land Holdings, Ltd............. 11,976,054 5,554,987 0.2%
Other Securities.......................... 366,521,481 14.3%
------------ -------
TOTAL CHINA.................................. 378,241,998 14.8%
------------ -------
HUNGARY -- (0.1%)
Other Securities.......................... 2,047,623 0.1%
------------ -------
INDIA -- (7.5%)
Other Securities.......................... 205,571,846 8.0%
------------ -------
INDONESIA -- (4.9%)
PT AKR Corporindo Tbk..................... 12,025,200 5,383,620 0.2%
PT Lippo Karawaci Tbk..................... 78,355,312 7,061,372 0.3%
Other Securities.......................... 123,604,124 4.8%
------------ -------
TOTAL INDONESIA.............................. 136,049,116 5.3%
------------ -------
ISRAEL -- (0.0%)
Other Securities.......................... 424,530 0.0%
------------ -------
MALAYSIA -- (5.2%)
Other Securities.......................... 143,597,844 5.6%
------------ -------
MEXICO -- (3.1%)
Arca Continental S.A.B. de C.V............ 3,053,562 15,532,765 0.6%
*Industrias CH S.A.B. de C.V. Series B..... 1,191,908 5,407,802 0.2%
Other Securities.......................... 64,951,632 2.6%
------------ -------
TOTAL MEXICO................................. 85,892,199 3.4%
------------ -------
PHILIPPINES -- (2.2%)
Universal Robina Corp..................... 3,594,015 5,521,960 0.2%
Other Securities.......................... 54,077,104 2.1%
------------ -------
TOTAL PHILIPPINES............................ 59,599,064 2.3%
------------ -------
218
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
POLAND -- (1.8%)
Other Securities............................. $ 49,834,442 1.9%
-------------- -------
SOUTH AFRICA -- (8.2%)
AECI, Ltd.................................... 495,730 5,678,651 0.2%
Aveng, Ltd................................... 1,789,905 9,123,898 0.3%
AVI, Ltd..................................... 1,114,620 6,884,241 0.3%
Clicks Group, Ltd............................ 1,119,781 6,751,531 0.3%
JD Group, Ltd................................ 983,807 6,189,984 0.2%
Mr. Price Group, Ltd......................... 535,957 7,209,065 0.3%
*Murray & Roberts Holdings, Ltd............... 2,030,019 7,453,617 0.3%
Nampak, Ltd.................................. 2,360,530 6,840,454 0.3%
Pretoria Portland Cement Co., Ltd............ 2,197,019 8,739,079 0.3%
#PSG Group, Ltd............................... 742,484 5,648,609 0.2%
Reunert, Ltd................................. 796,596 7,376,755 0.3%
#*Sappi, Ltd................................... 2,011,862 7,299,674 0.3%
Spar Group, Ltd. (The)....................... 622,477 9,735,654 0.4%
Tongaat-Hulett, Ltd.......................... 629,016 8,491,680 0.3%
Other Securities............................. 122,979,253 4.8%
-------------- -------
TOTAL SOUTH AFRICA.............................. 226,402,145 8.8%
-------------- -------
SOUTH KOREA -- (13.8%)
BS Financial Group, Inc...................... 567,620 5,812,288 0.2%
Cheil Worldwide, Inc......................... 380,705 6,606,016 0.3%
DGB Financial Group, Inc..................... 507,673 5,909,426 0.2%
#Hotel Shilla Co., Ltd........................ 137,488 6,412,780 0.3%
Hyosung Corp................................. 102,462 5,215,039 0.2%
Hyundai Marine & Fire Insurance Co., Ltd..... 258,860 6,616,965 0.3%
*Korea Investment Holdings Co., Ltd........... 161,460 5,539,689 0.2%
Macquarie Korea Infrastructure Fund.......... 1,232,751 6,039,827 0.2%
*Mando Corp................................... 52,791 8,407,030 0.3%
ORION Corp................................... 7,607 6,024,751 0.2%
#Samsung Techwin Co., Ltd..................... 112,863 6,864,773 0.3%
Shinsegae Co., Ltd........................... 31,431 6,885,701 0.3%
Woongjin Coway Co., Ltd...................... 216,350 6,913,199 0.3%
*Woori Investment & Securities Co., Ltd....... 578,522 5,667,723 0.2%
Other Securities............................. 291,783,554 11.4%
-------------- -------
TOTAL SOUTH KOREA............................... 380,698,761 14.9%
-------------- -------
TAIWAN -- (13.4%)
Other Securities............................. 370,031,188 14.4%
-------------- -------
THAILAND -- (3.7%)
Other Securities............................. 101,172,960 4.0%
-------------- -------
TURKEY -- (2.7%)
Other Securities............................. 75,070,300 2.9%
-------------- -------
TOTAL COMMON STOCKS............................. 2,497,611,872 97.5%
-------------- -------
PREFERRED STOCKS -- (2.2%)
BRAZIL -- (2.2%)
Eletropaulo Metropolitana Eletricidade de
Sao Paulo SA............................... 707,800 10,827,819 0.4%
*Klabin SA.................................... 1,412,700 6,759,082 0.3%
Marcopolo SA................................. 1,021,700 5,499,379 0.2%
Other Securities............................. 38,134,778 1.5%
-------------- -------
TOTAL BRAZIL.................................... 61,221,058 2.4%
-------------- -------
INDIA -- (0.0%)
Other Securities............................. 107,371 0.0%
-------------- -------
219
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
MALAYSIA -- (0.0%)
Other Securities....................................................... $ 168,678 0.0%
-------------- ---------------
PHILIPPINES -- (0.0%)
Other Securities....................................................... -- 0.0%
-------------- ---------------
TOTAL PREFERRED STOCKS.................................................... 61,497,107 2.4%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities....................................................... 10,737 0.0%
-------------- ---------------
INDIA -- (0.0%)
Other Securities....................................................... 22,559 0.0%
-------------- ---------------
MALAYSIA -- (0.0%)
Other Securities....................................................... 8,123 0.0%
-------------- ---------------
SOUTH KOREA -- (0.0%)
Other Securities....................................................... 43,215 0.0%
-------------- ---------------
THAILAND -- (0.0%)
Other Securities....................................................... 192,110 0.0%
-------------- ---------------
TURKEY -- (0.0%)
Other Securities....................................................... 346,240 0.0%
-------------- ---------------
TOTAL RIGHTS/WARRANTS..................................................... 622,984 0.0%
-------------- ---------------
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (7.2%)
(S)@DFA Short Term Investment Fund........................................ 197,000,000 197,000,000 7.7%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r),
08/01/38, valued at $720,703) to be repurchased at $706,576.......... $ 707 706,572 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL....................................... 197,706,572 7.7%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,390,373,864)................................................... $2,757,438,535 107.6%
============== ===============
220
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Common Stocks
Argentina.................. -- -- -- --
Brazil..................... $245,601,951 $ 28,496 -- $ 245,630,447
Chile...................... 37,347,409 -- -- 37,347,409
China...................... 72,115 378,169,883 -- 378,241,998
Hungary.................... -- 2,047,623 -- 2,047,623
India...................... 1,011,510 204,560,336 -- 205,571,846
Indonesia.................. -- 136,049,116 -- 136,049,116
Israel..................... -- 424,530 -- 424,530
Malaysia................... -- 143,597,844 -- 143,597,844
Mexico..................... 85,609,845 282,354 -- 85,892,199
Philippines................ -- 59,599,064 -- 59,599,064
Poland..................... -- 49,834,442 -- 49,834,442
South Africa............... -- 226,402,145 -- 226,402,145
South Korea................ -- 380,698,761 -- 380,698,761
Taiwan..................... -- 370,031,188 -- 370,031,188
Thailand................... 101,075,299 97,661 -- 101,172,960
Turkey..................... -- 75,070,300 -- 75,070,300
Preferred Stocks
Brazil..................... 61,184,065 36,993 -- 61,221,058
India...................... -- 107,371 -- 107,371
Malaysia................... -- 168,678 -- 168,678
Philippines................ -- -- -- --
Rights/Warrants
Brazil..................... 10,737 -- -- 10,737
India...................... -- 22,559 -- 22,559
Malaysia................... -- 8,123 -- 8,123
South Korea................ -- 43,215 -- 43,215
Thailand................... -- 192,110 -- 192,110
Turkey..................... -- 346,240 -- 346,240
Securities Lending Collateral. -- 197,706,572 -- 197,706,572
------------ -------------- ------ --------------
TOTAL......................... $531,912,931 $2,225,525,604 -- $2,757,438,535
============ ============== ====== ==============
See accompanying Notes to Financial Statements.
221
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA THE JAPANESE THE ASIA PACIFIC
LARGE CAP INTERNATIONAL SMALL SMALL
VALUE VALUE COMPANY COMPANY
SERIES SERIES SERIES SERIES
----------- ------------- ------------ ----------------
ASSETS:
Investments at Value (including $767,016, $1,116,551, $161,481 and
$183,687 of securities on loan, respectively)......................... $10,142,405 $7,118,031 $1,703,722 $ 964,138
Temporary Cash Investments at Value & Cost.............................. 31,845 -- -- --
Collateral Received from Securities on Loan at Value & Cost............. 364 197 85 59
Affiliated Collateral Received from Securities on Loan at Value & Cost.. 785,569 1,174,000 176,000 212,000
Foreign Currencies at Value............................................. -- 24,978 789 9,622
Cash.................................................................... -- 18,001 1,564 --
Receivables:
Investment Securities Sold........................................... 23,112 19,106 1,538 506
Dividends, Interest and Tax Reclaims................................. 9,932 39,352 18,619 1,918
Securities Lending Income............................................ 604 2,958 236 325
Fund Shares Sold..................................................... 1,481 2,585 -- 229
Unrealized Gain on Foreign Currency Contracts........................... -- 25 -- 4
Prepaid Expenses and Other Assets....................................... 14 188 3 1
----------- ---------- ---------- ----------
Total Assets..................................................... 10,995,326 8,399,421 1,902,556 1,188,802
----------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned..................................... 785,933 1,174,197 176,085 212,059
Investment Securities Purchased...................................... 41,572 27,304 1,399 3,452
Fund Shares Redeemed................................................. 778 399 -- --
Due to Advisor....................................................... 844 1,191 143 81
Loan Payable......................................................... -- -- -- 60
Unrealized Loss on Foreign Currency Contracts........................... -- 9 -- 4
Accrued Expenses and Other Liabilities.................................. 504 412 58 72
----------- ---------- ---------- ----------
Total Liabilities................................................ 829,631 1,203,512 177,685 215,728
----------- ---------- ---------- ----------
NET ASSETS.............................................................. $10,165,695 $7,195,909 $1,724,871 $ 973,074
=========== ========== ========== ==========
Investments at Cost..................................................... $ 7,709,892 $6,703,555 $1,746,562 $ 920,343
=========== ========== ========== ==========
Foreign Currencies at Cost.............................................. $ -- $ 24,804 $ 784 $ 9,598
=========== ========== ========== ==========
See accompanying Notes to Financial Statements.
222
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE UNITED THE THE
KINGDOM CONTINENTAL CANADIAN THE THE EMERGING
SMALL SMALL SMALL EMERGING MARKETS
COMPANY COMPANY COMPANY MARKETS SMALL CAP
SERIES SERIES SERIES SERIES* SERIES*
---------- ----------- -------- ---------- ------------
ASSETS:
Investments at Value (including $8,132, $484,086, $199,711,
$275,325 and $199,719 of securities on loan, respectively)...... $1,315,447 $2,091,206 $736,749 $2,783,383 $2,559,732
Collateral Received from Securities on Loan at Value & Cost....... 2,757 948 789 821 707
Affiliated Collateral Received from Securities on Loan at Value &
Cost............................................................ 6,000 510,000 210,000 231,000 197,000
Foreign Currencies at Value....................................... 2,468 8,956 1,397 3,077 13,942
Cash.............................................................. 866 454 270 21,566 4,283
Receivables:
Investment Securities Sold..................................... 152 773 6,312 162 1,312
Dividends and Tax Reclaims..................................... 7,389 7,307 778 7,095 6,137
Securities Lending Income...................................... 22 1,357 181 452 496
Fund Shares Sold............................................... 30 7 -- 2,078 653
Unrealized Gain on Foreign Currency Contracts..................... -- -- -- -- 5
Prepaid Expenses and Other Assets................................. 2 4 2 4 99
---------- ---------- -------- ---------- ----------
Total Assets............................................... 1,335,133 2,621,012 956,478 3,049,638 2,784,366
---------- ---------- -------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................... 8,757 510,948 210,789 231,821 197,707
Investment Securities Purchased................................ -- 1,410 5,428 9,865 23,043
Fund Shares Redeemed........................................... -- -- -- 139 --
Due to Advisor................................................. 108 174 61 233 408
Unrealized Loss on Foreign Currency Contracts..................... -- -- -- -- 1
Accrued Expenses and Other Liabilities............................ 51 121 125 332 77
---------- ---------- -------- ---------- ----------
Total Liabilities.......................................... 8,916 512,653 216,403 242,390 221,236
---------- ---------- -------- ---------- ----------
NET ASSETS........................................................ $1,326,217 $2,108,359 $740,075 $2,807,248 $2,563,130
========== ========== ======== ========== ==========
Investments at Cost............................................... $1,132,891 $2,125,462 $792,408 $1,658,575 $2,192,667
========== ========== ======== ========== ==========
Foreign Currencies at Cost........................................ $ 2,426 $ 8,916 $ 1,406 $ 3,061 $ 13,911
========== ========== ======== ========== ==========
--------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
223
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE ASIA
THE U.S. THE DFA THE JAPANESE PACIFIC
LARGE CAP INTERNATIONAL SMALL SMALL
VALUE VALUE COMPANY COMPANY
SERIES SERIES SERIES SERIES
--------- ------------- ------------ --------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $0, $9,473, $1,493 and $403,
respectively)............................. $103,969 $ 122,522 $ 19,895 $14,853
Interest.................................... 12 1 -- --
Income from Securities Lending.............. 5,560 6,168 1,257 1,606
--------- ------------- ------------ --------
Total Investment Income................. 109,541 128,691 21,152 16,459
--------- ------------- ------------ --------
EXPENSES
Investment Advisory Services Fees........... 4,868 6,964 805 458
Accounting & Transfer Agent Fees............ 458 333 86 55
Custodian Fees.............................. 50 628 163 217
Shareholders' Reports....................... 24 18 4 2
Directors'/Trustees' Fees & Expenses........ 38 28 6 4
Professional Fees........................... 189 84 17 11
Other....................................... 56 53 10 7
--------- ------------- ------------ --------
Total Expenses.......................... 5,683 8,108 1,091 754
--------- ------------- ------------ --------
Fees Paid Indirectly........................ -- (10) (3) (2)
--------- ------------- ------------ --------
Net Expenses................................ 5,683 8,098 1,088 752
--------- ------------- ------------ --------
NET INVESTMENT INCOME (LOSS)................ 103,858 120,593 20,064 15,707
--------- ------------- ------------ --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:................
Investment Securities Sold................ 223,634 99,828 7,185 41,529
Foreign Currency Transactions............. -- (798) (160) 14
Change in Unrealized Appreciation
(Depreciation) of:........................
Investment Securities and Foreign
Currency................................ 667,097 (142,403) 105,686 4,655
Translation of Foreign Currency
Denominated Amounts..................... -- 843 892 (123)
--------- ------------- ------------ --------
NET REALIZED AND UNREALIZED GAIN (LOSS)..... 890,731 (42,530) 113,603 46,075
--------- ------------- ------------ --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.................... $994,589 $ 78,063 $133,667 $61,782
========= ============= ============ ========
See accompanying Notes to Financial Statements.
224
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE UNITED THE
KINGDOM CONTINENTAL THE CANADIAN THE THE EMERGING
SMALL SMALL SMALL EMERGING MARKETS
COMPANY COMPANY COMPANY MARKETS SMALL CAP
SERIES SERIES SERIES SERIES SERIES
---------- ----------- ------------ -------- ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $1, $3,744, $1,525, $2,288 and
$1,532, respectively)....................... $ 18,094 $25,733 $ 6,764 $ 22,386 $ 18,459
Interest...................................... -- 2 -- -- --
Income from Securities Lending................ 133 4,895 1,057 2,375 2,547
-------- ------- -------- -------- --------
Total Investment Income................ 18,227 30,630 7,821 24,761 21,006
-------- ------- -------- -------- --------
EXPENSES
Investment Advisory Services Fees............. 591 991 367 1,304 2,108
Accounting & Transfer Agent Fees.............. 67 104 46 132 109
Custodian Fees................................ 51 395 104 896 1,111
Shareholders' Reports......................... 3 6 2 6 5
Directors'/Trustees' Fees & Expenses.......... 4 8 3 10 8
Professional Fees............................. 13 27 9 60 79
Other......................................... 8 15 4 19 14
-------- ------- -------- -------- --------
Total Expenses......................... 737 1,546 535 2,427 3,434
-------- ------- -------- -------- --------
Fees Paid Indirectly.......................... (2) (4) (1) (12) (11)
-------- ------- -------- -------- --------
Net Expenses.................................. 735 1,542 534 2,415 3,423
-------- ------- -------- -------- --------
NET INVESTMENT INCOME (LOSS).................. 17,492 29,088 7,287 22,346 17,583
-------- ------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:..................
Investment Securities Sold................ 1,604 2,498 22,372 21,313 58,454
Futures................................... -- -- -- -- (389)
Foreign Currency Transactions............. (47) (115) 147 (468)** (1,287)**
Change in Unrealized Appreciation
(Depreciation) of:..........................
Investment Securities and Foreign
Currency................................ 154,250 18,419 (29,936) 83,318 55,510
Translation of Foreign Currency
Denominated Amounts..................... 73 (216) (7) (34) (80)
-------- ------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)....... 155,880 20,586 (7,424) 104,129 112,208
-------- ------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS...................... $173,372 $49,674 $ (137) $126,475 $129,791
======== ======= ======== ======== ========
--------
** Net of foreign capital gain taxes withheld of $13 and $87, respectively.
See accompanying Notes to Financial Statements.
225
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
------------------------ ----------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- ----------- ----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................... $ 103,858 $ 168,852 $ 120,593 $ 254,173 $ 20,064 $ 29,896
Net Realized Gain (Loss) on:
Investment Securities Sold.................. 223,634 387,017 99,828 161,341 7,185 17,637
Futures..................................... -- (12,646) -- -- -- --
Foreign Currency Transactions............... -- -- (798) 506 (160) 93
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 667,097 (74,679) (142,403) (1,021,735) 105,686 66,983
Translation of Foreign Currency
Denominated Amounts....................... -- -- 843 (517) 892 (598)
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 994,589 468,544 78,063 (606,232) 133,667 114,011
----------- ----------- ---------- ----------- ---------- ----------
Transactions in Interest:
Contributions................................... 251,235 1,230,772 362,469 900,473 214,842 212,545
Withdrawals..................................... (415,236) (1,180,609) (200,530) (257,967) (126,453) (35,341)
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............... (164,001) 50,163 161,939 642,506 88,389 177,204
----------- ----------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................. 830,588 518,707 240,002 36,274 222,056 291,215
NET ASSETS
Beginning of Period............................. 9,335,107 8,816,400 6,955,907 6,919,633 1,502,815 1,211,600
----------- ----------- ---------- ----------- ---------- ----------
End of Period................................... $10,165,695 $ 9,335,107 $7,195,909 $ 6,955,907 $1,724,871 $1,502,815
=========== =========== ========== =========== ========== ==========
See accompanying Notes to Financial Statements.
226
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
--------------------- ---------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- --------- ----------- ---------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 15,707 $ 36,987 $ 17,492 $ 42,984 $ 29,088 $ 61,832
Net Realized Gain (Loss) on:
Investment Securities Sold....................... 41,529 71,818 1,604 18,980 2,498 66,872
Futures.......................................... -- -- -- -- -- (287)
Foreign Currency Transactions.................... 14 521 (47) 33 (115) (576)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................................... 4,655 (158,023) 154,250 (66,130) 18,419 (377,057)
Translation of Foreign Currency
Denominated Amounts............................ (123) 109 73 53 (216) 52
-------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 61,782 (48,588) 173,372 (4,080) 49,674 (249,164)
-------- --------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................................ 67,061 80,765 38,857 125,970 75,437 225,654
Withdrawals.......................................... (62,503) (60,581) (19,857) (24,739) (18,515) (47,211)
-------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest.................... 4,558 20,184 19,000 101,231 56,922 178,443
-------- --------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets...................................... 66,340 (28,404) 192,372 97,151 106,596 (70,721)
NET ASSETS
Beginning of Period.................................. 906,734 935,138 1,133,845 1,036,694 2,001,763 2,072,484
-------- --------- ---------- ---------- ---------- ----------
End of Period........................................ $973,074 $ 906,734 $1,326,217 $1,133,845 $2,108,359 $2,001,763
======== ========= ========== ========== ========== ==========
See accompanying Notes to Financial Statements.
227
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
-------------------- ------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- -------- ----------- ---------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 7,287 $ 13,890 $ 22,346 $ 62,989 $ 17,583 $ 46,175
Net Realized Gain (Loss) on:
Investment Securities Sold......... 22,372 38,405 21,313 103,456 58,454 29,751
Futures............................ -- -- -- -- (389) --
Foreign Currency
Transactions..................... 147 (110) (468)** (1,120)** (1,287)** (1,286)**
Change in Unrealized
Appreciation (Depreciation)
of:..................................
Investment Securities and
Foreign Currency................. (29,936) (68,747) 83,318 (330,512) 55,510 (364,541)
Translation of Foreign
Currency Denominated
Amounts.......................... (7) 4 (34) (115) (80) (32)
Change in Deferred Thailand
Capital Gains Tax.................... -- -- -- 4,428 -- 3,997
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... (137) (16,558) 126,475 (160,874) 129,791 (285,936)
-------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions.......................... 11,500 130,949 329,764 341,207 598,828 472,662
Withdrawals............................ (7,550) (41,851) (88,972) (269,845) (40,415) (193,156)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Transactions in
Interest...................... 3,950 89,098 240,792 71,362 558,413 279,506
-------- -------- ---------- ---------- ---------- ----------
Total Increase
(Decrease) in Net
Assets........................ 3,813 72,540 367,267 (89,512) 688,204 (6,430)
NET ASSETS
Beginning of Period.................... 736,262 663,722 2,439,981 2,529,493 1,874,926 1,881,356
-------- -------- ---------- ---------- ---------- ----------
End of Period.......................... $740,075 $736,262 $2,807,248 $2,439,981 $2,563,130 $1,874,926
======== ======== ========== ========== ========== ==========
--------
** Net of foreign capital gain taxes withheld of $13, $903, $87 and $652,
respectively.
See accompanying Notes to Financial Statements.
228
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES+
---------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
- ----------- ---------- ---------- ---------- ---------- ----------- ----------
(UNAUDITED)
Total Return...................... 10.72%(C) 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% 18.16%
----------- ---------- ---------- ---------- ---------- ----------- ----------
Net Assets, End of Period
(thousands)..................... $10,165,695 $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%(B) 0.12% 0.12% 0.13% 0.11%(B) 0.11% 0.12%
Ratio of Net Investment Income to
Average Net Assets.............. 2.15%(B) 1.79% 2.02% 2.42% 1.97%(B) 1.44% 1.68%
Portfolio Turnover Rate........... 6%(C) 14% 28% 29% 19%(C) 9% 13%
THE DFA INTERNATIONAL VALUE SERIES+
---------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ----------- ----------
(UNAUDITED)
Total Return...................... 1.08%(C) (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% 35.73%
----------- ---------- ---------- ---------- ---------- ----------- ----------
Net Assets, End of Period
(thousands)..................... $ 7,195,909 $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%(B) 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%(B) 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23%
Ratio of Net Investment Income to
Average Net Assets.............. 3.48%(B) 3.47% 2.55% 3.22% 4.15%(B) 3.04% 3.29%
Portfolio Turnover Rate........... 8%(C) 9% 20% 18% 16%(C) 16% 8%
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.
229
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES
-------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return...................... 8.50%(C) 10.07% 0.72% 22.69% (26.87)%(C) (1.16)% (2.28)%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $1,724,871 $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%(B) 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%(B) 0.14% 0.14% 0.15% 0.13%(B) 0.13% 0.14%
Ratio of Net Investment Income to
Average Net Assets.............. 2.51%(B) 2.07% 1.95% 2.15% 2.64%(B) 1.94% 1.68%
Portfolio Turnover Rate........... 2%(C) 5% 10% 7% 10%(C) 9% 9%
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return...................... 6.80%(C) (5.15)% 28.91% 84.98% (57.75)%(C) 47.23% 38.26%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $ 973,074 $ 906,734 $ 935,138 $ 680,997 $ 441,237 $1,205,154 $ 749,627
Ratio of Expenses to Average Net
Assets.......................... 0.17%(B) 0.16% 0.17% 0.18% 0.15%(B) 0.15% 0.17%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)....................... 0.17%(B) 0.16% 0.17% 0.18% 0.15%(B) 0.15% 0.17%
Ratio of Net Investment Income to
Average Net Assets.............. 3.45%(B) 3.78% 3.64% 4.00% 4.33%(B) 3.58% 4.19%
Portfolio Turnover Rate........... 11%(C) 17% 18% 23% 20%(C) 25% 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
230
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES
------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return...................... 14.99%(C) 0.20% 25.94% 43.51% (50.77)%(C) 2.42% 44.80%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $1,326,217 $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%(B) 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%(B) 0.13% 0.13% 0.14% 0.12%(B) 0.12% 0.13%
Ratio of Net Investment Income to
Average Net Assets.............. 2.98%(B) 3.76% 2.86% 4.02% 3.79%(B) 2.72% 2.70%
Portfolio Turnover Rate........... 2%(C) 7% 15% 10% 25%(C) 12% 8%
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return...................... 2.36%(C) (10.75)% 15.37% 43.78% (49.66)%(C) 17.49% 47.10%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $2,108,359 $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.......................... 0.16%(B) 0.15% 0.15% 0.16% 0.14%(B) 0.14% 0.15%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)..................... 0.16%(B) 0.15% 0.15% 0.16% 0.14%(B) 0.14% 0.15%
Ratio of Net Investment Income to
Average Net Assets.............. 2.95%(B) 2.72% 2.24% 2.93% 3.49%(B) 2.16% 2.27%
Portfolio Turnover Rate........... 5%(C) 10% 12% 7% 18%(C) 12% 7%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
231
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES
----------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, PERIOD
ENDED ENDED ENDED ENDED 2007 TO APRIL 2, 2007(a)
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO
2012 2011 2010 2009 2008 NOV. 30, 2007
----------- -------- -------- -------- -------- ----------------
(UNAUDITED)
Total Return....................... 0.00%(C) 0.27% 43.17% 61.67% (56.44)%(C) 10.20%(C)
-------- -------- -------- -------- -------- --------
Net Assets, End of Period
(thousands)...................... $740,075 $736,262 $663,722 $365,181 $232,873 $213,529
Ratio of Expenses to Average Net
Assets........................... 0.15%(B) 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E)
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)...................... 0.15%(B) 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E)
Ratio of Net Investment Income to
Average Net Assets............... 2.00%(B) 1.72% 1.05% 1.37% 0.97%(B) 0.47%(B)(E)
Portfolio Turnover Rate............ 15%(C) 24% 10% 23% 21%(C) 6%(C)
THE EMERGING MARKETS SERIES
------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return...................... 4.68%(C) (6.44)% 27.04% 53.99% (48.15)%(C) 42.62% 31.87%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $2,807,248 $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.......................... 0.19%(B) 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)..................... 0.19%(B) 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20%
Ratio of Net Investment Income to
Average Net Assets.............. 1.72%(B) 2.48% 2.18% 2.57% 3.00%(B) 2.52% 2.54%
Portfolio Turnover Rate........... 2%(C) 16% 12% 14% 19%(C) 7% 11%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
232
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES
--------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- -------- ---------- --------
(UNAUDITED)
Total Return............................ 6.16%(C) (12.94)% 41.96% 92.08% (56.84)%(C) 43.32% 40.55%
---------- ---------- ---------- ---------- -------- ---------- --------
Net Assets, End of Period (thousands)... $2,563,130 $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%(B) 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%(B) 0.33% 0.32% 0.33% 0.30%(B) 0.31% 0.34%
Ratio of Net Investment Income to
Average Net Assets.................... 1.68%(B) 2.32% 2.16% 2.52% 3.07%(B) 1.94% 2.39%
Portfolio Turnover Rate................. 6%(C) 18% 15% 13% 19%(C) 16% 18%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
233
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational investment portfolios, of which nine are
included in this section of the report (collectively, the "Series"), and two
are presented in separate reports.
DOMESTIC EQUITY PORTFOLIO INTERNATIONAL EQUITY PORTFOLIOS
------------------------- ----------------------------------------
The U.S. Large Cap Value Series The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
Effective December 31, 2008 and November 1, 2008, The U.S. Large Cap Value
Series and The DFA International Value Series, respectively, each a master fund
in a RIC/RIC master-feeder structure, elected with the consent of their
respective Holder(s) to change their U.S. federal income tax classification
from that of an association taxable as a corporation to a partnership pursuant
to Treasury Regulation (S) 301.7701-3. The change in capital structure and
retroactive reclassification of the statement of changes in net assets and
financial highlights for the respective funds is a result of the treatment of a
partnership for book purposes. Each Series/Portfolio will maintain its books
and records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
234
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 at the close of the exchanges on which they are
principally traded (official closing price). International equity securities
are subject to a fair value factor, as described later in this note. 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 which
approximate fair value. 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. 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 previously in the Security
Valuation note. Valuation hierarchy tables have been included at the end of the
Summary Schedule of Portfolio Holdings. The inputs or methodology used for
valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
The Series did not have any significant transfers between Level 1 and Level
2 during the six months ended April 30, 2012.
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
235
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect
participation in The 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 April 30, 2012, 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.
236
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the six months ended April 30,
2012, 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 six
months ended April 30, 2012, expenses reduced were as follows (amounts in
thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series..................... $ 10
The Japanese Small Company Series...................... 3
The Asia Pacific Small Company Series.................. 2
The United Kingdom Small Company Series................ 2
The Continental Small Company Series................... 4
The Canadian Small Company Series...................... 1
The Emerging Markets Series............................ 12
The Emerging Markets Small Cap Series.................. 11
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2012, the total
related amounts paid by the Trust to the CCO were $41 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, 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............................. $252
The DFA International Value Series.......................... 195
The Japanese Small Company Series........................... 42
The Asia Pacific Small Company Series....................... 20
The United Kingdom Small Company Series..................... 24
The Continental Small Company Series 49
237
The Canadian Small Company Series........................... $ 12
The Emerging Markets Series................................. 67
The Emerging Markets Small Cap Series....................... 36
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, 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.............. $569,377 $633,876
The DFA International Value Series........... 814,499 542,286
The Japanese Small Company Series............ 140,581 36,238
The Asia Pacific Small Company Series........ 123,610 100,462
The United Kingdom Small Company Series...... 59,992 28,651
The Continental Small Company Series......... 180,325 94,336
The Canadian Small Company Series............ 113,050 112,568
The Emerging Markets Series.................. 292,057 44,140
The Emerging Markets Small Cap Series........ 716,874 128,648
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2012, 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......... $8,527,971 $2,786,176 $(353,964) $2,432,212
The DFA International Value Series...... 7,879,341 1,169,037 (756,150) 412,887
The Japanese Small Company Series....... 1,923,944 227,705 (271,842) (44,137)
The Asia Pacific Small Company Series... 1,135,735 249,937 (209,475) 40,462
The United Kingdom Small Company Series. 1,146,238 371,600 (193,634) 177,966
The Continental Small Company Series.... 2,637,767 464,521 (500,134) (35,613)
The Canadian Small Company Series....... 1,003,197 114,416 (170,075) (55,659)
The Emerging Markets Series............. 1,892,365 1,193,818 (70,979) 1,122,839
The Emerging Markets Small Cap Series... 2,403,986 601,764 (248,311) 353,453
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional 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
238
unrecognized tax benefits will significantly change in the next twelve months.
Each of the Series' federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (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.
239
DERIVATIVE FINANCIAL INSTRUMENTS:
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.
The following is a summary of the Series' location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2012 (amounts in
thousands):
LOCATION ON THE STATEMENTS EQUITY
OF OPERATIONS CONTRACTS
-------------------------- ---------
The Emerging Markets Small Cap Series*. Net Realized Gain (Loss)
on Futures $(389)
* As of April 30, 2012, there were no futures contracts outstanding. During the
six months ended April 30, 2012, 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 July 6,
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. There were no borrowings by
the Series under this line of credit during the six months ended April 30, 2012.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013.
240
For the six months ended April 30, 2012, 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......... 0.86% $14,147 27 $ 9 $58,537
The DFA International Value Series...... 0.82% 15,357 4 1 15,549
The Japanese Small Company Series....... 0.86% 994 3 -- 1,800
The Asia Pacific Small Company Series... 0.84% 834 12 -- 2,385
The United Kingdom Small Company Series. 0.86% 2,542 1 -- 2,542
The Continental Small Company Series.... 0.90% 85 1 -- 85
The Canadian Small Company Series....... 0.79% 121 1 -- 121
The Emerging Markets Series............. 0.83% 4,772 9 1 8,236
The Emerging Markets Small Cap Series... 0.83% 1,600 23 1 5,484
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2012 that each Series' available line
of credit was utilized.
At April 30, 2012, The Asia Pacific Small Company Series had a loan
outstanding in the amount of $60 ( in thousands).
I. SECURITIES LENDING:
As of April 30, 2012, some of the Series had securities on loan to
brokers/dealers, for which each such 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 $59,527 and $26,058, respectively (in
thousands). Each Series with securities on loan 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 with securities on
loan 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. Such Series also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Series with securities on loan 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.
241
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 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 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 have been consolidated into a single
Multidistrict Litigation action in federal court for pretrial proceedings. 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
242
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.
243
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
Actual Fund Return...................... $1,000.00 $1,025.67 0.19% $0.96
Hypothetical 5% Annual Return........... $1,000.00 $1,023.92 0.19% $0.96
--------
* 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 (182), then divided
by the number of days in the year (366) to reflect the six-month period.
244
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Emerging Markets Value Fund, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. Dimensional Emerging Markets Value Fund filed its most
recent Form N-Q with the SEC on March 27, 2012. 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...................................... 7.2%
Consumer Staples............................................ 6.8%
Energy...................................................... 16.3%
Financials.................................................. 31.5%
Health Care................................................. 0.6%
Industrials................................................. 11.0%
Information Technology...................................... 7.0%
Materials................................................... 16.2%
Other....................................................... --
Telecommunication Services.................................. 1.7%
Utilities................................................... 1.7%
-----
100.0%
245
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
COMMON STOCKS -- (89.8%)
BRAZIL -- (6.8%)
Banco Santander Brasil SA ADR............. 15,229,140 $ 122,899,160 0.8%
BM&F Bovespa SA........................... 30,436,745 170,055,523 1.0%
*JBS SA.................................... 16,156,777 63,316,698 0.4%
Petroleo Brasileiro SA ADR................ 12,594,248 296,468,598 1.8%
Other Securities.......................... 494,614,804 3.1%
-------------- ---------------
TOTAL BRAZIL................................. 1,147,354,783 7.1%
-------------- ---------------
CHILE -- (1.7%)
Empresas CMPC SA.......................... 17,015,840 69,943,486 0.4%
Enersis SA Sponsored ADR.................. 3,277,418 66,433,263 0.4%
Other Securities.......................... 153,719,937 1.0%
-------------- ---------------
TOTAL CHILE.................................. 290,096,686 1.8%
-------------- ---------------
CHINA -- (14.4%)
Bank of China, Ltd. Series H.............. 833,879,331 347,245,478 2.1%
Bank of Communications Co., Ltd. Series H. 95,486,574 73,601,691 0.4%
China Citic Bank Corp., Ltd. Series H..... 95,111,716 60,264,803 0.4%
China Coal Energy Co., Ltd. Series H...... 50,458,000 57,647,687 0.4%
China Communications Construction Co.,
Ltd. Series H........................... 65,814,327 65,577,521 0.4%
China Construction Bank Corp. Series H.... 153,591,940 119,391,468 0.7%
China Petroleum & Chemical Corp. ADR...... 993,796 104,815,664 0.6%
China Petroleum & Chemical Corp. Series H. 116,064,289 123,273,143 0.8%
China Unicom Hong Kong, Ltd. ADR.......... 7,316,862 127,167,062 0.8%
Other Securities.......................... 1,356,813,081 8.4%
-------------- ---------------
TOTAL CHINA.................................. 2,435,797,598 15.0%
-------------- ---------------
CZECH REPUBLIC -- (0.3%)
Other Securities.......................... 49,154,936 0.3%
-------------- ---------------
HUNGARY -- (0.5%)
#OTP Bank P.L.C............................ 3,721,253 65,232,464 0.4%
Other Securities.......................... 26,872,251 0.2%
-------------- ---------------
TOTAL HUNGARY................................ 92,104,715 0.6%
-------------- ---------------
INDIA -- (7.4%)
ICICI Bank, Ltd. Sponsored ADR............ 3,805,302 128,961,685 0.8%
Reliance Industries, Ltd.................. 17,003,711 239,838,476 1.5%
State Bank of India....................... 1,545,488 62,445,740 0.4%
Other Securities.......................... 812,419,531 5.0%
-------------- ---------------
TOTAL INDIA.................................. 1,243,665,432 7.7%
-------------- ---------------
INDONESIA -- (3.5%)
Other Securities.......................... 592,824,207 3.7%
-------------- ---------------
ISRAEL -- (0.0%)
Other Securities.......................... 1,299,165 0.0%
-------------- ---------------
MALAYSIA -- (3.3%)
Other Securities.......................... 554,592,983 3.4%
-------------- ---------------
MEXICO -- (6.0%)
#Alfa S.A.B. de C.V. Series A.............. 5,139,702 73,528,876 0.5%
#*Cemex S.A.B. de C.V. Sponsored ADR........ 16,022,635 115,843,653 0.7%
Fomento Economico Mexicano S.A.B. de C.V.
Sponsored ADR........................... 2,490,634 202,388,919 1.2%
#Grupo Financiero Banorte S.A.B. de C.V.
Series O.................................. 22,310,546 107,904,943 0.7%
#Grupo Mexico S.A.B. de C.V. Series B...... 26,180,390 80,675,947 0.5%
246
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- --------------- ---------------
MEXICO -- (Continued)
Other Securities.......................... $ 439,867,033 2.7%
--------------- ---------------
TOTAL MEXICO................................. 1,020,209,371 6.3%
--------------- ---------------
PHILIPPINES -- (1.0%)
Other Securities.......................... 175,851,519 1.1%
--------------- ---------------
POLAND -- (1.4%)
*Polski Koncern Naftowy Orlen SA........... 5,310,008 61,948,983 0.4%
Other Securities.......................... 182,683,598 1.1%
--------------- ---------------
TOTAL POLAND................................. 244,632,581 1.5%
--------------- ---------------
RUSSIA -- (5.3%)
Gazprom OAO Sponsored ADR................. 58,748,711 680,431,219 4.2%
Lukoil OAO Sponsored ADR.................. 2,457,775 151,205,336 0.9%
Other Securities.......................... 68,176,891 0.4%
--------------- ---------------
TOTAL RUSSIA................................. 899,813,446 5.5%
--------------- ---------------
SOUTH AFRICA -- (7.9%)
ABSA Group, Ltd........................... 4,420,483 90,001,079 0.6%
Gold Fields, Ltd. Sponsored ADR........... 10,046,461 129,297,953 0.8%
#Nedbank Group, Ltd........................ 3,077,486 66,994,683 0.4%
Sanlam, Ltd............................... 28,905,406 124,168,567 0.8%
Standard Bank Group, Ltd.................. 13,694,294 201,004,421 1.2%
#*Steinhoff International Holdings, Ltd..... 17,439,135 63,637,784 0.4%
Other Securities.......................... 662,771,585 4.1%
--------------- ---------------
TOTAL SOUTH AFRICA........................... 1,337,876,072 8.3%
--------------- ---------------
SOUTH KOREA -- (13.6%)
Hana Financial Group, Inc................. 3,069,704 104,649,730 0.7%
Hyundai Motor Co., Ltd.................... 458,961 108,347,054 0.7%
#Hyundai Steel Co.......................... 924,376 79,974,859 0.5%
KB Financial Group, Inc................... 2,001,533 67,718,011 0.4%
KB Financial Group, Inc. ADR.............. 3,186,196 108,107,630 0.7%
#LG Electronics, Inc....................... 1,425,419 87,946,865 0.5%
POSCO..................................... 530,457 175,729,000 1.1%
#POSCO ADR................................. 1,618,522 134,741,956 0.8%
#Samsung SDI Co., Ltd...................... 500,681 71,743,028 0.4%
Shinhan Financial Group Co., Ltd.......... 4,297,929 149,165,528 0.9%
Other Securities.......................... 1,205,080,019 7.5%
--------------- ---------------
TOTAL SOUTH KOREA............................ 2,293,203,680 14.2%
--------------- ---------------
TAIWAN -- (12.1%)
Fubon Financial Holding Co., Ltd.......... 56,944,063 58,912,800 0.4%
Mega Financial Holding Co., Ltd........... 111,460,765 87,632,600 0.5%
#United Microelectronics Corp.............. 178,956,681 93,607,454 0.6%
Other Securities.......................... 1,800,928,880 11.1%
--------------- ---------------
TOTAL TAIWAN................................. 2,041,081,734 12.6%
--------------- ---------------
THAILAND -- (2.7%)
Other Securities.......................... 456,069,867 2.8%
--------------- ---------------
TURKEY -- (1.9%)
Other Securities.......................... 320,819,624 2.0%
--------------- ---------------
TOTAL COMMON STOCKS.......................... 15,196,448,399 93.9%
--------------- ---------------
PREFERRED STOCKS -- (4.4%)
BRAZIL -- (4.4%)
#Gerdau SA Sponsored ADR................... 8,373,239 78,624,714 0.5%
Petroleo Brasileiro SA.................... 7,002,801 77,443,562 0.5%
247
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
BRAZIL -- (Continued)
Petroleo Brasileiro SA ADR................................ 15,231,358 $337,526,893 2.1%
Usinas Siderurgicas de Minas Gerais SA Perferred Series A. 11,752,415 67,389,186 0.4%
Other Securities.......................................... 182,854,016 1.1%
------------ ---------------
TOTAL BRAZIL................................................. 743,838,371 4.6%
------------ ---------------
INDIA -- (0.0%)
Other Securities.......................................... 140,419 0.0%
------------ ---------------
MALAYSIA -- (0.0%)
Other Securities.......................................... 540,578 0.0%
------------ ---------------
TOTAL PREFERRED STOCKS....................................... 744,519,368 4.6%
------------ ---------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities.......................................... 80,835 0.0%
------------ ---------------
MALAYSIA -- (0.0%)
Other Securities.......................................... -- 0.0%
------------ ---------------
TURKEY -- (0.0%)
Other Securities.......................................... 1,708,738 0.0%
------------ ---------------
TOTAL RIGHTS/WARRANTS........................................ 1,789,573 0.0%
------------ ---------------
SHARES/
FACE
AMOUNT VALUE+
------------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (5.8%)
(S)@DFA Short Term Investment Fund........... 972,000,000 972,000,000 6.0%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38,
valued at $5,531,741) to be repurchased
at $5,423,307........................... $ 5,423 5,423,275 0.1%
--------------- ---------
TOTAL SECURITIES LENDING COLLATERAL.......... 977,423,275 6.1%
--------------- ---------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,500,480,604)..................... $16,920,180,615 104.6%
=============== =========
248
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
-------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- -------- ---------------
Common Stocks
Brazil..................... $1,147,354,783 -- -- $ 1,147,354,783
Chile...................... 290,096,686 -- -- 290,096,686
China...................... 248,294,129 $ 2,187,503,469 -- 2,435,797,598
Czech Republic............. -- 49,154,936 -- 49,154,936
Hungary.................... -- 92,104,715 -- 92,104,715
India...................... 151,486,931 1,092,178,501 -- 1,243,665,432
Indonesia.................. -- 592,824,207 -- 592,824,207
Israel..................... -- 1,299,165 -- 1,299,165
Malaysia................... -- 554,592,983 -- 554,592,983
Mexico..................... 1,019,580,797 628,574 -- 1,020,209,371
Philippines................ -- 175,851,519 -- 175,851,519
Poland..................... -- 244,632,581 -- 244,632,581
Russia..................... -- 899,813,446 -- 899,813,446
South Africa............... 194,958,648 1,142,917,424 -- 1,337,876,072
South Korea................ 344,696,241 1,948,507,439 -- 2,293,203,680
Taiwan..................... 41,023,343 2,000,058,391 -- 2,041,081,734
Thailand................... 456,069,867 -- -- 456,069,867
Turkey..................... -- 320,819,624 -- 320,819,624
Preferred Stocks
Brazil..................... 743,838,371 -- -- 743,838,371
India...................... -- 140,419 -- 140,419
Malaysia................... -- 540,578 -- 540,578
Rights/Warrants
Brazil..................... 80,835 -- -- 80,835
Malaysia................... -- -- -- --
Turkey..................... -- 1,708,738 -- 1,708,738
Securities Lending Collateral. -- 977,423,275 -- 977,423,275
-------------- --------------- -------- ---------------
TOTAL......................... $4,637,480,631 $12,282,699,984 -- $16,920,180,615
============== =============== ======== ===============
See accompanying Notes to Financial Statements.
249
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $1,163,602 of securities on loan)*...... $15,942,758
Collateral Received from Securities on Loan at Value & Cost............. 5,423
Affiliated Collateral Received from Securities on Loan at Value & Cost.. 972,000
Foreign Currencies at Value............................................. 54,198
Cash.................................................................... 100,538
Receivables:
Investment Securities Sold........................................... 3,582
Dividends, Interest and Tax Reclaims................................. 28,762
Fund Shares Sold..................................................... 96,385
Securities Lending Income............................................ 2,372
Prepaid Expenses and Other Assets....................................... 30
-----------
Total Assets..................................................... 17,206,048
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned..................................... 977,423
Investment Securities Purchased...................................... 43,094
Fund Shares Redeemed................................................. 3
Due to Advisor....................................................... 1,351
Accrued Expenses and Other Liabilities.................................. 1,926
-----------
Total Liabilities................................................ 1,023,797
-----------
NET ASSETS.............................................................. $16,182,251
===========
Investments at Cost..................................................... $15,523,058
===========
Foreign Currencies at Cost.............................................. $ 54,204
===========
--------
* See Note H in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
250
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $11,511)............... $112,936
Interest........................................................... 1
Income from Securities Lending..................................... 12,680
--------
Total Investment Income..................................... 125,617
--------
EXPENSES
Investment Advisory Services Fees.................................. 7,555
Accounting & Transfer Agent Fees................................... 706
Custodian Fees..................................................... 5,696
Shareholders' Reports.............................................. 34
Directors'/Trustees' Fees & Expenses............................... 55
Professional Fees.................................................. 211
Other.............................................................. 126
--------
Total Expenses.............................................. 14,383
--------
Fees Paid Indirectly............................................... (47)
--------
Net Expenses....................................................... 14,336
--------
NET INVESTMENT INCOME (LOSS)....................................... 111,281
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:.......................................
Investment Securities Sold..................................... 191,323
Foreign Currency Transactions.................................. (2,880)**
Change in Unrealized Appreciation (Depreciation) of:...............
Investment Securities and Foreign Currency..................... 90,429
Translation of Foreign Currency Denominated Amounts............ (86)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................ 278,786
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $390,067
========
--------
** Net of foreign capital gain taxes withheld of $314.
See accompanying Notes to Financial Statements.
251
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2012 2011
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 111,281 $ 320,817
Net Realized Gain (Loss) on:..................................................
Investment Securities Sold................................................ 191,323 201,891
Foreign Currency Transactions............................................. (2,880)** (3,672)**
Change in Unrealized Appreciation (Depreciation) of:..........................
Investment Securities and Foreign Currency................................ 90,429 (2,901,288)
Translation of Foreign Currency Denominated Amounts....................... (86) (7)
Change in Deferred Thailand Capital Gains Tax................................. -- 16,303
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations........ 390,067 (2,365,956)
----------- -----------
Transactions in Interest:
Contributions................................................................. 2,315,125 5,059,674
Withdrawals................................................................... (526,520) (608,094)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.................. 1,788,605 4,451,580
----------- -----------
Total Increase (Decrease) in Net Assets................................ 2,178,672 2,085,624
NET ASSETS
Beginning of Period........................................................... 14,003,579 11,917,955
----------- -----------
End of Period................................................................. $16,182,251 $14,003,579
=========== ===========
--------
** Net of foreign capital gain taxes withheld of $314 and $1,707, respectively.
See accompanying Notes to Financial Statements.
252
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS YEAR YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007 2006
----------- ----------- ----------- ---------- ------------- ---------- ----------
(UNAUDITED)
Total Return................... 2.57%(C) (14.47%) 30.55% 79.39% (55.47)%(C) 51.59% 42.14%
----------- ----------- ----------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands).................. $16,182,251 $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................... 0.19%(B) 0.20% 0.19% 0.21% 0.19%(B) 0.19% 0.22%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly)............. 0.19%(B) 0.20% 0.19% 0.21% 0.19%(B) 0.19% 0.22%
Ratio of Net Investment Income
to Average Net Assets........ 1.48%(B) 2.29% 1.81% 2.17% 3.19%(B) 2.50% 2.57%
Portfolio Turnover Rate........ 3%(C) 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.
253
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a
closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, DEM I was
reorganized as an open-end management investment company. On October 27, 2009,
the Board of Directors and shareholders of DEM I approved an Agreement and Plan
of Reorganization that provided for the reorganization of DEM I from a Maryland
corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I
transferred all of its assets and liabilities to Dimensional Emerging Markets
Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free
exchange under IRC (S)368(a)(1)(F).
Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM
II"), a master fund in a master-feeder structure, elected with the consent of
its Holder(s) to change its U.S. federal income tax classification from that of
an association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S)301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for DEM II is a result of the treatment of a partnership for book
purposes. DEM II and Emerging Markets Value Portfolio ("Portfolio") will
maintain their books and records and present their financial statements in
accordance with generally accepted accounting principles for investment
partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Fund from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
Securities held by the Fund (including over-the-counter securities) are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq
Official Closing Price ("NOCP"). If there is no last reported sale price or
NOCP for the day, the Fund values the securities at the mean of the most recent
quoted bid and asked prices which approximate fair value. 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
254
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. 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 previously in the Security
Valuation note. A valuation hierarchy table has been included at the end of the
Summary Schedule of Portfolio Holdings. The inputs or methodology used for
valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
The Fund did not have any significant transfers between Level 1 and Level 2
during the six months ended April 30, 2012.
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
255
may defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses. At April 30,
2012, 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 $245 (in thousands).
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2012, 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 six months ended April 30,
2012, 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 six
months ended April 30, 2012, expenses reduced were $47 (amount in thousands).
256
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2012, the total
related amounts paid by the Fund to the CCO were $13 (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 six months ended April 30, 2012, the Fund made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases......................................... $2,237,562
Sales............................................. 470,068
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 April 30, 2012, 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)
-------- ------------ -------------- --------------
$16,514,273 $2,709,235 $(2,303,327) $405,908
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
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 additional 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 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.
257
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:
Summarized below are the specific types of derivative instruments used by
the Fund.
3. Futures Contracts: The Fund may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Fund deposits cash or pledges U.S. Government securities to a broker, equal
to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Fund as unrealized gains or losses until the contracts are closed.
When the contracts are closed, the Fund records a realized gain or loss, which
is presented in the Statement of Operations as a net realized gain or loss on
futures, equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities 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.
258
At April 30, 2012, 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 July 6,
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 Fund under this line of credit during the six months ended April 30, 2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013.
For the six months ended April 30, 2012, 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
------------- ------------ ------------ -------- ---------------
0.86% $26,041 19 $12 $71,121
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2012 that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Fund under this line of credit
as of April 30, 2012.
H. SECURITIES LENDING:
As of April 30, 2012, 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 $280,471 (in thousands). The Fund invests the
cash collateral, as described below, and records a liability for the return of
the collateral, during the period the securities are on loan. Loans of
securities are required at all times to be secured by collateral equal to at
least (i) 100% of the current market value of the loaned securities with
respect to securities of the U.S. government or its agencies, (ii) 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) 105% of the current market value of the loaned securities with
respect to foreign securities. However, daily market fluctuations could cause
the Fund's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained 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
259
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 May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")." ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
K. OTHER
The Fund is subject to claims and suits that arise from time to time in the
ordinary course of business (for example, in The Tribune Company Bankruptcy,
certain creditors have filed actions against all shareholders of The Tribune
Company who tendered shares when the Tribune Company went private in 2007 in a
leveraged buy-out transaction, seeking the return of 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.
260
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use
in voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (512) 306-7400. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dimensional.com and reflects the twelve-month period
beginning July 1st and ending June 30th.
261
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 16, 2011 (the "Meeting"), the Board of
Directors of DFA Investment Dimensions Group Inc. and the Boards of Trustees of
The DFA Investment Trust Company and Dimensional Emerging Markets Value Fund
(together, the "Board") considered the continuation of the investment
advisory/management agreements for each portfolio or series (collectively, the
"Funds") and, if applicable, a Fund's sub-advisory agreements. For certain
Funds, Dimensional Fund Advisors Ltd. or DFAAustralia Limited serve as a
sub-advisor. (The investment advisory/management agreements and the
sub-advisory agreements are referred to as the "Advisory Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability
262
of the Advisor, and the compensation that it received for providing services to
each Fund, including administrative fees paid by the feeder portfolios. The
Board considered the profitability to the Advisor of managing the Funds and
other "non-1940 Act registered" investment vehicles. Upon closely examining the
Advisor's profitability, the Board concluded, among other things, that it was
reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
263
LOGO DFA043012-001S
[DIMENSIONAL LOGO]
SEMI-ANNUAL REPORT
--------------------------------------------
six months ended: April 30, 2012 (Unaudited)
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. High Book to Market Portfolio
LWAS/DFA Two-Year Fixed Income Portfolio
LWAS/DFA Two-Year Government Portfolio
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA International High Book to Market Portfolio
[DIMENSIONAL LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2012
Dear Fellow Shareholder,
At Dimensional, we believe the market force works for investors. This belief
has been at the core of our investment philosophy for more than 30 years.
Consistency is an important part of what makes Dimensional different. As we
continue expanding to pursue business opportunities globally, having a
consistent philosophy helps us stay focused on the things that have been key to
Dimensional's success. Most important is our goal to always act in the best
interests of our clients, and thereby earning and maintaining trust by striving
to do what we say we are going to do. It is Dimensional's goal to deliver an
opportunity for all our clients to have a good lifetime investment experience.
Sincerely,
[-s- David G. Booth]
David G. Booth
Chairman and Co-Chief Executive Officer
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SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................................................. 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses............................................................. 2
Disclosure of Portfolio Holdings........................................................ 3
Schedules of Investments
LWAS/DFA U.S. High Book to Market Portfolio......................................... 4
LWAS/DFA Two-Year Fixed Income Portfolio............................................ 5
LWAS/DFA Two-Year Government Portfolio.............................................. 7
Statements of Assets and Liabilities.................................................... 8
Statements of Operations................................................................ 10
Statements of Changes in Net Assets..................................................... 11
Financial Highlights.................................................................... 12
Notes to Financial Statements........................................................... 14
DFA INVESTMENT DIMENSIONS GROUP INC.--LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
Disclosure of Fund Expenses............................................................. 21
Disclosure of Portfolio Holdings........................................................ 22
Schedule of Investments................................................................. 23
Statement of Assets and Liabilities..................................................... 24
Statement of Operations................................................................. 25
Statements of Changes in Net Assets..................................................... 26
Financial Highlights.................................................................... 27
Notes to Financial Statements........................................................... 28
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses............................................................. 33
Disclosure of Portfolio Holdings........................................................ 34
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series..................................................... 35
The DFA International Value Series.................................................. 38
Statements of Assets and Liabilities.................................................... 42
Statements of Operations................................................................ 43
Statements of Changes in Net Assets..................................................... 44
Financial Highlights.................................................................... 45
Notes to Financial Statements........................................................... 46
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................................................ 54
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS........................................... 55
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial
Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as
a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not represent more than 1.0% of the net assets of the Fund. Some of
the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2012.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,105.84 0.36% $1.88
Hypothetical 5% Annual Return................. $1,000.00 $1,023.07 0.36% $1.81
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,003.60 0.31% $1.54
Hypothetical 5% Annual Return................. $1,000.00 $1,023.32 0.31% $1.56
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
--------------------------------------
Actual Fund Return............................ $1,000.00 $1,004.22 0.29% $1.45
Hypothetical 5% Annual Return................. $1,000.00 $1,023.42 0.29% $1.46
--------
* 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 (182), then
divided by the number of days in the year (366) to reflect the six-month
period.
** The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
2
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2012. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following tables, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Master Fund's holdings which reflect the
investments by category.
FEEDER FUND
AFFILIATED
INVESTMENT
COMPANY
----------
LWAS/DFA U.S. High Book to Market Portfolio................. 100.0%
FIXED INCOME PORTFOLIOS
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
Corporate................................................... 15.3%
Government.................................................. 53.4%
Foreign Corporate........................................... 17.6%
Foreign Government.......................................... 11.1%
Supranational............................................... 2.6%
-----
Total....................................................... 100.0%
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
Government.................................................. 100.0%
-----
Total....................................................... 100.0%
3
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust
Company................................................................. $63,931,124
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $44,771,525)................................................. $63,931,124
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
4
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
FACE
AMOUNT VALUE+
------- -----------
(000)
AGENCY OBLIGATIONS -- (53.4%)
Federal Home Loan Bank
0.375%, 11/27/13.................................... $ 2,150 $ 2,152,268
3.125%, 12/13/13.................................... 2,200 2,299,713
2.375%, 03/14/14.................................... 15,300 15,880,573
Federal Home Loan Mortgage Corporation
0.625%, 12/23/13.................................... 2,300 2,310,557
1.375%, 02/25/14.................................... 1,200 1,222,926
0.375%, 02/27/14.................................... 5,000 5,003,820
Federal National Mortgage Association
1.125%, 09/30/13.................................... 2,700 2,731,717
0.750%, 12/18/13.................................... 13,200 13,300,109
2.750%, 03/13/14.................................... 1,000 1,044,867
4.125%, 04/15/14.................................... 1,700 1,825,105
-----------
TOTAL AGENCY OBLIGATIONS............................... 47,771,655
-----------
BONDS -- (44.0%)
Bank of Nova Scotia
2.250%, 01/22/13.................................... 2,000 2,023,472
Berkshire Hathaway Finance Corp.
5.000%, 08/15/13.................................... 1,000 1,056,276
BNP Paribas SA
2.125%, 12/21/12.................................... 2,100 2,103,303
European Investment Bank
1.250%, 02/14/14.................................... 2,300 2,320,916
General Electric Capital Corp.
5.400%, 09/20/13.................................... 2,000 2,124,556
Japan Finance Corp.
1.500%, 07/06/12.................................... 700 701,030
2.125%, 11/05/12.................................... 1,600 1,610,782
JPMorgan Chase & Co.
2.050%, 01/24/14.................................... 1,000 1,018,045
Kreditanstalt fur Wiederaufbau
1.500%, 04/04/14.................................... 1,800 1,831,527
Landwirtschaftliche Rentenbank
3.250%, 03/15/13.................................... 1,000 1,024,038
Manitoba, Province of Canada
1.375%, 04/28/14.................................... 1,000 1,016,132
National Australia Bank Floating Rate Note
(r) 1.656%, 02/14/14................................ 2,000 2,008,796
Nordea Bank Finland P.L.C. Floating Rate Note
(r) 0.909%, 04/05/13................................ 2,000 2,000,138
Oesterreichische Kontrollbank AG
1.375%, 01/21/14.................................... 500 504,076
Ontario Electricity Financial Corp.
7.450%, 03/31/13.................................... 2,000 2,121,338
Ontario, Province of Canada
1.375%, 01/27/14.................................... 1,000 1,013,133
Rabobank Nederland NV
1.850%, 01/10/14.................................... 1,000 1,010,107
Rabobank Nederland NV Floating Rate Note
(r) 0.846%, 01/17/14................................ 500 500,496
Royal Bank of Canada
2.100%, 07/29/13.................................... 500 510,167
1.125%, 01/15/14.................................... 1,500 1,510,955
Sanofi-Aventis SA
1.625%, 03/28/14.................................... 2,000 2,041,326
Svenska Handelsbanken Floating Rate Note
(r) 0.989%, 08/30/13................................ 2,000 1,999,790
Toyota Motor Credit Corp.
1.900%, 12/05/12.................................... 500 503,986
1.375%, 08/12/13.................................... 1,600 1,618,750
U.S. Bancorp
2.000%, 06/14/13.................................... 800 813,203
Wal-Mart Stores, Inc.
4.550%, 05/01/13.................................... 2,250 2,342,149
Wells Fargo & Co.
5.250%, 10/23/12.................................... 1,150 1,173,848
4.375%, 01/31/13.................................... 900 925,336
-----------
TOTAL BONDS............................................ 39,427,671
-----------
COMMERCIAL PAPER -- (2.2%)
Standard Chartered Bank
0.431%, 07/19/12.................................... 2,000 1,998,147
-----------
5
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
SHARES VALUE+
------- --------
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds TempCash Portfolio
-- Institutional Shares...................... 336,148 $336,148
--------
VALUE+
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $ 89,401,283)....................................... $89,533,621
===========
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------- ----------- ------- -----------
Agency Obligations................. -- $47,771,655 -- $47,771,655
Bonds.............................. -- 39,427,671 -- 39,427,671
Commercial Paper................... -- 1,998,147 -- 1,998,147
Temporary Cash Investments......... $336,148 -- -- 336,148
-------- ----------- ------ -----------
TOTAL.............................. $336,148 $89,197,473 -- $89,533,621
======== =========== ====== ===========
See accompanying Notes to Financial Statements.
6
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
FACE
AMOUNT VALUE+
------- ------------
(000)
AGENCY OBLIGATIONS -- (99.5%)
Federal Home Loan Bank
1.000%, 09/13/13............................... $ 8,700 $ 8,784,216
4.500%, 09/16/13............................... 10,000 10,577,220
3.625%, 10/18/13............................... 32,500 34,068,710
0.375%, 11/27/13............................... 34,000 34,035,870
4.875%, 11/27/13............................... 2,400 2,572,181
3.125%, 12/13/13............................... 18,210 19,035,350
0.875%, 12/27/13............................... 29,500 29,772,108
2.375%, 03/14/14............................... 18,000 18,683,028
------------
TOTAL AGENCY OBLIGATIONS.......................... 157,528,683
------------
SHARES
-------
TEMPORARY CASH INVESTMENTS -- (0.5%)
BlackRock Liquidity Funds FedFund Portfolio.... 812,642 812,642
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $158,033,625)............................. $158,341,325
============
Summary of the Portfolio's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------- ------------ ------- ------------
Agency Obligations.............. -- $157,528,683 -- $157,528,683
Temporary Cash Investments...... $812,642 -- -- 812,642
-------- ------------ ------ ------------
TOTAL........................... $812,642 $157,528,683 -- $158,341,325
======== ============ ====== ============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (Affiliated Investment Company) at
Value.......................................................... $ 63,931
Receivables:
Affiliated Investment Company Sold............................ 3
Prepaid Expenses and Other Assets................................ 11
------------
Total Assets.............................................. 63,945
------------
LIABILITIES:
Payables:
Fund Shares Redeemed.......................................... 3
Due to Advisor................................................ 1
Accrued Expenses and Other Liabilities........................... 17
------------
Total Liabilities......................................... 21
------------
NET ASSETS....................................................... $ 63,924
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 4,884,136
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 13.09
============
Investment in Affiliated Investment Company at Cost.............. $ 44,771
------------
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 50,270
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 146
Accumulated Net Realized Gain (Loss)............................. (5,652)
Net Unrealized Appreciation (Depreciation)....................... 19,160
------------
NET ASSETS....................................................... $ 63,924
============
(1) NUMBER OF SHARES AUTHORIZED.................................. 300,000,000
============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
LWAS/DFA LWAS/DFA
TWO-YEAR TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
------------ ------------
ASSETS:
Investments at Value................................................ $ 89,197 $ 157,529
Temporary Cash Investments at Value & Cost.......................... 336 812
Receivables:
Investment Securities Sold....................................... 1,019 --
Interest......................................................... 346 578
Fund Shares Sold................................................. -- 10
Prepaid Expenses and Other Assets................................... 12 10
------------ ------------
Total Assets................................................. 90,910 158,939
------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased.................................. 1,017 --
Fund Shares Redeemed............................................. 3 178
Due to Advisor................................................... 11 20
Accrued Expenses and Other Liabilities.............................. 18 32
------------ ------------
Total Liabilities............................................ 1,049 230
------------ ------------
NET ASSETS.......................................................... $ 89,861 $ 158,709
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 8,939,760 15,938,317
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............ $ 10.05 $ 9.96
============ ============
Investments at Cost................................................. $ 89,065 $ 157,221
------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 89,333 $ 157,507
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)............................................... 54 45
Accumulated Net Realized Gain (Loss)................................ 342 849
Net Unrealized Appreciation (Depreciation).......................... 132 308
------------ ------------
NET ASSETS.......................................................... $ 89,861 $ 158,709
============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
LWAS/DFA LWAS/DFA LWAS/DFA
U.S. HIGH TWO-YEAR TWO-YEAR
BOOK TO MARKET FIXED INCOME GOVERNMENT
PORTFOLIO* PORTFOLIO PORTFOLIO
-------------- ------------ ----------
INVESTMENT INCOME
Dividends............................................. $ 676 -- --
Interest.............................................. -- $ 335 $ 423
Income from Securities Lending........................ 36 -- --
Expenses Allocated from Affiliated Investment
Company............................................. (37) -- --
------ ----- -----
Total Investment Income........................ 675 335 423
------ ----- -----
EXPENSES
Investment Advisory Services Fees..................... -- 68 125
Administrative Services Fees.......................... 3 -- --
Accounting & Transfer Agent Fees...................... 7 15 19
Shareholder Servicing Fees............................ 47 36 66
Filing Fees........................................... 10 10 15
Shareholders' Reports................................. 5 6 12
Directors'/Trustees' Fees & Expenses.................. -- -- 1
Custodian Fees........................................ -- 1 1
Professional Fees..................................... 2 2 4
Other................................................. 1 1 1
------ ----- -----
Total Expenses................................. 75 139 244
------ ----- -----
NET INVESTMENT INCOME (LOSS).......................... 600 196 179
------ ----- -----
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold........................ 1,848 348 854
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................. 3,897 (192) (377)
------ ----- -----
NET REALIZED AND UNREALIZED GAIN (LOSS)............... 5,745 156 477
------ ----- -----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. $6,345 $ 352 $ 656
====== ===== =====
--------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LWAS/DFA LWAS/DFA LWAS/DFA
U.S. HIGH TWO-YEAR TWO-YEAR
BOOK TO MARKET FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- -------------------- --------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- -------- ----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............................. $ 600 $ 1,104 $ 196 $ 494 $ 179 $ 763
Net Realized Gain (Loss) on:
Investment Securities Sold............................ 1,848 3,269 348 549 854 793
Futures............................................... -- (98) -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................. 3,897 (315) (192) (349) (377) (278)
------- -------- ------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations........................ 6,345 3,960 352 694 656 1,278
------- -------- ------- -------- -------- --------
Distributions From:
Net Investment Income..................................... (628) (1,098) (225) (506) (291) (754)
Net Short-Term Gains...................................... -- -- (461) (353) (774) (1,910)
Net Long-Term Gains....................................... -- -- (91) (81) -- (125)
------- -------- ------- -------- -------- --------
Total Distributions................................ (628) (1,098) (777) (940) (1,065) (2,789)
------- -------- ------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued............................................. 1,934 5,902 5,657 23,146 9,372 55,107
Shares Issued in Lieu of Cash Distributions............... 548 956 617 753 757 1,898
Shares Redeemed........................................... (7,034) (14,275) (8,885) (20,020) (29,453) (50,776)
------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions..................................... (4,552) (7,417) (2,611) 3,879 (19,324) 6,229
------- -------- ------- -------- -------- --------
Total Increase (Decrease) in Net Assets............ 1,165 (4,555) (3,036) 3,633 (19,733) 4,718
NET ASSETS
Beginning of Period....................................... 62,759 67,314 92,897 89,264 178,442 173,724
------- -------- ------- -------- -------- --------
End of Period............................................. $63,924 $ 62,759 $89,861 $ 92,897 $158,709 $178,442
======= ======== ======= ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................. 156 465 563 2,298 942 5,537
Shares Issued in Lieu of Cash Distributions............... 46 78 62 75 76 191
Shares Redeemed........................................... (567) (1,137) (884) (1,989) (2,959) (5,099)
------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed..................................... (365) (594) (259) 384 (1,941) 629
======= ======== ======= ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME) .......................... $ 146 $ 174 $ 54 $ 83 $ 45 $ 157
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period............... $ 11.96 $ 11.52 $ 9.80 $ 9.04 $ 15.35 $ 16.10 $ 13.91
------- ------- ------- ------- ------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.12 0.20 0.19 0.18 0.21 0.20 0.23
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 1.13 0.44 1.72 0.79 (5.48) (0.26) 2.23
------- ------- ------- ------- ------- -------- --------
Total from Investment Operations............ 1.25 0.64 1.91 0.97 (5.27) (0.06) 2.46
------- ------- ------- ------- ------- -------- --------
Less Distributions
------------------
Net Investment Income........................... (0.12) (0.20) (0.19) (0.21) (0.21) (0.20) (0.22)
Net Realized Gains.............................. -- -- -- -- (0.83) (0.49) (0.05)
------- ------- ------- ------- ------- -------- --------
Total Distributions......................... (0.12) (0.20) (0.19) (0.21) (1.04) (0.69) (0.27)
------- ------- ------- ------- ------- -------- --------
Net Assets Value, End of Period.................... $ 13.09 $ 11.96 $ 11.52 $ 9.80 $ 9.04 $ 15.35 $ 16.10
======= ======= ======= ======= ======= ======== ========
Total Return....................................... 10.58%(C) 5.48% 19.71% 11.61% (36.69)%(C) (0.51)% 17.90%
------- ------- ------- ------- ------- -------- --------
Net Assets, End of Period (thousands).............. $63,924 $62,759 $67,314 $65,927 $68,462 $119,833 $124,983
Ratio of Expenses to Average Net Assets (D)........ 0.36%(B) 0.34% 0.35% 0.38% 0.33%(B) 0.32% 0.32%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.91%(B) 1.56% 1.78% 2.20% 1.72%(B) 1.20% 1.54%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
---------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period............... $ 10.10 $ 10.13 $ 10.03 $ 9.84 $ 9.95 $ 9.94 $ 9.82
------- ------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.02 0.05 0.08 0.19 0.28 0.49 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.02 0.03 0.11 0.23 (0.04) -- 0.08
------- ------- ------- ------- ------- ------- -------
Total from Investment Operations............ 0.04 0.08 0.19 0.42 0.24 0.49 0.43
------- ------- ------- ------- ------- ------- -------
Less Distributions
------------------
Net Investment Income........................... (0.03) (0.06) (0.09) (0.23) (0.35) (0.48) (0.31)
Net Realized Gains.............................. (0.06) (0.05) -- -- -- -- --
------- ------- ------- ------- ------- ------- -------
Total Distributions......................... (0.09) (0.11) (0.09) (0.23) (0.35) (0.48) (0.31)
------- ------- ------- ------- ------- ------- -------
Net Asset Value, End of Period..................... $ 10.05 $ 10.10 $ 10.13 $ 10.03 $ 9.84 $ 9.95 $ 9.94
======= ======= ======= ======= ======= ======= =======
Total Return....................................... 0.36%(C) 0.73% 1.89% 4.31% 2.46%(C) 5.03% 4.47%
------- ------- ------- ------- ------- ------- -------
Net Assets, End of Period (thousands).............. $89,861 $92,897 $89,264 $77,398 $84,065 $96,442 $86,082
Ratio of Expenses to Average Net Assets............ 0.31%(B) 0.30% 0.31% 0.34% 0.31%(B) 0.31% 0.31%
Ratio of Net Investment Income to Average Net
Assets........................................... 0.44%(B) 0.54% 0.82% 1.92% 3.04%(B) 4.94% 3.57%
Portfolio Turnover Rate............................ 73%(C) 98% 113% 77% 20%(C) 22% 15%
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
--------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period............... $ 9.98 $ 10.07 $ 10.10 $ 9.80 $ 9.89 $ 9.87 $ 9.75
-------- -------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.01 0.04 0.07 0.18 0.24 0.46 0.34
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.04 0.02 0.13 0.33 (0.03) 0.01 0.08
-------- -------- -------- -------- -------- -------- -------
Total from Investment Operations............ 0.05 0.06 0.20 0.51 0.21 0.47 0.42
-------- -------- -------- -------- -------- -------- -------
Less Distributions
------------------
Net Investment Income........................... (0.02) (0.04) (0.08) (0.21) (0.30) (0.45) (0.30)
Net Realized Gains.............................. (0.05) (0.11) (0.15) -- -- -- --
-------- -------- -------- -------- -------- -------- -------
Total Distributions......................... (0.07) (0.15) (0.23) (0.21) (0.30) (0.45) (0.30)
-------- -------- -------- -------- -------- -------- -------
Net Asset Value, End of Period..................... $ 9.96 $ 9.98 $ 10.07 $ 10.10 $ 9.80 $ 9.89 $ 9.87
======== ======== ======== ======== ======== ======== =======
Total Return....................................... 0.42%(C) 0.66% 1.98% 5.21% 2.13%(C) 4.85% 4.42%
-------- -------- -------- -------- -------- -------- -------
Net Assets, End of Period (thousands).............. $158,709 $178,442 $173,724 $136,508 $133,785 $110,338 $72,948
Ratio of Expenses to Average Net Assets............ 0.29%(B) 0.29% 0.29% 0.31% 0.30%(B) 0.31% 0.32%
Ratio of Net Investment Income to Average Net
Assets........................................... 0.22%(B) 0.41% 0.72% 1.76% 2.69%(B) 4.66% 3.45%
Portfolio Turnover Rate............................ 81%(C) 127% 166% 112% 7%(C) 0% 29%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, of which LWAS/DFA U.S. High Book to Market Portfolio, LWAS/DFA
Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government Portfolio (the
"Portfolios") are presented in this report.
LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily
invests its assets in The U.S. Large Cap Value Series (the "Series"), a
corresponding Series of The DFA Investment Trust Company. At April 30, 2012,
the Portfolio owned 1% of the Series.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure, elected with the consent of its
respective Holder(s) to change its U.S. federal income tax classification from
that of an association taxable as a corporation to a partnership pursuant to
Treasury Regulation (S) 301.7701-3. The change in capital structure and
retroactive reclassification of the statement of changes in net assets and
financial highlights for the fund is a result of the treatment of a partnership
for book purposes. The Series/Portfolio will maintain its books and records and
present its financial statements in accordance with generally accepted
accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-ended investment companies,
futures contracts)
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
- Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by LWAS/DFA Two-Year Fixed Income Portfolio and
LWAS/DFA Two-Year Government Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities which are traded over the counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over the counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of
Directors/Trustees. These valuations are generally categorized as Level 2 in
14
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 Portfolios may differ from the quoted or published
prices for the same securities on their primary markets or exchanges.
LWAS/DFA U.S. High Book to Market Portfolio's investment reflects its
proportionate interest in the net assets of the Series. These valuations are
classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in the
Security Valuation note. Valuation hierarchy tables have been included at the
end of the Schedule of Investments. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2012
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 April 30, 2012, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: LWAS/DFA U.S. High Book to Market Portfolio recognizes its
pro-rata share, on a daily basis, of net investment income and realized and
unrealized gains and losses of investment securities from The U.S. Large Cap
Value Series, which is treated as a partnership for federal income tax
purposes. Security transactions are accounted for as of the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities
utilizing the effective interest method. Expenses directly attributable to the
Portfolios are directly charged. Common expenses of the Fund are allocated
using methods approved by the Board of Directors/Trustees, generally based on
average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Feeder Fund, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Portfolios. The Advisor receives no
compensation for investment advisory services provided to the Feeder Fund but
is compensated for the investment advisory services it provides to the Feeder
Fund's master fund. For
15
the six months ended April 30, 2012, the Portfolios' administrative services
fees or investment advisory services fees were accrued daily and paid monthly
to the Advisor based on the following effective annual rates of average daily
net assets:
ADMINISTRATIVE ADVISORY
SERVICES FEES SERVICES FEES
-------------- -------------
LWAS/DFA U.S. High Book to Market Portfolio....... 0.01% --
LWAS/DFA Two-Year Fixed Income Portfolio.......... -- 0.15%
LWAS/DFA Two-Year Government Portfolio............ -- 0.15%
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolios pay monthly Shareholder Servicing Fees to LWIF at the
following effective annual rates of their average daily net assets:
SHAREHOLDER
SERVICING FEES
--------------
LWAS/DFA U.S. High Book to Market Portfolio....... 0.15%
LWAS/DFA Two-Year Fixed Income Portfolio.......... 0.08%
LWAS/DFA Two-Year Government Portfolio............ 0.08%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2012, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
LWAS/DFA U.S. High Book to Market Portfolio................. $ 2
LWAS/DFA Two-Year Fixed Income Portfolio.................... 3
LWAS/DFA Two-Year Government Portfolio...................... 5
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ -----------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- -------
LWAS/DFA Two-Year Fixed Income Portfolio.......... $ 48,502 $ 57,728 $15,804 $10,549
LWAS/DFA Two-Year Government Portfolio............ 134,471 153,428 -- --
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.
16
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. As of
October 31, 2011, the Portfolios had no permanant differences to report.
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
-------------- ------------- ------
LWAS/DFA U.S. High Book to Market Portfolio
2010.............................................. $1,187 -- $1,187
2011.............................................. 1,098 -- 1,098
LWAS/DFA Two-Year Fixed Income Portfolio
2010.............................................. 714 -- 714
2011.............................................. 859 $ 81 940
LWAS/DFA Two-Year Government Portfolio
2010.............................................. 2,140 1,081 3,221
2011.............................................. 2,679 110 2,789
At October 31, 2011, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS
SHORT-TERM LONG-TERM LOSS ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD (LOSSES)
------------- ------------- ------------ -------------
LWAS/DFA U.S. High Book to Market Portfolio....... $177 -- $(7,498) $(7,321)
LWAS/DFA Two-Year Fixed Income Portfolio.......... 541 $91 -- 632
LWAS/DFA Two-Year Government Portfolio............ 931 -- -- 931
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 Portfolio had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31,
----------------------
2017 TOTAL
---------------------- ---------
LWAS/DFA U.S. High Book to Market Portfolio....... $7,498 $ 7,498
During the year ended October 31, 2011, the following Portfolio utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands):
LWAS/DFA U.S. High Book to Market Portfolio....... $3,173
At April 30, 2012, 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):
17
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------- ------------ -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio................. $ 44,771 $22,541 $(3,381) $19,160
LWAS/DFA Two-Year Fixed Income Portfolio.................... 89,401 146 (14) 132
LWAS/DFA Two-Year Government Portfolio...................... 158,033 308 -- 308
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Portfolios'
tax positions and has concluded that no additional 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 Portfolios' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S) 301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S) 336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S) 331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)
334(a), each of the Portfolios took a fair market value basis in the securities
deemed received by them and a new holding period for those securities commenced
on the deemed liquidation date. As a result of the transaction, The U.S. Large
Cap Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
G. 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 July 6,
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 Portfolios under this line of credit during the six months ended April 30,
2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2012.
18
H. 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.
I. RECENTLY ISSUED ACCOUNTING STANDARDS:
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.
J. OTHER:
At April 30, 2012, the following number of shareholders held the following
approximate percentages of outstanding shares of the Portfolios. One or more of
the shareholders is an omnibus account, which typically hold shares for the
benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio................. 2 96%
LWAS/DFA Two-Year Fixed Income Portfolio.................... 3 98%
LWAS/DFA Two-Year Government Portfolio...................... 2 90%
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 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
19
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 have been consolidated into a single
Multidistrict Litigation action in federal court for pretrial proceedings. 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.
K. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
20
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
Actual Fund Return................................ $1,000.00 $1,009.02 0.51% $2.55
Hypothetical 5% Annual Return..................... $1,000.00 $1,022.33 0.51% $2.56
--------
* 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 (182), then divided
by the number of days in the year (366) to reflect the six-month period. The
Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of
the Feeder Fund and the indirect payment of the Feeder Fund's portion of the
expenses of its Master Fund (Affiliated Investment Company).
21
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 27, 2012. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Master Fund's holdings which reflect the
investments by country.
Affiliated Investment Company..................... 100.0%
22
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company......................................... $69,457,805
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $64,064,640)........................................ $69,457,805
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
23
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The DFA International Value Series of The DFA
Investment Trust Company (Affiliated Investment Company) at Value... $ 69,458
Receivables:
Affiliated Investment Company Shares Sold.......................... 2
Prepaid Expenses and Other Assets..................................... 8
------------
Total Assets................................................... 69,468
------------
LIABILITIES:
Payables:
Fund Shares Redeemed............................................... 2
Due to Advisor..................................................... 1
Accrued Expenses and Other Liabilities................................ 22
------------
Total Liabilities.............................................. 25
------------
NET ASSETS............................................................ $ 69,443
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................... 8,402,975
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ............. $ 8.26
============
Investment in Affiliated Investment Company at Cost................... $ 64,065
------------
NET ASSETS CONSIST OF:
Paid-In Capital....................................................... $ 60,641
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).................................................. 614
Accumulated Net Realized Gain (Loss).................................. 2,780
Net Unrealized Foreign Exchange Gain (Loss)........................... 15
Net Unrealized Appreciation (Depreciation)............................ 5,393
------------
NET ASSETS............................................................ $ 69,443
============
(1) NUMBER OF SHARES AUTHORIZED....................................... 200,000,000
============
See accompanying Notes to Financial Statements.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $ 94).................. $ 1,221
Income from Securities Lending..................................... 61
Expenses Allocated from Affiliated Investment Company.............. (82)
-------
Total Investment Income..................................... 1,200
-------
EXPENSES
Administrative Services Fees....................................... 3
Accounting & Transfer Agent Fees................................... 7
Shareholder Servicing Fees......................................... 66
Filing Fees........................................................ 12
Shareholders' Reports.............................................. 6
Professional Fees.................................................. 2
Other.............................................................. 1
-------
Total Expenses.............................................. 97
-------
NET INVESTMENT INCOME (LOSS)....................................... 1,103
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold..................................... 2,793
Foreign Currency Transactions.................................. (8)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... (3,237)
Translation of Foreign Currency Denominated Amounts............ 8
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................ (444)
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $ 659
=======
--------
Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2012 2011
----------- --------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 1,103 $ 2,779
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 2,793 2,978
Foreign Currency Transactions............................... (8) 9
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (3,237) (12,479)
Translation of Foreign Currency Denominated Amounts......... 8 (8)
------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 659 (6,721)
------- --------
Distributions From:
Net Investment Income........................................... (812) (2,701)
Net Short-Term Gains............................................ -- (304)
Net Long-Term Gains............................................. (2,965) (4,756)
------- --------
Total Distributions...................................... (3,777) (7,761)
------- --------
Capital Share Transactions (1):
Shares Issued................................................... 4,702 10,655
Shares Issued in Lieu of Cash Distributions..................... 3,248 6,576
Shares Redeemed................................................. (8,245) (15,785)
------- --------
Net Increase (Decrease) from Capital
Share Transactions..................................... (295) 1,446
------- --------
Total Increase (Decrease) in Net Assets.................. (3,413) (13,036)
NET ASSETS
Beginning of Period............................................. 72,856 85,892
------- --------
End of Period................................................... $69,443 $ 72,856
======= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 588 1,060
Shares Issued in Lieu of Cash Distributions..................... 428 669
Shares Redeemed................................................. (1,007) (1,611)
------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 9 118
======= ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME)................................. $ 614 $ 323
See accompanying Notes to Financial Statements.
26
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period.......... $ 8.68 $ 10.38 $ 9.66 $ 11.40 $ 24.32 $ 21.89 $ 17.49
------- ------- ------- ------- ------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........... 0.13 0.32 0.22 0.25 0.66 0.65 0.61
Net Gains (Losses) on Securities
(Realized and Unrealized)................ (0.09) (1.09) 0.79 2.14 (11.36) 2.98 5.23
------- ------- ------- ------- ------- -------- --------
Total from Investment Operations....... 0.04 (0.77) 1.01 2.39 (10.70) 3.63 5.84
------- ------- ------- ------- ------- -------- --------
Less Distributions
------------------
Net Investment Income...................... (0.10) (0.31) (0.23) (0.27) (0.70) (0.58) (0.63)
Net Realized Gains......................... (0.36) (0.62) (0.06) (3.86) (1.52) (0.62) (0.81)
------- ------- ------- ------- ------- -------- --------
Total Distributions.................... (0.46) (0.93) (0.29) (4.13) (2.22) (1.20) (1.44)
------- ------- ------- ------- ------- -------- --------
Net Asset Value, End of Period................ $ 8.26 $ 8.68 $ 10.38 $ 9.66 $ 11.40 $ 24.32 $ 21.89
======= ======= ======= ======= ======= ======== ========
Total Return.................................. 0.90%(C) (8.30)% 10.85% 34.92% (47.99)%(C) 17.05% 35.40%
------- ------- ------- ------- ------- -------- --------
Net Assets, End of Period (thousands)......... $69,443 $72,856 $85,892 $85,504 $84,319 $185,239 $179,984
Ratio of Expenses to Average Net Assets (D)... 0.51%(B) 0.49% 0.50% 0.52% 0.47%(B) 0.46% 0.47%
Ratio of Net Investment Income to Average Net
Assets...................................... 3.18%(B) 3.24% 2.29% 2.99% 3.74%(B) 2.76% 3.14%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
27
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixty-six operational
portfolios, of which LWAS/DFA International High Book to Market Portfolio ("the
Portfolio") is presented in this report.
The Portfolio primarily invests its assets in The DFA International Value
Series (the "Series"), a corresponding Series of The DFA Investment Trust
Company. At April 30, 2012, the Portfolio owned 1% of the Series.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolio from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-ended investment companies,
futures contracts)
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
- Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in the Security Valuation note. The inputs or methodology
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities.
The Portfolio did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2012.
28
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. At April 30,
2012, the total liability for deferred compensation to Directors is included in
Accrued Expenses and Other Liabilities on the Statement of Assets and
Liabilities in the amount of $3 (in thousands).
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed upon years; or quarterly installments over a period of agreed upon
years. Each Director shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Director's
deferred compensation until a date specified by such Director in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director ceases to be a member of the
Board of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board of the Fund (unless the
Director files an amended Notice selecting a different distribution date). As
of April 30, 2012, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: The Portfolio recognizes its pro-rata share, on a daily basis, of
net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from The DFA International Value
Series, which is treated as a partnership for federal income tax purposes.
Distributions received on securities that represent a return of capital are
recorded as a reduction of cost of investments or as a realized gain,
respectively. Expenses directly attributable to the Portfolio are directly
charged. Common expenses of the Fund are allocated using methods approved by
the Board of Directors/Trustees, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Series. For the six months ended April 30,
2012, the Portfolio's administrative services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.01% of average
daily net assets of the Portfolio.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolio pays a monthly Shareholder Servicing Fee to LWIF at the
effective annual rate of 0.19% of its average daily net assets.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2012, the total
related amounts paid by the Fund to the CCO were $116 (in thousands). The total
related amount paid by the Portfolio is included in Other Expenses on the
Statement of Operations.
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
29
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are permanent
they are charged, or credited to paid-in capital, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that
the differences arise. Accordingly, the following permanent differences as of
October 31, 2011, primarily attributable to net foreign currency
gains/(losses), gains on securities considered to be "passive foreign
investment companies" and distribution redesignations, were reclassified to the
following accounts. These reclassifications had no effect on net asset value
per share (amounts in thousands):
INCREASE
INCREASE (DECREASE)
(DECREASE) ACCUMULATED
UNDISTRIBUTED NET REALIZED
NET INVESTMENT GAINS
INCOME (LOSSES)
-------------- ------------
$12 $(12)
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 LONG-TERM
SHORT-TERM CAPITAL
CAPITAL GAINS GAIN TOTAL
-------------- --------- ------
2010.................................... $2,420 -- $2,420
2011.................................... 3,005 $4,756 7,761
At October 31, 2011, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
------------- ------------- -------------
$352 $2,962 $3,314
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 had no capital loss carryforwards
available to offset future realized capital gains.
At April 30, 2012, 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)
-------- ------------ -------------- --------------
$64,065 $17,105 $(11,712) $5,393
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in any Portfolios'
30
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 remain subject to
examination by the Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S) 301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S) 336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S) 331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S) 334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
E. 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 July 6,
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 six months ended April 30,
2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013. There were no borrowings by the Portfolio under this line of
credit during the six months ended April 30, 2012.
F. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
G. RECENTLY ISSUED ACCOUNTING STANDARDS:
In 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
31
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.
H. OTHER:
At April 30, 2012, two shareholders held approximately 96% of the
outstanding shares of the Portfolio. One or more of the shareholders is an
omnibus account, which typically hold shares for the benefit of several other
underlying investors.
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
I. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
32
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................................ $1,000.00 $1,107.21 0.12% $0.63
Hypothetical 5% Annual Return..................... $1,000.00 $1,024.27 0.12% $0.60
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................................ $1,000.00 $1,010.76 0.23% $1.15
Hypothetical 5% Annual Return..................... $1,000.00 $1,023.72 0.23% $1.16
--------
* 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 (182), then
divided by the number of days in the year (366) to reflect the six-month
period.
33
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31.The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2012. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
THE U.S. LARGE CAP VALUE SERIES
Consumer Discretionary...................................... 16.2%
Consumer Staples............................................ 9.1%
Energy...................................................... 18.0%
Financials.................................................. 18.5%
Health Care................................................. 9.6%
Industrials................................................. 14.5%
Information Technology...................................... 3.7%
Materials................................................... 3.0%
Telecommunication Services.................................. 6.6%
Utilities................................................... 0.8%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary...................................... 12.3%
Consumer Staples............................................ 5.4%
Energy...................................................... 14.3%
Financials.................................................. 27.7%
Health Care................................................. 1.7%
Industrials................................................. 10.8%
Information Technology...................................... 2.8%
Materials................................................... 13.3%
Other....................................................... --
Telecommunication Services.................................. 8.3%
Utilities................................................... 3.4%
-----
100.0%
34
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
COMMON STOCKS -- (92.5%)
Consumer Discretionary -- (15.0%)
#Carnival Corp................................. 2,385,423 $ 77,502,393 0.8%
#CBS Corp. Class B............................. 2,669,115 89,014,985 0.9%
#Comcast Corp. Class A......................... 10,008,890 303,569,634 3.0%
Comcast Corp. Special Class A................. 3,843,964 114,665,446 1.1%
#*Liberty Interactive Corp. Class A............ 3,316,465 62,482,201 0.6%
#News Corp. Class A............................ 9,024,175 176,873,830 1.7%
#News Corp. Class B............................ 3,247,295 64,426,333 0.6%
#Time Warner Cable, Inc........................ 1,921,256 154,565,045 1.5%
Time Warner, Inc.............................. 5,323,159 199,405,536 2.0%
Other Securities.............................. 403,077,907 4.0%
-------------- ----
Total Consumer Discretionary...................... 1,645,583,310 16.2%
-------------- ----
Consumer Staples -- (8.4%)
Archer-Daniels-Midland Co..................... 3,155,848 97,294,794 1.0%
CVS Caremark Corp............................. 6,431,368 286,967,640 2.8%
#Kraft Foods, Inc. Class A..................... 7,128,852 284,227,329 2.8%
Other Securities.............................. 255,898,110 2.5%
-------------- ----
Total Consumer Staples............................ 924,387,873 9.1%
-------------- ----
Energy -- (16.7%)
Anadarko Petroleum Corp....................... 2,574,876 188,506,672 1.9%
Apache Corp................................... 1,155,774 110,884,958 1.1%
#Chesapeake Energy Corp........................ 3,267,150 60,246,246 0.6%
Chevron Corp.................................. 1,669,494 177,901,281 1.8%
ConocoPhillips................................ 5,710,341 409,031,726 4.0%
Devon Energy Corp............................. 1,088,705 76,046,044 0.8%
Hess Corp..................................... 1,567,373 81,722,828 0.8%
Marathon Oil Corp............................. 3,625,708 106,378,273 1.0%
Marathon Petroleum Corp....................... 1,791,952 74,563,123 0.7%
National Oilwell Varco, Inc................... 1,627,065 123,266,444 1.2%
#Pioneer Natural Resources Co.................. 517,832 59,975,302 0.6%
Valero Energy Corp............................ 2,806,975 69,332,282 0.7%
Other Securities.............................. 288,680,430 2.8%
-------------- ----
Total Energy...................................... 1,826,535,609 18.0%
-------------- ----
Financials -- (17.1%)
Bank of America Corp.......................... 24,999,052 202,742,312 2.0%
Capital One Financial Corp.................... 1,092,331 60,602,524 0.6%
#Citigroup, Inc................................ 9,041,167 298,720,158 2.9%
#CME Group, Inc................................ 319,869 85,027,578 0.8%
JPMorgan Chase & Co........................... 1,496,828 64,333,667 0.6%
#Loews Corp.................................... 2,340,216 96,253,084 1.0%
#MetLife, Inc.................................. 4,759,859 171,497,720 1.7%
Morgan Stanley................................ 3,765,813 65,073,249 0.7%
#Prudential Financial, Inc..................... 2,340,342 141,684,305 1.4%
#SunTrust Banks, Inc........................... 2,564,707 62,271,086 0.6%
Other Securities.............................. 628,839,010 6.2%
-------------- ----
Total Financials.................................. 1,877,044,693 18.5%
-------------- ----
Health Care -- (8.8%)
Aetna, Inc.................................... 1,957,594 86,212,440 0.8%
Humana, Inc................................... 698,778 56,377,409 0.6%
Pfizer, Inc................................... 17,815,204 408,502,628 4.0%
Thermo Fisher Scientific, Inc................. 1,994,284 110,981,905 1.1%
WellPoint, Inc................................ 2,067,263 140,201,777 1.4%
35
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- --------------- ---------------
Health Care -- (Continued)
Other Securities.............................. $ 165,236,290 1.6%
--------------- ----
Total Health Care................................. 967,512,449 9.5%
--------------- ----
Industrials -- (13.4%)
CSX Corp...................................... 6,342,908 141,510,277 1.4%
General Electric Co........................... 21,867,055 428,156,937 4.2%
#Norfolk Southern Corp......................... 2,045,548 149,181,816 1.5%
Northrop Grumman Corp......................... 1,545,282 97,785,445 1.0%
Tyco International, Ltd....................... 1,433,965 80,488,455 0.8%
Union Pacific Corp............................ 2,422,164 272,348,120 2.7%
Other Securities.............................. 300,389,113 2.9%
--------------- ----
Total Industrials................................. 1,469,860,163 14.5%
--------------- ----
Information Technology -- (3.5%)
Other Securities.............................. 378,920,592 3.7%
--------------- ----
Materials -- (2.7%)
#Alcoa, Inc.................................... 5,357,434 52,127,833 0.5%
International Paper Co........................ 2,299,481 76,595,712 0.7%
Other Securities.............................. 171,903,835 1.7%
--------------- ----
Total Materials................................... 300,627,380 2.9%
--------------- ----
Telecommunication Services -- (6.1%)
AT&T, Inc..................................... 13,051,618 429,528,748 4.2%
#CenturyLink, Inc.............................. 2,300,437 88,704,851 0.9%
#Verizon Communications, Inc................... 1,811,751 73,158,505 0.7%
Other Securities.............................. 78,059,153 0.8%
--------------- ----
Total Telecommunication Services.................. 669,451,257 6.6%
--------------- ----
Utilities -- (0.8%)
Other Securities.............................. 82,481,799 0.8%
--------------- ----
TOTAL COMMON STOCKS............................... 10,142,405,125 99.8%
--------------- ----
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash Portfolio
-- Institutional Shares 31,844,654 31,844,654 0.3%
--------------- ----
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (7.2%)
(S) @DFA Short Term Investment Fund............... 785,569,107 785,569,107 7.7%
@Repurchase Agreement, JPMorgan Securities LLC
0.21%, 05/01/12 (Collateralized by $375,124
FNMA, rates ranging from 2.000% to
6.331%(r), maturities ranging from 01/01/19
to 09/01/45, valued at $376,287) to be
repurchased at $364,198...................... $ 364 364,196 0.0%
--------------- ---------
TOTAL SECURITIES LENDING COLLATERAL............... 785,933,303 7.7%
--------------- ---------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,527,670,147)........................... $10,960,183,082 107.8%
=============== =========
36
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary......................... $ 1,645,583,310 -- -- $ 1,645,583,310
Consumer Staples............................... 924,387,873 -- -- 924,387,873
Energy......................................... 1,826,535,609 -- -- 1,826,535,609
Financials..................................... 1,877,044,693 -- -- 1,877,044,693
Health Care.................................... 967,512,449 -- -- 967,512,449
Industrials.................................... 1,469,860,163 -- -- 1,469,860,163
Information Technology......................... 378,920,592 -- -- 378,920,592
Materials...................................... 300,627,380 -- -- 300,627,380
Telecommunication Services..................... 669,451,257 -- -- 669,451,257
Utilities...................................... 82,481,799 -- -- 82,481,799
Temporary Cash Investments........................ 31,844,654 -- -- 31,844,654
Securities Lending Collateral..................... -- $785,933,303 -- 785,933,303
--------------- ------------ -- ---------------
TOTAL............................................. $10,174,249,779 $785,933,303 -- $10,960,183,082
=============== ============ == ===============
See accompanying Notes to Financial Statements.
37
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (85.6%)
AUSTRALIA -- (4.2%)
National Australia Bank, Ltd............................ 1,490,363 $ 38,957,024 0.5%
Wesfarmers, Ltd......................................... 2,578,622 80,973,411 1.1%
Other Securities........................................ 226,937,336 3.2%
------------ ----
TOTAL AUSTRALIA............................................. 346,867,771 4.8%
------------ ----
AUSTRIA -- (0.3%)
Other Securities........................................ 21,553,007 0.3%
------------ ----
BELGIUM -- (0.8%)
Other Securities........................................ 62,916,268 0.9%
------------ ----
CANADA -- (10.6%)
#Encana Corp............................................. 2,051,015 42,957,433 0.6%
#Goldcorp, Inc........................................... 1,677,120 64,225,793 0.9%
#Manulife Financial Corp................................. 4,206,497 57,528,749 0.8%
#Sun Life Financial, Inc................................. 1,513,735 37,113,592 0.5%
Suncor Energy, Inc...................................... 3,486,786 115,173,181 1.6%
#Teck Resources, Ltd. Class B............................ 1,483,730 55,362,948 0.8%
#Thomson Reuters Corp.................................... 1,832,184 54,751,300 0.7%
#TransCanada Corp........................................ 1,575,808 69,326,938 1.0%
Other Securities........................................ 383,877,001 5.3%
------------ ----
TOTAL CANADA................................................ 880,316,935 12.2%
------------ ----
DENMARK -- (1.2%)
Other Securities........................................ 102,335,685 1.4%
------------ ----
FINLAND -- (0.5%)
Other Securities........................................ 40,320,948 0.6%
------------ ----
FRANCE -- (7.7%)
#AXA SA.................................................. 4,058,877 57,677,147 0.8%
BNP Paribas SA.......................................... 1,248,772 50,399,590 0.7%
Cie de Saint-Gobain SA.................................. 1,039,077 43,626,019 0.6%
France Telecom SA....................................... 3,803,372 52,136,748 0.7%
GDF Suez SA............................................. 2,974,295 68,480,750 1.0%
#Societe Generale SA..................................... 1,558,512 36,896,510 0.5%
#Vivendi SA.............................................. 3,567,218 65,981,070 0.9%
Other Securities........................................ 265,365,392 3.7%
------------ ----
TOTAL FRANCE................................................ 640,563,226 8.9%
------------ ----
GERMANY -- (7.0%)
Allianz SE.............................................. 330,017 36,810,454 0.5%
Bayerische Motoren Werke AG............................. 660,431 62,814,886 0.9%
Daimler AG.............................................. 2,088,586 115,564,409 1.6%
Deutsche Bank AG........................................ 1,039,440 45,125,200 0.6%
#Deutsche Telekom AG Sponsored ADR....................... 3,099,741 35,337,047 0.5%
#E.ON AG................................................. 2,894,296 65,531,861 0.9%
#Munchener Rueckversicherungs-Gesellschaft AG............ 395,244 57,409,200 0.8%
Other Securities........................................ 159,791,238 2.2%
------------ ----
TOTAL GERMANY............................................... 578,384,295 8.0%
------------ ----
GREECE -- (0.1%)
Other Securities........................................ 4,120,169 0.1%
------------ ----
HONG KONG -- (1.7%)
Hutchison Whampoa, Ltd................................... 5,618,000 53,856,729 0.7%
38
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
HONG KONG -- (Continued)
Other Securities........................................ $ 83,058,768 1.2%
-------------- ----
TOTAL HONG KONG............................................. 136,915,497 1.9%
-------------- ----
IRELAND -- (0.2%)
Other Securities........................................ 17,279,741 0.2%
-------------- ----
ISRAEL -- (0.6%)
Other Securities........................................ 47,664,525 0.7%
-------------- ----
ITALY -- (1.2%)
Other Securities........................................ 102,282,841 1.4%
-------------- ----
JAPAN -- (17.4%)
Mitsubishi Corp......................................... 2,411,300 52,257,599 0.7%
Mitsubishi Heavy Industries, Ltd........................ 9,007,000 40,846,959 0.6%
Mitsubishi UFJ Financial Group, Inc..................... 17,167,906 82,431,923 1.2%
Mitsui & Co., Ltd....................................... 2,469,100 38,556,482 0.5%
Sumitomo Corp........................................... 3,241,900 46,071,274 0.6%
#Toyota Motor Corp. Sponsored ADR........................ 673,198 55,054,132 0.8%
Other Securities........................................ 1,131,567,900 15.7%
-------------- ----
TOTAL JAPAN................................................. 1,446,786,269 20.1%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities........................................ -- 0.0%
-------------- ----
NETHERLANDS -- (2.3%)
ArcelorMittal NV........................................ 2,446,831 42,506,116 0.6%
Koninklijke Philips Electronics NV...................... 1,939,039 38,587,673 0.5%
Other Securities........................................ 113,298,898 1.6%
-------------- ----
TOTAL NETHERLANDS........................................... 194,392,687 2.7%
-------------- ----
NEW ZEALAND -- (0.1%)
Other Securities........................................ 5,484,801 0.1%
-------------- ----
NORWAY -- (1.0%)
Other Securities........................................ 86,545,255 1.2%
-------------- ----
PORTUGAL -- (0.1%)
Other Securities........................................ 8,206,069 0.1%
-------------- ----
SINGAPORE -- (1.0%)
Other Securities........................................ 79,091,216 1.1%
-------------- ----
SPAIN -- (1.4%)
Other Securities........................................ 114,294,255 1.6%
-------------- ----
SWEDEN -- (2.6%)
Nordea Bank AB.......................................... 5,275,564 46,690,917 0.6%
Other Securities........................................ 172,480,053 2.4%
-------------- ----
TOTAL SWEDEN................................................ 219,170,970 3.0%
-------------- ----
SWITZERLAND -- (4.5%)
Holcim, Ltd............................................. 886,165 55,272,069 0.8%
*Swiss Re, Ltd........................................... 1,108,107 69,581,447 1.0%
*UBS AG.................................................. 3,280,643 40,969,298 0.6%
Zurich Insurance Group AG............................... 225,125 55,156,285 0.7%
Other Securities......................................... 153,704,777 2.1%
-------------- ----
TOTAL SWITZERLAND........................................... 374,683,876 5.2%
-------------- ----
39
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
UNITED KINGDOM -- (19.1%)
Aviva P.L.C............................................. 8,175,916 $ 40,920,432 0.6%
Barclays P.L.C.......................................... 11,591,752 41,038,889 0.6%
Barclays P.L.C. Sponsored ADR........................... 4,327,157 61,618,716 0.9%
BP P.L.C. Sponsored ADR................................. 4,848,222 210,461,317 2.9%
International Power P.L.C............................... 6,455,198 43,665,942 0.6%
Kingfisher P.L.C........................................ 10,285,817 48,507,558 0.7%
*Lloyds Banking Group P.L.C.............................. 76,981,994 38,640,671 0.5%
Royal Dutch Shell P.L.C. ADR............................ 3,323,210 243,790,686 3.4%
Vodafone Group P.L.C.................................... 34,976,333 96,813,260 1.3%
Vodafone Group P.L.C. Sponsored ADR..................... 8,190,343 227,937,246 3.2%
William Morrison Supermarkets P.L.C..................... 8,127,143 37,017,257 0.5%
Xstrata P.L.C........................................... 5,211,952 100,098,296 1.4%
Other Securities........................................ 396,933,279 5.5%
-------------- ----
TOTAL UNITED KINGDOM........................................ 1,587,443,549 22.1%
-------------- ----
TOTAL COMMON STOCKS......................................... 7,097,619,855 98.6%
-------------- ----
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities......................................... 20,410,954 0.3%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities......................................... 2 0.0%
-------------- ----
SHARES/
FACE
AMOUNT VALUE+
-------------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (14.2%)
(S) @DFA Short Term Investment Fund......................... 1,174,000,000 1,174,000,000 16.3%
@Repurchase Agreement, Deutsche Bank Securities, Inc.
0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38, valued at
$200,496) to be repurchased at $196,566................ $ 197 196,565 0.0%
-------------- ----------
TOTAL SECURITIES LENDING COLLATERAL......................... 1,174,196,565 16.3%
-------------- ----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,877,751,800)..................................... $8,292,227,376 115.2%
============== ==========
40
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Australia...................................... $ 4,983,494 $ 341,884,277 -- $ 346,867,771
Austria........................................ -- 21,553,007 -- 21,553,007
Belgium........................................ 2,576,759 60,339,509 -- 62,916,268
Canada......................................... 880,316,935 -- -- 880,316,935
Denmark........................................ -- 102,335,685 -- 102,335,685
Finland........................................ 1,505,997 38,814,951 -- 40,320,948
France......................................... 25,911,691 614,651,535 -- 640,563,226
Germany........................................ 84,691,422 493,692,873 -- 578,384,295
Greece......................................... -- 4,120,169 -- 4,120,169
Hong Kong...................................... -- 136,915,497 -- 136,915,497
Ireland........................................ 5,283,523 11,996,218 -- 17,279,741
Israel......................................... 6,184,967 41,479,558 -- 47,664,525
Italy.......................................... 21,219,340 81,063,501 -- 102,282,841
Japan.......................................... 115,375,138 1,331,411,131 -- 1,446,786,269
Malaysia....................................... -- -- -- --
Netherlands.................................... 11,737,570 182,655,117 -- 194,392,687
New Zealand.................................... -- 5,484,801 -- 5,484,801
Norway......................................... 289,916 86,255,339 -- 86,545,255
Portugal....................................... -- 8,206,069 -- 8,206,069
Singapore...................................... -- 79,091,216 -- 79,091,216
Spain.......................................... 8,765,062 105,529,193 -- 114,294,255
Sweden......................................... 9,516,859 209,654,111 -- 219,170,970
Switzerland.................................... 46,723,453 327,960,423 -- 374,683,876
United Kingdom................................. 807,957,592 779,485,957 -- 1,587,443,549
Preferred Stocks
Germany........................................ -- 20,410,954 -- 20,410,954
Rights/Warrants
Spain.......................................... -- 2 -- 2
Securities Lending Collateral..................... -- 1,174,196,565 -- 1,174,196,565
-------------- -------------- ------ --------------
TOTAL............................................. $2,033,039,718 $6,259,187,658 -- $8,292,227,376
============== ============== ====== ==============
See accompanying Notes to Financial Statements.
41
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE DFA
THE U.S. LARGE INTERNATIONAL
CAP VALUE VALUE
SERIES SERIES
-------------- -------------
ASSETS:
Investments at Value (including $767,016 and
$1,116,551 of securities on loan, respectively)...... $10,142,405 $7,118,031
Temporary Cash Investments at Value & Cost............. 31,845 --
Collateral Received from Securities on Loan at Value &
Cost................................................. 364 197
Affiliated Collateral Received from Securities on Loan
at Value & Cost...................................... 785,569 1,174,000
Foreign Currencies at Value............................ -- 24,978
Cash................................................... -- 18,001
Receivables:
Investment Securities Sold.......................... 23,112 19,106
Dividends, Interest and Tax Reclaims................ 9,932 39,352
Securities Lending Income........................... 604 2,958
Fund Shares Sold.................................... 1,481 2,585
Unrealized Gain on Foreign Currency Contracts.......... -- 25
Prepaid Expenses and Other Assets...................... 14 188
----------- ----------
Total Assets.................................... 10,995,326 8,399,421
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................... 785,933 1,174,197
Investment Securities Purchased..................... 41,572 27,304
Fund Shares Redeemed................................ 778 399
Due to Advisor...................................... 844 1,191
Unrealized Loss on Foreign Currency Contracts.......... -- 9
Accrued Expenses and Other Liabilities................. 504 412
----------- ----------
Total Liabilities............................... 829,631 1,203,512
----------- ----------
NET ASSETS............................................. $10,165,695 $7,195,909
=========== ==========
Investments at Cost.................................... $ 7,709,892 $6,703,555
----------- ----------
Foreign Currencies at Cost............................. $ -- $ 24,804
----------- ----------
See accompanying Notes to Financial Statements.
42
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE INTERNATIONAL
CAP VALUE VALUE
SERIES SERIES
--------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and
$9,473 respectively) ...................................... $103,969 $ 122,522
Interest..................................................... 12 1
Income from Securities Lending............................... 5,560 6,168
-------- ---------
Total Investment Income.................................. 109,541 128,691
-------- ---------
EXPENSES
Investment Advisory Services Fees............................ 4,868 6,964
Accounting & Transfer Agent Fees............................. 458 333
Custodian Fees............................................... 50 628
Shareholders' Reports........................................ 24 18
Directors'/Trustees' Fees & Expenses......................... 38 28
Professional Fees............................................ 189 84
Other........................................................ 56 53
-------- ---------
Total Expenses........................................... 5,683 8,108
-------- ---------
Fees Paid Indirectly......................................... -- (10)
-------- ---------
Net Expenses................................................. 5,683 8,098
-------- ---------
NET INVESTMENT INCOME (LOSS)................................. 103,858 120,593
-------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold............................... 223,634 99,828
Foreign Currency Transactions............................ -- (798)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 667,097 (142,403)
Translation of Foreign Currency Denominated Amounts...... -- 843
-------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... 890,731 (42,530)
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.................................................... $994,589 $ 78,063
======== =========
See accompanying Notes to Financial Statements.
43
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL VALUE
SERIES SERIES
------------------------ --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 103,858 $ 168,852 $ 120,593 $ 254,173
Net Realized Gain (Loss) on:....................................
Investment Securities Sold.................................. 223,634 387,017 99,828 161,341
Futures..................................................... -- (12,646) -- --
Foreign Currency Transactions............................... -- -- (798) 506
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 667,097 (74,679) (142,403) (1,021,735)
Translation of Foreign Currency Denominated Amounts......... -- -- 843 (517)
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 994,589 468,544 78,063 (606,232)
----------- ----------- ---------- -----------
Transactions in Interest:
Contributions................................................... 251,235 1,230,772 362,469 900,473
Withdrawals..................................................... (415,236) (1,180,609) (200,530) (257,967)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Transactions in
Interest............................................... (164,001) 50,163 161,939 642,506
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................. 830,588 518,707 240,002 36,274
NET ASSETS
Beginning of Period............................................. 9,335,107 8,816,400 6,955,907 6,919,633
----------- ----------- ---------- -----------
End of Period................................................... $10,165,695 $ 9,335,107 $7,195,909 $ 6,955,907
=========== =========== ========== ===========
See accompanying Notes to Financial Statements.
44
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES +
--------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ----------- ----------
(UNAUDITED)
Total Return.................. 10.72%(C) 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% 18.16%
Net Assets, End of Period
(thousands)................. $10,165,695 $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%(B) 0.12% 0.12% 0.13% 0.11%(B) 0.11% 0.12%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly)............ 0.12%(B) 0.12% 0.12% 0.13% 0.11%(B) 0.11% 0.12%
Ratio of Net Investment
Income to Average Net Assets 2.15%(B) 1.79% 2.02% 2.42% 1.97%(B) 1.44% 1.68%
Portfolio Turnover Rate....... 6%(C) 14% 28% 29% 19%(C) 9% 13%
THE DFA INTERNATIONAL VALUE SERIES +
-------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return.................. 1.08%(C) (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% 35.73%
Net Assets, End of Period
(thousands)................. $ 7,195,909 $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%(B) 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%(B) 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23%
Ratio of Net Investment
Income to Average Net Assets 3.48%(B) 3.47% 2.55% 3.22% 4.15%(B) 3.04% 3.29%
Portfolio Turnover Rate....... 8%(C) 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.
45
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational investment portfolios, of which The U.S.
Large Cap Value Series and The DFA International Value Series (the "Series")
are presented in this section of the report.
Effective December 31, 2008, The U.S. Large Cap Value Series and on
November 1, 2008, The DFA International Value Series, respectively, each a
master fund in a RIC/RIC master-feeder structure, elected with the consent of
their respective Holder(s) to change their U.S. federal income tax
classification from that of an association taxable as a corporation to a
partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in
capital structure and retroactive reclassification of the statement of changes
in net assets and financial highlights for the respective funds is a result of
the treatment of a partnership for book purposes. Each Series/Portfolio will
maintain its books and records and present its financial statements in
accordance with generally accepted accounting principles for investment
partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-ended investment companies,
futures contracts)
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
- Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over the counter securities) are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. 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.
46
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. Fair value pricing may also be used if events
that have a significant effect on the value of an investment (as determined in
the discretion of the Investment Committee of the Advisor) occur before the net
asset value is calculated. When fair value pricing is used, the prices of
securities used by the Series may differ from the quoted or published prices
for the same securities on their primary markets or exchanges.
The DFA International Value Series (the "International Series") will also
fair value price in the circumstances described below. Generally, trading in
foreign securities markets is completed each day at various times prior to the
close of the NYSE. For example, trading in the Japanese securities markets is
completed each day at the close of the Tokyo Stock Exchange (normally 11:00
p.m. PT), which is fourteen hours prior to the close of the NYSE (normally 1:00
p.m. PT) and the time that the net asset value of the International Series is
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Series prices its
shares at the close of the NYSE, the International Series will fair value its
foreign investments when it is determined that the market quotations for the
foreign investments are either unreliable or not readily available. The fair
value prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Series' foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Directors/Trustees of the International Series has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the International Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. 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 previously in the Security
Valuation note. Valuation hierarchy tables have been included at the end of the
Summary Schedule of Portfolio Holdings. The inputs or methodology used for
valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
The Series did not have any significant transfers between Level 1 and Level
2 during the six months ended April 30, 2012.
2. Foreign Currency Translation: Securities and other assets and liabilities
of The DFA International Value Series whose values are initially expressed in
foreign currencies, are translated to U.S. dollars using the mean between the
most recently quoted bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates, and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The DFA International Value Series does not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on The DFA International Value
Series books and the U.S. dollar equivalent amounts actually received or paid.
47
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 April 30, 2012, 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 DFA International Value Series may be subject to taxes imposed by
countries in which it invests, with respect to its investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The DFA International Value Series accrues such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales of foreign investors. In addition, if
there is a deterioration in a country's balance of payments or for other
reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended April 30,
2012, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.10% and 0.20% of average
daily net assets for The U.S. Large Cap Value Series and The DFA International
Value Series, respectively.
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 the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2012, expenses reduced were as follows (amount in
thousands):
48
FEES PAID
INDIRECTLY
----------
The DFA International Value Series................ $10
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Funds; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2012, the total
related amounts paid by the Trust to the CCO were $41 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, 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................... $252
The DFA International Value Series................ 195
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, the Series made the following
purchases and sales of investment securities, other than short-term investments
and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- --------
The U.S. Large Cap Value Series............................. $569,377 $633,876
The DFA International Value Series.......................... 814,499 542,286
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2012, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
The U.S. Large Cap Value Series......... $8,527,971 $2,786,176 $(353,964) $2,432,212
The DFA International Value Series...... 7,879,341 1,169,037 (756,150) 412,887
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional 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 benefits will significantly change in the next twelve months.
Each of the Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
49
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 Market Risks: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States of America, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States of
America. Consequently, acquisition and disposition of international securities
by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
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
50
contract, the Series deposits cash or pledges U.S. Government securities to a
broker, equal to the minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by the Series as unrealized gains or losses until the contracts
are closed. When the contracts are closed, the Series records a realized gain
or loss, which is presented in the Statements of Operations as a net realized
gain or loss on futures, equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities 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.
At April 30, 2012, the Series had no outstanding 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 July 6,
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. There were no borrowings by
the Series under this line of credit during the six months ended April 30, 2012.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013.
For the six months ended April 30, 2012, borrowings under this line of
credit by the Series were as follows (amounts in thousands, except percentages
and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The U.S. Large Cap Value Series................... 0.86% $14,147 27 $9 $58,537
The DFA International Value Series................ 0.82% 15,357 4 1 15,549
* Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2012 that each Series' available
line of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2012.
I. SECURITIES LENDING:
As of April 30, 2012, some of the Series had securities on loan to
brokers/dealers, for which each such Series received cash collateral. Each
Series with securities on loan invests the cash collateral, as described below,
and
51
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 with securities on
loan 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. Such Series also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Series with securities on loan will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In 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 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
52
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 have been consolidated into a single
Multidistrict Litigation action in federal court for pretrial proceedings. 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.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
53
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use
in voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (512) 306-7400. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dimensional.com and reflects the twelve-month period
beginning July 1st and ending June 30th.
54
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 16, 2011 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. and the Board of Trustees of The
DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment advisory/management agreements for each
portfolio or series (collectively, the "Funds") and the sub-advisory agreements
for The DFA International Value Series. For The DFA International Value Series,
Dimensional Fund Advisors Ltd. and DFA Australia Limited each serve as a
sub-advisor. (The investment advisory/management agreements and the
sub-advisory agreements are referred to as the "Advisory Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability
55
of the Advisor, and the compensation that it received for providing services to
each Fund, including administrative fees paid by the feeder portfolios. The
Board considered the profitability to the Advisor of managing the Funds and
other "non-1940 Act registered" investment vehicles. Upon closely examining the
Advisor's profitability, the Board concluded, among other things, that it was
reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
56
[RECYCLED RECYCLABLE LOGO] DFA043012-003S
[DIMENSIONAL LOGO]
SEMI-ANNUAL REPORT
--------------------------------------------
six months ended: April 30, 2012 (Unaudited)
DIMENSIONAL INVESTMENT GROUP INC.
Global Equity Portfolio
Global Allocation 60/40 Portfolio
Global Allocation 25/75 Portfolio
[DIMENSIONAL LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2012
Dear Fellow Shareholder,
At Dimensional, we believe the market force works for investors. This belief
has been at the core of our investment philosophy for more than 30 years.
Consistency is an important part of what makes Dimensional different. As we
continue expanding to pursue business opportunities globally, having a
consistent philosophy helps us stay focused on the things that have been key to
Dimensional's success. Most important is our goal to always act in the best
interests of our clients, and thereby earning and maintaining trust by striving
to do what we say we are going to do. It is Dimensional's goal to deliver an
opportunity for all our clients to have a good lifetime investment experience.
Sincerely,
-s- David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes............................ 1
Disclosure of Fund Expenses........................................... 2
Disclosure of Portfolio Holdings...................................... 4
Schedules of Investments
Global Equity Portfolio............................................ 5
Global Allocation 60/40 Portfolio.................................. 6
Global Allocation 25/75 Portfolio.................................. 8
Statements of Assets and Liabilities.................................. 10
Statements of Operations.............................................. 11
Statements of Changes in Net Assets................................... 12
Financial Highlights.................................................. 13
Notes to Financial Statements......................................... 17
Voting Proxies on Fund Portfolio Securities........................... 27
Board Approval of Investment Advisory Agreements...................... 28
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Footnotes
+ See Note B to Financial Statements.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Annualized.
(C) Non-Annualized.
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
N/A Does not apply to this fund.
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
EXPENSE TABLES SIX MONTHS ENDED APRIL 30, 2012
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
GLOBAL EQUITY PORTFOLIO**
-------------------------
Actual Fund Return
Class R2 Shares............ $1,000.00 $1,090.77 0.60% $3.12
Institutional Class Shares. $1,000.00 $1,091.28 0.32% $1.66
Hypothetical 5% Annual Return
Class R2 Shares............ $1,000.00 $1,021.88 0.60% $3.02
Institutional Class Shares. $1,000.00 $1,023.27 0.32% $1.61
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
GLOBAL ALLOCATION 60/40 PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................. $1,000.00 $1,059.95 0.57% $2.92
Institutional Class Shares....... $1,000.00 $1,061.62 0.30% $1.54
Hypothetical 5% Annual Return
Class R2 Shares.................. $1,000.00 $1,022.03 0.57% $2.87
Institutional Class Shares....... $1,000.00 $1,023.37 0.30% $1.51
GLOBAL ALLOCATION 25/75 PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................. $1,000.00 $1,032.79 0.62% $3.13
Institutional Class Shares....... $1,000.00 $1,034.02 0.27% $1.37
Hypothetical 5% Annual Return
Class R2 Shares.................. $1,000.00 $1,021.78 0.62% $3.12
Institutional Class Shares....... $1,000.00 $1,023.52 0.27% $1.36
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (182), then
divided by the number of days in the year (366) to reflect the six-month
period.
** The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Master Funds (Affiliated Investment
Companies).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2012. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Global Equity Portfolio................. 100.0%
Global Allocation 60/40 Portfolio....... 100.0%
Global Allocation 25/75 Portfolio....... 100.0%
4
GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (98.8%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc........................... 81,224,303 $ 958,446,775
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc........................... 58,139,655 593,024,481
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc........................... 26,571,635 318,859,620
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc........................... 9,139,125 177,299,025
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc........................... 1,203,912 31,626,768
Investment in The Canadian Small Company Series
The DFA Investment Trust Company.............................. 1,023
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $ 1,738,474,218).................................. 2,079,257,692
--------------
TEMPORARY CASH INVESTMENTS -- (12%)
BlackRock Liquidity Funds TempCash
Portfolio--Institutional Shares (Cost $ 24,223,338)........... 24,223,338 24,223,338
--------------
TOTAL INVESTMENTS--(100.0%) (Cost $1,762,697,556)......... $2,103,481,030
==============
Summary of the Global Fund's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------- -------- --------------
Affiliated Investment Companies.... $2,079,257,692 -- -- $2,079,257,692
Temporary Cash Investments......... 24,223,338 -- -- 24,223,338
-------------- ------ -------- --------------
TOTAL.............................. $2,103,481,030 -- -- $2,103,481,030
============== ====== ======== ==============
See accompanying Notes to Financial Statements.
5
GLOBAL ALLOCATION 60/40 PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.7%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................................... 31,075,967 $ 366,696,411
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................................... 21,783,440 222,191,088
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc.................................... 19,366,664 199,476,639
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc.................................... 12,234,648 133,112,970
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.................................... 10,146,166 121,753,992
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................................... 3,486,073 67,629,816
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc.................................... 3,000,880 37,871,106
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc.................................... 6,231,863 66,618,615
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc.................................... 5,990,673 66,556,377
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc.................................... 456,881 12,002,264
Investment in World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc.................................... 3,262,526 33,343,016
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES--(99.7%)
(Cost $ 1,202,963,158)........................................... 1,327,252,294
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash
Portfolio--Institutional Shares (Cost $ 4,037,670)..................... 4,037,670 4,037,670
--------------
TOTAL INVESTMENTS--(100.0%) (Cost $1,207,000,828).................. $1,331,289,964
==============
See accompanying Notes to Financial Statements.
6
SCHEDULE OF INVESTMENTS
CONTINUED
Summary of the Global Fund's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------- ------- --------------
Affiliated Investment Companies... $1,327,252,294 -- -- $1,327,252,294
Temporary Cash Investments........ 4,037,670 -- -- 4,037,670
-------------- ------ ------ --------------
TOTAL............................. $1,331,289,964 -- -- $1,331,289,964
============== ====== ====== ==============
See accompanying Notes to Financial Statements.
7
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc........................... 10,714,209 $108,534,937
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc........................... 10,006,181 108,867,249
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc........................... 3,176,193 40,083,556
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc........................... 3,526,596 41,613,833
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc........................... 2,533,765 25,844,403
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc........................... 1,157,461 13,889,532
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc........................... 392,414 7,612,832
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc........................... 57,699 1,515,753
Investment in World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc........................... 1,423,184 14,544,940
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $334,174,104)..................................... 362,507,035
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
BlackRock Liquidity Funds TempCash
Portfolio--Institutional Shares (Cost $535)................... 535 535
------------
TOTAL INVESTMENTS--(100.0%) (Cost $334,174,639)........... $362,507,570
============
See accompanying Notes to Financial Statements.
8
SCHEDULE OF INVESTMENTS
CONTINUED
Summary of the Global Fund's investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ ------- ------- ------------
Affiliated Investment Companies... $362,507,035 -- -- $362,507,035
Temporary Cash Investments........ 535 -- -- 535
------------ ------ ------ ------------
TOTAL............................. $362,507,570 -- -- $362,507,570
============ ====== ====== ============
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
GLOBAL GLOBAL
GLOBAL ALLOCATION ALLOCATION
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------
ASSETS:
Investments in Affiliated Investment Companies at Value............................ $ 2,079,258 $ 1,327,252 $ 362,507
Temporary Cash Investments at Value & Cost......................................... 24,223 4,038 1
Receivables:
Affiliated Investment Companies................................................. -- -- 908
Fund Shares Sold................................................................ 1,325 1,401 168
Prepaid Expenses and Other Assets.................................................. 45 41 26
------------ ------------ ------------
Total Assets................................................................ 2,104,851 1,332,732 363,610
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies................................................. 23,627 2,463 --
Fund Shares Redeemed............................................................ 2,656 5,742 1,616
Due to Advisor.................................................................. 5 21 9
Loan Payable.................................................................... -- -- 759
Accrued Expenses and Other Liabilities............................................. 71 57 11
------------ ------------ ------------
Total Liabilities........................................................... 26,359 8,283 2,395
------------ ------------ ------------
NET ASSETS......................................................................... $ 2,078,492 $ 1,324,449 $ 361,215
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares--based on net assets of $3,827; $9,922; and $2,200, and shares
outstanding of 278,989; 748,361; and 182,486, respectively.................... $ 13.72 $ 13.26 $ 12.06
============ ============ ============
NUMBER OF SHARES AUTHORIZED........................................................ 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares--based on net assets of
$2,074,665; $1,314,527; and $359,015, and shares outstanding of 152,424,968;
99,642,748; and 29,915,195, respectively...................................... $ 13.61 $ 13.19 $ 12.00
============ ============ ============
NUMBER OF SHARES AUTHORIZED........................................................ 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost............................. $ 1,738,474 $ 1,202,963 $ 334,174
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................... $ 1,938,816 $ 1,232,832 $ 337,921
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income).......................................................................... (76) 348 129
Accumulated Net Realized Gain (Loss)............................................... (201,032) (33,020) (5,168)
Net Unrealized Appreciation (Depreciation)......................................... 340,784 124,289 28,333
------------ ------------ ------------
NET ASSETS......................................................................... $ 2,078,492 $ 1,324,449 $ 361,215
============ ============ ============
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
GLOBAL GLOBAL
GLOBAL ALLOCATION ALLOCATION
EQUITY 60/40 25/75
PORTFOLIO* PORTFOLIO PORTFOLIO
---------- ---------- ----------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment Companies:
Income Distributions......................................................... $ 15,539 $14,978 $ 3,099
-------- ------- -------
Total Investment Income Received from Affiliated Investment
Companies............................................................. 15,539 14,978 3,099
-------- ------- -------
FUND INVESTMENT INCOME
Interest....................................................................... 1 1 --
-------- ------- -------
FUND EXPENSES
Administrative Services Fees................................................... 2,880 1,533 322
Accounting & Transfer Agent Fees............................................... 18 14 9
Shareholder Servicing Fees--Class R2 Shares.................................... 5 7 1
Filing Fees.................................................................... 89 47 22
Shareholders' Reports.......................................................... 13 26 3
Directors'/Trustees' Fees & Expenses........................................... 7 4 1
Professional Fees.............................................................. 28 18 7
Other.......................................................................... 6 3 1
-------- ------- -------
Total Expenses.......................................................... 3,046 1,652 366
-------- ------- -------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)................................................. (2,870) (1,419) (271)
-------- ------- -------
NET EXPENSES................................................................. 176 233 95
-------- ------- -------
NET INVESTMENT INCOME (LOSS)................................................... 15,364 14,746 3,004
-------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Companies....... -- 2,141 902
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold.................................... (5,019) 1,183 163
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares......................................... 158,877 55,988 7,066
-------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................ 153,858 59,312 8,131
-------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................... $169,222 $74,058 $11,135
======== ======= =======
--------
* Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
GLOBAL GLOBAL ALLOCATION GLOBAL ALLOCATION
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ---------------------- --------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- ---------- ----------- ---------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 15,364 $ 34,644 $ 14,746 $ 21,861 $ 3,004 $ 4,895
Capital Gain Distributions Received from
Affiliated Investment Companies...................... -- -- 2,141 1,880 902 800
Net Realized Gain (Loss) on:..........................
Investment Securities Sold/Affiliated
Investment Companies Shares Sold................ (5,019) (10,561) 1,183 (2,964) 163 150
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities/Affiliated Investment
Companies Shares................................ 158,877 (6,913) 55,988 7,552 7,066 1,922
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 169,222 17,170 74,058 28,329 11,135 7,767
---------- ---------- ---------- ---------- -------- --------
Distributions From:
Net Investment Income:
Class R2 Shares.................................... (30) (67) (42) (70) (4) (6)
Institutional Class Shares......................... (15,517) (34,611) (14,758) (21,791) (3,051) (4,874)
---------- ---------- ---------- ---------- -------- --------
Total Distributions From Net
Investment Income............................ (15,547) (34,678) (14,800) (21,861) (3,055) (4,880)
---------- ---------- ---------- ---------- -------- --------
Net Realized Gains:
Class R2 Shares....................................... -- -- (1) (3) -- (1)
Institutional Class Shares............................ -- -- (405) (765) (202) (481)
---------- ---------- ---------- ---------- -------- --------
Total Distributions From Net Realized Gains........ -- -- (406) (768) (202) (482)
---------- ---------- ---------- ---------- -------- --------
Total Distributions to Shareholders................... (15,547) (34,678) (15,206) (22,629) (3,257) (5,362)
---------- ---------- ---------- ---------- -------- --------
Capital Share Transactions:
Shares Issued......................................... 288,610 549,171 244,795 387,443 84,330 113,143
Shares Issued in Lieu of Cash Distributions........... 15,051 33,542 14,357 21,369 3,199 5,267
Shares Redeemed....................................... (196,434) (379,562) (126,853) (217,828) (34,813) (52,853)
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions................................ 107,227 203,151 132,299 190,984 52,716 65,557
---------- ---------- ---------- ---------- -------- --------
Total Increase (Decrease) in Net Assets............ 260,902 185,643 191,151 196,684 60,594 67,962
NET ASSETS
Beginning of Period................................... 1,817,590 1,631,947 1,133,298 936,614 300,621 232,659
---------- ---------- ---------- ---------- -------- --------
End of Period......................................... $2,078,492 $1,817,590 $1,324,449 $1,133,298 $361,215 $300,621
========== ========== ========== ========== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)...... $ (76) $ 107 $ 348 $ 402 $ 129 $ 180
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R2 SHARES
GLOBAL EQUITY PORTFOLIO
---------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period.......... $12.67 $12.71 $10.82 $ 9.17 $ 15.49 $ 14.76 $ 12.90
------ ------ ------ ------ ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income(A)................... 0.10 0.22 0.15 0.17 0.24 0.22 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized)................. 1.04 (0.04) 1.91 1.64 (6.06) 0.86 2.29
------ ------ ------ ------ ------- ------- -------
Total from Investment Operations......... 1.14 0.18 2.06 1.81 (5.82) 1.08 2.48
------ ------ ------ ------ ------- ------- -------
Less Distributions
------------------
Net Investment Income...................... (0.09) (0.22) (0.17) (0.16) (0.18) (0.18) (0.18)
Net Realized Gains......................... -- -- -- -- (0.32) (0.17) (0.44)
------ ------ ------ ------ ------- ------- -------
Total Distributions...................... (0.09) (0.22) (0.17) (0.16) (0.50) (0.35) (0.62)
------ ------ ------ ------ ------- ------- -------
Net Asset Value, End of Period................ $13.72 $12.67 $12.71 $10.82 $ 9.17 $ 15.49 $ 14.76
====== ====== ====== ====== ======= ======= =======
Total Return.................................. 9.08%(C) 1.34% 19.21% 20.06% (38.72)%(C) 7.42% 20.04%
------ ------ ------ ------ ------- ------- -------
Net Assets, End of Period (thousands)......... $3,827 $4,294 $3,483 $6,782 $ 6,819 $27,904 $32,717
Ratio of Expenses to Average Net Assets (D)... 0.60%(B) 0.60% 0.59% 0.62% 0.60%(B) 0.58% 0.62%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) (D)............................. 0.90%(B) 0.90% 0.89% 0.91% 0.87%(B) 0.84% 0.85%
Ratio of Net Investment Income to Average
Net Assets................................... 1.53%(B) 1.61% 1.32% 1.83% 1.99%(B) 1.38% 1.38%
GLOBAL ALLOCATION 60/40 PORTFOLIO
---------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period.......... $12.66 $12.51 $11.13 $ 9.55 $ 13.16 $12.65 $11.58
------ ------ ------ ------ ------- ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income(A)................... 0.10 0.23 0.17 0.14 0.30 0.22 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized)................. 0.64 0.16 1.37 1.60 (3.60) 0.60 1.40
------ ------ ------ ------ ------- ------ ------
Total from Investment Operations......... 0.74 0.39 1.54 1.74 (3.30) 0.82 1.51
------ ------ ------ ------ ------- ------ ------
Less Distributions
------------------
Net Investment Income...................... (0.14) (0.23) (0.16) (0.12) (0.18) (0.22) (0.18)
Net Realized Gains......................... -- (0.01) -- (0.04) (0.13) (0.09) (0.26)
------ ------ ------ ------ ------- ------ ------
Total Distributions...................... (0.14) (0.24) (0.16) (0.16) (0.31) (0.31) (0.44)
------ ------ ------ ------ ------- ------ ------
Net Asset Value, End of Period................ $13.26 $12.66 $12.51 $11.13 $ 9.55 $13.16 $12.65
====== ====== ====== ====== ======= ====== ======
Total Return.................................. 6.00%(C) 3.13% 14.01% 18.46% (25.63)%(C) 6.50% 13.49%
------ ------ ------ ------ ------- ------ ------
Net Assets, End of Period (thousands)......... $9,922 $3,353 $3,748 $5,187 $ 5,081 $7,631 $7,379
Ratio of Expenses to Average Net Assets (D)... 0.57%(B) 0.58% 0.58% 0.60% 0.59%(B) 0.57% 0.65%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) (D)............................. 0.80%(B) 0.81% 0.81% 0.83% 0.80%(B) 0.76% 0.77%
Ratio of Net Investment Income to Average
Net Assets................................... 1.50%(B) 1.76% 1.44% 1.42% 2.78%(B) 1.67% 0.89%
See page 1 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R2 SHARES
GLOBAL ALLOCATION 25/75 PORTFOLIO
---------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period................. $11.78 $11.65 $10.95 $10.04 $11.42 $11.11 $10.62
------ ------ ------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income(A).......................... 0.05 0.16 0.22 0.15 0.30 0.19 0.03
Net Gains (Losses) on Securities
(Realized and Unrealized)........................ 0.33 0.15 0.72 1.06 (1.39) 0.41 0.77
------ ------ ------ ------ ------ ------ ------
Total from Investment Operations............... 0.38 0.31 0.94 1.21 (1.09) 0.60 0.80
------ ------ ------ ------ ------ ------ ------
Less Distributions
------------------
Net Investment Income............................. (0.09) (0.16) (0.24) (0.14) (0.21) (0.20) (0.20)
Net Realized Gains................................ (0.01) (0.02) -- (0.16) (0.08) (0.09) (0.11)
------ ------ ------ ------ ------ ------ ------
Total Distributions............................ (0.10) (0.18) (0.24) (0.30) (0.29) (0.29) (0.31)
------ ------ ------ ------ ------ ------ ------
Net Asset Value, End of Period....................... $12.06 $11.78 $11.65 $10.95 $10.04 $11.42 $11.11
====== ====== ====== ====== ====== ====== ======
Total Return......................................... 3.28%(C) 2.71% 8.70% 12.19% (9.72)%(C) 5.47% 7.75%
------ ------ ------ ------ ------ ------ ------
Net Assets, End of Period (thousands)................ $2,200 $ 408 $ 418 $1,701 $1,342 $1,564 $2,701
Ratio of Expenses to Average Net Assets (D).......... 0.62%(B) 0.77% 0.63% 0.62% 0.62%(B) 0.62% 0.62%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or
Recovery of Previously Waived Fees) (D)............ 0.79%(B) 0.94% 0.78% 0.77% 0.78%(B) 0.71% 0.74%
Ratio of Net Investment Income to Average Net Assets. 0.76%(B) 1.35% 1.93% 1.49% 3.00%(B) 1.66% 0.28%
See page 1 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
GLOBAL EQUITY PORTFOLIO
-------------------------------------------------------------------------------------
SIX PERIOD
MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- -------- ---------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. $ 12.58 $ 12.62 $ 10.74 $ 9.14 $ 15.48 $ 14.78 $ 12.92
---------- ---------- ---------- ---------- -------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income(A).......... 0.10 0.25 0.17 0.20 0.27 0.27 0.23
Net Gains (Losses) on
Securities (Realized and
Unrealized)...................... 1.04 (0.04) 1.91 1.61 (6.02) 0.85 2.28
---------- ---------- ---------- ---------- -------- ---------- --------
Total from Investment
Operations.................... 1.14 0.21 2.08 1.81 (5.75) 1.12 2.51
---------- ---------- ---------- ---------- -------- ---------- --------
Less Distributions
------------------
Net Investment Income............. (0.11) (0.25) (0.20) (0.21) (0.27) (0.25) (0.21)
Net Realized Gains................ -- -- -- -- (0.32) (0.17) (0.44)
---------- ---------- ---------- ---------- -------- ---------- --------
Total Distributions............. (0.11) (0.25) (0.20) (0.21) (0.59) (0.42) (0.65)
---------- ---------- ---------- ---------- -------- ---------- --------
Net Asset Value, End of Period....... $ 13.61 $ 12.58 $ 12.62 $ 10.74 $ 9.14 $ 15.48 $ 14.78
========== ========== ========== ========== ======== ========== ========
Total Return......................... 9.13%(C) 1.62% 19.58% 20.30% (38.50)%(C) 7.67% 20.33%
---------- ---------- ---------- ---------- -------- ---------- --------
Net Assets, End of
Period (thousands).................. $2,074,665 $1,813,296 $1,628,464 $1,279,862 $978,901 $1,218,439 $847,574
Ratio of Expenses to Average
Net Assets (D)...................... 0.32%(B) 0.33% 0.33% 0.35% 0.34%(B) 0.33% 0.37%
Ratio of Expenses to Average
Net Assets (Excluding Waivers
and Assumption of Expenses
and/or Recovery of Previously
Waived Fees) (D).................... 0.62%(B) 0.63% 0.63% 0.64% 0.61%(B) 0.59% 0.60%
Ratio of Net Investment Income
to Average Net Assets............... 1.61%(B) 1.90% 1.50% 2.17% 2.26%(B) 1.70% 1.72%
GLOBAL ALLOCATION 60/40 PORTFOLIO
-------------------------------------------------------------------------------
SIX PERIOD
MONTHS YEAR YEAR YEAR DEC 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. $ 12.59 $ 12.45 $ 11.08 $ 9.53 $ 13.17 $ 12.67 $ 11.60
---------- ---------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income(A).......... 0.15 0.26 0.19 0.18 0.27 0.25 0.19
Net Gains (Losses) on
Securities (Realized and
Unrealized)...................... 0.61 0.16 1.37 1.59 (3.54) 0.60 1.35
---------- ---------- -------- -------- -------- -------- --------
Total from Investment
Operations.................... 0.76 0.42 1.56 1.77 (3.27) 0.85 1.54
---------- ---------- -------- -------- -------- -------- --------
Less Distributions
------------------
Net Investment Income............. (0.16) (0.27) (0.19) (0.18) (0.24) (0.26) (0.21)
Net Realized Gains................ -- (0.01) -- (0.04) (0.13) (0.09) (0.26)
---------- ---------- -------- -------- -------- -------- --------
Total Distributions............. (0.16) (0.28) (0.19) (0.22) (0.37) (0.35) (0.47)
---------- ---------- -------- -------- -------- -------- --------
Net Asset Value, End of Period....... $ 13.19 $ 12.59 $ 12.45 $ 11.08 $ 9.53 $ 13.17 $ 12.67
========== ========== ======== ======== ======== ======== ========
Total Return......................... 6.16%(C) 3.34% 14.27% 18.95% (25.47)%(C) 6.79% 13.78%
---------- ---------- -------- -------- -------- -------- --------
Net Assets, End of
Period (thousands).................. $1,314,527 $1,129,945 $932,866 $730,400 $587,524 $761,093 $538,369
Ratio of Expenses to Average
Net Assets (D)...................... 0.30%(B) 0.31% 0.31% 0.33% 0.32%(B) 0.31% 0.35%
Ratio of Expenses to Average
Net Assets (Excluding Waivers
and Assumption of Expenses
and/or Recovery of Previously
Waived Fees) (D).................... 0.53%(B) 0.54% 0.54% 0.56% 0.53%(B) 0.51% 0.52%
Ratio of Net Investment Income
to Average Net Assets............... 2.42%(B) 2.03% 1.64% 1.82% 2.44%(B) 1.90% 1.56%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
GLOBAL ALLOCATION 25/75 PORTFOLIO
---------------------------------------------------------------------------
SIX PERIOD
MONTHS YEAR YEAR YEAR DEC 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT 31, OCT 31, OCT 31, OCT 31, NOV 30, NOV 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- -------- -------- -------
(UNAUDITED)
Net Asset Value, Beginning of Period............ $ 11.73 $ 11.60 $ 10.90 $ 10.01 $ 11.46 $ 11.15 $ 10.65
-------- -------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income(A)..................... 0.11 0.21 0.24 0.18 0.31 0.24 0.22
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.29 0.16 0.74 1.06 (1.37) 0.40 0.60
-------- -------- -------- -------- -------- -------- -------
Total from Investment Operations......... 0.40 0.37 0.98 1.24 (1.06) 0.64 0.82
-------- -------- -------- -------- -------- -------- -------
Less Distributions
------------------
Net Investment Income........................ (0.12) (0.22) (0.28) (0.19) (0.31) (0.24) (0.21)
Net Realized Gains........................... (0.01) (0.02) -- (0.16) (0.08) (0.09) (0.11)
-------- -------- -------- -------- -------- -------- -------
Total Distributions...................... (0.13) (0.24) (0.28) (0.35) (0.39) (0.33) (0.32)
-------- -------- -------- -------- -------- -------- -------
Net Asset Value, End of Period.................. $ 12.00 $ 11.73 $ 11.60 $ 10.90 $ 10.01 $ 11.46 $ 11.15
======== ======== ======== ======== ======== ======== =======
Total Return.................................... 3.40%(C) 3.23% 9.17% 12.67% (9.55)%(C) 5.85% 7.97%
-------- -------- -------- -------- -------- -------- -------
Net Assets, End of Period (thousands)........... $359,015 $300,213 $232,241 $160,605 $126,169 $136,039 $97,194
Ratio of Expenses to Average Net Assets(D)...... 0.27%(B) 0.28% 0.29% 0.31% 0.30%(B) 0.31% 0.37%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously Waived
Fees)(D)...................................... 0.44%(B) 0.45% 0.46% 0.46% 0.46%(B) 0.46% 0.49%
Ratio of Net Investment Income to Average Net
Assets........................................ 1.88%(B) 1.83% 2.19% 1.81% 3.03%(B) 2.15% 1.59%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios,
of which Global Equity Portfolio, Global Allocation 60/40 Portfolio and Global
Allocation 25/75 Portfolio (each a "Global Fund" and collectively, the "Global
Funds") are presented in this report. The remaining portfolios are presented in
separate reports.
The Global Funds achieve their investment objectives by primarily investing
in other portfolios within DFA Investment Dimensions Group Inc. ("IDG") and The
DFA Investment Trust Company ("ITC") (collectively, the "Master Funds").
GLOBAL FUNDS (PERCENTAGE OF OWNERSHIP AT APRIL 30, 2012)
------------------------------------------------------------
GLOBAL EQUITY GLOBAL ALLOCATION 60/40 GLOBAL ALLOCATION 25/75
MASTER FUNDS PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- ----------------------- -----------------------
U.S. Core Equity 1 Portfolio (IDG) 7% 3% --
U.S. Core Equity 2 Portfolio (IDG) 14% 6% 1%
DFA Real Estate Securities Portfolio (IDG) 1% -- --
International Core Equity Portfolio (IDG) 10% 4% --
Emerging Markets Core Equity Portfolio (IDG) 2% 1% --
DFA Two-Year Global Fixed Income Portfolio (IDG) N/A N/A 2%
DFA Selectively Hedged Global Fixed Income Portfolio (IDG) N/A 25% N/A
DFA Five-Year Global Fixed Income Portfolio (IDG) N/A 1% N/A
DFA Inflation-Protected Securities Portfolio (IDG) N/A 2% 2%
DFA Short-Term Extended Quality Portfolio (IDG) N/A 8% 7%
DFA Intermediate-Term Extended Quality Portfolio (IDG) N/A 11% N/A
The Canadian Small Company Series (ITC) -- N/A N/A
World ex U.S. Government Fixed Income Portfolio (IDG) N/A 40% 17%
N/A - Global Fund does not have any ownership in Master Fund.
Amounts designated as -- are less than 1%
Effective February 28, 2012, Global 60/40 Portfolio and Global 25/75
Portfolio changed their names to Global Allocation 60/40 Portfolio and Global
Allocation 25/75 Portfolio, respectively.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Global Funds from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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.
17
1. Security Valuation: The Global Funds utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels as described below:
- Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-ended investment companies,
futures contracts)
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
- Level 3 - significant unobservable inputs (including the Global Funds' own
assumptions in determining the fair value of investments)
Master Fund shares held by the Global Funds are valued at their respective
daily net asset values, as these Master Funds are treated as regulated
investment companies. The Global Funds' investments in partnerships reflect
proportionate interest in the net assets of their corresponding partnerships.
These securities are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Global Funds' net assets by each
major security type is disclosed previously in the Security Valuation note.
Valuation hierarchy tables have been included at the end of the Schedule of
Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
The Global Funds did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2012.
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 April 30, 2012, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of affiliated
investment company shares are on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received from the investment in affiliated investment companies
that represent a return of capital or capital gain are recorded as a reduction
of cost of investments or as a realized gain, respectively. The Global Funds
estimate the character of distributions received that may be considered return
of capital distributions. Interest income is recorded on the accrual basis.
Expenses directly attributable to a Global Fund are directly charged. Common
expenses of the Fund are allocated using methods approved by the Board of
Directors/Trustees, generally based on average net assets.
18
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds. The Advisor also provides
administrative services to the Global Funds, including supervision of services
provided by others, providing information to shareholders and the Board of
Directors/Trustees, and other administrative services. For the six months ended
April 30, 2012, the Global Equity Portfolio, Global Allocation 60/40 Portfolio
and Global Allocation 25/75 Portfolio's administrative services fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.30%, 0.25%, 0.20%, respectively, of average daily net assets. The Global
Funds do not pay separate management fees to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement, in order to limit
the total administration and management fees received by the Advisor, the
Advisor has contractually agreed to waive its administration fee each Global
Fund pays to the extent necessary to limit the proportionate share of the total
combined administration fees paid by a class of each of the Global Funds and
management fees paid by each Global Fund's Master Funds to the Advisor to the
rates listed below. The maximum amount waived under this waiver is the full
amount of a Global Fund's administration fee to the Advisor. The Fee Waiver and
Expense Assumption Agreement will remain in effect through February 28, 2013,
and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. For the six months ended April 30, 2012,
the Global Funds had the following combined administration fee limits based on
a percentage of average net assets on an annualized basis.
ADMINISTRATION
FEE LIMITS
--------------
Global Equity Portfolio................. 0.27%
Global Allocation 60/40 Portfolio....... 0.25%
Global Allocation 25/75 Portfolio....... 0.22%
Prior to March 1, 2010, the Advisor had also contractually agreed to assume
the direct operating expenses of the Institutional Class Shares of each Global
Fund (excluding administrative services fees paid to the Advisor), to the
extent necessary to limit the total expense ratios (including the expenses that
the Institutional Class Shares of each such Global Fund bears as a shareholder
of the Master Funds, but excluding expenses from investment in other investment
companies) of the Institutional Class Shares. For the period ended February 28,
2010, the Institutional Class Shares had the following expense limits based on
a percentage of average net assets on an annualized basis.
EXPENSE
LIMITS
-------
Global Equity Portfolio................. 0.44%
Global Allocation 60/40 Portfolio....... 0.41%
Global Allocation 25/75 Portfolio....... 0.37%
Prior to March 1, 2010, the Advisor had contractually agreed to assume the
direct operating expenses of the Class R2 Shares of each Global Fund (excluding
administrative services fees paid to the Advisor) to the extent necessary to
limit the total expense ratios (including the expenses that the Class R2 Shares
of each such Global Fund bears as a shareholder of the Master Funds and
including Shareholder Servicing Fees, but excluding expenses from investment in
other investment companies) of the Class R2 Shares. For the period ended
February 28, 2010, the Class R2 Shares had the following expense limits based
on a percentage of average net assets on an annualized basis.
EXPENSE
LIMITS
-------
Global Equity Portfolio................. 0.69%
Global Allocation 60/40 Portfolio....... 0.66%
Global Allocation 25/75 Portfolio....... 0.62%
19
At any time that the rate of the fees and annualized expenses of a class of
a Global Fund are less than the rates listed above for the Global Fund on an
annualized basis, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery will
not cause the Global Fund's Institutional Class and Class R2 Shares' fees or
expenses to exceed the fee or expense limitations listed above. Previously
waived fees subject to future recovery by the Advisor over periods not
exceeding April 30, 2014 are reflected below (amounts in thousands). The Fund,
on behalf of the Global Funds, 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 recovery.
PREVIOUSLY
WAIVED
FEES/EXPENSES
ASSUMED
SUBJECT TO
FUTURE
RECOVERY
-------------
Global Equity Portfolio
Class R2 Shares................................ $ 47
Institutional Class Shares..................... 14,378
Global Allocation 60/40 Portfolio
Class R2 Shares................................ 34
Institutional Class Shares..................... 6,615
Global Allocation 25/75 Portfolio
Class R2 Shares................................ 5
Institutional Class Shares..................... 1,148
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2012, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by each of the Global Funds are included in Other Expenses
on the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
Global Equity Portfolio................. $42
Global Allocation 60/40 Portfolio....... 25
Global Allocation 25/75 Portfolio....... 6
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, the Global Funds made the following
purchases and sales of Affiliated Investment Companies (amounts in thousands):
20
GLOBAL EQUITY PORTFOLIO
-----------------------------------------------------------------------
BALANCE AT BALANCE AT DISTRIBUTIONS OF
10/31/2011 04/30/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS
AFFILIATED INVESTMENT COMPANIES ---------- ---------- --------- ------ --------------- ----------------
U.S. Core Equity 2 Portfolio...................... $815,381 $958,447 $54,350 $5,926 $6,081 $--
International Core Equity Portfolio............... 536,442 593,024 47,327 8,848 5,658 --
U.S. Core Equity 1 Portfolio...................... 270,777 318,860 23,413 6,991 2,362 --
Emerging Markets Core Equity
Portfolio....................................... 165,127 177,299 14,101 7,657 1,085 --
DFA Real Estate Securities Portfolio.............. 28,729 31,627 353 1,181 353 --
The Canadian Small Company Series................. 1 1 -- -- -- --
GLOBAL ALLOCATION 60/40 PORTFOLIO
------------------------------------------------------------------------
BALANCE AT BALANCE AT DISTRIBUTIONS OF
10/31/2011 04/30/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS
AFFILIATED INVESTMENT COMPANIES ---------- ---------- --------- ------- --------------- ----------------
U.S. Core Equity 2 Portfolio...................... $305,103 $366,696 $24,975 $ 910 $2,359 --
International Core Equity Portfolio............... 201,742 222,191 13,213 -- 2,178 --
DFA Selectively Hedged Global Fixed
Income Portfolio................................ 169,912 199,477 36,519 1,516 5,693 $ 215
DFA Short-Term Extended Quality
Portfolio....................................... 114,037 133,113 20,990 2,206 1,247 223
U.S. Core Equity 1 Portfolio...................... 100,126 121,754 13,422 4,122 913 --
Emerging Markets Core Equity
Portfolio....................................... 62,251 67,630 4,086 1,030 422 --
DFA Inflation-Protected Securities
Portfolio....................................... 56,508 37,871 8,496 27,907 543 622
DFA Intermediate-Term Extended
Quality Portfolio............................... 56,431 66,619 9,338 501 892 --
DFA Five-Year Global Fixed Income
Portfolio....................................... 56,077 66,556 11,447 -- 604 1,081
DFA Real Estate Securities Portfolio.............. 10,179 12,002 460 -- 127 --
World ex U.S. Government Fixed
Income Portfolio................................ -- 33,343 33,278 318 -- --
GLOBAL ALLOCATION 25/75 PORTFOLIO
------------------------------------------------------------------------
BALANCE AT BALANCE AT DISTRIBUTIONS OF
10/31/2011 04/30/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS
AFFILIATED INVESTMENT COMPANIES ---------- ---------- --------- ------- --------------- ----------------
DFA Two-Year Global Fixed Income
Portfolio...................................... $88,920 $108,535 $20,974 $ 509 $1,036 $232
DFA Short-Term Extended Quality
Portfolio....................................... 89,084 108,867 20,543 1,006 978 177
DFA Inflation-Protected Securities
Portfolio....................................... 44,138 40,084 6,743 11,602 431 493
U.S. Core Equity 2 Portfolio...................... 34,485 41,614 4,742 1,746 251 --
International Core Equity Portfolio............... 23,345 25,844 3,116 1,491 240 --
U.S. Core Equity 1 Portfolio...................... 10,840 13,890 2,837 1,198 101 --
Emerging Markets Core Equity
Portfolio....................................... 7,088 7,613 524 258 47 --
DFA Real Estate Securities Portfolio.............. 1,194 1,516 153 -- 15 --
World ex U.S. Government Fixed
Income Portfolio................................ -- 14,545 14,358 -- -- --
21
F. FEDERAL INCOME TAXES:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized 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 the utilization
of accumulated earnings and profits distributed to shareholders on redemptions
of shares as part of the dividends paid deduction for income tax purposes, were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED INCREASE ACCUMULATED
NET INVESTMENT (DECREASE) NET REALIZED
INCOME PAID-IN CAPITAL GAINS (LOSSES)
-------------- --------------- --------------
Global Equity Portfolio........................... -- -- --
Global Allocation 25/75 Portfolio................. $(30) $29 $ 1
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
-------------- ------------- -------
Global Equity Portfolio
2010........................................... $24,481 -- $24,481
2011........................................... 34,678 -- 34,678
Global Allocation 60/40 Portfolio
2010........................................... 13,616 -- 13,616
2011........................................... 22,629 -- 22,629
Global Allocation 25/75 Portfolio
2010........................................... 4,809 -- 4,809
2011........................................... 5,391 -- 5,391
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 Global Allocation 25/75 Portfolio............. $29 -- $29
22
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)
-------------- ------------- ------------ -------------
Global Equity Portfolio................. $144 -- $(88,610) $(88,466)
Global Allocation 60/40 Portfolio....... 423 -- (26,115) (25,692)
Global Allocation 25/75 Portfolio....... 185 -- (2,620) (2,435)
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 had capital loss carryforward available
to offset future realized capital gains through the indicated expiration dates
(amounts in thousands):
EXPIRES ON OCTOBER 31,
---------------------------
2016 2017 2018 2019 TOTAL
------ ------- ------- ---- -------
Global Equity Portfolio........................... $2,732 $74,314 $10,998 $566 $88,610
Global Allocation 60/40 Portfolio................. -- 25,132 983 -- 26,115
Global Allocation 25/75 Portfolio................. -- 2,522 98 -- 2,620
During the year ended October 31, 2011, Global Allocation 60/40 and Global
Allocation 25/75 utilized capital loss carryforwards to offset realized capital
gains for federal income tax purposes in the amount of $1,182 and $694,
respectively (amounts in thousands).
At April 30, 2012, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
Global Equity Portfolio................. $1,874,092 $340,783 $(111,394) $229,389
Global Allocation 60/40 Portfolio....... 1,217,052 124,289 (10,051) 114,238
Global Allocation 25/75 Portfolio....... 337,730 29,211 (4,433) 24,778
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is attributable to the tax deferral of losses on wash sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Global
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in any Global Portfolios' financial statements. No
Global Portfolio is aware of any tax positions for which it is more likely than
not that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months. Each of the Global Portfolio's federal tax
returns for the prior three fiscal years remains subject to examination by the
Internal Revenue Service.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
23
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, 2012 OCT. 31, 2011
------------------ ------------------
AMOUNT SHARES AMOUNT SHARES
--------- ------- --------- -------
GLOBAL EQUITY PORTFOLIO
Class R2 Shares
Shares Issued.................................. $ 1,962 145 $ 1,176 89
Shares Issued in Lieu of Cash Distributions.... 30 2 67 5
Shares Redeemed................................ (2,758) (207) (379) (29)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares........ $ (766) (60) $ 864 65
========= ======= ========= =======
Institutional Class Shares
Shares Issued.................................. $ 286,648 22,090 $ 547,995 41,185
Shares Issued in Lieu of Cash Distributions.... 15,021 1,229 33,475 2,544
Shares Redeemed................................ (193,676) (15,065) (379,183) (28,602)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class
Shares.......................................... $ 107,993 8,254 $ 202,287 15,127
========= ======= ========= =======
GLOBAL ALLOCATION 60/40 PORTFOLIO
Class R2 Shares
Shares Issued.................................. $ 8,408 637 $ 758 58
Shares Issued in Lieu of Cash Distributions.... 43 3 73 6
Shares Redeemed................................ (2,048) (157) (1,236) (99)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares........ $ 6,403 483 $ (405) (35)
========= ======= ========= =======
Institutional Class Shares
Shares Issued.................................. $ 236,387 18,518 $ 386,685 29,942
Shares Issued in Lieu of Cash Distributions.... 14,314 1,176 21,296 1,674
Shares Redeemed................................ (124,805) (9,773) (216,592) (16,828)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class
Shares.......................................... $ 125,896 9,921 $ 191,389 14,788
========= ======= ========= =======
GLOBAL ALLOCATION 25/75 PORTFOLIO
Class R2 Shares
Shares Issued.................................. $ 1,791 150 $ 52 4
Shares Issued in Lieu of Cash Distributions.... 4 -- 6 1
Shares Redeemed................................ (24) (2) (73) (6)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares........ $ 1,771 148 $ (15) (1)
========= ======= ========= =======
Institutional Class Shares
Shares Issued.................................. $ 82,539 6,975 $ 113,091 9,639
Shares Issued in Lieu of Cash Distributions.... 3,195 276 5,261 451
Shares Redeemed................................ (34,789) (2,940) (52,780) (4,501)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class
Shares.......................................... $ 50,945 4,311 $ 65,572 5,589
========= ======= ========= =======
H. 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
24
to its investment limitations, up to a maximum of $250 million, as long as
total borrowings under the line of credit do not exceed $250 million in the
aggregate. Borrowings under the line of credit are charged interest at the
rates agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly, liable for its particular advances under the
line of credit. There is no commitment fee on the unused portion of the line of
credit. The agreement for the discretionary line of credit may be terminated by
either party at any time. The line of credit is scheduled to expire on July 6,
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 Global Funds under this line of credit during the six months ended
April 30, 2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013.
For the six months ended April 30, 2012, borrowings by the Global Funds
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
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio.............. 0.83% $925 30 $ 1 $2,714
Global Allocation 60/40 Portfolio.... 0.85% 765 14 -- 1,212
Global Allocation 25/75 Portfolio.... 0.87% 228 24 -- 759
* Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2012 that each Global Fund's
available line of credit was utilized.
At April 30, 2012, Global Allocation 25/75 Portfolio had a loan outstanding
in the amount of $759 (in thousands).
I. SHAREHOLDER SERVICING FEES:
The Class R2 Shares pay a shareholder servicing fee in the amount of 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the Global Funds' Class R2 Shares.
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In 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
25
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 April 30, 2012, the following number of shareholders held the following
approximate percentages of outstanding shares of the Global Funds. One or more
of the shareholders may be omnibus accounts, which typically hold shares for
the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
Global Equity Portfolio -- Class R2 Shares............................ 2 89%
Global Equity Portfolio -- Institutional Class Shares................. 3 82%
Global Allocation 60/40 Portfolio -- Class R2 Shares.................. 2 100%
Global Allocation 60/40 Portfolio -- Institutional Class Shares....... 3 72%
Global Allocation 25/75 Portfolio -- Class R2 Shares.................. 2 98%
Global Allocation 25/75 Portfolio -- Institutional Class Shares....... 3 81%
The Global Funds are subject to claims and suits that arise from time to
time in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Global
Funds and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
26
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Master Funds use in
voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (512) 306-7400. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dimensional.com and reflects the twelve-month period
beginning July 1st and ending June 30th.
27
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 16, 2011 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. (the "Board") considered the
continuation of the investment advisory agreements for each portfolio
(collectively, the "Funds"). (The investment advisory agreements are referred
to as the "Advisory Agreements.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the fees paid to the Advisor in light of the services
provided to the Fund and any additional benefits received by the Advisor in
connection with providing such services, the Board noted that the Advisor did
not charge advisory fees to the Funds under the Advisory Agreements. The Board
reviewed the administrative fees charged by the Advisor to the Funds and
compared the expenses of each Fund to funds in its peer group as provided in
the Morningstar Reports. The Board concluded that the fees and total expenses
of each Fund over various periods were favorable in relation to those of its
peer funds and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
Funds. The Board considered the profitability to the Advisor of managing the
Funds and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
28
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. The Board concluded
that economies of scale and the reflection of such economies of scale in the
level of advisory fees charged were inapplicable to each Fund because the Funds
are not charged advisory fees.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
29
[RECYCLED RECYCLABLE LOGO] DFA043012-025S
[DIMENSIONAL LOGO]
SEMI-ANNUAL REPORT
--------------------------------------------
six months ended: April 30, 2012 (Unaudited)
DIMENSIONAL INVESTMENT GROUP INC.
U.S. Large Cap Value Portfolio II
DFA International Value Portfolio II
[DIMENSIONAL LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2012
Dear Fellow Shareholder,
At Dimensional, we believe the market force works for investors. This belief
has been at the core of our investment philosophy for more than 30 years.
Consistency is an important part of what makes Dimensional different. As we
continue expanding to pursue business opportunities globally, having a
consistent philosophy helps us stay focused on the things that have been key to
Dimensional's success. Most important is our goal to always act in the best
interests of our clients, and thereby earning and maintaining trust by striving
to do what we say we are going to do. It is Dimensional's goal to deliver an
opportunity for all our clients to have a good lifetime investment experience.
Sincerely,
-s- David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES...................................... 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses.................................................. 2
Disclosure of Portfolio Holdings............................................. 4
Schedules of Investments
U.S. Large Cap Value Portfolio II........................................ 5
DFA International Value Portfolio II..................................... 5
Statements of Assets and Liabilities......................................... 6
Statements of Operations..................................................... 7
Statements of Changes in Net Assets.......................................... 8
Financial Highlights......................................................... 9
Notes to Financial Statements................................................ 10
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses.................................................. 16
Disclosure of Portfolio Holdings............................................. 18
Schedules of Investments/Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series.......................................... 19
The DFA International Value Series....................................... 22
Statements of Assets and Liabilities......................................... 26
Statements of Operations..................................................... 27
Statements of Changes in Net Assets.......................................... 28
Financial Highlights......................................................... 29
Notes to Financial Statements................................................ 30
VOTING PROXIES ON FUND PORTFOLIO SECURITIES..................................... 38
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS................................ 39
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial
Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as
a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not represent more than 1.0% of the net assets of the Fund. Some of
the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2012.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP VALUE PORTFOLIO II
---------------------------------
Actual Fund Return...................... $1,000.00 $1,106.83 0.19% $1.00
Hypothetical 5% Annual Return........... $1,000.00 $1,023.92 0.19% $0.96
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO II
------------------------------------
Actual Fund Return................... $1,000.00 $1,012.03 0.31% $1.55
Hypothetical 5% Annual Return........ $1,000.00 $1,023.32 0.31% $1.56
--------
* 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 (182), then divided
by the number of days in the year (366) to reflect the six-month period. The
Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of
the Feeder Fund and the indirect payment of the Feeder Fund's portion of the
expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2012. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Master Funds' holdings which reflect the
investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
U.S. Large Cap Value Portfolio II..................................... 100.0%
DFA International Value Portfolio II.................................. 100.0%
4
SCHEDULES OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
U.S. LARGE CAP VALUE PORTFOLIO II
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company.................................... $114,873,529
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $84,004,178)............................................... $114,873,529
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
DFA INTERNATIONAL VALUE PORTFOLIO II
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company.................................... $101,841,960
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $93,793,706)............................................... $101,841,960
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. LARGE CAP DFA INTERNATIONAL
VALUE PORTFOLIO II VALUE PORTFOLIO II
------------------ ------------------
ASSETS:
Investments in Affiliated Investment Company at Value.......................... $ 114,873 $ 101,842
Receivables:
Affiliated Investment Company Sold.......................................... 181 72
Prepaid Expenses and Other Assets.............................................. 3 3
------------ ------------
Total Assets............................................................ 115,057 101,917
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed........................................................ 181 72
Due to Advisor.............................................................. 1 1
Accrued Expenses and Other Liabilities......................................... 17 19
------------ ------------
Total Liabilities....................................................... 199 92
------------ ------------
NET ASSETS..................................................................... $ 114,858 $ 101,825
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................ 11,433,078 19,450,093
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE....................... $ 10.05 $ 5.24
============ ============
Investment in Affiliated Investment Company at Cost............................ $ 84,004 $ 93,794
------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital................................................................ $ 118,178 $ 88,572
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)...................................................................... 306 942
Accumulated Net Realized Gain (Loss)........................................... (34,495) 4,245
Net Unrealized Foreign Exchange Gain (Loss).................................... -- 18
Net Unrealized Appreciation (Depreciation)..................................... 30,869 8,048
------------ ------------
NET ASSETS..................................................................... $ 114,858 $ 101,825
============ ============
(1) NUMBER OF SHARES AUTHORIZED................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP DFA INTERNATIONAL
VALUE PORTFOLIO II VALUE PORTFOLIO II
------------------ ------------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $140,
respectively).............................................. $ 1,201 $ 1,815
Income from Securities Lending............................... 64 91
Expenses Allocated from Affiliated Investment Company........ (65) (121)
------- -------
Total Investment Income.................................. 1,200 1,785
------- -------
EXPENSES
Administrative Services Fees................................. 6 5
Accounting & Transfer Agent Fees............................. 7 7
Filing Fees.................................................. 13 14
Shareholders' Reports........................................ 10 11
Audit Fees................................................... 1 1
Legal Fees................................................... 2 2
Other........................................................ 1 1
------- -------
Total Expenses........................................... 40 41
------- -------
NET INVESTMENT INCOME (LOSS)................................. 1,160 1,744
------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold................................. 2,911 4,276
Foreign Currency Transactions.............................. -- (11)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities...................................... 7,471 (4,978)
Translation of Foreign Currency Denominated Amounts........ -- 13
------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... 10,382 (700)
------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $11,542 $ 1,044
======= =======
--------
Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP VALUE DFA INTERNATIONAL VALUE
PORTFOLIO II PORTFOLIO II
-------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011
----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 1,160 $ 2,084 $ 1,744 $ 4,509
Net Realized Gain (Loss) on:
Investment Securities Sold....................... 2,911 5,096 4,276 5,339
Futures.......................................... -- (162) -- --
Foreign Currency Transactions.................... -- -- (11) 15
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities............................ 7,471 (309) (4,978) (19,188)
Translation of Foreign Currency Denominated
Amounts........................................ -- -- 13 (14)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 11,542 6,709 1,044 (9,339)
-------- -------- -------- --------
Distributions From:
Net Investment Income............................. (1,179) (2,077) (1,317) (4,446)
Net Short-Term Gains.............................. -- -- -- (450)
Net Long-Term Gains............................... -- -- (5,339) (7,161)
-------- -------- -------- --------
Total Distributions............................ (1,179) (2,077) (6,656) (12,057)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued..................................... 6,818 14,511 6,244 14,347
Shares Issued in Lieu of Cash Distributions....... 1,179 2,077 6,656 12,057
Shares Redeemed................................... (11,035) (26,288) (13,725) (32,811)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions................................. (3,038) (9,700) (825) (6,407)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets........ 7,325 (5,068) (6,437) (27,803)
NET ASSETS
Beginning of Period............................... 107,533 112,601 108,262 136,065
-------- -------- -------- --------
End of Period..................................... $114,858 $107,533 $101,825 $108,262
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 730 1,511 1,196 2,276
Shares Issued in Lieu of Cash Distributions....... 128 220 1,384 1,918
Shares Redeemed................................... (1,145) (2,747) (2,627) (5,244)
-------- -------- -------- --------
Net Increase (Decrease) from Shares
Issuedand Redeemed........................... (287) (1,016) (47) (1,050)
======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)........................................... $ 306 $ 325 $ 942 $ 515
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO II
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007 2006
----------- -------- -------- -------- ------------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................. $ 9.18 $ 8.84 $ 7.52 $ 13.48 $ 22.87 $ 23.80 $ 20.53
-------- -------- -------- -------- ------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A) .. 0.10 0.17 0.16 0.15 0.27 0.33 0.38
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.87 0.34 1.32 0.03 (8.10) (0.39) 3.29
-------- -------- -------- -------- ------- -------- --------
Total from Investment Operations.. 0.97 0.51 1.48 0.18 (7.83) (0.06) 3.67
-------- -------- -------- -------- ------- -------- --------
Less Distributions
------------------
Net Investment Income.............. (0.10) (0.17) (0.16) (0.25) (0.37) (0.34) (0.35)
Net Realized Gains................. -- -- -- (5.89) (1.19) (0.53) (0.05)
-------- -------- -------- -------- ------- -------- --------
Total Distributions............... (0.10) (0.17) (0.16) (6.14) (1.56) (0.87) (0.40)
-------- -------- -------- -------- ------- -------- --------
Net Asset Value, End of Period....... $ 10.05 $ 9.18 $ 8.84 $ 7.52 $ 13.48 $ 22.87 $ 23.80
======== ======== ======== ======== ======= ======== ========
Total Return......................... 10.68%(C) 5.69% 19.87% 11.79% (36.60)%(C) (0.34)% 18.16%
-------- -------- -------- -------- ------- -------- --------
Net Assets, End of Period
(thousands)........................ $114,858 $107,533 $112,601 $100,906 $94,769 $470,014 $492,916
Ratio of Expenses to Average Net
Assets (D)......................... 0.19%(B) 0.18% 0.18% 0.23% 0.16%(B) 0.14% 0.16%
Ratio of Net Investment Income to
Average Net Assets (D)............. 2.08%(B) 1.72% 1.95% 2.32% 1.44%(B) 1.36% 1.74%
DFA INTERNATIONAL VALUE PORTFOLIO II
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007 2006
----------- -------- -------- -------- ------------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................. $ 5.55 $ 6.62 $ 6.18 $ 11.58 $ 23.73 $ 21.13 $ 16.50
-------- -------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A) .. 0.09 0.22 0.15 0.17 0.54 0.70 0.65
Net Gains (Losses) on Securities
(Realized and Unrealized)......... (0.05) (0.70) 0.50 1.23 (11.35) 2.88 5.01
-------- -------- -------- -------- -------- -------- --------
Total from Investment Operations.. 0.04 (0.48) 0.65 1.40 (10.81) 3.58 5.66
-------- -------- -------- -------- -------- -------- --------
Less Distributions
------------------
Net Investment Income.............. (0.07) (0.22) (0.16) (0.21) (0.84) (0.64) (0.64)
Net Realized Gains................. (0.28) (0.37) (0.05) (6.59) (0.50) (0.34) (0.39)
-------- -------- -------- -------- -------- -------- --------
Total Distributions............... (0.35) (0.59) (0.21) (6.80) (1.34) (0.98) (1.03)
-------- -------- -------- -------- -------- -------- --------
Net Asset Value, End of Period....... $ 5.24 $ 5.55 $ 6.62 $ 6.18 $ 11.58 $ 23.73 $ 21.13
======== ======== ======== ======== ======== ======== ========
Total Return......................... 1.20%(C) (8.13)% 11.03% 35.34% (47.93)%(C) 17.29% 35.74%
-------- -------- -------- -------- -------- -------- --------
Net Assets, End of Period
(thousands)........................ $101,825 $108,262 $136,065 $143,898 $113,216 $762,763 $621,214
Ratio of Expenses to Average Net
Assets (D)......................... 0.31%(B) 0.29% 0.29% 0.33% 0.26%(B) 0.25% 0.27%
Ratio of Net Investment Income to
Average Net Assets (D)............. 3.37%(B) 3.42% 2.49% 3.10% 2.84%(B) 3.02% 3.41%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, of
which U.S. Large Cap Value Portfolio II and DFA International Value Portfolio
II (the "Portfolios") are presented in this report.
U.S. Large Cap Value Portfolio II and DFA International Value Portfolio II
primarily invest their assets in The U.S. Large Cap Value Series and The DFA
International Value Series (the "Series"), respectively, each a corresponding
series of The DFA Investment Trust Company. At April 30, 2012, U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II owned 1% and 1% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure, elected with the consent of its
respective Holder(s) to change its U.S. federal income tax classification from
that of an association taxable as a corporation to a partnership pursuant to
Treasury Regulation (S) 301.7701-3. The change in capital structure and
retroactive reclassification of the statement of changes in net assets and
financial highlights for the fund is a result of the treatment of a partnership
for book purposes. The Series/Portfolios will maintain its books and records
and present its financial statements in accordance with generally accepted
accounting principles for investment partnerships.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies, futures
contracts)
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
10
- Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolios' investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in the Security Valuation note. The inputs or methodology
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2012.
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 April 30, 2012, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Expenses directly attributable to the Portfolios are directly charged. Common
expenses of the Fund are allocated using methods approved by the Board of
Directors/Trustees, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolios, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Series. For the six months ended April 30,
2012, the Portfolios' administrative services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.01% of average
daily net assets of the Portfolios.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2012, the total
related amounts paid by the
11
Fund to the CCO were $15 (in thousands). The total related amounts paid by the
Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
U.S. Large Cap Value Portfolio II............................................... $ 3
DFA International Value Portfolio II............................................ 4
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2011, primarily attributable to net foreign
currency gains/losses, realized gains on securities considered to be "passive
foreign investment companies" and distribution redesignations, were classified
to the following accounts. The reclassifications had no effect on net assets or
net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAINS (LOSSES)
-------------- --------------
U.S. Large Cap Value Portfolio II................................ -- --
DFA International Value Portfolio II............................. $23 $(23)
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
-------------- ------------- -------
U.S. Large Cap Value Portfolio II
2010........................................................ $2,080 -- $ 2,080
2011........................................................ 2,077 -- 2,077
DFA International Value Portfolio II
2010........................................................ 4,672 -- 4,672
2011........................................................ 4,896 $7,161 12,057
12
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 LOSS)
-------------- ------------- ------------ -------------
U.S. Large Cap Value
Portfolio II.......... $329 $ -- $(37,402) $(37,073)
DFA International Value
Portfolio II.......... 557 5,324 -- 5,881
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 U.S. Large Cap Value Portfolio II had capital loss
carryforwards of $37,402 (in thousands) available to offset future realized
capital gains through October 31, 2017. As of October 31, 2011, the DFA
International Value Portfolio II had no capital loss carryforwards available to
offset future realized capital gains. During the year ended October 31, 2011,
U.S. Large Cap Value Portfolio II utilized capital loss carryforwards to offset
realized capital gains for federal income tax purposes in the amount of $4,938
(in thousands).
At April 30, 2012, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------- ------------ -------------- --------------
U.S. Large Cap Value
Portfolio II.......... $84,007 $36,118 $ (5,252) $30,866
DFA International Value
Portfolio II.......... 93,816 25,801 (17,775) 8,026
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be in a tax return. Management has analyzed the Portfolios' tax
position and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are 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 six months.
The Portfolios' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S)336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S)331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)334(a),
each of the Portfolios took a fair market value basis in the securities deemed
received by them and a new holding period for those securities commenced on the
deemed liquidation date. As a result of the transaction, The U.S. Large Cap
Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation
13
taxable as a regulated investment company to a partnership. As a result of this
election, the master fund is deemed to have distributed all of its assets and
liabilities, in a taxable transaction, to its shareholders in liquidation of
the master fund. Immediately thereafter, the shareholders contributed all of
the distributed assets and liabilities to a newly formed partnership. The final
tax year end of The DFA International Value Series was October 31, 2008. For
Federal income tax purposes, pursuant to Internal Revenue Code (S)336(a), the
master fund recognizes gain or loss as if the master's investment securities
were sold to its shareholders and, pursuant to IRC Code (S)331, each of the
Portfolios recognizes gain or loss as if it liquidated its investment in the
master. As a result of the transaction, The DFA International Value Series
recognized a ($2,309,440,866) and ($718,733) capital and currency loss
respectively for tax year ended October 31, 2008. For tax purposes, pursuant to
IRC Code (S)334(a), each of the Portfolios will take a fair market value basis
in the securities deemed received by them and a new holding period for those
securities commences on the deemed liquidation date.
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into 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 July 6,
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 Portfolios under this line of credit during the six months ended April 30,
2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2012.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of the
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. RECENTLY ISSUED ACCOUNTING STANDARDS:
In May 2011, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("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
14
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.
I. OTHER:
At April 30, 2012, two shareholders held 100% of the outstanding shares of
the Portfolios.
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of 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 have been consolidated into a single
Multidistrict Litigation action in federal court for pretrial proceedings. 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.
J. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
15
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
--------------------------------
Actual Fund Return.......................................... $1,000.00 $1,107.21 0.12% $0.63
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.27 0.12% $0.60
16
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
THE DFA INTERNATIONAL VALUE SERIES
-----------------------------------
Actual Fund Return.......................................... $1,000.00 $1,010.76 0.23% $1.15
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.72 0.23% $1.16
--------
* 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 (182), then divided
by the number of days in the year (366) to reflect the six-month period.
17
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31.The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2012. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
THE U.S. LARGE CAP VALUE SERIES
Consumer Discretionary.......................................................... 16.2%
Consumer Staples................................................................ 9.1%
Energy.......................................................................... 18.0%
Financials...................................................................... 18.5%
Health Care..................................................................... 9.6%
Industrials..................................................................... 14.5%
Information Technology.......................................................... 3.7%
Materials....................................................................... 3.0%
Telecommunication Services...................................................... 6.6%
Utilities....................................................................... 0.8%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary.......................................................... 12.3%
Consumer Staples................................................................ 5.4%
Energy.......................................................................... 14.3%
Financials...................................................................... 27.7%
Health Care..................................................................... 1.7%
Industrials..................................................................... 10.8%
Information Technology.......................................................... 2.8%
Materials....................................................................... 13.3%
Other........................................................................... --
Telecommunication Services...................................................... 8.3%
Utilities....................................................................... 3.4%
-----
100.0%
18
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
COMMON STOCKS -- (92.5%)
Consumer Discretionary -- (15.0%)
#Carnival Corp..................... 2,385,423 $ 77,502,393 0.8%
#CBS Corp. Class B................. 2,669,115 89,014,985 0.9%
#Comcast Corp. Class A............. 10,008,890 303,569,634 3.0%
Comcast Corp. Special Class A..... 3,843,964 114,665,446 1.1%
#*Liberty Interactive Corp. Class A. 3,316,465 62,482,201 0.6%
#News Corp. Class A................ 9,024,175 176,873,830 1.7%
#News Corp. Class B................ 3,247,295 64,426,333 0.6%
#Time Warner Cable, Inc............ 1,921,256 154,565,045 1.5%
Time Warner, Inc.................. 5,323,159 199,405,536 2.0%
Other Securities.................. 403,077,907 4.0%
-------------- ----
Total Consumer Discretionary......... 1,645,583,310 16.2%
-------------- ----
Consumer Staples -- (8.4%)
Archer-Daniels-Midland Co......... 3,155,848 97,294,794 1.0%
CVS Caremark Corp................. 6,431,368 286,967,640 2.8%
#Kraft Foods, Inc. Class A......... 7,128,852 284,227,329 2.8%
Other Securities.................. 255,898,110 2.5%
-------------- ----
Total Consumer Staples............... 924,387,873 9.1%
-------------- ----
Energy -- (16.7%)
Anadarko Petroleum Corp........... 2,574,876 188,506,672 1.9%
Apache Corp....................... 1,155,774 110,884,958 1.1%
#Chesapeake Energy Corp............ 3,267,150 60,246,246 0.6%
Chevron Corp...................... 1,669,494 177,901,281 1.8%
ConocoPhillips.................... 5,710,341 409,031,726 4.0%
Devon Energy Corp................. 1,088,705 76,046,044 0.8%
Hess Corp......................... 1,567,373 81,722,828 0.8%
Marathon Oil Corp................. 3,625,708 106,378,273 1.0%
Marathon Petroleum Corp........... 1,791,952 74,563,123 0.7%
National Oilwell Varco, Inc....... 1,627,065 123,266,444 1.2%
#Pioneer Natural Resources Co...... 517,832 59,975,302 0.6%
Valero Energy Corp................ 2,806,975 69,332,282 0.7%
Other Securities.................. 288,680,430 2.8%
-------------- ----
Total Energy......................... 1,826,535,609 18.0%
-------------- ----
Financials -- (17.1%)
Bank of America Corp.............. 24,999,052 202,742,312 2.0%
Capital One Financial Corp........ 1,092,331 60,602,524 0.6%
#Citigroup, Inc.................... 9,041,167 298,720,158 2.9%
#CME Group, Inc.................... 319,869 85,027,578 0.8%
JPMorgan Chase & Co............... 1,496,828 64,333,667 0.6%
#Loews Corp........................ 2,340,216 96,253,084 1.0%
#MetLife, Inc...................... 4,759,859 171,497,720 1.7%
Morgan Stanley.................... 3,765,813 65,073,249 0.7%
#Prudential Financial, Inc......... 2,340,342 141,684,305 1.4%
#SunTrust Banks, Inc............... 2,564,707 62,271,086 0.6%
Other Securities.................. 628,839,010 6.2%
-------------- ----
Total Financials..................... 1,877,044,693 18.5%
-------------- ----
Health Care -- (8.8%)
Aetna, Inc........................ 1,957,594 86,212,440 0.8%
Humana, Inc....................... 698,778 56,377,409 0.6%
Pfizer, Inc....................... 17,815,204 408,502,628 4.0%
Thermo Fisher Scientific, Inc..... 1,994,284 110,981,905 1.1%
WellPoint, Inc.................... 2,067,263 140,201,777 1.4%
19
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ --------------- ---------------
Health Care -- (Continued)
Other Securities................................... $ 165,236,290 1.6%
--------------- -----
Total Health Care..................................... 967,512,449 9.5%
--------------- -----
Industrials -- (13.4%)
CSX Corp........................................... 6,342,908 141,510,277 1.4%
General Electric Co................................ 21,867,055 428,156,937 4.2%
#Norfolk Southern Corp.............................. 2,045,548 149,181,816 1.5%
Northrop Grumman Corp.............................. 1,545,282 97,785,445 1.0%
Tyco International, Ltd............................ 1,433,965 80,488,455 0.8%
Union Pacific Corp................................. 2,422,164 272,348,120 2.7%
Other Securities................................... 300,389,113 2.9%
--------------- -----
Total Industrials..................................... 1,469,860,163 14.5%
--------------- -----
Information Technology -- (3.5%)
Other Securities................................... 378,920,592 3.7%
--------------- -----
Materials -- (2.7%)
#Alcoa, Inc......................................... 5,357,434 52,127,833 0.5%
International Paper Co............................. 2,299,481 76,595,712 0.7%
Other Securities................................... 171,903,835 1.7%
--------------- -----
Total Materials....................................... 300,627,380 2.9%
--------------- -----
Telecommunication Services -- (6.1%)
AT&T, Inc.......................................... 13,051,618 429,528,748 4.2%
#CenturyLink, Inc................................... 2,300,437 88,704,851 0.9%
#Verizon Communications, Inc........................ 1,811,751 73,158,505 0.7%
Other Securities................................... 78,059,153 0.8%
--------------- -----
Total Telecommunication Services...................... 669,451,257 6.6%
--------------- -----
Utilities -- (0.8%)
Other Securities................................... 82,481,799 0.8%
--------------- -----
TOTAL COMMON STOCKS................................... 10,142,405,125 99.8%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash Portfolio --
Institutional Shares............................. 31,844,654 31,844,654 0.3%
--------------- -----
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (7.2%)
(S)@ DFA Short Term Investment Fund................... 785,569,107 785,569,107 7.7%
@ Repurchase Agreement, JPMorgan Securities LLC
0.21%, 05/01/12 (Collateralized by $375,124 FNMA,
rates ranging from 2.000% to 6.331%(r), maturities
ranging from 01/01/19 to 09/01/45, valued at
$376,287) to be repurchased at $364,198............ $ 364 364,196 0.0%
--------------- -----
TOTAL SECURITIES LENDING COLLATERAL................... 785,933,303 7.7%
--------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,527,670,147)................................ $10,960,183,082 107.8%
=============== =====
20
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary............... $ 1,645,583,310 -- -- $ 1,645,583,310
Consumer Staples..................... 924,387,873 -- -- 924,387,873
Energy............................... 1,826,535,609 -- -- 1,826,535,609
Financials........................... 1,877,044,693 -- -- 1,877,044,693
Health Care.......................... 967,512,449 -- -- 967,512,449
Industrials.......................... 1,469,860,163 -- -- 1,469,860,163
Information Technology............... 378,920,592 -- -- 378,920,592
Materials............................ 300,627,380 -- -- 300,627,380
Telecommunication Services........... 669,451,257 -- -- 669,451,257
Utilities............................ 82,481,799 -- -- 82,481,799
Temporary Cash Investments.............. 31,844,654 -- -- 31,844,654
Securities Lending Collateral........... -- $785,933,303 -- 785,933,303
--------------- ------------ -- ---------------
TOTAL................................... $10,174,249,779 $785,933,303 -- $10,960,183,082
=============== ============ == ===============
See accompanying Notes to Financial Statements.
21
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (85.6%)
AUSTRALIA -- (4.2%)
National Australia Bank, Ltd................. 1,490,363 $ 38,957,024 0.5%
Wesfarmers, Ltd.............................. 2,578,622 80,973,411 1.1%
Other Securities............................. 226,937,336 3.2%
------------ ----
TOTAL AUSTRALIA................................. 346,867,771 4.8%
------------ ----
AUSTRIA -- (0.3%)
Other Securities............................. 21,553,007 0.3%
------------ ----
BELGIUM -- (0.8%)
Other Securities............................. 62,916,268 0.9%
------------ ----
CANADA -- (10.6%)
#Encana Corp.................................. 2,051,015 42,957,433 0.6%
#Goldcorp, Inc................................ 1,677,120 64,225,793 0.9%
#Manulife Financial Corp...................... 4,206,497 57,528,749 0.8%
#Sun Life Financial, Inc...................... 1,513,735 37,113,592 0.5%
Suncor Energy, Inc........................... 3,486,786 115,173,181 1.6%
#Teck Resources, Ltd. Class B................. 1,483,730 55,362,948 0.8%
#Thomson Reuters Corp......................... 1,832,184 54,751,300 0.7%
#TransCanada Corp............................. 1,575,808 69,326,938 1.0%
Other Securities............................. 383,877,001 5.3%
------------ ----
TOTAL CANADA.................................... 880,316,935 12.2%
------------ ----
DENMARK -- (1.2%)
Other Securities............................. 102,335,685 1.4%
------------ ----
FINLAND -- (0.5%)
Other Securities............................. 40,320,948 0.6%
------------ ----
FRANCE -- (7.7%)
#AXA SA....................................... 4,058,877 57,677,147 0.8%
BNP Paribas SA............................... 1,248,772 50,399,590 0.7%
Cie de Saint-Gobain SA....................... 1,039,077 43,626,019 0.6%
France Telecom SA............................ 3,803,372 52,136,748 0.7%
GDF Suez SA.................................. 2,974,295 68,480,750 1.0%
#Societe Generale SA.......................... 1,558,512 36,896,510 0.5%
#Vivendi SA................................... 3,567,218 65,981,070 0.9%
Other Securities.............................. 265,365,392 3.7%
------------ ----
TOTAL FRANCE.................................... 640,563,226 8.9%
------------ ----
GERMANY -- (7.0%)
Allianz SE................................... 330,017 36,810,454 0.5%
Bayerische Motoren Werke AG.................. 660,431 62,814,886 0.9%
Daimler AG................................... 2,088,586 115,564,409 1.6%
Deutsche Bank AG............................. 1,039,440 45,125,200 0.6%
#Deutsche Telekom AG Sponsored ADR............ 3,099,741 35,337,047 0.5%
#E.ON AG...................................... 2,894,296 65,531,861 0.9%
#Munchener Rueckversicherungs-Gesellschaft AG. 395,244 57,409,200 0.8%
Other Securities............................. 159,791,238 2.2%
------------ ----
TOTAL GERMANY................................... 578,384,295 8.0%
------------ ----
GREECE -- (0.1%)
Other Securities............................. 4,120,169 0.1%
------------ ----
HONG KONG -- (1.7%)
Hutchison Whampoa, Ltd....................... 5,618,000 53,856,729 0.7%
22
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
HONG KONG -- (Continued)
Other Securities................... $ 83,058,768 1.2%
-------------- ----
TOTAL HONG KONG....................... 136,915,497 1.9%
-------------- ----
IRELAND -- (0.2%)
Other Securities................... 17,279,741 0.2%
-------------- ----
ISRAEL -- (0.6%)
Other Securities................... 47,664,525 0.7%
-------------- ----
ITALY -- (1.2%)
Other Securities................... 102,282,841 1.4%
-------------- ----
JAPAN -- (17.4%)
Mitsubishi Corp.................... 2,411,300 52,257,599 0.7%
Mitsubishi Heavy Industries, Ltd... 9,007,000 40,846,959 0.6%
Mitsubishi UFJ Financial Group,
Inc.............................. 17,167,906 82,431,923 1.2%
Mitsui & Co., Ltd.................. 2,469,100 38,556,482 0.5%
Sumitomo Corp...................... 3,241,900 46,071,274 0.6%
#Toyota Motor Corp. Sponsored ADR... 673,198 55,054,132 0.8%
Other Securities................... 1,131,567,900 15.7%
-------------- ----
TOTAL JAPAN........................... 1,446,786,269 20.1%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities................... -- 0.0%
-------------- ----
NETHERLANDS -- (2.3%)
ArcelorMittal NV................... 2,446,831 42,506,116 0.6%
Koninklijke Philips Electronics NV. 1,939,039 38,587,673 0.5%
Other Securities................... 113,298,898 1.6%
-------------- ----
TOTAL NETHERLANDS..................... 194,392,687 2.7%
-------------- ----
NEW ZEALAND -- (0.1%)
Other Securities................... 5,484,801 0.1%
-------------- ----
NORWAY -- (1.0%)
Other Securities................... 86,545,255 1.2%
-------------- ----
PORTUGAL -- (0.1%)
Other Securities................... 8,206,069 0.1%
-------------- ----
SINGAPORE -- (1.0%)
Other Securities................... 79,091,216 1.1%
-------------- ----
SPAIN -- (1.4%)
Other Securities................... 114,294,255 1.6%
-------------- ----
SWEDEN -- (2.6%)
Nordea Bank AB..................... 5,275,564 46,690,917 0.6%
Other Securities................... 172,480,053 2.4%
-------------- ----
TOTAL SWEDEN.......................... 219,170,970 3.0%
-------------- ----
SWITZERLAND -- (4.5%)
Holcim, Ltd........................ 886,165 55,272,069 0.8%
*Swiss Re, Ltd...................... 1,108,107 69,581,447 1.0%
*UBS AG............................. 3,280,643 40,969,298 0.6%
Zurich Insurance Group AG.......... 225,125 55,156,285 0.7%
Other Securities................... 153,704,777 2.1%
-------------- ----
TOTAL SWITZERLAND..................... 374,683,876 5.2%
-------------- ----
23
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
-------------- -------------- ---------------
UNITED KINGDOM -- (19.1%)
Aviva P.L.C.......................................... 8,175,916 $ 40,920,432 0.6%
Barclays P.L.C....................................... 11,591,752 41,038,889 0.6%
Barclays P.L.C. Sponsored ADR........................ 4,327,157 61,618,716 0.9%
BP P.L.C. Sponsored ADR.............................. 4,848,222 210,461,317 2.9%
International Power P.L.C............................ 6,455,198 43,665,942 0.6%
Kingfisher P.L.C..................................... 10,285,817 48,507,558 0.7%
*Lloyds Banking Group P.L.C........................... 76,981,994 38,640,671 0.5%
Royal Dutch Shell P.L.C. ADR......................... 3,323,210 243,790,686 3.4%
Vodafone Group P.L.C................................. 34,976,333 96,813,260 1.3%
Vodafone Group P.L.C. Sponsored ADR.................. 8,190,343 227,937,246 3.2%
William Morrison Supermarkets P.L.C.................. 8,127,143 37,017,257 0.5%
Xstrata P.L.C........................................ 5,211,952 100,098,296 1.4%
Other Securities..................................... 396,933,279 5.5%
-------------- -----
TOTAL UNITED KINGDOM.................................... 1,587,443,549 22.1%
-------------- -----
TOTAL COMMON STOCKS..................................... 7,097,619,855 98.6%
-------------- -----
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities..................................... 20,410,954 0.3%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities..................................... 2 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
-------------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (14.2%)
(S)@ DFA Short Term Investment Fund..................... 1,174,000,000 1,174,000,000 16.3%
@ Repurchase Agreement, Deutsche Bank Securities,
Inc. 0.21%, 05/01/12 (Collateralized by FHLMC
2.765%(r), 07/01/36 & FNMA 2.230%(r),
08/01/38, valued at $200,496) to berepurchased at
$196,566........................................... $ 197 196,565 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL..................... 1,174,196,565 16.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,877,751,800)................................. $8,292,227,376 115.2%
============== =====
24
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Australia.................. $ 4,983,494 $ 341,884,277 -- $ 346,867,771
Austria.................... -- 21,553,007 -- 21,553,007
Belgium.................... 2,576,759 60,339,509 -- 62,916,268
Canada..................... 880,316,935 -- -- 880,316,935
Denmark.................... -- 102,335,685 -- 102,335,685
Finland.................... 1,505,997 38,814,951 -- 40,320,948
France..................... 25,911,691 614,651,535 -- 640,563,226
Germany.................... 84,691,422 493,692,873 -- 578,384,295
Greece..................... -- 4,120,169 -- 4,120,169
Hong Kong.................. -- 136,915,497 -- 136,915,497
Ireland.................... 5,283,523 11,996,218 -- 17,279,741
Israel..................... 6,184,967 41,479,558 -- 47,664,525
Italy...................... 21,219,340 81,063,501 -- 102,282,841
Japan...................... 115,375,138 1,331,411,131 -- 1,446,786,269
Malaysia................... -- -- -- --
Netherlands................ 11,737,570 182,655,117 -- 194,392,687
New Zealand................ -- 5,484,801 -- 5,484,801
Norway..................... 289,916 86,255,339 -- 86,545,255
Portugal................... -- 8,206,069 -- 8,206,069
Singapore.................. -- 79,091,216 -- 79,091,216
Spain...................... 8,765,062 105,529,193 -- 114,294,255
Sweden..................... 9,516,859 209,654,111 -- 219,170,970
Switzerland................ 46,723,453 327,960,423 -- 374,683,876
United Kingdom............. 807,957,592 779,485,957 -- 1,587,443,549
Preferred Stocks
Germany.................... -- 20,410,954 -- 20,410,954
Rights/Warrants
Spain...................... -- 2 -- 2
Securities Lending Collateral. -- 1,174,196,565 -- 1,174,196,565
-------------- -------------- -- --------------
TOTAL......................... $2,033,039,718 $6,259,187,658 -- $8,292,227,376
============== ============== == ==============
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP VALUE INTERNATIONAL VALUE
SERIES SERIES
--------------- -------------------
ASSETS:
Investments at Value (including $767,016 and $1,116,551 of
securities on loan, respectively)........................... $10,142,405 $7,118,031
Temporary Cash Investments at Value & Cost.................... 31,845 --
Collateral Received from Securities on Loan at Value & Cost .. 364 197
Affiliated Collateral Received from Securities on Loan at
Value & Cost................................................ 785,569 1,174,000
Foreign Currencies at Value................................... -- 24,978
Cash.......................................................... -- 18,001
Receivables:
Investment Securities Sold................................... 23,112 19,106
Dividends, Interest and Tax Reclaims......................... 9,932 39,352
Securities Lending Income.................................... 604 2,958
Fund Shares Sold............................................. 1,481 2,585
Unrealized Gain on Foreign Currency Contracts................. -- 25
Prepaid Expenses and Other Assets............................. 14 188
----------- ----------
Total Assets............................................... 10,995,326 8,399,421
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................. 785,933 1,174,197
Investment Securities Purchased.............................. 41,572 27,304
Fund Shares Redeemed......................................... 778 399
Due to Advisor............................................... 844 1,191
Unrealized Loss on Foreign Currency Contracts................. -- 9
Accrued Expenses and Other Liabilities........................ 504 412
----------- ----------
Total Liabilities.......................................... 829,631 1,203,512
----------- ----------
NET ASSETS.................................................... $10,165,695 $7,195,909
=========== ==========
Investments at Cost........................................... $ 7,709,892 $6,703,555
----------- ----------
Foreign Currencies at Cost.................................... $ -- $ 24,804
----------- ----------
See accompanying Notes to Financial Statements.
26
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP INTERNATIONAL
VALUE SERIES VALUE SERIES
------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and
$9,473, respectively)................................ $103,969 $ 122,522
Interest............................................... 12 1
Income from Securities Lending......................... 5,560 6,168
-------- ---------
Total Investment Income............................ 109,541 128,691
-------- ---------
EXPENSES
Investment Advisory Services Fees...................... 4,868 6,964
Accounting & Transfer Agent Fees....................... 458 333
Custodian Fees......................................... 50 628
Shareholders' Reports.................................. 24 18
Directors'/Trustees' Fees & Expenses................... 38 28
Professional Fees...................................... 189 84
Other.................................................. 56 53
-------- ---------
Total Expenses..................................... 5,683 8,108
-------- ---------
Fees Paid Indirectly................................... -- (10)
-------- ---------
Net Expenses........................................... 5,683 8,098
-------- ---------
NET INVESTMENT INCOME (LOSS)........................... 103,858 120,593
-------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:...........................
Investment Securities Sold........................... 223,634 99,828
Foreign Currency Transactions........................ -- (798)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... 667,097 (142,403)
Translation of Foreign Currency Denominated Amounts.. -- 843
-------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)................ 890,731 (42,530)
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................ $994,589 $ 78,063
======== =========
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP VALUE INTERNATIONAL VALUE
SERIES SERIES
------------------------ -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................ $ 103,858 $ 168,852 $ 120,593 $ 254,173
Net Realized Gain (Loss) on:
Investment Securities Sold................................ 223,634 387,017 99,828 161,341
Futures................................................... -- (12,646) -- --
Foreign Currency Transactions............................. -- -- (798) 506
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 667,097 (74,679) (142,403) (1,021,735)
Translation of Foreign Currency Denominated
Amounts................................................. -- -- 843 (517)
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................ 994,589 468,544 78,063 (606,232)
----------- ----------- ---------- -----------
Transactions in Interest:
Contributions............................................... 251,235 1,230,772 362,469 900,473
Withdrawals................................................. (415,236) (1,180,609) (200,530) (257,967)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Transactions in
Interest.............................................. (164,001) 50,163 161,939 642,506
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets................. 830,588 518,707 240,002 36,274
NET ASSETS
Beginning of Period......................................... 9,335,107 8,816,400 6,955,907 6,919,633
----------- ----------- ---------- -----------
End of Period............................................... $10,165,695 $ 9,335,107 $7,195,909 $ 6,955,907
=========== =========== ========== ===========
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES+
--------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ----------- ----------
(UNAUDITED)
Total Return...................... 10.72%(C) 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% 18.16%
----------- ---------- ---------- ---------- ---------- ----------- ----------
Net Assets, End of Period
(thousands)..................... $10,165,695 $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%(B) 0.12% 0.12% 0.13% 0.11%(B) 0.11% 0.12%
Ratio of Net Investment Income to
Average Net Assets.............. 2.15%(B) 1.79% 2.02% 2.42% 1.97%(B) 1.44% 1.68%
Portfolio Turnover Rate........... 6%(C) 14% 28% 29% 19%(C) 9% 13%
THE DFA INTERNATIONAL VALUE SERIES+
------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return...................... 1.08%(C) (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% 35.73%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $7,195,909 $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%(B) 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%(B) 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23%
Ratio of Net Investment Income to
Average Net Assets.............. 3.48%(B) 3.47% 2.55% 3.22% 4.15%(B) 3.04% 3.29%
Portfolio Turnover Rate........... 8%(C) 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.
29
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational investment portfolios, of which two, The
U.S. Large Cap Value Series and The DFA International Value Series (the
"Series") are presented in this report.
Effective December 31, 2008, The U.S. Large Cap Value Series and on
November 1, 2008, The DFA International Value Series, respectively, each a
master fund in a RIC/RIC master-feeder structure, elected with the consent of
their respective Holder(s) to change their U.S. federal income tax
classification from that of an association taxable as a corporation to a
partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in
capital structure and retroactive reclassification of the statement of changes
in net assets and financial highlights for the respective funds is a result of
the treatment of a partnership for book purposes. Each Series/Portfolio will
maintain its books and records and present its financial statements in
accordance with generally accepted accounting principles for investment
partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investments, futures
contracts)
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
- Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. 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.
30
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. Fair value pricing may also be used if events
that have a significant effect on the value of an investment (as determined in
the discretion of the Investment Committee of the Advisor) occur before the net
asset value is calculated. When fair value pricing is used, the prices of
securities used by the Series may differ from the quoted or published prices
for the same securities on their primary markets or exchanges.
The DFA International Value Series (the "International Series") will also
fair value price in the circumstances described below. Generally, trading in
foreign securities markets is completed each day at various times prior to the
close of the NYSE. For example, trading in the Japanese securities markets is
completed each day at the close of the Tokyo Stock Exchange (normally 11:00
p.m. PT), which is fourteen hours prior to the close of the NYSE (normally 1:00
p.m. PT) and the time that the net asset value of the International Series is
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Series prices its
shares at the close of the NYSE, the International Series will fair value its
foreign investments when it is determined that the market quotations for the
foreign investments are either unreliable or not readily available. The fair
value prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Series' foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Directors/Trustees of the International Series has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the International Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. 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 previously in the Security
Valuation note. Valuation hierarchy tables have been included at the end of the
Summary Schedule of Portfolio Holdings. The inputs or methodology used for
valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
The Series did not have any significant transfers between Level 1 and Level
2 during the six months ended April 30, 2012.
2. Foreign Currency Translation: Securities and other assets and liabilities
of The DFA International Value Series whose values are initially expressed in
foreign currencies, are translated to U.S. dollars using the mean between the
most recently quoted bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates, and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The DFA International Value Series does not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on The DFA International Value
Series' books and the U.S. dollar equivalent amounts actually received or paid.
31
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 April 30, 2012, 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 DFA International Value Series may be subject to taxes imposed by
countries in which it invests, with respect to its investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The DFA International Value Series accrues such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales of foreign investors. In addition, if
there is a deterioration in a country's balance of payments or for other
reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended April 30,
2012, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.10% and 0.20% of average
daily net assets for The U.S. Large Cap Value Series and The DFA International
Value Series, respectively.
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 expense. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2012, expenses reduced were as follows (amounts in
thousands):
32
FESS PAID
INDIRECTLY
----------
The DFA International Value Series.................................... $ 10
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2012, the total
related amounts paid by the Trust to the CCO were $41 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, 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............................................ $252
The DFA International Value Series......................................... 195
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, 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............................................ $569,377 $633,876
The DFA International Value Series......................................... 814,499 542,286
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2012, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
The U.S. Large Cap Value
Series................. $8,527,971 $2,786,176 $(353,964) $2,432,212
The DFA International
Value Series........... 7,879,341 1,169,037 (756,150) 412,887
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
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 additional 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 benefits will significantly change in the next six months.
Each of the Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
33
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 Market Risks: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States of America, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States of
America. Consequently, acquisition and disposition of securities by the Series
may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
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
34
contract, the Series deposits cash or pledges U.S. Government securities to a
broker, equal to the minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by the Series as unrealized gains or losses until the contracts
are closed. When the contracts are closed, the Series records a realized gain
or loss, which is presented in the Statements of Operations as a net realized
gain or loss on futures, equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities 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.
At April 30, 2012, the Series had no outstanding futures.
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 July 6,
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. There were no borrowings by
the Series under this line of credit during the six months ended April 30, 2012.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013.
For the six months ended April 30, 2012, 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................. 0.86% $14,147 27 $9 $58,537
The DFA International
Value Series........... 0.82% 15,357 4 1 15,549
* Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2012 that each Series' available
line of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2012.
I. SECURITIES LENDING:
As of April 30, 2012, some of the Series had securities on loan to
brokers/dealers, for which each such Series received cash collateral. Each
Series with securities on loan invests the cash collateral, as described below,
and
35
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 with securities on
loan 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. Such Series also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Series with securities on loan will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In May 2011, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("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 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
36
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 have been consolidated into a single
Multidistrict Litigation action in federal court for pretrial proceedings. 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.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
37
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the 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.
38
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 16, 2011 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements for each series
(collectively, the "Funds") and the sub-advisory agreements for The DFA
International Value Series. For the DFA International Value Series, Dimensional
Fund Advisors Ltd. and DFA Australia Limited each serve as a sub-advisor. (The
investment management agreements and the sub-advisory agreements are referred
to as the "Advisory Agreements," and the Advisor and sub-advisors are referred
to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative
39
fees paid by the feeder portfolios. The Board considered the profitability to
the Advisor of managing the Funds and other "non-1940 Act registered"
investment vehicles. Upon closely examining the Advisor's profitability, the
Board concluded, among other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
40
[LOGO] DFA043012-009S
[DIMENSIONAL LOGO]
SEMI-ANNUAL REPORT
--------------------------------------------
six months ended: April 30, 2012 (Unaudited)
DIMENSIONAL INVESTMENT GROUP INC.
DFA International Value Portfolio III
U.S. Large Cap Value Portfolio III
Tax-Managed U.S. Marketwide Value Portfolio II
[DIMENSIONAL LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2012
Dear Fellow Shareholder,
At Dimensional, we believe the market force works for investors. This belief
has been at the core of our investment philosophy for more than 30 years.
Consistency is an important part of what makes Dimensional different. As we
continue expanding to pursue business opportunities globally, having a
consistent philosophy helps us stay focused on the things that have been key to
Dimensional's success. Most important is our goal to always act in the best
interests of our clients, and thereby earning and maintaining trust by striving
to do what we say we are going to do. It is Dimensional's goal to deliver an
opportunity for all our clients to have a good lifetime investment experience.
Sincerely,
[-s- David G. Booth]
David G. Booth
Chairman and Co-Chief Executive Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses............................ 2
Disclosure of Portfolio Holdings....................... 4
Schedules of Investments
DFA International Value Portfolio III.............. 5
U.S. Large Cap Value Portfolio III................. 5
Tax-Managed U.S. Marketwide Value Portfolio II..... 6
Statements of Assets and Liabilities................... 7
Statements of Operations............................... 8
Statements of Changes in Net Assets.................... 9
Financial Highlights................................... 10
Notes to Financial Statements.......................... 12
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses............................ 19
Disclosure of Portfolio Holdings....................... 21
Summary Schedules of Portfolio Holdings
The DFA International Value Series................. 22
The U.S. Large Cap Value Series.................... 26
The Tax-Managed U.S. Marketwide Value Series....... 29
Statements of Assets and Liabilities................... 32
Statements of Operations............................... 33
Statements of Changes in Net Assets.................... 34
Financial Highlights................................... 35
Notes to Financial Statements.......................... 36
VOTING PROXIES ON FUND PORTFOLIO SECURITIES............... 44
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS.......... 45
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to
Financial Statements.
** Calculated as a percentage of total net assets. Percentages
shown parenthetically next to the category headings have been
calculated as a percentage of total investments. "Other
Securities" are those securities that are not among the top 50
holdings of the Fund or do not represent more than 1.0% of the
net assets of the Fund. Some of the individual securities within
this category may include Total or Partial Securities on Loan
and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2012.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
---------------------
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO III
-------------------------------------
Actual Fund Return.................... $1,000.00 $1,010.75 0.26% $1.30
Hypothetical 5% Annual Return......... $1,000.00 $1,023.57 0.26% $1.31
U.S. LARGE CAP VALUE PORTFOLIO III
----------------------------------
Actual Fund Return.................... $1,000.00 $1,107.10 0.14% $0.73
Hypothetical 5% Annual Return......... $1,000.00 $1,024.17 0.14% $0.70
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
----------------------------------------------
Actual Fund Return............................. $1,000.00 $1,112.85 0.24% $1.26
Hypothetical 5% Annual Return.................. $1,000.00 $1,023.67 0.24% $1.21
--------
* 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 (182), then
divided by the number of days in the year (366) to reflect the six-month
period. The Portfolio is a Feeder Fund. The expenses shown reflect the
direct expenses of the Feeder Fund and the indirect payment of the Feeder
Fund's portion of the expenses of its Master Fund (Affiliated Investment
Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2012. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Master Funds' holdings which reflect the
investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
DFA International Value Portfolio III........... 100.0%
U.S. Large Cap Value Portfolio III.............. 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II.. 100.0%
4
SCHEDULES OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
DFA INTERNATIONAL VALUE PORTFOLIO III
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA Investment Trust
Company....................................................................... $1,229,496,184
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,158,132,585)... $1,229,496,184
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
U.S. LARGE CAP VALUE PORTFOLIO III
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust
Company....................................................................... $1,996,653,721
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,512,530,643)... $1,996,653,721
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust
Company.............................................................................. $910,147,766
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $740,323,770).............. $910,147,766
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
DFA INTERNATIONAL U.S. LARGE CAP U.S. MARKETWIDE
VALUE PORTFOLIO III VALUE PORTFOLIO III VALUE PORTFOLIO II
------------------- ------------------- ------------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 1,229,496 $ 1,996,654 $ 910,148
Receivables:
Affiliated Investment Company Sold............................... 153 594 --
Fund Shares Sold................................................. 760 1,054 337
Prepaid Expenses and Other Assets................................... 11 12 5
------------ ------------ ------------
Total Assets................................................. 1,230,420 1,998,314 910,490
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Company Purchased.......................... -- -- 2
Fund Shares Redeemed............................................. 913 1,648 335
Due to Advisor................................................... 10 17 --
Accrued Expenses and Other Liabilities.............................. 64 89 37
------------ ------------ ------------
Total Liabilities............................................ 987 1,754 374
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,229,433 $ 1,996,560 $ 910,116
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 83,300,800 123,466,163 59,516,304
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE............................................................. $ 14.76 $ 16.17 $ 15.29
============ ============ ============
Investment in Affiliated Investment Company at Cost................. $ 1,158,132 $ 1,512,531 $ 740,324
------------ ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 1,125,906 $ 1,691,141 $ 757,754
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................ 11,267 5,231 2,448
Accumulated Net Realized Gain (Loss)................................ 20,695 (183,935) (19,910)
Net Unrealized Foreign Exchange Gain (Loss)......................... 201 -- --
Net Unrealized Appreciation (Depreciation).......................... 71,364 484,123 169,824
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,229,433 $ 1,996,560 $ 910,116
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA INTERNATIONAL U.S. LARGE CAP U.S. MARKETWIDE
VALUE PORTFOLIO III VALUE PORTFOLIO III VALUE PORTFOLIO II
------------------- ------------------- ------------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,602, $0 and $0,
respectively)................................................. $ 20,655 $ 20,424 $ 9,098
Interest........................................................ -- 2 2
Income from Securities Lending.................................. 1,044 1,093 387
Expenses Allocated from Affiliated Investment Company........... (1,367) (1,116) (942)
-------- -------- -------
Total Investment Income..................................... 20,332 20,403 8,545
-------- -------- -------
EXPENSES
Administrative Services Fees.................................... 59 96 --
Accounting & Transfer Agent Fees................................ 12 16 11
Filing Fees..................................................... 44 28 34
Shareholders' Reports........................................... 23 27 11
Directors'/Trustees' Fees & Expenses............................ 5 8 3
Audit Fees...................................................... 2 2 2
Legal Fees...................................................... 16 25 11
Other........................................................... 4 7 3
-------- -------- -------
Total Expenses.............................................. 165 209 75
-------- -------- -------
NET INVESTMENT INCOME (LOSS).................................... 20,167 20,194 8,470
-------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................... 20,936 44,707 11,567
Foreign Currency Transactions................................. (133) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... (25,032) 130,677 72,390
Translation of Foreign Currency Denominated Amounts........... 146 -- --
-------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (4,083) 175,384 83,957
-------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $ 16,084 $195,578 $92,427
======== ======== =======
--------
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.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA INTERNATIONAL U.S. LARGE CAP U.S. MARKETWIDE
VALUE PORTFOLIO III VALUE PORTFOLIO III VALUE PORTFOLIO II
---------------------- ---------------------- ---------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- ---------- ----------- ---------- ----------- ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 20,167 $ 41,672 $ 20,194 $ 32,964 $ 8,470 $ 13,672
Net Realized Gain (Loss) on:
Investment Securities Sold...................... 20,936 32,630 44,707 76,719 11,567 28,752
Futures......................................... -- -- -- (2,459) -- --
Foreign Currency Transactions................... (133) 87 -- -- -- --
Change in Unrealized Appreciation.................
(Depreciation) of:
Investment Securities and Foreign Currency...... (25,032) (169,478) 130,677 (6,368) 72,390 7,200
Translation of Foreign Currency Denominated
Amounts....................................... 146 (92) -- -- -- --
---------- ---------- ---------- ---------- -------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 16,084 (95,181) 195,578 100,856 92,427 49,624
---------- ---------- ---------- ---------- -------- ---------
Distributions From:
Net Investment Income............................. (11,462) (40,365) (20,485) (32,227) (8,436) (13,126)
Net Long-Term Gains............................... (3,912) -- -- -- -- --
---------- ---------- ---------- ---------- -------- ---------
Total Distributions........................... (15,374) (40,365) (20,485) (32,227) (8,436) (13,126)
---------- ---------- ---------- ---------- -------- ---------
Capital Share Transactions (1):
Shares Issued..................................... 195,335 272,062 147,627 351,449 59,270 143,653
Shares Issued in Lieu of Cash Distributions....... 13,190 35,235 17,904 28,670 8,421 13,105
Shares Redeemed................................... (118,612) (193,428) (167,292) (339,824) (79,453) (128,803)
---------- ---------- ---------- ---------- -------- ---------
Net Increase (Decrease) from Capital Share
Transactions................................ 89,913 113,869 (1,761) 40,295 (11,762) 27,955
---------- ---------- ---------- ---------- -------- ---------
Total Increase (Decrease) in Net Assets....... 90,623 (21,677) 173,332 108,924 72,229 64,453
NET ASSETS
Beginning of Period............................... 1,138,810 1,160,487 1,823,228 1,714,304 837,887 773,434
---------- ---------- ---------- ---------- -------- ---------
End of Period..................................... $1,229,433 $1,138,810 $1,996,560 $1,823,228 $910,116 $ 837,887
========== ========== ========== ========== ======== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 13,738 17,001 9,645 22,958 4,100 10,107
Shares Issued in Lieu of Cash Distributions....... 957 2,121 1,209 1,893 605 925
Shares Redeemed................................... (8,302) (11,852) (10,835) (21,905) (5,542) (8,972)
---------- ---------- ---------- ---------- -------- ---------
Net Increase (Decrease) from Shares Issued
and Redeemed................................ 6,393 7,270 19 2,946 (837) 2,060
========== ========== ========== ========== ======== =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME).......................................... $ 11,267 $ 2,562 $ 5,231 $ 5,522 $ 2,448 $ 2,414
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO III
--------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- --------- ---------- --------
(UNAUDITED)
Net Asset Value, Beginning
of Period ...................... $ 14.81 $ 16.66 $ 15.41 $ 11.74 $ 24.03 $ 21.46 $ 16.89
---------- ---------- ---------- ---------- -------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A) .................... 0.25 0.58 0.39 0.40 0.72 0.71 0.64
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... (0.10) (1.87) 1.25 3.66 (11.64) 2.92 5.10
---------- ---------- ---------- ---------- -------- ---------- --------
Total from Investment
Operations................... 0.15 (1.29) 1.64 4.06 (10.92) 3.63 5.74
---------- ---------- ---------- ---------- -------- ---------- --------
Less Distributions
------------------
Net Investment Income............ (0.15) (0.56) (0.39) (0.39) (0.80) (0.63) (0.65)
Net Realized Gains............... (0.05) -- -- -- (0.57) (0.43) (0.52)
---------- ---------- ---------- ---------- -------- ---------- --------
Total Distributions............ (0.20) (0.56) (0.39) (0.39) (1.37) (1.06) (1.17)
---------- ---------- ---------- ---------- -------- ---------- --------
Net Asset Value, End of
Period.......................... $ 14.76 $ 14.81 $ 16.66 $ 15.41 $ 11.74 $ 24.03 $ 21.46
========== ========== ========== ========== ======== ========== ========
Total Return...................... 1.08%(C) (8.06)% 11.05% 35.37% (47.87)%(C) 17.32% 35.67%
---------- ---------- ---------- ---------- -------- ---------- --------
Net Assets, End of Period
(thousands)..................... $1,229,433 $1,138,810 $1,160,487 $1,008,172 $726,061 $1,190,286 $999,893
Ratio of Expenses to Average
Net Assets (D).................. 0.26%(B) 0.26% 0.26% 0.28% 0.26%(B) 0.25% 0.26%
Ratio of Net Investment
Income to Average Net
Assets.......................... 3.45%(B) 3.45% 2.53% 3.19% 4.03%(B) 3.02% 3.37%
U.S. LARGE CAP VALUE PORTFOLIO III
------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning
of Period ...................... $ 14.77 $ 14.23 $ 12.10 $ 11.15 $ 18.75 $ 19.55 $ 16.89
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A) .................... 0.16 0.27 0.27 0.25 0.29 0.28 0.31
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... 1.41 0.54 2.12 0.97 (6.76) (0.33) 2.69
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................... 1.57 0.81 2.39 1.22 (6.47) (0.05) 3.00
---------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............ (0.17) (0.27) (0.26) (0.27) (0.29) (0.27) (0.29)
Net Realized Gains............... -- -- -- -- (0.84) (0.48) (0.05)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.17) (0.27) (0.26) (0.27) (1.13) (0.75) (0.34)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period.......................... $ 16.17 $ 14.77 $ 14.23 $ 12.10 $ 11.15 $ 18.75 $ 19.55
========== ========== ========== ========== ========== ========== ==========
Total Return...................... 10.71%(C) 5.64% 19.96% 11.88% (36.55)%(C) (0.35)% 18.10%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $1,996,560 $1,823,228 $1,714,304 $1,457,701 $1,227,331 $1,731,226 $1,548,504
Ratio of Expenses to Average
Net Assets (D).................. 0.14%(B) 0.14% 0.14% 0.16% 0.14%(B) 0.14% 0.14%
Ratio of Net Investment
Income to Average Net
Assets.......................... 2.12%(B) 1.77% 2.00% 2.37% 1.98%(B) 1.41% 1.75%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
---------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- -------- -------- -------- --------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 13.88 $ 13.27 $ 11.17 $ 10.20 $ 17.41 $ 17.57 $ 15.17
-------- -------- -------- -------- -------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........... 0.14 0.23 0.17 0.21 0.28 0.29 0.26
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... 1.41 0.60 2.10 1.02 (6.42) (0.16) 2.39
-------- -------- -------- -------- -------- ---------- ----------
Total from Investment Operations......... 1.55 0.83 2.27 1.23 (6.14) 0.13 2.65
-------- -------- -------- -------- -------- ---------- ----------
Less Distributions
------------------
Net Investment Income...................... (0.14) (0.22) (0.17) (0.26) (0.31) (0.29) (0.25)
Net Realized Gains......................... -- -- -- -- (0.76) -- --
-------- -------- -------- -------- -------- ---------- ----------
Total Distributions...................... (0.14) (0.22) (0.17) (0.26) (1.07) (0.29) (0.25)
-------- -------- -------- -------- -------- ---------- ----------
Net Asset Value, End of Period.............. $ 15.29 $ 13.88 $ 13.27 $ 11.17 $ 10.20 $ 17.41 $ 17.57
======== ======== ======== ======== ======== ========== ==========
Total Return................................ 11.29%(C) 6.26% 20.47% 12.64% (37.46)%(C) 0.67% 17.67%
-------- -------- -------- -------- -------- ---------- ----------
Net Assets, End of Period (thousands)....... $910,116 $837,887 $773,434 $671,403 $613,690 $1,110,266 $1,015,376
Ratio of Expenses to Average Net
Assets (D)................................ 0.24%(B) 0.23% 0.23% 0.26% 0.23%(B) 0.23% 0.24%
Ratio of Net Investment Income to Average
Net Assets................................ 1.96%(B) 1.60% 1.38% 2.16% 2.07%(B) 1.59% 1.61%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, of
which DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios") are
presented in this report.
DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invest their
assets in The DFA International Value Series, The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding Series of The DFA Investment Trust Company. At April 30,
2012, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 17%, 20% and 29% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure, elected with the consent of its
respective Holder(s) to change its U.S. federal income tax classification from
that of an association taxable as a corporation to a partnership pursuant to
Treasury Regulation (S) 301.7701-3. The change in capital structure and
retroactive reclassification of the statement of changes in net assets and
financial highlights for the fund is a result of the treatment of a partnership
for book purposes. The Series/Portfolio will maintain its books and records and
present its financial statements in accordance with generally accepted
accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-ended investment companies,
futures contracts)
12
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
- Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolios' investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in the Security Valuation note. The inputs or methodology
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2012.
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 April 30, 2012, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities from the Series, which is treated as a partnership for
federal income tax purposes. Dividend income and distributions to shareholders
are recorded on the ex-dividend date. Distributions received on securities that
represent a return of capital or capital gain are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of distributions received that may be considered return
of capital distributions. Expenses directly attributable to the Portfolios are
directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors/Trustees, generally based on average net
assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolios, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Series. For the six months ended April 30,
2012, the Portfolios' administrative services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.01% of average
daily net assets, except for the Tax-Managed U.S. Marketwide Value Portfolio
II, which pays no fee.
13
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2012, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio III............. $32
U.S. Large Cap Value Portfolio III................ 49
Tax-Managed U.S. Marketwide Value Portfolio II.... 22
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2011, primarily attributable to net foreign
currency gains/(losses), gains on securities considered to be "passive foreign
investment companies" and the utilization of accumulated earnings and profits
distributed to shareholders on redemptions as part of the dividends paid
deduction for income purposes, were classified to the following accounts. The
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
DFA International Value Portfolio III............. $2,898 $(2,421) $(477)
U.S. Large Cap Value Portfolio III................ -- (1) 1
Tax-Managed U.S. Marketwide Value Portfolio II.... -- (21) 21
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 III
2010.................................. $26,333 -- $26,333
2011.................................. 43,008 $256 43,264
U.S. Large Cap Value Portfolio III
2010.................................. 31,280 -- 31,280
2011.................................. 32,227 -- 32,227
14
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
Tax-Managed U.S. Marketwide Value Portfolio II
2010........................................... $ 9,851 -- $ 9,851
2011........................................... 13,126 -- 13,126
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 International Value Portfolio III............. $2,643 $256 $2,899
At October 31, 2011, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS
SHORT-TERM LONG-TERM LOSS ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD (LOSSES)
------------- ------------- ------------ -------------
DFA International Value Portfolio III............. $3,014 $3,837 -- $ 6,851
U.S. Large Cap Value Portfolio III................ 5,584 -- $(228,584) (223,000)
Tax-Managed U.S. Marketwide Value Portfolio II.... 2,549 -- (31,372) (28,823)
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):
EXPIRES ON OCTOBER 31,
----------------------
2017 TOTAL
---------------------- --------
U.S. Large Cap Value Portfolio III................ $228,584 $228,584
Tax-Managed U.S. Marketwide Value Portfolio II.... 31,372 31,372
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 thounsands).
DFA International Value Portfolio III............. $28,403
U.S. Large Cap Value Portfolio III................ 74,315
Tax-Managed U.S. Marketwide Value Portfolio II.... 28,744
15
At April 30, 2012, 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
FEDERAL UNREALIZED
TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
DFA International Value Portfolio III............. $1,158,404 $193,393 $(122,301) $ 71,092
U.S. Large Cap Value Portfolio III................ 1,512,590 550,879 (66,815) 484,064
Tax-Managed U.S. Marketwide Value Portfolio II.... 740,516 226,626 (56,994) 169,632
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be in a tax return. Management has analyzed the Portfolios' tax
position and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are 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 Portfolios' federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund
in a RIC/RIC master-feeder structure with four RIC feeders and other direct
client investor(s), made a "Check-the-box" election for federal income tax
purposes pursuant to Treasury Regulation (S) 301.7701-3, to change its federal
entity classification from a corporation taxable as a regulated investment
company to a partnership. As a result of this election, the master fund is
deemed to have distributed all of its assets and liabilities, in a taxable
transaction, to its shareholders in liquidation of the master fund. Immediately
thereafter, the shareholders contributed all of the distributed assets and
liabilities to a newly formed partnership. The final tax year end of The U.S.
Large Cap Value Series was December 30, 2008. For Federal income tax purposes,
pursuant to IRC Code (S) 336(a), the master fund recognized a loss as if the
master's investment securities were sold to its shareholders and, pursuant to
IRC Code (S) 331, each of the Portfolios recognized a gain as if it liquidated
its investment in the master. For tax purposes, pursuant to IRC Code (S)
334(a), each of the Portfolios took a fair market value basis in the securities
deemed received by them and a new holding period for those securities commenced
on the deemed liquidation date. As a result of the transaction, The U.S. Large
Cap Value Series recognized a ($2,303,664,484) capital loss for tax year ended
December 30, 2008.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S) 301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S) 336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S) 331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S) 334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $250 million unsecured discretionary line of credit effective June 22,
2011 with its domestic custodian bank. Each portfolio is permitted to borrow,
subject
16
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 July 6,
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 Portfolios under this line of credit during the six months ended April 30,
2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2012.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of the
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. RECENTLY ISSUED ACCOUNTING STANDARDS:
In 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.
I. OTHER:
At April 30, 2012, 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.
17
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA International Value Portfolio III............. 3 84%
U.S. Large Cap Value Portfolio III................ 3 83%
Tax-Managed U.S. Marketwide Value Portfolio II.... 2 90%
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 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 and The Tax-Managed U.S. Marketwide 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 have
been consolidated into a single Multidistrict Litigation action in federal
court for pretrial proceedings. 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 and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits does not believe that it is
possible, at this early stage in the proceedings, to predict with any
reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full
recovery they seek, the amount would be less than 1% of The U.S. Large Cap
Value Series' and The Tax-Managed U.S. Marketwide Value Series' net asset value
at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot predict what their size might be at the time the cost of the
Lawsuits might be quantifiable and thus potentially deducted from their net
asset value. Therefore, at this time, those buying or redeeming shares of The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
will pay or receive, as the case may be, a price based on net asset value of
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series as incurred and
in a manner similar to any other expense incurred by The U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series.
J. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
18
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,010.76 0.23% $1.15
Hypothetical 5% Annual Return...... $1,000.00 $1,023.72 0.23% $1.16
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................. $1,000.00 $1,107.21 0.12% $0.63
Hypothetical 5% Annual Return...... $1,000.00 $1,024.27 0.12% $0.60
19
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,112.74 0.22% $1.16
Hypothetical 5% Annual Return................ $1,000.00 $1,023.77 0.22% $1.11
--------
* 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 (182), then
divided by the number of days in the year (366) to reflect the six-month
period.
20
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31.The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2012. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary.... 12.3%
Consumer Staples.......... 5.4%
Energy.................... 14.3%
Financials................ 27.7%
Health Care............... 1.7%
Industrials............... 10.8%
Information Technology.... 2.8%
Materials................. 13.3%
Other..................... --
Telecommunication
Services................ 8.3%
Utilities................. 3.4%
-----
100.0%
THE U.S. LARGE CAP VALUE SERIES
Consumer Discretionary..... 16.2%
Consumer Staples........... 9.1%
Energy..................... 18.0%
Financials................. 18.5%
Health Care................ 9.6%
Industrials................ 14.5%
Information Technology..... 3.7%
Materials.................. 3.0%
Telecommunication Services. 6.6%
Utilities.................. 0.8%
-----
100.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE
SERIES
Consumer Discretionary....... 18.4%
Consumer Staples............. 8.0%
Energy....................... 15.7%
Financials................... 16.4%
Health Care.................. 9.6%
Industrials.................. 15.2%
Information Technology....... 6.1%
Materials.................... 3.4%
Other........................ --
Telecommunication Services... 6.6%
Utilities.................... 0.6%
-----
100.0%
21
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (85.6%)
AUSTRALIA -- (4.2%)
National Australia Bank, Ltd............... 1,490,363 $ 38,957,024 0.5%
Wesfarmers, Ltd............................ 2,578,622 80,973,411 1.1%
Other Securities........................... 226,937,336 3.2%
------------ ----
TOTAL AUSTRALIA................................ 346,867,771 4.8%
------------ ----
AUSTRIA -- (0.3%)
Other Securities........................... 21,553,007 0.3%
------------ ----
BELGIUM -- (0.8%)
Other Securities........................... 62,916,268 0.9%
------------ ----
CANADA -- (10.6%)
#Encana Corp................................ 2,051,015 42,957,433 0.6%
#Goldcorp, Inc.............................. 1,677,120 64,225,793 0.9%
#Manulife Financial Corp.................... 4,206,497 57,528,749 0.8%
#Sun Life Financial, Inc.................... 1,513,735 37,113,592 0.5%
Suncor Energy, Inc......................... 3,486,786 115,173,181 1.6%
#Teck Resources, Ltd. Class B............... 1,483,730 55,362,948 0.8%
#Thomson Reuters Corp....................... 1,832,184 54,751,300 0.7%
#TransCanada Corp........................... 1,575,808 69,326,938 1.0%
Other Securities........................... 383,877,001 5.3%
------------ ----
TOTAL CANADA................................... 880,316,935 12.2%
------------ ----
DENMARK -- (1.2%)
Other Securities........................... 102,335,685 1.4%
------------ ----
FINLAND -- (0.5%)
Other Securities........................... 40,320,948 0.6%
------------ ----
FRANCE -- (7.7%)
#AXA SA..................................... 4,058,877 57,677,147 0.8%
BNP Paribas SA............................. 1,248,772 50,399,590 0.7%
Cie de Saint-Gobain SA..................... 1,039,077 43,626,019 0.6%
France Telecom SA.......................... 3,803,372 52,136,748 0.7%
GDF Suez SA................................ 2,974,295 68,480,750 1.0%
#Societe Generale SA........................ 1,558,512 36,896,510 0.5%
#Vivendi SA................................. 3,567,218 65,981,070 0.9%
Other Securities........................... 265,365,392 3.7%
------------ ----
TOTAL FRANCE................................... 640,563,226 8.9%
------------ ----
GERMANY -- (7.0%)
Allianz SE................................. 330,017 36,810,454 0.5%
Bayerische Motoren Werke AG................ 660,431 62,814,886 0.9%
Daimler AG................................. 2,088,586 115,564,409 1.6%
Deutsche Bank AG........................... 1,039,440 45,125,200 0.6%
#Deutsche Telekom AG Sponsored ADR.......... 3,099,741 35,337,047 0.5%
#E.ON AG.................................... 2,894,296 65,531,861 0.9%
#Munchener Rueckversicherungs-Gesellschaft
AG........................................ 395,244 57,409,200 0.8%
Other Securities........................... 159,791,238 2.2%
------------ ----
TOTAL GERMANY.................................. 578,384,295 8.0%
------------ ----
GREECE -- (0.1%)
Other Securities........................... 4,120,169 0.1%
------------ ----
HONG KONG -- (1.7%)
Hutchison Whampoa, Ltd..................... 5,618,000 53,856,729 0.7%
22
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
HONG KONG -- (Continued)
Other Securities................... $ 83,058,768 1.2%
-------------- ----
TOTAL HONG KONG........................ 136,915,497 1.9%
-------------- ----
IRELAND -- (0.2%)
Other Securities................... 17,279,741 0.2%
-------------- ----
ISRAEL -- (0.6%)
Other Securities................... 47,664,525 0.7%
-------------- ----
ITALY -- (1.2%)
Other Securities................... 102,282,841 1.4%
-------------- ----
JAPAN -- (17.4%)
Mitsubishi Corp.................... 2,411,300 52,257,599 0.7%
Mitsubishi Heavy Industries, Ltd... 9,007,000 40,846,959 0.6%
Mitsubishi UFJ Financial Group,
Inc............................... 17,167,906 82,431,923 1.2%
Mitsui & Co., Ltd.................. 2,469,100 38,556,482 0.5%
Sumitomo Corp...................... 3,241,900 46,071,274 0.6%
#Toyota Motor Corp. Sponsored ADR... 673,198 55,054,132 0.8%
Other Securities................... 1,131,567,900 15.7%
-------------- ----
TOTAL JAPAN............................ 1,446,786,269 20.1%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities................... -- 0.0%
NETHERLANDS -- (2.3%)
ArcelorMittal NV................... 2,446,831 42,506,116 0.6%
Koninklijke Philips Electronics NV. 1,939,039 38,587,673 0.5%
Other Securities................... 113,298,898 1.6%
-------------- ----
TOTAL NETHERLANDS...................... 194,392,687 2.7%
-------------- ----
NEW ZEALAND -- (0.1%)
Other Securities................... 5,484,801 0.1%
-------------- ----
NORWAY -- (1.0%)
Other Securities................... 86,545,255 1.2%
-------------- ----
PORTUGAL -- (0.1%)
Other Securities................... 8,206,069 0.1%
-------------- ----
SINGAPORE -- (1.0%)
Other Securities................... 79,091,216 1.1%
-------------- ----
SPAIN -- (1.4%)
Other Securities................... 114,294,255 1.6%
-------------- ----
SWEDEN -- (2.6%)
Nordea Bank AB..................... 5,275,564 46,690,917 0.6%
Other Securities................... 172,480,053 2.4%
-------------- ----
TOTAL SWEDEN........................... 219,170,970 3.0%
-------------- ----
SWITZERLAND -- (4.5%)
Holcim, Ltd........................ 886,165 55,272,069 0.8%
*Swiss Re, Ltd...................... 1,108,107 69,581,447 1.0%
*UBS AG............................. 3,280,643 40,969,298 0.6%
Zurich Insurance Group AG.......... 225,125 55,156,285 0.7%
Other Securities................... 153,704,777 2.1%
-------------- ----
TOTAL SWITZERLAND...................... 374,683,876 5.2%
-------------- ----
23
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
UNITED KINGDOM -- (19.1%)............
Aviva P.L.C...................... 8,175,916 $ 40,920,432 0.6%
Barclays P.L.C................... 11,591,752 41,038,889 0.6%
Barclays P.L.C. Sponsored ADR.... 4,327,157 61,618,716 0.9%
BP P.L.C. Sponsored ADR.......... 4,848,222 210,461,317 2.9%
International Power P.L.C........ 6,455,198 43,665,942 0.6%
Kingfisher P.L.C................. 10,285,817 48,507,558 0.7%
*Lloyds Banking Group P.L.C....... 76,981,994 38,640,671 0.5%
Royal Dutch Shell P.L.C. ADR..... 3,323,210 243,790,686 3.4%
Vodafone Group P.L.C............. 34,976,333 96,813,260 1.3%
Vodafone Group P.L.C. Sponsored
ADR............................. 8,190,343 227,937,246 3.2%
William Morrison Supermarkets
P.L.C........................... 8,127,143 37,017,257 0.5%
Xstrata P.L.C.................... 5,211,952 100,098,296 1.4%
Other Securities................. 396,933,279 5.5%
-------------- ----
TOTAL UNITED KINGDOM................. 1,587,443,549 22.1%
-------------- ----
TOTAL COMMON STOCKS.................. 7,097,619,855 98.6%
-------------- ----
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities.................. 20,410,954 0.3%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.................. 2 0.0%
-------------- ----
SHARES/ FACE
AMOUNT VALUE+
-------------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (14.2%)
(S) @DFA Short Term Investment Fund................................................ 1,174,000,000 1,174,000,000 16.3%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r),
08/01/38, valued at $200,496) to be repurchased at $196,566............. $ 197 196,565 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL................................................ 1,174,196,565 16.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,877,751,800) $8,292,227,376 115.2%
============== =====
24
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Australia.................. $ 4,983,494 $ 341,884,277 -- $ 346,867,771
Austria.................... -- 21,553,007 -- 21,553,007
Belgium.................... 2,576,759 60,339,509 -- 62,916,268
Canada..................... 880,316,935 -- -- 880,316,935
Denmark.................... -- 102,335,685 -- 102,335,685
Finland.................... 1,505,997 38,814,951 -- 40,320,948
France..................... 25,911,691 614,651,535 -- 640,563,226
Germany.................... 84,691,422 493,692,873 -- 578,384,295
Greece..................... -- 4,120,169 -- 4,120,169
Hong Kong.................. -- 136,915,497 -- 136,915,497
Ireland.................... 5,283,523 11,996,218 -- 17,279,741
Israel..................... 6,184,967 41,479,558 -- 47,664,525
Italy...................... 21,219,340 81,063,501 -- 102,282,841
Japan...................... 115,375,138 1,331,411,131 -- 1,446,786,269
Malaysia................... -- -- -- --
Netherlands................ 11,737,570 182,655,117 -- 194,392,687
New Zealand................ -- 5,484,801 -- 5,484,801
Norway..................... 289,916 86,255,339 -- 86,545,255
Portugal................... -- 8,206,069 -- 8,206,069
Singapore.................. -- 79,091,216 -- 79,091,216
Spain...................... 8,765,062 105,529,193 -- 114,294,255
Sweden..................... 9,516,859 209,654,111 -- 219,170,970
Switzerland................ 46,723,453 327,960,423 -- 374,683,876
United Kingdom............. 807,957,592 779,485,957 -- 1,587,443,549
Preferred Stocks
Germany.................... -- 20,410,954 -- 20,410,954
Rights/Warrants
Spain...................... -- 2 -- 2
Securities Lending Collateral. -- 1,174,196,565 -- 1,174,196,565
-------------- -------------- -- --------------
TOTAL......................... $2,033,039,718 $6,259,187,658 -- $8,292,227,376
============== ============== == ==============
See accompanying Notes to Financial Statements.
25
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
COMMON STOCKS -- (92.5%)
Consumer Discretionary -- (15.0%)
#Carnival Corp.................................. 2,385,423 $ 77,502,393 0.8%
#CBS Corp. Class B.............................. 2,669,115 89,014,985 0.9%
#Comcast Corp. Class A.......................... 10,008,890 303,569,634 3.0%
Comcast Corp. Special Class A.................. 3,843,964 114,665,446 1.1%
#*Liberty Interactive Corp. Class A.............. 3,316,465 62,482,201 0.6%
#News Corp. Class A............................. 9,024,175 176,873,830 1.7%
#News Corp. Class B............................. 3,247,295 64,426,333 0.6%
#Time Warner Cable, Inc......................... 1,921,256 154,565,045 1.5%
Time Warner, Inc............................... 5,323,159 199,405,536 2.0%
Other Securities............................... 403,077,907 4.0%
-------------- ----
Total Consumer Discretionary...................... 1,645,583,310 16.2%
-------------- ----
Consumer Staples -- (8.4%)
Archer-Daniels-Midland Co...................... 3,155,848 97,294,794 1.0%
CVS Caremark Corp.............................. 6,431,368 286,967,640 2.8%
#Kraft Foods, Inc. Class A...................... 7,128,852 284,227,329 2.8%
Other Securities............................... 255,898,110 2.5%
-------------- ----
Total Consumer Staples............................ 924,387,873 9.1%
-------------- ----
Energy -- (16.7%)
Anadarko Petroleum Corp........................ 2,574,876 188,506,672 1.9%
Apache Corp.................................... 1,155,774 110,884,958 1.1%
#Chesapeake Energy Corp......................... 3,267,150 60,246,246 0.6%
Chevron Corp................................... 1,669,494 177,901,281 1.8%
ConocoPhillips................................. 5,710,341 409,031,726 4.0%
Devon Energy Corp.............................. 1,088,705 76,046,044 0.8%
Hess Corp...................................... 1,567,373 81,722,828 0.8%
Marathon Oil Corp.............................. 3,625,708 106,378,273 1.0%
Marathon Petroleum Corp........................ 1,791,952 74,563,123 0.7%
National Oilwell Varco, Inc.................... 1,627,065 123,266,444 1.2%
#Pioneer Natural Resources Co................... 517,832 59,975,302 0.6%
Valero Energy Corp............................. 2,806,975 69,332,282 0.7%
Other Securities............................... 288,680,430 2.8%
-------------- ----
Total Energy...................................... 1,826,535,609 18.0%
-------------- ----
Financials -- (17.1%)
Bank of America Corp........................... 24,999,052 202,742,312 2.0%
Capital One Financial Corp..................... 1,092,331 60,602,524 0.6%
#Citigroup, Inc................................. 9,041,167 298,720,158 2.9%
#CME Group, Inc................................. 319,869 85,027,578 0.8%
JPMorgan Chase & Co............................ 1,496,828 64,333,667 0.6%
#Loews Corp..................................... 2,340,216 96,253,084 1.0%
#MetLife, Inc................................... 4,759,859 171,497,720 1.7%
Morgan Stanley................................. 3,765,813 65,073,249 0.7%
#Prudential Financial, Inc...................... 2,340,342 141,684,305 1.4%
#SunTrust Banks, Inc............................ 2,564,707 62,271,086 0.6%
Other Securities............................... 628,839,010 6.2%
-------------- ----
Total Financials.................................. 1,877,044,693 18.5%
-------------- ----
Health Care -- (8.8%)
Aetna, Inc..................................... 1,957,594 86,212,440 0.8%
Humana, Inc.................................... 698,778 56,377,409 0.6%
Pfizer, Inc.................................... 17,815,204 408,502,628 4.0%
Thermo Fisher Scientific, Inc.................. 1,994,284 110,981,905 1.1%
WellPoint, Inc................................. 2,067,263 140,201,777 1.4%
26
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ --------------- ---------------
Health Care -- (Continued)
Other Securities................................................................ $ 165,236,290 1.6%
--------------- -----
Total Health Care.................................................................. 967,512,449 9.5%
--------------- -----
Industrials -- (13.4%)
CSX Corp........................................................................ 6,342,908 141,510,277 1.4%
General Electric Co............................................................. 21,867,055 428,156,937 4.2%
#Norfolk Southern Corp........................................................... 2,045,548 149,181,816 1.5%
Northrop Grumman Corp........................................................... 1,545,282 97,785,445 1.0%
Tyco International, Ltd......................................................... 1,433,965 80,488,455 0.8%
Union Pacific Corp.............................................................. 2,422,164 272,348,120 2.7%
Other Securities................................................................ 300,389,113 2.9%
--------------- -----
Total Industrials.................................................................. 1,469,860,163 14.5%
--------------- -----
Information Technology -- (3.5%)
Other Securities................................................................ 378,920,592 3.7%
--------------- -----
Materials -- (2.7%)
#Alcoa, Inc...................................................................... 5,357,434 52,127,833 0.5%
International Paper Co.......................................................... 2,299,481 76,595,712 0.7%
Other Securities................................................................ 171,903,835 1.7%
--------------- -----
Total Materials.................................................................... 300,627,380 2.9%
--------------- -----
Telecommunication Services -- (6.1%)
AT&T, Inc....................................................................... 13,051,618 429,528,748 4.2%
#CenturyLink, Inc................................................................ 2,300,437 88,704,851 0.9%
#Verizon Communications, Inc..................................................... 1,811,751 73,158,505 0.7%
Other Securities................................................................ 78,059,153 0.8%
--------------- -----
Total Telecommunication Services................................................... 669,451,257 6.6%
--------------- -----
Utilities -- (0.8%)
Other Securities................................................................ 82,481,799 0.8%
--------------- -----
TOTAL COMMON STOCKS................................................................ 10,142,405,125 99.8%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash Portfolio--Institutional Shares.............. 31,844,654 31,844,654 0.3%
--------------- -----
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (7.2%)
(S) @DFA Short Term Investment Fund................................................ 785,569,107 785,569,107 7.7%
@Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12
(Collateralized by $375,124 FNMA, rates ranging from 2.000% to
6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at
$376,287) to be repurchased at $364,198................................. $ 364 364,196 0.0%
--------------- -----
TOTAL SECURITIES LENDING COLLATERAL................................................ 785,933,303 7.7%
--------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,527,670,147)........................................................... $10,960,183,082 107.8%
=============== =====
27
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary..... $ 1,645,583,310 -- -- $ 1,645,583,310
Consumer Staples........... 924,387,873 -- -- 924,387,873
Energy..................... 1,826,535,609 -- -- 1,826,535,609
Financials................. 1,877,044,693 -- -- 1,877,044,693
Health Care................ 967,512,449 -- -- 967,512,449
Industrials................ 1,469,860,163 -- -- 1,469,860,163
Information Technology..... 378,920,592 -- -- 378,920,592
Materials.................. 300,627,380 -- -- 300,627,380
Telecommunication Services. 669,451,257 -- -- 669,451,257
Utilities.................. 82,481,799 -- -- 82,481,799
Temporary Cash Investments.... 31,844,654 -- -- 31,844,654
Securities Lending
Collateral.................. -- $785,933,303 -- 785,933,303
--------------- ------------ -- ---------------
TOTAL......................... $10,174,249,779 $785,933,303 -- $10,960,183,082
=============== ============ == ===============
See accompanying Notes to Financial Statements.
28
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (94.4%)
Consumer Discretionary -- (17.4%)
Carnival Corp.................. 489,649 $ 15,908,696 0.5%
Comcast Corp. Class A.......... 3,570,978 108,307,763 3.4%
Comcast Corp. Special Class A.. 1,432,185 42,722,079 1.3%
#*General Motors Co.............. 674,707 15,518,261 0.5%
*Liberty Interactive Corp.
Class A....................... 882,463 16,625,603 0.5%
Lowe's Cos., Inc............... 426,902 13,434,606 0.4%
#News Corp. Class A............. 1,631,529 31,977,968 1.0%
Time Warner Cable, Inc......... 693,942 55,827,634 1.8%
#Time Warner, Inc............... 1,534,860 57,495,856 1.8%
Wyndham Worldwide Corp......... 262,116 13,194,919 0.4%
Other Securities............... 212,587,270 6.7%
------------ ----
Total Consumer Discretionary...... 583,600,655 18.3%
------------ ----
Consumer Staples -- (7.6%)
Archer-Daniels-Midland Co...... 813,476 25,079,465 0.8%
CVS Caremark Corp.............. 1,510,745 67,409,442 2.1%
Kraft Foods, Inc. Class A...... 2,081,099 82,973,417 2.6%
Other Securities............... 79,792,493 2.5%
------------ ----
Total Consumer Staples............ 255,254,817 8.0%
------------ ----
Energy -- (14.8%)
Anadarko Petroleum Corp........ 845,068 61,867,428 2.0%
Apache Corp.................... 292,215 28,035,107 0.9%
Chevron Corp................... 452,159 48,182,063 1.5%
ConocoPhillips................. 1,766,829 126,557,961 4.0%
Hess Corp...................... 378,130 19,715,698 0.6%
Marathon Oil Corp.............. 903,937 26,521,512 0.8%
Marathon Petroleum Corp........ 451,968 18,806,388 0.6%
National Oilwell Varco, Inc.... 169,032 12,805,864 0.4%
Transocean, Ltd................ 274,265 13,820,213 0.4%
#Valero Energy Corp............. 658,099 16,255,045 0.5%
Other Securities............... 125,887,466 4.0%
------------ ----
Total Energy...................... 498,454,745 15.7%
------------ ----
Financials -- (15.5%)
Bank of America Corp........... 5,654,292 45,856,308 1.4%
Capital One Financial Corp..... 491,088 27,245,562 0.9%
Citigroup, Inc................. 2,115,722 69,903,455 2.2%
#CME Group, Inc................. 82,877 22,030,364 0.7%
JPMorgan Chase & Co............ 750,334 32,249,355 1.0%
MetLife, Inc................... 1,126,173 40,576,013 1.3%
Morgan Stanley................. 1,476,248 25,509,565 0.8%
Prudential Financial, Inc...... 497,625 30,126,218 0.9%
Other Securities............... 225,652,372 7.1%
------------ ----
Total Financials.................. 519,149,212 16.3%
------------ ----
Health Care -- (9.1%)
Aetna, Inc..................... 503,313 22,165,905 0.7%
Humana, Inc.................... 236,814 19,106,154 0.6%
Pfizer, Inc.................... 5,208,907 119,440,238 3.7%
Thermo Fisher Scientific, Inc.. 499,520 27,798,288 0.9%
WellPoint, Inc................. 504,640 34,224,685 1.1%
Other Securities............... 82,049,987 2.6%
------------ ----
Total Health Care................. 304,785,257 9.6%
------------ ----
29
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (14.3%)
CSX Corp........................................................................ 1,242,950 $ 27,730,214 0.9%
General Electric Co............................................................. 5,593,904 109,528,640 3.4%
Norfolk Southern Corp........................................................... 545,229 39,763,551 1.2%
Northrop Grumman Corp........................................................... 337,038 21,327,765 0.7%
Tyco International, Ltd......................................................... 405,140 22,740,508 0.7%
Union Pacific Corp.............................................................. 480,399 54,016,064 1.7%
Other Securities................................................................ 205,823,680 6.5%
-------------- ----
Total Industrials.................................................................. 480,930,422 15.1%
-------------- ----
Information Technology -- (5.8%)
#Activision Blizzard, Inc........................................................ 982,162 12,640,425 0.4%
Corning, Inc.................................................................... 1,298,385 18,631,825 0.6%
Xerox Corp...................................................................... 1,791,473 13,937,660 0.4%
*Yahoo!, Inc..................................................................... 1,048,770 16,297,886 0.5%
Other Securities................................................................ 132,137,524 4.2%
-------------- ----
Total Information Technology....................................................... 193,645,320 6.1%
-------------- ----
Materials -- (3.2%)
International Paper Co.......................................................... 493,615 16,442,316 0.5%
Other Securities................................................................ 90,345,791 2.8%
-------------- ----
Total Materials.................................................................... 106,788,107 3.3%
-------------- ----
Other -- (0.0%)
Other Securities................................................................ 54 0.0%
-------------- ----
Telecommunication Services -- (6.2%)
AT&T, Inc....................................................................... 4,065,906 133,808,966 4.2%
CenturyLink, Inc................................................................ 536,163 20,674,445 0.7%
Verizon Communications, Inc..................................................... 855,430 34,542,263 1.1%
Other Securities................................................................ 20,559,510 0.6%
-------------- ----
Total Telecommunication Services................................................... 209,585,184 6.6%
-------------- ----
Utilities -- (0.5%)
Other Securities................................................................ 18,320,919 0.6%
-------------- ----
TOTAL COMMON STOCKS................................................................ 3,170,514,692 99.6%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds TempCash Portfolio--Institutional Shares.............. 11,813,025 11,813,025 0.4%
-------------- ----
SHARES/ FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (5.2%)
(S) @DFA Short Term Investment Fund................................................ 174,346,139 174,346,139 5.5%
@Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12
(Collateralized by $1,603,475 FNMA, rates ranging from 2.000% to
6.331%(r), maturities ranging from 01/01/19 to 09/01/45, valued at
$1,608,446) to be repurchased at $1,556,774............................. $ 1,557 1,556,765 0.0%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL................................................ 175,902,904 5.5%
-------------- ----
30
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS
-------------- -------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,770,249,146)........ $3,358,230,621 105.5%
============== =====
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary..... $ 583,600,655 -- -- $ 583,600,655
Consumer Staples........... 255,254,817 -- -- 255,254,817
Energy..................... 498,454,745 -- -- 498,454,745
Financials................. 519,149,212 -- -- 519,149,212
Health Care................ 304,785,257 -- -- 304,785,257
Industrials................ 480,916,192 $ 14,230 -- 480,930,422
Information Technology..... 193,645,320 -- -- 193,645,320
Materials.................. 106,788,107 -- -- 106,788,107
Other...................... -- 54 -- 54
Telecommunication Services. 209,585,184 -- -- 209,585,184
Utilities.................. 18,320,919 -- -- 18,320,919
Temporary Cash Investments.. 11,813,025 -- -- 11,813,025
Securities Lending
Collateral................ -- 175,902,904 -- 175,902,904
-------------- ------------ -- --------------
TOTAL....................... $3,182,313,433 $175,917,188 -- $3,358,230,621
============== ============ == ==============
See accompanying Notes to Financial Statements.
31
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE DFA THE U.S. THE
INTERNATIONAL LARGE CAP TAX-MANAGED
VALUE VALUE U.S. MARKETWIDE
SERIES SERIES VALUE SERIES
------------- ----------- ---------------
ASSETS:
Investments at Value (including $1,116,551, $767,016 and $171,212 of securities on
loan, respectively).............................................................. $7,118,031 $10,142,405 $3,170,515
Temporary Cash Investments at Value & Cost......................................... -- 31,845 11,813
Collateral Received from Securities on Loan at Value & Cost ....................... 197 364 1,557
Affiliated Collateral Received from Securities on Loan at Value & Cost............. 1,174,000 785,569 174,346
Foreign Currencies at Value........................................................ 24,978 -- --
Cash............................................................................... 18,001 -- --
Receivables:
Investment Securities Sold........................................................ 19,106 23,112 1,961
Dividends, Interest and Tax Reclaims.............................................. 39,352 9,932 3,494
Securities Lending Income......................................................... 2,958 604 153
Fund Shares Sold.................................................................. 2,585 1,481 40
Unrealized Gain on Foreign Currency Contracts...................................... 25 -- --
Prepaid Expenses and Other Assets.................................................. 188 14 5
---------- ----------- ----------
Total Assets.................................................................... 8,399,421 10,995,326 3,363,884
---------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................................. 1,174,197 785,933 175,903
Investment Securities Purchased................................................... 27,304 41,572 3,417
Fund Shares Redeemed.............................................................. 399 778 --
Due to Advisor.................................................................... 1,191 844 529
Unrealized Loss on Foreign Currency Contracts...................................... 9 -- --
Accrued Expenses and Other Liabilities............................................. 412 504 154
---------- ----------- ----------
Total Liabilities............................................................... 1,203,512 829,631 180,003
---------- ----------- ----------
NET ASSETS......................................................................... $7,195,909 $10,165,695 $3,183,881
========== =========== ==========
Investments at Cost................................................................ $6,703,555 $ 7,709,892 $2,582,534
---------- ----------- ----------
Foreign Currencies at Cost......................................................... $ 24,804 $ -- $ --
---------- ----------- ----------
See accompanying Notes to Financial Statements.
32
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE DFA THE U.S. THE
INTERNATIONAL LARGE CAP TAX-MANAGED
VALUE VALUE U.S. MARKETWIDE
SERIES SERIES VALUE SERIES
------------- --------- ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $9,473, $0 and $0,
respectively)................................................ $ 122,522 $103,969 $ 31,743
Interest....................................................... 1 12 8
Income from Securities Lending................................. 6,168 5,560 1,352
--------- -------- --------
Total Investment Income.................................. 128,691 109,541 33,103
--------- -------- --------
EXPENSES
Investment Advisory Services Fees.............................. 6,964 4,868 3,035
Accounting & Transfer Agent Fees............................... 333 458 150
Custodian Fees................................................. 628 50 22
Shareholders' Reports.......................................... 18 24 7
Directors'/Trustees' Fees & Expenses........................... 28 38 12
Professional Fees.............................................. 84 189 48
Other.......................................................... 53 56 15
--------- -------- --------
Total Expenses........................................... 8,108 5,683 3,289
--------- -------- --------
Fees Paid Indirectly........................................... (10) -- --
--------- -------- --------
Net Expenses................................................... 8,098 5,683 3,289
--------- -------- --------
NET INVESTMENT INCOME (LOSS)................................... 120,593 103,858 29,814
--------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold................................... 99,828 223,634 39,721
Foreign Currency Transactions................................ (798) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... (142,403) 667,097 253,956
Translation of Foreign Currency Denominated Amounts.......... 843 -- --
--------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................ (42,530) 890,731 293,677
--------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS..................................................... $ 78,063 $994,589 $323,491
========= ======== ========
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE DFA INTERNATIONAL THE U.S. LARGE CAP THE TAX-MANAGED U.S.
VALUE SERIES VALUE SERIES MARKETWIDE VALUE SERIES
----------------------- ------------------------ ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011 2012 2011
----------- ----------- ----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............. $ 120,593 $ 254,173 $ 103,858 $ 168,852 $ 29,814 $ 47,870
Net Realized Gain (Loss) on:
Investment Securities Sold.............. 99,828 161,341 223,634 387,017 39,721 84,152
Futures................................. -- -- -- (12,646) -- --
Foreign Currency Transactions........... (798) 506 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.............................. (142,403) (1,021,735) 667,097 (74,679) 253,956 37,055
Translation of Foreign Currency
Denominated Amounts................... 843 (517) -- -- -- --
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................ 78,063 (606,232) 994,589 468,544 323,491 169,077
---------- ----------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions........................... 362,469 900,473 251,235 1,230,772 61,244 200,009
Withdrawals............................. (200,530) (257,967) (415,236) (1,180,609) (102,179) (138,434)
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest.......... 161,939 642,506 (164,001) 50,163 (40,935) 61,575
---------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets........................ 240,002 36,274 830,588 518,707 282,556 230,652
NET ASSETS
Beginning of Period....................... 6,955,907 6,919,633 9,335,107 8,816,400 2,901,325 2,670,673
---------- ----------- ----------- ----------- ---------- ----------
End of Period............................. $7,195,909 $ 6,955,907 $10,165,695 $ 9,335,107 $3,183,881 $2,901,325
========== =========== =========== =========== ========== ==========
See accompanying Notes to Financial Statements.
34
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE DFA INTERNATIONAL VALUE SERIES+
------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return...................... 1.08%(C) (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% 35.73%
Net Assets, End of Period
(thousands)..................... $7,195,909 $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%(B) 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%(B) 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23%
Ratio of Net Investment Income to
Average Net Assets.............. 3.48%(B) 3.47% 2.55% 3.22% 4.15%(B) 3.04% 3.29%
Portfolio Turnover Rate........... 8%(C) 9% 20% 18% 16%(C) 16% 8%
THE U.S. LARGE CAP VALUE SERIES+
--------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ----------- ----------
(UNAUDITED)
Total Return...................... 10.72%(C) 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% 18.16%
Net Assets, End of Period
(thousands)..................... $10,165,695 $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%(B) 0.12% 0.12% 0.13% 0.11%(B) 0.11% 0.12%
Ratio of Net Investment Income to
Average Net Assets.............. 2.15%(B) 1.79% 2.02% 2.42% 1.97%(B) 1.44% 1.68%
Portfolio Turnover Rate........... 6%(C) 14% 28% 29% 19%(C) 9% 13%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
-----------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return...................... 11.27%(C) 6.33% 20.38% 12.76% (37.44)%(C) 0.67% 17.70%
Net Assets, End of Period
(thousands)..................... $3,183,881 $2,901,325 $2,670,673 $2,289,927 $2,190,724 $3,858,580 $3,521,559
Ratio of Expenses to Average Net
Assets.......................... 0.22%(B) 0.22% 0.22% 0.23% 0.22%(B) 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets.............. 1.98%(B) 1.61% 1.40% 2.23% 2.09%(B) 1.61% 1.63%
Portfolio Turnover Rate........... 8%(C) 20% 25% 28% 40%(C) 21% 21%
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
35
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational investment portfolios, of which The DFA
International Value Series, The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series (the "Series") are presented in this section of
the report.
Effective December 31, 2008, The U.S. Large Cap Value Series and on
November 1, 2008, The DFA International Value Series, respectively, each a
master fund in a RIC/RIC master-feeder structure, elected with the consent of
their respective Holder(s) to change their U.S. federal income tax
classification from that of an association taxable as a corporation to a
partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in
capital structure and retroactive reclassification of the statement of changes
in net assets and financial highlights for the respective funds is a result of
the treatment of a partnership for book purposes. Each Series/Portfolio will
maintain its books and records and present its financial statements in
accordance with generally accepted accounting principles for investment
partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
- Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-ended investment
companies, futures contracts)
- Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
- Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. 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.
36
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. Fair value pricing may also be used if events
that have a significant effect on the value of an investment (as determined in
the discretion of the Investment Committee of the Advisor) occur before the net
asset value is calculated. When fair value pricing is used, the prices of
securities used by the Series may differ from the quoted or published prices
for the same securities on their primary markets or exchanges.
The DFA International Value Series (the "International Series") will also
fair value price in the circumstances described below. Generally, trading in
foreign securities markets is completed each day at various times prior to the
close of the NYSE. For example, trading in the Japanese securities markets is
completed each day at the close of the Tokyo Stock Exchange (normally 11:00
p.m. PT), which is fourteen hours prior to the close of the NYSE (normally 1:00
p.m. PT) and the time that the net asset value of the International Series is
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Series prices its
shares at the close of the NYSE, the International Series will fair value its
foreign investments when it is determined that the market quotations for the
foreign investments are either unreliable or not readily available. The fair
value prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Series' foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Directors/Trustees of the International Series has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the International Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. 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 previously in the Security
Valuation note. Valuation hierarchy tables have been included at the end of the
Summary Schedule of Portfolio Holdings. The inputs or methodology used for
valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
The Series did not have any significant transfers between Level 1 and Level
2 during the six months ended April 30, 2012.
2. Foreign Currency Translation: Securities and other assets and liabilities
of The DFA International Value Series whose values are initially expressed in
foreign currencies, are translated to U.S. dollars using the mean between the
most recently quoted bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates, and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The DFA International Value Series does not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on The DFA International Value
Series books and the U.S. dollar equivalent amounts actually received or paid.
37
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 April 30, 2012, 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 DFA International Value Series may be subject to taxes imposed by
countries in which it invests, with respect to its investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The DFA International Value Series accrues such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales of foreign investors. In addition, if
there is a deterioration in a country's balance of payments or for other
reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended April 30,
2012, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.20%, 0.10% and 0.20% of
average daily net assets for The DFA International Value Series, The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series, respectively.
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 six
months ended April 30, 2012, expenses reduced were as follows (amount in
thousands):
38
FEES PAID
INDIRECTLY
----------
The DFA International Value
Series.................... $10
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2012, the total
related amounts paid by the Trust to the CCO were $41 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
The DFA International Value Series.... $195
The U.S. Large Cap Value Series....... 252
The Tax-Managed U.S. Marketwide Value
Series.............................. 76
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, the Series made the following
purchases and sales of investment securities, other than short-term investments
and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- --------
The DFA International Value Series.... $814,499 $542,286
The U.S. Large Cap Value Series....... 569,377 633,876
The Tax-Managed U.S. Marketwide Value
Series.............................. 234,158 246,246
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2012, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
The DFA International Value Series.... $7,879,341 $1,169,037 $(756,150) $ 412,887
The U.S. Large Cap Value Series....... 8,527,971 2,786,176 (353,964) 2,432,212
The Tax-Managed U.S. Marketwide Value
Series.............................. 2,770,921 815,442 (228,132) 587,310
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial
39
statements. No Series 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. The Series' federal tax returns for the prior
three fiscal years remain subject to examination by the Internal Revenue
Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S) 301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S) 336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S) 331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S) 334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
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 Market Risks: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States of America, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States of
America. Consequently, acquisition and disposition of international securities
by the Series may be inhibited.
40
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Series deposits cash or pledges U.S. Government securities to a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Series as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Series records a realized gain or
loss, which is presented in the Statements of Operations as a net realized gain
or loss on futures, equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities and 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.
At April 30, 2012, the Series had no outstanding 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 July 6,
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. There were no borrowings by
the Series under this line of credit during the six months ended April 30, 2012.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013.
For the six months ended April 30, 2012, borrowings under this line of
credit by the Series were as follows (amounts in thousands, except percentages
and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The DFA International Value Series.... 0.82% $15,357 4 $1 $15,549
The U.S. Large Cap Value Series....... 0.86% 14,147 27 9 58,537
The Tax-Managed U.S. Marketwide Value
Series.............................. 0.82% 2,911 8 1 7,679
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2012 that each Series' available line
of credit was utilized.
41
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2012.
I. SECURITIES LENDING:
As of April 30, 2012, some of the Series had securities on loan to
brokers/dealers, for which each such Series received cash collateral. Each
Series with securities on loan 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 with securities on
loan 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. Such Series also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Series with securities on loan will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In May 2011, the FASB issued ASU No. 2011-04 "Amendments to Achieve Common
Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted
Accounting Principles ("GAAP") and International Financial Reporting Standards
("IFRSs")." ASU 2011-04 includes common requirements for measurement of and
disclosure about fair value between U.S. GAAP and IFRSs. ASU 2011-04 will
require reporting entities to disclose quantitative information about the
unobservable inputs used in the fair value measurements categorized within
Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require
reporting entities to make disclosures about amounts and reasons for all
transfers in and out of Level 1 and Level 2 fair value measurements. The new
and revised disclosures are effective for interim and annual reporting periods
beginning after December 15, 2011. At this time, management is evaluating the
implications of ASU No. 2011-04 and its impact on the financial statements has
not been determined.
42
L. OTHER:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of 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 and The Tax-Managed U.S. Marketwide 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 have
been consolidated into a single Multidistrict Litigation action in federal
court for pretrial proceedings. 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 and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits does not believe that it is
possible, at this early stage in the proceedings, to predict with any
reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full
recovery they seek, the amount would be less than 1% of The U.S. Large Cap
Value Series' and The Tax-Managed U.S. Marketwide Value Series' net asset value
at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot predict what their size might be at the time the cost of the
Lawsuits might be quantifiable and thus potentially deducted from their net
asset value. Therefore, at this time, those buying or redeeming shares of The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
will pay or receive, as the case may be, a price based on net asset value of
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series as incurred and
in a manner similar to any other expense incurred by The U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
43
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (512) 306-7400. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dimensional.com and reflects the twelve-month period beginning
July 1st and ending June 30th.
44
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 16, 2011 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements for each series
(collectively, the "Funds") and the sub-advisory agreements for The DFA
International Value Series. For the DFA International Value Series, Dimensional
Fund Advisors Ltd. and DFAAustralia Limited each serve as a sub-advisor. (The
investment management agreements and the sub-advisory agreements are referred
to as the "Advisory Agreements," and the Advisor and sub-advisors are referred
to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative
45
fees paid by the feeder portfolios. The Board considered the profitability to
the Advisor of managing the Funds and other "non-1940 Act registered"
investment vehicles. Upon closely examining the Advisor's profitability, the
Board concluded, among other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
46
[RECYCLED RECYCLABLE LOGO] DFA043012-008S
[DIMENSIONAL LOGO]
SEMI-ANNUAL REPORT
--------------------------------------------
six months ended: April 30, 2012 (Unaudited)
DIMENSIONAL INVESTMENT GROUP INC.
DFA International Value Portfolio IV
Emerging Markets Portfolio II
[DIMENSIONAL LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2012
Dear Fellow Shareholder,
At Dimensional, we believe the market force works for investors. This belief
has been at the core of our investment philosophy for more than 30 years.
Consistency is an important part of what makes Dimensional different. As we
continue expanding to pursue business opportunities globally, having a
consistent philosophy helps us stay focused on the things that have been key to
Dimensional's success. Most important is our goal to always act in the best
interests of our clients, and thereby earning and maintaining trust by striving
to do what we say we are going to do. It is Dimensional's goal to deliver an
opportunity for all our clients to have a good lifetime investment experience.
Sincerely,
-s- David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............. 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses......................... 2
Disclosure of Portfolio Holdings.................... 4
Schedules of Investments
DFA International Value Portfolio IV............ 5
Emerging Markets Portfolio II................... 5
Statements of Assets and Liabilities................ 6
Statements of Operations............................ 7
Statements of Changes in Net Assets................. 8
Financial Highlights................................ 9
Notes to Financial Statements....................... 10
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses......................... 16
Disclosure of Portfolio Holdings.................... 17
Summary Schedules of Portfolio Holdings
The DFA International Value Series.............. 18
The Emerging Markets Series..................... 22
Statements of Assets and Liabilities................ 26
Statements of Operations............................ 27
Statements of Changes in Net Assets................. 28
Financial Highlights................................ 29
Notes to Financial Statements....................... 30
VOTING PROXIES ON FUND PORTFOLIO SECURITIES............ 37
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS....... 38
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial
Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated
as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not represent more than 1.0% of the net assets of the Fund. Some of
the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
---------------------
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO IV
------------------------------------
Actual Fund Return................... $1,000.00 $1,011.30 0.29% $1.45
Hypothetical 5% Annual Return........ $1,000.00 $1,023.42 0.29% $1.46
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
EMERGING MARKETS PORTFOLIO II
-----------------------------
Actual Fund Return...................... $1,000.00 $1,046.14 0.39% $1.98
Hypothetical 5% Annual Return........... $1,000.00 $1,022.92 0.39% $1.96
--------
* 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 (182), then
divided by the number of days in the year (366) to reflect the six-month
period. The Portfolio is a Feeder Fund. The expenses shown reflect the
direct expenses of the Feeder Fund and the indirect payment of the Feeder
Fund's portion of the expenses of its Master Fund (Affiliated Investment
Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2012. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Master Funds' holdings which reflect the
investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
DFA International Value Portfolio IV.... 100.0%
Emerging Markets Portfolio II........... 100.0%
4
DFA INTERNATIONAL VALUE PORTFOLIO IV
SCHEDULES OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company.......................... $308,569,248
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $286,232,901).................................... $308,569,248
============
Summary of the Portfolio's Master Fund's Investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
EMERGING MARKETS PORTFOLIO II
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company.......................... $129,115,600
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $50,346,132)..................................... $129,115,600
============
Summary of the Portfolio's Master Fund's Investments as of April 30, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA INTERNATIONAL EMERGING MARKETS
VALUE PORTFOLIO IV PORTFOLIO II
------------------ ----------------
ASSETS:
Investment in Affiliated Investment Company at Value...................................... $ 308,569 $ 129,116
Receivables:
Affiliated Investment Company Sold..................................................... 174 139
Prepaid Expenses and Other Assets......................................................... 1 --
------------ ------------
Total Assets....................................................................... 308,744 129,255
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................... 174 139
Due to Advisor......................................................................... 7 17
Accrued Expenses and Other Liabilities.................................................... 26 21
------------ ------------
Total Liabilities.................................................................. 207 177
------------ ------------
NET ASSETS................................................................................ $ 308,537 $ 129,078
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................... 25,232,097 5,052,675
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................. $ 12.23 $ 25.55
============ ============
Investment in Affiliated Investment Company at Cost....................................... $ 286,233 $ 50,347
------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 333,030 $ 111,909
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 3,513 463
Accumulated Net Realized Gain (Loss)...................................................... (50,415) (62,061)
Net Unrealized Foreign Exchange Gain (Loss)............................................... 73 (2)
Net Unrealized Appreciation (Depreciation)................................................ 22,336 78,769
------------ ------------
NET ASSETS................................................................................ $ 308,537 $ 129,078
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................... 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
INTERNATIONAL EMERGING
VALUE MARKETS
PORTFOLIO IV PORTFOLIO II
------------- ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $412 and $109,
respectively)............................................... $ 5,335 $1,060
Income from Securities Lending................................ 267 113
Expenses Allocated from Affiliated Investment Company......... (351) (115)
-------- ------
Total Investment Income................................ 5,251 1,058
-------- ------
EXPENSES
Administrative Services Fees.................................. 40 93
Accounting & Transfer Agent Fees.............................. 8 7
Filing Fees................................................... 15 15
Shareholders' Reports......................................... 10 4
Directors'/Trustees' Fees & Expenses.......................... 1 1
Audit Fees.................................................... 1 1
Legal Fees.................................................... 5 2
Other......................................................... 2 1
-------- ------
Total Expenses......................................... 82 124
-------- ------
NET INVESTMENT INCOME (LOSS).................................. 5,169 934
-------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold................................ 11,836 1,544
Foreign Currency Transactions............................. (34) (23)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities..................................... (14,444) 2,758
Translation of Foreign Currency Denominated Amounts....... 42 (1)
-------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... (2,600) 4,278
-------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.. $ 2,569 $5,212
======== ======
--------
Investment Income and Realized and Unrealized Gain (Loss) were allocated from
each Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE PORTFOLIO IV EMERGING MARKETS PORTFOLIO II
----------------------------------- -----------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2012 OCT. 31, 2011 APRIL 30, 2012 OCT. 31, 2011
---------------- ------------- ---------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 5,169 $ 12,254 $ 934 $ 3,409
Net Realized Gain (Loss) on:
Investment Securities Sold.............. 11,836 13,017 1,544 8,578
Foreign Currency Transactions........... (34) 34 (23) (61)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities................... (14,444) (52,965) 2,758 (20,798)
Translation of Foreign Currency
Denominated Amounts................... 42 (37) (1) (6)
Change in Deferred Thailand Capital
Gains Tax................................. -- -- -- 136
-------- -------- -------- --------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 2,569 (27,697) 5,212 (8,742)
-------- -------- -------- --------
Distributions From:
Net Investment Income....................... (12,847) (8,815) (3,260) (3,370)
-------- -------- -------- --------
Total Distributions.................. (12,847) (8,815) (3,260) (3,370)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued............................... 20,287 31,290 11,014 16,907
Shares Issued in Lieu of Cash
Distributions............................. 12,847 8,815 3,260 3,370
Shares Redeemed............................. (22,793) (48,655) (13,155) (38,249)
-------- -------- -------- --------
Net Increase (Decrease) from
Capital Share Transactions......... 10,341 (8,550) 1,119 (17,972)
-------- -------- -------- --------
Total Increase (Decrease) in
Net Assets......................... 63 (45,062) 3,071 (30,084)
NET ASSETS
Beginning of Period......................... 308,474 353,536 126,007 156,091
-------- -------- -------- --------
End of Period............................... $308,537 $308,474 $129,078 $126,007
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 1,621 2,153 430 614
Shares Issued in Lieu of Cash
Distributions............................. 1,151 630 144 123
Shares Redeemed............................. (1,878) (3,444) (533) (1,395)
-------- -------- -------- --------
Net Increase (Decrease) from
Shares Issued and Redeemed......... 894 (661) 41 (658)
======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)........................... $ 3,513 $ 11,191 $ 463 $ 2,789
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO IV
-------------------------------------------------------------------------------
SIX
MONTHS YEAR YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007 2006
----------- -------- -------- -------- ------------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 12.67 $ 14.14 $ 13.09 $ 10.46 $ 21.23 $ 18.85 $ 14.63
-------- -------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)(A)....... 0.21 0.49 0.33 0.34 0.62 0.63 0.57
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.12) (1.61) 1.09 3.05 (10.29) 2.53 4.41
-------- -------- -------- -------- -------- -------- --------
Total from Investment Operations.... 0.09 (1.12) 1.42 3.39 (9.67) 3.16 4.98
-------- -------- -------- -------- -------- -------- --------
Less Distributions
------------------
Net Investment Income................. (0.53) (0.35) (0.37) (0.76) (0.64) (0.48) (0.36)
Net Realized Gains.................... -- -- -- -- (0.46) (0.30) (0.40)
-------- -------- -------- -------- -------- -------- --------
Total Distributions................. (0.53) (0.35) (0.37) (0.76) (1.10) (0.78) (0.76)
-------- -------- -------- -------- -------- -------- --------
Net Asset Value, End of Period.......... $ 12.23 $ 12.67 $ 14.14 $ 13.09 $ 10.46 $ 21.23 $ 18.85
======== ======== ======== ======== ======== ======== ========
Total Return............................ 1.13%(C) (8.13)% 11.12% 35.27% (47.88)%(C) 17.32% 35.65%
-------- -------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands)... $308,537 $308,474 $353,536 $349,042 $303,822 $729,621 $565,255
Ratio of Expenses to Average Net
Assets (D)............................. 0.29%(B) 0.28% 0.28% 0.30% 0.26%(B) 0.25% 0.27%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) (D)....................... 0.29%(B) 0.28% 0.28% 0.30% 0.26%(B) 0.25% 0.27%
Ratio of Net Investment Income to
Average Net Assets..................... 3.44%(B) 3.45% 2.52% 3.28% 3.93%(B) 3.07% 3.42%
-------- -------- -------- -------- -------- -------- --------
EMERGING MARKETS PORTFOLIO II
------------------------------------------------------------------------------
SIX
MONTHS YEAR YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED DEC. 1, 2007 ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, TO NOV. 30, NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007 2006
----------- -------- -------- -------- ------------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 25.14 $ 27.53 $ 22.13 $ 15.24 $ 30.01 $ 21.50 $ 16.79
-------- -------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)(A)....... 0.19 0.63 0.48 0.41 0.68 0.53 0.45
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.89 (2.42) 5.37 7.29 (14.92) 8.42 4.74
-------- -------- -------- -------- -------- -------- -------
Total from Investment Operations.... 1.08 (1.79) 5.85 7.70 (14.24) 8.95 5.19
-------- -------- -------- -------- -------- -------- -------
Less Distributions
------------------
Net Investment Income................. (0.67) (0.60) (0.45) (0.81) (0.31) (0.44) (0.48)
Net Realized Gains.................... -- -- -- -- (0.22) -- --
-------- -------- -------- -------- -------- -------- -------
Total Distributions................. (0.67) (0.60) (0.45) (0.81) (0.53) (0.44) (0.48)
-------- -------- -------- -------- -------- -------- -------
Net Asset Value, End of Period.......... $ 25.55 $ 25.14 $ 27.53 $ 22.13 $ 15.24 $ 30.01 $ 21.50
======== ======== ======== ======== ======== ======== =======
Total Return............................ 4.61%(C) (6.68)% 26.80% 53.72% (48.27)%(C) 42.40% 31.67%
-------- -------- -------- -------- -------- -------- -------
Net Assets, End of Period (thousands)... $129,078 $126,007 $156,091 $142,206 $112,592 $310,627 $62,633
Ratio of Expenses to Average Net
Assets (D)............................. 0.39%(B) 0.39% 0.37% 0.39% 0.35%(B) 0.39% 0.35%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) (D)....................... 0.39%(B) 0.39% 0.37% 0.39% 0.35%(B) 0.43% 0.74%
Ratio of Net Investment Income to
Average Net Assets..................... 1.51%(B) 2.28% 2.00% 2.42% 2.82%(B) 2.13% 2.38%
-------- -------- -------- -------- -------- -------- -------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, of
which DFA International Value Portfolio IV and Emerging Markets Portfolio II
(the "Portfolios") are presented in this report.
DFA International Value Portfolio IV and Emerging Markets Portfolio II
primarily invest their assets in The DFA International Value Series and The
Emerging Markets Series (the "Series"), respectively, each a corresponding
Series of The DFA Investment Trust Company. At April 30, 2012, DFA
International Value Portfolio IV and Emerging Markets Portfolio II owned 4% and
5% of their respective Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolios.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies, futures
contracts)
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
- Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolios' investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in the Security Valuation note. The inputs or methodology
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities.
10
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2012.
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 April 30, 2012, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities from the Series', which is treated as a partnership for
federal income tax purposes. Dividend income and distributions to shareholders
are recorded on the ex-dividend date. Distributions received on securities that
represent a return of capital or capital gain are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of distributions received that may be considered return
of capital distributions. Expenses directly attributable to the Portfolios are
directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors/Trustees, generally based on average net
assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") provides
administrative services to the Portfolios, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Series. For the six months ended April 30,
2012, the Portfolios' administrative services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.20% of the first
$40 million of average daily net assets and no fees on assets exceeding $40
million for DFA International Value Portfolio IV and based on an effective
annual rate of 0.15% of average daily net assets for Emerging Markets Portfolio
II.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2012, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
11
D. DEFERRED COMPENSATION:
At April 30, 2012, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio IV.... $11
Emerging Markets Portfolio II........... 5
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2011, primarily attributable to net foreign
currency gains/losses, realized gains on securities considered to be "passive
foreign investment companies" and distribution redesignations, were classified
to the following accounts. The reclassifications had no effect on net assets or
net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAINS (LOSSES)
-------------- --------------
DFA International Value Portfolio IV.... $ 71 $(71)
Emerging Markets Portfolio II........... (61) 61
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
-------------- ------------- ------
DFA International Value Portfolio IV
2010........................................................ $9,866 -- $9,866
2011........................................................ 8,815 -- 8,815
Emerging Markets Portfolio II
2010........................................................ 2,834 -- 2,834
2011........................................................ 3,370 -- 3,370
At October 31, 2011, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS/
SHORT-TERM LONG-TERM LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES)
------------- ------------- ------------ -------------
DFA International Value Portfolio IV.... $11,314 -- $(62,206) $(50,892)
Emerging Markets Portfolio II........... 2,795 -- (63,588) (60,793)
12
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of October 31, 2011, DFA International Value Portfolio IV and Emerging
Markets Portfolio II Portfolios had capital loss carryforwards of $62,206 and
$63,588 (in thousands), respectively, available to offset future realized
capital gains through October 31, 2016. During the year ended October 31, 2011,
DFA International Value Portfolio IV and Emerging Markets Portfolio II
Portfolios utilized capital loss carryforwards to offset realized capital gains
for federal income tax purposes in the amount of $12,980 and $8,638 (in
thousands), respectively.
At April 30, 2012, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------- ------------ -------------- --------------
DFA International Value Portfolio IV.... $286,301 $66,271 $(44,003) $22,268
Emerging Markets Portfolio II........... 50,437 78,679 -- 78,679
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 in a tax return. Management has analyzed the Portfolios' tax
position and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are not aware
of any tax 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 Portfolios' federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure with five RIC feeders and other direct client
investor(s), made a "Check-the-box" election for federal income tax purposes
pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity
classification from a corporation taxable as a regulated investment company to
a partnership. As a result of this election, the master fund is deemed to have
distributed all of its assets and liabilities, in a taxable transaction, to its
shareholders in liquidation of the master fund. Immediately thereafter, the
shareholders contributed all of the distributed assets and liabilities to a
newly formed partnership. The final tax year end of The DFA International Value
Series was October 31, 2008. For Federal income tax purposes, pursuant to
Internal Revenue Code (S)336(a), the master fund recognizes gain or loss as if
the master's investment securities were sold to its shareholders and, pursuant
to IRC Code (S)331, each of the Portfolios recognizes gain or loss as if it
liquidated its investment in the master. As a result of the transaction, The
DFA International Value Series recognized a ($2,309,440,866) and ($718,733)
capital and currency loss respectively for tax year ended October 31, 2008. For
tax purposes, pursuant to IRC Code (S)334(a), each of the Portfolios will take
a fair market value basis in the securities deemed received by them and a new
holding period for those securities commences on the deemed liquidation date.
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into 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 July 6,
2012. The Fund, together with other Dimensional-advised portfolios, expects to
enter into a new line of
13
credit with substantially the same terms as its existing line of credit prior
to its expiration. There were no borrowings by the Portfolios under this line
of credit during the six months ended April 30, 2012.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013. There were no borrowings by the Portfolios under this line of
credit during the six months ended April 30, 2012.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of the
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. RECENTLY ISSUED ACCOUNTING STANDARDS:
In 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.
14
I. OTHER:
At April 30, 2012, the following number of shareholders held the following
approximate percentages of outstanding shares of the Portfolios.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA International Value Portfolio IV.... 1 100%
Emerging Markets Portfolio II........... 2 100%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
J. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
15
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/11 04/30/12 RATIO* PERIOD*
--------- --------- ---------- --------
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,010.76 0.23% $1.15
Hypothetical 5% Annual Return...... $1,000.00 $1,023.72 0.23% $1.16
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return................. $1,000.00 $1,046.84 0.19% $0.97
Hypothetical 5% Annual Return...... $1,000.00 $1,023.92 0.19% $0.96
--------
* 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 (182), then
divided by the number of days in the year (366) to reflect the six-month
period.
16
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31.The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2012. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all Funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
INTERNATIONAL EQUITY PORTFOLIOS
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary.................. 12.3%
Consumer Staples........................ 5.4%
Energy.................................. 14.3%
Financials.............................. 27.7%
Health Care............................. 1.7%
Industrials............................. 10.8%
Information Technology.................. 2.8%
Materials............................... 13.3%
Other................................... --
Telecommunication Services.............. 8.3%
Utilities............................... 3.4%
-----
100.0%
THE EMERGING MARKET SERIES
Consumer Discretionary.................. 8.6%
Consumer Staples........................ 9.6%
Energy.................................. 13.2%
Financials.............................. 22.1%
Health Care............................. 1.2%
Industrials............................. 7.2%
Information Technology.................. 13.7%
Materials............................... 12.9%
Other................................... --
Telecommunication Services.............. 8.0%
Utilities............................... 3.5%
-----
100.0%
17
THE DFA INTERNATIONAL VALUE SERIES
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (85.6%)
AUSTRALIA -- (4.2%)
National Australia Bank, Ltd................... 1,490,363 $ 38,957,024 0.5%
Wesfarmers, Ltd................................ 2,578,622 80,973,411 1.1%
Other Securities............................... 226,937,336 3.2%
------------ ----
TOTAL AUSTRALIA................................... 346,867,771 4.8%
------------ ----
AUSTRIA -- (0.3%)
Other Securities............................... 21,553,007 0.3%
------------ ----
BELGIUM -- (0.8%)
Other Securities............................... 62,916,268 0.9%
------------ ----
CANADA -- (10.6%)
#Encana Corp.................................... 2,051,015 42,957,433 0.6%
#Goldcorp, Inc.................................. 1,677,120 64,225,793 0.9%
#Manulife Financial Corp........................ 4,206,497 57,528,749 0.8%
#Sun Life Financial, Inc........................ 1,513,735 37,113,592 0.5%
Suncor Energy, Inc............................. 3,486,786 115,173,181 1.6%
#Teck Resources, Ltd. Class B................... 1,483,730 55,362,948 0.8%
#Thomson Reuters Corp........................... 1,832,184 54,751,300 0.7%
#TransCanada Corp............................... 1,575,808 69,326,938 1.0%
Other Securities............................... 383,877,001 5.3%
------------ ----
TOTAL CANADA...................................... 880,316,935 12.2%
------------ ----
DENMARK -- (1.2%)
Other Securities............................... 102,335,685 1.4%
------------ ----
FINLAND -- (0.5%)
Other Securities............................... 40,320,948 0.6%
------------ ----
FRANCE -- (7.7%)
#AXA SA......................................... 4,058,877 57,677,147 0.8%
BNP Paribas SA................................. 1,248,772 50,399,590 0.7%
Cie de Saint-Gobain SA......................... 1,039,077 43,626,019 0.6%
France Telecom SA.............................. 3,803,372 52,136,748 0.7%
GDF Suez SA.................................... 2,974,295 68,480,750 1.0%
#Societe Generale SA............................ 1,558,512 36,896,510 0.5%
#Vivendi SA..................................... 3,567,218 65,981,070 0.9%
Other Securities............................... 265,365,392 3.7%
------------ ----
TOTAL FRANCE...................................... 640,563,226 8.9%
------------ ----
GERMANY -- (7.0%)
Allianz SE..................................... 330,017 36,810,454 0.5%
Bayerische Motoren Werke AG.................... 660,431 62,814,886 0.9%
Daimler AG..................................... 2,088,586 115,564,409 1.6%
Deutsche Bank AG............................... 1,039,440 45,125,200 0.6%
#Deutsche Telekom AG Sponsored ADR.............. 3,099,741 35,337,047 0.5%
#E.ON AG........................................ 2,894,296 65,531,861 0.9%
#Munchener Rueckversicherungs-Gesellschaft AG... 395,244 57,409,200 0.8%
Other Securities............................... 159,791,238 2.2%
------------ ----
TOTAL GERMANY..................................... 578,384,295 8.0%
------------ ----
GREECE -- (0.1%)
Other Securities............................... 4,120,169 0.1%
------------ ----
HONG KONG -- (1.7%)
Hutchison Whampoa, Ltd......................... 5,618,000 53,856,729 0.7%
18
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
HONG KONG -- (Continued)
Other Securities.......................... $ 83,058,768 1.2%
-------------- ----
TOTAL HONG KONG.............................. 136,915,497 1.9%
-------------- ----
IRELAND -- (0.2%)
Other Securities.......................... 17,279,741 0.2%
-------------- ----
ISRAEL -- (0.6%)
Other Securities.......................... 47,664,525 0.7%
-------------- ----
ITALY -- (1.2%)
Other Securities.......................... 102,282,841 1.4%
-------------- ----
JAPAN -- (17.4%)
Mitsubishi Corp........................... 2,411,300 52,257,599 0.7%
Mitsubishi Heavy Industries, Ltd.......... 9,007,000 40,846,959 0.6%
Mitsubishi UFJ Financial Group, Inc....... 17,167,906 82,431,923 1.2%
Mitsui & Co., Ltd......................... 2,469,100 38,556,482 0.5%
Sumitomo Corp............................. 3,241,900 46,071,274 0.6%
#Toyota Motor Corp. Sponsored ADR.......... 673,198 55,054,132 0.8%
Other Securities.......................... 1,131,567,900 15.7%
-------------- ----
TOTAL JAPAN.................................. 1,446,786,269 20.1%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities.......................... -- 0.0%
-------------- ----
NETHERLANDS -- (2.3%)
ArcelorMittal NV.......................... 2,446,831 42,506,116 0.6%
Koninklijke Philips Electronics NV........ 1,939,039 38,587,673 0.5%
Other Securities.......................... 113,298,898 1.6%
-------------- ----
TOTAL NETHERLANDS............................ 194,392,687 2.7%
-------------- ----
NEW ZEALAND -- (0.1%)
Other Securities.......................... 5,484,801 0.1%
-------------- ----
NORWAY -- (1.0%)
Other Securities.......................... 86,545,255 1.2%
-------------- ----
PORTUGAL -- (0.1%)
Other Securities.......................... 8,206,069 0.1%
-------------- ----
SINGAPORE -- (1.0%)
Other Securities.......................... 79,091,216 1.1%
-------------- ----
SPAIN -- (1.4%)
Other Securities.......................... 114,294,255 1.6%
-------------- ----
SWEDEN -- (2.6%)
Nordea Bank AB............................ 5,275,564 46,690,917 0.6%
Other Securities.......................... 172,480,053 2.4%
-------------- ----
TOTAL SWEDEN................................. 219,170,970 3.0%
-------------- ----
SWITZERLAND -- (4.5%)
Holcim, Ltd............................... 886,165 55,272,069 0.8%
*Swiss Re, Ltd............................. 1,108,107 69,581,447 1.0%
*UBS AG.................................... 3,280,643 40,969,298 0.6%
Zurich Insurance Group AG................. 225,125 55,156,285 0.7%
Other Securities.......................... 153,704,777 2.1%
-------------- ----
TOTAL SWITZERLAND............................ 374,683,876 5.2%
-------------- ----
19
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
-------------- -------------- ---------------
UNITED KINGDOM -- (19.1%)
Aviva P.L.C............................................................. 8,175,916 $ 40,920,432 0.6%
Barclays P.L.C.......................................................... 11,591,752 41,038,889 0.6%
Barclays P.L.C. Sponsored ADR........................................... 4,327,157 61,618,716 0.9%
BP P.L.C. Sponsored ADR................................................. 4,848,222 210,461,317 2.9%
International Power P.L.C............................................... 6,455,198 43,665,942 0.6%
Kingfisher P.L.C........................................................ 10,285,817 48,507,558 0.7%
*Lloyds Banking Group P.L.C.............................................. 76,981,994 38,640,671 0.5%
Royal Dutch Shell P.L.C. ADR............................................ 3,323,210 243,790,686 3.4%
Vodafone Group P.L.C.................................................... 34,976,333 96,813,260 1.3%
Vodafone Group P.L.C. Sponsored ADR..................................... 8,190,343 227,937,246 3.2%
William Morrison Supermarkets P.L.C..................................... 8,127,143 37,017,257 0.5%
Xstrata P.L.C........................................................... 5,211,952 100,098,296 1.4%
Other Securities........................................................ 396,933,279 5.5%
-------------- -----
TOTAL UNITED KINGDOM....................................................... 1,587,443,549 22.1%
-------------- -----
TOTAL COMMON STOCKS........................................................ 7,097,619,855 98.6%
-------------- -----
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities........................................................ 20,410,954 0.3%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities........................................................ 2 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
-------------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (14.2%)
(S)@ DFA Short Term Investment Fund........................................ 1,174,000,000 1,174,000,000 16.3%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.21%, 05/01/12
(Collateralized by FHLMC 2.765%(r), 07/01/36 & FNMA 2.230%(r),
08/01/38, valued at $200,496) to be repurchased at $196,566........... $ 197 196,565 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL........................................ 1,174,196,565 16.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,877,751,800)................................................... $8,292,227,376 115.2%
============== =====
20
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Australia............................ $ 4,983,494 $ 341,884,277 -- $ 346,867,771
Austria.............................. -- 21,553,007 -- 21,553,007
Belgium.............................. 2,576,759 60,339,509 -- 62,916,268
Canada............................... 880,316,935 -- -- 880,316,935
Denmark.............................. -- 102,335,685 -- 102,335,685
Finland.............................. 1,505,997 38,814,951 -- 40,320,948
France............................... 25,911,691 614,651,535 -- 640,563,226
Germany.............................. 84,691,422 493,692,873 -- 578,384,295
Greece............................... -- 4,120,169 -- 4,120,169
Hong Kong............................ -- 136,915,497 -- 136,915,497
Ireland.............................. 5,283,523 11,996,218 -- 17,279,741
Israel............................... 6,184,967 41,479,558 -- 47,664,525
Italy................................ 21,219,340 81,063,501 -- 102,282,841
Japan................................ 115,375,138 1,331,411,131 -- 1,446,786,269
Malaysia............................. -- -- -- --
Netherlands.......................... 11,737,570 182,655,117 -- 194,392,687
New Zealand.......................... -- 5,484,801 -- 5,484,801
Norway............................... 289,916 86,255,339 -- 86,545,255
Portugal............................. -- 8,206,069 -- 8,206,069
Singapore............................ -- 79,091,216 -- 79,091,216
Spain................................ 8,765,062 105,529,193 -- 114,294,255
Sweden............................... 9,516,859 209,654,111 -- 219,170,970
Switzerland.......................... 46,723,453 327,960,423 -- 374,683,876
United Kingdom....................... 807,957,592 779,485,957 -- 1,587,443,549
Preferred Stocks
Germany.............................. -- 20,410,954 -- 20,410,954
Rights/Warrants
Spain................................ -- 2 -- 2
Securities Lending Collateral........... -- 1,174,196,565 -- 1,174,196,565
-------------- -------------- -- --------------
TOTAL................................... $2,033,039,718 $6,259,187,658 -- $8,292,227,376
============== ============== == ==============
See accompanying Notes to Financial Statements.
21
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2012
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (85.2%)
ARGENTINA -- (0.0%)
Other Securities............................. $ -- 0.0%
------------ ----
BRAZIL -- (5.9%)
BRF -- Brasil Foods SA ADR................... 594,060 10,948,526 0.4%
Petroleo Brasilerio SA ADR................... 1,114,189 26,228,009 0.9%
#Vale SA Sponsored ADR........................ 834,273 18,520,861 0.7%
Other Securities............................. 123,364,606 4.4%
------------ ----
TOTAL BRAZIL.................................... 179,062,002 6.4%
------------ ----
CHILE -- (1.9%)
Other Securities............................. 55,744,793 2.0%
------------ ----
CHINA -- (13.9%)
Bank of China, Ltd. Series H................. 48,700,100 20,279,780 0.7%
China Construction Bank Corp. Series H....... 34,837,590 27,080,269 1.0%
China Life Insurance Co., Ltd. ADR........... 323,770 12,937,849 0.5%
China Mobile, Ltd. Sponsored ADR............. 797,772 44,148,702 1.6%
China Petroleum & Chemical Corp. ADR......... 106,449 11,227,176 0.4%
China Shenhua Energy Co., Ltd. Series H...... 2,191,000 9,675,568 0.3%
#CNOOC, Ltd. ADR.............................. 104,300 22,075,095 0.8%
Industrial & Commercial Bank of China, Ltd.
Series H................................. 37,226,185 24,686,592 0.9%
PetroChina Co., Ltd. ADR..................... 141,210 21,014,872 0.7%
Tencent Holdings, Ltd........................ 700,600 21,935,413 0.8%
Other Securities............................. 203,039,332 7.2%
------------ ----
TOTAL CHINA..................................... 418,100,648 14.9%
------------ ----
COLOMBIA -- (0.5%)
Other Securities............................. 13,526,504 0.5%
------------ ----
CZECH REPUBLIC -- (0.4%)
Other Securities............................. 13,102,849 0.5%
------------ ----
EGYPT -- (0.1%)
Other Securities............................. 3,543,656 0.1%
------------ ----
HUNGARY -- (0.4%)
Other Securities............................. 11,143,498 0.4%
------------ ----
INDIA -- (7.7%)
HDFC Bank, Ltd............................... 1,530,370 15,759,729 0.6%
ICICI Bank, Ltd. Sponsored ADR............... 306,356 10,382,405 0.4%
Infosys, Ltd................................. 214,112 9,928,308 0.3%
ITC, Ltd..................................... 2,298,662 10,699,022 0.4%
Reliance Industries, Ltd..................... 1,432,266 20,202,207 0.7%
Tata Consultancy Services, Ltd............... 481,215 11,380,070 0.4%
Other Securities............................. 152,234,637 5.4%
------------ ----
TOTAL INDIA..................................... 230,586,378 8.2%
------------ ----
INDONESIA -- (2.8%)
PT Astra International Tbk................... 1,995,561 15,367,354 0.5%
Other Securities............................. 70,120,377 2.5%
------------ ----
TOTAL INDONESIA................................. 85,487,731 3.0%
------------ ----
ISRAEL -- (0.0%)
Other Securities............................. 19 0.0%
------------ ----
MALAYSIA -- (3.6%)
CIMB Group Holdings Berhad................... 3,992,654 9,756,875 0.4%
22
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
Other Securities............................... $ 98,684,002 3.5%
------------ ----
TOTAL MALAYSIA.................................... 108,440,877 3.9%
------------ ----
MEXICO -- (5.6%)
America Movil S.A.B. de C.V. Series L.......... 33,690,314 45,003,356 1.6%
Fomento Economico Mexicano S.A.B. de C.V....... 2,109,900 17,135,512 0.6%
#Grupo Mexico S.A.B. de C.V. Series B........... 3,938,416 12,136,391 0.4%
Wal-Mart de Mexico S.A.B. de C.V. Series V..... 6,153,180 17,596,103 0.6%
Other Securities............................... 77,335,308 2.8%
------------ ----
TOTAL MEXICO...................................... 169,206,670 6.0%
------------ ----
PERU -- (0.5%)
Other Securities............................... 14,320,940 0.5%
------------ ----
PHILIPPINES -- (1.0%)
Other Securities............................... 28,954,647 1.0%
------------ ----
POLAND -- (1.3%)
Other Securities............................... 39,031,170 1.4%
------------ ----
RUSSIA -- (4.2%)
Gazprom OAO Sponsored ADR...................... 4,226,507 48,951,667 1.7%
Lukoil OAO Sponsored ADR....................... 376,321 23,151,730 0.8%
MMC Norilsk Nickel JSC ADR..................... 532,268 9,468,893 0.3%
Rosneft Oil Co. GDR............................ 1,491,147 10,677,377 0.4%
Other Securities............................... 35,159,134 1.3%
------------ ----
TOTAL RUSSIA...................................... 127,408,801 4.5%
------------ ----
SOUTH AFRICA -- (7.6%)
MTN Group, Ltd................................. 1,584,640 27,223,049 1.0%
Naspers, Ltd. Series N......................... 304,989 18,368,740 0.7%
Sasol, Ltd. Sponsored ADR...................... 621,195 29,463,279 1.0%
Standard Bank Group, Ltd....................... 948,719 13,925,268 0.5%
Other Securities............................... 140,665,815 5.0%
------------ ----
TOTAL SOUTH AFRICA................................ 229,646,151 8.2%
------------ ----
SOUTH KOREA -- (13.8%)
Hyundai Heavy Industries Co., Ltd.............. 39,020 9,696,474 0.4%
Hyundai Mobis.................................. 53,070 14,348,373 0.5%
Hyundai Motor Co., Ltd......................... 106,999 25,259,284 0.9%
Kia Motors Corp................................ 224,568 16,478,573 0.6%
POSCO.......................................... 46,060 15,258,688 0.5%
Samsung Electronics Co., Ltd................... 69,482 85,043,282 3.0%
Samsung Electronics Co., Ltd. GDR.............. 49,372 30,128,714 1.1%
Other Securities............................... 220,743,407 7.9%
------------ ----
TOTAL SOUTH KOREA................................. 416,956,795 14.9%
------------ ----
TAIWAN -- (10.2%)
Formosa Chemicals & Fiber Co., Ltd............. 3,322,445 9,589,751 0.3%
Formosa Plastics Corp.......................... 4,070,648 11,513,425 0.4%
Hon Hai Precision Industry Co., Ltd............ 6,378,096 19,150,133 0.7%
Nan Ya Plastic Corp............................ 5,377,564 11,033,718 0.4%
Taiwan Semiconductor Manufacturing Co., Ltd.... 19,090,808 56,425,489 2.0%
Other Securities............................... 200,573,325 7.2%
------------ ----
TOTAL TAIWAN...................................... 308,285,841 11.0%
------------ ----
THAILAND -- (2.4%)
Other Securities............................... 73,722,861 2.6%
------------ ----
23
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ -------------- ---------------
TURKEY -- (1.4%)
Other Securities.......................................... $ 43,149,079 1.5%
-------------- -----
TOTAL COMMON STOCKS.......................................... 2,569,421,910 91.5%
-------------- -----
PREFERRED STOCKS -- (7.1%)
BRAZIL -- (6.9%)
Banco Bradesco SA......................................... 1,656,632 26,420,593 0.9%
Cia de Bebidas das Americas SA ADR........................ 622,039 26,113,197 0.9%
Itau Unibanco Holding SA.................................. 1,765,700 27,706,155 1.0%
Petroleo Brasilerio SA ADR................................ 1,618,850 35,873,716 1.3%
Vale SA................................................... 1,412,691 30,571,311 1.1%
Other Securities.......................................... 61,913,382 2.2%
-------------- -----
TOTAL BRAZIL................................................. 208,598,354 7.4%
-------------- -----
CHILE -- (0.2%)
Other Securities.......................................... 5,320,187 0.2%
-------------- -----
TOTAL PREFERRED STOCKS....................................... 213,918,541 7.6%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities.......................................... 8 0.0%
-------------- -----
THAILAND -- (0.0%)
Other Securities.......................................... 42,585 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS........................................ 42,593 0.0%
-------------- -----
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (7.7%)
(S) @ DFA Short Term Investment Fund......................... 231,000,000 231,000,000 8.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38, valued at
$837,156) to be repurchased at $820,746................ $ 821 820,741 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......................... 231,820,741 8.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,890,395,399)..................................... $3,015,203,785 107.4%
============== =====
24
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2012, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Common Stocks
Argentina............................ -- -- -- --
Brazil............................... $179,062,002 -- -- $ 179,062,002
Chile................................ 55,744,793 -- -- 55,744,793
China................................ 127,688,809 $ 290,411,839 -- 418,100,648
Colombia............................. 13,526,504 -- -- 13,526,504
Czech Republic....................... -- 13,102,849 -- 13,102,849
Egypt................................ -- 3,543,656 -- 3,543,656
Hungary.............................. -- 11,143,498 -- 11,143,498
India................................ 22,500,718 208,085,660 -- 230,586,378
Indonesia............................ 44,143 85,443,588 -- 85,487,731
Israel............................... -- 19 -- 19
Malaysia............................. -- 108,440,877 -- 108,440,877
Mexico............................... 169,199,278 7,392 -- 169,206,670
Peru................................. 14,320,940 -- -- 14,320,940
Philippines.......................... -- 28,954,647 -- 28,954,647
Poland............................... -- 39,031,170 -- 39,031,170
Russia............................... 2,008,285 125,400,516 -- 127,408,801
South Africa......................... 48,133,559 181,512,592 -- 229,646,151
South Korea.......................... 11,786,422 405,170,373 -- 416,956,795
Taiwan............................... 8,954,214 299,331,627 -- 308,285,841
Thailand............................. 73,722,861 -- -- 73,722,861
Turkey............................... 641,076 42,508,003 -- 43,149,079
Preferred Stocks
Brazil............................... 208,598,354 -- -- 208,598,354
Chile................................ 5,320,187 -- -- 5,320,187
Rights/Warrants
Brazil............................... -- 8 -- 8
Thailand............................. -- 42,585 -- 42,585
Securities Lending Collateral........... -- 231,820,741 -- 231,820,741
------------ -------------- -- --------------
TOTAL................................... $941,252,145 $2,073,951,640 -- $3,015,203,785
============ ============== == ==============
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE DFA
INTERNATIONAL THE EMERGING
VALUE MARKETS
SERIES SERIES*
------------- ------------
ASSETS:
Investments at Value (including $1,116,551 and $275,325 of securities on loan, respectively)... $7,118,031 $2,783,383
Collateral Received from Securities on Loan at Value & Cost.................................... 197 821
Affiliated Collateral Received from Securities on Loan at Value & Cost......................... 1,174,000 231,000
Foreign Currencies at Value.................................................................... 24,978 3,077
Cash........................................................................................... 18,001 21,566
Receivables:...................................................................................
Investment Securities Sold.................................................................. 19,106 162
Dividends and Tax Reclaims.................................................................. 39,352 7,095
Securities Lending Income................................................................... 2,958 452
Fund Shares Sold............................................................................ 2,585 2,078
Unrealized Gain on Foreign Currency Contracts.................................................. 25 --
Prepaid Expenses and Other Assets.............................................................. 188 4
---------- ----------
Total Assets............................................................................ 8,399,421 3,049,638
---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 1,174,197 231,821
Investment Securities Purchased............................................................. 27,304 9,865
Fund Shares Redeemed........................................................................ 399 139
Due to Advisor.............................................................................. 1,191 233
Unrealized Loss on Foreign Currency Contracts.................................................. 9 --
Accrued Expenses and Other Liabilities......................................................... 412 332
---------- ----------
Total Liabilities....................................................................... 1,203,512 242,390
---------- ----------
NET ASSETS $7,195,909 $2,807,248
========== ==========
Investments at Cost............................................................................ $6,703,555 $1,658,575
---------- ----------
Foreign Currencies at Cost..................................................................... $ 24,804 $ 3,061
---------- ----------
--------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
26
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2012
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE DFA
INTERNATIONAL THE EMERGING
VALUE MARKETS
SERIES SERIES
------------- ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $9,473 and $2,288, respectively)...... $ 122,522 $ 22,386
Interest.......................................................................... 1 --
Income from Securities Lending.................................................... 6,168 2,375
--------- --------
Total Investment Income....................................................... 128,691 24,761
--------- --------
EXPENSES
Investment Advisory Services Fees................................................. 6,964 1,304
Accounting & Transfer Agent Fees.................................................. 333 132
Custodian Fees.................................................................... 628 896
Shareholders' Reports............................................................. 18 6
Directors'/Trustees' Fees & Expenses.............................................. 28 10
Professional Fees................................................................. 84 60
Other............................................................................. 53 19
--------- --------
Total Expenses................................................................ 8,108 2,427
--------- --------
Fees Paid Indirectly.............................................................. (10) (12)
--------- --------
Net Expenses...................................................................... 8,098 2,415
--------- --------
NET INVESTMENT INCOME (LOSS)...................................................... 120,593 22,346
--------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold...................................................... 99,828 21,313
Foreign Currency Transactions................................................... (798) (468)*
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................... (142,403) 83,318
Translation of Foreign Currency Denominated Amounts............................. 843 (34)
--------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................... (42,530) 104,129
--------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $ 78,063 $126,475
========= ========
--------
* Net of foreign capital gain taxes withheld of $13.
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE DFA INTERNATIONAL THE EMERGING
VALUE SERIES MARKETS SERIES
----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2012 2011 2012 2011
----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................................ $ 120,593 $ 254,173 $ 22,346 $ 62,989
Net Realized Gain (Loss) on:
Investment Securities Sold...................................... 99,828 161,341 21,313 103,456
Foreign Currency Transactions................................... (798) 506 (468)* (1,120)*
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... (142,403) (1,021,735) 83,318 (330,512)
Translation of Foreign Currency Denominated Amounts............. 843 (517) (34) (115)
Change in Deferred Thailand Capital Gains Tax....................... -- -- -- 4,428
---------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. 78,063 (606,232) 126,475 (160,874)
---------- ----------- ---------- ----------
Transactions in Interest:
Contributions....................................................... 362,469 900,473 329,764 341,207
Withdrawals......................................................... (200,530) (257,967) (88,972) (269,845)
---------- ----------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest........ 161,939 642,506 240,792 71,362
---------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets...................... 240,002 36,274 367,267 (89,512)
NET ASSETS
Beginning of Period................................................. 6,955,907 6,919,633 2,439,981 2,529,493
---------- ----------- ---------- ----------
End of Period....................................................... $7,195,909 $ 6,955,907 $2,807,248 $2,439,981
========== =========== ========== ==========
--------
* Net of foreign capital gain taxes withheld of $13 and $903, respectively.
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE DFA INTERNATIONAL VALUE SERIES+
------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(Unaudited)
Total Return....................... 1.08%(C) (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% 35.73%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)...................... $7,195,909 $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%(B) 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23%
Ratio of Expenses to Average Net
Assets (Excluding Waiversand
Assumption of Expenses and/or
Recovery of Previously Waived
Fees and Fees Paid Indirectly)... 0.23%(B) 0.23% 0.24% 0.24% 0.23%(B) 0.23% 0.23%
Ratio of Net Investment Income to
Average Net Assets............... 3.48%(B) 3.47% 2.55% 3.22% 4.15%(B) 3.04% 3.29%
Portfolio Turnover Rate............ 8%(C) 9% 20% 18% 16%(C) 16% 8%
---------- ---------- ---------- ---------- ---------- ---------- ----------
THE EMERGING MARKETS SERIES
------------------------------------------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR DEC. 1, YEAR YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, NOV. 30,
2012 2011 2010 2009 2008 2007 2006
----------- ---------- ---------- ---------- ---------- ---------- ----------
(Unaudited)
Total Return....................... 4.68%(C) (6.44)% 27.04% 53.99% (48.15)%(C) 42.62% 31.87%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)...................... $2,807,248 $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........................... 0.19%(B) 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20%
Ratio of Expenses to Average Net
Assets (Excluding Waiversand
Assumption of Expenses and/or
Recovery of Previously Waived
Fees and Fees Paid Indirectly)... 0.19%(B) 0.20% 0.19% 0.20% 0.18%(B) 0.19% 0.20%
Ratio of Net Investment Income to
Average Net Assets............... 1.72%(B) 2.48% 2.18% 2.57% 3.00%(B) 2.52% 2.54%
Portfolio Turnover Rate............ 2%(C) 16% 12% 14% 19%(C) 7% 11%
---------- ---------- ---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
29
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational investment portfolios, of which two, The
DFA International Value Series and The Emerging Markets Series (the "Series")
are presented in this report.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
Holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the respective funds is a result of the treatment of a
partnership for book purposes. The Series/Portfolio will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, 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 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies, futures
contracts)
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.)
- Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. 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.
30
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. Fair value pricing may also be used if events
that have a significant effect on the value of an investment (as determined in
the discretion of the Investment Committee of the Advisor) occur before the net
asset value is calculated. When fair value pricing is used, the prices of
securities used by the Series may differ from the quoted or published prices
for the same securities on their primary markets or exchanges.
The Series will also fair value price in the circumstances described below.
Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally 11:00 p.m. PT), which is fourteen hours prior to the
close of the NYSE (normally 1:00 p.m. PT) and the time that the net asset value
of the International Series is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the International Series has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable. Fair valuation of portfolio securities may occur
on a daily basis. The fair value pricing by the International Series utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). The fair
value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of the International Series. When the International Series uses
fair value pricing, the values assigned to the International Series' foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
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.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in the Security
Valuation note. Valuation hierarcy tables have been included at the end of the
Summary Schedule of Portfolio Holdings. The inputs or methodology used for
valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
The Portfolios did not have any significant transfers between Level 1 and
Level 2 during the six months ended April 30, 2012.
2. Foreign Currency Translation: Securities and other assets and liabilities
of the Series whose values are initially expressed in foreign currencies, are
translated to U.S. dollars using the mean between the most recently quoted bid
and asked prices for the U.S. dollar as quoted by generally recognized reliable
sources. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to market
daily based on daily exchange rates, and exchange gains or losses are realized
upon ultimate receipt or disbursement.
The Series do not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect
participation in The Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
31
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 become a
member of the Board of the Fund (unless the Trustee files an amended Notice
selecting a different distribution date). As of April 30, 2012, none of the
Trustees have requested or received a distribution of proceeds of a deferred
fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimate the character of distributions
received that may be considered return of capital distributions. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Directors/Trustees, generally based on average
net assets.
The Series may be subject to taxes imposed by countries in which it invests,
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales of foreign
investors. In addition, if there is a deterioration in a country's balance of
payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
The Emerging Markets Series 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 Series. For the six months ended April 30,
2012, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.20% and 0.10% of average
daily net assets for The DFA International Value Series and The Emerging
Markets Series, respectively.
EARNED INCOME CREDIT:
In addition, the Fund has entered into arrangements with its custodian
whereby net interest earned on univested cash balances was used to reduce a
portion of the Fund's custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2012, expenses reduced were as follows (amounts in
thousands):
32
FEES PAID
INDIRECTLY
----------
The DFA International Value Series...... $10
The Emerging Markets Series............. 12
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Funds; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2012, the total
related amounts paid by the Trust to the CCO were $41 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2012, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
The DFA International Value Series...... $195
The Emerging Markets Series............. 67
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2012, the Series made the following
purchases and sales of investment securities, other than short-term investments
and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- --------
The DFA International Value Series...... $814,499 $542,286
The Emerging Markets Series............. 292,057 44,140
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2012, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
The DFA International Value Series...... $7,879,341 $1,169,037 $(756,150) $ 412,887
The Emerging Markets Series............. 1,892,365 1,193,818 (70,979) 1,122,839
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 each Series' tax
positions and has concluded that no additional 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
33
unrecognized tax benefits will significantly change in the next twelve months.
The Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
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.
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 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 Portfolios' 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
consideration and risks not typically associated with investments in the United
States of America, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid
and more volatile than the major securities markets in the United States of
America. Consequently, acquisition and disposition of securities by the Series
may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Series deposits cash or pledges U.S. Government securities to a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Series as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Series records a realized gain or
loss, which is presented in the Statements of Operations as a net realized gain
or loss on futures, equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities 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.
34
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.
At April 30, 2012, the Series had no outstanding futures contracts.
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into $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 July 6,
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 borrowing by the
Series under this line of credit during the six months ended April 30, 2012.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 13, 2012 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 11, 2013.
For the six months ended April 30, 2012, borrowings under this line of
credit by the Series were as follows (amounts in thousands, except percentages
and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The DFA International Value Series...... 0.82% $15,357 4 $1 $15,549
The Emerging Markets Series............. 0.83% 4,772 9 1 8,236
* Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2012 that each Series' available
line of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2012.
I. SECURITIES LENDING:
As of April 30, 2012, some of the Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. In addition,
The Emerging Markets Series received non-cash collateral with a market value of
$59,527 (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
35
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loan securities in The DFA Short
Term Investment Fund LP (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Each Series also may invest in cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securites. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In 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 proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
36
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (512) 306-7400. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dimensional.com and reflects the twelve-month period beginning
July 1st and ending June 30th.
37
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 16, 2011 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements and the sub-advisory
agreements for each series (collectively, the "Funds"). Dimensional Fund
Advisors Ltd. and DFA Australia Limited each serve as a sub-advisor to the
Funds. (The investment management agreements and the sub-advisory agreements
are referred to as the "Advisory Agreements," and the Advisor and sub-advisors
are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing the Funds and
38
other "non-1940 Act registered" investment vehicles. Upon closely examining the
Advisor's profitability, the Board concluded, among other things, that it was
reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
39
[RECYCLED RECYCLABLE LOGO] DFA043012-011S
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF RELATIONSHIP TO SERIES OF THE
INVESTMENTS IS PROVIDED REGISTRANT
------------------------------------ -------------------------------------
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II, U.S. Large Cap Value
Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio
The DFA International Value Series Master fund for DFA International
Value Portfolio, DFA International
Value Portfolio II, DFA International
Value Portfolio III and DFA
International Value Portfolio IV
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Abbreviations
ADR American Depository Receipt
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GDR Global Depository Receipt
NVDR Non-Voting Depository Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Security Valuation Note within the Notes to Schedules of
Investments.
++ Securities have generally been fair valued. See Security Valuation
Note within the Notes to Schedules of Investments.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from securities on loan.
. Security is being fair valued as of April 30, 2012.
-- Amounts designated as -- are either zero or rounded to zero.
(S) Affiliated Fund.
1
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE+
--------- -----------
COMMON STOCKS -- (86.4%)
Consumer Discretionary -- (9.7%)
#Abercrombie & Fitch Co................................... 27,311 $ 1,370,193
#*Amazon.com, Inc.......................................... 116,103 26,924,286
#*Apollo Group, Inc. Class A............................... 35,872 1,263,412
#*AutoNation, Inc.......................................... 13,510 467,176
#*AutoZone, Inc............................................ 8,695 3,444,611
*Bed Bath & Beyond, Inc................................... 75,505 5,314,797
#Best Buy Co., Inc........................................ 90,495 1,997,225
#*Big Lots, Inc............................................ 20,921 766,545
#*BorgWarner, Inc.......................................... 34,808 2,751,224
#Cablevision Systems Corp................................. 69,109 1,024,195
*CarMax, Inc.............................................. 72,262 2,230,728
Carnival Corp............................................ 144,448 4,693,116
#CBS Corp. Class B........................................ 207,004 6,903,583
#*Chipotle Mexican Grill, Inc.............................. 9,970 4,129,076
#Coach, Inc............................................... 91,774 6,714,186
Comcast Corp. Class A.................................... 859,958 26,082,526
#D.R. Horton, Inc......................................... 88,927 1,453,956
Darden Restaurants, Inc.................................. 40,963 2,051,427
#DeVry, Inc............................................... 19,051 612,490
#*DIRECTV Class A.......................................... 215,673 10,626,209
*Discovery Communications, Inc. Class A................... 82,444 4,486,602
#*Dollar Tree, Inc......................................... 37,959 3,858,912
#Expedia, Inc............................................. 30,261 1,290,026
#Family Dollar Stores, Inc................................ 37,557 2,536,975
#Ford Motor Co............................................ 1,212,126 13,672,781
#*Fossil, Inc.............................................. 16,552 2,162,850
#GameStop Corp. Class A................................... 43,508 990,242
#Gannett Co., Inc......................................... 75,562 1,044,267
#Gap, Inc................................................. 105,895 3,018,008
Genuine Parts Co......................................... 49,678 3,218,141
*Goodyear Tire & Rubber Co................................ 77,994 856,374
H&R Block, Inc........................................... 93,411 1,373,142
#Harley-Davidson, Inc..................................... 72,891 3,814,386
Harman International Industries, Inc..................... 22,383 1,109,749
#Hasbro, Inc.............................................. 36,923 1,356,551
Home Depot, Inc. (The)................................... 491,633 25,461,673
#International Game Technology............................ 94,878 1,478,199
Interpublic Group of Cos., Inc. (The).................... 142,273 1,680,244
#J.C. Penney Co., Inc..................................... 46,132 1,663,520
Johnson Controls, Inc.................................... 217,104 6,940,815
#Kohl's Corp.............................................. 80,823 4,051,657
#Leggett & Platt, Inc..................................... 44,655 972,139
#Lennar Corp. Class A..................................... 51,761 1,435,850
#Limited Brands, Inc...................................... 78,444 3,898,667
Lowe's Cos., Inc......................................... 395,777 12,455,102
Macy's, Inc.............................................. 132,095 5,418,537
#Marriott International, Inc. Class A..................... 85,180 3,329,686
Mattel, Inc.............................................. 108,112 3,632,563
#McDonald's Corp.......................................... 324,835 31,655,171
McGraw-Hill Cos., Inc.................................... 88,659 4,359,363
#*Netflix, Inc............................................. 17,674 1,416,394
Newell Rubbermaid, Inc................................... 91,975 1,673,945
#News Corp. Class A....................................... 686,450 13,454,420
#NIKE, Inc. Class B....................................... 117,084 13,098,187
#Nordstrom, Inc........................................... 50,979 2,847,687
#Omnicom Group, Inc....................................... 87,002 4,464,073
#*O'Reilly Automotive, Inc................................. 40,603 4,281,992
*Priceline.com, Inc....................................... 15,881 12,082,582
2
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
------- ------------
Consumer Discretionary -- (Continued)
#*PulteGroup, Inc.......................................... 107,378 $ 1,056,600
Ralph Lauren Corp........................................ 20,612 3,550,829
#Ross Stores, Inc......................................... 72,917 4,490,958
#Scripps Networks Interactive, Inc........................ 30,446 1,528,998
#*Sears Holdings Corp...................................... 12,204 656,331
#Staples, Inc............................................. 221,361 3,408,959
#Starbucks Corp........................................... 240,272 13,786,807
Starwood Hotels & Resorts Worldwide, Inc................. 62,541 3,702,427
Target Corp.............................................. 214,184 12,409,821
#Tiffany & Co............................................. 40,489 2,771,877
#Time Warner Cable, Inc................................... 100,167 8,058,435
#Time Warner, Inc......................................... 309,234 11,583,906
TJX Cos., Inc. (The)..................................... 240,553 10,033,466
#*TripAdvisor, Inc......................................... 30,220 1,133,552
#*Urban Outfitters, Inc.................................... 35,411 1,025,503
V.F. Corp................................................ 27,865 4,236,873
#Viacom, Inc. Class B..................................... 172,263 7,991,281
#Walt Disney Co. (The).................................... 571,616 24,642,366
#Washington Post Co. Class B.............................. 1,530 578,600
Whirlpool Corp........................................... 24,432 1,564,137
Wyndham Worldwide Corp................................... 46,545 2,343,075
#Wynn Resorts, Ltd........................................ 25,327 3,378,622
Yum! Brands, Inc......................................... 146,834 10,679,237
------------
Total Consumer Discretionary................................ 451,975,093
------------
Consumer Staples -- (9.4%)
Altria Group, Inc........................................ 652,399 21,013,772
#Archer-Daniels-Midland Co................................ 211,006 6,505,315
Avon Products, Inc....................................... 137,438 2,968,661
#Brown-Forman Corp. Class B............................... 31,679 2,735,482
#Campbell Soup Co......................................... 56,922 1,925,671
Clorox Co. (The)......................................... 41,396 2,901,860
#Coca-Cola Co. (The)...................................... 721,776 55,085,944
Coca-Cola Enterprises, Inc............................... 95,779 2,884,863
#Colgate-Palmolive Co..................................... 152,946 15,132,477
ConAgra Foods, Inc....................................... 131,580 3,397,396
*Constellation Brands, Inc. Class A....................... 54,765 1,182,924
Costco Wholesale Corp.................................... 138,706 12,229,708
CVS Caremark Corp........................................ 415,352 18,533,006
#*Dean Foods Co............................................ 58,755 721,511
Dr. Pepper Snapple Group, Inc............................ 67,634 2,744,588
#Estee Lauder Cos., Inc................................... 71,712 4,686,379
Fortune Brands, Inc...................................... 49,981 2,837,921
General Mills, Inc....................................... 205,590 7,995,395
#H.J. Heinz Co............................................ 102,018 5,438,580
Hershey Co. (The)........................................ 48,907 3,277,258
#Hormel Foods Corp........................................ 43,787 1,272,450
#J.M. Smucker Co.......................................... 36,154 2,878,943
#Kellogg Co............................................... 78,594 3,974,499
#Kimberly-Clark Corp...................................... 125,552 9,852,065
Kraft Foods, Inc. Class A................................ 563,921 22,483,530
Kroger Co. (The)......................................... 183,304 4,265,484
Lorillard, Inc........................................... 42,097 5,695,303
McCormick & Co., Inc. Non-Voting......................... 42,431 2,372,317
#Mead Johnson Nutrition Co................................ 64,951 5,557,208
Molson Coors Brewing Co. Class B......................... 50,088 2,082,659
PepsiCo, Inc............................................. 500,905 33,059,730
#Philip Morris International, Inc......................... 549,136 49,153,163
Procter & Gamble Co. (The)............................... 878,427 55,903,094
Reynolds American, Inc................................... 106,570 4,351,253
#Safeway, Inc............................................. 85,470 1,737,605
3
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Staples -- (Continued)
Sara Lee Corp............................................ 188,669 $ 4,158,265
#SUPERVALU, Inc........................................... 67,696 402,114
#Sysco Corp............................................... 186,429 5,387,798
Tyson Foods, Inc. Class A................................ 92,960 1,696,520
Walgreen Co.............................................. 278,575 9,766,840
#Wal-Mart Stores, Inc..................................... 557,020 32,814,048
#Whole Foods Market, Inc.................................. 51,762 4,299,869
------------
Total Consumer Staples...................................... 437,363,468
------------
Energy -- (9.7%)
#*Alpha Natural Resources, Inc............................. 70,168 1,131,810
Anadarko Petroleum Corp.................................. 158,957 11,637,242
Apache Corp.............................................. 122,567 11,759,078
#Baker Hughes, Inc........................................ 139,549 6,155,506
Cabot Oil & Gas Corp..................................... 66,917 2,351,463
#*Cameron International Corp............................... 78,509 4,023,586
#Chesapeake Energy Corp................................... 211,282 3,896,040
#Chevron Corp............................................. 630,490 67,185,014
#ConocoPhillips........................................... 408,117 29,233,421
#Consol Energy, Inc....................................... 72,424 2,407,374
*Denbury Resources, Inc................................... 124,468 2,369,871
Devon Energy Corp........................................ 128,874 9,001,849
#Diamond Offshore Drilling, Inc........................... 22,169 1,519,685
El Paso Corp............................................. 246,478 7,313,002
EOG Resources, Inc....................................... 85,816 9,423,455
EQT Corp................................................. 47,675 2,374,692
Exxon Mobil Corp......................................... 1,503,130 129,780,244
#*FMC Technologies, Inc.................................... 76,245 3,583,515
Halliburton Co........................................... 294,355 10,072,828
#Helmerich & Payne, Inc................................... 34,247 1,759,953
Hess Corp................................................ 96,497 5,031,354
Marathon Oil Corp........................................ 224,494 6,586,654
Marathon Petroleum Corp.................................. 110,860 4,612,885
Murphy Oil Corp.......................................... 61,830 3,398,795
*Nabors Industries, Ltd................................... 92,064 1,532,866
National Oilwell Varco, Inc.............................. 135,292 10,249,722
*Newfield Exploration Co.................................. 42,251 1,516,811
Noble Corp............................................... 80,421 3,060,823
Noble Energy, Inc........................................ 56,429 5,604,528
Occidental Petroleum Corp................................ 258,660 23,594,965
Peabody Energy Corp...................................... 86,828 2,701,219
#Pioneer Natural Resources Co............................. 39,309 4,552,768
#QEP Resources, Inc....................................... 56,607 1,744,062
#Range Resources Corp..................................... 50,339 3,355,598
#*Rowan Cos., Inc.......................................... 39,411 1,360,862
Schlumberger, Ltd........................................ 425,364 31,536,487
#*Southwestern Energy Co................................... 111,316 3,515,359
Spectra Energy Corp...................................... 207,663 6,383,561
Sunoco, Inc.............................................. 34,065 1,679,064
*Tesoro Corp.............................................. 44,334 1,030,766
Valero Energy Corp....................................... 177,021 4,372,419
#*Williams Cos., Inc. (The)................................ 188,857 6,426,804
#*WPX Energy, Inc.......................................... 63,346 1,112,995
------------
Total Energy................................................ 451,940,995
------------
Financials -- (11.0%)
ACE, Ltd................................................. 107,524 8,168,598
#Aflac, Inc............................................... 148,965 6,709,384
Allstate Corp. (The)..................................... 158,914 5,296,604
American Express Co...................................... 323,649 19,486,906
*American International Group, Inc........................ 171,585 5,839,038
4
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
Ameriprise Financial, Inc................................ 70,767 $ 3,836,279
#*Aon P.L.C................................................ 103,705 5,371,919
#Assurant, Inc............................................ 27,905 1,125,688
Bank of America Corp..................................... 3,422,751 27,758,511
#Bank of New York Mellon Corp. (The)...................... 384,230 9,087,040
#BB&T Corp................................................ 222,358 7,124,350
#*Berkshire Hathaway, Inc.................................. 560,722 45,110,085
#BlackRock, Inc........................................... 32,009 6,132,284
Capital One Financial Corp............................... 176,500 9,792,220
#*CBRE Group, Inc. Class A................................. 104,589 1,967,319
#Charles Schwab Corp. (The)............................... 344,635 4,928,280
#Chubb Corp. (The)........................................ 86,467 6,318,144
Cincinnati Financial Corp................................ 51,754 1,843,477
#Citigroup, Inc........................................... 934,002 30,859,426
#CME Group, Inc........................................... 21,189 5,632,460
Comerica, Inc............................................ 63,026 2,018,093
Discover Financial Services.............................. 169,028 5,730,049
*E*Trade Financial Corp................................... 80,980 860,817
#Federated Investors, Inc................................. 29,448 650,212
Fifth Third Bancorp...................................... 293,367 4,174,612
First Horizon National Corp.............................. 81,768 750,630
#Franklin Resources, Inc.................................. 45,452 5,704,681
*Genworth Financial, Inc. Class A......................... 156,711 941,833
#Goldman Sachs Group, Inc. (The).......................... 157,833 18,174,470
Hartford Financial Services Group, Inc................... 140,399 2,885,199
*Hudson City Bancorp, Inc................................. 168,249 1,187,838
#Huntington Bancshares, Inc............................... 275,665 1,844,199
*IntercontinentalExchange, Inc............................ 23,150 3,079,876
Invesco, Ltd............................................. 142,287 3,534,409
JPMorgan Chase & Co...................................... 1,217,424 52,324,884
KeyCorp.................................................. 303,931 2,443,605
Legg Mason, Inc.......................................... 39,660 1,033,936
#Leucadia National Corp................................... 63,181 1,570,680
#Lincoln National Corp.................................... 92,910 2,301,381
#Loews Corp............................................... 97,439 4,007,666
M&T Bank Corp............................................ 40,313 3,477,803
#Marsh & McLennan Cos., Inc............................... 173,305 5,797,052
#MetLife, Inc............................................. 338,158 12,183,833
Moody's Corp............................................. 62,556 2,561,668
Morgan Stanley........................................... 485,887 8,396,127
*NASDAQ OMX Group, Inc. (The)............................. 39,813 978,205
#Northern Trust Corp...................................... 76,895 3,659,433
NYSE Euronext............................................ 82,376 2,121,182
People's United Financial, Inc........................... 114,547 1,413,510
#Plum Creek Timber Co., Inc............................... 51,475 2,164,009
PNC Financial Services Group, Inc........................ 168,250 11,158,340
#Principal Financial Group, Inc........................... 96,139 2,660,166
#Progressive Corp......................................... 195,020 4,153,926
Prudential Financial, Inc................................ 149,891 9,074,401
Regions Financial Corp................................... 450,634 3,037,273
#SLM Corp................................................. 162,431 2,408,852
State Street Corp........................................ 155,583 7,191,046
SunTrust Banks, Inc...................................... 169,774 4,122,113
T. Rowe Price Group, Inc................................. 80,840 5,102,217
#Torchmark Corp........................................... 31,951 1,556,333
Travelers Cos., Inc. (The)............................... 125,357 8,062,962
U.S. Bancorp............................................. 609,429 19,605,331
#Unum Group............................................... 92,682 2,200,271
Wells Fargo & Co......................................... 1,681,731 56,220,267
XL Group P.L.C........................................... 100,671 2,165,433
5
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Financials -- (Continued)
#Zions Bancorporation..................................... 58,728 $ 1,197,464
------------
Total Financials............................................ 510,276,299
------------
Health Care -- (9.8%)
#Abbott Laboratories...................................... 501,452 31,120,111
#Aetna, Inc............................................... 111,748 4,921,382
#Agilent Technologies, Inc................................ 110,863 4,676,201
#Allergan, Inc............................................ 97,092 9,320,832
AmerisourceBergen Corp................................... 82,227 3,059,667
Amgen, Inc............................................... 252,401 17,948,235
#Bard (C.R.), Inc......................................... 26,807 2,652,821
Baxter International, Inc................................ 178,704 9,901,989
#Becton Dickinson & Co.................................... 67,005 5,256,542
*Biogen Idec, Inc......................................... 76,133 10,202,583
*Boston Scientific Corp................................... 462,860 2,897,504
Bristol-Myers Squibb Co.................................. 538,367 17,965,307
Cardinal Health, Inc..................................... 110,245 4,660,056
*CareFusion Corp.......................................... 71,680 1,857,229
*Celgene Corp............................................. 139,944 10,204,716
#*Cerner Corp.............................................. 46,538 3,773,766
Cigna Corp............................................... 91,375 4,224,266
Coventry Health Care, Inc................................ 45,029 1,350,420
Covidien P.L.C........................................... 154,145 8,513,428
#*DaVita, Inc.............................................. 29,882 2,646,948
#DENTSPLY International, Inc.............................. 45,299 1,859,977
#*Edwards Lifesciences Corp................................ 36,669 3,042,427
#Eli Lilly & Co........................................... 325,665 13,479,274
*Express Scripts Holding Co............................... 254,864 14,218,863
#*Forest Laboratories, Inc................................. 84,682 2,949,474
#*Gilead Sciences, Inc..................................... 241,521 12,561,507
#*Hospira, Inc............................................. 52,538 1,845,135
Humana, Inc.............................................. 52,318 4,221,016
#*Intuitive Surgical, Inc.................................. 12,533 7,246,581
#Johnson & Johnson........................................ 875,454 56,983,301
#*Laboratory Corp. of America Holdings..................... 30,998 2,724,414
*Life Technologies Corp................................... 56,852 2,635,659
#McKesson Corp............................................ 78,487 7,174,497
Medtronic, Inc........................................... 331,863 12,677,167
Merck & Co., Inc......................................... 970,788 38,093,721
#*Mylan, Inc............................................... 136,156 2,955,947
#Patterson Cos., Inc...................................... 27,922 951,861
PerkinElmer, Inc......................................... 36,186 998,734
#Perrigo Co............................................... 29,755 3,121,300
Pfizer, Inc.............................................. 2,404,169 55,127,595
#Quest Diagnostics, Inc................................... 50,496 2,913,114
St. Jude Medical, Inc.................................... 102,199 3,957,145
#Stryker Corp............................................. 103,286 5,636,317
*Tenet Healthcare Corp.................................... 130,754 678,613
#Thermo Fisher Scientific, Inc............................ 116,677 6,493,075
UnitedHealth Group, Inc.................................. 333,257 18,712,381
#*Varian Medical Systems, Inc.............................. 36,033 2,285,213
#*Waters Corp.............................................. 28,402 2,388,892
#*Watson Pharmaceuticals, Inc.............................. 40,555 3,056,225
WellPoint, Inc........................................... 106,757 7,240,260
#Zimmer Holdings, Inc..................................... 56,806 3,574,802
------------
Total Health Care........................................... 458,958,490
------------
Industrials -- (9.1%)
3M Co.................................................... 221,502 19,793,419
Avery Dennison Corp...................................... 33,936 1,085,273
Boeing Co. (The)......................................... 237,823 18,264,806
6
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
#C.H. Robinson Worldwide, Inc............................. 52,093 $ 3,112,036
#Caterpillar, Inc......................................... 206,509 21,222,930
#Cintas Corp.............................................. 35,168 1,377,531
Cooper Industries P.L.C.................................. 50,550 3,162,913
CSX Corp................................................. 335,587 7,486,946
#Cummins, Inc............................................. 61,209 7,089,838
#Danaher Corp............................................. 182,457 9,892,819
#Deere & Co............................................... 128,149 10,554,352
#Dover Corp............................................... 58,571 3,670,059
Dun & Bradstreet Corp. (The)............................. 15,219 1,183,734
Eaton Corp............................................... 106,741 5,142,781
Emerson Electric Co...................................... 234,224 12,306,129
Equifax, Inc............................................. 38,221 1,751,286
#Expeditors International of Washington, Inc.............. 67,635 2,705,400
#Fastenal Co.............................................. 94,169 4,408,993
FedEx Corp............................................... 100,294 8,849,943
#Flowserve Corp........................................... 17,380 1,997,483
Fluor Corp............................................... 53,898 3,112,610
#General Dynamics Corp.................................... 113,796 7,681,230
#General Electric Co...................................... 3,374,552 66,073,728
Goodrich Corp............................................ 40,120 5,033,455
Honeywell International, Inc............................. 247,277 14,999,823
Illinois Tool Works, Inc................................. 154,284 8,852,816
Ingersoll-Rand P.L.C..................................... 94,838 4,032,512
#Iron Mountain, Inc....................................... 54,562 1,657,048
#*Jacobs Engineering Group, Inc............................ 40,979 1,796,110
#Joy Global, Inc.......................................... 33,748 2,388,346
#L-3 Communications Holdings, Inc......................... 31,566 2,321,364
Lockheed Martin Corp..................................... 85,019 7,697,620
#Masco Corp............................................... 113,943 1,501,769
Norfolk Southern Corp.................................... 105,287 7,678,581
Northrop Grumman Corp.................................... 80,568 5,098,343
#PACCAR, Inc.............................................. 113,814 4,889,449
#Pall Corp................................................ 36,806 2,194,006
#Parker Hannifin Corp..................................... 48,125 4,220,081
#Pitney Bowes, Inc........................................ 63,715 1,091,438
#Precision Castparts Corp................................. 46,294 8,164,873
*Quanta Services, Inc..................................... 67,398 1,490,844
Raytheon Co.............................................. 108,392 5,868,343
Republic Services, Inc................................... 100,319 2,745,731
#Robert Half International, Inc........................... 45,331 1,350,864
#Rockwell Automation, Inc................................. 45,411 3,512,087
#Rockwell Collins, Inc.................................... 47,400 2,649,186
#Roper Industries, Inc.................................... 30,900 3,148,710
#RR Donnelley & Sons Co................................... 56,926 712,144
Ryder System, Inc........................................ 16,319 795,062
Snap-on, Inc............................................. 18,622 1,164,620
Southwest Airlines Co.................................... 246,493 2,040,962
#Stanley Black & Decker, Inc.............................. 54,072 3,955,908
#*Stericycle, Inc.......................................... 27,032 2,340,971
#Textron, Inc............................................. 89,183 2,375,835
Tyco International, Ltd.................................. 147,010 8,251,671
Union Pacific Corp....................................... 153,102 17,214,789
United Parcel Service, Inc............................... 305,752 23,891,461
United Technologies Corp................................. 290,266 23,697,316
#W.W. Grainger, Inc....................................... 19,451 4,042,307
#Waste Management, Inc.................................... 147,140 5,032,188
#Xylem, Inc............................................... 58,911 1,642,439
------------
Total Industrials........................................... 423,467,311
------------
7
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Information Technology -- (17.5%)
Accenture P.L.C. Class A................................. 206,406 $ 13,406,070
*Adobe Systems, Inc....................................... 157,482 5,285,096
*Advanced Micro Devices, Inc.............................. 187,117 1,377,181
*Akamai Technologies, Inc................................. 56,703 1,848,518
#Altera Corp.............................................. 102,811 3,656,987
#Amphenol Corp............................................ 52,089 3,028,454
Analog Devices, Inc...................................... 94,983 3,702,437
*Apple, Inc............................................... 297,349 173,723,180
#Applied Materials, Inc................................... 411,761 4,937,014
#*Autodesk, Inc............................................ 72,043 2,836,333
#Automatic Data Processing, Inc........................... 156,453 8,701,916
#*BMC Software, Inc........................................ 52,374 2,160,951
*Broadcom Corp............................................ 156,429 5,725,301
#CA, Inc.................................................. 116,160 3,068,947
#Cisco Sytems, Inc........................................ 1,717,672 34,611,091
#*Citrix Systems, Inc...................................... 59,183 5,066,657
#*Cognizant Technology Solutions Corp...................... 96,752 7,093,857
#Computer Sciences Corp................................... 49,456 1,387,735
Corning, Inc............................................. 485,353 6,964,816
*Dell, Inc................................................ 486,998 7,972,157
*eBay, Inc................................................ 365,274 14,994,498
#*Electronic Arts, Inc..................................... 105,685 1,625,435
#*EMC Corp................................................. 654,765 18,470,921
#*F5 Networks, Inc......................................... 25,255 3,382,402
Fidelity National Information Services, Inc.............. 74,791 2,518,213
#*First Solar, Inc......................................... 18,755 345,092
*Fiserv, Inc.............................................. 44,198 3,106,677
FLIR Systems, Inc........................................ 49,127 1,103,392
*Google, Inc.............................................. 80,879 48,950,397
#Harris Corp.............................................. 36,316 1,653,831
Hewlett-Packard Co....................................... 630,285 15,605,857
Intel Corp............................................... 1,593,313 45,250,089
International Business Machines Corp..................... 369,518 76,519,787
Intuit, Inc.............................................. 94,051 5,452,136
#Jabil Circuit, Inc....................................... 58,801 1,378,883
#*JDS Uniphase Corp........................................ 73,300 890,595
#*Juniper Networks, Inc.................................... 167,869 3,597,433
#KLA-Tencor Corp.......................................... 53,174 2,773,024
#*Lexmark International, Inc............................... 22,592 680,019
Linear Technology Corp................................... 73,026 2,388,680
*LSI Corp................................................. 180,755 1,453,270
MasterCard, Inc. Class A................................. 33,891 15,327,883
#Microchip Technology, Inc................................ 61,251 2,164,610
*Micron Technology, Inc................................... 315,033 2,076,067
Microsoft Corp........................................... 2,381,610 76,259,152
#Molex, Inc............................................... 43,791 1,208,194
*Motorola Mobility Holdings, Inc.......................... 84,062 3,263,287
Motorola Solutions, Inc.................................. 93,835 4,788,400
#*NetApp, Inc.............................................. 115,764 4,495,116
*Novellus Systems, Inc.................................... 22,526 1,053,090
*NVIDIA Corp.............................................. 194,748 2,531,724
Oracle Corp.............................................. 1,250,207 36,743,584
#Paychex, Inc............................................. 102,868 3,186,851
QUALCOMM, Inc............................................ 539,423 34,436,764
*Red Hat, Inc............................................. 61,594 3,671,618
#*SAIC, Inc................................................ 88,142 1,071,807
#*Salesforce.com, Inc...................................... 43,372 6,754,322
#*Sandisk Corp............................................. 77,304 2,861,021
*Symantec Corp............................................ 232,632 3,843,081
TE Connectivity, Ltd..................................... 135,916 4,955,497
#*Teradata Corp............................................ 53,386 3,725,275
8
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
------- ------------
Information Technology -- (Continued)
#*Teradyne, Inc............................................ 59,464 $ 1,023,375
#Texas Instruments, Inc................................... 365,152 11,662,955
#Total System Services, Inc............................... 51,201 1,204,248
#*VeriSign, Inc............................................ 50,873 2,091,389
#Visa, Inc................................................ 158,645 19,510,162
*Western Digital Corp..................................... 74,606 2,895,459
#Western Union Co. (The).................................. 197,835 3,636,207
Xerox Corp............................................... 424,762 3,304,648
#Xilinx, Inc.............................................. 83,503 3,037,839
#*Yahoo!, Inc.............................................. 387,086 6,015,316
------------
Total Information Technology................................ 817,494,270
------------
Materials -- (3.0%)
#Air Products & Chemicals, Inc............................ 67,165 5,741,936
#Airgas, Inc.............................................. 21,918 2,008,566
#Alcoa, Inc............................................... 340,000 3,308,200
#Allegheny Technologies, Inc.............................. 34,028 1,461,162
Ball Corp................................................ 49,788 2,079,147
#Bemis Co., Inc........................................... 32,877 1,064,886
#CF Industries Holdings, Inc.............................. 20,881 4,031,286
Cliffs Natural Resources, Inc............................ 45,290 2,819,755
#Dow Chemical Co. (The)................................... 378,036 12,807,860
#E.I. du Pont de Nemours & Co............................. 297,312 15,894,300
Eastman Chemical Co...................................... 43,683 2,357,572
#Ecolab, Inc.............................................. 92,891 5,916,228
#FMC Corp................................................. 22,272 2,459,942
#Freeport-McMoRan Copper & Gold, Inc. Class B............. 302,295 11,577,898
#International Flavors & Fragrances, Inc.................. 25,809 1,553,960
International Paper Co................................... 139,394 4,643,214
#MeadWestavco Corp........................................ 54,521 1,734,858
Monsanto Co.............................................. 170,752 13,007,887
#Mosaic Co. (The)......................................... 94,969 5,016,263
Newmont Mining Corp...................................... 157,885 7,523,220
Nucor Corp............................................... 101,061 3,962,602
*Owens-Illinois, Inc...................................... 52,434 1,219,090
PPG Industries, Inc...................................... 48,478 5,101,825
#Praxair, Inc............................................. 95,168 11,010,938
Sealed Air Corp.......................................... 61,250 1,174,775
#Sherwin-Williams Co...................................... 27,573 3,316,480
Sigma-Aldrich Corp....................................... 38,503 2,729,863
*SunCoke Energy, Inc...................................... -- 3
#Titanium Metals Corp..................................... 26,257 387,816
#United States Steel Corp................................. 45,925 1,301,055
Vulcan Materials Co...................................... 41,219 1,764,585
------------
Total Materials............................................. 138,977,172
------------
Real Estate Investment Trusts -- (1.7%)
#*American Tower Corp...................................... 125,563 8,234,422
#Apartment Investment & Management Co. Class A............ 38,634 1,048,913
#AvalonBay Communities, Inc............................... 30,363 4,414,780
#Boston Properties, Inc................................... 47,289 5,119,034
Equity Residential....................................... 95,752 5,883,003
#HCP, Inc................................................. 130,603 5,413,494
Health Care REIT, Inc.................................... 67,060 3,799,620
#Host Hotels & Resorts, Inc............................... 225,653 3,754,866
Kimco Realty Corp........................................ 129,792 2,519,263
ProLogis, Inc............................................ 146,375 5,237,298
#Public Storage........................................... 45,339 6,495,265
#Simon Property Group, Inc................................ 97,668 15,197,141
#Ventas, Inc.............................................. 92,140 5,416,911
#Vornado Realty Trust..................................... 59,025 5,066,706
9
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
---------- --------------
Real Estate Investment Trusts -- (Continued)
Weyerhaeuser Co.......................................... 171,099 $ 3,483,576
--------------
Total Real Estate Investment Trusts......................... 81,084,292
--------------
Telecommunication Services -- (2.5%)
AT&T, Inc................................................ 1,890,785 62,225,734
CenturyLink, Inc......................................... 197,606 7,619,687
*Crown Castle International Corp.......................... 79,843 4,519,912
#Frontier Communications Corp............................. 317,339 1,282,050
*MetroPCS Communications, Inc............................. 93,643 683,594
*Sprint Nextel Corp....................................... 955,920 2,370,682
#Verizon Communications, Inc.............................. 904,299 36,515,594
#Windstream Corp.......................................... 187,037 2,102,296
--------------
Total Telecommunication Services............................ 117,319,549
--------------
Utilities -- (3.0%)
*AES Corp................................................. 205,179 2,568,841
#AGL Resources, Inc....................................... 37,345 1,472,513
#Ameren Corp.............................................. 77,380 2,537,290
American Electric Power Co., Inc......................... 154,172 5,988,040
CenterPoint Energy, Inc.................................. 135,882 2,746,175
#CMS Energy Corp.......................................... 82,049 1,886,307
#Consolidated Edison, Inc................................. 93,405 5,552,927
Dominion Resources, Inc.................................. 181,823 9,489,342
DTE Energy Co............................................ 54,025 3,045,930
#Duke Energy Corp......................................... 426,020 9,129,609
#Edison International, Inc................................ 103,906 4,572,903
Entergy Corp............................................. 56,327 3,692,798
Exelon Corp.............................................. 271,433 10,588,601
FirstEnergy Corp......................................... 133,376 6,244,664
#Integrys Energy Group, Inc............................... 24,967 1,364,197
#NextEra Energy, Inc...................................... 132,736 8,541,562
NiSource, Inc............................................ 89,992 2,218,303
Northeast Utilities, Inc................................. 56,513 2,077,983
*NRG Energy, Inc.......................................... 72,612 1,234,404
ONEOK, Inc............................................... 33,133 2,845,793
#Pepco Holdings, Inc...................................... 72,588 1,373,365
PG&E Corp................................................ 131,425 5,806,356
Pinnacle West Capital Corp............................... 34,843 1,684,659
#PPL Corp................................................. 184,728 5,052,311
Progress Energy, Inc..................................... 94,150 5,010,663
Public Service Enterprise Group, Inc..................... 161,388 5,027,236
#SCANA Corp............................................... 36,982 1,705,610
Sempra Energy............................................ 76,728 4,967,371
#Southern Co. (The)....................................... 276,365 12,696,208
TECO Energy, Inc......................................... 68,824 1,240,208
Wisconsin Energy Corp.................................... 73,498 2,707,666
Xcel Energy, Inc......................................... 155,258 4,201,281
--------------
Total Utilities............................................. 139,271,116
--------------
TOTAL COMMON STOCKS......................................... 4,028,128,055
--------------
TEMPORARY CASH INVESTMENTS -- (1.9%)
BlackRock Liquidity Funds TempCash Portfolio --
Institutional Shares................................... 86,468,661 86,468,661
--------------
10
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund......................................................... 540,103,169 $ 540,103,169
@ Repurchase Agreement, JPMorgan Securities LLC 0.21%, 05/01/12 (Collateralized by.......
$4,834,439 FNMA, rates ranging from 2.000% to 6.331%(r), maturities ranging from.....
01/01/19 to 09/01/45, valued at $4,849,426) to be repurchased at $4,693,635.......... $ 4,694 4,693,608
--------------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 544,796,777
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,080,960,089).................................................................... $4,659,393,493
==============
11
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE+
---------- --------------
COMMON STOCKS -- (92.5%)
Consumer Discretionary -- (15.0%)
#Best Buy Co., Inc............................ 401,070 $ 8,851,615
#Carnival Corp................................ 2,385,423 77,502,393
CBS Corp. Class A............................ 7,236 246,603
#CBS Corp. Class B............................ 2,669,115 89,014,985
#*Clear Channel Outdoor Holdings, Inc. Class A. 168,716 1,277,180
#Comcast Corp. Class A........................ 10,008,890 303,569,634
Comcast Corp. Special Class A................ 3,843,964 114,665,446
#D.R. Horton, Inc............................. 1,448,033 23,675,340
#Dillard's, Inc. Class A...................... 105,055 6,782,351
Foot Locker, Inc............................. 531,795 16,267,609
#GameStop Corp. Class A....................... 610,703 13,899,600
#Gannett Co., Inc............................. 277,280 3,832,010
#*General Motors Co............................ 1,085,977 24,977,471
#*Hyatt Hotels Corp. Class A................... 19,122 822,820
#J.C. Penney Co., Inc......................... 1,078,085 38,875,745
#Lennar Corp. Class A......................... 802,616 22,264,568
Lennar Corp. Class B Voting.................. 4,809 108,828
#*Liberty Interactive Corp. Class A............ 3,316,465 62,482,201
#*MGM Resorts International.................... 2,598,118 34,866,744
#*Mohawk Industries, Inc....................... 392,417 26,299,787
#News Corp. Class A........................... 9,024,175 176,873,830
#News Corp. Class B........................... 3,247,295 64,426,333
#*Orchard Supply Hardware Stores Corp. Class A. 22,704 487,455
#*Penn National Gaming, Inc.................... 286,620 12,892,168
#*PulteGroup, Inc.............................. 20,241 199,171
#Royal Caribbean Cruises, Ltd................. 1,043,290 28,554,847
#*Sears Holdings Corp.......................... 595,638 32,033,412
#Service Corp. International.................. 213,116 2,467,883
#Staples, Inc................................. 696,416 10,724,806
#Time Warner Cable, Inc....................... 1,921,256 154,565,045
Time Warner, Inc............................. 5,323,159 199,405,536
#*Toll Brothers, Inc........................... 912,316 23,172,826
#Washington Post Co. Class B.................. 36,180 13,682,191
Whirlpool Corp............................... 213,025 13,637,860
#Wyndham Worldwide Corp....................... 837,843 42,177,017
--------------
Total Consumer Discretionary.................... 1,645,583,310
--------------
Consumer Staples -- (8.4%)
Archer-Daniels-Midland Co.................... 3,155,848 97,294,794
Bunge, Ltd................................... 534,748 34,491,246
#*Constellation Brands, Inc. Class A........... 933,566 20,165,026
*Constellation Brands, Inc. Class B........... 153 3,328
#Corn Products International, Inc............. 1,257 71,724
CVS Caremark Corp............................ 6,431,368 286,967,640
#Fortune Brands, Inc.......................... 560,836 31,844,268
#J.M. Smucker Co.............................. 567,540 45,193,210
#Kraft Foods, Inc. Class A.................... 7,128,852 284,227,329
#Molson Coors Brewing Co. Class B............. 802,754 33,378,511
#*Post Holdings, Inc........................... 104,591 3,111,582
*Ralcorp Holdings, Inc........................ 218,241 15,890,127
#Safeway, Inc................................. 1,082,518 22,007,591
#*Smithfield Foods, Inc........................ 780,989 16,369,529
#Tyson Foods, Inc. Class A.................... 1,828,601 33,371,968
--------------
Total Consumer Staples.......................... 924,387,873
--------------
Energy -- (16.7%)
Anadarko Petroleum Corp...................... 2,574,876 188,506,672
Apache Corp.................................. 1,155,774 110,884,958
12
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Energy -- (Continued)
Baker Hughes, Inc........................................ 27,157 $ 1,197,895
#Chesapeake Energy Corp................................... 3,267,150 60,246,246
Chevron Corp............................................. 1,669,494 177,901,281
Cimarex Energy Co........................................ 390 26,953
ConocoPhillips........................................... 5,710,341 409,031,726
#*Denbury Resources, Inc................................... 1,415,410 26,949,406
Devon Energy Corp........................................ 1,088,705 76,046,044
#Helmerich & Payne, Inc................................... 513,387 26,382,958
Hess Corp................................................ 1,567,373 81,722,828
#*HollyFrontier Corp....................................... 63,590 1,959,844
Marathon Oil Corp........................................ 3,625,708 106,378,273
Marathon Petroleum Corp.................................. 1,791,952 74,563,123
Murphy Oil Corp.......................................... 689,754 37,915,777
*Nabors Industries, Ltd................................... 1,355,841 22,574,753
National Oilwell Varco, Inc.............................. 1,627,065 123,266,444
Noble Corp............................................... 509,612 19,395,833
#Patterson-UTI Energy, Inc................................ 732,485 11,844,282
#Pioneer Natural Resources Co............................. 517,832 59,975,302
*Plains Exploration & Production Co....................... 664,529 27,146,010
#QEP Resources, Inc....................................... 431,083 13,281,667
#*Rowan Cos., Inc.......................................... 595,894 20,576,220
#*Tesoro Corp.............................................. 605,336 14,074,062
Tidewater, Inc........................................... 276,715 15,227,626
Transocean, Ltd.......................................... 399,249 20,118,157
*Unit Corp................................................ 100 4,225
Valero Energy Corp....................................... 2,806,975 69,332,282
*Weatherford International, Ltd........................... 1,009,406 14,404,224
#*Whiting Petroleum Corp................................... 67,650 3,869,580
#*Williams Cos., Inc. (The)................................ 344,724 11,730,958
--------------
Total Energy................................................ 1,826,535,609
--------------
Financials -- (17.1%)
#*Allegheny Corp........................................... 4,013 1,376,058
Allied World Assurance Co. Holdings AG................... 188,355 13,554,026
#Allstate Corp. (The)..................................... 1,330,135 44,333,400
Alterra Capital Holdings, Ltd............................ 35,444 848,175
*American Capital, Ltd.................................... 788,816 7,832,943
American Financial Group, Inc............................ 582,168 22,657,979
*American International Group, Inc........................ 455,642 15,505,497
American National Insurance Co........................... 90,418 6,347,344
#Assurant, Inc............................................ 493,401 19,903,796
Assured Guaranty, Ltd.................................... 18,939 268,555
Axis Capital Holdings, Ltd............................... 613,817 20,882,054
Bank of America Corp..................................... 24,999,052 202,742,312
#Bank of New York Mellon Corp. (The)...................... 162,758 3,849,227
Capital One Financial Corp............................... 1,092,331 60,602,524
*CIT Group, Inc........................................... 126,575 4,790,864
#Citigroup, Inc........................................... 9,041,167 298,720,158
#CME Group, Inc........................................... 319,869 85,027,578
#CNA Financial Corp....................................... 1,259,820 38,575,688
*E*Trade Financial Corp................................... 57,660 612,926
Everest Re Group, Ltd.................................... 231,133 22,905,280
#*Genworth Financial, Inc. Class A......................... 2,390,330 14,365,883
Goldman Sachs Group, Inc. (The).......................... 279,035 32,130,880
Hartford Financial Services Group, Inc................... 2,160,202 44,392,151
#*Hudson City Bancorp, Inc................................. 74,986 529,401
JPMorgan Chase & Co...................................... 1,496,828 64,333,667
KeyCorp.................................................. 3,863,464 31,062,251
Legg Mason, Inc.......................................... 721,237 18,802,649
#Lincoln National Corp.................................... 1,587,360 39,318,907
#Loews Corp............................................... 2,340,216 96,253,084
13
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Financials -- (Continued)
#MetLife, Inc............................................. 4,759,859 $ 171,497,720
Morgan Stanley........................................... 3,765,813 65,073,249
*NASDAQ OMX Group, Inc. (The)............................. 840,414 20,648,972
NYSE Euronext............................................ 31,370 807,777
#Old Republic International Corp.......................... 1,371,493 13,646,355
PartnerRe, Ltd........................................... 187,833 13,076,933
People's United Financial, Inc........................... 38,007 469,006
#PNC Financial Services Group, Inc........................ 22 1,459
Principal Financial Group, Inc........................... 461,260 12,763,064
#Prudential Financial, Inc................................ 2,340,342 141,684,305
#Regions Financial Corp................................... 5,735,171 38,655,053
Reinsurance Group of America, Inc........................ 428,134 24,891,711
#SunTrust Banks, Inc...................................... 2,564,707 62,271,086
Unum Group............................................... 1,777,689 42,202,337
Validus Holdings, Ltd.................................... 311,103 10,110,847
XL Group P.L.C........................................... 1,435,288 30,873,045
#Zions Bancorporation..................................... 777,171 15,846,517
--------------
Total Financials............................................ 1,877,044,693
--------------
Health Care -- (8.8%)
Aetna, Inc............................................... 1,957,594 86,212,440
#*Alere, Inc............................................... 67,322 1,608,323
*Boston Scientific Corp................................... 6,689,559 41,876,639
*CareFusion Corp.......................................... 917,825 23,780,846
#Cigna Corp............................................... 36,433 1,684,298
Coventry Health Care, Inc................................ 670,877 20,119,601
#*Endo Pharmaceuticals Holdings, Inc....................... 173,568 6,099,179
*Forest Laboratories, Inc................................. 146,552 5,104,406
*Hologic, Inc............................................. 1,229,548 23,508,958
Humana, Inc.............................................. 698,778 56,377,409
*Life Technologies Corp................................... 59,586 2,762,407
#Omnicare, Inc............................................ 602,337 20,985,421
#PerkinElmer, Inc......................................... 438,767 12,109,969
Pfizer, Inc.............................................. 17,815,204 408,502,628
#Teleflex, Inc............................................ 89,297 5,596,243
Thermo Fisher Scientific, Inc............................ 1,994,284 110,981,905
WellPoint, Inc........................................... 2,067,263 140,201,777
--------------
Total Health Care........................................... 967,512,449
--------------
Industrials -- (13.4%)
#*AECOM Technology Corp.................................... 68,209 1,505,373
*AGCO Corp................................................ 252,065 11,741,188
#*CNH Global N.V........................................... 6,633 303,592
CSX Corp................................................. 6,342,908 141,510,277
#FedEx Corp............................................... 150,525 13,282,326
*Fortune Brands Home & Security, Inc...................... 742,497 16,884,382
General Electric Co...................................... 21,867,055 428,156,937
#*Hertz Global Holdings, Inc............................... 876,229 13,502,689
Ingersoll-Rand P.L.C..................................... 933,314 39,684,511
*Jacobs Engineering Group, Inc............................ 3,134 137,363
L-3 Communications Holdings, Inc......................... 407,736 29,984,905
Manpower, Inc............................................ 6,983 297,476
#Norfolk Southern Corp.................................... 2,045,548 149,181,816
Northrop Grumman Corp.................................... 1,545,282 97,785,445
#*Owens Corning, Inc....................................... 589,248 20,240,669
#Pentair, Inc............................................. 159,772 6,924,518
*Quanta Services, Inc..................................... 482,223 10,666,773
Republic Services, Inc................................... 1,104,756 30,237,172
Ryder System, Inc........................................ 297,607 14,499,413
#Southwest Airlines Co.................................... 4,290,532 35,525,605
SPX Corp................................................. 316 24,262
14
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Industrials -- (Continued)
#Stanley Black & Decker, Inc.............................. 528,407 $ 38,658,256
#*Terex Corp............................................... 17,458 395,249
Trinity Industries, Inc.................................. 8,644 255,862
Tyco International, Ltd.................................. 1,433,965 80,488,455
Union Pacific Corp....................................... 2,422,164 272,348,120
#URS Corp................................................. 378,541 15,637,529
--------------
Total Industrials........................................... 1,469,860,163
--------------
Information Technology -- (3.5%)
#Activision Blizzard, Inc................................. 2,612,644 33,624,728
#*Arrow Electronics, Inc................................... 568,882 23,921,488
*Avnet, Inc............................................... 711,662 25,676,765
#AVX Corp................................................. 285,834 3,630,092
*Brocade Communications Systems, Inc...................... 419,260 2,322,700
#Computer Sciences Corp................................... 897,932 25,195,972
Corning, Inc............................................. 2,232,465 32,035,873
#Fidelity National Information Services, Inc.............. 1,328,465 44,729,417
Hewlett-Packard Co....................................... 1,097,035 27,162,587
IAC/InterActiveCorp...................................... 461,765 22,233,985
*Ingram Micro, Inc. Class A............................... 911,755 17,742,752
*Juniper Networks, Inc.................................... 81,071 1,737,351
#*Micron Technology, Inc................................... 3,322,059 21,892,369
#*Western Digital Corp..................................... 782,708 30,376,897
Xerox Corp............................................... 5,490,094 42,712,931
#*Yahoo!, Inc.............................................. 1,539,555 23,924,685
--------------
Total Information Technology................................ 378,920,592
--------------
Materials -- (2.7%)
#Alcoa, Inc............................................... 5,357,434 52,127,833
#Ashland, Inc............................................. 376,837 24,822,253
#Cliffs Natural Resources, Inc............................ 147,736 9,198,043
Cytec Industries, Inc.................................... 66,976 4,257,664
#Domtar Corp.............................................. 199,193 17,425,404
#Huntsman Corp............................................ 155,311 2,199,204
International Paper Co................................... 2,299,481 76,595,712
LyondellBasell Industries N.V. Class A................... 75,881 3,170,308
MeadWestavco Corp........................................ 988,501 31,454,102
#Nucor Corp............................................... 165,094 6,473,336
#Reliance Steel & Aluminum Co............................. 363,907 20,338,762
Rock-Tenn Co. Class A.................................... 73,108 4,556,822
#Sealed Air Corp.......................................... 311,965 5,983,489
#Steel Dynamics, Inc...................................... 893,527 11,410,340
*SunCoke Energy, Inc...................................... 1 11
#United States Steel Corp................................. 204,541 5,794,646
#Vulcan Materials Co...................................... 576,439 24,677,354
#Westlake Chemical Corp................................... 2,222 142,097
--------------
Total Materials............................................. 300,627,380
--------------
Telecommunication Services -- (6.1%)
AT&T, Inc................................................ 13,051,618 429,528,748
#CenturyLink, Inc......................................... 2,300,437 88,704,851
#Frontier Communications Corp............................. 1,781,243 7,196,222
*MetroPCS Communications, Inc............................. 1,453,136 10,607,893
#*NII Holdings, Inc........................................ 110,211 1,542,403
*Sprint Nextel Corp....................................... 13,961,200 34,623,776
#Telephone & Data Systems, Inc............................ 562,342 13,659,281
#*United States Cellular Corp.............................. 265,925 10,429,578
#Verizon Communications, Inc.............................. 1,811,751 73,158,505
--------------
Total Telecommunication Services............................ 669,451,257
--------------
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
------------ ---------------
Utilities -- (0.8%)
#*AES Corp................................................... 1,010,587 $ 12,652,549
*Calpine Corp............................................... 1,006,942 18,880,162
*NRG Energy, Inc............................................ 987,176 16,781,992
#Public Service Enterprise Group, Inc....................... 1,096,857 34,167,096
---------------
Total Utilities............................................... 82,481,799
---------------
TOTAL COMMON STOCKS........................................... 10,142,405,125
---------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash
Portfolio--Institutional Shares.......................... 31,844,654 31,844,654
---------------
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (7.2%)
(S) @ DFA Short Term Investment Fund.......................... 785,569,107 785,569,107
@ Repurchase Agreement, JPMorgan Securities LLC 0.21%,
05/01/12 (Collateralized by $375,124 FNMA, rates
ranging from 2.000% to 6.331%(r), maturities ranging
from 01/01/19 to 09/01/45, valued at $376,287) to be
repurchased at $364,198.................................. $ 364 364,196
---------------
TOTAL SECURITIES LENDING COLLATERAL........................... 785,933,303
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,527,670,147)...................................... $10,960,183,082
===============
16
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE++
--------- ------------
COMMON STOCKS -- (85.6%)
AUSTRALIA -- (4.2%)
Alumina, Ltd............................................. 2,919,489 $ 3,487,208
#Alumina, Ltd. Sponsored ADR.............................. 172,484 821,024
Amcor, Ltd. Sponsored ADR................................ 74,696 2,339,479
Asciano Group, Ltd....................................... 1,275,861 6,244,288
Australia & New Zealand Banking Group, Ltd............... 112,583 2,789,046
#Bank of Queensland, Ltd.................................. 441,910 3,413,546
Bendigo Bank, Ltd........................................ 596,517 4,664,592
#Boral, Ltd............................................... 1,576,317 6,164,915
Caltex Australia, Ltd.................................... 341,805 4,869,603
Crown, Ltd............................................... 957,925 9,045,412
*Downer EDI, Ltd.......................................... 132,490 494,597
Echo Entertainment Group, Ltd............................ 1,526,918 7,112,845
#*Fairfax Media, Ltd....................................... 4,500,769 3,211,777
#Harvey Norman Holdings, Ltd.............................. 991,617 2,079,233
Incitec Pivot, Ltd....................................... 4,149,937 14,025,619
Insurance Australia Group, Ltd........................... 1,872,961 6,870,016
Lend Lease Group NL...................................... 773,285 5,955,951
Macquarie Group, Ltd..................................... 568,086 17,122,387
National Australia Bank, Ltd............................. 1,490,363 38,957,024
#New Hope Corp., Ltd...................................... 51,436 261,054
*Newcrest Mining, Ltd..................................... 62,046 1,690,757
OneSteel, Ltd............................................ 2,331,726 3,124,108
Origin Energy, Ltd....................................... 2,282,669 31,361,440
OZ Minerals, Ltd......................................... 497,884 4,793,908
Primary Health Care, Ltd................................. 28,910 84,909
#*Qantas Airways, Ltd...................................... 2,850,317 4,831,830
Santos, Ltd.............................................. 1,552,780 22,526,127
Seven Group Holdings, Ltd................................ 326,621 3,424,595
Sims Metal Management, Ltd............................... 124,128 1,839,144
#Sims Metal Management, Ltd. Sponsored ADR................ 124,013 1,822,991
Sonic Healthcare, Ltd.................................... 329,113 4,305,338
Suncorp Group, Ltd....................................... 3,324,750 28,035,386
TABCORP Holdings, Ltd.................................... 1,716,068 5,118,828
Tatts Group, Ltd......................................... 2,547,318 6,841,050
Toll Holdings, Ltd....................................... 662,085 4,012,984
Treasury Wine Estates, Ltd............................... 115,020 513,901
#Washington H. Soul Pattinson & Co., Ltd.................. 113,801 1,637,448
Wesfarmers, Ltd.......................................... 2,578,622 80,973,411
------------
TOTAL AUSTRALIA............................................. 346,867,771
------------
AUSTRIA -- (0.3%)
Erste Group Bank AG...................................... 342,508 7,897,933
#OMV AG................................................... 286,325 9,685,422
Raiffeisen Bank International AG......................... 55,762 1,855,419
Voestalpine AG........................................... 64,901 2,114,233
------------
TOTAL AUSTRIA............................................... 21,553,007
------------
BELGIUM -- (0.8%)
#Ageas SA................................................. 3,435,864 6,260,930
Delhaize Group SA........................................ 235,124 11,443,810
Delhaize Group SA Sponsored ADR.......................... 52,900 2,576,759
D'ieteren SA............................................. 1,857 81,988
KBC Groep NV............................................. 356,956 6,920,305
Solvay SA................................................ 180,191 21,950,074
#UCB SA................................................... 292,608 13,682,402
------------
TOTAL BELGIUM............................................... 62,916,268
------------
17
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
CANADA -- (10.6%)
Agnico-Eagle Mines, Ltd.................................. 13,354 $ 533,430
Astral Media, Inc. Class A............................... 40,138 1,983,638
Bell Aliant, Inc......................................... 162,757 4,310,091
Cameco Corp.............................................. 465,901 10,309,861
Canadian National Resources, Ltd......................... 168,339 5,848,453
#Canadian Pacific Railway, Ltd............................ 266,453 20,620,875
#Canadian Tire Corp. Class A.............................. 214,347 14,991,379
Empire Co., Ltd. Class A................................. 65,500 3,855,008
#Encana Corp.............................................. 2,051,015 42,957,433
Enerplus Corp............................................ 371,811 6,880,301
Ensign Energy Services, Inc.............................. 452,198 6,536,810
Fairfax Financial Holdings, Ltd.......................... 54,622 22,393,444
Genworth MI Canada, Inc.................................. 84,524 1,756,621
George Weston, Ltd....................................... 139,152 8,892,712
#Goldcorp, Inc............................................ 1,677,120 64,225,793
Groupe Aeroplan, Inc..................................... 211,202 2,715,256
#Husky Energy, Inc........................................ 783,918 20,450,035
IAMGOLD Corp............................................. 231,424 2,869,812
Industrial Alliance Insurance & Financial Services, Inc.. 168,485 5,372,554
Inmet Mining Corp........................................ 154,478 8,497,580
Intact Financial Corp.................................... 62,200 4,015,909
*Katanga Mining, Ltd...................................... 181,994 151,071
Kinross Gold Corp........................................ 2,678,826 23,999,200
#Loblaw Cos., Ltd......................................... 224,875 7,591,822
*Lundin Mining Corp....................................... 1,008,210 4,898,930
#Magna International, Inc................................. 583,936 25,589,502
#Manulife Financial Corp.................................. 4,206,497 57,528,749
Methanex Corp............................................ 68,615 2,415,781
Metro, Inc............................................... 89,917 4,960,750
Nexen, Inc............................................... 1,739,936 33,623,909
Pan American Silver Corp................................. 103,026 2,003,472
Pengrowth Energy Corp.................................... 655,222 5,889,934
Penn West Petroleum, Ltd................................. 877,632 15,041,059
PetroBakken Energy, Ltd. Class A......................... 62,100 898,952
*Precision Drilling Corp.................................. 706,616 6,509,294
Progress Energy Resources Corp........................... 394,565 4,341,673
Progressive Waste Solutions, Ltd......................... 122,391 2,655,099
Quebecor, Inc. Class B................................... 72,000 2,830,146
*Research In Motion, Ltd.................................. 435,600 6,230,731
*Sears Canada, Inc........................................ 2,159 30,008
#Sun Life Financial, Inc.................................. 1,513,735 37,113,592
Suncor Energy, Inc....................................... 3,486,786 115,173,181
Talisman Energy, Inc..................................... 2,251,645 29,449,059
Teck Resources, Ltd. Class A............................. 4,115 161,417
#Teck Resources, Ltd. Class B............................. 1,483,730 55,362,948
#Thomson Reuters Corp..................................... 1,832,184 54,751,300
#TransAlta Corp........................................... 602,148 9,984,496
#TransCanada Corp......................................... 1,575,808 69,326,938
*Uranium One, Inc......................................... 632,800 1,838,473
Viterra, Inc............................................. 861,686 13,878,042
#Yamana Gold, Inc......................................... 1,777,340 26,070,412
------------
TOTAL CANADA................................................ 880,316,935
------------
DENMARK -- (1.2%)
#*A.P. Moeller-Maersk A.S. Series A........................ 842 6,280,326
A.P. Moeller-Maersk A.S. Series B........................ 3,855 30,184,418
Carlsberg A.S. Series B.................................. 312,511 26,976,499
*Danske Bank A.S.......................................... 1,707,998 27,756,572
H. Lundbeck A.S.......................................... 123,467 2,475,375
*Rockwool International A.S. Series A..................... 9 866
Rockwool International A.S. Series B..................... 1,631 155,629
18
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
DENMARK -- (Continued)
TDC A.S.................................................. 758,575 $ 5,437,579
#*Vestas Wind Systems A.S.................................. 348,128 3,068,421
------------
TOTAL DENMARK............................................... 102,335,685
------------
FINLAND -- (0.5%)
*Kesko Oyj Series A....................................... 662 19,217
#Kesko Oyj Series B....................................... 138,917 3,715,657
Neste Oil Oyj............................................ 69,191 818,758
Sampo Oyj Series A....................................... 302,422 8,051,974
#Stora Enso Oyj Series R.................................. 1,304,065 8,925,786
Stora Enso Oyj Sponsored ADR............................. 91,500 623,115
#UPM-Kymmene Oyj.......................................... 1,346,790 17,283,559
UPM-Kymmene Oyj Sponsored ADR............................ 69,300 882,882
------------
TOTAL FINLAND............................................... 40,320,948
------------
FRANCE -- (7.7%)
Arkema SA................................................ 166,322 14,750,912
#AXA SA................................................... 4,058,877 57,677,147
AXA SA Sponsored ADR..................................... 140,900 1,996,553
BNP Paribas SA........................................... 1,248,772 50,399,590
Bollore SA............................................... 22,288 4,830,900
#*Bouygues SA.............................................. 305,569 8,337,002
Cap Gemini SA............................................ 324,351 12,671,503
Casino Guichard Perrachon SA............................. 139,924 13,747,365
Cie de Saint-Gobain SA................................... 1,039,077 43,626,019
*Cie Generale de Geophysique--Veritas SA.................. 130,878 3,753,286
#*Cie Generale de Geophysique--Veritas SA Sponsored ADR.... 141,089 4,057,720
Cie Generale des Etablissements Michelin SA Series B..... 334,922 25,029,557
#Ciments Francais SA...................................... 26,702 1,711,861
CNP Assurances SA........................................ 318,796 4,476,041
Credit Agricole SA....................................... 2,838,495 14,611,683
*Eiffage SA............................................... 31,691 1,078,817
Electricite de France SA................................. 436,218 9,241,676
#Eramet SA................................................ 5,005 667,654
France Telecom SA........................................ 3,803,372 52,136,748
GDF Suez SA.............................................. 2,974,295 68,480,750
Groupe Eurotunnel SA..................................... 907,172 7,632,587
Lafarge SA............................................... 505,082 19,742,004
#Lagardere SCA............................................ 243,906 7,395,994
Natixis SA............................................... 2,026,810 6,178,542
#Peugeot SA............................................... 358,364 4,303,942
#PPR SA................................................... 161,317 26,996,280
#Renault SA............................................... 500,084 22,749,145
Rexel SA................................................. 243,067 5,085,397
Sanofi SA................................................ 87,938 6,716,849
Sanofi SA ADR............................................ 520,100 19,857,418
SCOR SE.................................................. 198,036 5,235,603
#Societe Generale SA...................................... 1,558,512 36,896,510
STMicroelectronics NV.................................... 1,542,301 8,880,310
Thales SA................................................ 27,549 955,073
*Vallourec SA............................................. 44,398 2,673,718
#Vivendi SA............................................... 3,567,218 65,981,070
------------
TOTAL FRANCE................................................ 640,563,226
------------
GERMANY -- (7.0%)
Allianz SE............................................... 330,017 36,810,454
Allianz SE Sponsored ADR................................. 2,811,910 31,099,725
Bayerische Motoren Werke AG.............................. 660,431 62,814,886
*Celesio AG............................................... 92,470 1,594,646
#*Commerzbank AG........................................... 4,399,281 9,525,126
19
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
GERMANY -- (Continued)
Daimler AG............................................... 2,088,586 $115,564,409
Deutsche Bank AG......................................... 1,039,440 45,125,200
Deutsche Bank AG (D18190898)............................. 420,711 18,254,650
Deutsche Lufthansa AG.................................... 464,311 6,046,422
Deutsche Telekom AG...................................... 2,852,483 32,160,894
#Deutsche Telekom AG Sponsored ADR........................ 3,099,741 35,337,047
#E.ON AG.................................................. 2,894,296 65,531,861
Fraport AG............................................... 37,336 2,427,763
#Generali Deutschland Holding AG.......................... 8,506 719,585
#Hannover Rueckversicherung AG............................ 60,686 3,672,548
#Heidelberger Zement AG................................... 201,967 11,113,123
Merck KGaA............................................... 50,209 5,518,955
#Munchener Rueckversicherungs-Gesellschaft AG............. 395,244 57,409,200
#*RWE AG................................................... 317,533 13,649,762
#Salzgitter AG............................................ 79,216 4,151,983
SCA Hygiene Products SE.................................. 3,195 1,419,938
#Suedzucker AG............................................ 45,256 1,378,133
ThyssenKrupp AG.......................................... 368,208 8,732,147
#Volkswagen AG............................................ 48,739 8,325,838
------------
TOTAL GERMANY............................................... 578,384,295
------------
GREECE -- (0.1%)
Coca-Cola Hellenic Bottling Co. S.A...................... 4,366 86,719
Hellenic Petroleum S.A................................... 334,517 2,458,702
*National Bank of Greece S.A.............................. 705,803 1,574,748
------------
TOTAL GREECE................................................ 4,120,169
------------
HONG KONG -- (1.7%)
Cathay Pacific Airways, Ltd.............................. 2,126,000 3,596,817
Dah Sing Banking Group, Ltd.............................. 4,000 4,134
Dah Sing Financial Holdings, Ltd......................... 113,650 406,027
Great Eagle Holdings, Ltd................................ 860,324 2,526,729
Hang Lung Group, Ltd..................................... 356,000 2,218,035
Henderson Land Development Co., Ltd...................... 3,286,114 18,645,849
Hong Kong & Shanghai Hotels, Ltd......................... 2,025,348 2,650,349
Hopewell Holdings, Ltd................................... 1,244,169 3,334,523
Hutchison Whampoa, Ltd................................... 5,618,000 53,856,729
Hysan Development Co., Ltd............................... 1,040,362 4,696,226
Kowloon Development Co., Ltd............................. 282,000 293,509
New World Development Co., Ltd........................... 8,442,100 10,486,825
Orient Overseas International, Ltd....................... 488,000 3,331,265
Shun Tak Holdings, Ltd................................... 2,346,000 968,030
Sino Land Co., Ltd....................................... 1,055,352 1,812,999
Wharf Holdings, Ltd...................................... 2,757,990 16,355,885
Wheelock & Co., Ltd...................................... 3,482,000 11,731,566
------------
TOTAL HONG KONG............................................. 136,915,497
------------
IRELAND -- (0.2%)
CRH P.L.C................................................ 590,083 11,972,870
CRH P.L.C. Sponsored ADR................................. 259,888 5,283,523
*Governor & Co. of the Bank of Ireland P.L.C. (The)....... 157,165 23,348
------------
TOTAL IRELAND............................................... 17,279,741
------------
ISRAEL -- (0.6%)
Bank Hapoalim B.M........................................ 2,940,875 10,913,355
Bank Leumi Le-Israel B.M................................. 2,840,659 8,886,091
Bezeq Israeli Telecommunication Corp., Ltd............... 2,743,801 4,574,275
Elbit Systems, Ltd....................................... 57,084 2,082,518
Israel Chemicals, Ltd.................................... 843,555 9,649,278
*Israel Discount Bank, Ltd. Series A...................... 1,954,545 2,534,734
20
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
ISRAEL -- (Continued)
*Mellanox Technologies, Ltd............................... 23,772 $ 1,365,746
*NICE Systems, Ltd........................................ 11,443 438,699
*NICE Systems, Ltd. Sponsored ADR......................... 160,983 6,184,967
*Oil Refineries, Ltd...................................... 528,928 307,535
Partner Communications Co., Ltd.......................... 63,263 472,840
Paz Oil Co., Ltd......................................... 321 43,717
*Strauss Group, Ltd....................................... 17,492 210,770
------------
TOTAL ISRAEL................................................ 47,664,525
------------
ITALY -- (1.2%)
#Banca Monte Dei Paschi di Siena SpA...................... 8,998,791 3,201,163
Banco Popolare Scarl..................................... 2,933,385 4,362,170
#*Fiat SpA................................................. 1,512,718 7,306,723
*Finmeccanica SpA......................................... 1,096,376 4,716,235
Intesa Sanpaolo SpA...................................... 18,250,842 27,665,557
*Mediaset SpA............................................. 712,461 1,695,752
Parmalat SpA............................................. 602,705 1,363,240
Telecom Italia SpA....................................... 5,476,933 6,213,483
Telecom Italia SpA Sponsored ADR......................... 1,874,500 21,219,340
UniCredit SpA............................................ 4,730,546 18,868,285
#Unione di Banche Italiane ScpA........................... 1,525,749 5,670,893
------------
TOTAL ITALY................................................. 102,282,841
------------
JAPAN -- (17.4%)
77 Bank, Ltd. (The)...................................... 737,372 2,940,331
#Aeon Co., Ltd............................................ 1,886,800 24,632,172
Aisin Seiki Co., Ltd..................................... 85,300 3,003,638
Ajinomoto Co., Inc....................................... 1,189,000 15,345,526
Alfresa Holdings Corp.................................... 85,700 3,957,616
Amada Co., Ltd........................................... 821,000 5,572,382
Aozora Bank, Ltd......................................... 991,000 2,541,700
Asahi Glass Co., Ltd..................................... 1,586,000 12,470,023
Asahi Kasei Corp......................................... 2,028,000 12,534,544
Asatsu-DK, Inc........................................... 32,500 939,976
Autobacs Seven Co., Ltd.................................. 71,600 3,436,316
Awa Bank, Ltd. (The)..................................... 65,600 387,265
Bank of Kyoto, Ltd. (The)................................ 731,400 6,196,201
Bank of Yokohama, Ltd. (The)............................. 1,279,000 6,194,250
Canon Marketing Japan, Inc............................... 124,900 1,611,250
#Casio Computer Co., Ltd.................................. 249,300 1,656,181
Chiba Bank, Ltd. (The)................................... 980,000 5,954,009
Chugoku Bank, Ltd. (The)................................. 403,800 5,102,519
#Chuo Mitsui Trust Holdings, Inc.......................... 5,611,629 16,439,504
Citizen Holdings Co., Ltd................................ 511,000 3,209,192
Coca-Cola West Co., Ltd.................................. 109,007 1,967,610
COMSYS Holdings Corp..................................... 151,700 1,529,199
Cosmo Oil Co., Ltd....................................... 1,212,364 3,362,146
Credit Saison Co., Ltd................................... 267,800 5,747,265
#Dai Nippon Printing Co., Ltd............................. 1,815,000 16,107,933
Daicel Chemical Industries, Ltd.......................... 515,000 3,264,467
Daido Steel Co., Ltd..................................... 324,000 2,009,871
#Dainippon Sumitomo Pharma Co., Ltd....................... 313,600 3,140,654
Daiwa Securities Group, Inc.............................. 3,272,000 12,364,921
*Ebara Corp............................................... 82,000 331,749
Fuji Heavy Industries, Ltd............................... 1,298,000 9,790,187
Fuji Television Network, Inc............................. 1,128 1,902,753
FUJIFILM Holdings Corp................................... 1,327,000 28,146,202
Fukuoka Financial Group, Inc............................. 1,800,000 7,488,877
Fukuyama Transporting Co., Ltd........................... 71,000 387,745
Glory, Ltd............................................... 119,600 2,572,093
#Gunma Bank, Ltd. (The)................................... 921,397 4,674,971
21
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- -----------
JAPAN -- (Continued)
H2O Retailing Corp....................................... 198,000 $ 1,742,728
Hachijuni Bank, Ltd. (The)............................... 993,231 5,405,458
Hakuhodo DY Holdings, Inc................................ 39,920 2,492,834
Hankyu Hanshin Holdings, Inc............................. 582,000 2,715,410
Higo Bank, Ltd. (The).................................... 282,000 1,572,981
#Hiroshima Bank, Ltd. (The)............................... 300,000 1,218,774
Hitachi Capital Corp..................................... 105,100 1,737,390
Hitachi High-Technologies Corp........................... 159,200 4,000,649
Hitachi Transport System, Ltd............................ 94,400 1,727,617
Hokuhoku Financial Group, Inc............................ 2,620,000 4,583,735
House Foods Corp......................................... 148,300 2,497,680
Idemitsu Kosan Co., Ltd.................................. 51,124 4,707,315
Inpex Corp............................................... 3,476 22,950,325
Isetan Mitsukoshi Holdings, Ltd.......................... 882,200 9,609,175
ITOCHU Corp.............................................. 183,800 2,079,552
Iyo Bank, Ltd. (The)..................................... 548,000 4,547,641
J. Front Retailing Co., Ltd.............................. 1,136,000 5,836,972
JFE Holdings, Inc........................................ 773,100 14,458,129
Joyo Bank, Ltd. (The).................................... 1,503,000 6,561,246
JS Group Corp............................................ 419,700 8,241,407
JTEKT Corp............................................... 463,200 5,076,653
JX Holdings, Inc......................................... 5,548,433 31,298,119
Kagoshima Bank, Ltd. (The)............................... 358,143 2,156,366
#Kajima Corp.............................................. 1,544,000 4,400,745
Kamigumi Co., Ltd........................................ 519,000 4,171,197
Kaneka Corp.............................................. 653,542 4,038,826
#*Kawasaki Kisen Kaisha, Ltd............................... 1,166,087 2,456,193
Keiyo Bank, Ltd. (The)................................... 418,000 1,944,676
Kewpie Corp.............................................. 113,400 1,701,097
Kinden Corp.............................................. 285,000 1,979,252
Kirin Holdings Co., Ltd.................................. 247,000 3,144,916
Kobe Steel, Ltd.......................................... 3,785,000 5,398,141
#Konica Minolta Holdings, Inc............................. 339,000 2,750,358
Kyocera Corp............................................. 306,200 29,851,459
Kyocera Corp. Sponsored ADR.............................. 13,600 1,323,416
Kyowa Hakko Kirin Co., Ltd............................... 584,000 6,138,675
Mabuchi Motor Co., Ltd................................... 36,100 1,510,230
Marui Group Co., Ltd..................................... 542,642 4,307,198
Maruichi Steel Tube, Ltd................................. 104,400 2,297,494
*Mazda Motor Corp......................................... 3,005,000 4,883,222
Medipal Holdings Corp.................................... 339,800 4,298,338
Meiji Holdings Co., Ltd.................................. 144,395 6,395,421
Mitsubishi Chemical Holdings Corp........................ 3,885,000 20,474,264
Mitsubishi Corp.......................................... 2,411,300 52,257,599
Mitsubishi Gas Chemical Co., Inc......................... 948,000 6,210,714
Mitsubishi Heavy Industries, Ltd......................... 9,007,000 40,846,959
Mitsubishi Logistics Corp................................ 236,000 2,588,749
Mitsubishi Materials Corp................................ 2,533,000 7,554,767
#Mitsubishi Tanabe Pharma Corp............................ 405,600 5,629,928
Mitsubishi UFJ Financial Group, Inc...................... 17,167,906 82,431,923
Mitsubishi UFJ Financial Group, Inc. ADR................. 4,781,372 22,759,331
Mitsui & Co., Ltd........................................ 2,469,100 38,556,482
Mitsui & Co., Ltd. Sponsored ADR......................... 11,723 3,623,345
Mitsui Chemicals, Inc.................................... 1,861,800 5,378,910
*Mitsui Engineering & Shipbuilding Co., Ltd............... 1,025,000 1,507,069
Mitsui Mining & Smelting Co., Ltd........................ 69,030 173,090
Mitsui O.S.K. Lines, Ltd................................. 819,000 3,174,373
Mizuho Financial Group, Inc.............................. 293,760 463,115
Mizuho Financial Group, Inc. ADR......................... 349,173 1,096,403
MS&AD Insurance Group Holdings, Inc...................... 715,053 13,182,807
Nagase & Co., Ltd........................................ 235,889 2,855,909
22
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- -----------
JAPAN -- (Continued)
Namco Bandai Holdings, Inc............................... 36,600 $ 523,333
Nanto Bank, Ltd. (The)................................... 319,000 1,425,884
*NEC Corp................................................. 5,425,101 9,794,247
Nippon Electric Glass Co., Ltd........................... 554,000 4,476,190
Nippon Express Co., Ltd.................................. 1,952,238 7,369,709
Nippon Meat Packers, Inc................................. 429,536 5,486,817
#Nippon Paper Group, Inc.................................. 231,700 4,638,621
#Nippon Sheet Glass Co., Ltd.............................. 1,171,739 1,517,650
Nippon Shokubai Co., Ltd................................. 234,000 2,621,606
#Nippon Steel Corp........................................ 8,954,000 22,312,362
Nippon Television Network Corp........................... 12,380 1,917,256
#Nippon Yusen K.K......................................... 3,032,000 8,962,699
Nishi-Nippon Bank, Ltd................................... 1,403,569 3,712,318
#Nissan Motor Co., Ltd.................................... 907,200 9,432,192
Nissan Shatai Co., Ltd................................... 216,000 2,279,799
Nisshin Seifun Group, Inc................................ 394,500 4,813,391
*Nisshin Steel Co., Ltd................................... 1,431,000 2,008,462
Nisshinbo Holdings, Inc.................................. 305,000 2,681,556
NKSJ Holdings, Inc....................................... 79,550 1,637,435
#NOK Corp................................................. 162,200 3,336,547
Nomura Holdings, Inc..................................... 5,482,000 22,471,392
Nomura Real Estate Holdings, Inc......................... 164,700 2,879,149
NTN Corp................................................. 651,000 2,462,641
Obayashi Corp............................................ 1,650,682 6,987,076
OJI Paper Co., Ltd....................................... 1,997,000 9,169,443
Ono Pharmaceutical Co., Ltd.............................. 9,500 537,894
Onward Holdings Co., Ltd................................. 278,000 2,173,927
Panasonic Corp........................................... 3,486,017 26,726,092
Panasonic Corp. Sponsored ADR............................ 302,421 2,313,521
#*Renesas Electronics Corp................................. 121,800 700,497
Rengo Co., Ltd........................................... 428,000 3,129,452
Ricoh Co., Ltd........................................... 1,666,000 14,924,196
Rohm Co., Ltd............................................ 230,500 10,395,251
San-in Godo Bank, Ltd. (The)............................. 97,900 703,895
Sankyo Co., Ltd.......................................... 74,800 3,606,503
SBI Holdings, Inc........................................ 45,820 3,687,267
#Seiko Epson Corp......................................... 296,800 3,959,458
Seino Holdings Co., Ltd.................................. 295,000 2,043,485
Sekisui Chemical Co., Ltd................................ 736,000 6,617,531
Sekisui House, Ltd....................................... 1,354,000 12,552,102
Seven & I Holdings Co., Ltd.............................. 486,100 14,714,341
#Sharp Corp............................................... 2,998,000 19,178,793
Shiga Bank, Ltd.......................................... 451,185 2,577,827
Shimizu Corp............................................. 1,371,000 5,211,706
Shinsei Bank, Ltd........................................ 1,642,000 2,118,908
Shizuoka Bank, Ltd....................................... 827,000 8,654,319
Showa Denko K.K.......................................... 1,456,000 3,239,768
Showa Shell Sekiyu K.K................................... 224,000 1,409,659
SKY Perfect JSAT Holdings, Inc........................... 3,029 1,319,192
#Sojitz Corp.............................................. 2,578,100 4,341,854
Sony Corp................................................ 768,200 12,424,711
#Sony Corp. Sponsored ADR................................. 1,801,665 29,204,990
Sumitomo Bakelite Co., Ltd............................... 347,000 1,802,510
#Sumitomo Chemical Co., Ltd............................... 2,006,000 8,248,357
Sumitomo Corp............................................ 3,241,900 46,071,274
#Sumitomo Electric Industries, Ltd........................ 2,606,700 35,162,427
Sumitomo Forestry Co., Ltd............................... 161,400 1,404,561
Sumitomo Heavy Industries, Ltd........................... 297,000 1,531,819
Sumitomo Metal Industries, Ltd........................... 3,316,000 5,956,773
#Sumitomo Mitsui Financial Group, Inc..................... 1,025,500 32,814,750
Suzuken Co., Ltd......................................... 150,000 4,537,053
23
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- --------------
JAPAN -- (Continued)
Suzuki Motor Corp........................................ 519,200 $ 12,220,120
Taiheiyo Cement Corp..................................... 785,800 1,875,371
#Taisei Corp.............................................. 2,148,703 5,457,727
Taisho Pharmaceutical Holdings Co., Ltd.................. 73,099 5,850,048
#Takashimaya Co., Ltd..................................... 615,634 4,666,529
TDK Corp................................................. 107,400 5,608,102
Teijin, Ltd.............................................. 1,535,450 5,163,545
Tokai Rika Co., Ltd...................................... 94,200 1,754,674
Tokyo Broadcasting System, Inc........................... 85,300 1,156,617
*Tokyo Tatemono Co., Ltd.................................. 442,000 1,632,109
Toppan Printing Co., Ltd................................. 1,312,000 8,886,223
Tosoh Corp............................................... 1,044,000 2,886,257
Toyo Seikan Kaisha, Ltd.................................. 346,349 4,608,835
Toyobo Co., Ltd.......................................... 664,000 904,008
Toyoda Gosei Co., Ltd.................................... 13,800 281,270
Toyota Motor Corp........................................ 398,279 16,320,585
#Toyota Motor Corp. Sponsored ADR......................... 673,198 55,054,132
Toyota Tsusho Corp....................................... 482,400 9,566,354
UNY Co., Ltd............................................. 390,450 4,537,364
Wacoal Corp.............................................. 179,000 2,076,202
Yamada Denki Co., Ltd.................................... 76,640 4,973,309
Yamaguchi Financial Group, Inc........................... 492,148 4,227,298
Yamaha Corp.............................................. 327,300 3,173,129
Yamato Holdings Co., Ltd................................. 367,500 5,666,295
Yamato Kogyo Co., Ltd.................................... 82,600 2,350,392
Yamazaki Baking Co., Ltd................................. 128,000 1,892,866
Yokohama Rubber Co., Ltd................................. 437,000 3,194,485
--------------
TOTAL JAPAN................................................. 1,446,786,269
--------------
MALAYSIA -- (0.0%)
*Rekapacific Berhad....................................... 691,000 --
--------------
NETHERLANDS -- (2.3%)
*Aegon NV................................................. 3,288,297 15,295,765
Akzo Nobel NV............................................ 444,472 23,837,309
ArcelorMittal NV......................................... 2,446,831 42,506,116
*ING Groep NV............................................. 3,755,023 26,491,156
#*ING Groep NV Sponsored ADR............................... 1,273,519 8,991,044
Koninklijke Ahold NV..................................... 785,918 9,975,186
Koninklijke DSM NV....................................... 452,418 25,961,912
Koninklijke Philips Electronics NV....................... 1,939,039 38,587,673
#Philips Electronics NV ADR............................... 137,395 2,746,526
--------------
TOTAL NETHERLANDS........................................... 194,392,687
--------------
NEW ZEALAND -- (0.1%)
Auckland International Airport, Ltd...................... 219,002 452,384
Contact Energy, Ltd...................................... 1,261,859 4,998,073
Fletcher Building, Ltd................................... 6,732 34,344
--------------
TOTAL NEW ZEALAND........................................... 5,484,801
--------------
NORWAY -- (1.0%)
Aker ASA Series A........................................ 72,828 2,381,727
Aker Kvaerner ASA........................................ 12,550 213,730
*Archer, Ltd.............................................. 135,267 282,912
BW Offshore, Ltd......................................... 416,901 579,098
Cermaq ASA............................................... 27,247 372,331
#DNB ASA.................................................. 1,382,225 14,898,179
Marine Harvest ASA....................................... 7,530,562 3,864,929
Norsk Hydro ASA.......................................... 3,357,025 16,369,595
Norsk Hydro ASA Sponsored ADR............................ 59,900 289,916
Orkla ASA................................................ 2,797,062 20,543,067
24
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
NORWAY -- (Continued)
*Petroleum Geo-Services ASA............................... 378,646 $ 5,728,071
*Statoil Fuel & Retail ASA................................ 62,670 561,577
Stolt-Nielsen, Ltd....................................... 8,425 150,643
Storebrand ASA........................................... 1,082,306 4,865,491
*Subsea 7 SA.............................................. 528,896 13,697,853
Wilh Wilhelmsen Holding ASA.............................. 212 5,383
Yara International ASA................................... 35,511 1,740,753
------------
TOTAL NORWAY................................................ 86,545,255
------------
PORTUGAL -- (0.1%)
#Banco Espirito Santo SA.................................. 957,081 810,774
*Banco Espirito Santo SA I-12 Shares...................... 1,674,890 1,418,910
Cimpor Cimentos de Portugal SA........................... 169,758 1,241,848
*EDP Renovaveis SA........................................ 447,616 1,907,738
*Portugal Telecom SA...................................... 525,319 2,826,799
------------
TOTAL PORTUGAL.............................................. 8,206,069
------------
SINGAPORE -- (1.0%)
CapitaLand, Ltd.......................................... 5,036,000 11,903,484
CapitaMalls Asia, Ltd.................................... 1,863,000 2,309,153
DBS Group Holdings, Ltd.................................. 1,514,557 17,015,057
Fraser & Neave, Ltd...................................... 1,315,450 7,465,432
Golden Agri-Resources, Ltd............................... 13,950,000 8,257,577
*Indofood Agri Resources, Ltd............................. 198,000 226,905
*Keppel Land, Ltd......................................... 208,000 529,571
Neptune Orient Lines, Ltd................................ 1,228,004 1,219,825
#*Overseas Union Enterprise, Ltd........................... 405,000 767,556
Singapore Airlines, Ltd.................................. 1,585,600 13,676,855
Singapore Land, Ltd...................................... 532,000 2,551,213
United Industrial Corp., Ltd............................. 2,152,000 4,813,182
UOL Group, Ltd........................................... 1,376,600 5,016,817
Venture Corp., Ltd....................................... 307,000 2,126,466
Wheelock Properties, Ltd................................. 870,000 1,212,123
------------
TOTAL SINGAPORE............................................. 79,091,216
------------
SPAIN -- (1.4%)
#Acciona SA............................................... 114,419 7,046,901
Banco Bilbao Vizcaya Argentaria SA....................... 1,015,514 6,872,014
Banco de Sabadell SA..................................... 4,940,587 11,697,248
#*Banco Espanol de Credito SA.............................. 400,117 1,505,085
Banco Popular Espanol SA................................. 4,093,710 13,091,298
Banco Santander SA....................................... 4,679,745 29,382,301
*Banco Santander SA I-12 Shares........................... 194,989 1,218,262
Banco Santander SA Sponsored ADR......................... 1,384,686 8,765,062
CaixaBank SA............................................. 2,664,573 9,185,451
#Fomento de Construcciones y Contratas SA................. 41,871 716,386
Gas Natural SDG SA....................................... 1,100,641 15,342,589
Iberdrola SA............................................. 38,883 181,185
Repsol YPF SA............................................ 483,252 9,290,473
------------
TOTAL SPAIN................................................. 114,294,255
------------
SWEDEN -- (2.6%)
Boliden AB............................................... 612,180 9,844,381
Holmen AB Series A....................................... 6,300 171,833
Meda AB Series A......................................... 157,343 1,556,030
Nordea Bank AB........................................... 5,275,564 46,690,917
#Skandinaviska Enskilda Banken AB Series A................ 3,481,813 23,458,989
#Skandinaviska Enskilda Banken AB Series C................ 16,918 113,333
SSAB AB Series A......................................... 507,586 5,174,745
SSAB AB Series B......................................... 233,785 2,065,281
25
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
SWEDEN -- (Continued)
Svenska Cellulosa AB Series A............................ 65,949 $ 1,046,639
Svenska Cellulosa AB Series B............................ 1,586,671 25,153,076
Swedbank AB Series A..................................... 1,322,591 21,832,830
Tele2 AB Series B........................................ 462,294 8,794,278
*Telefonaktiebolaget LM Ericsson AB Series A.............. 26,493 261,687
#*Telefonaktiebolaget LM Ericsson AB Series B.............. 3,412,049 33,825,223
#Telefonaktiebolaget LM Ericsson AB Sponsored ADR......... 952,162 9,516,859
TeliaSonera AB........................................... 3,768,582 25,098,837
Volvo AB Series A........................................ 329,561 4,566,032
------------
TOTAL SWEDEN................................................ 219,170,970
------------
SWITZERLAND -- (4.5%)
Adecco SA................................................ 351,751 17,159,585
#Alpiq Holding AG......................................... 1,239 221,792
Aryzta AG................................................ 107,787 5,429,504
Baloise Holding AG....................................... 200,163 15,501,448
Banque Cantonale Vaudoise AG............................. 732 414,311
#*Clariant AG.............................................. 429,492 5,467,945
Credit Suisse Group AG................................... 858,974 20,545,723
#Credit Suisse Group AG Sponsored ADR..................... 805,990 18,787,627
Givaudan SA.............................................. 14,257 13,840,472
Holcim, Ltd.............................................. 886,165 55,272,069
Lonza Group AG........................................... 17,654 796,572
Novartis AG.............................................. 16,632 918,357
Novartis AG ADR.......................................... 506,359 27,935,826
*PSP Swiss Property AG.................................... 95,780 8,607,288
St. Galler Kantonalbank AG............................... 3,800 1,538,341
Sulzer AG................................................ 27,091 3,901,632
Swiss Life Holding AG.................................... 123,557 12,638,354
*Swiss Re, Ltd............................................ 1,108,107 69,581,447
*UBS AG................................................... 3,280,643 40,969,298
Zurich Insurance Group AG................................ 225,125 55,156,285
------------
TOTAL SWITZERLAND........................................... 374,683,876
------------
UNITED KINGDOM -- (19.1%)
Anglo American P.L.C..................................... 467,907 18,082,181
Associated British Foods P.L.C........................... 1,071,183 21,198,581
Aviva P.L.C.............................................. 8,175,916 40,920,432
Barclays P.L.C........................................... 11,591,752 41,038,889
Barclays P.L.C. Sponsored ADR............................ 4,327,157 61,618,716
BP P.L.C................................................. 596,936 4,312,332
BP P.L.C. Sponsored ADR.................................. 4,848,222 210,461,317
Carnival P.L.C........................................... 658,867 21,401,197
Carnival P.L.C. ADR...................................... 241,674 7,859,238
Eurasian Natural Resources Corp. P.L.C................... 404,841 3,690,418
*Evraz P.L.C.............................................. 525,138 3,154,007
HSBC Holdings P.L.C...................................... 329,127 2,971,091
#HSBC Holdings P.L.C. Sponsored ADR....................... 281,192 12,701,443
*International Consolidated Airlines Group SA............. 3,847,175 11,018,040
International Power P.L.C................................ 6,455,198 43,665,942
Investec P.L.C........................................... 980,981 5,657,581
*John Wood Group P.L.C.................................... 130,394 1,655,801
Kazakhmys P.L.C.......................................... 690,345 9,690,506
Kingfisher P.L.C......................................... 10,285,817 48,507,558
Legal & General Group P.L.C.............................. 7,506,507 14,332,975
*Lloyds Banking Group P.L.C............................... 76,981,994 38,640,671
#*Lloyds Banking Group P.L.C. Sponsored ADR................ 2,857,128 5,599,971
Mondi P.L.C.............................................. 1,450,865 13,490,769
Old Mutual P.L.C......................................... 13,164,620 31,681,668
#Pearson P.L.C. Sponsored ADR............................. 1,712,026 32,425,772
Resolution, Ltd.......................................... 3,123,271 11,345,936
26
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- --------------
UNITED KINGDOM -- (Continued)
Rexam P.L.C.............................................. 4,237,546 $ 29,580,188
*Royal Bank of Scotland Group P.L.C....................... 35,002,159 13,808,558
#*Royal Bank of Scotland Group P.L.C. Sponsored ADR........ 377,000 2,985,840
Royal Dutch Shell P.L.C. ADR............................. 3,323,210 243,790,686
Royal Dutch Shell P.L.C. Series A........................ 3,171 113,097
Royal Dutch Shell P.L.C. Series B........................ 255,146 9,336,965
RSA Insurance Group P.L.C................................ 5,217,096 8,895,575
Sainsbury (J.) P.L.C..................................... 5,529,939 27,643,839
Travis Perkins P.L.C..................................... 38,182 651,415
Vedanta Resources P.L.C.................................. 189,404 3,753,954
Vodafone Group P.L.C..................................... 34,976,333 96,813,260
Vodafone Group P.L.C. Sponsored ADR...................... 8,190,343 227,937,246
William Morrison Supermarkets P.L.C...................... 8,127,143 37,017,257
Wolseley P.L.C........................................... 889,796 33,876,001
WPP P.L.C................................................ 2,321,912 31,440,977
WPP P.L.C. Sponsored ADR................................. 38,003 2,577,363
Xstrata P.L.C............................................ 5,211,952 100,098,296
--------------
TOTAL UNITED KINGDOM........................................ 1,587,443,549
--------------
TOTAL COMMON STOCKS......................................... 7,097,619,855
--------------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Porsche Automobil Holding SE............................. 334,085 20,410,954
--------------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
*Banco Santander SA Rights 04/27/12....................... 9 2
--------------
SHARES/
FACE
AMOUNT VALUE+
-------------- --------------
(000)
SECURITIES LENDING COLLATERAL -- (14.2%)
(S) @ DFA Short Term Investment Fund.......................... 1,174,000,000 1,174,000,000
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38, valued at
$200,496) to be repurchased at $196,566.................. $ 197 196,565
--------------
TOTAL SECURITIES LENDING COLLATERAL........................... 1,174,196,565
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,877,751,800)...................................... $8,292,227,376
==============
27
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE++
--------- -----------
COMMON STOCKS -- (85.2%)
ARGENTINA -- (0.0%)
*Celulosa Argentina SA Series B........................... 1 $ --
-----------
BRAZIL -- (5.9%)
AES Tiete SA............................................. 42,245 533,894
All America Latina Logistica SA.......................... 377,131 1,707,442
Amil Participacoes SA.................................... 119,903 1,172,516
Banco Bradesco SA........................................ 263,400 3,561,009
Banco do Brasil SA....................................... 465,154 5,771,263
Banco Santander Brasil SA................................ 52,300 424,458
Banco Santander Brasil SA ADR............................ 605,084 4,883,028
BM&F Bovespa SA.......................................... 1,652,008 9,230,063
BR Malls Participacoes SA................................ 286,523 3,541,422
BRF--Brasil Foods SA ADR................................. 594,060 10,948,526
CCR SA................................................... 537,700 4,169,245
*Centrais Eletricas Brasileiras SA........................ 61,700 527,937
Centrais Eletricas Brasileiras SA ADR.................... 86,923 1,038,730
Centrais Eletricas Brasileiras SA Sponsored ADR.......... 100,200 853,704
CETIP SA--Mercados Organizados........................... 126,400 1,942,932
Cia de Saneamento Basico do Estado de Sao Paulo.......... 22,000 866,081
Cia de Saneamento Basico do Estado de Sao Paulo ADR...... 29,318 2,320,813
Cia Energetica de Minas Gerais SA........................ 39,875 683,637
Cia Hering SA............................................ 80,800 2,006,277
Cia Siderurgica Nacional SA.............................. 704,052 5,979,908
Cielo SA................................................. 198,696 5,968,762
Cosan SA Industria e Comercio............................ 182,046 3,167,886
CPFL Energia SA.......................................... 62,260 870,134
CPFL Energia SA ADR...................................... 14,853 418,855
Cyrela Brazil Realty SA Empreendimentos e Participacoes.. 239,597 1,930,703
Diagnosticos da America SA............................... 20,093 143,887
Duratex SA............................................... 208,900 1,227,437
EcoRodovias Infraestrutura e Logistica SA................ 115,988 960,811
*Embraer SA............................................... 164,400 1,411,866
Embraer SA ADR........................................... 84,300 2,920,152
Energias do Brazil SA.................................... 169,500 1,181,783
Fibria Celulose SA Sponsored ADR......................... 514,098 4,081,938
Gerdau SA................................................ 131,807 1,024,778
Hypermarcas SA........................................... 939,724 6,108,218
Itau Unibanco Holding SA................................. 147,983 2,064,301
*JBS SA................................................... 627,630 2,459,615
Light SA................................................. 34,700 448,188
Localiza Rent a Car SA................................... 73,200 1,251,906
Lojas Americanas SA...................................... 67,984 588,126
Lojas Renner SA.......................................... 80,900 2,570,686
*MPX Energia SA........................................... 21,600 579,845
MRV Engenharia e Participacoes SA........................ 203,540 1,189,537
Multiplan Empreendimentos Imobiliarios SA................ 51,700 1,217,811
*Multiplus SA............................................. 33,657 732,415
Natura Cosmeticos SA..................................... 117,400 2,652,686
Oi SA.................................................... 179,758 1,207,096
Oi SA ADR (670851104).................................... 7,319 48,818
#*Oi SA ADR (670851203).................................... 17,464 313,133
PDG Realty SA Empreendimentos e Participacoes............ 1,493,679 3,510,575
Petroleo Brasileiro SA................................... 98,000 1,147,014
Petroleo Brasilerio SA ADR............................... 1,114,189 26,228,009
Porto Seguro SA.......................................... 93,164 914,460
Redecard SA.............................................. 193,700 3,227,402
Souza Cruz SA............................................ 369,370 5,739,705
Telefonica Brasil SA..................................... 15,346 392,878
Tim Participacoes SA..................................... 253,900 1,499,837
28
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
BRAZIL -- (Continued)
*Tim Participacoes SA ADR................................. 47,642 $ 1,425,925
Totvs SA................................................. 16,000 310,574
Tractebel Energia SA..................................... 111,900 1,922,580
Usinas Siderurgicas de Minas Gerais SA................... 39,100 371,482
#Vale SA Sponsored ADR.................................... 834,273 18,520,861
WEG Industrias SA........................................ 278,866 2,946,442
------------
TOTAL BRAZIL................................................ 179,062,002
------------
CHILE -- (1.9%)
AES Gener SA............................................. 1,202,095 760,757
Aguas Andinas SA Series A................................ 1,425,070 942,702
#Banco de Chile SA Series F ADR........................... 47,286 4,426,915
Banco de Credito e Inversiones SA........................ 22,215 1,598,189
Banco Santander Chile SA ADR............................. 47,185 3,860,205
CAP SA................................................... 48,787 2,046,620
Cencosud SA.............................................. 667,148 4,230,359
*Cia Cervecerias Unidas SA................................ 3,978 57,238
Cia Cervecerias Unidas SA ADR............................ 14,357 1,028,248
Colbun SA................................................ 5,081,989 1,445,711
*Compania Sud Americana de Vapores SA..................... 157,924 18,556
Corpbanca SA............................................. 94,605,487 1,285,199
*Corpbanca SA ADR......................................... 22,366 449,780
E.CL SA.................................................. 309,077 828,219
Embotelladora Andina SA Series A ADR..................... 23,068 620,183
Embotelladora Andina SA Series B ADR..................... 19,587 636,577
Empresa Nacional de Electricidad SA Sponsored ADR........ 134,338 7,337,542
Empresas CMPC SA......................................... 822,329 3,380,177
Empresas Copec SA........................................ 314,697 5,108,718
Enersis SA Sponsored ADR................................. 270,752 5,488,143
ENTEL Chile SA........................................... 72,566 1,440,550
#Lan Airlines SA Sponsored ADR............................ 140,160 3,951,110
Molibdenos y Metales SA.................................. 8,424 142,397
Ripley Corp. SA.......................................... 650,492 725,451
S.A.C.I. Falabella SA.................................... 237,017 2,320,822
*Sigdo Koppers SA......................................... 315,679 754,870
*Sociedad Matriz SAAM SA.................................. 1,646,119 196,815
*Sonda SA................................................. 222,488 662,740
------------
TOTAL CHILE................................................. 55,744,793
------------
CHINA -- (13.9%)
Agile Property Holdings, Ltd............................. 1,754,000 2,282,115
*Agricultural Bank of China, Ltd. Series H................ 10,995,000 5,185,986
Air China, Ltd. Series H................................. 1,312,000 947,656
*Alibaba.com, Ltd......................................... 758,000 1,299,504
#Aluminum Corp. of China, Ltd. ADR........................ 112,680 1,355,540
#Angang Steel Co., Ltd. Series H.......................... 1,422,000 966,510
Anhui Conch Cement Co., Ltd. Series H.................... 697,500 2,320,266
Anta Sports Products, Ltd................................ 457,000 450,938
Bank of China, Ltd. Series H............................. 48,700,100 20,279,780
Bank of Communications Co., Ltd. Series H................ 4,791,515 3,693,332
BBMG Corp. Series H...................................... 710,000 609,811
Beijing Enterprises Holdings, Ltd........................ 668,972 3,728,851
Belle International Holdings, Ltd........................ 2,428,000 4,743,830
#*Brilliance China Automotive Holdings, Ltd................ 1,530,000 1,650,485
#*BYD Co., Ltd. Series H................................... 415,886 1,086,627
China Agri-Industries Holdings, Ltd...................... 1,958,202 1,432,014
China BlueChemical, Ltd. Series H........................ 1,502,000 1,070,494
China Citic Bank Corp., Ltd. Series H.................... 5,270,928 3,339,772
China Coal Energy Co., Ltd. Series H..................... 3,184,777 3,638,571
China Communications Construction Co., Ltd. Series H..... 2,845,000 2,834,763
China Communications Services Corp., Ltd. Series H....... 2,892,000 1,476,053
29
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
CHINA -- (Continued)
China Construction Bank Corp. Series H................... 34,837,590 $27,080,269
China COSCO Holdings Co., Ltd. Series H.................. 1,791,500 1,032,953
*China Eastern Airlines Corp., Ltd. ADR................... 2,800 47,320
*China Eastern Airlines Corp., Ltd. Series H.............. 668,000 222,089
China Everbright, Ltd.................................... 756,000 1,193,342
China Foods, Ltd......................................... 412,000 445,315
China Life Insurance Co., Ltd. ADR....................... 323,770 12,937,849
China Longyuan Power Group Corp. Series H................ 1,387,000 1,086,801
China Mengniu Dairy Co., Ltd............................. 805,000 2,483,434
China Merchants Bank Co., Ltd. Series H.................. 2,871,534 6,200,241
China Merchants Holdings International Co., Ltd.......... 1,072,854 3,461,482
China Minsheng Banking Corp., Ltd. Series H.............. 2,532,000 2,626,592
China Mobile, Ltd. Sponsored ADR......................... 797,772 44,148,702
*China Molybdenum Co., Ltd. Series H...................... 511,322 197,518
China National Building Material Co., Ltd. Series H...... 1,605,916 2,152,245
China Oilfield Services, Ltd. Series H................... 950,000 1,530,414
China Overseas Land & Investment, Ltd.................... 2,456,000 5,313,767
China Pacific Insurance Group Co., Ltd. Series H......... 1,054,600 3,401,727
China Petroleum & Chemical Corp. ADR..................... 106,449 11,227,176
China Petroleum & Chemical Corp. Series H................ 2,542,000 2,699,886
China Railway Construction Corp., Ltd. Series H.......... 2,554,000 2,025,950
China Railway Group, Ltd. Series H....................... 1,902,000 749,724
China Resources Cement Holdings, Ltd..................... 1,144,000 904,906
China Resources Enterprise, Ltd.......................... 1,035,000 3,746,372
#*China Resources Gas Group, Ltd........................... 510,000 988,088
#China Resources Land, Ltd................................ 1,366,000 2,613,977
China Resources Power Holdings Co., Ltd.................. 742,000 1,348,591
China Shenhua Energy Co., Ltd. Series H.................. 2,191,000 9,675,568
*China Shipping Container Lines Co., Ltd. Series H........ 4,653,000 1,507,404
China Shipping Development Co., Ltd. Series H............ 1,414,000 913,609
*China Southern Airlines Co., Ltd. ADR.................... 10,900 242,089
*China Southern Airlines Co., Ltd. Series H............... 980,000 439,170
China State Construction International Holdings, Ltd..... 742,000 681,215
*China Taiping Insurance Holdings Co., Ltd................ 525,400 1,096,943
#China Telecom Corp., Ltd. ADR............................ 49,067 2,626,066
China Telecom Corp., Ltd. Series H....................... 2,306,000 1,235,903
China Unicom Hong Kong, Ltd. ADR......................... 470,600 8,179,028
China Yurun Food Group, Ltd.............................. 817,000 1,037,536
#Citic Pacific, Ltd....................................... 1,669,000 2,738,998
CNOOC, Ltd............................................... 1,028,000 2,172,317
#CNOOC, Ltd. ADR.......................................... 104,300 22,075,095
COSCO Pacific, Ltd....................................... 2,125,818 3,073,085
Country Garden Holdings Co., Ltd......................... 3,457,000 1,486,460
CSR Corp., Ltd. Series H................................. 1,005,000 807,873
#Datang International Power Generation Co., Ltd. Series H. 1,390,000 492,644
#Dongfang Electric Co., Ltd. Series H..................... 196,000 531,340
Dongfeng Motor Corp. Series H............................ 1,522,000 2,980,719
ENN Energy Holdings, Ltd................................. 476,000 1,660,035
Evergrande Real Estate Group, Ltd........................ 5,180,000 2,973,770
Fosun International, Ltd................................. 1,717,441 1,018,736
GCL-Poly Energy Holdings, Ltd............................ 5,633,814 1,452,008
#Geely Automobile Holdings, Ltd........................... 2,080,000 769,416
Golden Eagle Retail Group, Ltd........................... 336,000 883,517
GOME Electrical Appliances Holding, Ltd.................. 8,312,000 1,521,218
*Great Wall Motor Co., Ltd. Series H...................... 798,500 1,711,644
Guangdong Investment, Ltd................................ 1,564,000 1,147,562
#Guangshen Railway Co., Ltd............................... 346,000 128,170
Guangshen Railway Co., Ltd. Sponsored ADR................ 29,254 549,390
Guangzhou Automobile Group Co., Ltd. Series H............ 1,852,259 2,045,096
Guangzhou R&F Properties Co., Ltd. Series H.............. 1,225,600 1,628,002
*Haier Electronics Group Co., Ltd......................... 324,000 337,196
30
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
CHINA -- (Continued)
Hengan International Group Co., Ltd...................... 409,000 $ 4,332,276
Huabao International Holdings, Ltd....................... 1,005,000 515,541
#Huaneng Power International, Inc. ADR.................... 34,452 818,924
Huaneng Power International, Inc. Series H............... 136,000 80,501
Industrial & Commercial Bank of China, Ltd. Series H..... 37,226,185 24,686,592
Jiangsu Express Co., Ltd. Series H....................... 764,000 751,972
#Jiangxi Copper Co., Ltd. Series H........................ 803,000 1,933,186
Kingboard Chemical Holdings, Ltd......................... 707,851 1,977,442
Kunlun Energy Co., Ltd................................... 1,704,000 2,981,628
Lenovo Group, Ltd........................................ 3,241,278 3,095,562
Longfor Properties Co., Ltd.............................. 942,000 1,492,936
#Maanshan Iron & Steel Co., Ltd. Series H................. 1,620,000 453,471
Metallurgical Corp of China, Ltd. Series H............... 2,646,000 584,028
#*Minmetals Resources, Ltd................................. 388,000 197,697
Nine Dragons Paper Holdings, Ltd......................... 1,905,000 1,561,725
Parkson Retail Group, Ltd................................ 841,500 933,396
PetroChina Co., Ltd. ADR................................. 141,210 21,014,872
#PICC Property & Casualty Co., Ltd. Series H.............. 1,400,000 1,741,400
Ping An Insurance Group Co. of China, Ltd. Series H...... 1,116,500 9,273,943
Renhe Commercial Holdings Co., Ltd....................... 6,728,000 387,492
*Sany Heavy Equipment International Holdings Co., Ltd..... 477,000 364,167
Shandong Weigao Group Medical Polymer Co., Ltd. Series H. 752,000 862,361
Shanghai Electric Group Co., Ltd. Series H............... 2,392,000 1,197,572
Shanghai Industrial Holdings, Ltd........................ 701,274 2,330,723
Shimao Property Holdings, Ltd............................ 1,956,371 2,564,817
Sino-Ocean Land Holdings, Ltd............................ 2,261,500 1,048,977
Sinopec Shanghai Petrochemical Co., Ltd. Series H........ 952,000 332,894
Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR... 6,545 225,999
#Sinopec Yizheng Chemical Fibre Co., Ltd. Series H........ 888,000 202,578
Sinopharm Group Co., Ltd. Series H....................... 444,400 1,152,311
Soho China, Ltd.......................................... 2,899,263 2,247,500
Tencent Holdings, Ltd.................................... 700,600 21,935,413
#Tingyi (Cayman Islands) Holding Corp..................... 1,112,000 2,961,735
#Tsingtao Brewery Co., Ltd. Series H...................... 170,000 1,028,396
*Uni-President China Holdings, Ltd........................ 349,000 316,149
Want Want China Holdings, Ltd............................ 2,752,000 3,373,267
#Weichai Power Co., Ltd. Series H......................... 227,000 1,059,660
Wumart Stores, Inc. Series H............................. 66,000 151,378
*Xinjiang Goldwind Science & Technology Co., Ltd. Series H 299,000 147,209
Yanzhou Coal Mining Co., Ltd............................. 76,000 159,178
#Yanzhou Coal Mining Co., Ltd. Sponsored ADR.............. 105,796 2,240,759
Zhaojin Mining Industry Co., Ltd. Series H............... 485,000 673,814
Zhejiang Expressway Co., Ltd. Series H................... 876,000 627,878
Zhongsheng Group Holdings, Ltd........................... 231,000 456,314
Zhuzhou CSR Times Electric Co., Ltd. Series H............ 243,000 683,481
#Zijin Mining Group Co., Ltd. Series H.................... 3,153,000 1,025,863
*Zoomlion Heavy Industry Science and Technology Co., Ltd.
Series H................................................ 488,400 724,601
ZTE Corp. Series H....................................... 460,838 1,112,620
------------
TOTAL CHINA................................................. 418,100,648
------------
COLOMBIA -- (0.5%)
Bancolombia SA Sponsored ADR............................. 64,224 4,356,314
#Ecopetrol SA Sponsored ADR............................... 141,734 9,170,190
------------
TOTAL COLOMBIA.............................................. 13,526,504
------------
CZECH REPUBLIC -- (0.4%)
CEZ A.S.................................................. 184,371 7,433,080
Komercni Banka A.S....................................... 14,663 2,693,862
*Philip Morris CR A.S..................................... 168 97,598
Telefonica Czech Republic A.S............................ 142,100 2,867,717
31
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
------- -----------
CZECH REPUBLIC -- (Continued)
*Unipetrol A.S................................................. 1,147 $ 10,592
-----------
TOTAL CZECH REPUBLIC............................................. 13,102,849
-----------
EGYPT -- (0.1%)
*Commercial International Bank Egypt S.A.E. Sponsored GDR...... 182,687 743,828
*Egyptian Financial Group-Hermes Holding GDR................... 563 2,501
Orascom Construction Industries GDR........................... 41,566 1,833,321
*Orascom Telecom Holding S.A.E. GDR............................ 246,435 689,847
*Orascom Telecom Media & Technology Holding S.A.E. GDR......... 246,435 274,159
-----------
TOTAL EGYPT...................................................... 3,543,656
-----------
HUNGARY -- (0.4%)
*EGIS Pharmaceuticals P.L.C.................................... 1,039 69,369
ELMU NYRT..................................................... 133 12,598
Magyar Telekom Telecommunications P.L.C....................... 296,916 746,900
#*MOL Hungarian Oil & Gas P.L.C................................. 42,653 3,526,338
#OTP Bank P.L.C................................................ 237,504 4,163,375
Richter Gedeon NYRT........................................... 13,851 2,393,654
Tisza Chemical Group P.L.C.................................... 24,314 231,264
-----------
TOTAL HUNGARY.................................................... 11,143,498
-----------
INDIA -- (7.7%)
ACC, Ltd...................................................... 43,053 1,008,066
Adani Enterprises, Ltd........................................ 140,472 746,411
*Adani Power, Ltd.............................................. 459,932 559,148
Aditya Birla Nuvo, Ltd........................................ 33,850 596,988
Allahabad Bank, Ltd........................................... 168,800 529,523
Ambuja Cements, Ltd........................................... 859,949 2,450,905
*Andhra Bank, Ltd.............................................. 59,863 132,092
*Apollo Hospitals Enterprise, Ltd.............................. 46,407 554,633
Asea Brown Boveri India, Ltd.................................. 44,468 687,878
*Ashok Leyland, Ltd............................................ 667,374 406,853
Asian Paints, Ltd............................................. 29,464 1,962,370
Axis Bank, Ltd................................................ 227,042 4,750,493
Bajaj Auto, Ltd............................................... 88,932 2,731,360
Bajaj Finserv, Ltd............................................ 33,885 471,749
Bajaj Holdings & Investment, Ltd.............................. 24,719 394,509
Bank of India................................................. 77,206 515,970
Bharat Electronics, Ltd....................................... 13,836 387,006
Bharat Forge, Ltd............................................. 64,036 391,654
Bharat Heavy Electricals, Ltd................................. 330,016 1,399,632
Bharat Petroleum Corp., Ltd................................... 74,031 940,084
Bharti Airtel, Ltd............................................ 867,263 5,096,519
Bhushan Steel, Ltd............................................ 25,633 209,955
*Biocon, Ltd................................................... 21,170 96,531
Bosch, Ltd.................................................... 13,445 2,211,828
Cadila Healthcare, Ltd........................................ 25,295 349,116
*Cairn India, Ltd.............................................. 401,975 2,634,530
Canara Bank................................................... 69,294 571,338
Central Bank of India......................................... 31,634 58,989
Cipla, Ltd.................................................... 354,995 2,098,213
Colgate-Palmolive (India), Ltd................................ 21,434 450,589
Container Corp. of India...................................... 21,756 364,185
Coromandel International, Ltd................................. 44,218 214,476
Corporation Bank.............................................. 6,356 49,130
Crisil, Ltd................................................... 6,575 129,387
Crompton Greaves, Ltd......................................... 169,046 418,809
Cummins India, Ltd............................................ 42,903 392,677
Dabur India, Ltd.............................................. 495,434 1,049,498
*Dish TV (India), Ltd.......................................... 218,853 248,257
32
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
INDIA -- (Continued)
Divi's Laboratories, Ltd................................. 33,413 $ 542,183
DLF, Ltd................................................. 317,695 1,126,294
Dr. Reddy's Laboratories, Ltd............................ 22,080 738,760
#Dr. Reddy's Laboratories, Ltd. ADR....................... 83,498 2,824,737
Engineers India, Ltd..................................... 30,240 145,159
*Essar Oil, Ltd........................................... 217,316 223,980
Exide Industries, Ltd.................................... 131,662 321,935
*Federal Bank, Ltd........................................ 83,714 668,115
GAIL India, Ltd.......................................... 102,223 638,558
GAIL India, Ltd. Sponsored GDR........................... 28,791 1,083,187
*Gillette India, Ltd...................................... 2,685 131,178
GlaxoSmithKline Consumer Healthcare, Ltd................. 6,584 349,072
GlaxoSmithKline Pharmaceuticals, Ltd..................... 24,027 968,823
Glenmark Pharmaceuticals, Ltd............................ 101,902 629,646
*GMR Infrastructure, Ltd.................................. 684,313 347,836
Godrej Consumer Products, Ltd............................ 58,902 601,582
Grasim Industries, Ltd................................... 6,300 305,976
*Havells India, Ltd....................................... 13,283 140,210
HCL Technologies, Ltd.................................... 177,470 1,721,840
HDFC Bank, Ltd........................................... 1,530,370 15,759,729
Hero Honda Motors, Ltd. Series B......................... 89,012 3,767,762
Hindalco Industries, Ltd................................. 862,663 1,966,267
Hindustan Petroleum Corp, Ltd............................ 43,201 247,407
Hindustan Unilever, Ltd.................................. 894,265 7,031,310
ICICI Bank, Ltd. Sponsored ADR........................... 306,356 10,382,405
IDBI Bank, Ltd........................................... 346,191 666,833
*Idea Cellular, Ltd....................................... 805,036 1,199,614
Indian Bank.............................................. 126,858 547,144
Indian Oil Corp., Ltd.................................... 205,284 1,031,422
Indian Overseas Bank..................................... 62,877 103,971
IndusInd Bank, Ltd....................................... 51,381 324,502
Infosys, Ltd............................................. 214,112 9,928,308
#Infosys, Ltd. Sponsored ADR.............................. 138,225 6,544,954
Infrastructure Development Finance Co., Ltd.............. 601,656 1,373,421
ITC, Ltd................................................. 2,298,662 10,699,022
Jaiprakash Associates, Ltd............................... 1,336,264 1,886,700
*Jaiprakash Power Ventures, Ltd........................... 432,110 331,080
Jindal Steel & Power, Ltd................................ 373,815 3,573,689
JSW Energy, Ltd.......................................... 454,354 425,510
JSW Steel, Ltd........................................... 124,632 1,634,264
Kotak Mahindra Bank, Ltd................................. 170,165 1,873,766
Larsen & Toubro, Ltd..................................... 211,722 4,908,917
LIC Housing Finance, Ltd................................. 53,635 265,002
Lupin, Ltd............................................... 146,419 1,540,422
Mahindra & Mahindra, Ltd................................. 298,575 4,002,961
Mangalore Refinery & Petrochemicals, Ltd................. 399,619 471,979
Marico, Ltd.............................................. 116,346 393,669
Maruti Suzuki India, Ltd................................. 97,051 2,527,535
*Motherson Sumi Systems, Ltd.............................. 24,479 82,984
Mphasis, Ltd............................................. 48,788 340,970
Mundra Port & Special Economic Zone, Ltd................. 223,856 539,471
National Aluminium Co., Ltd.............................. 104,051 117,162
Nestle India, Ltd........................................ 3,731 331,162
*NHPC, Ltd................................................ 1,662,928 596,981
NTPC, Ltd................................................ 312,039 960,526
*Oberoi Realty, Ltd....................................... 1,848 9,479
Oil & Natural Gas Corp., Ltd............................. 699,873 3,591,278
Oil India, Ltd........................................... 53,082 458,359
*Oracle Financial Services Software, Ltd.................. 16,856 838,235
Oriental Bank of Commerce................................ 85,829 376,703
Pantaloon Retail India, Ltd.............................. 2,667 9,393
33
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
INDIA -- (Continued)
*Patni Computer Systems, Ltd.............................. 11,247 $ 108,176
Petronet LNG, Ltd........................................ 128,888 337,607
*Pidilite Industries, Ltd................................. 43,155 150,318
Piramal Healthcare, Ltd.................................. 58,908 492,147
Power Grid Corp. of India, Ltd........................... 741,612 1,571,731
Proctor & Gamble Hygiene & Health Care, Ltd.............. 7,710 299,774
Ranbaxy Laboratories, Ltd................................ 131,027 1,247,040
Reliance Capital, Ltd.................................... 97,310 606,112
Reliance Communications, Ltd............................. 523,134 744,840
Reliance Energy, Ltd..................................... 111,967 1,117,339
Reliance Industries, Ltd................................. 1,432,266 20,202,207
*Reliance Power, Ltd...................................... 421,833 858,284
Rural Electrification Corp., Ltd......................... 47,495 187,879
*Satyam Computer Services, Ltd............................ 401,693 588,636
Sesa Goa, Ltd............................................ 563,951 2,017,619
Shree Cement, Ltd........................................ 4,254 227,072
Shriram Transport Finance Co., Ltd....................... 76,457 827,920
*SJVN, Ltd................................................ 166,024 60,689
State Bank of India...................................... 91,811 3,709,641
Steel Authority of India, Ltd............................ 287,294 515,159
Sterlite Industries (India), Ltd......................... 1,725,980 3,493,259
Sun Pharmaceuticals Industries, Ltd...................... 333,183 3,823,358
Sun TV Network, Ltd...................................... 22,700 123,346
*Suzlon Energy, Ltd....................................... 185,547 79,877
Tata Chemicals, Ltd...................................... 85,384 546,770
Tata Consultancy Services, Ltd........................... 481,215 11,380,070
Tata Motors, Ltd......................................... 679,237 4,065,647
#*Tata Motors, Ltd. Sponsored ADR.......................... 55,981 1,665,435
Tata Power Co., Ltd...................................... 975,200 1,952,852
Tata Steel, Ltd.......................................... 232,042 2,035,441
Tata Tea, Ltd............................................ 245,594 546,272
Tech Mahindra, Ltd....................................... 15,427 205,807
Titan Industries, Ltd.................................... 114,316 504,693
Torrent Power, Ltd....................................... 69,393 269,303
Ultratech Cement, Ltd.................................... 35,854 965,767
*Unitech, Ltd............................................. 1,144,527 576,610
United Breweries, Ltd.................................... 33,290 339,799
United Phosphorus, Ltd................................... 135,349 298,051
United Spirits, Ltd...................................... 49,680 733,935
Videsh Sanchar Nigam, Ltd................................ 36,123 163,862
Wipro, Ltd............................................... 480,402 3,694,819
Yes Bank, Ltd............................................ 161,542 1,065,890
Zee Entertainment Enterprises, Ltd....................... 315,164 752,635
------------
TOTAL INDIA................................................. 230,586,378
------------
INDONESIA -- (2.8%)
PT Adaro Energy Tbk...................................... 12,163,000 2,450,883
PT Aneka Tambang Persero Tbk............................. 960,000 179,320
PT Astra Agro Lestari Tbk................................ 317,000 734,554
PT Astra International Tbk............................... 1,995,561 15,367,354
PT Bank Central Asia Tbk................................. 9,187,000 7,978,009
PT Bank Danamon Indonesia Tbk............................ 3,627,079 2,204,728
PT Bank Mandiri Persero Tbk.............................. 7,425,617 5,954,975
PT Bank Negara Indonesia Persero Tbk..................... 6,443,722 2,811,024
*PT Bank Pan Indonesia Tbk................................ 8,354,000 778,624
PT Bank Rakyat Indonesia Persero Tbk..................... 8,021,000 5,774,582
PT Bayan Resources Tbk................................... 77,500 136,888
PT Bumi Resources Tbk.................................... 10,032,000 2,202,849
*PT Bumi Serpong Damai Tbk................................ 5,200,500 804,897
*PT Charoen Pokphand Indonesia Tbk........................ 5,024,000 1,494,773
*PT Global Mediacom Tbk................................... 3,707,500 668,188
34
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
INDONESIA -- (Continued)
PT Gudang Garam Tbk...................................... 388,000 $ 2,491,803
*PT Harum Energy Tbk...................................... 79,500 61,592
PT Indo Tambangraya Megah Tbk............................ 252,000 1,087,595
PT Indocement Tunggal Prakarsa Tbk....................... 1,063,500 2,082,468
PT Indofood Sukses Makmur Tbk............................ 3,792,500 1,992,874
PT Indosat Tbk........................................... 738,500 387,972
PT Indosat Tbk ADR....................................... 1,674 44,143
*PT Jasa Marga Persero Tbk................................ 1,362,000 790,331
PT Kalbe Farma Tbk....................................... 3,036,000 1,325,481
PT Media Nusantara Citra Tbk............................. 2,911,000 710,767
*PT Panasia Indosyntec Tbk................................ 75,100 2,227
PT Perusahaan Gas Negara Persero Tbk..................... 6,775,000 2,460,174
PT Semen Gresik Persero Tbk.............................. 2,453,500 3,233,644
PT Sinar Mas Agro Resources & Technology Tbk............. 1,116,500 751,743
PT Tambang Batubara Bukit Asam Persero Tbk............... 520,500 1,041,861
PT Telekomunikasi Indonesia Persero Tbk.................. 9,116,140 8,405,692
PT Unilever Indonesia Tbk................................ 1,541,500 3,325,290
PT United Tractors Tbk................................... 1,206,196 3,869,356
PT Vale Indonesia Tbk.................................... 2,957,000 993,127
*PT XL Axiata Tbk......................................... 1,513,500 887,943
-----------
TOTAL INDONESIA............................................. 85,487,731
-----------
ISRAEL -- (0.0%)
*IDB Holding Corp., Ltd................................... -- 3
*Koor Industries, Ltd..................................... 1 8
Osem Investments, Ltd.................................... 1 8
-----------
TOTAL ISRAEL................................................ 19
-----------
MALAYSIA -- (3.6%)
Affin Holdings Berhad.................................... 318,200 322,266
AirAsia Berhad........................................... 866,300 950,454
Alliance Financial Group Berhad.......................... 982,400 1,277,936
AMMB Holdings Berhad..................................... 1,226,959 2,530,937
Axiata Group Berhad...................................... 2,221,275 3,897,527
Batu Kawan Berhad........................................ 32,500 201,583
Berjaya Corp. Berhad..................................... 778,400 205,415
*Berjaya Land Berhad...................................... 95,000 26,348
Berjaya Sports Toto Berhad............................... 709,264 1,011,455
Boustead Holdings Berhad................................. 359,386 619,932
British American Tobacco Malaysia Berhad................. 135,500 2,484,811
CIMB Group Holdings Berhad............................... 3,992,654 9,756,875
Dialog Group Berhad...................................... 942,400 702,188
DiGi.Com Berhad.......................................... 3,294,620 4,384,628
DRB-Hicom Berhad......................................... 643,900 540,429
Fraser & Neave Holdings Berhad........................... 61,000 383,395
Gamuda Berhad............................................ 1,296,600 1,520,846
Genting (Malaysia) Berhad................................ 2,820,500 3,570,608
Genting Berhad........................................... 1,994,000 6,796,657
Genting Plantations Berhad............................... 213,900 662,962
Hong Leong Bank Berhad................................... 592,860 2,392,936
Hong Leong Financial Group Berhad........................ 205,729 810,399
IJM Corp. Berhad......................................... 1,165,260 2,103,686
IOI Corp. Berhad......................................... 3,106,605 5,349,738
Kuala Lumpur Kepong Berhad............................... 443,400 3,458,115
Kulim (Malaysia) Berhad.................................. 391,800 546,433
Lafarge Malayan Cement Berhad............................ 259,580 615,452
Malayan Banking Berhad................................... 2,451,493 6,981,417
Malaysia Airports Holdings Berhad........................ 164,000 313,412
*Malaysian Airlines System Berhad......................... 751,834 302,829
Maxis Berhad............................................. 850,300 1,718,125
MISC Berhad.............................................. 1,391,098 2,200,839
35
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
MALAYSIA -- (Continued)
MMC Corp. Berhad......................................... 1,092,100 $ 948,563
Nestle (Malaysia) Berhad................................. 204,500 3,734,873
Parkson Holdings Berhad.................................. 385,420 662,968
*Petronas Chemicals Group Berhad.......................... 498,100 1,072,434
Petronas Dagangan Berhad................................. 257,600 1,649,074
Petronas Gas Berhad...................................... 475,500 2,634,428
Pharmaniaga Berhad....................................... 5,452 7,946
PPB Group Berhad......................................... 382,900 2,115,942
Public Bank Berhad....................................... 67,739 306,306
Public Bank Berhad Foreign Market Shares................. 1,039,201 4,692,019
RHB Capital Berhad....................................... 573,753 1,394,453
Shell Refining Co. Federation of Malaysia Berhad......... 133,700 453,891
Sime Darby Berhad........................................ 2,342,720 7,528,637
Telekom Malaysia Berhad.................................. 957,700 1,700,099
Tenaga Nasional Berhad................................... 2,467,050 5,237,907
*UEM Land Holdings Berhad................................. 1,000,937 663,036
UMW Holdings Berhad...................................... 475,466 1,231,938
*United Plantations Berhad................................ 23,700 202,968
YTL Corp. Berhad......................................... 5,279,425 2,823,395
YTL Power International Berhad........................... 1,303,440 739,367
------------
TOTAL MALAYSIA.............................................. 108,440,877
------------
MEXICO -- (5.6%)
Alfa S.A.B. de C.V. Series A............................. 240,887 3,446,143
America Movil S.A.B. de C.V. Series L.................... 33,690,314 45,003,356
America Movil S.A.B. de C.V. Series L ADR................ 22,528 600,371
Arca Continental S.A.B. de C.V........................... 349,300 1,776,808
*Cementos de Mexico S.A.B de C.V. Series B................ 301,238 217,847
#*Cemex S.A.B. de C.V. Sponsored ADR....................... 911,134 6,587,499
#Coca-Cola Femsa S.A.B. de C.V. Series L.................. 298,900 3,170,289
*Controladora Comercial Mexicana S.A.B. de C.V. Series B.. 23,500 49,847
*Corporacion Interamericana de Entramiento S.A.B. de C.V.
Series B................................................ 15,827 7,472
#El Puerto de Liverpool S.A.B. de C.V. Series C-1......... 109,400 872,533
Fomento Economico Mexicano S.A.B. de C.V................. 2,109,900 17,135,512
*Genomma Lab Internacional S.A.B. de C.V. Series B........ 264,900 467,736
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR...... 3,339 129,253
*Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR....... 3,831 313,797
#Grupo Carso S.A.B. de C.V. Series A-1.................... 639,132 2,158,906
*Grupo Comercial Chedraui S.A. de C.V..................... 20,800 54,100
#Grupo Elektra S.A. de C.V................................ 88,187 5,413,373
Grupo Financiero Banorte S.A.B. de C.V. Series O......... 1,473,229 7,125,271
Grupo Financiero Inbursa S.A.B. de C.V. Series O......... 1,863,628 4,098,967
Grupo Industrial Bimbo S.A.B. de C.V. Series A-1......... 1,538,500 3,670,871
Grupo Industrial Maseca S.A.B. de C.V. Series B.......... 218,346 271,551
#Grupo Mexico S.A.B. de C.V. Series B..................... 3,938,416 12,136,391
#Grupo Modelo S.A.B. de C.V. Series C..................... 731,750 5,206,984
*Grupo Qumma S.A. de C.V. Series B........................ 1,591 22
Grupo Televisa S.A.B..................................... 1,704,800 7,479,633
Grupo Televisa S.A.B. Sponsored ADR...................... 128,240 2,817,433
*Impulsora del Desarrollo y El Empleo en America Latina
S.A.B. de C.V........................................... 2,373,426 4,482,305
*Industrias CH S.A.B. de C.V. Series B.................... 31,300 142,011
#Industrias Penoles S.A.B. de C.V......................... 99,638 4,668,302
*Inmuebles Carso S.A.B. de C.V. Series B-1................ 132 117
#Kimberly Clark de Mexico S.A.B. de C.V. Series A......... 1,823,400 3,720,725
#Mexichem S.A.B. de C.V. Series *......................... 482,046 1,796,670
*Minera Frisco S.A.B. de C.V. Series A-1.................. 785,532 3,400,005
*OHL Mexico S.A.B. de C.V................................. 13,000 20,559
*Organizacion Soriana S.A.B. de C.V. Series B............. 1,112,075 3,160,538
*Savia S.A. de C.V. Series A.............................. 120,000 7,370
Wal-Mart de Mexico S.A.B. de C.V. Series V............... 6,153,180 17,596,103
------------
TOTAL MEXICO................................................ 169,206,670
------------
36
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
PERU -- (0.5%)
Cia de Minas Buenaventura S.A. ADR....................... 122,356 $ 5,049,632
Credicorp, Ltd........................................... 70,822 9,271,308
-----------
TOTAL PERU.................................................. 14,320,940
-----------
PHILIPPINES -- (1.0%)
Aboitiz Equity Ventures, Inc............................. 1,519,900 1,830,965
Aboitiz Power Corp....................................... 1,446,200 1,162,118
Alliance Global Group, Inc............................... 4,704,700 1,371,003
Ayala Corp. Series A..................................... 235,815 2,396,726
Ayala Land, Inc.......................................... 4,735,418 2,395,523
Bank of the Philippine Islands........................... 1,747,004 3,039,573
BDO Unibank, Inc......................................... 1,106,768 1,730,607
*DMCI Holdings, Inc....................................... 537,200 756,571
Energy Development Corp.................................. 5,051,600 704,101
*Filipina Water Bottling Corp............................. 2,006,957 --
Globe Telecom, Inc....................................... 25,265 670,707
*International Container Terminal Services, Inc........... 705,590 1,132,187
*JG Summit Holdings, Inc.................................. 16,000 12,605
Jollibee Foods Corp...................................... 261,130 692,114
Manila Electric Co....................................... 160,930 1,002,126
Metro Bank & Trust Co.................................... 881,923 1,901,213
Metro Pacific Investments Corp........................... 1,672,000 177,201
Philippine Long Distance Telephone Co.................... 42,445 2,597,008
*Rockwell Land............................................ 82,074 20,956
San Miguel Corp.......................................... 413,770 1,099,494
SM Investments Corp...................................... 122,880 2,026,097
SM Prime Holdings, Inc................................... 2,711,168 1,071,136
Universal Robina Corp.................................... 758,000 1,164,616
-----------
TOTAL PHILIPPINES........................................... 28,954,647
-----------
POLAND -- (1.3%)
Asseco Poland SA......................................... 9,607 143,011
Bank Handlowy w Warszawie SA............................. 37,967 913,338
Bank Millennium SA....................................... 701,813 923,091
Bank Pekao SA............................................ 113,393 5,350,770
*BRE Bank SA.............................................. 11,536 1,057,774
Browary Zywiec SA........................................ 12,668 2,308,764
*Cyfrowy Polsat SA........................................ 68,869 304,030
Enea SA.................................................. 19,827 104,692
Eurocash SA.............................................. 42,530 519,188
*Get Bank SA.............................................. 1,028,245 619,562
*Grupa Lotos SA........................................... 38,603 346,904
ING Bank Slaski SA....................................... 23,913 613,708
*Kernel Holding SA........................................ 37,511 827,680
KGHM Polska Miedz SA..................................... 107,907 4,771,305
Kredyt Bank SA........................................... 65,825 284,350
*LPP SA................................................... 262 236,200
*Lubelski Wegiel Bogdanka SA.............................. 20,885 841,949
PGE SA................................................... 488,517 2,924,105
*Polski Koncern Naftowy Orlen SA.......................... 311,446 3,633,472
Polskie Gornictwo Naftowe I Gazownictwo SA............... 990,853 1,283,309
Powszechna Kasa Oszczednosci Bank Polski SA.............. 295,853 3,173,165
*Powszechny Zaklad Ubezpieczen SA......................... 35,918 3,634,315
Synthos SA............................................... 400,252 773,536
*Tauron Polska Energia SA................................. 96,649 143,361
Telekomunikacja Polska SA................................ 591,537 3,093,302
TVN SA................................................... 67,801 206,289
-----------
TOTAL POLAND................................................ 39,031,170
-----------
37
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
RUSSIA -- (4.2%)
Federal Hydrogenerating Co. ADR.......................... 939,693 $ 3,269,533
Gazprom OAO Sponsored ADR................................ 4,226,507 48,951,667
Gazpromneft JSC Sponsored ADR............................ 67,194 1,664,453
Lukoil OAO Sponsored ADR................................. 376,321 23,151,730
*Magnitogorsk Iron & Steel Works Sponsored GDR............ 99,194 526,317
#*Mechel Sponsored ADR..................................... 148,041 1,286,476
MMC Norilsk Nickel JSC ADR............................... 532,268 9,468,893
Novolipetsk Steel OJSC GDR............................... 83,762 1,818,542
Novorossiysk Sea Trade Port GDR.......................... 30,796 258,926
*PIK Group GDR............................................ 36,593 84,525
Rosneft Oil Co. GDR...................................... 1,491,147 10,677,377
*Sberbank of Russia Sponsored ADR......................... 121,801 1,577,607
Severstal OAO GDR........................................ 131,212 1,784,764
Surgutneftegas Sponsored ADR............................. 544,495 5,453,796
Tatneft Sponsored ADR.................................... 96,742 3,591,003
TMK OAO GDR.............................................. 48,157 647,195
Uralkali OJSC GDR........................................ 189,739 7,179,785
VimpelCom, Ltd. Sponsored ADR............................ 70,835 721,809
VTB Bank OJSC GDR........................................ 900,848 3,777,893
*X5 Retail Group NV GDR................................... 59,942 1,516,510
------------
TOTAL RUSSIA................................................ 127,408,801
------------
SOUTH AFRICA -- (7.6%)
ABSA Group, Ltd.......................................... 365,243 7,436,351
African Bank Investments, Ltd............................ 601,198 3,016,859
African Rainbow Minerals, Ltd............................ 105,298 2,429,214
#Anglo American Platinum Corp., Ltd....................... 64,638 4,199,787
#AngloGold Ashanti, Ltd. Sponsored ADR.................... 238,137 8,187,150
ArcelorMittal South Africa, Ltd.......................... 236,779 1,794,277
Aspen Pharmacare Holdings, Ltd........................... 199,515 3,227,544
Assore, Ltd.............................................. 25,020 851,327
Barloworld, Ltd.......................................... 239,472 2,984,448
Bidvest Group, Ltd....................................... 203,155 4,825,504
Capitec Bank Holdings, Ltd............................... 19,592 559,584
Discovery Holdings, Ltd.................................. 357,805 2,367,222
Exxaro Resources, Ltd.................................... 90,725 2,419,879
FirstRand, Ltd........................................... 2,114,652 6,878,129
Foschini Group, Ltd. (The)............................... 133,311 2,208,857
Gold Fields, Ltd. Sponsored ADR.......................... 564,283 7,262,322
Growthpoint Properties, Ltd.............................. 764,019 2,040,706
Harmony Gold Mining Co., Ltd............................. 132,269 1,300,277
Harmony Gold Mining Co., Ltd. Sponsored ADR.............. 331,569 3,216,219
Impala Platinum Holdings, Ltd............................ 478,692 9,134,549
Imperial Holdings, Ltd................................... 147,397 3,217,614
Investec, Ltd............................................ 201,291 1,163,827
Kumba Iron Ore, Ltd...................................... 56,767 4,019,417
Liberty Holdings, Ltd.................................... 155,216 1,765,985
Life Healthcare Group Holdings, Ltd...................... 603,026 2,073,349
Massmart Holdings, Ltd................................... 64,161 1,372,743
Mediclinic International, Ltd............................ 226,494 1,144,927
MMI Holdings, Ltd........................................ 1,197,522 2,704,302
Mondi, Ltd............................................... 104,068 960,565
Mr. Price Group, Ltd..................................... 196,133 2,638,151
MTN Group, Ltd........................................... 1,584,640 27,223,049
Naspers, Ltd. Series N................................... 304,989 18,368,740
Nedbank Group, Ltd....................................... 157,800 3,435,194
Network Healthcare Holdings, Ltd......................... 642,707 1,162,573
Pick'n Pay Stores, Ltd................................... 244,318 1,431,199
Pretoria Portland Cement Co., Ltd........................ 591,367 2,352,279
PSG Group, Ltd........................................... 68,962 524,643
Sanlam, Ltd.............................................. 1,508,087 6,478,269
38
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH AFRICA -- (Continued)
*Sappi, Ltd. Sponsored ADR................................ 1,300 $ 4,589
Sasol, Ltd. Sponsored ADR................................ 621,195 29,463,279
Shoprite Holdings, Ltd................................... 431,054 7,424,130
Spar Group, Ltd. (The)................................... 109,981 1,720,123
Standard Bank Group, Ltd................................. 948,719 13,925,268
#*Steinhoff International Holdings, Ltd.................... 1,077,927 3,933,503
Telkom South Africa, Ltd................................. 11,594 35,860
Tiger Brands, Ltd........................................ 92,531 3,398,147
Truworths International, Ltd............................. 288,242 3,042,559
*Tsogo Sun Holdings, Ltd.................................. 8,730 20,999
Vodacom Group, Ltd....................................... 370,100 5,164,459
Woolworths Holdings, Ltd................................. 499,998 3,136,204
------------
TOTAL SOUTH AFRICA.......................................... 229,646,151
------------
SOUTH KOREA -- (13.8%)
Amorepacific Corp........................................ 3,479 3,339,621
Cheil Industrial, Inc.................................... 35,522 3,029,183
CJ Cheiljedang Corp...................................... 6,220 2,054,879
Daelim Industrial Co., Ltd............................... 21,557 1,984,344
#*Daewoo Engineering & Construction Co., Ltd............... 125,248 1,040,584
#Daewoo International Corp................................ 38,863 1,121,869
*Daewoo Securities Co., Ltd............................... 220,281 2,215,783
Daewoo Shipbuilding & Marine Engineering Co., Ltd........ 109,830 3,055,195
*Dongbu Insurance Co., Ltd................................ 29,030 1,156,112
#Doosan Corp.............................................. 7,418 901,299
Doosan Heavy Industries & Construction Co., Ltd.......... 50,399 2,362,822
#*Doosan Infracore Co., Ltd................................ 82,000 1,521,060
E-Mart Co., Ltd.......................................... 18,616 4,417,498
GS Engineering & Construction Corp....................... 27,320 2,025,432
GS Holdings Corp......................................... 58,759 3,066,888
Hana Financial Group, Inc................................ 180,031 6,137,463
#Hankook Tire Manufacturing Co., Ltd...................... 82,310 3,472,305
*Hanwha Chemical Corp..................................... 94,470 1,848,975
#Honam Petrochemical Corp................................. 9,035 2,158,941
Hyundai Department Store Co., Ltd........................ 10,789 1,517,290
Hyundai Engineering & Construction Co., Ltd.............. 40,788 2,560,339
Hyundai Glovis Co., Ltd.................................. 8,230 1,607,439
Hyundai Heavy Industries Co., Ltd........................ 39,020 9,696,474
#Hyundai Hysco Co., Ltd................................... 20,954 736,274
Hyundai Marine & Fire Insurance Co., Ltd................. 9,500 242,838
#*Hyundai Merchant Marine Co., Ltd......................... 27,211 689,556
Hyundai Mobis............................................ 53,070 14,348,373
Hyundai Motor Co., Ltd................................... 106,999 25,259,284
#Hyundai Steel Co......................................... 58,560 5,066,475
Industrial Bank of Korea, Ltd............................ 180,660 1,983,757
Kangwon Land, Inc........................................ 114,660 2,454,659
KB Financial Group, Inc.................................. 193,155 6,535,027
KB Financial Group, Inc. ADR............................. 73,168 2,482,590
KCC Corp................................................. 5,799 1,482,932
KEPCO Engineering & Construction Co., Inc................ 4,794 290,039
Kia Motors Corp.......................................... 224,568 16,478,573
*Korea Electric Power Corp................................ 210,090 4,030,359
Korea Exchange Bank...................................... 323,750 2,448,387
Korea Gas Corp........................................... 13,990 544,623
*Korea Life Insurance Co., Ltd............................ 124,980 753,302
Korea Zinc Co., Ltd...................................... 4,959 1,597,543
*Korean Air Co., Ltd...................................... 26,785 1,049,544
KT Corp.................................................. 70,850 1,837,290
KT&G Corp................................................ 103,590 7,109,207
#Kumho Petro chemical Co., Ltd............................ 6,452 602,099
#LG Chemical, Ltd......................................... 32,392 8,096,788
39
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH KOREA -- (Continued)
LG Corp.................................................. 118,265 $ 5,985,808
*LG Display Co., Ltd. ADR................................. 390,619 4,363,214
#LG Electronics, Inc...................................... 97,300 6,003,308
#LG Household & Healthcare Co., Ltd....................... 5,120 2,681,448
LG Uplus Corp............................................ 259,030 1,279,035
Lotte Shopping Co., Ltd.................................. 8,332 2,582,559
LS Corp.................................................. 4,290 285,823
*Mando Corp............................................... 7,550 1,202,347
NCsoft Corp.............................................. 9,568 2,467,729
#NHN Corp................................................. 26,056 5,890,354
#OCI Co., Ltd............................................. 11,012 2,070,264
ORION Corp............................................... 2,210 1,750,322
POSCO.................................................... 46,060 15,258,688
#POSCO ADR................................................ 25,311 2,107,141
#Samsung C&T Corp......................................... 100,930 6,827,881
Samsung Card Co., Ltd.................................... 23,720 726,047
Samsung Electro-Mechanics Co., Ltd....................... 43,148 4,150,691
Samsung Electronics Co., Ltd............................. 69,482 85,043,282
Samsung Electronics Co., Ltd. GDR........................ 49,372 30,128,714
Samsung Engineering Co., Ltd............................. 18,317 3,467,867
Samsung Fire & Marine Insurance, Ltd..................... 35,022 6,683,463
#Samsung Heavy Industries Co., Ltd........................ 126,000 4,606,590
Samsung Life Insurance Co., Ltd.......................... 24,567 2,168,727
#Samsung SDI Co., Ltd..................................... 37,340 5,350,482
*Samsung Securities Co., Ltd.............................. 43,067 1,893,774
#Samsung Techwin Co., Ltd................................. 21,339 1,297,922
Shinhan Financial Group Co., Ltd......................... 230,726 8,007,663
#Shinhan Financial Group Co., Ltd. ADR.................... 40,746 2,833,477
Shinsegae Co., Ltd....................................... 6,575 1,440,409
SK C&C Co., Ltd.......................................... 9,384 773,481
SK Holdings Co., Ltd..................................... 28,989 3,086,301
#*SK Hynix, Inc............................................ 317,470 7,824,820
SK Innovation Co., Ltd................................... 51,889 7,172,492
SK Networks Co., Ltd..................................... 77,320 635,736
SK Telecom Co., Ltd...................................... 25,236 3,021,924
#S-Oil Corp............................................... 42,124 3,611,343
Woongjin Coway Co., Ltd.................................. 26,300 840,384
Woori Finance Holdings Co., Ltd.......................... 289,030 3,023,971
------------
TOTAL SOUTH KOREA........................................... 416,956,795
------------
TAIWAN -- (10.2%)
#Acer, Inc................................................ 2,349,040 2,677,146
Advanced Semiconductor Engineering, Inc.................. 3,667,679 3,688,198
*Advanced Semiconductor Engineering, Inc. ADR............. 68,200 345,774
Advantech Co., Ltd....................................... 202,200 684,110
#Asia Cement Corp......................................... 2,217,802 2,656,095
Asustek Computer, Inc.................................... 532,180 5,346,050
#AU Optronics Corp........................................ 3,356,873 1,510,501
AU Optronics Corp. Sponsored ADR......................... 295,728 1,327,819
#Catcher Technology Co., Ltd.............................. 302,429 1,920,188
#Cathay Financial Holdings Co., Ltd....................... 4,740,572 4,983,712
Chang Hwa Commercial Bank................................ 2,506,610 1,382,024
#Cheng Shin Rubber Industry Co., Ltd...................... 1,399,783 3,470,048
Chicony Electronics Co., Ltd............................. 315,571 612,498
*Chimei Innolux Corp...................................... 4,297,818 1,769,317
China Airlines, Ltd...................................... 2,142,536 829,261
#China Development Financial Holding Corp................. 6,871,121 1,728,762
China Life Insurance Co., Ltd............................ 1,269,020 1,125,161
*China Motor Co., Ltd..................................... 649,000 533,693
China Petrochemical Development Corp..................... 1,366,500 1,372,063
#China Steel Corp......................................... 9,488,159 9,419,659
40
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
TAIWAN -- (Continued)
Chinatrust Financial Holdings Co., Ltd................... 7,684,300 $ 4,870,940
*Chunghwa Telecom Co., Ltd................................ 66,000 206,370
Chunghwa Telecom Co., Ltd. ADR........................... 226,956 7,031,097
Clevo Co., Ltd........................................... 63,000 97,794
#*Compal Communications, Inc............................... 86,000 120,450
Compal Electronics, Inc.................................. 3,781,541 4,329,253
CTCI Corp................................................ 155,000 298,416
Delta Electronics, Inc................................... 1,812,366 5,353,312
E.Sun Financial Holding Co., Ltd......................... 4,408,616 2,327,299
#Epistar Corp............................................. 645,000 1,556,430
Eva Airways Corp......................................... 1,301,600 777,984
Evergreen Marine Corp., Ltd.............................. 1,716,249 1,006,003
#Far Eastern Department Stores Co., Ltd................... 697,956 747,736
Far Eastern New Century Corp............................. 3,166,206 3,554,707
Far EasTone Telecommunications Co., Ltd.................. 1,003,000 2,170,391
Farglory Land Development Co., Ltd....................... 251,229 462,161
First Financial Holding Co., Ltd......................... 6,156,052 3,668,290
Formosa Chemicals & Fiber Co., Ltd....................... 3,322,445 9,589,751
#Formosa International Hotels Corp........................ 26,000 351,007
#*Formosa Petrochemical Corp............................... 798,000 2,471,198
Formosa Plastics Corp.................................... 4,070,648 11,513,425
Formosa Taffeta Co., Ltd................................. 820,000 772,292
#Foxconn Technology Co., Ltd.............................. 731,494 2,560,222
Fubon Financial Holding Co., Ltd......................... 5,151,009 5,329,096
Giant Manufacturing Co., Ltd............................. 203,506 1,017,575
Highwealth Construction Corp............................. 309,000 515,250
*Hiwin Technologies Corp.................................. 111,000 1,043,396
Hon Hai Precision Industry Co., Ltd...................... 6,378,096 19,150,133
#Hotai Motor Co., Ltd..................................... 298,000 1,886,088
#HTC Corp................................................. 581,235 8,724,492
Hua Nan Financial Holding Co., Ltd....................... 5,475,400 3,022,505
*Inotera Memories, Inc.................................... 1,538,000 398,917
Inventec Corp............................................ 1,845,358 706,477
Kinsus Interconnect Technology Corp...................... 200,000 624,627
#Largan Precision Co., Ltd................................ 67,860 1,068,789
#LCY Chemical Corp........................................ 338,380 519,747
Lite-On Technology Corp.................................. 1,812,846 2,203,135
#Macronix International Co., Ltd.......................... 3,959,825 1,300,488
#Media Tek, Inc........................................... 749,995 6,461,532
Mega Financial Holding Co., Ltd.......................... 5,598,640 4,401,759
Nan Ya Plastic Corp...................................... 5,377,564 11,033,718
Nan Ya Printed Circuit Board Corp........................ 206,968 385,413
#Nankang Rubber Tire Co., Ltd............................. 316,000 461,674
#Novatek Microelectronics Corp............................ 304,000 914,974
#*Oriental Union Chemical Corp............................. 360,000 438,076
Pegatron Corp............................................ 1,249,345 1,797,188
Pou Chen Corp............................................ 2,386,487 2,038,575
#Powertech Technology, Inc................................ 552,819 937,537
#President Chain Store Corp............................... 576,831 3,082,917
Quanta Computer, Inc..................................... 1,769,000 4,628,698
*Radiant Opto-Electronics Corp............................ 312,000 1,301,632
#Ruentex Development Co., Ltd............................. 420,000 599,984
Ruentex Industries, Ltd.................................. 307,937 532,418
#*Shin Kong Financial Holding Co., Ltd..................... 6,325,344 1,862,848
Siliconware Precision Industries Co...................... 2,179,324 2,568,714
*Siliconware Precision Industries Co. Sponsored ADR....... 42,800 249,524
SinoPac Holdings Co., Ltd................................ 6,607,204 2,238,766
#Standard Foods Taiwan, Ltd............................... 143,000 442,796
#Synnex Technology International Corp..................... 1,019,756 2,381,445
Taishin Financial Holdings Co., Ltd...................... 6,060,290 2,327,281
*Taiwan Business Bank..................................... 3,319,556 1,003,393
41
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
TAIWAN -- (Continued)
Taiwan Cement Corp....................................... 2,650,720 $ 3,141,817
*Taiwan Cooperative Financial Holding, Ltd................ 3,495,240 2,147,990
#Taiwan Fertilizer Co., Ltd............................... 609,000 1,449,089
#Taiwan Glass Industry Corp............................... 1,087,323 1,078,650
Taiwan Mobile Co., Ltd................................... 1,082,300 3,487,814
Taiwan Semiconductor Manufacturing Co., Ltd.............. 19,090,808 56,425,489
*Teco Electric & Machinery Co., Ltd....................... 1,363,000 994,704
Transcend Information, Inc............................... 151,181 402,441
Tripod Technology Corp................................... 307,870 900,401
TSRC Corp................................................ 345,000 830,481
U-Ming Marine Transport Corp............................. 551,860 934,460
#Unimicron Technology Corp................................ 1,180,896 1,334,250
Uni-President Enterprises Corp........................... 4,076,738 6,317,484
#United Microelectronics Corp............................. 10,266,000 5,369,870
#USI Corp................................................. 278,000 258,361
Walsin Lihwa Corp........................................ 3,190,000 922,151
Wan Hai Lines Co., Ltd................................... 365,800 184,395
#Wintek Corp.............................................. 1,832,760 1,185,839
#Wistron Corp............................................. 1,423,378 2,123,459
WPG Holdings, Ltd........................................ 1,033,869 1,403,608
Yang Ming Marine Transport Corp.......................... 1,741,300 735,214
*Yuanta Financial Holding Co., Ltd........................ 5,731,577 2,730,270
#Yulon Motor Co., Ltd..................................... 695,000 1,107,420
------------
TOTAL TAIWAN................................................ 308,285,841
------------
THAILAND -- (2.4%)
Advance Info Service PCL (Foreign)....................... 1,005,100 5,981,571
Airports of Thailand PCL (Foreign)....................... 372,200 750,452
Bangkok Bank PCL (Foreign)............................... 329,000 2,075,642
Bangkok Bank PCL (Foreign) NVDR.......................... 326,200 2,026,153
Bangkok Dusit Medical Services PCL (Foreign)............. 347,400 1,039,376
*Bangkok Life Assurance PCL (Foreign) NVDR................ 100 152
Bank of Ayudhya PCL (Foreign)............................ 2,590,200 2,379,615
Banpu PCL (Foreign)...................................... 109,250 1,975,382
BEC World PCL (Foreign).................................. 975,300 1,633,429
*Big C Supercenter PCL (Foreign).......................... 24,600 152,000
*Big C Supercenter PCL (Foreign) NVDR..................... 149,600 924,358
*Central Pattana PCL (Foreign)............................ 637,000 1,040,951
Charoen Pokphand Foods PCL (Foreign)..................... 2,686,100 3,559,628
CP ALL PCL (Foreign)..................................... 1,597,600 3,974,517
Electricity Generating PCL (Foreign)..................... 33,000 106,244
Glow Energy PCL (Foreign)................................ 279,700 611,702
*Home Product Center PCL (Foreign)........................ 1,316,400 599,337
IRPC PCL (Foreign)....................................... 8,859,600 1,256,190
Kasikornbank PCL (Foreign)............................... 1,531,600 8,143,629
Krung Thai Bank PCL (Foreign)............................ 4,726,870 2,766,948
Land & Houses PCL (Foreign) NVDR......................... 2,556,400 660,923
PTT Exploration & Production PCL (Foreign)............... 743,800 4,293,480
PTT Exploration & Production PCL (Foreign) NVDR.......... 54,700 315,748
PTT Global Chemical PCL (Foreign)........................ 1,669,872 3,733,454
PTT PCL (Foreign)........................................ 737,700 8,420,576
Ratchaburi Electricity Generating Holding PCL (Foreign).. 521,300 707,781
*Robinson Department Store PCL (Foreign).................. 26,600 46,063
Siam Cement PCL (Foreign) (The).......................... 124,800 1,696,468
Siam Cement PCL (Foreign) (The) NVDR..................... 78,400 892,358
Siam City Cement PCL (Foreign)........................... 94,913 1,015,492
Siam Commercial Bank PCL (Foreign)....................... 1,001,366 5,047,536
Siam Makro PCL (Foreign)................................. 57,800 719,915
*Thai Airways International PCL (Foreign)................. 108,100 94,038
Thai Oil PCL (Foreign)................................... 669,200 1,468,976
Thai Union Frozen Products PCL (Foreign)................. 287,800 680,893
42
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- --------------
THAILAND -- (Continued)
TMB Bank PCL (Foreign)................................... 18,290,500 $ 1,011,182
*Total Access Communication PCL (Foreign)................. 66,900 181,663
Total Access Communication PCL (Foreign) NVDR............ 567,700 1,523,098
*True Corp. PCL (Foreign)................................. 1,804,400 215,941
--------------
TOTAL THAILAND.............................................. 73,722,861
--------------
TURKEY -- (1.4%)
*Akbank T.A.S............................................. 1,135,233 4,220,081
Anadolu Efes Biracilik ve Malt Sanayi A.S................ 206,111 2,905,398
*Arcelik A.S.............................................. 223,462 980,566
*Aselsan Elektronik Sanayi Ve Ticaret A.S................. 34,154 206,195
*Asya Katilim Bankasi A.S................................. 34,556 35,240
Aygaz A.S................................................ 56,787 262,894
BIM BirlesikMagazalar A.S................................ 50,123 2,090,577
*Coca-Cola Icecek A.S..................................... 28,721 404,180
*Dogan Sirketler Grubu Holding A.S........................ 309,384 146,155
*Dogan Yayin Holding A.S.................................. 1 --
Enka Insaat ve Sanayi A.S................................ 275,494 863,265
Eregli Demir ve Celik Fabrikalari T.A.S.................. 873,605 1,210,540
Ford Otomotiv Sanayi A.S................................. 74,222 683,277
KOC Holding A.S. Series B................................ 751,546 2,791,309
*Koza Altin Isletmeleri A.S............................... 31,732 687,612
*Migros Ticaret A.S....................................... 33,309 329,216
*Petkim Petrokimya Holding A.S............................ 380,618 452,704
*TAV Havalimanlari Holding A.S............................ 116,286 612,415
*Tekfen Holding A.S....................................... 190,435 694,385
Tofas Turk Otomobil Fabrikasi A.S........................ 91,573 405,592
Tupras Turkiye Petrol Rafinerileri A.S................... 122,470 2,564,448
*Turk Hava Yollari A.S.................................... 924,662 1,416,156
*Turk Telekomunikasyon A.S................................ 311,329 1,364,020
*Turk Traktor ve Ziraat Makineleri A.S.................... 435 7,619
*Turkcell Iletisim Hizmetleri A.S......................... 412,709 2,053,436
*Turkcell Iletisim Hizmetleri A.S. ADR.................... 51,867 641,076
Turkiye Garanti Bankasi A.S.............................. 1,801,520 6,632,373
Turkiye Halk Bankasi A.S................................. 190,207 1,333,346
Turkiye Is Bankasi A.S................................... 1,484,267 3,399,577
Turkiye Sise ve Cam Fabrikalari A.S...................... 612,846 1,047,434
Turkiye Vakiflar Bankasi T.A.O........................... 719,719 1,291,871
*Yapi ve Kredi Bankasi A.S................................ 764,565 1,416,122
--------------
TOTAL TURKEY................................................ 43,149,079
--------------
TOTAL COMMON STOCKS......................................... 2,569,421,910
--------------
PREFERRED STOCKS -- (7.1%)
BRAZIL -- (6.9%)
AES Tiete SA............................................. 71,898 999,552
Banco Bradesco SA........................................ 1,656,632 26,420,593
Banco do Estado do Rio Grande do Sul SA Series B......... 152,700 1,317,795
*Braskem SA Preferred Series A............................ 73,800 516,869
#Braskem SA Sponsored ADR................................. 153,394 2,254,892
*Centrais Eletricas Brasileiras SA Preferred Series B..... 56,600 675,524
Cia Brasileira de Distribuicao Grupo Pao de Acucar
Series A Sponsored ADR................................. 95,430 4,488,073
Cia de Bebidas das Americas SA........................... 415 17,382
Cia de Bebidas das Americas SA ADR....................... 622,039 26,113,197
Cia de Transmissao de Energia Electrica Paulista SA
Preferred Series A..................................... 21,989 704,262
Cia Energetica de Minas Gerais SA........................ 364,776 7,185,871
Cia Energetica de Sao Paulo SA Preferred Series B........ 79,510 1,512,073
Cia Paranaense de Energia SA Sponsored ADR Series A...... 55,300 1,385,265
*Cia Paranaense de Energia Series B....................... 16,600 416,361
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA... 32,361 495,054
Empresa Nasional de Comercio Redito e Participacoes SA... 380 9,968
Gerdau SA................................................ 836,068 7,807,366
43
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
BRAZIL -- (Continued)
Gerdau SA Sponsored ADR..................................... 9,025 $ 84,745
Itau Unibanco Holding SA.................................... 1,765,700 27,706,155
Itau Unibanco Holding SA ADR................................ 153,946 2,415,413
*Klabin SA................................................... 663,777 3,175,850
Lojas Americanas SA......................................... 220,173 2,056,018
Oi SA....................................................... 463,558 2,784,536
Petroleo Brasileiro SA...................................... 106,500 1,177,777
Petroleo Brasilerio SA ADR.................................. 1,618,850 35,873,716
Telefonica Brasil SA........................................ 266,084 7,577,074
Ultrapar Participacoes SA Sponsored ADR..................... 254,308 5,757,533
Usinas Siderurgicas de Minas Gerais SA Perferred Series A... 609,817 3,496,734
Vale SA..................................................... 1,412,691 30,571,311
*Vale SA Series B............................................ 81,160 --
#Vale SA Sponsored ADR....................................... 166,500 3,601,395
------------
TOTAL BRAZIL................................................... 208,598,354
------------
CHILE -- (0.2%)
#Sociedad Quimica y Minera de Chile SA Sponsored ADR......... 91,271 5,320,187
------------
TOTAL PREFERRED STOCKS......................................... 213,918,541
------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
*Cia de Bebidas das Americas SA Rights 05/31/12.............. 1 8
------------
THAILAND -- (0.0%)
*Thai Union Frozen Products PCL (Foreign) Rights 05/18/12.... 57,560 42,585
------------
TOTAL RIGHTS/WARRANTS.......................................... 42,593
------------
SHARES/
FACE
AMOUNT VALUE+
------------ --------------
(000)
SECURITIES LENDING COLLATERAL -- (7.7%)
(S) @ DFA Short Term Investment Fund............................. 231,000,000 231,000,000
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.21%, 05/01/12 (Collateralized by FHLMC 2.765%(r),
07/01/36 & FNMA 2.230%(r), 08/01/38, valued at $837,156)
to be repurchased at $820,746............................... $ 821 820,741
--------------
TOTAL SECURITIES LENDING COLLATERAL.............................. 231,820,741
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,890,395,399).......................................... $3,015,203,785
==============
44
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE+
--------- ------------
COMMON STOCKS -- (94.4%)
Consumer Discretionary -- (17.4%)
*1-800-FLOWERS.COM, Inc. Class A.......................... 24,900 $ 74,202
A.H. Belo Corp. Class A.................................. 2,331 10,280
Acme United Corp......................................... 1,030 11,217
#American Greetings Corp. Class A......................... 62,335 997,360
*America's Car-Mart, Inc.................................. 2,670 122,660
*Arctic Cat, Inc.......................................... 21,666 958,504
*Ascent Capital Group, Inc. Class A....................... 8,564 441,046
#*AutoNation, Inc.......................................... 3,462 119,716
*Ballantyne Strong, Inc................................... 16,433 103,857
#*Barnes & Noble, Inc...................................... 39,682 823,401
Bassett Furniture Industries, Inc........................ 2,900 31,146
*Beasley Broadcast Group, Inc. Class A.................... 9,471 48,302
*Beazer Homes USA, Inc.................................... 62,582 194,004
bebe stores, inc......................................... 27,865 228,493
Belo Corp. Class A....................................... 58,727 395,820
Benihana, Inc............................................ 25,245 348,129
#Best Buy Co., Inc........................................ 197,800 4,365,446
Big 5 Sporting Goods Corp................................ 7,001 58,598
*Biglari Holdings, Inc.................................... 1,846 750,085
*Bluegreen Corp........................................... 13,073 69,287
Blyth, Inc............................................... 4,851 426,742
Bob Evans Farms, Inc..................................... 52,387 2,003,279
Bon-Ton Stores, Inc. (The)............................... 2,986 18,513
Books-A-Million, Inc..................................... 16,687 53,232
#*Boyd Gaming Corp......................................... 27,300 209,937
Brown Shoe Co., Inc...................................... 74,697 680,490
*Build-A-Bear Workshop, Inc............................... 30,090 135,706
*Cabela's, Inc............................................ 53,051 2,005,858
*Cache, Inc............................................... 19,581 122,185
Callaway Golf Co......................................... 129,713 795,141
*Cambium Learning Group, Inc.............................. 37,733 85,654
*Canterbury Park Holding Corp............................. 2,755 31,379
Carnival Corp............................................ 489,649 15,908,696
Carriage Services, Inc................................... 20,916 156,870
*Cavco Industries, Inc.................................... 5,860 302,376
#CBS Corp. Class A........................................ 28,712 978,505
CBS Corp. Class B........................................ 276,866 9,233,481
*Charming Shoppes, Inc.................................... 141,094 832,455
Christopher & Banks Corp................................. 62,435 116,753
Churchill Downs, Inc..................................... 8,167 484,793
Cinemark Holdings, Inc................................... 300 6,888
*Clear Channel Outdoor Holdings, Inc. Class A............. 17,838 135,034
*Coast Distribution System, Inc. (The).................... 547 1,242
#*Collective Brands, Inc................................... 65,918 1,369,117
Comcast Corp. Class A.................................... 3,570,978 108,307,763
Comcast Corp. Special Class A............................ 1,432,185 42,722,079
#*Conn's, Inc.............................................. 25,450 416,107
Core-Mark Holding Co., Inc............................... 24,059 928,677
*Corinthian Colleges, Inc................................. 30,196 115,953
CSS Industries, Inc...................................... 13,050 249,907
*Culp, Inc................................................ 10,036 114,912
*Cybex International, Inc................................. 29,063 67,426
D.R. Horton, Inc......................................... 208,125 3,402,844
*dELiA*s, Inc............................................. 22,143 34,100
*Delta Apparel, Inc....................................... 7,832 112,076
Destination Maternity Corp............................... 3,184 63,171
Dillard's, Inc. Class A.................................. 120,300 7,766,568
*DineEquity, Inc.......................................... 2,769 134,518
45
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Consumer Discretionary -- (Continued)
*Discovery Communications, Inc. Class B................... 3,762 $ 216,127
*Discovery Communications, Inc. Class C................... 5,089 252,872
*Dixie Group, Inc. (The).................................. 11,800 45,784
*Dorman Products, Inc..................................... 10,356 494,810
Dover Downs Gaming & Entertainment, Inc.................. 5,935 16,024
*Dover Motorsports, Inc................................... 15,098 21,892
#*DreamWorks Animation SKG, Inc. Class A................... 51,184 921,824
#*Duckwall-ALCO Stores, Inc................................ 700 5,607
*E.W. Scripps Co. Class A (The)........................... 41,061 376,119
#*Education Management Corp................................ 14,803 183,557
Educational Development Corp............................. 1,679 7,740
Escalade, Inc............................................ 377 2,202
*Exide Technologies....................................... 12,623 36,354
*Federal-Mogul Corp....................................... 40,785 527,350
Finish Line, Inc. Class A (The).......................... 552 12,288
*Fisher Communications, Inc............................... 9,042 296,487
#*Flanigan's Enterprises, Inc.............................. 865 6,297
Flexsteel Industries, Inc................................ 2,068 41,381
Foot Locker, Inc......................................... 140,973 4,312,364
Fred's, Inc. Class A..................................... 45,730 654,854
Frisch's Restaurants, Inc................................ 600 15,936
*Fuel Systems Solutions, Inc.............................. 11,586 271,692
*Full House Resorts, Inc.................................. 2,574 7,851
*Furniture Brands International, Inc...................... 12,573 19,865
*Gaiam, Inc. Class A...................................... 5,988 23,653
#GameStop Corp. Class A................................... 104,752 2,384,156
Gaming Partners International Corp....................... 800 5,416
#Gannett Co., Inc......................................... 119,639 1,653,411
*Gaylord Entertainment Co................................. 45,753 1,440,304
#*General Motors Co........................................ 674,707 15,518,261
*Genesco, Inc............................................. 24,191 1,814,325
*G-III Apparel Group, Ltd................................. 456 12,244
*Gray Television, Inc..................................... 5,550 9,990
*Great Wolf Resorts, Inc.................................. 42,789 335,466
#Group 1 Automotive, Inc.................................. 57,936 3,353,336
*Hallwood Group, Inc. (The)............................... 296 3,049
Harte-Hanks, Inc......................................... 14,206 119,330
*Hastings Entertainment, Inc.............................. 400 812
Haverty Furniture Cos., Inc.............................. 34,353 412,236
*Helen of Troy, Ltd....................................... 64,389 2,227,859
#*hhgregg, Inc............................................. 36,388 380,618
*Hollywood Media Corp..................................... 19,037 20,941
Hooker Furniture Corp.................................... 14,814 175,398
Hot Topic, Inc........................................... 32,189 315,452
*Hyatt Hotels Corp. Class A............................... 12,101 520,706
*Iconix Brand Group, Inc.................................. 95,618 1,466,780
International Speedway Corp. Class A..................... 24,844 663,086
*Isle of Capri Casinos, Inc............................... 18,096 113,100
*J. Alexander's Corp...................................... 9,196 78,994
#J.C. Penney Co., Inc..................................... 208,599 7,522,080
#JAKKS Pacific, Inc....................................... 15,841 302,088
Jarden Corp.............................................. 108,050 4,530,536
*Johnson Outdoors, Inc. Class A........................... 18,189 335,951
Jones Group, Inc. (The).................................. 106,821 1,198,532
*Journal Communications, Inc. Class A..................... 77,674 325,454
#KB Home.................................................. 30,800 267,344
*Kenneth Cole Productions, Inc. Class A................... 18,501 294,721
*Kid Brands, Inc.......................................... 10,476 24,619
*K-Swiss, Inc. Class A.................................... 639 2,352
Lacrosse Footwear, Inc................................... 461 5,947
*Lakeland Industries, Inc................................. 11,757 122,861
46
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Consumer Discretionary -- (Continued)
*La-Z-Boy, Inc............................................ 42,332 $ 637,943
*LeapFrog Enterprises, Inc................................ 2,499 23,341
*Lee Enterprises, Inc..................................... 38,128 43,085
#Lennar Corp. Class A..................................... 224,100 6,216,534
Lennar Corp. Class B Voting.............................. 7,868 178,053
*Liberty Interactive Corp. Class A........................ 882,463 16,625,603
*Liberty Interactive Corp. Class B........................ 35,706 672,344
*Liberty Media Corp.--Liberty Capital Class A............. 96,382 8,427,667
*Liberty Media Corp.--Liberty Capital Class B............. 7,622 656,712
Lifetime Brands, Inc..................................... 17,058 198,726
Lincoln Educational Services Corp........................ 5,300 38,902
Lithia Motors, Inc. Class A.............................. 34,933 937,252
*Live Nation Entertainment, Inc........................... 147,097 1,332,699
Lowe's Cos., Inc......................................... 426,902 13,434,606
*Luby's, Inc.............................................. 44,483 272,236
*M/I Homes, Inc........................................... 37,930 504,469
Mac-Gray Corp............................................ 13,366 199,153
Macy's, Inc.............................................. 155,548 6,380,579
*Madison Square Garden Co. Class A (The).................. 29,558 1,063,201
Marcus Corp.............................................. 28,765 359,850
*MarineMax, Inc........................................... 25,977 276,915
#*Martha Stewart Living Omnimedia Class A.................. 11,763 41,994
*McClatchy Co. Class A (The).............................. 58,519 159,172
MDC Holdings, Inc........................................ 18,400 517,224
#*Media General, Inc. Class A.............................. 25,196 89,950
Men's Wearhouse, Inc. (The).............................. 52,860 1,957,934
#Meredith Corp............................................ 32,676 942,049
*Meritage Homes Corp...................................... 28,156 799,349
*MGM Resorts International................................ 251,100 3,369,762
*Modine Manufacturing Co.................................. 100 790
#*Mohawk Industries, Inc................................... 98,740 6,617,555
*Monarch Casino & Resort, Inc............................. 3,439 33,290
#*Motorcar Parts of America, Inc........................... 14,074 106,399
Movado Group, Inc........................................ 36,900 1,046,115
*MTR Gaming Group, Inc.................................... 24,536 124,888
*Multimedia Games Holding Co., Inc........................ 26,639 302,619
*Nautilus, Inc............................................ 1,532 3,968
*Navarre Corp............................................. 340 615
*Nevada Gold & Casinos, Inc............................... 900 1,188
*New Frontier Media, Inc.................................. 20,483 32,158
*New York & Co., Inc...................................... 7,626 30,123
#News Corp. Class A....................................... 1,631,529 31,977,968
News Corp. Class B....................................... 621,962 12,339,726
*Office Depot, Inc........................................ 39,945 121,433
*OfficeMax, Inc........................................... 32,198 149,721
*Orbitz Worldwide, Inc.................................... 3,775 13,779
*Orchard Supply Hardware Stores Corp. Class A............. 5,735 123,130
*Orient-Express Hotels, Ltd. Class A...................... 81,098 866,938
Outdoor Channel Holdings, Inc............................ 37,022 273,963
*Pacific Sunwear of California, Inc....................... 48,428 71,189
#*Penn National Gaming, Inc................................ 63,446 2,853,801
Penske Automotive Group, Inc............................. 43,845 1,159,262
Pep Boys--Manny, Moe & Jack (The)........................ 81,600 1,218,288
*Perfumania Holdings, Inc................................. 541 4,350
*Perry Ellis International, Inc........................... 23,892 447,019
*Pinnacle Entertainment, Inc.............................. 71,930 798,423
#*PulteGroup, Inc.......................................... 143,221 1,409,295
PVH Corp................................................. 35,525 3,154,620
*Quiksilver, Inc.......................................... 78,690 272,267
#*Radio One, Inc. Class D.................................. 14,255 15,966
#RadioShack Corp.......................................... 90,200 467,236
47
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Discretionary -- (Continued)
*Red Lion Hotels Corp..................................... 18,401 $ 153,464
*Red Robin Gourmet Burgers, Inc........................... 31,175 1,111,700
#Regis Corp............................................... 65,192 1,196,273
Rent-A-Center, Inc....................................... 78,435 2,683,261
*Rick's Cabaret International, Inc........................ 13,375 123,986
*Rocky Brands, Inc........................................ 10,329 146,155
Royal Caribbean Cruises, Ltd............................. 322,500 8,826,825
*Ruby Tuesday, Inc........................................ 68,262 464,182
*Saga Communications, Inc. Class A........................ 6,520 245,543
#*Saks, Inc................................................ 105,202 1,153,014
Salem Communications Corp. Class A....................... 12,746 68,319
Scholastic Corp.......................................... 38,300 1,170,065
*School Specialty, Inc.................................... 3,915 12,802
*Scientific Games Corp. Class A........................... 41,635 423,012
#*Sears Holdings Corp...................................... 130,528 7,019,796
Service Corp. International.............................. 277,569 3,214,249
Shiloh Industries, Inc................................... 24,793 227,848
*Shoe Carnival, Inc....................................... 33,450 650,268
#*Skechers U.S.A., Inc. Class A............................ 49,610 926,219
Sonic Automotive, Inc. Class A........................... 2,179 36,651
Spartan Motors, Inc...................................... 27,068 117,746
Speedway Motorsports, Inc................................ 52,382 893,637
*Sport Chalet, Inc. Class A............................... 875 1,146
*Sport Chalet, Inc. Class B............................... 299 504
Stage Stores, Inc........................................ 60,550 924,598
Standard Motor Products, Inc............................. 37,342 562,744
*Stanley Furniture Co., Inc............................... 16,348 73,566
#Staples, Inc............................................. 497,525 7,661,885
*Stein Mart, Inc.......................................... 24,855 159,569
*Steinway Musical Instruments, Inc........................ 14,858 374,570
Stewart Enterprises, Inc. Class A........................ 85,569 540,796
Strattec Security Corp................................... 5,556 121,121
Superior Industries International, Inc................... 44,353 758,880
Superior Uniform Group, Inc.............................. 8,978 105,492
*Syms Corp................................................ 617 6,411
*Systemax, Inc............................................ 12,928 221,974
*Tandy Brands Accessories, Inc............................ 7,878 13,314
Tandy Leather Factory, Inc............................... 500 2,570
Time Warner Cable, Inc................................... 693,942 55,827,634
#Time Warner, Inc......................................... 1,534,860 57,495,856
#*Toll Brothers, Inc....................................... 203,299 5,163,795
*Trans World Entertainment Corp........................... 5,781 12,892
*Tuesday Morning Corp..................................... 60,500 244,420
*Unifi, Inc............................................... 43,422 482,853
*Universal Electronics, Inc............................... 1,564 26,463
Vail Resorts, Inc........................................ 14,200 579,076
*VOXX International Corp.................................. 37,868 480,545
Walt Disney Co. (The).................................... 26,220 1,130,344
#Washington Post Co. Class B.............................. 5,780 2,185,823
Wendy's Co. (The)........................................ 254,304 1,238,460
*West Marine, Inc......................................... 27,355 320,327
*Wet Seal, Inc. Class A (The)............................. 21,936 72,169
Whirlpool Corp........................................... 30,049 1,923,737
*WMS Industries, Inc...................................... 41,662 1,021,136
Wyndham Worldwide Corp................................... 262,116 13,194,919
------------
Total Consumer Discretionary................................ 583,600,655
------------
Consumer Staples -- (7.6%)
Alico, Inc............................................... 960 21,830
*Alliance One International, Inc.......................... 43,177 152,847
Andersons, Inc. (The).................................... 20,602 1,038,341
48
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Staples -- (Continued)
Archer-Daniels-Midland Co................................ 813,476 $ 25,079,465
B&G Foods, Inc........................................... 11,806 262,565
Bunge, Ltd............................................... 121,368 7,828,236
CCA Industries, Inc...................................... 8,323 38,785
*Central Garden & Pet Co.................................. 37,083 392,338
*Central Garden & Pet Co. Class A......................... 60,653 648,381
*Chiquita Brands International, Inc....................... 70,190 596,615
*Constellation Brands, Inc. Class A....................... 249,042 5,379,307
*Constellation Brands, Inc. Class B....................... 12,715 276,551
Corn Products International, Inc......................... 62,117 3,544,396
*Craft Brew Alliance, Inc................................. 11,669 89,851
CVS Caremark Corp........................................ 1,510,745 67,409,442
#*Dole Food Co., Inc....................................... 19,567 165,928
#*Elizabeth Arden, Inc..................................... 9,416 367,036
*Farmer Bros. Co.......................................... 10,645 96,869
Fortune Brands, Inc...................................... 149,626 8,495,764
Fresh Del Monte Produce, Inc............................. 39,780 921,703
#Griffin Land & Nurseries, Inc............................ 1,500 36,120
*Hain Celestial Group, Inc (The).......................... 43,646 2,064,456
*Imperial Sugar Co........................................ 11,854 48,009
Ingles Markets, Inc. Class A............................. 14,812 257,581
J.M. Smucker Co.......................................... 108,204 8,616,285
*John B. Sanfilippo & Son, Inc............................ 9,100 131,586
Kraft Foods, Inc. Class A................................ 2,081,099 82,973,417
*Mannatech, Inc........................................... 717 3,255
MGP Ingredients, Inc..................................... 4,788 22,264
Molson Coors Brewing Co. Class A......................... 1,908 79,754
#Molson Coors Brewing Co. Class B......................... 190,750 7,931,385
Nash-Finch Co............................................ 5,403 135,615
*Nutraceutical International Corp......................... 17,801 272,889
Oil-Dri Corp. of America................................. 447 9,459
*Omega Protein Corp....................................... 27,752 198,704
*Pantry, Inc. (The)....................................... 26,158 333,776
*Physicians Formula Holdings, Inc......................... 15,201 47,123
*Post Holdings, Inc....................................... 28,223 839,634
*Prestige Brands Holdings, Inc............................ 112,017 1,903,169
*Ralcorp Holdings, Inc.................................... 59,647 4,342,898
#Safeway, Inc............................................. 157,807 3,208,216
Sanderson Farms, Inc..................................... 16,100 830,921
*Seneca Foods Corp. Class A............................... 6,301 146,750
*Seneca Foods Corp. Class B............................... 300 7,014
*Smart Balance, Inc....................................... 76,099 448,984
#*Smithfield Foods, Inc.................................... 185,173 3,881,226
Snyders-Lance, Inc....................................... 13,134 339,908
Spartan Stores, Inc...................................... 32,649 595,191
*Spectrum Brands Holdings, Inc............................ 46,130 1,591,946
#SUPERVALU, Inc........................................... 149,746 889,491
*Susser Holdings Corp..................................... 12,360 329,888
#*TreeHouse Foods, Inc..................................... 16,925 973,357
Tyson Foods, Inc. Class A................................ 405,030 7,391,798
Universal Corp........................................... 22,890 1,049,049
Weis Markets, Inc........................................ 11,602 517,449
------------
Total Consumer Staples...................................... 255,254,817
------------
Energy -- (14.8%)
Adams Resources & Energy, Inc............................ 6,758 410,413
Alon USA Energy, Inc..................................... 33,484 302,695
Anadarko Petroleum Corp.................................. 845,068 61,867,428
Apache Corp.............................................. 292,215 28,035,107
#*Approach Resources, Inc.................................. 7,782 279,218
*Atwood Oceanics, Inc..................................... 4,600 203,918
49
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Energy -- (Continued)
Baker Hughes, Inc........................................ 3,891 $ 171,632
*Barnwell Industries, Inc................................. 8,038 25,360
#Berry Petroleum Co. Class A.............................. 30,163 1,373,925
#*Bill Barrett Corp........................................ 51,500 1,234,970
Bolt Technology Corp..................................... 4,363 62,260
#*BPZ Resources, Inc....................................... 6,960 28,188
#Bristow Group, Inc....................................... 42,400 2,071,240
Cabot Oil & Gas Corp..................................... 1,746 61,354
*Cal Dive International, Inc.............................. 75,291 291,376
#Chesapeake Energy Corp................................... 624,655 11,518,638
Chevron Corp............................................. 452,159 48,182,063
Cimarex Energy Co........................................ 2,400 165,864
*Comstock Resources, Inc.................................. 32,421 569,637
ConocoPhillips........................................... 1,766,829 126,557,961
*Crimson Exploration, Inc................................. 30,292 165,091
Crosstex Energy, Inc..................................... 43,961 655,019
*CVR Energy, Inc.......................................... 44,674 1,356,303
*Dawson Geophysical Co.................................... 19,178 514,929
Delek US Holdings, Inc................................... 56,789 925,661
*Denbury Resources, Inc................................... 289,460 5,511,318
#DHT Holdings, Inc........................................ 1,450 1,159
*Double Eagle Petroleum Co................................ 6,032 33,116
#*Endeavour International Corp............................. 26,768 334,065
*Energy Partners, Ltd..................................... 27,792 452,454
*ENGlobal Corp............................................ 2,318 4,636
*Exterran Holdings, Inc................................... 79,513 1,074,221
#*Forest Oil Corp.......................................... 93,816 1,249,629
*GeoResources, Inc........................................ 4,000 150,840
*Green Plains Renewable Energy, Inc....................... 29,097 232,485
Gulf Island Fabrication, Inc............................. 16,384 459,080
*Gulfmark Offshore, Inc. Class A.......................... 35,505 1,710,276
#*Harvest Natural Resources, Inc........................... 45,263 311,409
*Helix Energy Solutions Group, Inc........................ 103,010 2,102,434
Helmerich & Payne, Inc................................... 95,808 4,923,573
*Hercules Offshore, Inc................................... 118,866 603,839
Hess Corp................................................ 378,130 19,715,698
*HKN, Inc................................................. 24,730 56,384
*Hornbeck Offshore Services, Inc.......................... 29,719 1,237,202
*Key Energy Services, Inc................................. 30,500 386,130
Marathon Oil Corp........................................ 903,937 26,521,512
Marathon Petroleum Corp.................................. 451,968 18,806,388
*Matrix Service Co........................................ 3,790 51,734
*Mitcham Industries, Inc.................................. 7,044 167,365
Murphy Oil Corp.......................................... 189,426 10,412,747
*Nabors Industries, Ltd................................... 276,982 4,611,750
National Oilwell Varco, Inc.............................. 169,032 12,805,864
*Natural Gas Services Group, Inc.......................... 17,952 234,094
*Newpark Resources, Inc................................... 98,692 627,681
Noble Corp............................................... 76,711 2,919,621
Noble Energy, Inc........................................ 37,400 3,714,568
#Overseas Shipholding Group, Inc.......................... 15,300 179,010
*Parker Drilling Co....................................... 146,477 757,286
#Patterson-UTI Energy, Inc................................ 152,325 2,463,095
*Petroleum Development Corp............................... 28,153 968,182
*PHI, Inc. Non-Voting..................................... 21,843 581,679
*PHI, Inc. Voting......................................... 1,099 27,332
*Pioneer Drilling Co...................................... 67,927 535,265
#Pioneer Natural Resources Co............................. 88,400 10,238,488
*Plains Exploration & Production Co....................... 162,430 6,635,266
QEP Resources, Inc....................................... 33,043 1,018,055
*REX American Resources Corp.............................. 4,050 112,347
50
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
Energy -- (Continued)
*Rex Energy Corp.......................................... 12,200 $ 128,222
*Rosetta Resources, Inc................................... 5,600 281,512
#*Rowan Cos., Inc.......................................... 121,858 4,207,757
#*SandRidge Energy, Inc.................................... 29,000 231,710
*SEACOR Holdings, Inc..................................... 36,653 3,406,163
*SemGroup Corp. Class A................................... 4,727 150,319
#Ship Finance International, Ltd.......................... 12,481 172,862
Sunoco, Inc.............................................. 117,275 5,780,485
*Superior Energy Services, Inc............................ 32,408 872,423
*Swift Energy Co.......................................... 61,413 1,857,743
Teekay Corp.............................................. 37,720 1,361,692
*Tesco Corp............................................... 1,751 28,594
#*Tesoro Corp.............................................. 168,807 3,924,763
*TETRA Technologies, Inc.................................. 29,934 260,725
*TGC Industries, Inc...................................... 572 6,529
#Tidewater, Inc........................................... 53,204 2,927,816
Transocean, Ltd.......................................... 274,265 13,820,213
*Triangle Petroleum Corp.................................. 13,282 86,466
*Union Drilling, Inc...................................... 23,405 130,366
*Unit Corp................................................ 57,000 2,408,250
#*USEC, Inc................................................ 168,662 141,946
#Valero Energy Corp....................................... 658,099 16,255,045
*Warren Resources, Inc.................................... 5,363 16,572
*Weatherford International, Ltd........................... 282,083 4,025,324
Western Refining, Inc.................................... 68,485 1,304,639
*Whiting Petroleum Corp................................... 16,007 915,600
*Willbros Group, Inc...................................... 21,126 114,080
*Williams Cos., Inc. (The)................................ 48,998 1,667,402
------------
Total Energy................................................ 498,454,745
------------
Financials -- (15.5%)
1st Source Corp.......................................... 43,218 980,616
*1st United Bancorp, Inc.................................. 2,331 14,126
*21st Century Holding Co.................................. 13,665 60,263
ACE, Ltd................................................. 86,825 6,596,095
*Affirmative Insurance Holdings, Inc...................... 14,714 7,428
#*Allegheny Corp........................................... 3,214 1,102,081
Alliance Bancorp, Inc. of Pennsylvania................... 180 2,088
Allied World Assurance Co. Holdings AG................... 8,435 606,983
Allstate Corp. (The)..................................... 157,339 5,244,109
Alterra Capital Holdings, Ltd............................ 45,330 1,084,747
*American Capital, Ltd.................................... 422,803 4,198,434
American Equity Investment Life Holding Co............... 88,700 1,087,462
#American Financial Group, Inc............................ 199,200 7,752,864
*American Independence Corp............................... 866 3,828
American National Insurance Co........................... 37,921 2,662,054
*American River Bankshares................................ 634 4,616
*American Safety Insurance Holdings, Ltd.................. 16,702 316,169
#*Ameris Bancorp........................................... 13,614 168,814
*AmeriServ Financial, Inc................................. 33,075 97,571
*Arch Capital Group, Ltd.................................. 35,932 1,411,409
Argo Group International Holdings, Ltd................... 38,796 1,119,653
Aspen Insurance Holdings, Ltd............................ 102,623 2,906,283
Associated Banc-Corp..................................... 121,017 1,613,157
Assurant, Inc............................................ 65,820 2,655,179
Assured Guaranty, Ltd.................................... 122,989 1,743,984
*Atlantic Coast Financial Corp............................ 379 796
*AV Homes, Inc............................................ 16,343 203,797
Axis Capital Holdings, Ltd............................... 800 27,216
Baldwin & Lyons, Inc. Class A............................ 300 7,740
Baldwin & Lyons, Inc. Class B............................ 7,256 157,963
51
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
*Bancorp, Inc............................................. 1,015 $ 10,424
#*BancTrust Financial Group, Inc........................... 33,553 70,797
Bank Mutual Corp......................................... 56,876 221,816
Bank of America Corp..................................... 5,654,292 45,856,308
Bank of New York Mellon Corp. (The)...................... 144,438 3,415,959
BankFinancial Corp....................................... 39,867 265,514
Banner Corp.............................................. 8,792 192,984
BCB Bancorp, Inc......................................... 1,359 14,079
Berkshire Hills Bancorp, Inc............................. 32,787 743,937
*BofI Holding, Inc........................................ 8,208 145,856
Boston Private Financial Holdings, Inc................... 28,409 264,772
#Capital City Bank Group, Inc............................. 16,844 140,647
Capital One Financial Corp............................... 491,088 27,245,562
Capital Southwest Corp................................... 7,189 688,131
Cathay General Bancorp................................... 27,112 466,869
Centerstate Banks, Inc................................... 2,085 16,763
Century Bancorp, Inc. Class A............................ 595 16,345
CFS Bancorp, Inc......................................... 14,148 78,521
Chemical Financial Corp.................................. 394 8,696
*Chicopee Bancorp, Inc.................................... 1,000 14,400
*CIT Group, Inc........................................... 39,411 1,491,706
Citigroup, Inc........................................... 2,115,722 69,903,455
#*Citizens Community Bancorp, Inc.......................... 10,355 63,890
Citizens South Banking Corp.............................. 1,934 9,670
#CME Group, Inc........................................... 82,877 22,030,364
CNA Financial Corp....................................... 294,392 9,014,283
*CNO Financial Group, Inc................................. 301,264 2,190,189
CoBiz Financial, Inc..................................... 1,468 9,175
Codorus Valley Bancorp, Inc.............................. 115 1,587
*Community West Bancshares................................ 400 910
#*CompuCredit Holdings Corp................................ 30,212 166,468
*Cowen Group, Inc. Class A................................ 36,073 90,904
Delphi Financial Group, Inc. Class A..................... 3,852 174,958
Donegal Group, Inc. Class A.............................. 27,981 381,101
Donegal Group, Inc. Class B.............................. 300 5,250
*Doral Financial Corp..................................... 1,166 2,134
*E*Trade Financial Corp................................... 89,699 953,500
Eastern Insurance Holdings, Inc.......................... 23,026 352,298
*Eastern Virginia Bankshares, Inc......................... 260 1,001
Edelman Financial Group, Inc............................. 46,382 409,553
EMC Insurance Group, Inc................................. 19,181 379,208
*Encore Bancshares, Inc................................... 6,708 137,581
Endurance Specialty Holdings, Ltd........................ 76,288 3,065,252
Enterprise Financial Services Corp....................... 4,662 56,364
ESB Financial Corp....................................... 360 4,835
ESSA Bancorp, Inc........................................ 8,817 85,966
Evans Bancorp, Inc....................................... 1,681 25,232
Everest Re Group, Ltd.................................... 34,913 3,459,878
*Farmers Capital Bank Corp................................ 302 1,948
FBL Financial Group, Inc. Class A........................ 35,719 1,040,137
Federal Agricultural Mortgage Corp. Class A.............. 177 3,164
Federal Agricultural Mortgage Corp. Class C.............. 9,200 210,312
Fidelity Bancorp, Inc.................................... 400 4,370
Fidelity National Financial, Inc. Class A................ 70,910 1,366,436
Fidelity Southern Corp................................... 6,802 57,746
Fifth Third Bancorp...................................... 9,458 134,587
*First Acceptance Corp.................................... 39,006 60,069
First American Financial Corp............................ 61,982 1,038,198
First Bancorp............................................ 14,448 144,769
*First Bancshares, Inc.................................... 400 2,580
First Bancshares, Inc. (The)............................. 300 2,757
52
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Financials -- (Continued)
First Busey Corp......................................... 11,200 $ 51,968
First Business Financial Services, Inc................... 482 10,946
*First California Financial Group, Inc.................... 3,631 19,825
First Citizens BancShares, Inc. Class A.................. 9,731 1,686,382
First Commonwealth Financial Corp........................ 37,876 243,543
First Community Bancshares, Inc.......................... 1,116 14,943
First Defiance Financial Corp............................ 11,998 206,126
*First Federal of Northern Michigan Bancorp, Inc.......... 900 3,343
First Financial Holdings, Inc............................ 18,933 218,487
*First Financial Northwest, Inc........................... 25,471 202,494
*First Financial Service Corp............................. 130 455
First Interstate BancSystem, Inc......................... 2,959 41,692
First Merchants Corp..................................... 38,531 475,087
First Pactrust Bancorp, Inc.............................. 1,150 12,638
*First South Bancorp, Inc................................. 1,978 8,525
*FirstCity Financial Corp................................. 5,872 48,561
Flagstone Reinsurance Holdings SA........................ 45,783 343,372
Fox Chase Bancorp, Inc................................... 351 4,465
*Genworth Financial, Inc. Class A......................... 34,964 210,134
#German American Bancorp, Inc............................. 7,599 144,685
*Gleacher & Co., Inc...................................... 45,986 47,825
*Global Indemnity P.L.C................................... 7,702 138,713
Goldman Sachs Group, Inc. (The).......................... 6,759 778,299
Great Southern Bancorp, Inc.............................. 2,301 55,316
*Greene Bancshares, Inc................................... 16,271 26,847
*Guaranty Bancorp......................................... 79,799 155,608
*Guaranty Federal Bancshares, Inc......................... 1,684 13,910
*Hallmark Financial Services, Inc......................... 26,292 197,716
Hampden Bancorp, Inc..................................... 5,886 72,986
Hanover Insurance Group, Inc. (The)...................... 88,829 3,585,138
*Harris & Harris Group, Inc............................... 4,587 18,486
Hartford Financial Services Group, Inc................... 366,250 7,526,438
#HCC Insurance Holdings, Inc.............................. 17,700 565,692
Heartland Financial USA, Inc............................. 565 10,464
*Heritage Commerce Corp................................... 14,483 97,615
HF Financial Corp........................................ 400 4,800
*Hilltop Holdings, Inc.................................... 26,171 207,536
Hingham Institution for Savings.......................... 500 28,825
*HMN Financial, Inc....................................... 3,456 9,850
*Home Bancorp, Inc........................................ 1,128 19,582
Home Federal Bancorp, Inc................................ 9,720 95,159
HopFed Bancorp, Inc...................................... 6,781 60,283
Horace Mann Educators Corp............................... 58,206 1,021,515
Horizon Bancorp.......................................... 450 11,326
*Hudson City Bancorp, Inc................................. 28,191 199,028
*ICG Group, Inc........................................... 8,684 82,324
*Imperial Holdings, Inc................................... 2,882 11,038
Independence Holding Co.................................. 25,047 266,250
Indiana Community Bancorp................................ 2,029 46,221
Infinity Property & Casualty Corp........................ 16,579 885,484
International Bancshares Corp............................ 8,390 165,535
*Intervest Bancshares Corp. Class A....................... 2,078 8,312
*Investment Technology Group, Inc......................... 36,940 376,788
Investors Title Co....................................... 1,169 59,584
JPMorgan Chase & Co...................................... 750,334 32,249,355
Kaiser Federal Financial Group, Inc...................... 127 1,777
#Kemper Corp.............................................. 85,652 2,568,703
Kentucky First Federal Bancorp........................... 2,800 24,500
KeyCorp.................................................. 697,465 5,607,619
*Knight Capital Group, Inc................................ 4,610 60,575
Lakeland Bancorp, Inc.................................... 4,701 42,967
53
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
Landmark Bancorp, Inc.................................... 1,786 $ 36,595
Legg Mason, Inc.......................................... 128,883 3,359,980
Lincoln National Corp.................................... 383,093 9,489,214
LNB Bancorp, Inc......................................... 13,395 88,407
Loews Corp............................................... 259,949 10,691,702
*Louisiana Bancorp, Inc................................... 5,606 90,817
#*Macatawa Bank Corp....................................... 19,092 64,722
*Magyar Bancorp, Inc...................................... 500 2,395
Maiden Holdings, Ltd..................................... 24,454 202,968
MainSource Financial Group, Inc.......................... 47,000 549,430
Marlin Business Services Corp............................ 14,664 215,268
MB Financial, Inc........................................ 19,678 406,744
#*MBIA, Inc................................................ 175,044 1,764,444
#*MBT Financial Corp....................................... 23,185 70,482
MCG Capital Corp......................................... 37,566 157,402
Meadowbrook Insurance Group, Inc......................... 39,471 348,529
Medallion Financial Corp................................. 16,525 180,618
#*Mercantile Bank Corp..................................... 4,748 70,935
Meta Financial Group, Inc................................ 1,251 26,359
MetLife, Inc............................................. 1,126,173 40,576,013
*Metro Bancorp, Inc....................................... 28,298 327,408
*MetroCorp Bancshares, Inc................................ 2,250 25,875
*MGIC Investment Corp..................................... 92,411 319,742
MicroFinancial, Inc...................................... 5,900 40,120
MidWestOne Financial Group, Inc.......................... 474 9,907
Montpelier Re Holdings, Ltd.............................. 45,946 942,812
Morgan Stanley........................................... 1,476,248 25,509,565
MutualFirst Financial, Inc............................... 2,300 23,253
*NASDAQ OMX Group, Inc. (The)............................. 42,129 1,035,110
National Western Life Insurance Co. Class A.............. 900 122,454
*Navigators Group, Inc. (The)............................. 3,319 157,652
*New Century Bancorp, Inc................................. 600 2,592
New Hampshire Thrift Bancshares, Inc..................... 3,667 47,488
*NewBridge Bancorp........................................ 11,513 50,197
*Newport Bancorp, Inc..................................... 700 9,625
*NewStar Financial, Inc................................... 41,766 495,762
*North Valley Bancorp..................................... 907 11,410
Northeast Community Bancorp, Inc......................... 18,190 106,048
Northrim Bancorp, Inc.................................... 6,358 139,495
NYSE Euronext............................................ 8,639 222,454
#Old Republic International Corp.......................... 357,183 3,553,971
#*Old Second Bancorp, Inc.................................. 4,874 7,945
Oppenheimer Holdings, Inc. Class A....................... 2,297 39,187
Oriental Financial Group, Inc............................ 30,991 366,314
Pacific Continental Corp................................. 202 1,796
*Pacific Mercantile Bancorp............................... 16,756 100,033
*Park Sterling Corp....................................... 3,192 15,034
PartnerRe, Ltd........................................... 52,224 3,635,835
#*Penson Worldwide, Inc.................................... 22,821 11,114
Peoples Bancorp of North Carolina........................ 250 2,051
Peoples Bancorp, Inc..................................... 17,708 325,650
People's United Financial, Inc........................... 68,700 847,758
#*PHH Corp................................................. 92,304 1,430,712
*Phoenix Cos., Inc. (The)................................. 86,162 180,940
*Pinnacle Financial Partners, Inc......................... 31,813 582,178
*Piper Jaffray Cos., Inc.................................. 912 22,116
Platinum Underwriters Holdings, Ltd...................... 21,060 771,217
*Popular, Inc............................................. 565,367 1,006,353
Porter Bancorp, Inc...................................... 1,737 3,474
*Premier Financial Bancorp, Inc........................... 1,301 10,122
Presidential Life Corp................................... 33,374 386,471
54
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
Principal Financial Group, Inc........................... 217,722 $ 6,024,368
#Protective Life Corp..................................... 98,037 2,868,563
Provident Financial Holdings, Inc........................ 544 5,870
Provident Financial Services, Inc........................ 23,967 352,315
Provident New York Bancorp............................... 71,474 603,241
Prudential Financial, Inc................................ 497,625 30,126,218
#Pulaski Financial Corp................................... 4,550 34,125
#Radian Group, Inc........................................ 161,945 505,268
Regions Financial Corp................................... 1,304,230 8,790,510
Reinsurance Group of America, Inc........................ 169,166 9,835,311
Renasant Corp............................................ 43,602 697,632
*Republic First Bancorp, Inc.............................. 2,474 5,344
Resource America, Inc. Class A........................... 21,102 147,503
*Riverview Bancorp, Inc................................... 15,319 26,808
Safety Insurance Group, Inc.............................. 11,042 440,024
Sandy Spring Bancorp, Inc................................ 10,125 182,351
*Savannah Bancorp, Inc. (The)............................. 2,998 15,290
SeaBright Holdings, Inc.................................. 40,890 367,601
Selective Insurance Group, Inc........................... 45,200 790,548
SI Financial Group, Inc.................................. 5,444 62,606
Simmons First National Corp. Class A..................... 2,049 49,873
Somerset Hills Bancorp................................... 4,317 37,623
*Southern Community Financial Corp........................ 29,890 83,692
*Southern First Bancshares, Inc........................... 1,106 9,512
Southern Missouri Bancorp, Inc........................... 41 1,009
*Southwest Bancorp, Inc................................... 23,408 212,779
StanCorp Financial Group, Inc............................ 939 36,039
State Auto Financial Corp................................ 60,215 862,881
StellarOne Corp.......................................... 28,368 354,884
#Stewart Information Services Corp........................ 12,271 180,629
*Stratus Properties, Inc.................................. 3,069 27,882
*Suffolk Bancorp.......................................... 205 2,435
#*Sun Bancorp, Inc......................................... 4,338 12,537
SunTrust Banks, Inc...................................... 491,691 11,938,257
Susquehanna Bancshares, Inc.............................. 156,089 1,618,643
Symetra Financial Corp................................... 23,030 280,045
Synovus Financial Corp................................... 243,878 512,144
#*Taylor Capital Group, Inc................................ 826 11,498
Teche Holding Co......................................... 600 22,398
TF Financial Corp........................................ 630 15,750
*Timberland Bancorp, Inc.................................. 2,500 12,725
TowneBank................................................ 8,057 104,902
Travelers Cos., Inc. (The)............................... 28,000 1,800,960
*Tree.com, Inc............................................ 5,635 45,080
Umpqua Holdings Corp..................................... 104,400 1,382,256
*Unico American Corp...................................... 1,900 22,287
Union First Market Bankshares Corp....................... 14,214 198,427
*United Community Banks, Inc.............................. 16,030 150,842
United Financial Bancorp, Inc............................ 11,124 178,429
United Fire Group, Inc................................... 41,412 713,115
*United Security Bancshares............................... 372 925
*Unity Bancorp, Inc....................................... 3,306 20,398
Unum Group............................................... 517,445 12,284,144
*Virginia Commerce Bancorp, Inc........................... 22,274 174,405
VIST Financial Corp...................................... 271 3,171
*Waterstone Financial, Inc................................ 1,300 4,095
WesBanco, Inc............................................ 31,431 643,707
West Bancorporation, Inc................................. 14,757 141,667
Westfield Financial, Inc................................. 895 6,686
White River Capital, Inc................................. 300 6,780
#Wintrust Financial Corp.................................. 24,524 886,052
55
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Financials -- (Continued)
WR Berkley Corp.......................................... 5,257 $ 197,979
*WSB Holdings, Inc........................................ 100 342
XL Group P.L.C........................................... 240,766 5,178,877
*Yadkin Valley Financial Corp............................. 16,710 54,475
Zions Bancorporation..................................... 91,968 1,875,228
*ZipRealty, Inc........................................... 10,028 13,638
------------
Total Financials............................................ 519,149,212
------------
Health Care -- (9.1%)
*Addus HomeCare Corp...................................... 2,044 9,443
Aetna, Inc............................................... 503,313 22,165,905
*Affymax, Inc............................................. 6,200 81,282
*Affymetrix, Inc.......................................... 73,173 323,425
*Albany Molecular Research, Inc........................... 29,994 95,681
*Alere, Inc............................................... 74,130 1,770,966
*Allied Healthcare Products, Inc.......................... 1,000 3,275
*Almost Family, Inc....................................... 1,789 43,616
*Alphatec Holdings, Inc................................... 18,527 40,389
*AMAG Pharmaceuticals, Inc................................ 272 4,260
*Amedisys, Inc............................................ 12,879 189,708
*AMN Healthcare Services, Inc............................. 15,078 101,173
*Amsurg Corp.............................................. 30,743 884,169
Analogic Corp............................................ 5,884 401,348
*AngioDynamics, Inc....................................... 55,783 690,594
*Anika Therapeutics, Inc.................................. 20,716 353,415
Arrhythmia Research Technology, Inc...................... 1,200 3,660
Assisted Living Concepts, Inc............................ 35,887 642,736
*Astex Pharmaceuticals, Inc............................... 200 352
*BioClinica, Inc.......................................... 10,641 61,824
*BioScrip, Inc............................................ 36,570 270,984
*Boston Scientific Corp................................... 1,208,099 7,562,700
*Cambrex Corp............................................. 43,567 282,314
Cantel Medical Corp...................................... 10,905 256,049
*Capital Senior Living Corp............................... 58,814 569,908
*CardioNet, Inc........................................... 4,284 12,081
*CareFusion Corp.......................................... 207,163 5,367,593
*Celldex Therapeutics, Inc................................ 4,759 21,701
*Community Health Systems, Inc............................ 105,314 2,563,343
CONMED Corp.............................................. 43,239 1,236,203
Cooper Cos., Inc. (The).................................. 50,100 4,417,317
#Coventry Health Care, Inc................................ 141,956 4,257,260
*Cross Country Healthcare, Inc............................ 36,190 166,836
*CryoLife, Inc............................................ 17,502 92,586
*Cumberland Pharmaceuticals, Inc.......................... 26,419 193,387
*Cutera, Inc.............................................. 28,646 252,085
*Cynosure, Inc. Class A................................... 8,077 166,952
Daxor Corp............................................... 545 4,987
*Digirad Corp............................................. 29,411 64,410
*Dynacq Healthcare, Inc................................... 909 800
#*Endo Pharmaceuticals Holdings, Inc....................... 54,588 1,918,222
*Enzo Biochem, Inc........................................ 50,665 138,822
*eResearch Technology, Inc................................ 20,015 158,118
*Exactech, Inc............................................ 3,391 52,560
*Five Star Quality Care, Inc.............................. 28,899 99,124
#*Forest Laboratories, Inc................................. 82,171 2,862,016
*Gentiva Health Services, Inc............................. 26,039 215,603
*Greatbatch, Inc.......................................... 41,672 970,541
*Hanger Orthopedic Group, Inc............................. 2,200 51,810
*Harvard Bioscience, Inc.................................. 32,625 130,174
*Health Net, Inc.......................................... 25,498 907,984
*Healthways, Inc.......................................... 27,400 182,758
56
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Health Care -- (Continued)
*Hologic, Inc............................................. 305,036 $ 5,832,288
Humana, Inc.............................................. 236,814 19,106,154
*IntegraMed America, Inc.................................. 3,874 47,999
Invacare Corp............................................ 28,428 450,584
Kewaunee Scientific Corp................................. 1,631 13,611
*Kindred Healthcare, Inc.................................. 50,544 487,244
*Lannet Co., Inc.......................................... 3,649 14,377
*LCA-Vision, Inc.......................................... 1,000 7,400
LeMaitre Vascular, Inc................................... 5,100 27,540
*Life Technologies Corp................................... 94,990 4,403,736
*LifePoint Hospitals, Inc................................. 82,208 3,207,756
*Magellan Health Services, Inc............................ 9,739 431,243
*Maxygen, Inc............................................. 45,644 257,889
*MedAssets, Inc........................................... 44,682 563,440
*MedCath Corp............................................. 29,240 230,704
*Medical Action Industries, Inc........................... 26,509 146,330
#*MediciNova, Inc.......................................... 225 675
*Medtox Scientific, Inc................................... 5,247 115,959
*Misonix, Inc............................................. 4,083 7,962
*Molina Healthcare, Inc................................... 24,941 639,737
*Myrexis, Inc............................................. 16,406 49,546
National Healthcare Corp................................. 7,274 331,694
*Natus Medical, Inc....................................... 4,557 55,778
#Omnicare, Inc............................................ 197,388 6,876,998
*Palomar Medical Technologies, Inc........................ 6,712 58,394
*PDI, Inc................................................. 15,181 123,118
PerkinElmer, Inc......................................... 76,500 2,111,400
Pfizer, Inc.............................................. 5,208,907 119,440,238
*PharMerica Corp.......................................... 7,655 90,865
*Repligen Corp............................................ 33,562 148,008
*RTI Biologics, Inc....................................... 80,268 280,938
#*Select Medical Holdings Corp............................. 51,009 437,147
*Skilled Healthcare Group, Inc. Class A................... 18,080 138,674
*Solta Medical, Inc....................................... 5,882 19,116
*SRI/Surgical Express, Inc................................ 2,127 8,019
*Sucampo Pharmaceuticals, Inc. Class A.................... 7,965 66,269
*Sun Healthcare Group, Inc................................ 8,903 64,369
*SunLink Health Systems, Inc.............................. 1,750 2,152
*SurModics, Inc........................................... 5,593 82,720
*Symmetry Medical, Inc.................................... 78,674 559,372
Teleflex, Inc............................................ 37,423 2,345,299
*Theragenics Corp......................................... 21,383 36,779
Thermo Fisher Scientific, Inc............................ 499,520 27,798,288
*TranS1, Inc.............................................. 6,997 24,839
*Triple-S Management Corp. Class B........................ 22,073 464,857
UnitedHealth Group, Inc.................................. 68,644 3,854,361
*Universal American Corp.................................. 85,628 786,065
#*VCA Antech, Inc.......................................... 49,047 1,160,452
*ViroPharma, Inc.......................................... 103,779 2,257,193
*WellCare Health Plans, Inc............................... 12,832 785,062
WellPoint, Inc........................................... 504,640 34,224,685
*Wright Medical Group, Inc................................ 38,748 721,875
Young Innovations, Inc................................... 2,165 73,610
------------
Total Health Care........................................... 304,785,257
------------
Industrials -- (14.3%)
*A.T. Cross Co. Class A................................... 18,022 206,893
#*A123 Systems, Inc........................................ 4,800 4,896
AAR Corp................................................. 32,906 508,398
ABM Industries, Inc...................................... 64,500 1,501,560
Aceto Corp............................................... 37,486 337,374
57
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Industrials -- (Continued)
Actuant Corp. Class A.................................... 44,986 $ 1,226,768
*Adept Technology, Inc.................................... 21,309 124,018
*AECOM Technology Corp.................................... 13,377 295,230
*Aegion Corp.............................................. 5,916 107,967
*AGCO Corp................................................ 58,973 2,746,962
*Air Transport Services Group, Inc........................ 17,784 94,255
Aircastle, Ltd........................................... 54,200 658,530
Alamo Group, Inc......................................... 22,951 772,990
*Alaska Air Group, Inc.................................... 52,626 1,778,759
Albany International Corp. Class A....................... 20,551 494,868
Alexander & Baldwin, Inc................................. 66,838 3,419,432
.*Allied Defense Group, Inc................................ 2,645 14,230
Allied Motion Technologies, Inc.......................... 162 1,304
Amerco, Inc.............................................. 29,431 2,956,050
*American Railcar Industries, Inc......................... 20,409 550,635
*American Reprographics Co................................ 1,343 7,333
Ampco-Pittsburgh Corp.................................... 4,007 74,450
*AMREP Corp............................................... 966 7,506
Apogee Enterprises, Inc.................................. 36,374 558,705
Applied Industrial Technologies, Inc..................... 26,540 1,042,757
Argan, Inc............................................... 21 306
Arkansas Best Corp....................................... 27,325 419,165
#Armstrong World Industries, Inc.......................... 29,925 1,317,897
#*Ascent Solar Technologies, Inc........................... 7,857 5,115
#*Asset Acceptance Capital Corp............................ 5,900 31,388
Asta Funding, Inc........................................ 8,975 76,108
*Astec Industries, Inc.................................... 22,925 717,323
*Atlas Air Worldwide Holdings, Inc........................ 37,114 1,709,100
#*Avis Budget Group, Inc................................... 94,608 1,245,041
Baltic Trading, Ltd...................................... 5,000 23,250
Barnes Group, Inc........................................ 42,700 1,127,280
Barrett Business Services, Inc........................... 12,955 256,509
*BlueLinx Holdings, Inc................................... 12,553 34,521
Brady Corp. Class A...................................... 44,400 1,377,732
Briggs & Stratton Corp................................... 47,640 862,284
*Builders FirstSource, Inc................................ 12,182 50,799
*CAI International, Inc................................... 12,482 257,878
Cascade Corp............................................. 5,840 274,889
*Casella Waste Systems, Inc. Class A...................... 14,362 86,603
#*CBIZ, Inc................................................ 46,963 285,065
CDI Corp................................................. 43,399 769,898
CECO Environmental Corp.................................. 5,023 41,189
Celadon Group, Inc....................................... 23,892 373,432
Ceradyne, Inc............................................ 26,425 669,081
*Champion Industries, Inc................................. 686 583
*Chart Industries, Inc.................................... 3,000 229,290
Chicago Rivet & Machine Co............................... 700 13,160
CIRCOR International, Inc................................ 8,966 279,022
*CNH Global N.V........................................... 6,958 318,468
*Columbus McKinnon Corp................................... 17,745 263,158
Comfort Systems USA, Inc................................. 38,640 408,811
CompX International, Inc................................. 500 6,715
*Consolidated Graphics, Inc............................... 12,008 480,200
*Corrections Corp. of America............................. 7,040 203,386
Courier Corp............................................. 8,603 88,353
Covanta Holding Corp..................................... 94,292 1,513,387
#*Covenant Transportation Group, Inc. Class A.............. 7,080 23,435
*CPI Aerostructures, Inc.................................. 5,826 94,323
*CRA International, Inc................................... 7,613 155,686
CSX Corp................................................. 1,242,950 27,730,214
Curtiss-Wright Corp...................................... 46,353 1,635,797
58
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
*Dolan Co. (The).......................................... 20,106 $ 161,049
Douglas Dynamics, Inc.................................... 1,600 22,608
*Ducommun, Inc............................................ 16,345 192,871
*Dycom Industries, Inc.................................... 41,650 974,193
#*Eagle Bulk Shipping, Inc................................. 18,219 29,879
Eastern Co. (The)........................................ 10,193 247,180
#Eaton Corp............................................... 24,778 1,193,804
Ecology & Environment, Inc. Class A...................... 900 13,563
EMCOR Group, Inc......................................... 26,285 770,676
Encore Wire Corp......................................... 19,966 508,933
#*Energy Recovery, Inc..................................... 12,968 27,233
*EnergySolutions, Inc..................................... 22,369 94,173
*EnerSys.................................................. 43,239 1,511,203
Ennis, Inc............................................... 48,483 764,092
*EnPro Industries, Inc.................................... 18,700 774,367
ESCO Technologies, Inc................................... 16,950 583,080
Espey Manufacturing & Electronics Corp................... 1,671 42,009
*Esterline Technologies Corp.............................. 44,968 3,079,858
#*Excel Maritime Carriers, Ltd............................. 39,214 73,330
*Exelis, Inc.............................................. 34,997 403,515
*Federal Signal Corp...................................... 68,080 351,293
FedEx Corp............................................... 87,094 7,685,175
*Flow International Corp.................................. 23,633 97,132
*Fortune Brands Home & Security, Inc...................... 149,626 3,402,495
*Franklin Covey Co........................................ 3,046 28,297
FreightCar America, Inc.................................. 11,505 248,508
*Frozen Food Express Industries........................... 8,986 11,772
*FTI Consulting, Inc...................................... 16,780 609,785
G & K Services, Inc. Class A............................. 29,714 976,402
GATX Corp................................................ 65,445 2,805,627
*Genco Shipping & Trading, Ltd............................ 17,309 92,603
*Gencor Industries, Inc................................... 8,766 61,800
*General Cable Corp....................................... 26,404 777,334
General Electric Co...................................... 5,593,904 109,528,640
*Geo Group, Inc. (The).................................... 24,086 498,821
*Gibraltar Industries, Inc................................ 43,711 590,973
*GP Strategies Corp....................................... 18,583 311,823
Granite Construction, Inc................................ 26,636 741,546
Great Lakes Dredge & Dock Corp........................... 79,907 592,111
*Greenbrier Cos., Inc..................................... 21,793 375,929
Griffon Corp............................................. 74,563 738,919
*H&E Equipment Services, Inc.............................. 59,629 1,150,840
Hardinge, Inc............................................ 20,151 227,303
*Hawaiian Holdings, Inc................................... 19,867 112,447
Heidrick & Struggles International, Inc.................. 18,234 355,563
#*Hertz Global Holdings, Inc............................... 278,411 4,290,314
*Hill International, Inc.................................. 27,154 96,668
#*Hoku Corp................................................ 898 350
*Hudson Highland Group, Inc............................... 15,603 84,880
*Huntington Ingalls Industries, Inc....................... 56,173 2,216,025
*Hurco Cos., Inc.......................................... 8,210 216,169
*ICF International, Inc................................... 31,660 789,600
Ingersoll-Rand P.L.C..................................... 250,943 10,670,096
Insteel Industries, Inc.................................. 16,378 186,218
*Interline Brands, Inc.................................... 74,162 1,560,368
International Shipholding Corp........................... 12,452 263,484
Intersections, Inc....................................... 31,332 376,924
#ITT Corp................................................. 7,900 177,434
#*JetBlue Airways Corp..................................... 324,893 1,543,242
*Kadant, Inc.............................................. 6,383 165,128
*Kansas City Southern..................................... 27,254 2,099,103
59
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Industrials -- (Continued)
*KAR Auction Services, Inc................................ 18,100 $ 333,040
Kaydon Corp.............................................. 14,751 361,842
Kelly Services, Inc. Class A............................. 44,445 621,786
Kennametal, Inc.......................................... 6,400 270,272
*Key Technology, Inc...................................... 3,199 41,811
Kimball International, Inc. Class B...................... 28,589 195,263
*Korn/Ferry International................................. 30,127 486,551
#*Kratos Defense & Security Solutions, Inc................. 723 4,013
KSW, Inc................................................. 446 1,757
L.B. Foster Co. Class A.................................. 3,502 93,889
L.S. Starrett Co. Class A................................ 4,097 52,851
L-3 Communications Holdings, Inc......................... 100,470 7,388,564
Lawson Products, Inc..................................... 10,838 157,801
*Layne Christensen Co..................................... 36,994 760,227
*LMI Aerospace, Inc....................................... 14,827 271,186
LSI Industries, Inc...................................... 28,715 196,698
*Lydall, Inc.............................................. 18,720 197,496
Manpower, Inc............................................ 5,658 241,031
Marten Transport, Ltd.................................... 32,577 686,397
McGrath RentCorp......................................... 20,487 602,728
*Metalico, Inc............................................ 74,246 240,557
Met-Pro Corp............................................. 2,998 29,860
*MFRI, Inc................................................ 8,900 62,300
*Michael Baker Corp....................................... 969 21,832
Miller Industries, Inc................................... 21,096 345,974
#*Mobile Mini, Inc......................................... 54,461 1,027,134
*Moog, Inc. Class A....................................... 35,747 1,511,026
Mueller Industries, Inc.................................. 29,155 1,332,675
Mueller Water Products, Inc. Class A..................... 185,957 667,586
Multi-Color Corp......................................... 777 16,566
NACCO Industries, Inc. Class A........................... 6,123 694,777
*National Technical Systems, Inc.......................... 15,600 85,800
*Navigant Consulting, Inc................................. 22,179 308,732
NL Industries, Inc....................................... 51,251 721,102
*NN, Inc.................................................. 13,518 106,927
Norfolk Southern Corp.................................... 545,229 39,763,551
Northrop Grumman Corp.................................... 337,038 21,327,765
*Northwest Pipe Co........................................ 10,675 222,147
*Ocean Power Technologies, Inc............................ 8,500 23,205
*On Assignment, Inc....................................... 53,951 1,009,423
*Orbital Sciences Corp.................................... 36,476 458,139
*Orion Energy Systems, Inc................................ 1,043 2,190
*Orion Marine Group, Inc.................................. 758 5,245
*Oshkosh Corp............................................. 13,505 308,319
#*Owens Corning, Inc....................................... 152,823 5,249,470
P.A.M. Transportation Services, Inc...................... 19,428 207,297
Pentair, Inc............................................. 39,083 1,693,857
*PGT, Inc................................................. 500 1,020
*Pike Electric Corp....................................... 17,815 146,439
*Portfolio Recovery Associates, Inc....................... 9,401 646,977
*Powell Industries, Inc................................... 5,907 192,627
*PowerSecure International, Inc........................... 8,626 44,769
Providence & Worcester Railroad Co....................... 1,200 19,140
#Quad/Graphics, Inc....................................... 799 10,739
Quanex Building Products Corp............................ 19,678 362,666
*Quanta Services, Inc..................................... 168,307 3,722,951
*RailAmerica, Inc......................................... 21,133 489,863
Raytheon Co.............................................. 198,954 10,771,370
*RCM Technologies, Inc.................................... 21,593 117,250
*Real Goods Solar, Inc. Class A........................... 2,600 3,406
#Regal-Beloit Corp........................................ 16,070 1,086,975
60
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
Industrials -- (Continued)
#*Republic Airways Holdings, Inc........................... 53,999 $ 274,855
Republic Services, Inc................................... 429,755 11,762,394
Resources Connection, Inc................................ 25,796 334,832
Robbins & Myers, Inc..................................... 8,889 432,983
#RR Donnelley & Sons Co................................... 47,036 588,420
*Rush Enterprises, Inc. Class A........................... 34,446 622,784
*Rush Enterprises, Inc. Class B........................... 18,522 275,237
Ryder System, Inc........................................ 89,844 4,377,200
*Saia, Inc................................................ 17,104 321,213
Schawk, Inc.............................................. 45,135 607,968
*Seaboard Corp............................................ 1,837 3,656,402
SeaCube Container Leasing, Ltd........................... 223 4,137
SIFCO Industries, Inc.................................... 6,623 128,983
Simpson Manufacturing Co., Inc........................... 8,098 251,281
SkyWest, Inc............................................. 46,706 419,887
*SL Industries, Inc....................................... 300 5,520
#Southwest Airlines Co.................................... 645,761 5,346,901
*Sparton Corp............................................. 9,132 91,320
Standard Register Co..................................... 30,430 26,474
Standex International Corp............................... 22,671 998,884
Stanley Black & Decker, Inc.............................. 154,919 11,333,874
Steelcase, Inc. Class A.................................. 69,420 599,789
*Sterling Construction Co., Inc........................... 20,161 197,376
*Supreme Industries, Inc. Class A......................... 1,365 5,610
*SYKES Enterprises, Inc................................... 20,092 318,458
Sypris Solutions, Inc.................................... 9,636 38,737
#TAL International Group, Inc............................. 22,054 911,051
*Tecumseh Products Co. Class A............................ 11,200 42,784
*Tecumseh Products Co. Class B............................ 1,400 5,558
#*Terex Corp............................................... 5,786 130,995
*Tetra Tech, Inc.......................................... 10,810 288,627
*Thomas & Betts Corp...................................... 10,500 755,055
*Titan Machinery, Inc..................................... 14,689 523,369
*TRC Cos., Inc............................................ 28,708 188,899
Trinity Industries, Inc.................................. 93,807 2,776,687
#Triumph Group, Inc....................................... 58,156 3,653,360
*Tufco Technologies, Inc.................................. 900 2,848
*Tutor Perini Corp........................................ 40,371 614,043
#Twin Disc, Inc........................................... 3,866 84,781
Tyco International, Ltd.................................. 405,140 22,740,508
*Ultralife Corp........................................... 11,640 58,549
UniFirst Corp............................................ 18,705 1,136,516
Union Pacific Corp....................................... 480,399 54,016,064
Universal Forest Products, Inc........................... 31,800 1,189,320
Universal Truckload Services, Inc........................ 403 6,287
URS Corp................................................. 86,998 3,593,887
US Home Systems, Inc..................................... 4,314 37,834
*USA Truck, Inc........................................... 15,305 105,298
*Versar, Inc.............................................. 6,026 13,920
Viad Corp................................................ 28,614 517,341
Virco Manufacturing Corp................................. 12,601 22,682
VSE Corp................................................. 600 13,200
Watts Water Technologies, Inc. Class A................... 53,615 1,974,104
#*WESCO International, Inc................................. 11,687 775,900
*Willdan Group, Inc....................................... 1,000 3,490
*Willis Lease Finance Corp................................ 7,900 103,095
*XPO Logistics, Inc....................................... 4,427 73,532
------------
Total Industrials........................................... 480,930,422
------------
Information Technology -- (5.8%)
*Accelrys, Inc............................................ 41,733 343,463
61
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Information Technology -- (Continued)
#Activision Blizzard, Inc................................. 982,162 $12,640,425
*Acxiom Corp.............................................. 7,769 106,668
*Advanced Energy Industries, Inc.......................... 45,771 546,506
*Agilysys, Inc............................................ 12,799 112,119
*Alpha & Omega Semiconductor, Ltd......................... 1,319 13,045
#*Amkor Technology, Inc.................................... 15,566 80,476
*Amtech Systems, Inc...................................... 10,600 73,988
*ANADIGICS, Inc........................................... 6,834 15,103
*Analysts International Corp.............................. 200 966
*Anaren, Inc.............................................. 9,602 173,220
*AOL, Inc................................................. 105,592 2,644,024
*Arris Group, Inc......................................... 146,928 1,899,779
#*Arrow Electronics, Inc................................... 182,170 7,660,248
Astro-Med, Inc........................................... 2,897 24,262
*ATMI, Inc................................................ 33,934 712,953
*Aviat Networks, Inc...................................... 53,843 137,300
*Avid Technology, Inc..................................... 19,136 166,292
*Avnet, Inc............................................... 139,400 5,029,552
#AVX Corp................................................. 195,980 2,488,946
*Aware, Inc............................................... 22,140 137,268
*AXT, Inc................................................. 25,915 131,907
Bel Fuse, Inc. Class A................................... 4,174 81,685
Bel Fuse, Inc. Class B................................... 18,986 337,761
*Benchmark Electronics, Inc............................... 93,903 1,491,180
Black Box Corp........................................... 27,128 613,364
#*Brocade Communications Systems, Inc...................... 461,513 2,556,782
Brooks Automation, Inc................................... 63,950 752,052
*BSQUARE Corp............................................. 4,665 13,995
*BTU International, Inc................................... 1,600 4,512
Cabot Microelectronics Corp.............................. 667 22,931
#*CACI International, Inc. Class A......................... 27,175 1,661,208
*Calix, Inc............................................... 20,209 160,864
*Cascade Microtech, Inc................................... 24,071 115,782
*Checkpoint Systems, Inc.................................. 25,391 278,285
*CIBER, Inc............................................... 81,980 341,037
Cohu, Inc................................................ 41,999 461,149
Communications Systems, Inc.............................. 12,753 165,917
Computer Sciences Corp................................... 225,553 6,329,017
Comtech Telecommunications Corp.......................... 19,222 594,344
*Concurrent Computer Corp................................. 13,740 52,212
*Convergys Corp........................................... 197,364 2,638,757
*CoreLogic, Inc........................................... 96,545 1,612,301
Corning, Inc............................................. 1,298,385 18,631,825
*Cray, Inc................................................ 8,019 89,412
CSP, Inc................................................. 2,414 9,970
CTS Corp................................................. 33,460 359,026
*CyberOptics Corp......................................... 9,134 90,335
*Dataram Corp............................................. 7,544 7,695
DDi Corp................................................. 21,617 280,589
*Digi International, Inc.................................. 43,704 405,573
*DSP Group, Inc........................................... 49,501 323,737
*Dynamics Research Corp................................... 17,672 127,062
EarthLink, Inc........................................... 86,935 705,912
*EchoStar Corp. Class A................................... 23,551 684,157
*Edgewater Technology, Inc................................ 13,603 54,412
Electro Rent Corp........................................ 42,586 663,490
Electro Scientific Industries, Inc....................... 38,559 549,851
*Electronics for Imaging, Inc............................. 66,756 1,191,595
*EMCore Corp.............................................. 744 3,363
*Emulex Corp.............................................. 68,369 593,443
EPIQ Systems, Inc........................................ 21,736 246,921
62
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ----------
Information Technology -- (Continued)
*ePlus, Inc............................................... 8,445 $ 250,479
*Euronet Worldwide, Inc................................... 29,035 628,027
*Exar Corp................................................ 54,244 429,612
*Fairchild Semiconductor International, Inc............... 118,008 1,672,173
Fidelity National Information Services, Inc.............. 150,627 5,071,611
*FormFactor, Inc.......................................... 24,919 139,546
*Frequency Electronics, Inc............................... 16,953 129,690
*Global Cash Access Holdings, Inc......................... 37,455 316,495
*Globecomm Systems, Inc................................... 36,618 519,243
*GSE Systems, Inc......................................... 1,749 5,037
*GSI Group, Inc........................................... 1,451 17,514
*GSI Technology, Inc...................................... 5,964 25,228
*GTSI Corp................................................ 8,203 43,394
*Hackett Group, Inc. (The)................................ 54,740 312,565
*Harmonic, Inc............................................ 26,825 126,614
Hewlett-Packard Co....................................... 65,635 1,625,123
*Hutchinson Technology, Inc............................... 4,443 9,153
*I.D. Systems, Inc........................................ 17,291 104,783
IAC/InterActiveCorp...................................... 172,550 8,308,282
*Identive Group, Inc...................................... 19,075 39,294
*Imation Corp............................................. 34,398 199,508
*InfoSpace, Inc........................................... 81,156 903,266
*Ingram Micro, Inc. Class A............................... 277,679 5,403,633
*Insight Enterprises, Inc................................. 42,100 855,051
*Integrated Device Technology, Inc........................ 78,704 532,826
*Integrated Silicon Solution, Inc......................... 51,460 546,505
*Intermec, Inc............................................ 17,337 92,233
*Internap Network Services Corp........................... 35,546 250,244
*International Rectifier Corp............................. 80,500 1,757,315
*Interphase Corp.......................................... 3,099 19,834
Intersil Corp. Class A................................... 119,798 1,230,325
*Intevac, Inc............................................. 11,354 91,513
*IntriCon Corp............................................ 2,835 20,128
*Itron, Inc............................................... 10,342 421,954
*IXYS Corp................................................ 11,466 142,866
*Kemet Corp............................................... 6,536 55,621
*Key Tronic Corp.......................................... 17,923 207,011
Keynote Systems, Inc..................................... 24,595 452,548
#*KIT Digital, Inc......................................... 28,934 196,173
*Kopin Corp............................................... 6,901 24,637
*Kulicke & Soffa Industries, Inc.......................... 72,688 952,213
*KVH Industries, Inc...................................... 400 3,992
*Lattice Semiconductor Corp............................... 36,888 201,408
*LGL Group, Inc. (The).................................... 269 1,958
*Limelight Networks, Inc.................................. 35,344 96,843
*LookSmart, Ltd........................................... 25,479 23,186
*Loral Space & Communications, Inc........................ 26,050 1,616,402
*LTX-Credence Corp........................................ 13,413 92,550
ManTech International Corp. Class A...................... 22,379 703,148
Marchex, Inc. Class B.................................... 32,883 114,433
*Measurement Specialties, Inc............................. 5,558 198,587
#*MEMC Electronic Materials, Inc........................... 224,947 807,560
*MEMSIC, Inc.............................................. 1,150 4,922
*Mentor Graphics Corp..................................... 42,220 610,079
*Mercury Computer Systems, Inc............................ 8,133 107,356
Methode Electronics, Inc................................. 37,682 318,413
*Micron Technology, Inc................................... 758,908 5,001,204
MKS Instruments, Inc..................................... 61,200 1,692,180
*ModusLink Global Solutions, Inc.......................... 68,955 341,327
Motorola Solutions, Inc.................................. 69,046 3,523,417
*Multi-Fineline Electronix, Inc........................... 1,598 42,331
63
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ----------
Information Technology -- (Continued)
*NCI, Inc. Class A........................................ 4,213 $ 20,896
*Newport Corp............................................. 9,354 159,673
*Novatel Wireless, Inc.................................... 26,032 75,232
*Oclaro, Inc.............................................. 3,555 10,203
*Official Payments Holdings, Inc.......................... 3,839 18,235
*OmniVision Technologies, Inc............................. 880 16,210
*Online Resources Corp.................................... 18,720 52,978
*Oplink Communications, Inc............................... 35,876 568,276
*Opnext, Inc.............................................. 6,819 8,115
Optical Cable Corp....................................... 10,793 32,271
*PAR Technology Corp...................................... 22,705 115,568
PC Connection, Inc....................................... 45,203 362,528
*PC Mall, Inc............................................. 11,672 72,133
PC-Tel, Inc.............................................. 46,980 320,873
*Perceptron, Inc.......................................... 8,065 47,100
*Performance Technologies, Inc............................ 24,790 55,530
*Pericom Semiconductor Corp............................... 41,261 324,311
*Pervasive Software, Inc.................................. 35,664 220,760
#*Photronics, Inc.......................................... 69,687 431,363
*Planar Systems, Inc...................................... 11,933 22,076
*PMC-Sierra, Inc.......................................... 146,588 1,036,377
*Presstek, Inc............................................ 7,000 5,564
*Qualstar Corp............................................ 12,400 23,808
*Radisys Corp............................................. 18,198 115,557
RealNetworks, Inc........................................ 35,381 338,596
*Reis, Inc................................................ 16,361 142,177
RF Industries, Ltd....................................... 2,823 10,727
Richardson Electronics, Ltd.............................. 25,225 318,087
Rimage Corp.............................................. 659 5,990
*Rofin-Sinar Technologies, Inc............................ 900 22,680
#*Rosetta Stone, Inc....................................... 2,276 23,807
*Rudolph Technologies, Inc................................ 25,697 277,528
#*Sandisk Corp............................................. 13,097 484,720
*Sanmina-SCI Corp......................................... 18,136 161,410
*SeaChange International, Inc............................. 31,620 259,916
*Sigma Designs, Inc....................................... 23,129 127,441
*Smith Micro Software, Inc................................ 3,626 7,288
*SMTC Corp................................................ 1,300 5,057
*Spansion, Inc. Class A................................... 11,661 140,632
#*SS&C Technologies Holdings, Inc.......................... 26,378 627,005
*Standard Microsystems Corp............................... 30,384 804,568
*StarTek, Inc............................................. 27,060 49,520
#*SunPower Corp............................................ 16,987 95,297
*Supertex, Inc............................................ 11,602 237,493
*Support.com, Inc......................................... 53,260 193,334
*Sycamore Networks, Inc................................... 47,495 740,447
*Symmetricom, Inc......................................... 89,726 498,877
#*SYNNEX Corp.............................................. 60,100 2,289,209
*Tech Data Corp........................................... 85,452 4,596,463
*TechTarget, Inc.......................................... 24,206 180,093
*TeleCommunication Systems, Inc. Class A.................. 47,682 92,026
Tellabs, Inc............................................. 241,591 910,798
Telular Corp............................................. 24,938 224,941
Tessco Technologies, Inc................................. 11,228 224,560
*Tessera Technologies, Inc................................ 48,635 760,651
TheStreet, Inc........................................... 37,257 75,259
*TriQuint Semiconductor, Inc.............................. 18,500 90,280
*TSR, Inc................................................. 650 2,834
*TTM Technologies, Inc.................................... 62,635 647,020
*Ultra Clean Holdings..................................... 700 4,795
United Online, Inc....................................... 121,790 577,285
64
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Information Technology -- (Continued)
*UTStarcom Holdings Corp.................................. 103,608 $ 135,726
*Vicon Industries, Inc.................................... 5,787 18,258
*Video Display Corp....................................... 600 2,550
*Virtusa Corp............................................. 32,722 493,775
*Vishay Intertechnology, Inc.............................. 236,119 2,649,255
*Vishay Precision Group, Inc.............................. 9,781 141,629
*Web.com Group, Inc....................................... 22,102 286,221
*Westell Technologies, Inc. Class A....................... 41,073 93,646
*Western Digital Corp..................................... 212,781 8,258,031
*WPCS International, Inc.................................. 8,861 9,570
Xerox Corp............................................... 1,791,473 13,937,660
*XO Group, Inc............................................ 11,964 110,906
Xyratex, Ltd............................................. 28,253 410,234
*Yahoo!, Inc.............................................. 1,048,770 16,297,886
*Zygo Corp................................................ 18,340 362,949
------------
Total Information Technology................................ 193,645,320
------------
Materials -- (3.2%)
A. Schulman, Inc......................................... 33,740 830,341
*A.M. Castle & Co......................................... 38,646 517,470
#Alcoa, Inc............................................... 1,145,369 11,144,440
*American Pacific Corp.................................... 7,647 59,800
Ashland, Inc............................................. 112,560 7,414,327
#Bemis Co., Inc........................................... 10,392 336,597
Boise, Inc............................................... 68,104 520,315
Buckeye Technologies, Inc................................ 37,822 1,225,811
Cabot Corp............................................... 46,280 1,996,056
*Century Aluminum Co...................................... 32,155 295,826
*Chemtura Corp............................................ 54,541 928,288
*Clearwater Paper Corp.................................... 7,599 250,539
*Coeur d'Alene Mines Corp................................. 133,765 2,882,636
Commercial Metals Co..................................... 85,208 1,259,374
*Continental Materials Corp............................... 100 1,460
*Core Molding Technologies, Inc........................... 3,088 25,661
Cytec Industries, Inc.................................... 64,700 4,112,979
Domtar Corp.............................................. 30,917 2,704,619
Dow Chemical Co. (The)................................... 14,000 474,320
Friedman Industries, Inc................................. 16,953 198,181
*Georgia Gulf Corp........................................ 26,423 936,695
#*Golden Minerals Co....................................... 9,136 68,246
*Graphic Packaging Holding Co............................. 126,400 676,240
H.B. Fuller Co........................................... 20,707 681,260
Haynes International, Inc................................ 2,766 172,515
*Headwaters, Inc.......................................... 23,663 102,697
*Horsehead Holding Corp................................... 49,171 552,190
Huntsman Corp............................................ 44,942 636,379
*Innospec, Inc............................................ 1,550 46,856
International Paper Co................................... 493,615 16,442,316
Kaiser Aluminum Corp..................................... 27,181 1,428,905
*KapStone Paper & Packaging Corp.......................... 41,092 742,122
*Kraton Performance Polymers, Inc......................... 1,727 44,902
*Landec Corp.............................................. 37,056 238,641
#*Louisiana-Pacific Corp................................... 173,457 1,569,786
LyondellBasell Industries N.V. Class A................... 121,873 5,091,854
*Materion Corp............................................ 17,890 442,062
MeadWestavco Corp........................................ 188,451 5,996,511
*Mercer International, Inc................................ 19,608 134,511
*Metals USA Holdings Corp................................. 1,296 19,544
Minerals Technologies, Inc............................... 17,140 1,150,094
*Mod-Pac Corp............................................. 1,501 10,372
Myers Industries, Inc.................................... 65,520 1,083,046
65
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Materials -- (Continued)
Neenah Paper, Inc........................................ 14,705 $ 419,975
Noranda Aluminum Holding Corp............................ 2,907 30,872
*Northern Technologies International Corp................. 3,035 38,848
Nucor Corp............................................... 89,274 3,500,434
Olin Corp................................................ 45,661 957,055
Olympic Steel, Inc....................................... 10,414 220,048
*OM Group, Inc............................................ 42,299 1,020,252
P.H. Glatfelter Co....................................... 54,200 844,436
*Penford Corp............................................. 26,922 223,453
#Reliance Steel & Aluminum Co............................. 94,901 5,304,017
Rock-Tenn Co. Class A.................................... 26,305 1,639,591
*RTI International Metals, Inc............................ 50,032 1,228,286
Schnitzer Steel Industries, Inc. Class A................. 21,397 853,098
Sealed Air Corp.......................................... 45,299 868,835
*Spartech Corp............................................ 30,589 149,274
Steel Dynamics, Inc...................................... 94,919 1,212,116
#*Stillwater Mining Co..................................... 8,752 93,909
#*SunCoke Energy, Inc...................................... 62,210 946,840
Synalloy Corp............................................ 5,144 62,088
#Texas Industries, Inc.................................... 33,762 1,134,741
Tredegar Corp............................................ 40,177 697,071
*Universal Stainless & Alloy Products, Inc................ 9,714 450,730
Vulcan Materials Co...................................... 58,246 2,493,511
Wausau Paper Corp........................................ 21,308 193,050
Westlake Chemical Corp................................... 84,076 5,376,660
Worthington Industries, Inc.............................. 47,320 844,189
#*Zoltek Cos., Inc......................................... 48,771 537,944
------------
Total Materials............................................. 106,788,107
------------
Other -- (0.0%)
.*Gerber Scientific, Inc. Escrow Shares.................... 47,409 --
.*MAIR Holdings, Inc. Escrow Shares........................ 1,415 --
.*Petrocorp, Inc. Escrow Shares............................ 900 54
.*Price Communications Liquidation Trust................... 47,738 --
------------
Total Other................................................. 54
------------
Telecommunication Services -- (6.2%)
AT&T, Inc................................................ 4,065,906 133,808,966
Atlantic Tele-Network, Inc............................... 84 2,861
*Cbeyond, Inc............................................. 9,743 62,647
CenturyLink, Inc......................................... 536,163 20,674,445
#Frontier Communications Corp............................. 696,949 2,815,674
*General Communications, Inc. Class A..................... 44,167 335,669
*Iridium Communications, Inc.............................. 24,506 215,408
#*Leap Wireless International, Inc......................... 8,393 47,085
*MetroPCS Communications, Inc............................. 227,572 1,661,276
*Neutral Tandem, Inc...................................... 6,833 79,399
*ORBCOMM, Inc............................................. 44,067 143,658
*Premiere Global Services, Inc............................ 2,788 24,953
*Primus Telecommunications Group, Inc..................... 246 4,280
Shenandoah Telecommunications Co......................... 2,126 23,705
*Sprint Nextel Corp....................................... 3,759,360 9,323,213
SureWest Communications.................................. 15,455 348,974
#Telephone & Data Systems, Inc............................ 154,629 3,755,938
*United States Cellular Corp.............................. 33,568 1,316,537
USA Mobility, Inc........................................ 30,823 398,233
Verizon Communications, Inc.............................. 855,430 34,542,263
------------
Total Telecommunication Services............................ 209,585,184
------------
66
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------------ --------------
Utilities -- (0.5%)
*AES Corp................................................... 606,667 $ 7,595,471
*Calpine Corp............................................... 214,576 4,023,300
Consolidated Water Co., Ltd................................ 6,347 45,508
#*Dynegy, Inc................................................ 84,156 34,504
Genie Energy, Ltd. Class B................................. 3,898 32,431
*GenOn Energy, Inc.......................................... 582,007 1,239,675
*NRG Energy, Inc............................................ 220,130 3,742,210
#Ormat Technologies, Inc.................................... 20,134 398,049
Public Service Enterprise Group, Inc....................... 29,685 924,688
SJW Corp................................................... 6,569 158,313
*Synthesis Energy Systems, Inc.............................. 1,418 1,985
Unitil Corp................................................ 4,716 124,785
--------------
Total Utilities............................................... 18,320,919
--------------
TOTAL COMMON STOCKS........................................... 3,170,514,692
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds TempCash
Portfolio--Institutional Shares.......................... 11,813,025 11,813,025
--------------
SHARES/
FACE
AMOUNT
------------
(000)
SECURITIES LENDING COLLATERAL -- (5.2%)
(S) @ DFA Short Term Investment Fund.......................... 174,346,139 174,346,139
@ Repurchase Agreement, JPMorgan Securities LLC 0.21%,
05/01/12 (Collateralized by $1,603,475 FNMA, rates
ranging from 2.000% to 6.331%(r), maturities ranging
from 01/01/19 to 09/01/45, valued at $1,608,446) to be
repurchased at $1,556,774................................ $ 1,557 1,556,765
--------------
TOTAL SECURITIES LENDING COLLATERAL........................... 175,902,904
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,770,249,146)...................................... $3,358,230,621
==============
67
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Principal Executive Officer and
Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) are effectively designed to ensure that
information required to be disclosed by the Registrant in the Report
is recorded, processed, summarized and reported by the filing date,
including ensuring that information required to be disclosed in the
Report is accumulated and communicated to the Registrant's officers
that are making certifications in the Report, as appropriate, to allow
timely decisions regarding required disclosure. The Registrant's
management, including the Principal Executive Officer and the
Principal Financial Officer, recognizes that any set of controls and
procedures, no matter how well designed and operated, can provide only
reasonable assurance of achieving the desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
---------------------------------
David G. Booth
Chairman, Director, President and
Co-Chief Executive Officer
Date: July 5, 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
Dimensional Investment Group Inc.
Date: July 5, 2012
By: /s/ David R. Martin
---------------------------------
David R. Martin
Principal Financial Officer
Dimensional Investment Group Inc.
Date: July 5, 2012