================================================================================
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 811-7440
DIMENSIONAL EMERGING MARKETS VALUE FUND
(Exact name of registrant as specified in charter)
6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices) ( Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Emerging Markets Value Fund,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: 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
----
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
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)The Registrant's schedule of investments is provided below.
DIMENSIONAL EMERGING MARKETS VALUE FUND
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULE 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 Schedule of
Investments.
++ Securities have generally been fair valued. See Security Valuation
Note within the Notes to Schedule of Investments.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from securities on loan.
(r) The adjustable or variable rate shown is effective as of April 30,
2012.
-- Amounts designated as -- are either zero or rounded to zero.
(S) Affiliated Fund.
1
DIMENSIONAL EMERGING MARKETS VALUE FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 2012
(UNAUDITED)
SHARES VALUE++
---------- ------------
COMMON STOCKS -- (89.8%)
BRAZIL -- (6.8%)
Banco Alfa de Investimento SA....................... 97,200 $ 290,659
Banco Santander Brasil SA........................... 1,701,517 13,809,232
Banco Santander Brasil SA ADR....................... 15,229,140 122,899,160
Bematech SA......................................... 507,000 1,090,523
*BHG SA--Brazil Hospitality Group.................... 914 11,124
BM&F Bovespa SA..................................... 30,436,745 170,055,523
BR Malls Participacoes SA........................... 3,845,797 47,534,023
BRF--Brasil Foods SA ADR............................ 1,261,147 23,242,939
Brookfield Incorporacoes SA......................... 6,186,784 16,325,852
*Camargo Correa Desenvolvimento Imobiliario SA....... 751,000 1,922,661
Cia Providencia Industria e Comercio SA............. 321,800 1,131,107
Cosan SA Industria e Comercio....................... 1,614,981 28,103,203
CR2 Empreendimentos Imobiliarios SA................. 99,200 281,027
Cremer SA........................................... 258,570 2,509,532
Duratex SA.......................................... 403,892 2,373,156
Embraer SA ADR...................................... 632,154 21,897,815
Eternit SA.......................................... 530,123 2,781,119
Even Construtora e Incorporadora SA................. 3,441,454 12,854,787
EZ Tec Empreendimentos e Participacoes SA........... 618,941 6,835,091
*Fertilizantes Heringer SA........................... 273,200 2,013,724
Fibria Celulose SA.................................. 1,472,064 11,746,239
Fibria Celulose SA Sponsored ADR.................... 3,507,135 27,846,652
Forjas Taurus SA.................................... 224,056 263,298
Gafisa SA........................................... 5,092,178 9,376,778
#Gafisa SA ADR....................................... 3,057,757 11,252,546
*General Shopping Brasil SA.......................... 316,430 1,917,355
Gerdau SA........................................... 1,860,396 14,464,270
Gol Linhas Aereas Inteligentes SA ADR............... 34,659 183,693
Grendene SA......................................... 1,130,243 5,822,724
Guararapes Confeccoes SA............................ 8,550 444,601
Helbor Empreendimentos SA........................... 8,400 40,807
Hypermarcas SA...................................... 5,790,281 37,636,902
*IdeiasNet SA........................................ 670,830 879,823
Iguatemi Empresa de Shopping Centers SA............. 225,460 4,915,729
Industrias Romi SA.................................. 627,600 1,929,405
Inepar SA Industria e Construcoes................... 26,528 36,045
*JBS SA.............................................. 16,156,777 63,316,698
JHSF Participacoes SA............................... 1,450,900 4,551,783
*Kepler Weber SA..................................... 4,157,400 523,451
*Kroton Educacional SA Unit Shares................... 241,736 3,550,931
*Log-in Logistica Intermodal SA...................... 807,500 3,300,068
M. Dias Branco SA................................... 68,600 1,979,383
*Magnesita Refratarios SA............................ 2,770,284 9,737,378
Marfrig Alimentos SA................................ 3,649,348 20,198,107
Metalfrio Solutions SA.............................. 97,900 251,664
Minerva SA.......................................... 801,025 3,630,803
*MPX Energia SA...................................... 237,300 6,370,244
Multiplan Empreendimentos Imobiliarios SA........... 57,768 1,360,745
Obrascon Huarte Lain Brasil SA...................... 427,500 3,693,794
Oi SA............................................... 11,578 77,751
Paranapanema SA..................................... 4,107,545 6,270,732
PDG Realty SA Empreendimentos e Participacoes....... 4,662,317 10,957,784
Petroleo Brasileiro SA.............................. 2,051,598 24,012,355
Petroleo Brasileiro SA ADR.......................... 12,594,248 296,468,598
*Plascar Participacoes Industriais SA................ 1,212,900 954,463
Porto Seguro SA..................................... 112,730 1,106,512
Positivo Informatica SA............................. 614,426 2,175,787
Profarma Distribuidora de Produtos Farmaceuticos SA. 150,125 755,291
2
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
------------- --------------
BRAZIL -- (Continued)
Rodobens Negocios Imobiliarios SA.............. 306,101 $ 1,785,716
Rossi Residencial SA........................... 4,838,031 20,254,171
*Sao Carlos Empreendimentos e Participacoes SA.. 78,200 1,300,496
Sao Martinho SA................................ 598,132 7,232,874
SLC Agricola SA................................ 663,517 6,554,587
*Springs Global Participacoes SA................ 438,409 747,491
Sul America SA................................. 1,041,288 8,554,717
Tecnisa SA..................................... 139,839 628,712
*Tereos Internacional SA........................ 341,904 613,442
Trisul SA...................................... 91,961 132,190
Triunfo Participacoes e Investimentos SA....... 160,500 769,598
Usinas Siderurgicas de Minas Gerais SA......... 2,197,000 20,873,315
*Vanguarda Agro SA.............................. 9,353,765 1,962,860
*Via Varejo SA.................................. 42,731 448,349
*Viver Incorporadora e Construtora SA........... 2,794,225 3,532,819
--------------
TOTAL BRAZIL...................................... 1,147,354,783
--------------
CHILE -- (1.7%)
Almendral SA................................... 802,355 115,945
Banco de Credito e Inversiones SA.............. 98,094 7,057,066
Cementos Bio-Bio SA............................ 665,307 925,752
Cencosud SA.................................... 2,567,578 16,280,911
Cia General de Electricidad SA................. 1,054,399 5,955,583
Cintac SA...................................... 153,487 83,847
*Compania Sud Americana de Vapores SA........... 48,831,912 5,737,825
Corpbanca SA................................... 1,006,842,197 13,677,778
Cristalerias de Chile SA....................... 264,624 2,345,667
CTI Cia Tecno Industrial SA.................... 488,163 35,221
Embotelladora Andina SA Series A ADR........... 23,440 630,184
Empresas CMPC SA............................... 17,015,840 69,943,486
Empresas Copec SA.............................. 2,279,625 37,006,899
*Empresas Hites SA.............................. 300,520 238,440
Empresas Iansa SA.............................. 43,801,768 3,566,625
Empresas La Polar SA........................... 2,473,110 2,100,385
Enersis SA..................................... 35,842,974 14,643,824
Enersis SA Sponsored ADR....................... 3,277,418 66,433,263
Gasco SA....................................... 155,648 1,155,087
Grupo Security SA.............................. 983,156 381,021
Inversiones Aguas Metropolitanas SA............ 5,461,344 9,625,745
*Madeco SA...................................... 64,264,697 3,040,352
Masisa SA...................................... 36,930,742 4,111,029
Minera Valparaiso SA........................... 7,390 250,218
*Multiexport Foods SA........................... 138,103 37,294
Parque Arauco SA............................... 1,391,681 2,703,895
PAZ Corp. SA................................... 1,272,412 681,977
Ripley Corp. SA................................ 7,595,490 8,470,748
Salfacorp SA................................... 411,428 1,051,682
*Sociedad Matriz SAAM SA........................ 53,986,924 6,454,837
Sociedad Quimica y Minera de Chile SA Series A. 32,018 1,848,081
Socovesa SA.................................... 5,003,485 2,482,661
Soquimic Comercial SA.......................... 189,354 57,380
Vina Concha Y Toro SA.......................... 212,417 446,641
Vina Concha Y Toro SA Sponsored ADR............ 2,846 119,504
Vina San Pedro Tarapaca SA..................... 57,038,434 399,833
--------------
TOTAL CHILE....................................... 290,096,686
--------------
CHINA -- (14.4%)
*361 Degrees International, Ltd................. 6,550,000 2,068,723
*A8 Digital Music Holdings, Ltd................. 474,000 55,762
Agile Property Holdings, Ltd................... 16,252,000 21,145,344
*Agricultural Bank of China, Ltd. Series H...... 113,122,000 53,355,994
3
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- ------------
CHINA -- (Continued)
#Aluminum Corp. of China, Ltd. ADR........................ 276,693 $ 3,328,617
#Aluminum Corp. of China, Ltd. Series H................... 8,702,000 4,188,475
AMVIG Holdings, Ltd...................................... 5,277,100 2,949,150
#Angang Steel Co., Ltd. Series H.......................... 15,187,640 10,322,793
Anhui Tianda Oil Pipe Co., Ltd. Series H................. 2,847,412 497,632
Anton Oilfield Services Group............................ 15,722,527 2,438,646
Asia Cement China Holdings Corp.......................... 7,704,500 3,783,609
Asian Citrus Holdings, Ltd............................... 6,662,000 3,952,977
*Ausnutria Dairy Corp., Ltd............................... 268,000 50,431
*AVIC International Holding HK, Ltd....................... 20,490,285 644,732
Bank of China, Ltd. Series H............................. 833,879,331 347,245,478
Bank of Communications Co., Ltd. Series H................ 95,486,574 73,601,691
Baoye Group Co., Ltd. Series H........................... 1,885,120 1,190,772
*BaWang International Group Holding, Ltd.................. 2,692,000 254,475
Beijing Capital International Airport Co., Ltd. Series H. 23,895,599 15,445,371
#Beijing Capital Land, Ltd. Series H...................... 17,229,060 4,724,250
*Beijing Development HK, Ltd.............................. 1,545,000 257,975
Beijing Enterprises Holdings, Ltd........................ 6,247,500 34,823,578
Beijing Jingkelong Co., Ltd. Series H.................... 207,000 182,857
Beijing North Star Co., Ltd. Series H.................... 7,934,000 1,463,913
*Beijing Properties Holdings, Ltd......................... 266,000 13,845
*Besunyen Holdings Co., Ltd............................... 5,053,000 459,557
*Boer Power Holdings, Ltd................................. 1,836,000 658,055
Bosideng International Holdings, Ltd..................... 3,494,000 1,003,955
#*Brilliance China Automotive Holdings, Ltd................ 11,654,000 12,571,736
*BYD Electronic International Co., Ltd.................... 12,788,636 3,830,414
C C Land Holdings, Ltd................................... 19,829,162 4,205,587
Catic Shenzhen Holdings, Ltd. Series H................... 2,518,000 1,070,678
Central China Real Estate, Ltd........................... 7,789,350 2,026,523
Centron Telecom International Holdings, Ltd.............. 3,090,945 418,315
#*Chaoda Modern Agriculture Holdings, Ltd.................. 37,445,412 3,744,324
*Chigo Holding, Ltd....................................... 46,900,000 1,218,447
China Aerospace International Holdings, Ltd.............. 32,830,000 2,904,074
China Agri-Industries Holdings, Ltd...................... 19,312,000 14,122,674
*China All Access Holdings, Ltd........................... 1,826,000 358,881
China Aoyuan Property Group, Ltd......................... 14,845,000 2,078,685
China Automation Group, Ltd.............................. 6,056,000 1,662,171
China BlueChemical, Ltd. Series H........................ 8,950,878 6,379,404
#China Chengtong Development Group, Ltd................... 4,982,000 188,735
China Citic Bank Corp., Ltd. Series H.................... 95,111,716 60,264,803
China Coal Energy Co., Ltd. Series H..................... 50,458,000 57,647,687
China Communications Construction Co., Ltd. Series H..... 65,814,327 65,577,521
China Communications Services Corp., Ltd. Series H....... 30,487,071 15,560,350
China Construction Bank Corp. Series H................... 153,591,940 119,391,468
*China Corn Oil Co., Ltd.................................. 486,000 227,007
China COSCO Holdings Co., Ltd. Series H.................. 34,140,500 19,684,923
China Dongxiang Group Co., Ltd........................... 46,914,127 6,315,273
*China Energine International Holdings, Ltd............... 7,322,390 253,649
China Everbright, Ltd.................................... 11,857,869 18,717,587
*China Glass Holdings, Ltd................................ 7,400,000 1,058,726
*China Grand Forestry Green Resources Group, Ltd.......... 4,465,400 386,349
#China Green Holdings, Ltd................................ 7,362,800 2,142,681
China Haidian Holdings, Ltd.............................. 21,547,108 2,629,496
China High Precision Automation Group, Ltd............... 429,000 148,462
China High Speed Transmission Equipment Group Co., Ltd... 16,788,000 8,082,348
China Huiyuan Juice Group, Ltd........................... 8,107,483 2,705,049
*China ITS Holdings Co., Ltd.............................. 6,411,000 1,026,323
*China Lumena New Materials Corp.......................... 53,224,000 9,639,169
China Merchants Holdings International Co., Ltd.......... 8,834,083 28,502,496
*China Mining Resources Group, Ltd........................ 30,230,000 440,281
China Minsheng Banking Corp., Ltd. Series H.............. 47,642,500 49,422,352
4
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- ------------
CHINA -- (Continued)
*China Molybdenum Co., Ltd. Series H................................ 6,710,000 $ 2,592,003
China National Materials Co., Ltd. Series H........................ 10,514,000 4,042,862
*China Nickel Resources Holdings Co., Ltd........................... 5,532,000 439,706
*China Oil & Gas Group, Ltd......................................... 24,905,715 2,493,158
#China Oriental Group Co., Ltd...................................... 26,000 6,732
China Petroleum & Chemical Corp. ADR............................... 993,796 104,815,664
China Petroleum & Chemical Corp. Series H.......................... 116,064,289 123,273,143
China Pharmaceutical Group, Ltd.................................... 15,098,000 3,102,378
*China Precious Metal Resources Holdings Co., Ltd................... 3,476,000 616,611
*China Properties Group, Ltd........................................ 7,152,000 2,099,222
*China Qinfa Group, Ltd............................................. 4,370,000 969,170
China Railway Construction Corp., Ltd. Series H.................... 29,320,514 23,258,372
#*China Rare Earth Holdings, Ltd..................................... 20,507,000 5,387,704
*China Renewable Energy Investment, Ltd............................. 2,031,109 65,246
China Resources Enterprise, Ltd.................................... 3,254,000 11,778,449
#China Resources Land, Ltd.......................................... 23,181,727 44,360,538
*China Rongsheng Heavy Industries Group Holdings, Ltd............... 16,169,000 4,012,464
*China Sanjiang Fine Chemicals Co., Ltd............................. 1,369,000 435,178
China SCE Property Holdings, Ltd................................... 1,065,000 246,602
China Shanshui Cement Group, Ltd................................... 82,000 65,865
*China Shipping Container Lines Co., Ltd. Series H.................. 56,393,700 18,269,519
China Shipping Development Co., Ltd. Series H...................... 16,813,488 10,863,477
*China Singyes Solar Technologies Holdings, Ltd..................... 2,379,000 1,170,321
China South City Holdings, Ltd..................................... 7,970,462 1,095,780
#*China Southern Airlines Co., Ltd. Series H......................... 16,512,000 7,399,567
China Starch Holdings, Ltd......................................... 18,180,000 640,264
China Sunshine Paper Holdings Co., Ltd............................. 2,660,500 303,127
*China Tianyi Holdings, Ltd......................................... 168,000 31,572
*China Tontine Wines Group, Ltd..................................... 5,482,000 618,493
China Travel International Investment Hong Kong, Ltd............... 52,275,631 10,470,988
#China Unicom Hong Kong, Ltd........................................ 3,578,000 6,266,908
China Unicom Hong Kong, Ltd. ADR................................... 7,316,862 127,167,062
*China Vanadium Titano - Magnetite Mining Co., Ltd.................. 14,186,000 3,211,461
China Wireless Technologies, Ltd................................... 3,484,000 526,346
China Yurun Food Group, Ltd........................................ 9,092,000 11,546,241
China Zhongwang Holdings, Ltd...................................... 20,430,954 8,408,389
#*Chongqing Iron & Steel Co., Ltd. Series H.......................... 7,012,000 1,247,196
Chongqing Machinery & Electric Co., Ltd. Series H.................. 18,992,000 3,455,682
Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd.......... 5,373,000 2,011,997
*CIMC Enric Holdings, Ltd........................................... 3,116,000 1,717,035
#Citic Pacific, Ltd................................................. 16,793,000 27,559,011
*Citic Resources Holdings, Ltd...................................... 42,756,000 7,011,998
#*Clear Media, Ltd................................................... 641,000 392,607
*Coastal Greenland, Ltd............................................. 8,098,000 261,104
*Comtec Solar Systems Group, Ltd.................................... 5,938,000 766,345
COSCO International Holdings, Ltd.................................. 10,334,000 4,482,544
COSCO Pacific, Ltd................................................. 20,422,187 29,522,334
*Coslight Technology International Group, Ltd....................... 1,250,000 368,158
Country Garden Holdings Co., Ltd................................... 31,360,146 13,484,408
CPMC Holdings, Ltd................................................. 1,898,000 1,289,483
*Da Ming International Holdings, Ltd................................ 4,000 726
DaChan Food Asia, Ltd.............................................. 3,296,000 621,195
Dalian Port (PDA) Co., Ltd. Series H............................... 14,122,000 3,214,996
*Daqing Dairy Holdings, Ltd......................................... 3,316,000 718,022
*Dawnrays Pharmaceutical Holdings, Ltd.............................. 84,000 21,317
*DBA Telecommunication Asia Holdings, Ltd........................... 2,544,000 1,535,916
Dynasty Fine Wines Group, Ltd...................................... 9,228,600 1,787,873
Embry Holdings, Ltd................................................ 412,000 229,671
Evergrande Real Estate Group, Ltd.................................. 3,679,000 2,112,065
*Evergreen International Holdings, Ltd.............................. 1,205,000 338,150
Fantasia Holdings Group Co., Ltd................................... 8,696,515 991,121
5
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- -----------
CHINA -- (Continued)
First Tractor Co., Ltd. Series H......................... 3,192,000 $ 2,966,536
Fosun International, Ltd................................. 14,051,744 8,335,082
Franshion Properties China, Ltd.......................... 42,632,580 11,766,124
Fufeng Group, Ltd........................................ 1,105,000 446,297
Geely Automobile Holdings, Ltd........................... 14,605,000 5,402,555
#Global Bio-Chem Technology Group Co., Ltd................ 35,702,360 7,004,254
*Global Sweeteners Holdings, Ltd.......................... 10,400,350 946,201
*Glorious Property Holdings, Ltd.......................... 37,522,000 5,706,118
Goldbond Group Holdings, Ltd............................. 1,830,000 81,591
*Golden Meditech Holdings, Ltd............................ 11,423,679 1,410,831
Goldlion Holdings, Ltd................................... 1,142,000 492,349
GOME Electrical Appliances Holding, Ltd.................. 24,001,000 4,392,534
*Great Wall Motor Co., Ltd. Series H...................... 6,489,500 13,910,723
#Great Wall Technology Co., Ltd. Series H................. 7,486,035 1,699,475
Greentown China Holdings, Ltd............................ 9,234,591 6,404,939
#Guangshen Railway Co., Ltd............................... 866,000 320,796
Guangshen Railway Co., Ltd. Sponsored ADR................ 426,392 8,007,642
Guangzhou Automobile Group Co., Ltd. Series H............ 27,145,572 29,971,668
Guangzhou Investment Co., Ltd............................ 67,580,170 14,977,880
Guangzhou Pharmaceutical Co., Ltd. Series H.............. 1,334,000 1,296,964
Guangzhou R&F Properties Co., Ltd. Series H.............. 12,814,314 17,021,647
Hainan Meilan International Airport Co., Ltd. Series H... 1,968,000 1,253,328
Harbin Electric Co., Ltd. Series H....................... 10,165,474 10,554,708
*Heng Tai Consumables Group, Ltd.......................... 74,825,195 2,010,700
*Hi Sun Technology, Ltd................................... 384,000 58,755
Hidili Industry International Development, Ltd........... 20,082,000 6,820,615
#HKC Holdings, Ltd........................................ 38,232,878 1,890,875
*Honghua Group, Ltd....................................... 16,779,970 3,037,790
#Hopson Development Holdings, Ltd......................... 11,228,000 6,752,160
#Hua Han Bio-Pharmaceutical Holdings, Ltd................. 15,196,104 2,942,840
*Hunan Nonferrous Metal Corp., Ltd. Series H.............. 8,438,000 2,459,281
Huscoke Resources Holdings, Ltd.......................... 15,398,000 200,784
*Hutchison Harbour Ring, Ltd.............................. 6,812,000 603,787
Industrial & Commercial Bank of China, Ltd. Series H..... 34,519,996 22,891,980
Inspur International, Ltd................................ 33,376,713 1,049,516
Jingwei Textile Machinery Co., Ltd. Series H............. 1,314,000 819,918
Ju Teng International Holdings, Ltd...................... 10,836,249 2,258,079
*Kai Yuan Holdings, Ltd................................... 63,120,000 1,653,163
*Kaisa Group Holdings, Ltd................................ 18,044,632 3,789,210
Kasen International Holdings, Ltd........................ 1,885,000 242,877
Kingboard Chemical Holdings, Ltd......................... 7,651,871 21,376,149
Kingboard Laminates Holdings, Ltd........................ 5,732,500 2,658,563
Kingway Brewery Holdings, Ltd............................ 3,238,000 1,129,725
KWG Property Holding, Ltd................................ 20,557,000 13,461,962
Lai Fung Holdings, Ltd................................... 24,189,280 438,211
*Le Saunda Holdings, Ltd.................................. 60,000 20,726
#Lee & Man Paper Manufacturing, Ltd....................... 15,796,000 7,369,336
*Leoch International Technology, Ltd...................... 721,000 179,157
Lijun International Pharmaceutical Holding, Ltd.......... 11,160,046 2,418,657
Lingbao Gold Co., Ltd. Series H.......................... 3,978,000 1,973,256
*LK Technology Holdings, Ltd.............................. 112,500 26,555
Loudong General Nice Resources China Holdings, Ltd....... 17,994,000 1,414,723
#Maanshan Iron & Steel Co., Ltd. Series H................. 27,114,000 7,589,755
*Maoye International Holdings, Ltd........................ 968,000 228,015
*Media China Corp., Ltd................................... 3,711,250 44,035
Metallurgical Corp of China, Ltd. Series H............... 23,596,659 5,208,283
Min Xin Holdings, Ltd.................................... 1,642,000 879,013
*Mingyuan Medicare Development Co., Ltd................... 37,380,264 961,561
Minmetals Land, Ltd...................................... 19,889,205 2,480,580
*Minmetals Resources, Ltd................................. 4,156,000 2,117,599
Minth Group, Ltd......................................... 3,666,000 4,635,078
6
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- -----------
CHINA -- (Continued)
*Nan Hai Corp, Ltd................................................ 31,450,000 $ 121,119
NetDragon Websoft, Inc........................................... 1,739,500 1,196,508
#New World China Land, Ltd........................................ 25,162,600 7,724,717
New World Department Store China, Ltd............................ 395,000 269,099
Nine Dragons Paper Holdings, Ltd................................. 17,305,000 14,186,689
*O-Net Communications Group, Ltd.................................. 2,396,000 605,153
#*Oriental Ginza Holdings, Ltd..................................... 1,700,000 62,289
*Overseas Chinese Town Asia Holdings, Ltd......................... 80,000 30,923
*PAX Global Technology, Ltd....................................... 36,000 5,892
*Peak Sport Products Co., Ltd..................................... 9,689,000 2,251,476
*PetroAsian Energy Holdings, Ltd.................................. 42,498,084 994,274
PetroChina Co., Ltd. ADR......................................... 11,686 1,739,111
#Poly Hong Kong Investment, Ltd................................... 27,154,488 14,163,304
*Pou Sheng International Holdings, Ltd............................ 9,813,529 907,426
Powerlong Real Estate Holdings, Ltd.............................. 8,761,000 1,491,315
Prosperity International Holdings HK, Ltd........................ 19,400,000 959,902
Qin Jia Yuan Media Services Co., Ltd............................. 10,447,250 141,087
Qingling Motors Co., Ltd. Series H............................... 12,466,000 3,955,573
Qunxing Paper Holdings Co., Ltd.................................. 5,020,071 1,328,784
Real Gold Mining, Ltd............................................ 3,137,500 3,562,653
Real Nutriceutical Group, Ltd.................................... 10,161,000 2,626,607
Regent Manner International, Ltd................................. 387,000 84,553
Renhe Commercial Holdings Co., Ltd............................... 30,296,000 1,744,864
#REXLot Holdings, Ltd............................................. 89,856,150 8,084,077
*Royale Furniture Holdings, Ltd................................... 2,306,375 739,332
Samson Holding, Ltd.............................................. 7,632,452 1,010,554
*Semiconductor Manufacturing International Corp................... 160,584,000 7,954,621
*Semiconductor Manufacturing International Corp. ADR.............. 1,331,701 3,236,033
Shandong Chenming Paper Holdings, Ltd. Series H.................. 3,991,318 1,839,947
Shandong Molong Petroleum Machinery Co., Ltd. Series H........... 110,613 81,108
Shandong Xinhua Pharmaceutical Co., Ltd. Series H................ 984,000 236,286
#Shanghai Industrial Holdings, Ltd................................ 8,464,918 28,133,628
*Shanghai Industrial Urban Development Group, Ltd................. 12,674,000 2,691,834
Shanghai Jin Jiang International Hotels Group Co., Ltd. Series H. 17,206,000 2,523,338
Shanghai Prime Machinery Co., Ltd. Series H...................... 8,532,000 1,318,693
*Shanghai Zendai Property, Ltd.................................... 18,955,000 342,585
Shengli Oil & Gas Pipe Holdings, Ltd............................. 8,560,500 945,572
Shenzhen International Holdings, Ltd............................. 107,165,000 7,293,973
#Shenzhen Investment, Ltd......................................... 38,517,494 8,936,669
Shimao Property Holdings, Ltd.................................... 22,765,535 29,845,786
Shougang Concord Century Holdings, Ltd........................... 7,134,299 298,724
#Shougang Concord International Enterprises Co., Ltd.............. 83,508,208 4,436,493
#Shougang Fushan Resources Group, Ltd............................. 41,342,594 14,407,782
Shui On Land, Ltd................................................ 39,894,704 16,655,700
*Sijia Group Co., Ltd............................................. 470,000 127,639
Silver Grant International Industries, Ltd....................... 20,310,804 4,309,818
SIM Technology Group, Ltd........................................ 11,326,000 770,677
*Sino Dragon New Energy Holdings, Ltd............................. 1,128,000 45,606
#*Sino Oil & Gas Holdings, Ltd..................................... 92,790,000 2,313,017
*Sino Prosper State Gold Resources Holdings, Ltd.................. 10,250,000 545,984
#*Sino Union Energy Investment Group, Ltd.......................... 44,300,000 3,766,606
SinoCom Software Group, Ltd...................................... 1,160,000 148,667
Sinofert Holdings, Ltd........................................... 32,720,000 7,106,589
*Sinolink Worldwide Holdings, Ltd................................. 17,370,508 1,379,197
SinoMedia Holding, Ltd........................................... 2,919,139 1,711,424
Sino-Ocean Land Holdings, Ltd.................................... 42,211,377 19,579,375
Sinopec Kantons Holdings, Ltd.................................... 17,712,600 12,523,242
Sinotrans Shipping, Ltd.......................................... 16,628,416 3,957,564
Sinotrans, Ltd. Series H......................................... 24,191,000 4,097,727
Sinotruk Hong Kong, Ltd.......................................... 8,784,335 5,341,078
#Skyworth Digital Holdings, Ltd................................... 30,494,445 12,415,111
7
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- --------------
CHINA -- (Continued)
*SMI Corp., Ltd............................................ 4,616,000 $ 162,521
Soho China, Ltd........................................... 28,138,388 21,812,799
Solargiga Energy Holdings, Ltd............................ 10,309,486 857,252
SPG Land Holdings, Ltd.................................... 3,690,575 750,329
#SRE Group, Ltd............................................ 35,548,000 1,753,173
*Sunac China Holdings, Ltd................................. 1,844,000 569,924
Sunny Optical Technology Group Co., Ltd................... 4,128,000 1,369,190
Tak Sing Alliance Holdings, Ltd........................... 3,394,391 313,317
#TCC International Holdings, Ltd........................... 13,755,056 4,731,779
*TCL Communication Technology Holdings, Ltd................ 504,000 200,488
#*TCL Multimedia Technology Holdings, Ltd................... 8,958,200 5,068,965
Texhong Textile Group, Ltd................................ 1,648,000 695,450
Tian An China Investments Co., Ltd........................ 7,019,000 3,332,581
*Tian Shan Development Holdings, Ltd....................... 342,000 88,436
Tiangong International Co., Ltd........................... 14,139,944 3,485,945
Tianjin Port Development Holdings, Ltd.................... 9,121,657 1,230,516
Tianneng Power International, Ltd......................... 7,680,280 3,771,782
Tomson Group, Ltd......................................... 2,947,206 682,918
*Tong Ren Tang Technologies Co., Ltd. Series H............. 14,000 20,316
TPV Technology, Ltd....................................... 9,884,496 2,257,498
*Trauson Holdings Co., Ltd................................. 40,000 15,277
Travelsky Technology, Ltd. Series H....................... 16,861,500 9,312,137
*Trony Solar Holdings Co., Ltd............................. 8,775,000 739,798
#Truly International Holdings, Ltd......................... 21,705,500 3,255,050
#*VODone, Ltd............................................... 43,780,000 6,207,473
Wasion Group Holdings, Ltd................................ 5,755,291 2,421,835
Weiqiao Textile Co., Ltd. Series H........................ 7,549,500 3,715,551
*West China Cement, Ltd.................................... 26,102,000 6,229,837
Wuyi International Pharmaceutical Co., Ltd................ 3,925,000 206,728
Xiamen International Port Co., Ltd. Series H.............. 15,128,000 1,922,280
Xingda International Holdings, Ltd........................ 9,936,000 4,305,936
Xinhua Winshare Publishing & Media Co., Ltd. Series H..... 4,927,000 2,552,581
*Xinjiang Goldwind Science & Technology Co., Ltd. Series H. 265,200 130,568
Xinjiang Xinxin Mining Industry Co., Ltd. Series H........ 9,837,000 2,672,567
*Xiwang Sugar Holdings Co., Ltd............................ 11,548,736 1,434,957
*XTEP International Holdings, Ltd.......................... 2,106,500 947,975
*Yantai North Andre Juice Co. Series H..................... 1,280,000 60,928
Yip's Chemical Holdings, Ltd.............................. 246,000 193,450
*Youyuan International Holdings, Ltd....................... 2,663 660
*Yuzhou Properties Co...................................... 309,000 67,493
#*Zhejiang Glass Co., Ltd. Series H......................... 437,000 --
*Zhong An Real Estate, Ltd................................. 4,641,800 575,612
--------------
TOTAL CHINA.................................................. 2,435,797,598
--------------
CZECH REPUBLIC -- (0.3%)
CEZ A.S................................................... 124,647 5,025,254
Komercni Banka A.S........................................ 35,676 6,554,336
Pegas Nonwovens SA........................................ 146,968 3,372,623
Telefonica Czech Republic A.S............................. 1,037,226 20,932,232
#*Unipetrol A.S............................................. 1,437,021 13,270,491
--------------
TOTAL CZECH REPUBLIC......................................... 49,154,936
--------------
HUNGARY -- (0.5%)
*Danubius Hotel & Spa P.L.C................................ 136,180 1,754,432
*EGIS Pharmaceuticals P.L.C................................ 55,686 3,717,911
*Fotex Holding SE Co., Ltd................................. 899,183 1,000,348
*MOL Hungarian Oil & Gas P.L.C............................. 213,192 17,625,656
#OTP Bank P.L.C............................................ 3,721,253 65,232,464
*PannErgy P.L.C............................................ 182,512 531,268
8
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- -----------
HUNGARY -- (Continued)
Tisza Chemical Group P.L.C............................... 235,780 $ 2,242,636
-----------
TOTAL HUNGARY............................................... 92,104,715
-----------
INDIA -- (7.4%)
*A2Z Maintenance & Engineering Services, Ltd.............. 59,997 113,297
Aban Offshore, Ltd....................................... 238,529 1,872,711
ABG Shipyard, Ltd........................................ 244,227 1,756,972
Aditya Birla Nuvo, Ltd................................... 497,024 8,765,649
Ajmera Realty & Infra India, Ltd......................... 50,552 111,304
Akzo Nobel India, Ltd.................................... 49,108 811,104
Alembic Pharmaceuticals, Ltd............................. 619,600 636,622
*Alembic, Ltd............................................. 619,600 199,161
Allahabad Bank, Ltd...................................... 1,322,551 4,148,822
Alok Industries, Ltd..................................... 3,963,647 1,471,389
Amara Raja Batteries, Ltd................................ 19,236 106,803
Ambuja Cements, Ltd...................................... 3,351,972 9,553,317
Amtek Auto, Ltd.......................................... 1,056,413 2,531,526
Anant Raj Industries, Ltd................................ 1,255,498 1,391,402
*Andhra Bank, Ltd......................................... 1,979,123 4,367,064
Ansal Properties & Infrastructure, Ltd................... 598,206 370,346
*Apollo Hospitals Enterprise, Ltd......................... 361,043 4,315,005
Apollo Tyres, Ltd........................................ 1,676,970 2,863,017
*Arvind, Ltd.............................................. 1,642,738 2,703,795
*Ashok Leyland, Ltd....................................... 17,481,814 10,657,482
Asian Hotels East, Ltd................................... 1,050 5,533
Aurobindo Pharma, Ltd.................................... 1,667,252 4,152,245
Axis Bank, Ltd........................................... 178,488 3,734,578
Bajaj Finance, Ltd....................................... 93,989 1,550,223
Bajaj Finserv, Ltd....................................... 2,123 29,557
Bajaj Hindusthan, Ltd.................................... 4,079,964 2,351,125
Bajaj Holdings & Investment, Ltd......................... 350,953 5,601,124
Balkrishna Industries, Ltd............................... 22,245 122,056
Ballarpur Industries, Ltd................................ 3,776,483 1,775,813
Balmer Lawrie & Co., Ltd................................. 62,797 652,572
Balrampur Chini Mills, Ltd............................... 2,395,121 2,487,249
Bank of Baroda........................................... 797,959 11,630,714
Bank of India............................................ 1,576,873 10,538,290
Bank of Maharashtra, Ltd................................. 1,377,981 1,424,636
BASF India, Ltd.......................................... 632 7,366
BEML, Ltd................................................ 190,772 1,926,030
Bengal & Assam Co., Ltd.................................. 9,237 41,841
*BGR Energy Systems, Ltd.................................. 157,715 981,919
Bhushan Steel, Ltd....................................... 1,046,329 8,570,297
Birla Corp., Ltd......................................... 117,478 570,169
Bl Kashyap & Sons, Ltd................................... 112,932 23,350
Bombay Dyeing & Manufacturing Co., Ltd................... 125,117 1,241,089
Bombay Rayon Fashions, Ltd............................... 66,045 316,697
Brigade Enterprises, Ltd................................. 5,099 5,315
*Cairn India, Ltd......................................... 3,528,374 23,124,839
Canara Bank.............................................. 1,319,532 10,879,715
Central Bank of India.................................... 2,633,015 4,909,845
Century Enka, Ltd........................................ 1,913 4,084
Century Textiles & Industries, Ltd....................... 692,091 4,270,697
Chambal Fertilizers & Chemicals, Ltd..................... 1,259,609 1,815,744
Cholamandalam Investment & Finance Co., Ltd.............. 11,397 38,949
City Union Bank, Ltd..................................... 1,232,912 1,142,969
Coromandel International, Ltd............................ 72,186 350,133
Corporation Bank......................................... 253,148 1,956,743
*Cranes Software International, Ltd....................... 127,339 6,107
Dalmia Bharat Enterprises, Ltd........................... 159,852 387,339
Dalmia Cement (Bharat), Ltd.............................. 130,837 31,690
9
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
--------- -----------
INDIA -- (Continued)
*DB Realty, Ltd........................................... 987,606 $ 1,370,509
DCM Shriram Consolidated, Ltd............................ 216,466 182,318
*Deccan Chronicle Holdings, Ltd........................... 507,992 389,196
Deepak Fertilizers & Petrochemicals Corp., Ltd........... 424,886 1,106,036
*DEN Networks, Ltd........................................ 8,713 18,019
Dena Bank................................................ 99,442 175,775
*Development Credit Bank, Ltd............................. 1,868,686 1,620,501
Dewan Housing Finance Corp., Ltd......................... 115,020 477,451
Dhanalakshmi Bank, Ltd................................... 470,051 566,923
Dishman Pharmaceuticals & Chemicals, Ltd................. 89,818 77,758
DLF, Ltd................................................. 5,425,061 19,232,958
*Dredging Corp. of India, Ltd............................. 66,613 344,729
E.I.D. - Parry (India), Ltd.............................. 754,586 2,565,717
Edelweiss Financial Services, Ltd........................ 1,123,000 627,711
Educomp Solutions, Ltd................................... 576,138 2,124,344
Eicher Motors, Ltd....................................... 40,864 1,763,317
EIH, Ltd................................................. 872,785 1,388,092
Elder Pharmaceuticals, Ltd............................... 136,186 816,030
Electrosteel Casings, Ltd................................ 723,522 282,896
Elgi Equipments, Ltd..................................... 35,934 52,607
Era Infra Engineering, Ltd............................... 793,497 2,123,893
Escorts, Ltd............................................. 1,272,669 1,778,120
*Essar Oil, Ltd........................................... 832,718 858,255
*Essar Ports, Ltd......................................... 622,634 1,066,443
*Essar Shipping, Ltd...................................... 288,928 165,797
Essel Propack, Ltd....................................... 750,981 480,089
Everest Kanto Cylinder, Ltd.............................. 351,825 197,069
*Everonn Education, Ltd................................... 90,893 392,256
FAG Bearings (India), Ltd................................ 500 14,725
FDC, Ltd................................................. 131,817 199,786
*Federal Bank, Ltd........................................ 1,716,368 13,698,199
*Federal-Mogul Goetze (India), Ltd........................ 8,496 44,437
Financial Technologies (India), Ltd...................... 111,963 1,450,518
Finolex Cables, Ltd...................................... 530,760 347,021
Finolex Industries, Ltd.................................. 695,629 779,009
*Fortis Healthcare, Ltd................................... 885,243 1,802,427
Future Capital Holdings, Ltd............................. 229,589 618,495
GAIL India, Ltd.......................................... 462,491 2,889,048
Gammon India, Ltd........................................ 480,755 423,096
Gateway Distriparks, Ltd................................. 239,619 688,172
Geodesic, Ltd............................................ 615,394 531,829
Geojit BNP Paribas Financial Services, Ltd............... 9,369 3,129
Gitanjali Gems, Ltd...................................... 513,757 3,176,774
*Glodyne Technoserve, Ltd................................. 34,199 265,061
Godawari Power & Ispat, Ltd.............................. 12,722 30,309
Godfrey Phillips India, Ltd.............................. 717 50,531
Graphite India, Ltd...................................... 502,507 865,316
Grasim Industries, Ltd................................... 15,142 735,411
Great Eastern Shipping Co., Ltd.......................... 982,256 4,733,635
Great Offshore, Ltd...................................... 47,996 79,847
*GTL Infrastructure, Ltd.................................. 3,109,565 534,909
Gujarat Alkalies & Chemicals, Ltd........................ 421,803 1,009,030
Gujarat Fluorochemicals, Ltd............................. 216,585 1,891,424
Gujarat Narmada Valley Fertilizers Co., Ltd.............. 657,301 1,020,856
Gujarat NRE Coke, Ltd.................................... 1,615,120 622,668
Gujarat State Fertilizers & Chemicals, Ltd............... 445,217 3,733,613
Gulf Oil Corp., Ltd...................................... 194,724 300,845
HBL Power Systems, Ltd................................... 430,244 125,517
HCL Infosystems, Ltd..................................... 1,013,669 861,498
HEG, Ltd................................................. 136,218 581,623
*HeidelbergCement India, Ltd.............................. 541,608 316,881
10
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- ------------
INDIA -- (Continued)
*Hexa Tradex, Ltd............................ 348,084 $ 495,376
Hexaware Technologies, Ltd.................. 2,847,378 6,976,806
Hikal, Ltd.................................. 2,987 15,763
Hindalco Industries, Ltd.................... 13,995,859 31,900,752
Hinduja Global Solutions, Ltd............... 63,466 377,970
Hinduja Ventures, Ltd....................... 68,545 512,346
Hindustan Construction Co., Ltd............. 6,741,542 2,703,912
Hotel Leelaventure, Ltd..................... 1,357,335 829,584
*Housing Development & Infrastructure, Ltd... 3,564,318 5,440,175
HSIL, Ltd................................... 144,457 454,972
ICICI Bank, Ltd............................. 919,070 15,385,795
ICICI Bank, Ltd. Sponsored ADR.............. 3,805,302 128,961,685
ICSA (India), Ltd........................... 280,681 99,476
IDBI Bank, Ltd.............................. 2,831,993 5,454,983
*Idea Cellular, Ltd.......................... 7,335,889 10,931,482
IFCI, Ltd................................... 6,602,323 5,182,453
India Cements, Ltd.......................... 2,819,105 4,514,604
*India Infoline, Ltd......................... 2,508,308 2,624,184
Indiabulls Financial Services, Ltd.......... 1,795,884 8,252,583
*Indiabulls Infrastructure and Power, Ltd.... 10,676,958 1,568,115
Indiabulls Real Estate, Ltd................. 3,177,847 3,786,869
Indian Bank................................. 1,190,634 5,135,256
Indian Hotels Co., Ltd...................... 3,540,025 4,154,791
Indian Overseas Bank........................ 1,876,037 3,102,141
Indo Rama Synthetics (India), Ltd........... 180,172 98,591
IndusInd Bank, Ltd.......................... 1,091,668 6,894,549
INEOS ABS India, Ltd........................ 28,114 389,197
Infotech Enterprises, Ltd................... 21,152 65,264
Infrastructure Development Finance Co., Ltd. 6,072,777 13,862,540
ING Vysya Bank, Ltd......................... 289,910 2,001,673
Ingersoll-Rand India, Ltd................... 28,609 271,380
Ipca Laboratories, Ltd...................... 160,859 1,101,340
ISMT, Ltd................................... 311,182 161,256
*IVRCL Assets & Holdings, Ltd................ 46,934 43,100
IVRCL Infrastructures & Projects, Ltd....... 3,989,984 4,672,704
J.B. Chemicals & Pharmaceuticals, Ltd....... 373,888 481,307
Jai Balaji Industries, Ltd.................. 16,461 12,180
Jai Corp., Ltd.............................. 659,451 847,576
Jaiprakash Associates, Ltd.................. 13,738,534 19,397,733
Jammu & Kashmir Bank, Ltd................... 272,824 4,819,354
*Jaypee Infratech, Ltd....................... 423,237 369,757
JBF Industries, Ltd......................... 96,294 207,021
*Jet Airways (India), Ltd.................... 358,288 2,281,318
Jindal Poly Films, Ltd...................... 203,346 752,251
Jindal Saw, Ltd............................. 1,966,409 5,773,847
*Jindal South West Holdings, Ltd............. 364 4,640
*Jindal Stainless, Ltd....................... 746,050 1,105,141
JK Cement, Ltd.............................. 69,931 185,449
JK Lakshmi Cement, Ltd...................... 217,323 268,702
JK Tyre & Industries, Ltd................... 84,255 138,263
JM Financial, Ltd........................... 1,866,183 491,883
JSW Energy, Ltd............................. 2,855,736 2,674,442
*JSW ISPAT Steel, Ltd........................ 4,904,285 1,105,183
JSW Steel, Ltd.............................. 1,467,112 19,237,822
Jubilant Industries, Ltd.................... 12,130 61,232
Jubilant Organosys, Ltd..................... 430,223 1,476,135
*Jyothy Laboratories, Ltd.................... 382 1,276
Jyoti Structures, Ltd....................... 4,680 3,922
K.S.B. Pumps, Ltd........................... 7,582 31,993
*Kakinada Fertilizers, Ltd................... 2,082,494 442,975
Kalpataru Power Transmission, Ltd........... 97,879 185,573
11
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
--------- ----------
INDIA -- (Continued)
*Kalyani Investment Co., Ltd................. 8,518 $ 65,660
Kalyani Steels, Ltd......................... 49,945 56,049
Karnataka Bank, Ltd......................... 1,659,587 2,848,308
Karur Vysya Bank, Ltd....................... 294,278 2,253,191
Karuturi Global, Ltd........................ 2,133,835 201,797
KEC International, Ltd...................... 82,753 89,755
Kesoram Industries, Ltd..................... 187,382 479,903
*Kingfisher Airlines, Ltd.................... 2,060,576 592,084
Kirloskar Industries, Ltd................... 8,838 49,412
Kirloskar Oil Engines, Ltd.................. 328,770 910,642
*KSK Energy Ventures, Ltd.................... 10,787 13,038
Lakshmi Machine Works, Ltd.................. 4,518 139,647
Lakshmi Vilas Bank, Ltd..................... 384,784 582,875
*Landmark Property Development Co., Ltd...... 201,134 7,071
LIC Housing Finance, Ltd.................... 1,173,644 5,798,794
Madhucon Projects, Ltd...................... 174,483 168,396
Madras Cements, Ltd......................... 493,400 1,386,073
*Mahanagar Telephone Nigam, Ltd.............. 1,806,325 858,791
#*Mahanagar Telephone Nigam, Ltd. ADR......... 100,249 91,227
Maharashtra Scooters, Ltd................... 4,450 27,663
Maharashtra Seamless, Ltd................... 183,417 1,317,641
Mahindra & Mahindra Financial Services, Ltd. 28,111 370,193
Mahindra Lifespace Developers, Ltd.......... 136,422 828,671
Manaksia, Ltd............................... 147,412 139,284
Maruti Suzuki India, Ltd.................... 213,044 5,548,383
*Mastek, Ltd................................. 58,981 110,458
*MAX India, Ltd.............................. 62,495 235,247
McLeod Russel (India), Ltd.................. 707,622 3,753,817
*Mercator Lines, Ltd......................... 2,620,115 1,058,546
*Merck, Ltd.................................. 28,846 332,313
MindTree, Ltd............................... 26,874 301,047
Monnet Ispat, Ltd........................... 165,498 1,516,277
*Moser Baer (India), Ltd..................... 578,106 158,520
Mphasis, Ltd................................ 37,279 260,535
MRF, Ltd.................................... 17,453 3,797,449
Mukand, Ltd................................. 237,046 142,122
Nagarjuna Construction Co., Ltd............. 2,202,664 2,091,890
*Nagarjuna Oil Refinery, Ltd................. 1,893,177 289,185
Nahar Capital & Financial Services, Ltd..... 18,244 14,795
Nahar Spinning Mills, Ltd................... 6,026 5,546
National Aluminium Co., Ltd................. 1,158,468 1,304,441
Nava Bharat Ventures, Ltd................... 22,955 89,613
NIIT Technologies, Ltd...................... 436,637 2,228,717
NIIT, Ltd................................... 1,198,069 1,002,236
NOCIL, Ltd.................................. 410,986 132,782
Noida Toll Bridge Co., Ltd.................. 659,041 319,595
OCL India, Ltd.............................. 84,049 150,047
*OMAXE, Ltd.................................. 695,491 1,997,488
*OnMobile Global, Ltd........................ 198,810 202,271
Orbit Corp., Ltd............................ 431,838 396,840
Orchid Chemicals & Pharmaceuticals, Ltd..... 556,542 1,901,279
Orient Paper & Industries, Ltd.............. 335,647 354,895
Oriental Bank of Commerce................... 843,629 3,702,682
*Oswal Chemical & Fertilizers, Ltd........... 481,366 332,938
Panacea Biotec, Ltd......................... 68,042 99,918
*Parsvnath Developers, Ltd................... 1,545,045 1,666,930
*Patni Computer Systems, Ltd................. 438,000 4,212,777
*Patni Computer Systems, Ltd. ADR............ 55,441 1,079,436
Peninsula Land, Ltd......................... 224,699 134,193
Petronet LNG, Ltd........................... 2,811,637 7,364,753
Piramal Healthcare, Ltd..................... 629,192 5,256,590
12
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- ------------
INDIA -- (Continued)
Plethico Pharmaceuticals, Ltd................. 199,399 $ 1,394,204
Polaris Financial Technology, Ltd............. 396,842 992,515
Polyplex Corp., Ltd........................... 22,174 75,010
Power Finance Corp., Ltd...................... 16,793 54,160
*Prism Cement, Ltd............................. 485,261 441,196
PSL, Ltd...................................... 21,802 24,683
PTC (India), Ltd.............................. 2,393,412 2,714,995
Punj Lloyd, Ltd............................... 2,873,787 2,938,087
*Punjab & Sind Bank............................ 96,300 133,207
Rain Commodities, Ltd......................... 1,341,773 1,010,519
Rajesh Exports, Ltd........................... 429,470 1,165,983
Ranbaxy Laboratories, Ltd..................... 76,980 732,652
Raymond, Ltd.................................. 340,181 2,601,923
REI Agro, Ltd................................. 4,060,276 863,048
REI Six Ten Retail, Ltd....................... 439,400 88,385
*Reliance Broadcast Network, Ltd............... 16,864 15,997
Reliance Capital, Ltd......................... 1,332,296 8,298,434
Reliance Communications, Ltd.................. 7,699,434 10,962,481
Reliance Industries, Ltd...................... 17,003,711 239,838,476
*Reliance Industries, Ltd. Sponsored GDR....... 107,000 3,019,540
*Reliance Power, Ltd........................... 6,851,138 13,939,696
Rolta (India), Ltd............................ 1,402,924 2,328,028
Ruchi Soya Industries, Ltd.................... 1,591,478 2,683,215
Rural Electrification Corp., Ltd.............. 2,768,400 10,951,147
S. Kumars Nationwide, Ltd..................... 1,585,339 938,018
*SEAMEC, Ltd................................... 37,241 60,775
Sesa Goa, Ltd................................. 5,326,934 19,057,899
Shipping Corp. of India, Ltd.................. 1,672,081 1,961,669
Shiv-Vani Oil & Gas Exploration Services, Ltd. 93,090 288,032
Shree Renuka Sugars, Ltd...................... 4,945,876 2,994,234
Simplex Infrastructures, Ltd.................. 1,570 6,985
Sintex Industries, Ltd........................ 1,801,294 2,534,752
SKF (India), Ltd.............................. 9,374 118,287
Sobha Developers, Ltd......................... 489,167 3,044,911
Sona Koyo Steering Systems, Ltd............... 64,698 16,246
South Indian Bank, Ltd........................ 9,724,062 4,427,558
SREI Infrastructure Finance, Ltd.............. 1,470,670 722,602
SRF, Ltd...................................... 266,306 1,206,473
State Bank of Bikaner & Jaipur................ 6,872 49,657
State Bank of India........................... 1,545,488 62,445,740
State Bank of India Sponsored GDR............. 5,732 465,850
Steel Authority of India, Ltd................. 5,465,207 9,799,903
Sterling Biotech, Ltd......................... 1,378,264 246,268
Sterlite Industries (India), Ltd.............. 5,746,256 11,630,006
#Sterlite Industries (India), Ltd. ADR......... 2,573,639 21,078,103
Sterlite Technologies, Ltd.................... 1,281,513 890,776
Strides Arcolab, Ltd.......................... 228,102 2,888,031
Sundaram Finance, Ltd......................... 5,730 72,800
Sundram Fastners, Ltd......................... 55,097 58,492
*Suzlon Energy, Ltd............................ 12,199,536 5,251,813
Syndicate Bank................................ 1,987,444 3,962,235
Tamilnadu Newsprint & Papers, Ltd............. 58,711 121,848
Tanla Solutions, Ltd.......................... 87,874 10,693
Tata Chemicals, Ltd........................... 1,091,283 6,988,201
Tata Communications, Ltd. ADR................. 30,720 276,480
*Tata Investment Corp., Ltd.................... 56,799 488,735
Tata Steel, Ltd............................... 5,110,167 44,825,688
Tata Tea, Ltd................................. 4,602,216 10,236,661
TCI Developers, Ltd........................... 2,437 5,982
*Teledata Marine Solutions, Ltd................ 267,258 1,825
Time Technoplast, Ltd......................... 498,379 520,555
13
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
------------- --------------
INDIA -- (Continued)
Titagarh Wagons, Ltd..................................... 106,381 $ 691,654
Transport Corp of India, Ltd............................. 68,548 82,887
Trent, Ltd............................................... 17,717 308,937
Triveni Turbine, Ltd..................................... 240,000 196,983
Tube Investments of India, Ltd........................... 637,619 1,683,140
Tulip IT Services, Ltd................................... 408,936 722,015
UCO Bank................................................. 2,760,403 4,052,697
Uflex, Ltd............................................... 440,201 966,093
Unichem Laboratories, Ltd................................ 199,000 540,606
Union Bank of India, Ltd................................. 797,003 3,404,772
*Unitech, Ltd............................................. 17,601,093 8,867,388
United Phosphorus, Ltd................................... 1,825,763 4,020,503
United Spirits, Ltd...................................... 41,486 612,883
Unity Infraprojects, Ltd................................. 132,583 122,758
Usha Martin, Ltd......................................... 1,441,016 811,933
*Vardhman Special Steels, Ltd............................. 19,609 7,814
Vardhman Textiles, Ltd................................... 99,836 406,390
Varun Shipping Co., Ltd.................................. 269,190 89,011
Videocon Industries, Ltd................................. 891,313 2,913,754
Videsh Sanchar Nigam, Ltd................................ 1,053,665 4,779,657
Vijaya Bank, Ltd......................................... 2,079,121 2,310,640
Voltamp Transformers, Ltd................................ 724 7,153
Walchandnagar Industries, Ltd............................ 36,885 53,269
Welspun Corp., Ltd....................................... 1,541,955 3,665,579
*Wockhardt, Ltd........................................... 27,242 375,962
Zee Entertainment Enterprises, Ltd....................... 2,320,396 5,541,280
*Zee Learn, Ltd........................................... 259,820 100,364
*Zuari Holdings, Ltd...................................... 128,304 813,890
Zuari Industries, Ltd.................................... 128,304 393,994
Zylog Systems, Ltd....................................... 39,105 479,826
--------------
TOTAL INDIA................................................. 1,243,665,432
--------------
INDONESIA -- (3.5%)
PT Adaro Energy Tbk...................................... 20,591,500 4,149,253
PT Adhi Karya Persero Tbk................................ 9,203,617 988,735
*PT Agis Tbk.............................................. 59,762,000 1,001,013
PT AKR Corporindo Tbk.................................... 16,068,900 7,193,964
PT Aneka Tambang Persero Tbk............................. 63,040,000 11,775,318
PT Asahimas Flat Glass Tbk............................... 5,277,000 3,539,518
PT Astra Graphia Tbk..................................... 4,213,000 686,035
*PT Bakrie & Brothers Tbk................................. 1,056,525,750 5,731,249
PT Bakrie Sumatera Plantations Tbk....................... 180,133,500 5,855,495
*PT Bakrie Telecom Tbk.................................... 285,762,000 7,909,393
*PT Bakrieland Development Tbk............................ 641,373,520 8,137,645
PT Bank Bukopin Tbk...................................... 56,865,833 4,506,546
PT Bank Danamon Indonesia Tbk............................ 34,396,054 20,907,722
PT Bank Mandiri Persero Tbk.............................. 58,708,431 47,081,241
PT Bank Negara Indonesia Persero Tbk..................... 115,821,441 50,526,211
*PT Bank Pan Indonesia Tbk................................ 150,362,201 14,014,321
*PT Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk..... 154,000 17,188
*PT Bank Permata Tbk...................................... 304,000 50,859
PT Bank Tabungan Negara Persero Tbk...................... 35,480,362 5,305,244
*PT Barito Pacific Tbk.................................... 15,007,000 1,155,268
*PT Berlian Laju Tanker Tbk............................... 128,161,466 2,733,219
PT Bhakti Investama Tbk.................................. 264,033,200 13,153,321
*PT Bisi International Tbk................................ 3,318,500 302,897
PT Budi Acid Jaya Tbk.................................... 15,362,000 406,901
*PT Bumi Resources Minerals Tbk........................... 169,000 10,651
PT Bumi Resources Tbk.................................... 260,037,500 57,099,619
*PT Bumi Serpong Damai Tbk................................ 7,147,000 1,106,163
*PT Central Proteinaprima Tbk............................. 178,071,500 1,026,907
14
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- -----------
INDONESIA -- (Continued)
*PT Charoen Pokphand Indonesia Tbk..................... 75,187,330 $22,370,226
PT Ciputra Development Tbk............................ 98,226,500 8,099,444
PT Ciputra Surya Tbk.................................. 16,452,000 3,757,226
PT Clipan Finance Indonesia Tbk....................... 2,995,500 157,551
*PT Darma Henwa Tbk.................................... 246,575,442 2,082,893
*PT Davomas Adabi Tbk.................................. 138,239,500 752,078
PT Elnusa Tbk......................................... 27,207,500 575,966
*PT Energi Mega Persada Tbk............................ 568,704,378 11,893,052
PT Ever Shine Textile Tbk............................. 19,342,215 338,839
PT Gajah Tunggal Tbk.................................. 23,755,000 6,635,742
*PT Global Mediacom Tbk................................ 96,486,000 17,389,288
PT Gozco Plantations Tbk.............................. 24,081,000 835,374
*PT Great River International Tbk...................... 1,788,000 --
PT Gudang Garam Tbk................................... 6,235,500 40,045,463
*PT Hero Supermarket Tbk............................... 350,000 169,468
PT Holcim Indonesia Tbk............................... 14,197,000 3,970,348
*PT Indah Kiat Pulp & Paper Corp. Tbk.................. 32,296,500 3,718,596
PT Indika Energy Tbk.................................. 29,492,000 7,031,552
PT Indofood Sukses Makmur Tbk......................... 56,391,500 29,632,480
PT Indorama Synthetics Tbk............................ 41,500 8,599
*PT Intiland Development Tbk........................... 26,523,500 1,235,102
PT Japfa Comfeed Indonesia Tbk........................ 5,270,750 2,413,074
PT Jaya Real Property Tbk............................. 25,528,000 7,499,657
*PT Kawasan Industri Jababeka Tbk...................... 290,552,500 7,251,659
PT Lautan Luas Tbk.................................... 2,102,000 200,620
PT Lippo Karawaci Tbk................................. 260,084,437 23,438,782
*PT Matahari Putra Prima Tbk........................... 35,459,900 3,621,107
PT Mayorah Indah Tbk.................................. 8,664,572 18,803,497
PT Medco Energi Internasional Tbk..................... 26,880,000 6,121,704
PT Media Nusantara Citra Tbk.......................... 24,295,594 5,932,157
PT Mitra Adiperkasa Tbk............................... 2,627,500 1,980,998
*PT Mitra International Resources Tbk.................. 38,631,660 672,549
PT Pabrik Kertas Tjiwi Kimia Tbk...................... 239,500 81,892
*PT Pan Brothers Tbk................................... 87,500 4,654
*PT Panasia Indosyntec Tbk............................. 403,200 11,955
*PT Panin Financial Tbk................................ 247,955,500 4,116,436
PT Panin Insurance Tbk................................ 30,688,500 1,831,479
*PT Pembangunan Perumahan Persero Tbk.................. 7,232,500 549,674
PT Perusahaan Perkebunan London Sumatra Indonesia Tbk. 24,748,384 7,849,542
*PT Polychem Indonesia Tbk............................. 16,325,000 922,857
PT Ramayana Lestari Sentosa Tbk....................... 23,360,500 2,170,295
PT Sampoerna Agro Tbk................................. 9,209,441 3,274,777
PT Samudera Indonesia Tbk............................. 415,500 186,247
PT Selamat Sempurna Tbk............................... 15,274,000 3,400,775
*PT Sentul City Tbk.................................... 219,316,000 7,493,969
PT Sinar Mas Agro Resources & Technology Tbk.......... 7,828,900 5,271,221
*PT Sinar Mas Multiartha Tbk........................... 2,000 870
PT Summarecon Agung Tbk............................... 40,062,357 7,521,186
*PT Sunson Textile Manufacturer Tbk.................... 6,012,000 123,258
*PT Surya Dumai Industri Tbk........................... 5,145,000 --
PT Surya Toto Indonesia Tbk........................... 46,400 213,307
*PT Suryainti Permata Tbk.............................. 17,378,000 168,287
*PT Tiga Pilar Sejahtera Food Tbk...................... 18,565,222 1,432,603
PT Timah Persero Tbk.................................. 31,858,400 6,279,917
*PT Total Bangun Persada TbK........................... 379,000 24,259
*PT Trias Sentosa Tbk.................................. 336,500 15,149
PT Trimegah Securities Tbk............................ 34,298,000 469,091
*PT Truba Alam Manunggal Engineering Tbk............... 129,244,500 702,122
PT Tunas Baru Lampung Tbk............................. 15,714,500 1,039,478
PT Tunas Ridean Tbk................................... 42,848,500 3,587,845
*PT Ultrajaya Milk Industry & Trading Co. Tbk.......... 13,717,500 1,772,396
15
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- ------------
INDONESIA -- (Continued)
PT Unggul Indah Cahaya Tbk............................... 371,435 $ 79,012
PT Vale Indonesia Tbk.................................... 41,280,500 13,864,319
PT Wijaya Karya Persero Tbk.............................. 31,604,002 3,358,348
------------
TOTAL INDONESIA............................................. 592,824,207
------------
ISRAEL -- (0.0%)
Bank of Jerusalem, Ltd................................... 16,518 21,209
Delta-Galil Industries, Ltd.............................. -- 4
*Electra Real Estate, Ltd................................. -- --
*Elron Electronic Industries, Ltd......................... 1 3
*Feuchtwanger Investments, Ltd............................ 10,500 33
Formula Systems (1985), Ltd.............................. -- --
*Formula Vision Technologies, Ltd......................... -- --
*Israel Steel Mills, Ltd.................................. 97,000 1,005
*Kardan Israel, Ltd....................................... -- --
*Knafaim Holdings, Ltd.................................... 69,163 316,859
*Koor Industries, Ltd..................................... 1 12
*Liberty Properties, Ltd.................................. 2,533 22,243
*Mivtach Shamir Holdings, Ltd............................. 40,184 937,796
*Naphtha Israel Petroleum Corp., Ltd...................... -- 1
------------
TOTAL ISRAEL................................................ 1,299,165
------------
MALAYSIA -- (3.3%)
*A&M Realty Berhad........................................ 603,400 91,060
Adventa Berhad........................................... 62,000 29,263
Aeon Co. Berhad.......................................... 37,500 117,456
Affin Holdings Berhad.................................... 9,611,900 9,734,729
AirAsia Berhad........................................... 7,771,800 8,526,769
*Alam Maritim Resources Berhad............................ 4,010,300 903,731
Alliance Financial Group Berhad.......................... 15,065,600 19,597,794
Amcorp Properties Berhad................................. 1,047,267 151,960
AMMB Holdings Berhad..................................... 22,003,862 45,388,959
Ann Joo Resources Berhad................................. 2,857,200 1,826,377
APM Automotive Holdings Berhad........................... 1,216,800 1,892,326
Apollo Food Holdings Berhad.............................. 109,000 105,464
Asas Dunia Berhad........................................ 252,800 93,835
Axiata Group Berhad...................................... 211,150 370,491
*AYS Ventures Berhad...................................... 7,954 438
Bandar Raya Developments Berhad.......................... 4,151,900 3,072,556
Batu Kawan Berhad........................................ 2,242,250 13,907,668
Berjaya Assets Berhad.................................... 105,600 28,558
Berjaya Corp. Berhad..................................... 31,291,680 8,257,675
*Berjaya Land Berhad...................................... 13,220,000 3,666,568
*Berjaya Media Berhad..................................... 299,800 42,181
BIMB Holdings Berhad..................................... 4,601,200 3,849,356
Bina Darulaman Berhad.................................... 57,800 22,948
*BLD Plantation Berhad.................................... 900 2,750
Bolton Berhad............................................ 1,288,000 327,430
Boustead Holdings Berhad................................. 6,109,298 10,538,382
Cahya Mata Sarawak Berhad................................ 1,819,100 1,467,913
CB Industrial Product Holding Berhad..................... 248,800 233,074
Chemical Co. of Malaysia Berhad.......................... 311,000 154,018
Chin Teck Plantations Berhad............................. 304,700 904,897
Coastal Contracts Berhad................................. 2,477,300 1,599,581
CSC Steel Holdings Berhad................................ 2,370,500 1,086,815
Cycle & Carriage Bintang Berhad.......................... 241,300 227,973
*Datuk Keramik Holdings Berhad............................ 127,000 --
Dijaya Corp. Berhad...................................... 931,800 338,876
DRB-Hicom Berhad......................................... 11,392,500 9,561,798
Eastern & Oriental Berhad................................ 12,554,815 5,761,951
ECM Libra Avenue Berhad.................................. 7,346,426 1,891,108
16
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- -----------
MALAYSIA -- (Continued)
Esso (Malaysia) Berhad................................... 1,319,400 $ 1,561,919
*Evergreen Fibreboard Berhad.............................. 3,586,926 1,061,771
Faber Group Berhad....................................... 2,402,100 1,300,096
Far East Holdings Berhad................................. 388,800 964,988
*Fountain View Development Berhad......................... 2,573,200 --
Gamuda Berhad............................................ 1,852,500 2,172,889
Genting (Malaysia) Berhad................................ 7,435,100 9,412,454
Genting Plantations Berhad............................... 400,300 1,240,691
Glomac Berhad............................................ 4,305,500 1,185,716
Goldis Berhad............................................ 3,016,125 2,042,746
*Green Packet Berhad...................................... 1,037,400 200,065
GuocoLand (Malaysia) Berhad.............................. 1,288,100 344,601
Hap Seng Consolidated Berhad............................. 11,882,800 6,460,801
Hap Seng Plantations Holdings Berhad..................... 3,279,900 3,231,536
*Hiap Teck Venture Berhad................................. 49,600 9,719
*Ho Wah Genting Berhad.................................... 2,210,200 283,483
Hong Leong Financial Group Berhad........................ 2,051,251 8,080,204
Hong Leong Industries Berhad............................. 1,225,800 1,736,126
*Hubline Berhad........................................... 4,627,900 122,169
Hunza Properties Berhad.................................. 1,033,300 494,548
Hwang-DBS (Malaysia) Berhad.............................. 908,700 717,146
IGB Corp. Berhad......................................... 13,750,190 12,437,464
IJM Corp. Berhad......................................... 19,815,680 35,773,971
IJM Land Berhad.......................................... 4,611,100 3,353,848
IJM Plantations Berhad................................... 490,300 531,456
*Inch Kenneth Kajang Rubber Berhad........................ 56,600 10,562
*Insas Berhad............................................. 5,034,048 714,244
Integrax Berhad.......................................... 910,200 384,660
*Iris Corp. Berhad........................................ 3,757,500 217,260
*Jaks Resources Berhad.................................... 5,336,600 915,163
Jaya Tiasa Holdings Berhad............................... 1,279,912 3,993,486
*K & N Kenanga Holdings Berhad............................ 2,968,600 561,877
*Karambunai Corp. Berhad.................................. 19,239,800 1,044,860
Keck Seng (Malaysia) Berhad.............................. 2,515,500 3,300,317
Kian Joo Can Factory Berhad.............................. 4,132,680 2,683,581
*KIG Glass Industrial Berhad.............................. 260,000 2,578
Kim Loong Resources Berhad............................... 425,700 366,586
Kinsteel Berhad.......................................... 8,135,400 1,205,749
KLCC Property Holdings Berhad............................ 6,568,600 7,360,346
*KNM Group Berhad......................................... 14,497,525 3,985,935
*Knusford Berhad.......................................... 73,800 47,314
KrisAssets Holdings Berhad............................... 250,377 578,133
KSL Holdings Berhad...................................... 799,566 364,137
KUB (Malaysia) Berhad.................................... 6,366,600 1,300,622
Kulim (Malaysia) Berhad.................................. 9,703,300 13,532,945
Kumpulan Fima Berhad..................................... 2,178,600 1,322,561
*Kumpulan Hartanah Selangor Berhad........................ 181,000 28,684
Kumpulan Perangsang Selangor Berhad...................... 1,741,700 575,207
Kwantas Corp. Berhad..................................... 249,100 198,868
*Land & General Berhad.................................... 1,895,400 203,069
*Landmarks Berhad......................................... 4,118,808 1,291,773
Latexx Partners Berhad................................... 1,151,800 534,813
*LBS Bina Group Berhad.................................... 106,400 28,073
*Leader Universal Holdings Berhad......................... 5,376,733 1,891,810
Lingui Development Berhad................................ 1,356,814 686,399
*Lion Corp. Berhad........................................ 1,371,081 189,423
Lion Diversified Holdings Berhad......................... 4,064,800 420,896
Lion Forest Industries Berhad............................ 177,500 81,858
Lion Industries Corp. Berhad............................. 7,646,681 3,524,288
Mah Sing Group Berhad.................................... 2,150,600 1,391,936
*Malayan Flour Mills Berhad............................... 661,450 409,673
17
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- -----------
MALAYSIA -- (Continued)
*Malayan United Industries Berhad......................... 200,244 $ 13,897
Malaysia Airports Holdings Berhad........................ 791,300 1,512,215
*Malaysian Airlines System Berhad......................... 3,795,300 1,528,695
Malaysian Bulk Carriers Berhad........................... 2,956,325 1,560,274
Malaysian Pacific Industries Berhad...................... 677,875 669,048
Malaysian Resources Corp. Berhad......................... 1,267,500 696,455
MBM Resources Berhad..................................... 1,511,333 2,456,796
Media Prima Berhad....................................... 103,800 87,431
Mega First Corp. Berhad.................................. 1,101,700 614,641
Metro Kajang Holdings Berhad............................. 869,508 565,371
*Metroplex Berhad......................................... 817,000 --
MISC Berhad.............................................. 3,829,504 6,058,610
*MK Land Holdings Berhad.................................. 9,637,500 905,744
MMC Corp. Berhad......................................... 12,611,180 10,953,665
MNRB Holdings Berhad..................................... 1,250,800 1,093,699
Mudajaya Group Berhad.................................... 2,884,000 2,451,339
Muhibbah Engineering Berhad.............................. 5,002,700 2,025,442
*MUI Properties Berhad.................................... 139,700 6,902
*Mulpha International Berhad.............................. 31,821,100 4,615,812
MWE Holdings Berhad...................................... 270,000 124,499
Naim Holdings Berhad..................................... 1,841,500 1,202,889
NCB Holdings Berhad...................................... 2,451,500 3,611,455
Negri Sembilan Oil Palms Berhad.......................... 167,600 342,689
Oriental Holdings Berhad................................. 3,717,279 7,873,446
Oriental Interest Berhad................................. 139,100 56,642
OSK Holdings Berhad...................................... 7,069,371 3,983,584
*OSK Ventures International Berhad........................ 519,697 71,698
P.I.E. Industrial Berhad................................. 323,600 526,335
Pacific & Orient Berhad.................................. 283,730 88,849
Panasonic Manufacturing (Malaysia) Berhad................ 383,380 2,871,931
*Paracorp Berhad.......................................... 252,000 833
Paramount Corp. Berhad................................... 989,100 512,257
PBA Holdings Berhad...................................... 1,502,500 462,520
Pelikan International Corp. Berhad....................... 4,130,320 1,070,571
*Perdana Petroleum Berhad................................. 1,106,300 224,167
*Perisai Petroleum Teknologi Berhad....................... 1,179,200 337,536
*Permaju Industries Berhad................................ 995,000 128,224
Perusahaan Sadur Timah Malaysia (Perstima) Berhad........ 6,800 7,864
*Perwaja Holdings Berhad.................................. 211,300 44,561
Pharmaniaga Berhad....................................... 92,667 135,050
PJ Development Holdings Berhad........................... 2,886,400 671,825
POS (Malaysia) Berhad.................................... 3,059,817 2,752,158
PPB Group Berhad......................................... 7,148,266 39,501,996
Press Metal Berhad....................................... 2,537,381 1,766,488
*Prime Utilities Berhad................................... 39,000 1,160
Protasco Berhad.......................................... 282,200 87,213
Proton Holdings Berhad................................... 3,991,400 7,215,009
QSR Brands Berhad........................................ 56,800 119,435
*Ramunia Holdings Berhad.................................. 2,709,100 333,723
RCE Capital Berhad....................................... 3,627,000 568,011
RHB Capital Berhad....................................... 8,537,259 20,749,004
Salcon Berhad............................................ 416,700 72,843
Sarawak Oil Palms Berhad................................. 596,220 1,332,549
Sarawak Plantation Berhad................................ 34,400 34,082
Scientex Berhad.......................................... 938,848 720,928
*Scomi Group Berhad....................................... 15,913,800 1,364,898
*Scomi Marine Berhad...................................... 709,000 90,884
Selangor Dredging Berhad................................. 1,312,700 292,838
Selangor Properties Berhad............................... 44,400 52,576
Shangri-La Hotels (Malaysia) Berhad...................... 738,000 724,465
Shell Refining Co. Federation of Malaysia Berhad......... 217,100 737,021
18
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- ------------
MALAYSIA -- (Continued)
SHL Consolidated Berhad................................................. 1,008,700 $ 430,014
Sino Hua-An International Berhad........................................ 3,861,100 267,832
Subur Tiasa Holdings Berhad............................................. 503,530 439,055
*Sunway Berhad........................................................... 8,333,745 6,599,520
Supermax Corp. Berhad................................................... 6,102,500 3,805,648
Suria Capital Holdings Berhad........................................... 682,500 357,171
Ta Ann Holdings Berhad.................................................. 347,252 745,733
TA Enterprise Berhad.................................................... 17,581,700 3,274,594
TA Global Berhad........................................................ 9,464,380 889,392
TAHPS Group Berhad...................................................... 27,000 41,373
Tan Chong Motor Holdings Berhad......................................... 4,689,700 7,011,317
*Tanjung Offshore Berhad................................................. 137,600 30,906
TDM Berhad.............................................................. 1,928,000 3,000,133
*Tebrau Teguh Berhad..................................................... 9,673,466 2,374,158
TH Plantations Berhad................................................... 39,200 35,180
*Time Dotcom Berhad...................................................... 25,212,900 5,894,353
Tiong Nam Transport Holdings Berhad..................................... 113,500 36,522
Tradewinds (Malaysia) Berhad............................................ 1,945,300 6,279,917
Tradewinds Corp. Berhad................................................. 5,394,700 1,289,494
Tradewinds Plantation Berhad............................................ 239,000 458,409
*Trinity Corp. Berhad.................................................... 15,950,050 342,212
TSH Resources Berhad.................................................... 852,800 689,781
UAC Berhad.............................................................. 77,398 73,674
*UEM Land Holdings Berhad................................................ 1,918,445 1,270,807
UMW Holdings Berhad..................................................... 2,136,986 5,536,955
Unico-Desa Plantations Berhad........................................... 4,248,728 1,686,144
Unisem (Malaysia) Berhad................................................ 7,837,200 3,691,546
United Malacca Berhad................................................... 916,500 2,311,736
*United Plantations Berhad............................................... 606,800 5,196,664
VS Industry Berhad...................................................... 1,337,193 701,458
Wah Seong Corp. Berhad.................................................. 3,315,711 2,218,598
WCT Berhad.............................................................. 6,062,000 4,691,160
Wing Tai (Malaysia) Berhad.............................................. 1,861,100 953,720
WTK Holdings Berhad..................................................... 4,734,450 2,244,680
Yeo Hiap Seng (Malaysia) Berhad......................................... 335,520 323,559
YNH Property Berhad..................................................... 5,042,359 3,346,269
YTL Corp. Berhad........................................................ 53,077,729 28,385,557
*YTL Land & Development Berhad........................................... 1,370,000 465,243
*Zelan Berhad............................................................ 5,049,100 674,936
------------
TOTAL MALAYSIA............................................................. 554,592,983
------------
MEXICO -- (6.0%)
#Alfa S.A.B. de C.V. Series A............................................ 5,139,702 73,528,876
#Alsea de Mexico S.A.B. de C.V........................................... 2,424,576 3,329,942
#Arca Continental S.A.B. de C.V.......................................... 4,696,529 23,890,159
*Axtel S.A.B. de C.V..................................................... 8,940,907 2,436,691
Bolsa Mexicana de Valores S.A. de C.V................................... 2,642,471 5,280,499
#*Cemex S.A.B. de C.V. Sponsored ADR...................................... 16,022,635 115,843,653
#Cia Minera Autlan S.A.B. de C.V. Series B............................... 967,628 978,329
#Coca-Cola Femsa S.A.B. de C.V. Series L................................. 52,700 558,964
Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR............................ 271,050 28,717,748
Consorcio ARA S.A.B. de C.V. Series *................................... 11,814,074 3,763,903
*Controladora Comercial Mexicana S.A.B. de C.V. Series B................. 3,563,744 7,559,237
Corp Actinver S.A.B. de C.V............................................. 3,700 3,039
#*Corporacion GEO S.A.B. de C.V. Series B................................. 7,958,866 10,600,864
*Corporacion Interamericana de Entramiento S.A.B. de C.V. Series B....... 1,561,186 737,090
*Desarrolladora Homex S.A.B. de C.V...................................... 2,992,074 8,363,414
*Desarrolladora Homex S.A.B. de C.V. ADR................................. 115,455 1,940,799
*Dine S.A.B. de C.V...................................................... 1,028,367 400,659
El Puerto de Liverpool S.A.B. de C.V. Series 1.......................... 19,600 159,196
El Puerto de Liverpool S.A.B. de C.V. Series C-1........................ 235,493 1,878,202
19
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- --------------
MEXICO -- (Continued)
*Empaques Ponderosa S.A. de C.V. Series B................. 90,000 $ 6,218
*Empresas ICA S.A.B. de C.V............................... 6,079,225 11,028,147
#*Empresas ICA S.A.B. de C.V. Sponsored ADR................ 1,118,155 8,084,261
*Financiera Independencia S.A.B. de C.V................... 14,576 5,819
Fomento Economico Mexicano S.A.B. de C.V................. 2,311,921 18,776,222
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR.. 2,490,634 202,388,919
*Gruma S.A.B. de C.V. ADR................................. 15,222 166,072
*Gruma S.A.B. de C.V. Series B............................ 3,607,804 9,835,223
Grupo Aeroportuario del Centro Norte S.A.B. de C.V....... 865,088 1,761,928
#Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR.. 46,146 747,565
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR...... 636,889 24,653,973
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Series B. 1,182,500 4,600,747
*Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR....... 243,007 19,904,703
Grupo Aeroportuario del Sureste S.A.B. de C.V. Series B.. 1,203,482 9,844,273
#Grupo Carso S.A.B. de C.V. Series A-1.................... 10,574,593 35,719,628
*Grupo Cementos de Chihuahua S.A.B. de C.V................ 2,799,892 9,525,387
*Grupo Comercial Chedraui S.A. de C.V..................... 1,382,379 3,595,515
*Grupo Famsa S.A.B. de C.V. Series A...................... 2,304,658 1,710,896
#Grupo Financiero Banorte S.A.B. de C.V. Series O......... 22,310,546 107,904,943
#Grupo Financiero Inbursa S.A.B. de C.V. Series O......... 16,735,703 36,809,437
Grupo Gigante S.A.B. de C.V. Series B.................... 471,076 831,782
Grupo Industrial Bimbo S.A.B. de C.V. Series A-1......... 187,300 446,899
Grupo Industrial Maseca S.A.B. de C.V. Series B.......... 2,724,300 3,388,134
*Grupo Industrial Saltillo S.A.B. de C.V.................. 1,332,369 1,626,343
Grupo Kuo S.A.B. de C.V. Series B........................ 2,038,967 3,952,412
#Grupo Mexico S.A.B. de C.V. Series B..................... 26,180,390 80,675,947
*Grupo Posadas S.A.B. de C.V. Series L.................... 356,000 409,951
*Grupo Qumma S.A. de C.V. Series B........................ 5,301 73
*Grupo Simec S.A. de C.V. Series B........................ 1,630,332 5,052,722
*Grupo Simec S.A. de C.V. Sponsored ADR................... 19,072 176,416
Industrias Bachoco S.A.B. de C.V. Series B............... 923,550 1,591,722
Industrias Bachoco S.A.B. de C.V. Sponsored ADR.......... 306 6,319
#*Industrias CH S.A.B. de C.V. Series B.................... 3,100,592 14,067,687
*Inmuebles Carso S.A.B. de C.V. Series B-1................ 10,258,893 9,096,474
*Medica Sur S.A.B. de C.V. Series B....................... 1,000 1,873
*Megacable Holdings S.A.B. de C.V......................... 75,294 163,005
*Minera Frisco S.A.B. de C.V. Series A-1.................. 9,928,125 42,971,736
*OHL Mexico S.A.B. de C.V................................. 1,209,768 1,913,198
*Organizacion Soriana S.A.B. de C.V. Series B............. 14,981,589 42,577,964
Qualitas Cia de Seguros S.A. de C.V...................... 2,053,100 2,269,672
#*Sare Holding S.A.B. de C.V............................... 1,159,700 127,313
*Savia S.A. de C.V. Series A.............................. 3,457,285 212,332
*TV Azteca S.A.B. de C.V.................................. 480,740 314,073
*Urbi Desarrollos Urbanos S.A.B. de C.V................... 8,786,299 9,234,216
*Vitro S.A.B. de C.V. Series A............................ 1,546,127 2,059,968
--------------
TOTAL MEXICO................................................ 1,020,209,371
--------------
PHILIPPINES -- (1.0%)
A. Soriano Corp.......................................... 20,195,000 2,370,175
Alaska Milk Corp......................................... 7,874,000 4,405,326
Alliance Global Group, Inc............................... 23,691,100 6,903,855
Alsons Consolidated Resources, Inc....................... 16,904,000 564,464
Ayala Corp. Series A..................................... 97,030 986,173
BDO Unibank, Inc......................................... 7,506,120 11,737,007
Cebu Holdings, Inc....................................... 7,590,250 1,496,017
China Banking Corp....................................... 24,872 305,902
*DMCI Holdings, Inc....................................... 5,592,810 7,876,693
*Empire East Land Holdings, Inc........................... 37,000,000 699,592
*Export & Industry Bank, Inc.............................. 14,950 92
*Filinvest Development Corp............................... 60,000 6,892
Filinvest Land, Inc...................................... 171,995,031 5,493,341
20
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- ------------
PHILIPPINES -- (Continued)
*Filipina Water Bottling Corp........................ 5,471,786 $ --
First Philippines Holdings Corp..................... 4,041,210 6,113,614
*Global Estate Resorts, Inc.......................... 8,272,000 376,866
*JG Summit Holdings, Inc............................. 1,214,900 957,124
Lopez Holdings Corp................................. 27,045,100 3,668,710
Macroasia Corp...................................... 1,418,000 103,855
Megaworld Corp...................................... 194,373,600 9,939,768
Metro Bank & Trust Co............................... 9,336,217 20,126,634
*Mondragon International Philippines, Inc............ 2,464,000 --
*Philippine National Bank............................ 4,235,668 7,526,544
*Philippine National Construction Corp............... 398,900 46,296
*Philippine Realty & Holdings Corp................... 4,822,000 60,414
Philippine Savings Bank............................. 1,232,313 2,367,204
*Philippine Townships, Inc........................... 226,200 25,449
*Phinma Corp......................................... 2,550,498 723,664
*Prime Orion Philippines, Inc........................ 10,310,000 127,253
Rizal Commercial Banking Corp....................... 4,661,148 4,836,735
Robinson's Land Corp. Series B...................... 28,277,850 11,560,937
San Miguel Corp..................................... 5,280,376 14,031,331
Security Bank Corp.................................. 2,453,882 8,280,409
Shang Properties, Inc............................... 614,285 37,752
SM Development Corp................................. 48,575,176 8,048,036
*Solid Group, Inc.................................... 9,532,000 287,618
Union Bank of Philippines........................... 2,583,074 6,527,884
Universal Robina Corp............................... 14,498,385 22,275,785
Vista Land & Lifescapes, Inc........................ 48,174,868 4,956,108
------------
TOTAL PHILIPPINES...................................... 175,851,519
------------
POLAND -- (1.4%)
Agora SA............................................ 610,693 2,305,154
Amica Wronki SA..................................... 28,709 444,981
Asseco Poland SA.................................... 938,627 13,972,541
ATM SA.............................................. 9,205 25,388
Bank Millennium SA.................................. 6,694,382 8,805,082
*Bioton SA........................................... 42,632,004 1,079,104
*BOMI SA............................................. 25,857 10,660
*Ciech SA............................................ 572,583 3,124,507
*ComArch SA.......................................... 3,061 60,305
Debica SA........................................... 111,346 1,830,957
Dom Development SA.................................. 42,315 487,661
*Dom Maklerski IDM SA................................ 2,163,902 1,298,161
Emperia Holding SA.................................. 19,149 663,484
Enea SA............................................. 1,328,293 7,013,741
*Farmacol SA......................................... 5,526 37,287
*Get Bank SA......................................... 4,515,878 2,721,012
*Getin Holding SA.................................... 3,476,409 2,525,184
Grupa Kety SA....................................... 126,858 4,813,412
*Grupa Lotos SA...................................... 992,011 8,914,649
Impexmetal SA....................................... 5,864,978 7,353,628
*JW Construction Holding SA.......................... 23,612 42,000
KGHM Polska Miedz SA................................ 99,697 4,408,285
*Koelner SA.......................................... 133,100 552,711
*Kopex SA............................................ 514,594 3,142,072
Kredyt Bank SA...................................... 619,815 2,677,472
*LC Corp. SA......................................... 1,798,181 833,327
*MNI SA.............................................. 78,700 57,920
Mostostal Warszawa SA............................... 2,972 12,375
*Netia Holdings SA................................... 3,562,571 6,826,165
*Orbis SA............................................ 541,449 6,566,419
PBG SA.............................................. 107,689 867,373
Pelion SA........................................... 6,561 62,450
21
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- ------------
POLAND -- (Continued)
*Petrolinvest SA..................................... 1,128,087 $ 675,523
PGE SA.............................................. 8,876,206 53,130,105
Polimex-Mostostal SA................................ 8,817,482 2,855,081
Polnord SA.......................................... 51,990 233,479
*Polski Koncern Miesny Duda SA....................... 951,758 202,505
*Polski Koncern Naftowy Orlen SA..................... 5,310,008 61,948,983
*Rovese SA........................................... 213,625 284,960
*Sygnity SA.......................................... 206,622 1,473,612
Synthos SA.......................................... 8,919,047 17,237,160
*Tauron Polska Energia SA............................ 5,965,445 8,848,638
*Trakcja-Tiltra SA................................... 421,396 140,700
Zaklady Azotowe Pulawy SA........................... 40,772 1,241,573
*Zaklady Azotowe w Tarnowie-Moscicach SA............. 263,497 2,821,980
*Zaklady Chemiczne Police SA......................... 953 2,815
------------
TOTAL POLAND........................................... 244,632,581
------------
RUSSIA -- (5.3%)
*AFI Development P.L.C. GDR.......................... 156,273 89,144
Federal Hydrogenerating Co. ADR..................... 4,678,929 16,279,692
Gazprom OAO Sponsored ADR........................... 58,748,711 680,431,219
Lukoil OAO Sponsored ADR............................ 2,457,775 151,205,336
*Magnitogorsk Iron & Steel Works Sponsored GDR....... 1,316,707 6,986,368
Surgutneftegas Sponsored ADR........................ 4,474,899 44,821,687
------------
TOTAL RUSSIA........................................... 899,813,446
------------
SOUTH AFRICA -- (7.9%)
ABSA Group, Ltd..................................... 4,420,483 90,001,079
Adcorp Holdings, Ltd................................ 501,717 1,745,512
AECI, Ltd........................................... 1,453,010 16,644,418
Afgri, Ltd.......................................... 4,685,517 3,617,516
African Bank Investments, Ltd....................... 3,826,344 19,200,897
African Oxygen, Ltd................................. 222,800 548,350
African Rainbow Minerals, Ltd....................... 1,412,864 32,594,629
Allied Electronics Corp., Ltd....................... 553,194 1,765,661
ArcelorMittal South Africa, Ltd..................... 2,505,685 18,987,715
Argent Industrial, Ltd.............................. 1,278,773 1,241,926
Aveng, Ltd.......................................... 5,795,061 29,539,862
AVI, Ltd............................................ 2,799,423 17,290,111
Avusa, Ltd.......................................... 473,355 1,236,282
Barloworld, Ltd..................................... 3,504,092 43,670,162
Basil Read Holdings, Ltd............................ 341,089 666,707
*Bell Equipment, Ltd................................. 411,045 1,205,764
Blue Label Telecoms, Ltd............................ 2,732,341 2,392,051
*Brait SE............................................ 1,661,613 5,208,502
Business Connexion Group, Ltd....................... 1,420,357 859,308
*Business Connexion Group, Ltd. Series A............. 131,299 10,984
Cadiz Holdings, Ltd................................. 6,673 1,853
Capitec Bank Holdings, Ltd.......................... 38,007 1,085,550
Caxton & CTP Publishers & Printers, Ltd............. 3,015,054 5,720,253
Cipla Medpro South Africa, Ltd...................... 5,449,886 5,124,820
*Corpgro, Ltd........................................ 579,166 --
Data Tec, Ltd....................................... 2,712,375 15,918,076
Datacentrix Holdings, Ltd........................... 429,328 272,752
*Delta EMD, Ltd...................................... 234,340 209,432
Distell Group, Ltd.................................. 374,929 4,099,300
*Distribution & Warehousing Network, Ltd............. 221,543 175,151
DRDGOLD, Ltd........................................ 5,295,673 3,605,627
ElementOne, Ltd..................................... 391,810 516,644
Eqstra Holdings, Ltd................................ 1,972,164 1,822,431
*Evraz Highveld Steel & Vanadium, Ltd................ 169,665 683,425
FirstRand, Ltd...................................... 4,353,231 14,159,343
22
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- --------------
SOUTH AFRICA -- (Continued)
*Gijima Group, Ltd................................... 396,488 $ 24,037
Gold Fields, Ltd.................................... 515,937 6,635,625
Gold Fields, Ltd. Sponsored ADR..................... 10,046,461 129,297,953
Grindrod, Ltd....................................... 6,257,677 12,526,729
Group Five, Ltd..................................... 1,019,550 3,860,424
Harmony Gold Mining Co., Ltd........................ 2,956,676 29,065,759
#Harmony Gold Mining Co., Ltd. Sponsored ADR......... 3,033,269 29,422,709
Hudaco Industries, Ltd.............................. 123,172 1,700,012
*Hulamin, Ltd........................................ 1,390,917 1,264,676
Iliad Africa, Ltd................................... 165,428 116,686
Illovo Sugar, Ltd................................... 946,775 3,062,827
Impala Platinum Holdings, Ltd....................... 458,809 8,755,136
Imperial Holdings, Ltd.............................. 1,316,365 28,735,692
Investec, Ltd....................................... 3,376,948 19,524,878
*JCI, Ltd............................................ 10,677,339 --
JD Group, Ltd....................................... 2,273,555 14,304,909
Lewis Group, Ltd.................................... 1,400,685 13,606,391
Liberty Holdings, Ltd............................... 1,523,202 17,330,379
*m Cubed Holdings, Ltd............................... 1,850,526 --
Mediclinic International, Ltd....................... 2,569,836 12,990,520
*Merafe Resources, Ltd............................... 21,311,276 2,411,592
Metair Investments, Ltd............................. 1,665,812 5,767,761
MMI Holdings, Ltd................................... 12,204,631 27,561,088
Mondi, Ltd.......................................... 1,693,811 15,634,154
*Mpact, Ltd.......................................... 1,992,090 4,328,363
*Murray & Roberts Holdings, Ltd...................... 1,449,955 5,323,797
Mustek, Ltd......................................... 27,392 22,362
*Mvelaphanda Group, Ltd.............................. 4,416,916 1,958,669
Mvelaserve, Ltd..................................... 1,059,863 1,566,987
Nampak, Ltd......................................... 5,641,382 16,347,861
#Nedbank Group, Ltd.................................. 3,077,486 66,994,683
Northam Platinum, Ltd............................... 2,310,388 9,994,354
Omnia Holdings, Ltd................................. 714,504 9,001,847
Palabora Mining Co., Ltd............................ 158,752 3,181,891
Peregrine Holdings, Ltd............................. 1,440,815 2,058,103
Petmin, Ltd......................................... 920,501 371,956
PSG Group, Ltd...................................... 671,524 5,108,765
*Randgold & Exploration Co., Ltd..................... 256,811 88,963
Raubex Group, Ltd................................... 880,663 1,627,756
Reunert, Ltd........................................ 64,404 596,403
*Royal Bafokeng Platinum, Ltd........................ 24,026 187,313
Sanlam, Ltd......................................... 28,905,406 124,168,567
*Sappi, Ltd.......................................... 6,973,260 25,301,200
*Sappi, Ltd. Sponsored ADR........................... 803,111 2,834,982
Sasol, Ltd. Sponsored ADR........................... 704,259 33,403,004
*Sentula Mining, Ltd................................. 2,055,781 601,329
Spur Corp., Ltd..................................... 66,167 140,504
Standard Bank Group, Ltd............................ 13,694,294 201,004,421
Stefanutti Stocks Holdings, Ltd..................... 318,521 448,416
#*Steinhoff International Holdings, Ltd............... 17,439,135 63,637,784
*Super Group, Ltd.................................... 2,496,159 4,717,794
Telkom South Africa, Ltd............................ 3,776,475 11,680,594
Tongaat-Hulett, Ltd................................. 286,298 3,865,007
Trencor, Ltd........................................ 1,530,034 8,871,721
*Tsogo Sun Holdings, Ltd............................. 433,534 1,042,838
Value Group, Ltd.................................... 976,777 661,079
*Village Main Reef, Ltd.............................. 2,427,724 529,057
*Wesizwe Platinum, Ltd............................... 9,762 1,370
Wilson Bayly Holme-Ovcon, Ltd....................... 21,954 384,099
Zeder Investments, Ltd.............................. 1,116,610 400,203
--------------
TOTAL SOUTH AFRICA..................................... 1,337,876,072
--------------
23
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
--------- -----------
SOUTH KOREA -- (13.6%)
Aekyung Petrochemical Co., Ltd......................... 58,354 $ 1,263,755
Amorepacific Group..................................... 37,512 9,428,676
#Asia Cement Manufacturing Co., Ltd..................... 35,278 1,509,170
Asia Paper Manufacturing Co., Ltd...................... 27,000 254,821
#*AUK Corp............................................... 612,060 1,435,572
Bing Grae Co., Ltd..................................... 22,519 1,294,431
#*BNG Steel Co., Ltd..................................... 142,590 1,549,891
*Boo Kook Securities Co., Ltd........................... 27,705 417,467
#Boryung Pharmaceutical Co., Ltd........................ 71,324 829,398
BS Financial Group, Inc................................ 1,363,951 13,966,519
BYC Co., Ltd........................................... 810 136,355
*Byuck San Corp......................................... 13,122 275,764
#*Chin Hung International, Inc........................... 457,514 502,126
China Ocean Resources Co., Ltd......................... 178,240 668,867
#Chong Kun Dang Pharmaceutical Corp..................... 117,570 1,645,972
Chosun Refractories Co., Ltd........................... 9,371 509,279
*Chungho Comnet Co., Ltd................................ 2,800 9,130
CJ Cheiljedang Corp.................................... 49,767 16,441,347
CJ Corp................................................ 222,968 15,369,120
*CJ E&M Corp............................................ 19,163 476,502
#*CJ Korea Express Corp.................................. 84,339 5,811,812
*Cosmochemical Co., Ltd................................. 157,200 1,600,522
Crown Confectionery Co., Ltd........................... 3,365 474,803
#Dae Dong Industrial Co., Ltd........................... 141,640 651,063
#Dae Han Flour Mills Co., Ltd........................... 14,216 1,645,652
#Dae Won Kang Up Co., Ltd............................... 322,056 1,775,721
#*Daechang Co., Ltd...................................... 761,760 837,113
Daeduck Electronics Co., Ltd........................... 182,080 1,857,467
#Daeduck Industries Co., Ltd............................ 281,480 3,124,485
*Daegu Department Store Co., Ltd........................ 112,341 1,329,044
Daehan Steel Co., Ltd.................................. 120,190 763,444
Daehan Synthetic Fiber Co., Ltd........................ 5,144 299,621
Daekyo Co., Ltd........................................ 530,590 2,802,340
Daelim Industrial Co., Ltd............................. 418,487 38,522,155
Daelim Trading Co., Ltd................................ 31,734 114,530
Daesang Corp........................................... 351,992 5,652,340
Daesang Holdings Co., Ltd.............................. 136,816 524,232
#Daesung Group Partners Co., Ltd........................ 5,187 191,899
Daesung Holdings Co., Ltd.............................. 87,450 486,087
*Daesung Industrial Co., Ltd............................ 11,584 213,900
#*Daewoo Engineering & Construction Co., Ltd............. 1,079,210 8,966,282
*Daewoo Securities Co., Ltd............................. 2,475,482 24,900,608
#Daewoo Shipbuilding & Marine Engineering Co., Ltd...... 158,302 4,403,564
Daewoong Co., Ltd...................................... 18,210 235,365
*Daewoong Pharmaceutical Co., Ltd....................... 2,420 53,298
Dahaam E-Tec Co., Ltd.................................. 9,365 149,601
#*Daishin Securities Co., Ltd............................ 613,405 5,289,906
#Daou Technology, Inc................................... 346,438 3,443,299
DGB Financial Group, Inc............................... 1,007,412 11,726,498
#Digital Power Communications Co., Ltd.................. 62,160 91,539
Dong Ah Tire Industrial Co., Ltd....................... 81,994 808,967
#Dong IL Rubber Belt Co., Ltd........................... 242,859 1,507,407
*Dong Yang Gang Chul Co., Ltd........................... 228,560 474,584
*Dong-Ah Geological Engineering Co., Ltd................ 20,900 188,134
Dongbang Agro Co., Ltd................................. 53,610 313,759
#Dongbang Transport Logistics Co., Ltd.................. 140,890 799,543
*Dongbu Corp............................................ 60,900 238,300
#*Dongbu HiTek Co., Ltd.................................. 360,004 2,544,403
*Dongbu Securities Co., Ltd............................. 348,586 1,388,553
#*Dongbu Steel Co., Ltd.................................. 347,834 1,714,891
Dong-II Corp........................................... 19,098 855,341
24
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH KOREA -- (Continued)
Dongil Industries Co., Ltd................................ 18,534 $ 877,567
#Dongkuk Steel Mill Co., Ltd............................... 693,279 10,719,013
*Dongsung Holdings Co., Ltd................................ 10,990 37,974
#Dongwha Pharm Co., Ltd.................................... 181,080 778,351
#Dongwon F&B Co., Ltd...................................... 18,805 1,140,143
#*Dongwon Systems Corp...................................... 189,880 208,868
Dongyang Express Bus Corp................................. 379 6,022
#*Doosan Construction & Engineering Co., Ltd................ 455,800 1,275,257
#Doosan Corp............................................... 49,670 6,034,983
*Eagon Industrial Co., Ltd................................. 23,010 109,455
*Eugene Investment & Securities Co., Ltd................... 728,049 2,068,259
F&F Co., Ltd.............................................. 10,620 65,632
Fursys, Inc............................................... 30,773 832,576
#Gaon Cable Co., Ltd....................................... 8,497 149,549
Global & Yuasa Battery Co., Ltd........................... 70,690 2,835,579
Green Cross Holdings Corp................................. 59,260 673,832
GS Engineering & Construction Corp........................ 82,481 6,114,922
GS Holdings Corp.......................................... 736,970 38,465,677
Gwangju Shinsegae Co., Ltd................................ 5,985 1,134,759
#Halla Engineering & Construction Corp..................... 232,321 2,379,462
#Han Kuk Carbon Co., Ltd................................... 301,200 1,492,275
*Han Yang Securities Co., Ltd.............................. 90,530 533,228
Hana Financial Group, Inc................................. 3,069,704 104,649,730
Handok Pharmaceuticals Co., Ltd........................... 21,320 233,535
Handsome Co., Ltd......................................... 220,630 7,424,075
Hanil Cement Co., Ltd..................................... 47,565 1,887,540
*Hanil Engineering & Construction Co., Ltd................. 7,262 11,686
*Hanjin Heavy Industries & Construction Co., Ltd........... 518,752 7,619,451
#Hanjin Heavy Industries & Construction Holdings Co., Ltd.. 178,650 1,220,895
*Hanjin Shipping Co., Ltd.................................. 1,292,250 17,635,625
#*Hanjin Shipping Holdings Co., Ltd......................... 132,744 842,446
#Hanjin Transportation Co., Ltd............................ 127,710 2,150,458
*Hankook Cosmetics Co., Ltd................................ 28,860 44,620
*Hankook Cosmetics Manufacturing Co., Ltd.................. 19,569 63,162
Hankuk Glass Industries, Inc.............................. 29,050 602,756
#Hankuk Paper Manufacturing Co., Ltd....................... 31,270 519,777
#*Hanmi Holdings Co., Ltd................................... 7,618 127,402
Hanmi Semiconductor Co., Ltd.............................. 157,920 809,752
Hansae Yes24 Holdings Co., Ltd............................ 33,950 273,811
#Hanshin Construction Co., Ltd............................. 27,520 208,747
Hansol Chemical Co., Ltd.................................. 47,077 734,517
#Hansol CSN Co., Ltd....................................... 446,100 532,594
#Hansol Paper Co., Ltd..................................... 590,094 3,995,675
Hanssem Co., Ltd.......................................... 11,790 230,482
#*Hanwha Chemical Corp...................................... 1,265,225 24,763,088
Hanwha Corp............................................... 594,563 15,150,579
*Hanwha General Insurance Co., Ltd......................... 51,413 293,088
#*Hanwha Securities Co., Ltd................................ 935,001 3,697,774
#Hanwha Timeworld Co., Ltd................................. 12,290 210,246
*Heung-A Shipping Co., Ltd................................. 178,540 136,127
#Hite Holdings Co., Ltd.................................... 83,821 778,462
Hite Jinro Co., Ltd....................................... 46,033 994,745
*HMC Investment Securities Co., Ltd........................ 235,645 2,768,623
#HS R&A Co., Ltd........................................... 37,336 493,751
#Husteel Co., Ltd.......................................... 54,010 1,160,568
*Hwa Sung Industrial Co., Ltd.............................. 27,970 75,750
Hwacheon Machine Tool Co., Ltd............................ 14,227 646,572
#Hyosung Corp.............................................. 348,024 17,713,483
*Hyundai Cement Co., Ltd................................... 14,745 95,584
#Hyundai Development Co.................................... 819,384 17,152,035
Hyundai Elevator Co., Ltd................................. 951 84,272
25
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH KOREA -- (Continued)
Hyundai Greenfood Co., Ltd.......................... 107,950 $ 1,514,814
Hyundai Hysco Co., Ltd.............................. 57,931 2,035,559
*Hyundai Merchant Marine Co., Ltd.................... 63,614 1,612,047
Hyundai Mipo Dockyard Co., Ltd...................... 99,994 10,779,186
Hyundai Motor Co., Ltd.............................. 458,961 108,347,054
*Hyundai Securities Co., Ltd......................... 1,818,568 14,885,423
#Hyundai Steel Co.................................... 924,376 79,974,859
#Il Dong Pharmaceutical Co., Ltd..................... 130,570 755,062
Iljin Electric Co., Ltd............................. 315,890 1,339,696
#Iljin Holdings Co., Ltd............................. 109,364 186,906
#Ilshin Spinning Co., Ltd............................ 14,492 1,022,621
#Ilsung Pharmaceutical Co., Ltd...................... 9,407 729,005
Industrial Bank of Korea, Ltd....................... 2,354,150 25,849,999
InziControls Co., Ltd............................... 6,900 43,669
#IS Dongseo Co., Ltd................................. 51,695 505,997
#ISU Chemical Co., Ltd............................... 148,470 3,261,602
#IsuPetasys Co., Ltd................................. 248,821 1,126,205
#Jahwa Electronics Co., Ltd.......................... 113,330 1,049,009
Jeil Pharmaceutical Co.............................. 68,840 1,004,228
Jeonbuk Bank, Ltd................................... 647,113 2,705,272
*Jinheung Savings Bank............................... 142,030 294,030
#JW Pharmaceutical Corp.............................. 123,163 1,458,328
KB Financial Group, Inc............................. 2,001,533 67,718,011
KB Financial Group, Inc. ADR........................ 3,186,196 108,107,630
#KC Tech Co., Ltd.................................... 274,792 1,137,764
KCC Corp............................................ 60,818 15,552,501
#Keangnam Enterprises, Ltd........................... 144,590 1,025,896
#Keyang Electric Machinery Co., Ltd.................. 393,920 987,342
KG Chemical Corp.................................... 47,243 347,003
KISCO Corp.......................................... 56,021 1,212,127
KISCO Holdings Co., Ltd............................. 11,673 381,006
*Kishin Corp......................................... 113,945 524,765
#KISWIRE, Ltd........................................ 68,396 2,201,547
Kolon Corp.......................................... 58,995 1,216,657
Kolon Global Corp................................... 252,680 1,259,631
Kolon Industries, Inc............................... 69,832 3,851,100
#*Korea Cast Iron Pipe Co., Ltd....................... 70,638 231,246
#*Korea Development Co., Ltd.......................... 86,430 140,088
*Korea Development Leasing Corp...................... --
#Korea Electric Terminal Co., Ltd.................... 89,230 1,755,179
Korea Exchange Bank................................. 4,056,926 30,680,853
#Korea Flange Co., Ltd............................... 58,560 698,289
*Korea Investment Holdings Co., Ltd.................. 475,416 16,311,511
*Korea Life Insurance Co., Ltd....................... 1,246,925 7,515,696
#*Korea Line Corp..................................... 22,148 363,969
Korea Petrochemical Industrial Co., Ltd............. 18,384 1,374,551
*Korea Savings Bank.................................. 21,483 58,383
Korea United Pharm, Inc............................. 93,970 419,520
*Korean Air Co., Ltd................................. 132,150 5,178,168
#Korean Air Terminal Service Co., Ltd................ 19,190 537,063
KPX Chemical Co., Ltd............................... 11,220 513,218
KPX Holdings Corp................................... 4,444 169,745
*KTB Investment & Securities Co., Ltd................ 872,160 1,668,995
#Kukdo Chemical Co., Ltd............................. 40,358 1,717,049
#Kumho Electric Co., Ltd............................. 52,624 944,698
*Kumho Investment Bank............................... 720,490 470,868
Kunsul Chemical Industrial Co., Ltd................. 25,470 338,615
#Kwang Dong Pharmaceutical Co., Ltd.................. 627,670 2,224,703
#Kyeryong Construction Industrial Co., Ltd........... 58,970 682,404
*Kyobo Securities Co., Ltd........................... 268,392 1,181,909
Kyung Dong Navien Co., Ltd.......................... 16,050 109,648
26
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH KOREA -- (Continued)
Kyung Nong Corp...................................... 49,810 $ 133,080
#*Kyungbang Co., Ltd................................... 7,656 664,498
#Kyung-In Synthetic Corp.............................. 184,400 439,515
LG Corp.............................................. 456,124 23,086,042
*LG Display Co., Ltd.................................. 1,309,420 28,905,954
*LG Display Co., Ltd. ADR............................. 3,996,524 44,641,173
#LG Electronics, Inc.................................. 1,425,419 87,946,865
LG Hausys, Ltd....................................... 76,561 4,371,953
*LG Innotek Co., Ltd.................................. 91,732 6,556,002
LG Uplus Corp........................................ 3,370,191 16,641,292
Livart Furniture Co., Ltd............................ 19,740 113,671
Lotte Chilsung Beverage Co., Ltd..................... 9,752 10,996,953
Lotte Confectionary Co., Ltd......................... 8,940 13,510,172
Lotte Midopa Co., Ltd................................ 94,570 1,193,957
#Lotte Sam Kang Co., Ltd.............................. 9,857 4,204,419
Lotte Shopping Co., Ltd.............................. 144,966 44,933,179
LS Corp.............................................. 15,317 1,020,503
*Meritz Securities Co., Ltd........................... 2,353,424 1,638,349
Mi Chang Oil Industrial Co., Ltd..................... 3,725 155,651
*Mirae Asset Securities Co., Ltd...................... 343,039 10,419,690
#Moorim P&P Co., Ltd.................................. 403,698 1,710,362
#Moorim Paper Co., Ltd................................ 264,210 610,518
#Motonic Corp......................................... 138,480 938,839
*Namkwang Engineering & Construction Co., Ltd......... 11,239 44,555
Namyang Dairy Products Co., Ltd...................... 4,557 2,619,320
National Plastic Co.................................. 174,380 379,845
#Nexen Corp........................................... 13,584 644,455
*NH Investment & Securities Co., Ltd.................. 423,494 1,982,116
NICE Holdings Co., Ltd............................... 459 20,405
NK Co., Ltd.......................................... 147,350 578,074
#Nong Shim Holdings Co., Ltd.......................... 23,408 1,060,294
NongShim Co., Ltd.................................... 43,672 8,734,052
Noroo Holdings Co., Ltd.............................. 32,578 205,587
NOROO Paint & Coatings Co., Ltd...................... 37,899 105,402
#Ottogi Corp.......................................... 16,359 2,399,374
Pacific Pharmaceutical Co., Ltd...................... 3,390 63,200
*Paik Kwang Industrial Co., Ltd....................... 290 11,393
#Pang Rim Co., Ltd.................................... 8,580 94,238
#*PaperCorea, Inc...................................... 273,870 174,113
Poongsan Corp........................................ 285,920 7,521,795
Poongsan Holdings Corp............................... 47,488 1,007,163
POSCO................................................ 530,457 175,729,000
#POSCO ADR............................................ 1,618,522 134,741,956
#POSCO Coated & Color Steel Co., Ltd.................. 23,830 364,861
Pulmuone Co., Ltd.................................... 6,875 243,667
Pusan City Gas Co., Ltd.............................. 75,990 1,229,177
S&T Dynamics Co., Ltd................................ 358,824 4,313,985
#S&T Holdings Co., Ltd................................ 87,883 878,165
#S&T Motiv Co., Ltd................................... 118,600 2,808,963
Saeron Automotive Corp............................... 82,395 353,628
Sajodaerim Corp...................................... 11,840 156,885
#Sam Jin Pharmaceutical Co., Ltd...................... 89,593 683,706
Sam Kwang Glass Industrial Co., Ltd.................. 13,128 587,129
Sam Lip General Foods Co., Ltd....................... 25,580 396,245
Sam Yung Trading Co., Ltd............................ 29,664 157,503
#*Sambu Construction Co., Ltd.......................... 40,666 210,030
Samhwa Crown & Closure Co., Ltd...................... 469 8,508
Samhwa Paints Industrial Co., Ltd.................... 48,610 158,628
#Samick Musical Instruments Co., Ltd.................. 798,890 1,036,217
Samsung C&T Corp..................................... 793,156 53,656,739
#Samsung SDI Co., Ltd................................. 500,681 71,743,028
27
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH KOREA -- (Continued)
*Samwhan Corp......................................... 54,610 $ 192,138
*Samyang Corp......................................... 30,113 1,267,004
Samyang Genex Co., Ltd............................... 18,118 830,013
Samyang Holdings Corp................................ 53,182 2,820,669
Samyang Tongsang Co., Ltd............................ 8,060 166,381
#Samyoung Electronics Co., Ltd........................ 142,030 1,169,697
SAVEZONE I&C Corp.................................... 27,710 68,726
SBS Media Holdings Co., Ltd.......................... 741,880 1,936,370
#Seah Besteel Corp.................................... 76,084 3,024,391
SeAH Holdings Corp................................... 13,089 1,375,724
#SeAH Steel Corp...................................... 35,474 2,759,199
#Sebang Co., Ltd...................................... 127,190 1,699,661
Sejong Industrial Co., Ltd........................... 45,790 520,443
#Seowon Co., Ltd...................................... 156,260 478,112
*Sewon Cellontech Co., Ltd............................ 81,980 255,942
Shin Young Wacoal, Inc............................... 273 23,603
*Shinhan Engineering & Construction Co., Ltd.......... 8,460 35,109
Shinhan Financial Group Co., Ltd..................... 4,297,929 149,165,528
#Shinhan Financial Group Co., Ltd. ADR................ 818,794 56,938,935
#Shinpoong Pharmaceutical Co., Ltd.................... 158,319 628,607
Shinsegae Engineering & Construction Co., Ltd........ 2,630 34,054
Shinsegae Information & Communication Co., Ltd....... 3,571 161,345
#*Shinsung Solar Energy Co., Ltd....................... 227,520 609,730
#Shinsung Tongsang Co., Ltd........................... 485,700 431,099
*Shinyoung Securities Co., Ltd........................ 34,910 903,615
#Silla Trading Co., Ltd............................... 64,073 766,667
Sindo Ricoh Co., Ltd................................. 43,098 2,097,775
SJM Co., Ltd......................................... 51,214 322,714
SJM Holdings Co., Ltd................................ 31,331 104,521
SK Chemicals Co., Ltd................................ 26,371 1,308,685
SK Gas Co., Ltd...................................... 39,057 2,143,935
SK Holdings Co., Ltd................................. 406,071 43,232,168
SK Innovation Co., Ltd............................... 104,213 14,405,114
SK Networks Co., Ltd................................. 1,856,306 15,262,815
#*SK Securities Co., Ltd............................... 2,347,360 2,447,859
#*Ssangyong Cement Industrial Co., Ltd................. 268,286 1,137,352
STX Corp............................................. 512,903 5,587,968
STX Engine Co., Ltd.................................. 340,950 4,301,742
STX Metal Co, Ltd.................................... 20,150 100,624
STX Offshore & Shipbuilding Co., Ltd................. 832,230 9,330,707
STX Pan Ocean Co., Ltd............................... 1,511,370 7,840,913
Suheung Capsule Co., Ltd............................. 74,590 787,711
Sung Bo Chemicals Co., Ltd........................... 2,570 58,369
*Sungshin Cement Co., Ltd............................. 66,250 227,607
Sunjin Co., Ltd...................................... 34,369 224,771
*Sunjin Holdings Co., Ltd............................. 3,672 70,442
#Tae Kyung Industrial Co., Ltd........................ 116,020 344,989
TaeKwang Industrial Co., Ltd......................... 4,204 3,814,311
Taeyoung Engineering & Construction Co., Ltd......... 547,190 2,403,825
#*Taihan Electric Wire Co., Ltd........................ 763,827 2,087,018
#Tailim Packaging Industries Co., Ltd................. 374,220 452,238
TCC Steel............................................ 45,410 186,340
Teems, Inc........................................... 3,590 31,325
Telcoware Co., Ltd................................... 36,000 244,535
*Tong Kook Corp....................................... 607 839
#Tong Yang Moolsan Co., Ltd........................... 72,180 1,242,123
*Tong Yang Securities, Inc............................ 962,089 3,710,914
#TS Corp.............................................. 65,206 1,157,385
Unid Co., Ltd........................................ 43,101 1,559,918
#Union Steel Manufacturing Co., Ltd................... 38,477 499,331
Whanin Pharmaceutical Co., Ltd....................... 65,710 359,144
28
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- --------------
SOUTH KOREA -- (Continued)
*Will-Bes & Co., Ltd. (The)........................ 784,460 $ 1,166,567
Wiscom Co., Ltd................................... 32,980 123,525
#*Woongjin Holdings Co., Ltd........................ 405,344 2,151,257
Woori Finance Holdings Co., Ltd................... 5,147,987 53,860,714
#Woori Finance Holdings Co., Ltd. ADR.............. 8,505 266,547
Woori Financial Co., Ltd.......................... 95,550 1,384,561
*Woori Investment & Securities Co., Ltd............ 2,277,163 22,309,141
YESCO Co., Ltd.................................... 25,430 592,902
Yoosung Enterprise Co., Ltd....................... 36,225 76,829
#Youlchon Chemical Co., Ltd........................ 159,290 1,128,491
Young Poong Corp.................................. 4,715 4,290,856
*Young Poong Mining & Construction Corp............ 18,030 877
Youngone Holdings Co., Ltd........................ 44,024 2,197,926
*Yuhwa Securities Co., Ltd......................... 28,680 347,449
*Zinus, Inc........................................ 1,866 6,192
--------------
TOTAL SOUTH KOREA.................................... 2,293,203,680
--------------
TAIWAN -- (12.1%)
#*A.G.V. Products Corp.............................. 6,927,701 2,157,505
*Ability Enterprise Co., Ltd....................... 801,000 730,719
*Abocom Systems, Inc............................... 146,752 31,808
AcBel Polytech, Inc............................... 6,380,219 3,479,442
Accton Technology Corp............................ 7,615,156 4,436,617
#Acer, Inc......................................... 34,459,364 39,272,526
#ACHEM Technology Corp............................. 2,343,500 1,214,537
#Action Electronics Co., Ltd....................... 3,535,084 1,004,927
Advanced Semiconductor Engineering, Inc........... 323,486 325,296
#Allis Electric Co., Ltd........................... 1,471,000 402,403
Alpha Networks, Inc............................... 4,261,237 3,638,694
Altek Corp........................................ 4,741,808 3,463,435
Ambassador Hotel (The)............................ 274,000 329,202
#Ampoc Far East Co., Ltd........................... 1,573,000 1,504,162
#AmTRAN Technology Co., Ltd........................ 9,529,956 7,172,952
APCB, Inc......................................... 2,067,000 1,564,577
Apex Science & Engineering Corp................... 690,713 279,824
*Arima Communications Corp......................... 2,351,000 1,420,618
*Arima Optoelectronics Corp........................ 1,409,500 303,171
#Asia Cement Corp.................................. 23,198,293 27,782,850
#*Asia Optical Co., Inc............................. 2,998,290 2,477,142
Asia Polymer Corp................................. 2,609,732 3,045,033
Asia Vital Components Co., Ltd.................... 3,689,779 2,205,757
Asustek Computer, Inc............................. 5,140,973 51,643,988
#AU Optronics Corp................................. 13,548,812 6,096,596
#AU Optronics Corp. Sponsored ADR.................. 9,136,602 41,023,343
#Audix Corp........................................ 1,656,164 1,465,140
Aurora Systems Corp............................... 572,281 773,983
*Avermedia Technologies, Inc....................... 1,418,000 1,128,067
#Avision, Inc...................................... 2,703,555 937,910
#Bank of Kaohsiung................................. 5,416,397 1,615,067
*Basso Industry Corp., Ltd......................... 844,000 603,845
#BES Engineering Corp.............................. 21,916,443 5,719,106
#Biostar Microtech International Corp.............. 1,870,055 970,987
*Bright Led Electronics Corp....................... 297,000 219,417
C Sun Manufacturing, Ltd.......................... 2,092,837 1,563,743
#Cameo Communications, Inc......................... 2,904,197 781,043
Capital Securities Corp........................... 17,794,447 6,327,137
#*Carnival Industrial Corp.......................... 5,443,000 1,842,838
Catcher Technology Co., Ltd....................... 273,326 1,735,407
#Cathay Chemical Works, Inc........................ 959,000 367,966
Cathay Real Estate Development Co., Ltd........... 12,735,421 5,914,095
Central Reinsurance Co., Ltd...................... 2,477,781 1,005,770
29
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- -----------
TAIWAN -- (Continued)
#Chain Qui Development Co., Ltd...................... 1,395,173 $ 963,165
#Champion Building Materials Co., Ltd................ 5,563,828 2,410,365
Chang Hwa Commercial Bank........................... 57,362,790 31,627,081
*Chang-Ho Fibre Corp................................. 192,000 62,449
#Charoen Pokphand Enterprises Co., Ltd............... 2,797,000 1,331,167
Cheng Loong Corp.................................... 12,497,659 4,839,297
#Cheng Uei Precision Industry Co., Ltd............... 3,833,705 7,830,757
Chia Hsin Cement Corp............................... 6,932,749 3,165,797
*Chia Hsin Food & Synthetic Fiber Co., Ltd........... 514,966 --
#Chien Kuo Construction Co., Ltd..................... 4,082,247 1,947,990
*Chien Shing Stainless Steel Co., Ltd................ 2,208,000 296,555
#Chilisin Electronics Corp........................... 523,300 258,251
*Chimei Innolux Corp................................. 72,331,389 29,777,242
China Airlines, Ltd................................. 32,261,786 12,486,806
China Chemical & Pharmaceutical Co.................. 2,882,264 1,755,253
#China Development Financial Holding Corp............ 135,559,960 34,106,649
China Electric Manufacturing Co., Ltd............... 2,563,200 1,894,408
#*China General Plastics Corp......................... 6,665,000 2,628,251
China Glaze Co., Ltd................................ 2,145,363 1,161,860
*China Man-Made Fiber Co., Ltd....................... 16,045,813 5,380,711
China Metal Products Co., Ltd....................... 3,272,547 2,158,716
#*China Motor Co., Ltd................................ 11,155,749 9,173,713
China Petrochemical Development Corp................ 13,662,338 13,717,959
*China Rebar Co., Ltd................................ 439,188 --
#China Steel Structure Co., Ltd...................... 1,580,219 1,630,213
#China Synthetic Rubber Corp......................... 6,494,711 6,329,933
*China United Trust & Investment Corp................ 493,999 --
#*China Wire & Cable Co., Ltd......................... 2,900,000 809,762
Chinatrust Financial Holdings Co., Ltd.............. 73,541,787 46,616,816
Chinese Maritime Transport, Ltd..................... 966,000 1,373,509
Chin-Poon Industrial Co., Ltd....................... 5,431,815 4,877,137
#*Chun Yu Works & Co., Ltd............................ 2,554,000 800,092
#Chun Yuan Steel Industrial Co., Ltd................. 5,818,144 2,451,189
Chung Hsin Electric & Machinery Co., Ltd............ 6,285,000 3,581,161
Chung Hung Steel Corp............................... 10,381,046 3,161,978
Chung Hwa Pulp Corp................................. 9,067,011 3,070,832
*Chung Shing Textile Co., Ltd........................ 600 10
*Chungwa Picture Tubes Co., Ltd...................... 55,899,412 3,035,345
Chuwa Wool Industry Co., Ltd........................ 120,189 66,955
#*Chyang Sheng Dyeing & Finishing Co., Ltd............ 328,000 112,924
#*CMC Magnetics Corp.................................. 39,877,830 6,884,436
#Collins Co., Ltd.................................... 2,331,224 1,152,472
*Compal Communications, Inc.......................... 576,000 806,736
#Compal Electronics, Inc............................. 44,362,332 50,787,696
*Compeq Manufacturing Co., Ltd....................... 14,664,000 5,743,079
*Compex International Co., Ltd....................... 46,400 318
Continental Holdings Corp........................... 7,293,848 2,734,342
*Cosmos Bank Taiwan.................................. 1,385,756 405,933
Coxon Precise Industrial Co., Ltd................... 1,320,000 1,794,767
*Creative Sensor, Inc................................ 40,000 20,634
CSBC Corp. Taiwan................................... 3,432,256 2,771,142
Da Cin Construction Co., Ltd........................ 2,299,579 1,462,268
Darfon Electronics Corp............................. 3,811,950 2,487,721
#Delpha Construction Co., Ltd........................ 3,534,329 1,154,802
Depo Auto Parts Industrial Co., Ltd................. 375,000 806,139
*Der Pao Construction Co., Ltd....................... 1,139,000 31,976
Diamond Flower Electric Instrument Co., Ltd......... 302,280 234,479
D-Link Corp......................................... 8,876,939 6,290,704
Dynamic Electronics Co., Ltd........................ 3,488,804 1,327,401
E.Sun Financial Holding Co., Ltd.................... 51,520,271 27,197,442
*Eastern Media International Corp.................... 12,640,399 1,459,353
30
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- -----------
TAIWAN -- (Continued)
Eclat Textile Co., Ltd................................. 718,558 $ 1,682,175
*Edimax Technology Co., Ltd............................. 1,304,000 488,112
Edom Technology Co., Ltd............................... 943,800 314,596
Elite Material Co., Ltd................................ 2,495,905 2,253,017
*Elite Semiconductor Memory Technology, Inc............. 1,532,000 1,289,696
#*Elitegroup Computer Systems Co., Ltd................... 10,186,066 2,805,494
EnTie Commercial Bank.................................. 1,736,232 787,580
#Epistar Corp........................................... 9,635,000 23,249,932
*Eternal Chemical Co., Ltd.............................. 414,000 321,691
Eva Airways Corp....................................... 13,358,738 7,984,700
*Ever Fortune Industrial Co., Ltd....................... 409,000 4,621
*Everest Textile Co., Ltd............................... 4,021,002 1,210,266
Evergreen International Storage & Transport Corp....... 8,312,000 4,088,816
Evergreen Marine Corp., Ltd............................ 23,381,998 13,705,679
Everlight Chemical Industrial Corp..................... 1,531,000 985,345
*Everlight Electronics Co., Ltd......................... 409,000 834,904
#*Everspring Industry Co., Ltd........................... 1,325,180 368,214
Excel Cell Electronics Co., Ltd........................ 141,000 56,941
*Excelsior Medical Co., Ltd............................. 941,000 1,820,461
Far Eastern Department Stores Co., Ltd................. 4,195,540 4,494,776
Far Eastern International Bank......................... 24,005,955 9,474,270
*Farglory F T Z Investment Holding Co., Ltd............. 779,000 420,461
Farglory Land Development Co., Ltd..................... 225,000 413,910
Federal Corp........................................... 5,252,640 2,657,713
#First Copper Technology Co., Ltd....................... 3,472,750 958,385
First Financial Holding Co., Ltd....................... 84,233,356 50,193,272
First Hotel............................................ 977,059 645,867
#First Insurance Co., Ltd............................... 3,196,064 1,385,487
First Steamship Co., Ltd............................... 322,000 476,673
Forhouse Corp.......................................... 6,201,635 3,481,699
*Formosa Advanced Technologies Co., Ltd................. 249,000 252,862
Formosa Chemicals & Fiber Co., Ltd..................... 1,299,660 3,751,278
#Formosa Epitaxy, Inc................................... 5,884,000 4,770,735
#Formosa Oilseed Processing Co., Ltd.................... 1,079,593 478,586
#Formosa Taffeta Co., Ltd............................... 10,258,511 9,661,663
Formosan Rubber Group, Inc............................. 6,567,000 4,188,332
#Formosan Union Chemical Corp........................... 1,972,758 1,425,670
*Fortune Electric Co., Ltd.............................. 242,000 114,071
Founding Construction & Development Co., Ltd........... 1,609,626 1,000,263
#*Froch Enterprise Co., Ltd.............................. 1,523,000 570,208
FSP Technology, Inc.................................... 1,180,283 1,091,237
#Fu I Industrial Co., Ltd............................... 290,944 147,100
Fubon Financial Holding Co., Ltd....................... 56,944,063 58,912,800
#Fullerton Technology Co., Ltd.......................... 1,477,200 1,479,115
#Fwusow Industry Co., Ltd............................... 2,450,502 1,279,880
#G Shank Enterprise Co., Ltd............................ 2,109,880 1,092,638
*Gamma Optical Co., Ltd................................. 278,600 69,783
#Gemtek Technology Corp................................. 4,404,962 4,085,869
Getac Technology Corp.................................. 6,503,065 4,496,752
*Giantplus Technology Co., Ltd.......................... 3,290,100 975,707
Giga Storage Corp...................................... 3,765,600 2,870,090
Giga-Byte Technology Co., Ltd.......................... 8,527,287 7,353,763
Gintech Energy Corp.................................... 4,450,942 4,350,196
#Global Brands Manufacture, Ltd......................... 3,280,290 1,608,260
*Globe Union Industrial Corp............................ 2,316,000 1,564,097
#Gold Circuit Electronics, Ltd.......................... 7,404,965 1,652,657
Goldsun Development & Construction Co., Ltd............ 20,114,261 7,701,547
Good Will Instrument Co., Ltd.......................... 423,021 278,368
Grand Pacific Petrochemical Corp....................... 13,816,000 6,045,338
Great China Metal Industry Co., Ltd.................... 1,487,000 2,022,060
Great Wall Enterprise Co., Ltd......................... 3,047,799 2,969,414
31
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- -----------
TAIWAN -- (Continued)
Green Energy Technology, Inc........................... 4,166,882 $ 3,895,367
#GTM Corp............................................... 2,315,000 1,033,948
#*Hannstar Board Corp.................................... 3,898,374 2,048,618
#*HannStar Display Corp.................................. 66,062,000 6,448,206
*HannsTouch Solution, Inc............................... 5,081,000 1,764,373
#Harvatek Corp.......................................... 2,461,940 1,568,539
*Helix Technology, Inc.................................. 29,585 --
Hey Song Corp.......................................... 4,861,000 6,078,038
*Hiti Digital, Inc...................................... 126,000 81,103
Hitron Technologies, Inc............................... 2,409,525 1,449,679
#*Ho Tung Holding Corp................................... 9,580,883 5,549,146
#*Hocheng Corp........................................... 4,081,300 1,282,899
Hold-Key Electric Wire & Cable Co., Ltd................ 1,844,124 645,727
Holy Stone Enterprise Co., Ltd......................... 3,153,643 2,916,939
*Hong Ho Precision Textile Co., Ltd..................... 97,000 40,430
#Hong Tai Electric Industrial Co., Ltd.................. 3,484,000 1,193,357
Hong Yi Fiber Industry Co., Ltd........................ 256,040 78,564
Hsin Kuang Steel Co., Ltd.............................. 4,151,124 2,843,028
Hsing Ta Cement Co., Ltd............................... 2,071,980 758,193
Hua Eng Wire & Cable Co., Ltd.......................... 6,205,035 1,773,841
Hua Nan Financial Holding Co., Ltd..................... 26,688,016 14,732,196
*Hualon Corp............................................ 257,040 9,504
#Hung Ching Development & Construction Co., Ltd......... 1,906,468 769,942
Hung Poo Construction Corp............................. 2,362,655 2,141,341
Hung Sheng Construction Co., Ltd....................... 8,533,892 4,231,420
#*Hwa Fong Rubber Co., Ltd............................... 3,047,960 607,978
#*Ichia Technologies, Inc................................ 4,989,260 2,347,707
#I-Chiun Precision Industry Co., Ltd.................... 2,458,000 1,884,977
*Inotera Memories, Inc.................................. 29,314,728 7,603,481
Inventec Corp.......................................... 28,371,417 10,861,716
ITE Technology, Inc.................................... 2,913,000 2,455,065
*Jess-Link Products Co., Ltd............................ 256,000 226,502
#Jui Li Enterprise Co., Ltd............................. 686,760 187,056
#K Laser Technology, Inc................................ 1,056,601 356,795
Kang Na Hsiung Enterprise Co., Ltd..................... 1,655,078 757,536
*Kao Hsing Chang Iron & Steel Corp...................... 1,589,000 310,127
#Kaulin Manufacturing Co., Ltd.......................... 2,712,656 1,999,682
Kee Tai Properties Co., Ltd............................ 1,092,485 598,704
Kerry TJ Logistics Co., Ltd............................ 1,396,000 1,571,955
#King Yuan Electronics Co., Ltd......................... 17,396,805 7,166,593
#Kingdom Construction Co., Ltd.......................... 5,806,000 3,591,449
*King's Town Bank....................................... 10,841,012 6,280,413
King's Town Construction Co., Ltd...................... 426,200 363,422
Kinko Optical Co., Ltd................................. 376,131 521,593
#Kinpo Electronics, Inc................................. 15,073,375 3,369,919
Knowledge-Yield-Excellence Systems Corp................ 3,317,000 1,228,911
KS Terminals, Inc...................................... 487,880 409,016
*Kuoyang Construction Co., Ltd.......................... 3,906,029 1,427,428
#Kwong Fong Industries Corp............................. 4,549,900 2,055,009
L&K Engineering Co., Ltd............................... 1,647,000 1,861,814
#Lan Fa Textile Co., Ltd................................ 3,158,713 1,023,718
*Lead Data Co., Ltd..................................... 1,765,457 148,626
Leader Electronics, Inc................................ 617,056 253,805
#Lealea Enterprise Co., Ltd............................. 10,008,794 3,568,890
*Ledtech Electronics Corp............................... 390,000 199,675
#Lee Chi Enterprises Co., Ltd........................... 3,379,900 1,594,084
#Lelon Electronics Corp................................. 1,324,000 670,306
*Leofoo Development Co., Ltd............................ 4,280,774 2,577,864
Li Peng Enterprise Co., Ltd............................ 7,149,183 2,085,703
Lian Hwa Food Corp..................................... 76,240 91,564
#Lien Chang Electronic Enterprise Co., Ltd.............. 694,273 186,658
32
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- -----------
TAIWAN -- (Continued)
#Lien Hwa Industrial Corp............................ 6,956,990 $ 4,384,792
#Lingsen Precision Industries, Ltd................... 5,590,480 3,240,457
#LITE-ON IT Corp..................................... 5,295,339 5,325,140
Lite-On Semiconductor Corp.......................... 4,247,190 2,171,462
Lite-On Technology Corp............................. 29,862,040 36,291,064
Long Bon International Co., Ltd..................... 2,671,301 1,083,860
Long Chen Paper Co., Ltd............................ 6,799,369 1,947,498
*Lotes Co., Ltd...................................... 523,000 1,339,280
*Lucky Cement Corp................................... 3,099,000 630,430
#Macronix International Co., Ltd..................... 59,370,028 19,498,341
#Marketech International Corp........................ 1,817,000 1,164,519
Masterlink Securities Corp.......................... 15,131,000 4,843,613
Maxtek Technology Co., Ltd.......................... 262,000 241,492
#Mayer Steel Pipe Corp............................... 2,106,456 862,363
Maywufa Co., Ltd.................................... 252,070 108,337
Mega Financial Holding Co., Ltd..................... 111,460,765 87,632,600
*Megamedia Corp...................................... 782 6
Meiloon Co., Ltd.................................... 1,753,352 575,222
Mercuries & Associates, Ltd......................... 3,586,430 2,976,723
#*Mercuries Data Systems, Ltd......................... 1,537,800 524,608
Merry Electronics Co., Ltd.......................... 860,000 1,571,312
*Microelectronics Technology, Inc.................... 5,883,911 1,948,316
#Micro-Star International Co., Ltd................... 13,048,985 5,694,871
*Mirle Automation Corp............................... 334,000 255,840
Mitac International Corp............................ 16,364,450 5,529,907
*Mobiletron Electronics Co., Ltd..................... 153,000 93,517
#*Mosel Vitelic, Inc.................................. 9,943,170 1,357,676
Nan Ya Printed Circuit Board Corp................... 2,259,000 4,206,680
Nantex Industry Co., Ltd............................ 2,063,108 1,750,444
*Nanya Technology Corp............................... 4,221,000 354,194
*Neo Solar Power Corp................................ 6,047,000 4,009,545
#New Asia Construction & Development Co., Ltd........ 1,626,660 497,106
Nichidenbo Corp..................................... 82,249 79,057
Nien Hsing Textile Co., Ltd......................... 4,222,447 2,779,820
*Optimax Technology Corp............................. 1,382,597 80,941
Opto Technology Corp................................ 7,646,000 3,543,609
*Orient Semiconductor Electronics, Ltd............... 4,702,276 730,437
*Oriental Union Chemical Corp........................ 1,290,225 1,570,045
*Pacific Construction Co., Ltd....................... 1,819,148 557,113
Pan Jit International, Inc.......................... 5,090,837 2,220,778
Pan-International Industrial Corp................... 2,799,967 2,227,625
Paragon Technologies Co., Ltd....................... 990,000 979,433
Pegatron Corp....................................... 20,336,998 29,254,853
Phihong Technology Co., Ltd......................... 216,320 255,952
*Picvue Electronics, Ltd............................. 241,600 --
Plotech Co., Ltd.................................... 894,282 435,757
*Potrans Electrical Corp............................. 1,139,000 170,020
Pou Chen Corp....................................... 29,022,550 24,791,527
*Power Quotient International Co., Ltd............... 2,510,000 809,219
Powercom Co., Ltd................................... 2,937,930 1,486,616
*Powertech Industrial Co., Ltd....................... 121,000 97,953
President Securities Corp........................... 10,900,992 5,645,246
Prince Housing & Development Corp................... 4,706,432 3,363,622
*Procomp Informatics, Ltd............................ 391,440 --
*Prodisc Technology, Inc............................. 6,185,157 35,999
Promate Electronic Co., Ltd......................... 822,000 662,195
#Qisda Corp.......................................... 20,387,171 4,958,208
#*Quintain Steel Co., Ltd............................. 4,448,250 1,140,054
*Radiant Opto-Electronics Corp....................... 2,409,839 10,053,597
#Radium Life Tech Corp............................... 8,099,994 5,911,493
#Ralec Electronic Corp............................... 477,087 473,044
33
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- -----------
TAIWAN -- (Continued)
Realtek Semiconductor Corp............................... 1,404,840 $ 3,032,059
Rechi Precision Co., Ltd................................. 3,629,190 3,297,264
#*Ritek Corp............................................... 35,934,622 5,300,403
*Sainfoin Technology Corp................................. 835,498 --
Sampo Corp............................................... 8,576,925 2,442,809
Sanyang Industrial Co., Ltd.............................. 10,902,624 6,252,732
Sanyo Electric Taiwan Co., Ltd........................... 368,000 357,702
*SDI Corp................................................. 590,000 455,831
Shan-Loong Transportation Co., Ltd....................... 66,000 41,827
Sheng Yu Steel Co., Ltd.................................. 1,826,000 1,235,834
*ShenMao Technology, Inc.................................. 632,000 778,978
Shih Wei Navigation Co., Ltd............................. 1,000,000 934,954
Shihlin Electric & Engineering Corp...................... 4,035,000 4,795,454
#*Shin Kong Financial Holding Co., Ltd..................... 84,447,151 24,870,137
Shin Zu Shing Co., Ltd................................... 1,832,067 4,821,024
#Shinkong Insurance Co., Ltd.............................. 2,662,412 1,753,132
Shinkong Synthetic Fibers Co., Ltd....................... 23,718,754 7,140,779
#*Shuttle, Inc............................................. 1,640,015 509,169
#Sigurd Microelectronics Corp............................. 5,975,047 4,612,965
#Silicon Integrated Systems Corp.......................... 9,245,165 3,363,001
Siliconware Precision Industries Co...................... 2,233,000 2,631,980
#Sinbon Electronics Co., Ltd.............................. 2,347,000 1,935,988
Sincere Navigation Corp.................................. 4,021,740 3,988,901
Sinkang Industries, Ltd.................................. 999,262 337,713
#Sinon Corp............................................... 5,670,877 2,482,678
SinoPac Holdings Co., Ltd................................ 82,172,344 27,843,045
*Sitronix Technology Corp................................. 1,163,000 1,473,882
#Siward Crystal Technology Co., Ltd....................... 1,411,875 452,507
#Solomon Technology Corp.................................. 1,375,950 478,214
#*Solytech Enterprise Corp................................. 1,503,000 592,584
South East Soda Manufacturing Co., Ltd................... 927,500 1,072,809
#Southeast Cement Co., Ltd................................ 3,354,700 1,371,352
Spirox Corp.............................................. 1,115,661 458,637
Springsoft, Inc.......................................... 1,901,000 2,696,844
Standard Chemical & Pharmaceutical Co., Ltd.............. 166,181 134,163
Star Comgistic Capital Co., Ltd.......................... 275,460 147,642
#Stark Technology, Inc.................................... 1,898,200 1,775,750
Sunonwealth Electric Machine Industry Co., Ltd........... 465,421 315,757
Sunplus Technology Co., Ltd.............................. 7,943,620 2,631,268
Sunrex Technology Corp................................... 782,000 431,426
Sunspring Metal Corp..................................... 61,000 65,949
Super Dragon Technology Co., Ltd......................... 144,175 137,399
#Supreme Electronics Co., Ltd............................. 2,864,681 1,522,479
Sweeten Construction Co., Ltd............................ 1,136,825 597,417
Sysware Systex Corp...................................... 822,801 841,072
*Ta Chen Stainless Pipe Co., Ltd.......................... 6,340,074 3,435,730
*Ta Chong Bank, Ltd....................................... 25,010,524 9,598,277
Ta Ya Electric Wire & Cable Co., Ltd..................... 8,234,329 2,190,571
#Tah Hsin Industrial Corp................................. 1,659,000 1,744,663
*TAI Roun Products Co., Ltd............................... 63,000 21,360
TA-I Technology Co., Ltd................................. 1,210,813 711,185
*Taichung Commercial Bank................................. 21,159,341 6,600,131
#Tainan Enterprises Co., Ltd.............................. 1,478,183 1,785,090
#Tainan Spinning Co., Ltd................................. 14,429,442 6,115,517
Taishin Financial Holdings Co., Ltd...................... 72,356,773 27,786,554
#Taisun Enterprise Co., Ltd............................... 3,363,505 1,749,482
#Taita Chemical Co., Ltd.................................. 3,830,728 1,457,132
#*Taiwan Business Bank..................................... 46,950,833 14,191,699
Taiwan Cement Corp....................................... 44,762,440 53,055,545
Taiwan Cogeneration Corp................................. 3,677,333 2,888,168
*Taiwan Cooperative Financial Holding, Ltd................ 53,764,005 33,040,515
34
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- -----------
TAIWAN -- (Continued)
Taiwan Fertilizer Co., Ltd.......................... 192,000 $ 456,856
Taiwan Fire & Marine Insurance Co., Ltd............. 1,144,000 811,071
*Taiwan Flourescent Lamp Co., Ltd.................... 756,000 77,131
Taiwan Fu Hsing Industrial Co., Ltd................. 1,518,000 994,174
#Taiwan Glass Industry Corp.......................... 9,126,091 9,053,297
*Taiwan Kolin Co., Ltd............................... 5,797,000 --
#*Taiwan Land Development Corp........................ 7,512,215 3,053,946
Taiwan Mask Corp.................................... 2,949,250 1,127,955
Taiwan Navigation Co., Ltd.......................... 343,000 340,618
Taiwan Paiho Co., Ltd............................... 2,376,850 1,702,712
#Taiwan Pulp & Paper Corp............................ 6,792,660 2,361,252
Taiwan Sakura Corp.................................. 1,810,472 980,159
Taiwan Sogo Shinkong Security Co., Ltd.............. 1,503,205 1,479,638
*Taiwan Styrene Monomer Corp......................... 8,374,856 2,039,779
#Taiwan Tea Corp..................................... 8,677,092 4,361,401
Taiyen Biotech Co., Ltd............................. 3,243,000 2,282,158
#*Tatung Co., Ltd..................................... 28,835,982 7,858,425
#*Teapo Electronic Corp............................... 994,840 160,503
#*Teco Electric & Machinery Co., Ltd.................. 27,495,725 20,066,117
*Tecom, Ltd.......................................... 736,753 68,722
Test-Rite International Co., Ltd.................... 1,786,331 1,209,632
*Thinking Electronic Industrial Co., Ltd............. 939,000 911,502
Ton Yi Industrial Corp.............................. 11,712,600 6,010,152
#Tong Yang Industry Co., Ltd......................... 4,228,623 4,177,704
Tong-Tai Machine & Tool Co., Ltd.................... 2,367,640 2,099,825
Topco Scientific Co., Ltd........................... 1,312,719 2,322,159
Topoint Technology Co., Ltd......................... 1,515,682 945,393
#*Tung Ho Spinning, Weaving & Dyeing Co., Ltd......... 2,775,000 915,740
Tung Ho Steel Enterprise Corp....................... 9,334,274 8,844,064
#*TYC Brother Industrial Co., Ltd..................... 2,567,790 1,074,565
#*Tycoons Group Enterprise Co., Ltd................... 7,393,938 1,402,747
Tyntek Corp......................................... 2,812,000 1,124,319
#*Tze Shin International Co., Ltd..................... 1,161,418 578,850
Unimicron Technology Corp........................... 16,639,363 18,800,194
*Union Bank of Taiwan................................ 9,110,282 3,059,283
#Unitech Electronics Co., Ltd........................ 1,308,739 689,167
#Unitech Printed Circuit Board Corp.................. 10,397,281 4,113,395
United Integration Service Co., Ltd................. 1,336,000 1,284,817
#United Microelectronics Corp........................ 178,956,681 93,607,454
Unity Opto Technology Co., Ltd...................... 1,678,629 1,774,923
Universal Cement Corp............................... 5,444,551 2,542,456
Universal Microelectronics Co., Ltd................. 892,491 235,093
#Universal, Inc...................................... 143,837 84,198
#UPC Technology Corp................................. 10,662,415 5,969,490
USI Corp............................................ 6,039,427 5,612,787
#U-Tech Media Corp................................... 1,946,799 397,976
Ve Wong Corp........................................ 1,522,806 1,108,820
Wah Lee Industrial Corp............................. 1,141,000 1,550,636
Walsin Lihwa Corp................................... 46,581,412 13,465,543
Walsin Technology Corp., Ltd........................ 8,713,230 2,294,099
Walton Advanced Engineering, Inc.................... 4,480,853 1,350,704
Wan Hai Lines Co., Ltd.............................. 6,505,000 3,279,080
Wan Hwa Enterprise Co., Ltd......................... 696,689 320,430
Waterland Financial Holdings Co., Ltd............... 28,466,896 9,677,906
*WEI Chih Steel Industrial Co., Ltd.................. 1,914,898 330,042
Weikeng Industrial Co., Ltd......................... 1,544,550 1,324,238
Well Shin Technology Co., Ltd....................... 809,080 1,187,673
Wellypower Optronics Corp........................... 2,128,000 1,166,838
Weltrend Semiconductor, Inc......................... 495,000 224,498
#*Winbond Electronics Corp............................ 39,826,885 6,595,956
#Wintek Corp......................................... 24,929,507 16,129,978
35
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- --------------
TAIWAN -- (Continued)
Wistron Corp................................................... 2,163,000 $ 3,226,860
WPG Holdings, Ltd.............................................. 1,513,092 2,054,214
WT Microelectronics Co., Ltd................................... 2,471,965 3,476,933
#*WUS Printed Circuit Co., Ltd................................... 5,613,928 2,667,962
Yageo Corp..................................................... 30,947,840 8,846,341
Yang Ming Marine Transport Corp................................ 22,980,676 9,702,936
Yem Chio Co., Ltd.............................................. 1,415,213 1,365,815
Yeung Cyang Industrial Co., Ltd................................ 3,772,667 2,189,625
#Yi Jinn Industrial Co., Ltd.................................... 4,146,796 937,688
Yieh Phui Enterprise Co., Ltd.................................. 13,059,485 4,470,606
*Young Fast Optoelectronics Co., Ltd............................ 1,821,000 3,873,741
*Yuanta Financial Holding Co., Ltd.............................. 102,314,654 48,738,173
Yuen Foong Yu Paper Manufacturing Co., Ltd..................... 15,276,847 6,875,282
Yulon Motor Co., Ltd........................................... 12,335,572 19,655,626
Yung Chi Paint & Varnish Manufacturing Co., Ltd................ 291,687 492,475
Yung Tay Engineering Co., Ltd.................................. 3,023,000 4,991,654
#Zenitron Corp.................................................. 2,644,000 2,023,078
Zig Sheng Industrial Co., Ltd.................................. 7,179,044 2,439,226
Zippy Technology Corp.......................................... 343,000 281,239
#Zyxel Communication Corp....................................... 5,642,000 3,171,449
--------------
TOTAL TAIWAN...................................................... 2,041,081,734
--------------
THAILAND -- (2.7%)
*A.J. PCL (Foreign)............................................. 1,663,900 817,070
Aapico Hitech PCL (Foreign).................................... 539,800 263,317
Asia Plus Securities PCL (Foreign)............................. 12,661,200 1,004,661
Asian Property Development PCL (Foreign)....................... 9,963,800 2,219,578
Bangchak Petroleum PCL (Foreign)............................... 7,632,800 6,329,639
Bangkok Bank PCL (Foreign)..................................... 6,157,700 38,848,579
Bangkok Bank PCL (Foreign) NVDR................................ 5,970,900 37,087,541
Bangkok Expressway PCL (Foreign)............................... 4,768,400 3,628,636
Bangkok First Investment & Trust PCL (Foreign)................. 132,300 26,245
Bangkok Insurance PCL (Foreign)................................ 143,220 1,150,418
*Bangkokland PCL (Foreign)...................................... 112,797,303 2,641,108
Bank of Ayudhya PCL (Foreign).................................. 16,762,600 15,399,787
Bank of Ayudhya PCL (Foreign) NVDR............................. 12,090,900 10,911,300
Cal-Comp Electronics (Thailand) PCL (Foreign).................. 18,405,400 1,723,823
Capital Nomura Securities PCL (Foreign)........................ 413,400 403,317
Central Plaza Hotel PCL (Foreign).............................. 7,478,700 3,088,764
Charoong Thai Wire & Cable PCL (Foreign)....................... 7,300 2,125
Delta Electronics Thailand PCL (Foreign)....................... 5,809,500 4,666,493
Eastern Water Resources Development & Management PCL (Foreign). 9,535,200 2,604,738
Erawan Group PCL (Foreign)..................................... 4,816,850 435,475
Esso (Thailand) PCL (Foreign).................................. 17,457,700 6,642,442
*G J Steel PCL (Foreign)........................................ 214,856,100 1,187,822
*G Steel PCL (Foreign).......................................... 79,804,200 1,271,677
*Golden Land Property PCL (Foreign) NVDR........................ 47,400 7,152
Hana Microelectronics PCL (Foreign)............................ 4,100,700 2,987,177
Hermraj Land & Development PCL (Foreign)....................... 52,509,000 5,088,677
ICC International PCL (Foreign)................................ 2,710,500 3,878,439
IRPC PCL (Foreign)............................................. 108,904,100 15,441,362
Italian-Thai Development PCL (Foreign) NVDR.................... 21,127,800 2,514,724
Jasmine International PCL (Foreign)............................ 1,350,900 138,824
Kang Yong Electric PCL (Foreign)............................... 4,000 29,789
Kasikornbank PCL (Foreign)..................................... 617,100 3,281,166
KGI Securities (Thailand) PCL (Foreign)........................ 10,147,500 765,600
Kiatnakin Finance PCL (Foreign)................................ 4,439,200 5,341,476
Krung Thai Bank PCL (Foreign).................................. 65,344,000 38,250,146
*Krungthai Card PCL (Foreign)................................... 315,900 198,272
Laguna Resorts & Hotels PCL (Foreign).......................... 1,342,400 1,833,522
Loxley PCL (Foreign)........................................... 11,381,000 1,406,433
36
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
----------- ------------
THAILAND -- (Continued)
MBK PCL (Foreign)................................... 905,500 $ 2,804,841
Padaeng Industry PCL (Foreign) NVDR................. 1,412,500 702,805
Polyplex PCL (Foreign).............................. 3,453,600 1,740,839
Precious Shipping PCL (Foreign)..................... 5,235,400 2,758,162
*Property Perfect PCL (Foreign)...................... 18,782,700 775,741
PTT Global Chemical PCL (Foreign)................... 22,762,641 50,892,084
PTT PCL (Foreign)................................... 4,215,000 48,112,683
Quality Houses PCL (Foreign)........................ 51,817,700 3,151,190
*Regional Container Lines PCL (Foreign).............. 5,039,500 1,450,393
Rojana Industrial Park PCL (Foreign)................ 2,249,200 592,472
Saha Pathana Inter-Holding PCL (Foreign)............ 2,932,100 2,193,115
Saha Pathanapibul PCL (Foreign)..................... 1,594,833 1,970,851
Saha-Union PCL (Foreign)............................ 2,976,400 2,903,805
*Sahaviriya Steel Industries PCL (Foreign).......... 105,945,840 2,618,499
Samart Corp. PCL (Foreign).......................... 2,574,100 799,436
Sansiri PCL (Foreign)............................... 46,586,864 3,181,542
SC Asset Corp. PCL (Foreign)........................ 4,007,600 1,928,861
*Shinawatra Satellite PCL (Foreign).................. 6,437,800 3,307,878
Siamgas & Petrochemicals PCL (Foreign).............. 358,600 191,253
Somboon Advance Technology PCL (Foreign)............ 703,400 640,494
Sri Ayudhya Capital PCL (Foreign)................... 228,500 147,132
Sri Trang Agro Industry PCL (Foreign)............... 7,078,300 4,649,810
Supalai PCL (Foreign)............................... 250,766 133,742
*Tata Steel (Thailand) PCL (Foreign)................. 35,972,800 982,672
*Thai Airways International PCL (Foreign)............ 12,216,011 10,626,936
*Thai Carbon Black PCL (Foreign)..................... 139,600 109,864
Thai Oil PCL (Foreign).............................. 10,510,500 23,071,829
Thai Rayon PCL (Foreign)............................ 165,000 347,439
Thai Stanley Electric PCL (Foreign)................. 186,800 1,142,062
*Thai Stanley Electric PCL (Foreign) NVDR............ 43,100 263,506
Thai Wacoal PCL (Foreign)........................... 93,300 148,673
Thanachart Capital PCL (Foreign).................... 8,763,000 9,047,976
Thoresen Thai Agencies PCL (Foreign)................ 4,359,800 2,722,217
Ticon Industrial Connection PCL (Foreign)........... 2,169,500 917,187
Tisco Financial Group PCL (Foreign)................. 1,310,500 1,789,951
TMB Bank PCL (Foreign).............................. 194,247,000 10,738,859
Total Access Communication PCL (Foreign) (B1XFLM7).. 1,074,380 2,847,107
*Total Access Communication PCL (Foreign) (B231MK7).. 7,354,100 19,969,670
TPI Polene PCL (Foreign)............................ 11,293,324 5,178,402
*Tycoons Worldwide Group PCL (Foreign)............... 1,243,300 276,963
Univentures PCL (Foreign)........................... 3,481,400 310,213
Vanachai Group PCL (Foreign)........................ 6,390,000 856,156
Vinythai PCL (Foreign).............................. 5,757,117 3,557,243
------------
TOTAL THAILAND......................................... 456,069,867
------------
TURKEY -- (1.9%)
Adana Cimento Sanayii T.A.S. Series A............... 734,743 1,674,525
Adana Cimento Sanayii T.A.S. Series C............... 299,447 131,346
*Advansa Sasa Polyester Sanayi A.S................... 1,399,594 1,028,350
Akcansa Cimento Sanayi ve Ticaret A.S............... 298,810 1,327,271
*Akenerji Elektrik Uretim A.S........................ 84,732 102,784
Aksa Akrilik Kimya Sanayii A.S...................... 1,686,939 4,134,004
*Aksigorta A.S....................................... 1,348,634 1,444,285
Alarko Holding A.S.................................. 1,099,569 2,718,897
*Albaraka Turk Katilim Bankasi A.S................... 1,354,867 1,435,668
Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S. 59,430 903,498
*Anadolu Anonim Turk Sigorta Sirketi A.S............. 3,779,024 1,981,737
Anadolu Cam Sanayii A.S............................. 1,542,338 2,522,745
*Arcelik A.S......................................... 1,565,562 6,869,790
*Asya Katilim Bankasi A.S............................ 7,814,374 7,969,032
*Ayen Enerji A.S..................................... 469,686 435,949
37
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- -----------
TURKEY -- (Continued)
Aygaz A.S................................................ 1,030,468 $ 4,770,526
Bati Anabolu Cimento A.S................................. 276,594 1,198,826
Bolu Cimento Sanayii A.S................................. 1,056,634 932,896
*Borusan Mannesmann Boru Sanayi ve Ticaret A.S............ 127,193 2,251,274
Cimsa Cimento Sanayi ve Ticaret A.S...................... 562,388 2,517,520
*Deva Holding A.S......................................... 620,118 826,788
*Dogan Gazetecilik A.S.................................... 572,836 518,784
*Dogan Sirketler Grubu Holding A.S........................ 13,119,972 6,197,974
*Dogan Yayin Holding A.S.................................. 1,569,275 626,118
*Dogus Otomotiv Servis ve Ticaret A.S..................... 1,016,045 2,596,158
Eczacibasi Yatirim Holding Ortakligi A.S................. 522,622 2,089,184
EGE Seramik Sanayi ve Ticaret A.S........................ 1,079,477 1,328,013
EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar
Sanayi ve Ticaret A.S.................................. 2,716,664 3,325,692
Eregli Demir ve Celik Fabrikalari T.A.S.................. 17,225,538 23,869,134
Gentas Genel Metal Sanayi ve Ticaret A.S................. 721,912 657,557
*Global Yatirim Holding A.S............................... 3,698,969 2,844,605
Goodyear Lastikleri T.A.S................................ 21,237 721,535
*GSD Holding A.S.......................................... 3,489,632 1,549,784
*Gunes Sigorta A.S........................................ 403,299 515,282
*Hurriyet Gazetecilik ve Matbaacilik A.S.................. 3,447,484 1,963,004
*Ihlas EV Aletleri A.S.................................... 2,765,346 1,227,633
*Ihlas Holding A.S........................................ 10,126,336 6,574,784
*Ipek Dogal Enerji Kaynaklari Ve Uretim A.S............... 885,242 1,736,129
*Is Finansal Kiralama A.S................................. 1,958,837 1,193,423
Is Yatirim Menkul Degerler A.S........................... 380,780 401,551
*Isiklar Yatirim Holding A.S.............................. 1,581,704 712,076
Ittifak Holding A.S...................................... 92,228 334,091
*Izmir Demir Celik Sanayi A.S............................. 1,388,492 4,114,045
*Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.
Class A................................................. 2,685,266 2,234,855
*Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.
Class B................................................. 1,315,933 1,948,997
*Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.
Class D................................................. 8,292,951 4,533,850
KOC Holding A.S. Series B................................ 7,898,158 29,334,477
Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve
Ticaret A.S............................................ 1,045,659 2,472,767
*Koza Anadolu Metal Madencilik Isletmeleri A.S. (B03MVQ5). 1,611,797 3,162,271
*Koza Anadolu Metal Madencilik Isletmeleri A.S. (B6ZH5B3). 1,404,798 2,743,605
*Marti Otel Isletmeleri A.S............................... -- --
*Menderes Tekstil Sanayi ve Ticaret A.S................... 4,409,749 2,487,882
*Metro Ticari ve Mali Yatirimlar Holding A.S.............. 3,286,794 1,048,296
Net Turizm Ticaret ve Sanayi A.S......................... 2,364,089 1,022,556
Netas Telekomunikasyon A.S............................... 485 70,967
*Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S.... 145,574 450,354
*Petkim Petrokimya Holding A.S............................ 4,417,470 5,254,106
Pinar Entegre Et ve Un Sanayi A.S........................ 281,310 980,678
Pinar SUT Mamulleri Sanayii A.S.......................... 194,424 2,027,832
*Raks Elektronik Sanayi ve Ticaret A.S.................... 5,859 2,636
*Reysas Tasimacilik ve Lojistik Ticaret A.S............... 43,575 25,806
*Sabah Yayincilik A.S..................................... 31,938 69,104
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S....... 669,085 1,888,600
Sekerbank T.A.S.......................................... 6,336,890 3,393,098
Selcuk Ecza Deposu Ticaret ve Sanayi A.S................. 1,932,176 1,816,113
Soda Sanayii A.S......................................... 646,809 1,239,535
*Tekfen Holding A.S....................................... 1,735,452 6,328,000
*Tekstil Bankasi A.S...................................... 1,242,819 516,955
Trakya Cam Sanayii A.S................................... 2,856,456 4,117,296
Turcas Petrol A.S........................................ 916,619 1,446,346
*Turk Hava Yollari A.S.................................... 11,412,196 17,478,236
Turkiye Is Bankasi A.S................................... 21,175,700 48,500,982
Turkiye Sinai Kalkinma Bankasi A.S....................... 4,187,333 5,440,147
Turkiye Sise ve Cam Fabrikalari A.S...................... 5,734,884 9,801,665
Turkiye Vakiflar Bankasi T.A.O........................... 10,202,371 18,312,908
Ulker Biskuvi Sanayi A.S................................. 1,364,998 4,136,172
38
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
---------- ---------------
TURKEY -- (Continued)
*Uzel Makina Sanayii A.S................................... 275,043 $ --
Vestel Beyaz Esya Sanayi ve Ticaret A.S................... 994,756 1,285,894
*Vestel Elektronik Sanayi ve Ticaret A.S................... 2,059,212 2,545,493
*Yapi ve Kredi Bankasi A.S................................. 11,028,482 20,426,878
---------------
TOTAL TURKEY................................................. 320,819,624
---------------
TOTAL COMMON STOCKS.......................................... 15,196,448,399
---------------
PREFERRED STOCKS -- (4.4%)
BRAZIL -- (4.4%)
Alpargatas SA............................................. 564,162 4,543,134
Banco ABC Brasil SA....................................... 776,812 4,869,975
Banco Alfa de Investimento SA............................. 61,726 160,941
Banco Cruzeiro do Sul SA.................................. 5,100 34,515
Banco Daycoval SA......................................... 564,248 2,764,775
Banco do Estado do Rio Grande do Sul SA Series B.......... 1,120,303 9,668,171
Banco Industrial e Comercial SA........................... 1,214,800 3,772,849
*Banco Indusval SA......................................... 200 908
Banco Panamericano SA..................................... 1,103,600 3,595,392
Banco Pine SA............................................. 350,878 2,444,541
Banco Sofisa SA........................................... 694,800 1,341,376
*Braskem SA Preferred Series A............................. 1,916,567 13,422,957
#Braskem SA Sponsored ADR.................................. 579,894 8,524,442
Cia de Tecidos Norte de Minas - Coteminas SA.............. 901,775 2,020,082
Cia Ferro Ligas da Bahia - Ferbasa........................ 823,834 4,870,870
Eucatex SA Industria e Comercio SA........................ 134,188 580,779
Financeira Alfa SA Credito Financiamento e Investimentos.. 36,400 75,620
Forjas Taurus SA.......................................... 916,590 1,014,613
Gerdau SA................................................. 4,130,372 38,570,218
#Gerdau SA Sponsored ADR................................... 8,373,239 78,624,714
Inepar SA Industria e Construcoes......................... 1,297,608 1,572,528
*Klabin SA................................................. 7,963,205 38,100,060
Mangels Industrial SA..................................... 3,600 7,932
Marcopolo SA.............................................. 1,983,243 10,674,959
Metalurgica Gerdau SA..................................... 195,300 2,375,997
Oi SA..................................................... 118,733 713,213
Parana Banco SA........................................... 116,200 792,487
Petroleo Brasileiro SA.................................... 7,002,801 77,443,562
Petroleo Brasileiro SA ADR................................ 15,231,358 337,526,893
Suzano Papel e Celulose SA................................ 4,444,600 16,718,402
Ultrapar Participacoes SA Sponsored ADR................... 359,409 8,137,020
*Unipar Participacoes SA Preferred Series B................ 8,924,236 1,357,725
Usinas Siderurgicas de Minas Gerais SA Perferred Series A. 11,752,415 67,389,186
*Vale SA Series B.......................................... 239,144 --
Whirlpool SA.............................................. 71,500 127,535
---------------
TOTAL BRAZIL................................................. 743,838,371
---------------
INDIA -- (0.0%)
*JSW ISPAT Steel, Ltd...................................... 1,190,176 86,735
*Trent, Ltd................................................ 3,220 53,684
---------------
TOTAL INDIA.................................................. 140,419
---------------
MALAYSIA -- (0.0%)
*TA Global Berhad.......................................... 6,292,530 540,578
---------------
TOTAL PREFERRED STOCKS....................................... 744,519,368
---------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
*Banco Panamericano SA Rights 05/09/12..................... 1,400,762 80,835
---------------
MALAYSIA -- (0.0%)
*Malayan Flour Mills Berhad Warrants....................... 125,350 --
---------------
39
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE++
------------ ---------------
TURKEY -- (0.0%)
*Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. Rights 02/15/12.............................. 885,242 $ 1,708,738
---------------
TOTAL RIGHTS/WARRANTS....................................................................... 1,789,573
---------------
SHARES/
FACE
AMOUNT VALUE+
------------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (5.8%)
(S)@DFA Short Term Investment Fund.......................................................... 972,000,000 972,000,000
@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 $5,531,741) to be
repurchased at $5,423,307............................................................. $ 5,423 5,423,275
---------------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 977,423,275
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,500,480,604)................................................................... $16,920,180,615
===============
40
(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 Emerging Markets Value Fund
By: /s/ David G. Booth
--------------------------------
David G. Booth
Chairman, Trustee, 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 Emerging
Markets Value Fund
Date: July 5, 2012
By: /s/ David R. Martin
---------------------------
David R. Martin
Principal Financial Officer
Dimensional Emerging
Markets Value Fund
Date: July 5, 2012